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 
Asset 1
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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 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1987 - Dec 2011)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 40.00%
VFINX Vanguard 500 Index Investor 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$78,802 8.61% 9.39%30.09%-12.05%-12.25% 0.510.83-0.08
Portfolio 2$10,000$88,949 9.14% 15.77%37.45%-37.02%-50.97% 0.390.550.99
Portfolio 3$10,000$97,908 9.56% 10.04%34.50%-13.21%-26.96% 0.580.850.90
   
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.
  • CAGR = Compound Annual Growth Rate
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Long-Term Treasury Inv (VUSTX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19874.43%-2.92%4.71%1.65%$9,708$10,471$10,165-2.92%4.71%
19884.42%9.15%16.22%13.39%$10,596$12,169$11,5279.15%16.22%
19894.65%17.93%31.36%25.99%$12,496$15,986$14,52317.93%31.36%
19906.11%5.78%-3.32%0.32%$13,219$15,454$14,5695.78%-3.32%
19913.06%17.43%30.22%25.11%$15,523$20,125$18,22717.43%30.22%
19922.90%7.41%7.42%7.42%$16,672$21,619$19,5787.41%7.42%
19932.75%16.79%9.89%12.65%$19,471$23,757$22,05516.79%9.89%
19942.67%-7.04%1.18%-2.11%$18,100$24,036$21,590-7.04%1.18%
19952.54%30.09%37.45%34.50%$23,547$33,037$29,03930.09%37.45%
19963.32%-1.26%22.88%13.22%$23,252$40,595$32,879-1.26%22.88%
19971.70%13.90%33.19%25.48%$26,484$54,069$41,25513.90%33.19%
19981.61%13.05%28.62%22.39%$29,941$69,541$50,49313.05%28.62%
19992.68%-8.66%21.07%9.18%$27,348$84,193$55,126-8.66%21.07%
20003.39%19.72%-9.06%2.46%$32,742$76,568$56,48019.72%-9.06%
20011.55%4.31%-12.02%-5.49%$34,152$67,362$53,3794.31%-12.02%
20022.38%16.67%-22.15%-6.62%$39,847$52,445$49,84616.67%-22.15%
20031.88%2.68%28.50%18.17%$40,914$67,393$58,9042.68%28.50%
20043.26%7.12%10.74%9.29%$43,827$74,631$64,3787.12%10.74%
20053.42%6.61%4.77%5.51%$46,723$78,194$67,9246.61%4.77%
20062.54%1.74%15.64%10.08%$47,538$90,425$74,7721.74%15.64%
20074.08%9.24%5.39%6.93%$51,932$95,296$79,9539.24%5.39%
20080.09%22.52%-37.02%-13.21%$63,625$60,016$69,39522.52%-37.02%
20092.72%-12.05%26.49%11.07%$55,959$75,912$77,078-12.05%26.49%
20101.50%8.93%14.91%12.52%$60,956$87,234$86,7288.93%14.91%
20112.96%29.28%1.97%12.89%$78,802$88,949$97,90829.28%1.97%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Long-Term Treasury Inv (VUSTX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
198711.30%13.27%8.48%$10,130$11,327$10,8481.30%13.27%
198721.07%3.97%2.89%$10,239$11,776$11,1611.07%3.97%
19873-1.58%2.86%1.23%$10,077$12,113$11,298-1.58%2.86%
19874-4.80%-0.99%-2.35%$9,594$11,992$11,033-4.80%-0.99%
19875-1.50%1.04%0.15%$9,450$12,117$11,050-1.50%1.04%
198761.44%5.02%3.80%$9,586$12,725$11,4701.44%5.02%
19877-1.11%4.91%2.90%$9,479$13,351$11,802-1.11%4.91%
19878-1.56%3.84%2.11%$9,331$13,863$12,051-1.56%3.84%
19879-3.72%-2.29%-2.73%$8,985$13,547$11,722-3.72%-2.29%
1987105.84%-21.73%-13.28%$9,509$10,603$10,1665.84%-21.73%
1987110.47%-8.19%-4.95%$9,554$9,735$9,6630.47%-8.19%
1987121.60%7.55%5.20%$9,708$10,471$10,1651.60%7.55%
198814.65%4.17%4.36%$10,159$10,908$10,6094.65%4.17%
198821.16%4.59%3.22%$10,277$11,408$10,9501.16%4.59%
19883-2.24%-3.04%-2.73%$10,047$11,061$10,652-2.24%-3.04%
19884-1.14%1.01%0.16%$9,932$11,173$10,669-1.14%1.01%
19885-1.59%0.81%-0.13%$9,774$11,264$10,655-1.59%0.81%
198864.09%4.56%4.38%$10,173$11,777$11,1224.09%4.56%
19887-1.90%-0.37%-0.96%$9,980$11,734$11,015-1.90%-0.37%
198880.40%-3.40%-1.96%$10,020$11,335$10,8000.40%-3.40%
198893.86%4.26%4.10%$10,407$11,817$11,2433.86%4.26%
1988102.45%2.73%2.62%$10,662$12,140$11,5372.45%2.73%
198811-1.88%-1.47%-1.63%$10,461$11,961$11,349-1.88%-1.47%
1988121.29%1.74%1.56%$10,596$12,169$11,5271.29%1.74%
198912.05%7.32%5.21%$10,813$13,060$12,1272.05%7.32%
19892-1.71%-2.47%-2.17%$10,628$12,737$11,864-1.71%-2.47%
198930.86%2.26%1.71%$10,719$13,025$12,0670.86%2.26%
198942.59%5.18%4.18%$10,997$13,701$12,5722.59%5.18%
198953.11%4.04%3.68%$11,339$14,253$13,0353.11%4.04%
198966.07%-0.59%1.93%$12,027$14,170$13,2876.07%-0.59%
198972.06%9.01%6.27%$12,275$15,446$14,1202.06%9.01%
19898-2.90%1.86%0.06%$11,919$15,733$14,128-2.90%1.86%
198990.15%-0.40%-0.20%$11,937$15,670$14,1000.15%-0.40%
1989103.88%-2.34%-0.05%$12,399$15,303$14,0933.88%-2.34%
1989110.83%2.04%1.58%$12,503$15,615$14,3150.83%2.04%
198912-0.05%2.38%1.45%$12,496$15,986$14,523-0.05%2.38%
19901-3.67%-6.72%-5.50%$12,038$14,912$13,724-3.67%-6.72%
19902-0.32%1.27%0.62%$11,999$15,102$13,810-0.32%1.27%
19903-0.26%2.61%1.45%$11,968$15,495$14,010-0.26%2.61%
19904-2.84%-2.50%-2.63%$11,629$15,108$13,641-2.84%-2.50%
199054.49%9.69%7.63%$12,151$16,572$14,6824.49%9.69%
199062.28%-0.66%0.47%$12,429$16,463$14,7522.28%-0.66%
199070.70%-0.35%0.06%$12,515$16,405$14,7600.70%-0.35%
19908-4.25%-9.03%-7.15%$11,984$14,923$13,706-4.25%-9.03%
199091.15%-4.89%-2.43%$12,122$14,194$13,3721.15%-4.89%
1990102.15%-0.41%0.67%$12,383$14,135$13,4622.15%-0.41%
1990114.60%6.44%5.65%$12,953$15,046$14,2234.60%6.44%
1990122.05%2.72%2.44%$13,219$15,454$14,5692.05%2.72%
199111.09%4.35%3.05%$13,362$16,127$15,0131.09%4.35%
199120.50%7.12%4.52%$13,429$17,275$15,6920.50%7.12%
199130.27%2.41%1.60%$13,466$17,690$15,9430.27%2.41%
199141.28%0.20%0.60%$13,639$17,725$16,0391.28%0.20%
19915-0.14%4.27%2.62%$13,619$18,482$16,458-0.14%4.27%
19916-0.78%-4.56%-3.18%$13,512$17,640$15,935-0.78%-4.56%
199171.53%4.63%3.47%$13,719$18,456$16,4871.53%4.63%
199183.49%2.33%2.76%$14,197$18,886$16,9423.49%2.33%
199192.95%-1.67%0.04%$14,616$18,571$16,9482.95%-1.67%
199110-0.08%1.33%0.79%$14,605$18,818$17,083-0.08%1.33%
1991110.02%-4.01%-2.49%$14,608$18,063$16,6570.02%-4.01%
1991126.26%11.41%9.42%$15,523$20,125$18,2276.26%11.41%
19921-3.21%-1.88%-2.41%$15,024$19,746$17,787-3.21%-1.88%
199220.64%1.24%1.00%$15,120$19,992$17,9650.64%1.24%
19923-1.10%-1.93%-1.60%$14,954$19,607$17,678-1.10%-1.93%
19924-0.07%2.91%1.73%$14,943$20,178$17,983-0.07%2.91%
199252.70%0.48%1.35%$15,346$20,276$18,2262.70%0.48%
199261.12%-1.49%-0.46%$15,517$19,973$18,1421.12%-1.49%
199274.02%4.04%4.03%$16,141$20,781$18,8744.02%4.04%
199280.71%-2.07%-0.95%$16,255$20,351$18,6940.71%-2.07%
199291.36%1.17%1.25%$16,476$20,589$18,9271.36%1.17%
199210-1.89%0.33%-0.58%$16,165$20,657$18,817-1.89%0.33%
1992110.50%3.40%2.23%$16,245$21,360$19,2370.50%3.40%
1992122.63%1.21%1.77%$16,672$21,619$19,5782.63%1.21%
199312.85%0.81%1.62%$17,147$21,793$19,8962.85%0.81%
199323.20%1.36%2.10%$17,696$22,088$20,3143.20%1.36%
199330.19%2.11%1.32%$17,730$22,554$20,5830.19%2.11%
199340.76%-2.42%-1.14%$17,865$22,007$20,3490.76%-2.42%
199350.38%2.65%1.72%$17,933$22,591$20,6990.38%2.65%
199364.17%0.27%1.85%$18,680$22,651$21,0824.17%0.27%
199371.39%-0.42%0.33%$18,940$22,555$21,1521.39%-0.42%
199383.99%3.79%3.87%$19,696$23,409$21,9713.99%3.79%
199390.33%-0.79%-0.32%$19,760$23,223$21,9010.33%-0.79%
1993100.62%2.08%1.46%$19,882$23,706$22,2200.62%2.08%
199311-2.48%-1.00%-1.62%$19,389$23,470$21,860-2.48%-1.00%
1993120.42%1.22%0.89%$19,471$23,757$22,0550.42%1.22%
199412.23%3.38%2.92%$19,906$24,559$22,6992.23%3.38%
19942-3.99%-2.71%-3.22%$19,111$23,893$21,967-3.99%-2.71%
19943-3.82%-4.39%-4.17%$18,380$22,844$21,052-3.82%-4.39%
19944-1.29%1.29%0.27%$18,144$23,139$21,109-1.29%1.29%
19945-0.47%1.60%0.80%$18,059$23,510$21,277-0.47%1.60%
19946-0.81%-2.45%-1.82%$17,912$22,935$20,891-0.81%-2.45%
199472.94%3.28%3.15%$18,438$23,686$21,5482.94%3.28%
19948-0.67%4.08%2.24%$18,315$24,652$22,030-0.67%4.08%
19949-3.00%-2.45%-2.65%$17,766$24,049$21,445-3.00%-2.45%
199410-0.36%2.25%1.27%$17,703$24,589$21,717-0.36%2.25%
1994110.62%-3.65%-2.08%$17,813$23,690$21,2660.62%-3.65%
1994121.62%1.46%1.52%$18,100$24,036$21,5901.62%1.46%
199512.62%2.58%2.60%$18,575$24,657$22,1502.62%2.58%
199522.73%3.88%3.42%$19,082$25,614$22,9082.73%3.88%
199530.72%2.95%2.07%$19,220$26,370$23,3820.72%2.95%
199541.65%2.94%2.44%$19,538$27,146$23,9511.65%2.94%
199557.52%3.95%5.34%$21,008$28,219$25,2317.52%3.95%
199561.13%2.31%1.84%$21,245$28,872$25,6961.13%2.31%
19957-1.40%3.30%1.45%$20,948$29,826$26,068-1.40%3.30%
199582.05%0.26%0.95%$21,378$29,905$26,3162.05%0.26%
199591.81%4.21%3.28%$21,766$31,164$27,1791.81%4.21%
1995102.97%-0.36%0.91%$22,411$31,051$27,4262.97%-0.36%
1995112.31%4.38%3.57%$22,929$32,411$28,4062.31%4.38%
1995122.70%1.93%2.23%$23,547$33,037$29,0392.70%1.93%
19961-0.05%3.39%2.01%$23,535$34,156$29,623-0.05%3.39%
19962-4.93%0.92%-1.37%$22,375$34,471$29,217-4.93%0.92%
19963-1.98%0.98%-0.14%$21,933$34,808$29,177-1.98%0.98%
19964-1.78%1.46%0.26%$21,543$35,315$29,251-1.78%1.46%
19965-0.46%2.54%1.45%$21,444$36,213$29,677-0.46%2.54%
199662.14%0.38%1.01%$21,902$36,352$29,9762.14%0.38%
19967-0.05%-4.42%-2.85%$21,891$34,745$29,123-0.05%-4.42%
19968-1.29%2.10%0.84%$21,608$35,473$29,367-1.29%2.10%
199692.79%5.61%4.58%$22,211$37,462$30,7132.79%5.61%
1996103.88%2.76%3.16%$23,073$38,494$31,6833.88%2.76%
1996113.24%7.56%6.01%$23,820$41,406$33,5873.24%7.56%
199612-2.38%-1.96%-2.11%$23,252$40,595$32,879-2.38%-1.96%
19971-0.65%6.22%3.47%$23,099$43,119$34,019-0.65%6.22%
19972-0.11%0.79%0.44%$23,075$43,459$34,171-0.11%0.79%
19973-2.29%-4.14%-3.43%$22,545$41,662$32,998-2.29%-4.14%
199742.35%5.96%4.56%$23,075$44,143$34,5032.35%5.96%
199750.98%6.09%4.16%$23,301$46,830$35,9370.98%6.09%
199761.78%4.45%3.47%$23,716$48,916$37,1851.78%4.45%
199775.34%7.97%7.02%$24,981$52,812$39,7945.34%7.97%
19978-2.57%-5.61%-4.53%$24,338$49,850$37,991-2.57%-5.61%
199792.63%5.47%4.44%$24,979$52,576$39,6792.63%5.47%
1997102.99%-3.35%-1.09%$25,726$50,815$39,2452.99%-3.35%
1997111.27%4.60%3.36%$26,053$53,152$40,5651.27%4.60%
1997121.66%1.72%1.70%$26,484$54,069$41,2551.66%1.72%
199811.91%1.11%1.43%$26,991$54,669$41,8451.91%1.11%
19982-0.75%7.19%4.00%$26,787$58,601$43,519-0.75%7.19%
199830.14%5.10%3.20%$26,825$61,592$44,9120.14%5.10%
199840.40%1.01%0.78%$26,934$62,212$45,2630.40%1.01%
199851.83%-1.74%-0.42%$27,428$61,128$45,0751.83%-1.74%
199862.35%4.07%3.42%$28,073$63,616$46,6162.35%4.07%
19987-0.51%-1.05%-0.85%$27,928$62,946$46,219-0.51%-1.05%
199884.83%-14.47%-7.21%$29,277$53,835$42,8884.83%-14.47%
199893.29%6.41%5.08%$30,239$57,287$45,0683.29%6.41%
199810-1.69%8.16%4.04%$29,726$61,964$46,890-1.69%8.16%
1998110.88%6.07%4.02%$29,989$65,726$48,7760.88%6.07%
199812-0.16%5.81%3.52%$29,941$69,541$50,493-0.16%5.81%
199910.98%4.20%2.92%$30,235$72,465$51,9640.98%4.20%
19992-4.76%-3.12%-3.76%$28,797$70,201$50,008-4.76%-3.12%
19993-0.34%4.00%2.31%$28,698$73,006$51,164-0.34%4.00%
199940.19%3.85%2.47%$28,753$75,818$52,4260.19%3.85%
19995-1.68%-2.39%-2.13%$28,270$74,007$51,311-1.68%-2.39%
19996-1.05%5.56%3.10%$27,972$78,119$52,901-1.05%5.56%
19997-0.58%-3.13%-2.22%$27,810$75,674$51,726-0.58%-3.13%
19998-0.49%-0.50%-0.49%$27,674$75,298$51,471-0.49%-0.50%
199990.91%-2.74%-1.42%$27,925$73,235$50,7420.91%-2.74%
1999100.12%6.33%4.02%$27,958$77,869$52,7830.12%6.33%
199911-0.59%2.02%1.09%$27,793$79,444$53,358-0.59%2.02%
199912-1.60%5.98%3.31%$27,348$84,193$55,126-1.60%5.98%
200011.25%-5.03%-2.52%$27,691$79,956$53,7391.25%-5.03%
200022.96%-1.91%0.11%$28,510$78,432$53,8002.96%-1.91%
200033.14%9.76%6.93%$29,404$86,087$57,5283.14%9.76%
20004-0.66%-3.01%-2.04%$29,209$83,499$56,354-0.66%-3.01%
20005-0.46%-2.04%-1.38%$29,076$81,797$55,578-0.46%-2.04%
200062.30%2.49%2.41%$29,744$83,832$56,9162.30%2.49%
200071.49%-1.49%-0.24%$30,186$82,582$56,7821.49%-1.49%
200082.08%6.19%4.43%$30,813$87,694$59,2952.08%6.19%
20009-0.85%-5.29%-3.43%$30,550$83,055$57,261-0.85%-5.29%
2000101.57%-0.43%0.43%$31,029$82,698$57,5071.57%-0.43%
2000112.99%-7.88%-3.15%$31,958$76,183$55,6962.99%-7.88%
2000122.45%0.50%1.41%$32,742$76,568$56,4802.45%0.50%
200110.28%3.55%2.24%$32,835$79,283$57,7450.28%3.55%
200121.80%-9.14%-4.85%$33,426$72,038$54,9471.80%-9.14%
20013-0.60%-6.36%-3.94%$33,224$67,459$52,781-0.60%-6.36%
20014-2.56%7.77%3.28%$32,373$72,701$54,513-2.56%7.77%
200150.21%0.65%0.47%$32,439$73,173$54,7680.21%0.65%
200160.76%-2.45%-1.14%$32,686$71,384$54,1460.76%-2.45%
200173.61%-1.00%0.92%$33,866$70,670$54,6453.61%-1.00%
200182.02%-6.27%-2.73%$34,552$66,236$53,1562.02%-6.27%
200190.88%-8.09%-4.07%$34,856$60,877$50,9940.88%-8.09%
2001105.12%1.90%3.42%$36,641$62,031$52,7365.12%1.90%
200111-5.07%7.65%1.56%$34,785$66,779$53,556-5.07%7.65%
200112-1.82%0.87%-0.33%$34,152$67,362$53,379-1.82%0.87%
200211.20%-1.47%-0.40%$34,562$66,370$53,1631.20%-1.47%
200221.24%-1.94%-0.64%$34,992$65,085$52,8201.24%-1.94%
20023-3.86%3.74%0.60%$33,642$67,521$53,135-3.86%3.74%
200243.73%-6.07%-2.19%$34,899$63,419$51,9713.73%-6.07%
200250.39%-0.75%-0.27%$35,035$62,941$51,8280.39%-0.75%
200261.76%-7.13%-3.38%$35,650$58,450$50,0781.76%-7.13%
200272.93%-7.72%-2.98%$36,694$53,939$48,5862.93%-7.72%
200284.28%0.65%2.37%$38,265$54,291$49,7354.28%0.65%
200294.02%-10.87%-3.71%$39,801$48,387$47,8884.02%-10.87%
200210-2.84%8.78%2.75%$38,672$52,636$49,203-2.84%8.78%
200211-0.98%5.88%2.51%$38,295$55,729$50,437-0.98%5.88%
2002124.05%-5.89%-1.17%$39,847$52,445$49,8464.05%-5.89%
20031-0.45%-2.62%-1.75%$39,669$51,068$48,972-0.45%-2.62%
200323.03%-1.52%0.32%$40,870$50,293$49,1313.03%-1.52%
20033-1.13%0.96%0.09%$40,407$50,774$49,173-1.13%0.96%
200340.91%8.25%5.23%$40,773$54,965$51,7470.91%8.25%
200355.67%5.26%5.43%$43,087$57,858$54,5545.67%5.26%
20036-1.48%1.26%0.18%$42,447$58,587$54,650-1.48%1.26%
20037-8.57%1.74%-2.27%$38,808$59,609$53,412-8.57%1.74%
200381.43%1.93%1.75%$39,361$60,761$54,3461.43%1.93%
200395.07%-1.07%1.15%$41,356$60,109$54,9725.07%-1.07%
200310-2.58%5.64%2.55%$40,289$63,500$56,372-2.58%5.64%
2003110.31%0.86%0.67%$40,416$64,049$56,7490.31%0.86%
2003121.23%5.22%3.80%$40,914$67,393$58,9041.23%5.22%
200411.74%1.82%1.79%$41,627$68,620$59,9591.74%1.82%
200421.96%1.38%1.61%$42,444$69,565$60,9251.96%1.38%
200431.45%-1.51%-0.33%$43,057$68,512$60,7261.45%-1.51%
20044-5.52%-1.58%-3.19%$40,681$67,432$58,791-5.52%-1.58%
20045-0.56%1.36%0.59%$40,454$68,348$59,141-0.56%1.36%
200460.87%1.93%1.51%$40,806$69,667$60,0350.87%1.93%
200471.52%-3.31%-1.42%$41,425$67,360$59,1821.52%-3.31%
200483.39%0.38%1.59%$42,828$67,618$60,1253.39%0.38%
200490.94%1.07%1.01%$43,228$68,339$60,7340.94%1.07%
2004101.46%1.51%1.49%$43,860$69,374$61,6401.46%1.51%
200411-2.25%4.05%1.47%$42,873$72,181$62,544-2.25%4.05%
2004122.22%3.39%2.93%$43,827$74,631$64,3782.22%3.39%
200512.59%-2.45%-0.44%$44,963$72,799$64,0982.59%-2.45%
20052-1.24%2.09%0.72%$44,406$74,323$64,559-1.24%2.09%
20053-0.76%-1.76%-1.35%$44,070$73,015$63,685-0.76%-1.76%
200543.22%-1.91%0.18%$45,491$71,619$63,7973.22%-1.91%
200552.55%3.17%2.91%$46,651$73,888$65,6532.55%3.17%
200561.64%0.13%0.76%$47,417$73,982$66,1521.64%0.13%
20057-2.58%3.71%1.06%$46,194$76,724$66,852-2.58%3.71%
200582.87%-0.91%0.62%$47,521$76,023$67,2692.87%-0.91%
20059-2.78%0.79%-0.69%$46,201$76,627$66,806-2.78%0.79%
200510-1.74%-1.68%-1.70%$45,398$75,340$65,668-1.74%-1.68%
2005110.57%3.76%2.47%$45,659$78,177$67,2900.57%3.76%
2005122.33%0.02%0.94%$46,723$78,194$67,9242.33%0.02%
20061-0.90%2.65%1.23%$46,303$80,262$68,758-0.90%2.65%
200620.81%0.26%0.48%$46,676$80,473$69,0850.81%0.26%
20063-3.39%1.23%-0.59%$45,092$81,464$68,680-3.39%1.23%
20064-1.96%1.33%0.08%$44,209$82,550$68,732-1.96%1.33%
20065-0.03%-2.90%-1.82%$44,196$80,159$67,479-0.03%-2.90%
200660.71%0.13%0.35%$44,508$80,261$67,7140.71%0.13%
200671.84%0.61%1.08%$45,327$80,748$68,4441.84%0.61%
200682.74%2.36%2.51%$46,568$82,656$70,1592.74%2.36%
200691.58%2.56%2.18%$47,303$84,774$71,6911.58%2.56%
2006100.77%3.25%2.30%$47,667$87,530$73,3390.77%3.25%
2006111.91%1.89%1.90%$48,576$89,184$74,7291.91%1.89%
200612-2.14%1.39%0.06%$47,538$90,425$74,772-2.14%1.39%
20071-0.85%1.49%0.56%$47,135$91,775$75,188-0.85%1.49%
200722.93%-1.97%-0.04%$48,515$89,968$75,1602.93%-1.97%
20073-1.13%1.11%0.20%$47,968$90,968$75,312-1.13%1.11%
200740.86%4.42%2.99%$48,378$94,987$77,5640.86%4.42%
20075-1.93%3.48%1.36%$47,444$98,289$78,615-1.93%3.48%
20076-0.88%-1.68%-1.38%$47,025$96,642$77,534-0.88%-1.68%
200772.39%-3.08%-1.00%$48,147$93,661$76,7612.39%-3.08%
200781.97%1.50%1.69%$49,097$95,064$78,0551.97%1.50%
200790.21%3.72%2.33%$49,201$98,604$79,8770.21%3.72%
2007101.40%1.58%1.51%$49,890$100,161$81,0821.40%1.58%
2007114.59%-4.19%-0.79%$52,182$95,967$80,4444.59%-4.19%
200712-0.48%-0.70%-0.61%$51,932$95,296$79,953-0.48%-0.70%
200812.64%-6.02%-2.55%$53,304$89,563$77,9132.64%-6.02%
200820.35%-3.25%-1.73%$53,490$86,651$76,5610.35%-3.25%
200831.02%-0.44%0.19%$54,037$86,269$76,7061.02%-0.44%
20084-1.84%4.85%1.95%$53,043$90,457$78,202-1.84%4.85%
20085-2.13%1.29%-0.14%$51,914$91,626$78,095-2.13%1.29%
200861.80%-8.44%-4.25%$52,848$83,895$74,7781.80%-8.44%
200870.30%-0.83%-0.34%$53,004$83,197$74,5230.30%-0.83%
200881.80%1.45%1.60%$53,961$84,400$75,7181.80%1.45%
200890.28%-8.91%-4.87%$54,113$76,883$72,0280.28%-8.91%
200810-3.63%-16.79%-10.70%$52,150$63,973$64,320-3.63%-16.79%
20081112.07%-7.17%2.43%$58,443$59,383$65,88512.07%-7.17%
2008128.87%1.07%5.33%$63,625$60,016$69,3958.87%1.07%
20091-8.47%-8.41%-8.44%$58,236$54,968$63,541-8.47%-8.41%
20092-1.01%-10.66%-6.80%$57,648$49,110$59,221-1.01%-10.66%
200935.27%8.76%7.28%$60,684$53,412$63,5295.27%8.76%
20094-4.99%9.56%3.50%$57,656$58,517$65,751-4.99%9.56%
20095-2.68%5.62%2.44%$56,113$61,805$67,358-2.68%5.62%
200960.70%0.22%0.40%$56,507$61,940$67,6240.70%0.22%
200970.80%7.58%5.11%$56,959$66,634$71,0780.80%7.58%
200981.68%3.60%2.93%$57,917$69,032$73,1591.68%3.60%
200991.98%3.72%3.12%$59,066$71,598$75,4411.98%3.72%
200910-1.45%-1.87%-1.73%$58,207$70,261$74,138-1.45%-1.87%
2009111.91%5.98%4.59%$59,316$74,464$77,5381.91%5.98%
200912-5.66%1.95%-0.59%$55,959$75,912$77,078-5.66%1.95%
201012.66%-3.60%-1.10%$57,448$73,177$76,2322.66%-3.60%
20102-0.21%3.09%1.72%$57,329$75,439$77,544-0.21%3.09%
20103-1.51%6.01%2.95%$56,462$79,976$79,831-1.51%6.01%
201042.76%1.58%2.04%$58,019$81,238$81,4582.76%1.58%
201054.23%-8.01%-3.20%$60,475$74,734$78,8494.23%-8.01%
201064.67%-5.24%-1.05%$63,297$70,819$78,0184.67%-5.24%
20107-0.17%7.00%3.79%$63,188$75,773$80,977-0.17%7.00%
201087.08%-4.53%0.46%$67,661$72,341$81,3507.08%-4.53%
20109-1.82%8.92%4.00%$66,429$78,793$84,601-1.82%8.92%
201010-3.29%3.79%0.73%$64,244$81,778$85,216-3.29%3.79%
201011-1.60%0.00%-0.66%$63,217$81,778$84,651-1.60%0.00%
201012-3.58%6.67%2.45%$60,956$87,234$86,728-3.58%6.67%
20111-2.38%2.36%0.46%$59,508$89,290$87,131-2.38%2.36%
201121.24%3.42%2.57%$60,243$92,340$89,3691.24%3.42%
201130.02%0.03%0.02%$60,256$92,364$89,3900.02%0.03%
201142.04%2.95%2.60%$61,485$95,087$91,7142.04%2.95%
201153.29%-1.15%0.55%$63,509$93,997$92,2163.29%-1.15%
20116-2.00%-1.67%-1.80%$62,241$92,426$90,557-2.00%-1.67%
201174.18%-2.05%0.39%$64,843$90,534$90,9094.18%-2.05%
201188.68%-5.45%0.29%$70,472$85,603$91,1718.68%-5.45%
2011910.16%-7.04%0.53%$77,634$79,574$91,65110.16%-7.04%
201110-3.34%10.91%4.04%$75,045$88,259$95,358-3.34%10.91%
2011111.82%-0.23%0.68%$76,408$88,053$96,0111.82%-0.23%
2011123.13%1.02%1.98%$78,802$88,949$97,9083.13%1.02%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%47.46%27.40%
Large-cap Growth1.53%51.90%32.83%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%0.05%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.33%0.15%0.27%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries64.33%0.00%25.71%
Intermediate-Term Treasuries33.81%0.45%13.79%
Short-Term Treasuries0.00%0.00%0.00%
R Squared98.14%99.90%99.38%
Style analysis is based on monthly returns from Apr 2005 to Dec 2011 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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government100.00%0.20%18.41$68,802100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%22.72$78,949100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government40.00%0.20%18.41$41,15312.97%
VFINXVanguard 500 Index InvestorLarge Blend60.00%0.14%22.72$46,75587.03%
100.00%0.16%22.7218.41$87,908100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (c) 2020 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)0.73%0.84%0.81%
Arithmetic Mean (annualized)9.08%10.52%10.11%
Geometric Mean (monthly)0.69%0.73%0.76%
Geometric Mean (annualized)8.61%9.14%9.56%
Volatility (monthly)2.71%4.55%2.90%
Volatility (annualized)9.39%15.77%10.04%
Downside Deviation (monthly)1.53%3.10%1.83%
Max. Drawdown-12.25%-50.97%-26.96%
US Market Correlation-0.080.990.90
Beta(*)-0.050.980.56
Alpha (annualized)9.17%0.27%4.03%
R20.59%97.66%80.14%
Sharpe Ratio0.510.390.58
Sortino Ratio0.830.550.85
Treynor Ratio (%)-106.956.2910.25
Calmar Ratio0.610.770.83
Active Return-0.45%0.08%0.50%
Tracking Error19.13%2.44%8.28%
Information Ratio-0.020.030.06
Skewness0.18-0.81-0.71
Excess Kurtosis1.772.482.53
Historical Value-at-Risk (5%)-3.66%-7.69%-3.93%
Analytical Value-at-Risk (5%)-3.73%-6.65%-3.95%
Conditional Value-at-Risk (5%)-5.07%-10.56%-6.31%
Upside Capture Ratio (%)17.1697.1964.01
Downside Capture Ratio (%)-20.5796.2550.14
Safe Withdrawal Rate7.01%9.95%8.96%
Perpetual Withdrawal Rate5.26%5.72%6.08%
Positive Periods188 out of 300 (62.67%)190 out of 300 (63.33%)202 out of 300 (67.33%)
Gain/Loss Ratio1.200.931.00
* 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
Black Monday PeriodSep 1987Nov 1987-3.72%-29.78%-19.81%
Asian CrisisJul 1997Jan 1998-2.57%-5.61%-4.53%
Russian Debt DefaultJul 1998Oct 1998-1.69%-15.38%-8.00%
Dotcom CrashMar 2000Oct 2002-8.18%-44.82%-19.24%
Subprime CrisisNov 2007Mar 2009-9.39%-50.97%-26.96%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1987Sep 19877 monthsFeb 19885 months1 year-12.25%
2Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
3Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.05%
4Feb 1994Oct 19949 monthsMay 19957 months1 year 4 months-11.07%
5Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
6Oct 1998Dec 19991 year 3 monthsAug 20008 months1 year 11 months-9.56%
7Jan 1996May 19965 monthsNov 19966 months11 months-8.93%
8Nov 2001Mar 20025 monthsJul 20024 months9 months-8.18%
9Sep 2005May 20069 monthsOct 20065 months1 year 2 months-7.00%
10Dec 1989Apr 19905 monthsJul 19903 months8 months-6.99%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-26.96%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-19.81%
3Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-19.24%
4Aug 1990Sep 19902 monthsJan 19914 months6 months-9.41%
5Jul 1998Aug 19982 monthsOct 19982 months4 months-8.00%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.97%
7Jan 1990Apr 19904 monthsMay 19901 month5 months-6.07%
8Aug 1997Aug 19971 monthNov 19973 months4 months-4.53%
9May 2010Jun 20102 monthsSep 20103 months5 months-4.22%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-4.08%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VUSTXVanguard Long-Term Treasury Inv8.61%9.39%30.09%-12.05%-12.25%0.510.83-0.08
VFINXVanguard 500 Index Investor9.14%15.77%37.45%-37.02%-50.97%0.390.550.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVUSTXVFINXPortfolio 1Portfolio 2Portfolio 3
VUSTXVanguard Long-Term Treasury Inv1.00-0.051.00-0.050.34
VFINXVanguard 500 Index Investor-0.051.00-0.051.000.92

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VUSTXVanguard Long-Term Treasury Inv$68,802$41,153
VFINXVanguard 500 Index Investor$78,949$46,755

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VUSTXVanguard Long-Term Treasury Inv100.00%12.97%
VFINXVanguard 500 Index Investor100.00%87.03%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.14%30.09%-12.05%10.76%37.45%-37.02%10.11%34.50%-13.21%
3 years8.44%13.78%4.48%9.94%31.03%-14.60%9.81%24.09%-3.30%
5 years8.52%12.94%5.01%9.62%28.49%-2.38%9.70%20.62%3.13%
7 years8.40%12.08%4.97%9.73%21.44%-1.64%9.73%16.03%3.82%
10 years8.38%10.95%6.41%9.83%19.04%-1.46%9.81%15.92%3.23%
15 years8.36%9.87%6.55%9.69%13.56%5.37%9.76%11.81%7.55%
Result statistics are based on annualized rolling returns over full calendar year periods