Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 10
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Portfolio Analysis Results (Nov 2010 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
VBMFX Vanguard Total Bond Market Index Inv 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,882,153 6.53% 9.11%9.16%8.13%21.83%-3.20%-11.94%
(-12.25%)
1.041.680.99
Portfolio 2$1,000,000$2,265,419 8.52% 10.91%10.99%10.90%26.24%-4.23%-16.36%
(-16.62%)
0.951.511.00
Portfolio 3$1,000,000$2,698,867 10.44% 12.67%12.76%13.76%33.35%-5.26%-20.89%
(-21.18%)
0.901.411.00
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.01%8.73%8.12%8.53%9.11%9.11%11.00%9.03%
Portfolio 20.56%9.45%9.06%9.97%10.91%10.91%14.69%12.07%
Portfolio 31.12%10.09%9.94%11.37%12.67%12.67%18.50%15.21%
Trailing annualized return and volatility are for full months ending in October 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2010 are based on monthly returns from November to December
  • The annual results for 2020 are based on monthly returns from January to October
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly withdrawal of $2,500 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
20100.21%-$5,0063.77%$1,032,6165.60%$1,050,8407.42%$1,069,0637.42%-1.71%
20112.96%-$30,8543.60%$1,038,7612.28%$1,044,0830.96%$1,048,9130.96%7.56%
20121.74%-$31,49311.37%$1,124,39313.81%$1,155,62616.25%$1,186,55216.25%4.05%
20131.50%-$31,95419.10%$1,304,59226.23%$1,423,21633.35%$1,545,92033.35%-2.26%
20140.76%-$32,4729.76%$1,397,93411.09%$1,546,83412.43%$1,703,48612.43%5.76%
20150.73%-$32,5110.30%$1,369,7120.29%$1,519,0230.29%$1,676,1040.29%0.30%
20162.07%-$32,9218.52%$1,452,03610.53%$1,643,91812.53%$1,850,53112.53%2.50%
20172.11%-$33,62214.02%$1,619,82717.53%$1,895,89021.05%$2,203,29721.05%3.46%
20181.91%-$34,444-3.20%$1,535,016-4.23%$1,783,435-5.26%$2,055,871-5.26%-0.13%
20192.29%-$35,06821.83%$1,832,39326.24%$2,213,14330.65%$2,647,19330.65%8.61%
20201.33%-$29,5484.40%$1,882,1533.77%$2,265,4193.15%$2,698,8673.15%6.27%
Annual return for 2010 is from 11/01/2010 to 12/31/2010 and annual return for 2020 is from 01/01/2020 to 10/31/2020
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
2010110.12%$998,6820.35%$1,000,9690.58%$1,003,2560.58%-0.57%
2010123.65%$1,032,6165.23%$1,050,8406.81%$1,069,0636.81%-1.15%
201111.34%$1,043,9861.77%$1,066,8762.19%$1,089,9192.19%0.08%
201122.24%$1,064,8472.92%$1,095,5153.60%$1,126,5933.60%0.16%
201130.27%$1,065,2030.36%$1,096,9290.45%$1,129,0980.45%-0.01%
201142.34%$1,087,6102.67%$1,123,6662.99%$1,160,3032.99%1.32%
20115-0.22%$1,082,641-0.70%$1,113,245-1.16%$1,144,240-1.16%1.30%
20116-1.24%$1,066,586-1.52%$1,093,758-1.79%$1,121,208-1.79%-0.39%
20117-0.77%$1,055,753-1.53%$1,074,400-2.28%$1,093,029-2.28%1.58%
20118-3.01%$1,021,412-4.50%$1,023,459-5.99%$1,024,918-5.99%1.46%
20119-4.13%$976,624-5.91%$960,348-7.75%$942,860-7.75%0.89%
2011106.50%$1,037,5548.92%$1,043,39511.51%$1,048,76611.51%0.16%
201111-0.29%$1,031,913-0.29%$1,037,772-0.29%$1,043,164-0.29%-0.30%
2011120.91%$1,038,7610.86%$1,044,0830.80%$1,048,9130.80%1.08%
201213.40%$1,071,4684.24%$1,085,7595.08%$1,099,6225.08%0.87%
201222.58%$1,096,4933.42%$1,120,3444.26%$1,143,8414.26%-0.05%
201231.68%$1,112,2742.38%$1,144,4243.07%$1,176,2903.07%-0.58%
201240.01%$1,109,787-0.33%$1,138,040-0.65%$1,165,971-0.65%1.14%
20125-3.53%$1,067,934-4.91%$1,079,517-6.24%$1,090,638-6.24%0.95%
201262.39%$1,090,7893.15%$1,110,9163.91%$1,130,6523.91%0.04%
201271.17%$1,100,9141.10%$1,120,5121.03%$1,139,7061.03%1.39%
201281.54%$1,115,2052.02%$1,140,4602.48%$1,165,3572.48%0.03%
201291.64%$1,130,8512.12%$1,161,9552.58%$1,192,7492.58%0.11%
201210-1.06%$1,116,230-1.42%$1,142,859-1.76%$1,169,139-1.76%0.11%
2012110.53%$1,119,5340.64%$1,147,5060.74%$1,175,1410.74%0.19%
2012120.67%$1,124,3930.94%$1,155,6261.19%$1,186,5521.19%-0.20%
201313.01%$1,155,6554.26%$1,202,1895.50%$1,249,1735.50%-0.71%
201320.99%$1,164,4851.14%$1,213,2021.28%$1,262,4661.28%0.54%
201332.42%$1,190,0533.16%$1,248,9163.88%$1,308,8223.88%0.08%
201341.41%$1,204,1201.56%$1,265,6931.70%$1,328,4261.70%0.91%
201350.82%$1,211,3011.59%$1,283,1032.32%$1,356,6032.32%-1.71%
20136-1.41%$1,191,529-1.34%$1,263,231-1.27%$1,336,656-1.27%-1.65%
201373.57%$1,231,3454.55%$1,318,0915.49%$1,407,3055.49%0.20%
20138-2.06%$1,203,343-2.46%$1,283,055-2.82%$1,364,896-2.82%-0.64%
201392.70%$1,233,1743.20%$1,321,4353.66%$1,412,2363.66%0.96%
2013103.02%$1,267,7033.64%$1,366,9184.22%$1,469,2114.22%0.78%
2013111.77%$1,287,5362.35%$1,396,4232.88%$1,508,8832.88%-0.35%
2013121.53%$1,304,5922.11%$1,423,2162.63%$1,545,9202.63%-0.65%
20141-1.25%$1,285,652-2.18%$1,389,560-3.11%$1,495,216-3.11%1.54%
201422.98%$1,321,3203.85%$1,440,3674.73%$1,563,2924.73%0.48%
201430.25%$1,321,8920.38%$1,443,1480.51%$1,568,6230.51%-0.15%
201440.35%$1,323,7630.20%$1,443,3950.06%$1,566,9060.06%0.77%
201451.72%$1,343,8151.95%$1,468,7562.17%$1,598,2072.17%1.05%
201461.57%$1,362,1832.05%$1,496,2022.54%$1,636,0422.54%0.11%
20147-1.30%$1,341,718-1.64%$1,468,898-1.98%$1,600,935-1.98%-0.26%
201482.97%$1,378,8583.58%$1,518,7404.18%$1,665,1834.18%1.13%
20149-1.59%$1,354,275-1.86%$1,487,720-2.14%$1,626,882-2.14%-0.72%
2014102.03%$1,379,0802.39%$1,520,5322.74%$1,668,7452.74%0.94%
2014111.73%$1,400,1832.07%$1,549,3232.41%$1,706,2642.41%0.65%
2014120.03%$1,397,9340.01%$1,546,834-0.01%$1,703,486-0.01%0.09%
20151-0.74%$1,384,931-1.76%$1,517,004-2.77%$1,653,587-2.77%2.31%
201522.94%$1,422,9754.34%$1,580,1155.76%$1,746,1965.76%-1.08%
20153-0.46%$1,413,660-0.75%$1,565,532-1.04%$1,725,380-1.04%0.41%
201540.11%$1,412,4840.26%$1,566,9700.42%$1,729,9390.42%-0.36%
201550.66%$1,419,0701.03%$1,580,3221.39%$1,751,2841.39%-0.45%
20156-1.43%$1,395,989-1.57%$1,552,736-1.71%$1,718,608-1.71%-1.01%
201571.29%$1,411,2381.46%$1,572,6861.63%$1,743,9241.63%0.76%
20158-3.80%$1,354,929-4.92%$1,492,620-6.03%$1,636,116-6.03%-0.36%
20159-1.43%$1,332,819-2.18%$1,457,395-2.93%$1,585,403-2.93%0.76%
2015104.59%$1,391,2186.19%$1,544,9297.84%$1,707,0497.84%0.01%
2015110.22%$1,391,5490.38%$1,548,0840.54%$1,713,5580.54%-0.27%
201512-1.37%$1,369,712-1.70%$1,519,023-2.03%$1,676,104-2.03%-0.38%
20161-2.83%$1,328,225-4.25%$1,451,736-5.67%$1,578,335-5.67%1.43%
201620.25%$1,328,8520.11%$1,450,578-0.04%$1,574,966-0.04%0.66%
201634.47%$1,385,4945.72%$1,530,8067.01%$1,682,6647.01%0.94%
201640.53%$1,390,0510.58%$1,536,8980.63%$1,690,4850.63%0.38%
201651.07%$1,402,2231.43%$1,556,1511.79%$1,718,0381.79%0.01%
201660.91%$1,412,2410.57%$1,562,2430.23%$1,719,1650.23%1.94%
201672.61%$1,446,3813.28%$1,610,7143.95%$1,784,3243.95%0.64%
201680.09%$1,444,9180.17%$1,610,7630.26%$1,786,1790.26%-0.17%
201690.06%$1,442,9790.10%$1,609,6720.15%$1,786,1000.15%-0.09%
201610-1.66%$1,416,282-1.94%$1,575,715-2.21%$1,743,778-2.21%-0.81%
2016111.62%$1,436,3973.03%$1,620,6574.44%$1,818,3674.44%-2.64%
2016121.28%$1,452,0361.61%$1,643,9181.92%$1,850,5311.92%0.24%
201711.26%$1,467,6021.59%$1,667,2141.91%$1,883,0751.91%0.29%
201722.50%$1,501,5383.11%$1,716,2523.71%$1,950,1693.71%0.66%
201730.01%$1,498,9420.04%$1,714,1490.07%$1,948,6780.07%-0.07%
201740.94%$1,510,2100.99%$1,728,4041.05%$1,966,3461.05%0.76%
201750.88%$1,520,6360.94%$1,741,8761.01%$1,983,3241.01%0.67%
201760.57%$1,526,5030.75%$1,752,0950.92%$1,998,7940.92%0.01%
201771.30%$1,543,5041.59%$1,777,0701.87%$2,033,2981.87%0.39%
201780.42%$1,547,1200.28%$1,779,2210.15%$2,033,4580.15%0.85%
201791.31%$1,564,5111.89%$1,809,9882.45%$2,080,5272.45%-0.54%
2017101.39%$1,583,4061.78%$1,839,3902.16%$2,122,5992.16%0.11%
2017111.85%$1,609,8612.46%$1,881,8243.04%$2,184,3913.04%-0.17%
2017120.79%$1,619,8270.90%$1,895,8900.99%$2,203,2970.99%0.44%
201812.75%$1,661,4854.03%$1,969,4045.31%$2,317,4015.31%-1.09%
20182-2.68%$1,614,105-3.20%$1,903,449-3.72%$2,228,444-3.72%-1.03%
20183-0.97%$1,595,627-1.48%$1,872,341-1.99%$2,181,163-1.99%0.63%
20184-0.10%$1,591,1280.14%$1,872,0700.38%$2,186,5580.38%-0.83%
201851.93%$1,618,9482.36%$1,913,4122.79%$2,244,7132.79%0.61%
201860.43%$1,622,9480.55%$1,921,1090.68%$2,257,0610.68%0.03%
201872.05%$1,653,4152.70%$1,970,1403.34%$2,329,5043.34%0.03%
201882.33%$1,689,0242.89%$2,024,2703.44%$2,406,8023.44%0.52%
20189-0.10%$1,684,3980.03%$2,022,0130.16%$2,407,7570.16%-0.54%
201810-4.92%$1,598,665-6.19%$1,893,998-7.40%$2,226,648-7.40%-0.73%
2018111.47%$1,619,2091.77%$1,924,5682.06%$2,269,6682.06%0.53%
201812-5.02%$1,535,016-7.18%$1,783,435-9.29%$2,055,871-9.29%1.80%
201915.55%$1,617,3967.07%$1,906,6468.59%$2,229,5058.59%1.01%
201922.14%$1,649,0722.83%$1,957,6903.50%$2,304,6703.50%-0.06%
201931.63%$1,673,0551.53%$1,984,7581.44%$2,334,8541.44%1.96%
201942.50%$1,711,9453.25%$2,046,3923.98%$2,424,7833.98%0.04%
20195-3.41%$1,650,609-4.97%$1,941,750-6.45%$2,265,525-6.45%1.83%
201964.72%$1,725,6015.86%$2,052,5576.97%$2,420,4876.97%1.15%
201970.99%$1,739,6751.22%$2,074,5991.44%$2,452,3641.44%0.23%
20198-0.24%$1,732,509-1.16%$2,047,691-2.03%$2,399,762-2.03%2.78%
201990.83%$1,743,8711.27%$2,070,7801.70%$2,437,7071.70%-0.60%
2019101.39%$1,765,1131.75%$2,104,0382.10%$2,485,8552.10%0.21%
2019112.34%$1,803,5643.07%$2,165,7933.77%$2,576,6903.77%-0.06%
2019121.76%$1,832,3932.32%$2,213,1432.85%$2,647,1932.85%-0.15%
202010.80%$1,844,1100.36%$2,218,217-0.08%$2,642,250-0.08%2.11%
20202-4.17%$1,764,205-6.17%$2,078,468-8.18%$2,423,200-8.18%1.71%
20203-8.10%$1,618,284-10.87%$1,849,634-13.78%$2,086,395-13.78%-0.59%
202047.87%$1,742,74210.40%$2,039,15813.25%$2,359,85413.25%1.69%
202053.25%$1,796,5144.28%$2,123,5065.38%$2,483,8195.38%0.54%
202061.60%$1,822,3921.93%$2,161,6332.28%$2,537,4932.28%0.70%
202073.91%$1,890,6854.76%$2,261,5205.64%$2,677,6485.64%1.55%
202083.78%$1,959,2625.46%$2,382,0487.18%$2,866,8407.18%-1.02%
20209-2.13%$1,914,500-2.86%$2,311,047-3.57%$2,761,456-3.57%0.08%
202010-1.53%$1,882,153-1.85%$2,265,419-2.16%$2,698,867-2.16%-0.61%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value20.05%27.37%33.02%
Large-cap Growth30.11%39.82%49.07%
Mid-cap Value3.27%3.73%5.59%
Mid-cap Growth3.48%4.73%5.38%
Small-cap Value0.33%1.04%2.71%
Small-cap Growth2.96%3.53%3.44%
Global ex-US Developed Markets0.36%0.47%0.58%
Emerging Markets0.47%0.36%0.21%
Corporate Bonds10.44%5.59%0.00%
Long-Term Treasuries1.11%0.00%0.00%
Intermediate-Term Treasuries8.28%4.27%0.00%
Short-Term Treasuries19.15%9.08%0.00%
R Squared99.80%99.84%99.82%
Style analysis is based on monthly returns from November 2010 to October 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%1.11%0.14%24.25$1,018,86299.51%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.83%0.15%6.79$193,1850.49%
100.00%1.40%0.14%24.256.79$1,212,047100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend80.00%1.11%0.14%24.25$1,486,029100.32%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond20.00%1.83%0.15%6.79$109,285-0.32%
100.00%1.25%0.14%24.256.79$1,595,313100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.11%0.14%24.25$2,028,761100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.76%0.92%1.08%
Arithmetic Mean (annualized)9.47%11.57%13.73%
Geometric Mean (monthly)0.73%0.87%1.00%
Geometric Mean (annualized)9.11%10.91%12.67%
Volatility (monthly)2.35%3.15%3.97%
Volatility (annualized)8.13%10.90%13.76%
Downside Deviation (monthly)1.43%1.96%2.50%
Max. Drawdown-11.94%-16.36%-20.89%
US Market Correlation0.991.001.00
Beta(*)0.580.791.00
Alpha (annualized)1.52%0.77%0.00%
R297.87%99.70%100.00%
Sharpe Ratio1.040.950.90
Sortino Ratio1.681.511.41
Treynor Ratio (%)14.5313.1612.34
Calmar Ratio0.680.550.48
Active Return-3.56%-1.76%0.00%
Tracking Error5.84%2.94%0.00%
Information Ratio-0.61-0.600.35
Skewness-0.51-0.51-0.49
Excess Kurtosis1.871.902.00
Historical Value-at-Risk (5%)-3.55%-4.92%-6.25%
Analytical Value-at-Risk (5%)-3.13%-4.26%-5.46%
Conditional Value-at-Risk (5%)-5.02%-6.88%-8.81%
Upside Capture Ratio (%)60.7080.01100.00
Downside Capture Ratio (%)56.1678.30100.00
Safe Withdrawal Rate13.74%14.83%15.92%
Perpetual Withdrawal Rate6.74%8.26%9.68%
Positive Periods87 out of 120 (72.50%)88 out of 120 (73.33%)85 out of 120 (70.83%)
Gain/Loss Ratio0.880.780.85
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
COVID-19 StartJan 2020Mar 2020-11.94%-16.36%-20.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-11.94%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
6Sep 2020Oct 20202 months-3.63%
7May 2012May 20121 monthAug 20123 months4 months-3.53%
8May 2019May 20191 monthJun 20191 month2 months-3.41%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.06%
10Oct 2016Oct 20161 monthDec 20162 months3 months-1.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-16.36%
2May 2011Sep 20115 monthsFeb 20125 months10 months-13.48%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-11.39%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-7.11%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.22%
6May 2019May 20191 monthJun 20191 month2 months-4.97%
7Sep 2020Oct 20202 months-4.65%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-4.64%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.46%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
2May 2011Sep 20115 monthsFeb 20125 months10 months-17.74%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Sep 2020Oct 20202 months-5.65%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv12.67%13.76%33.35%-5.26%-20.89%0.901.411.00
VBMFXVanguard Total Bond Market Index Inv3.38%3.08%8.61%-2.26%-3.76%0.911.63-0.11

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv1.00-0.110.991.001.00
VBMFXVanguard Total Bond Market Index Inv-0.111.000.03-0.06-0.11

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$1,018,862$1,486,029$2,028,761
VBMFXVanguard Total Bond Market Index Inv$193,185$109,285

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv99.51%100.32%100.00%
VBMFXVanguard Total Bond Market Index Inv0.49%-0.32%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.05%21.83%-4.38%10.84%26.24%-6.22%12.61%33.35%-9.34%
3 years8.99%14.54%4.76%11.00%18.70%4.41%12.96%22.91%3.88%
5 years8.44%10.90%5.02%10.27%13.55%5.38%12.06%16.20%5.62%
7 years8.96%10.76%6.88%10.95%13.73%7.92%12.89%16.71%8.82%