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 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1997 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 34.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 44.00%
VGTSX Vanguard Total Intl Stock Index Inv 22.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 15.00%
VGTSX Vanguard Total Intl Stock Index Inv 5.00%
VEIPX Vanguard Equity-Income Inv 21.00%
VFICX Vanguard Interm-Term Invmt-Grade Inv 32.00%
VUSTX Vanguard Long-Term Treasury Inv 27.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$36,549 6.69% 10.25%24.02%-24.28%-36.01% 0.480.680.97
Portfolio 2$10,000$43,515 7.63% 6.09%20.19%-9.84%-18.82% 0.891.460.67
Portfolio 3$10,000$42,714 7.53% 6.53%17.77%-10.15%-20.88% 0.821.250.74
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Wellesley Income Inv (VWINX)Vanguard Equity-Income Inv (VEIPX)Vanguard Interm-Term Invmt-Grade Inv (VFICX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19971.70%16.68%20.19%17.77%$11,668$12,019$11,7779.44%30.99%-0.77%20.19%31.17%8.94%13.90%
19981.61%16.59%11.84%14.09%$13,603$13,442$13,4378.58%23.26%15.60%11.84%17.34%8.30%13.05%
19992.68%16.80%-4.14%2.20%$15,889$12,886$13,732-0.76%23.81%29.92%-4.14%-0.19%-1.53%-8.66%
20003.39%-4.21%16.17%9.23%$15,219$14,970$15,00011.39%-10.57%-15.61%16.17%13.57%10.70%19.72%
20011.55%-6.39%7.39%1.03%$14,246$16,076$15,1558.43%-10.97%-20.15%7.39%-2.34%9.42%4.31%
20022.38%-9.73%4.64%0.61%$12,859$16,822$15,2478.26%-20.96%-15.08%4.64%-15.65%10.28%16.67%
20031.88%24.02%9.66%14.73%$15,948$18,446$17,4933.97%31.35%40.34%9.66%25.14%6.29%2.68%
20043.26%11.53%7.55%9.21%$17,787$19,840$19,1044.24%12.51%20.84%7.55%13.56%4.75%7.12%
20053.42%6.87%3.48%5.01%$19,010$20,531$20,0612.40%5.98%15.57%3.48%4.37%1.97%6.61%
20062.54%14.14%11.28%9.88%$21,697$22,846$22,0424.27%15.51%26.64%11.28%20.62%4.43%1.74%
20074.08%8.18%5.61%7.08%$23,472$24,127$23,6036.92%5.49%15.52%5.61%4.86%6.14%9.24%
20080.09%-24.28%-9.84%-10.15%$17,773$21,752$21,2075.05%-37.04%-44.10%-9.84%-30.95%-6.16%22.52%
20092.72%22.72%16.02%12.15%$21,812$25,238$23,7845.93%28.70%36.73%16.02%17.10%17.73%-12.05%
20101.50%12.15%10.65%12.01%$24,462$27,925$26,6396.42%17.09%11.12%10.65%14.88%10.47%8.93%
20112.96%-0.21%9.63%11.95%$24,411$30,614$29,8247.56%0.96%-14.56%9.63%10.60%7.52%29.28%
20121.74%12.52%10.06%10.04%$27,467$33,692$32,8174.05%16.25%18.14%10.06%13.49%9.14%3.47%
20131.50%17.21%9.19%8.12%$32,195$36,788$35,480-2.26%33.35%15.04%9.19%30.07%-1.37%-13.03%
20140.76%6.49%8.07%12.71%$34,286$39,755$39,9885.76%12.43%-4.24%8.07%11.29%5.81%25.28%
20150.73%-0.73%1.28%0.06%$34,035$40,262$40,0130.30%0.29%-4.37%1.28%0.77%1.53%-1.54%
20162.07%7.39%8.08%6.75%$36,549$43,515$42,7142.50%12.53%4.65%8.08%14.70%3.83%1.20%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Wellesley Income Inv (VWINX)Vanguard Equity-Income Inv (VEIPX)Vanguard Interm-Term Invmt-Grade Inv (VFICX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199711.97%1.32%1.42%$10,197$10,132$10,1420.25%5.46%-2.37%1.32%3.88%0.25%-0.65%
199720.37%0.67%0.60%$10,234$10,200$10,2030.11%-0.11%1.82%0.67%2.31%0.20%-0.11%
19973-2.36%-2.55%-2.40%$9,993$9,939$9,959-0.97%-4.45%-0.10%-2.55%-3.16%-1.29%-2.29%
199742.54%2.16%2.39%$10,246$10,154$10,1971.49%4.50%0.20%2.16%2.78%1.50%2.35%
199754.90%2.65%3.06%$10,748$10,423$10,5090.87%7.10%6.54%2.65%5.09%0.88%0.98%
199763.56%2.20%2.69%$11,131$10,652$10,7921.16%4.37%5.40%2.20%3.90%1.27%1.78%
199774.84%5.97%4.80%$11,670$11,288$11,3102.80%7.77%1.59%5.97%5.32%2.93%5.34%
19978-3.88%-2.28%-2.71%$11,217$11,030$11,003-0.85%-3.72%-8.60%-2.28%-3.00%-1.07%-2.57%
199794.34%3.71%3.53%$11,704$11,439$11,3911.45%5.77%5.51%3.71%5.16%1.55%2.63%
199710-3.07%0.67%-0.29%$11,345$11,516$11,3581.45%-3.40%-9.10%0.67%-1.93%1.36%2.99%
1997111.49%2.40%1.99%$11,513$11,792$11,5850.33%3.33%-1.19%2.40%5.13%0.03%1.27%
1997121.34%1.93%1.66%$11,668$12,019$11,7771.04%1.70%0.92%1.93%2.53%1.07%1.66%
199811.31%0.78%1.24%$11,821$12,112$11,9231.32%0.44%3.04%0.78%0.18%1.45%1.91%
199824.71%1.23%2.21%$12,378$12,261$12,186-0.10%7.34%6.88%1.23%4.99%-0.21%-0.75%
199833.11%2.56%2.29%$12,762$12,575$12,4640.33%5.06%3.22%2.56%5.44%0.40%0.14%
199840.78%0.00%0.35%$12,862$12,575$12,5080.51%1.10%0.53%0.00%-0.69%0.63%0.40%
19985-1.26%0.81%-0.11%$12,700$12,676$12,4941.02%-2.71%-1.51%0.81%-1.63%0.94%1.83%
199861.79%1.11%1.59%$12,928$12,817$12,6930.81%3.54%-0.27%1.11%1.08%0.62%2.35%
19987-0.73%-1.29%-0.80%$12,834$12,652$12,5920.23%-2.27%1.08%-1.29%-1.98%0.23%-0.51%
19988-9.55%-2.39%-3.60%$11,608$12,350$12,1391.90%-15.65%-13.66%-2.39%-9.81%1.23%4.83%
199893.07%5.49%4.18%$11,965$13,028$12,6461.96%6.68%-2.07%5.49%7.04%3.10%3.29%
1998105.29%0.31%1.80%$12,597$13,069$12,874-0.55%7.51%10.77%0.31%5.96%-1.43%-1.69%
1998114.06%2.38%2.56%$13,109$13,380$13,2050.49%6.17%5.34%2.38%4.64%0.51%0.88%
1998123.77%0.46%1.76%$13,603$13,442$13,4370.38%6.45%3.26%0.46%2.12%0.59%-0.16%
199911.74%-0.54%0.74%$13,839$13,369$13,5360.79%3.65%-0.63%-0.54%-1.58%0.92%0.98%
19992-2.73%-2.86%-3.13%$13,461$12,987$13,113-1.77%-3.73%-2.16%-2.86%-1.73%-2.51%-4.76%
199933.01%0.81%1.49%$13,866$13,092$13,3090.56%3.93%4.97%0.81%2.13%0.90%-0.34%
199943.35%3.22%2.71%$14,330$13,514$13,6700.40%4.68%5.08%3.22%7.50%0.30%0.19%
19995-2.31%-0.69%-1.57%$13,999$13,421$13,456-0.88%-2.00%-5.00%-0.69%-0.65%-1.32%-1.68%
199963.14%-0.07%1.24%$14,439$13,411$13,623-0.50%5.16%4.39%-0.07%2.83%-0.52%-1.05%
19997-1.10%-1.64%-1.24%$14,280$13,191$13,455-0.39%-3.20%2.27%-1.64%-2.49%-0.40%-0.58%
19998-0.37%-0.95%-0.98%$14,227$13,065$13,323-0.08%-0.92%0.33%-0.95%-2.71%-0.39%-0.49%
19999-0.51%-0.53%-0.49%$14,154$12,996$13,2581.26%-2.44%0.82%-0.53%-3.42%1.21%0.91%
1999103.76%0.88%2.25%$14,687$13,110$13,5560.33%6.29%3.74%0.88%4.06%0.47%0.12%
1999112.51%-0.68%0.37%$15,055$13,021$13,6060.02%3.42%4.08%-0.68%-1.79%0.34%-0.59%
1999125.54%-1.04%0.92%$15,889$12,886$13,732-0.48%7.59%9.37%-1.04%-1.75%-0.49%-1.60%
20001-3.27%-1.01%-1.44%$15,369$12,756$13,534-0.17%-4.18%-6.22%-1.01%-3.58%-0.28%1.25%
200022.13%-3.00%-0.12%$15,696$12,374$13,5181.18%2.54%2.83%-3.00%-8.46%0.90%2.96%
200033.72%5.61%4.54%$16,280$13,067$14,1321.40%5.69%3.48%5.61%11.55%1.37%3.14%
20004-3.65%0.16%-1.69%$15,687$13,088$13,894-0.49%-5.21%-5.41%0.16%0.09%-1.47%-0.66%
20005-2.11%1.27%-0.21%$15,355$13,255$13,864-0.16%-3.41%-2.67%1.27%3.39%-0.48%-0.46%
200063.58%-0.63%1.61%$15,904$13,171$14,0882.15%4.42%4.27%-0.63%-3.25%2.62%2.30%
20007-1.48%1.98%0.44%$15,669$13,431$14,1500.88%-1.95%-4.46%1.98%0.84%1.05%1.49%
200083.87%2.93%3.03%$16,275$13,825$14,5791.40%7.28%1.00%2.93%4.48%1.38%2.08%
20009-2.82%1.80%-0.37%$15,816$14,073$14,5250.76%-4.67%-5.00%1.80%1.91%1.24%-0.85%
200010-1.28%1.27%0.88%$15,614$14,251$14,6530.57%-2.04%-3.03%1.27%4.11%-0.04%1.57%
200011-4.58%1.20%-0.50%$14,898$14,422$14,5801.58%-9.90%-4.44%1.20%-1.84%1.79%2.99%
2000122.15%3.80%2.88%$15,219$14,970$15,0001.79%1.78%3.72%3.80%4.99%2.22%2.45%
200112.52%0.25%1.10%$15,603$15,007$15,1651.76%3.83%1.10%0.25%-1.10%1.97%0.28%
20012-5.54%1.23%-1.16%$14,739$15,191$14,9900.91%-9.41%-7.61%1.23%-1.03%1.24%1.80%
20013-4.19%-0.07%-1.82%$14,121$15,180$14,7160.54%-6.72%-7.15%-0.07%-2.90%0.67%-0.60%
200144.84%1.88%1.36%$14,805$15,465$14,916-0.46%8.16%7.89%1.88%4.59%-0.90%-2.56%
20015-0.05%1.02%0.73%$14,798$15,623$15,0250.73%1.01%-3.52%1.02%2.11%0.77%0.21%
20016-1.30%-0.18%-0.65%$14,605$15,595$14,9280.52%-1.64%-3.84%-0.18%-2.92%0.54%0.76%
20017-0.40%1.80%1.74%$14,546$15,876$15,1882.23%-1.71%-2.43%1.80%0.59%2.96%3.61%
20018-2.59%0.67%-0.42%$14,169$15,982$15,1241.11%-6.00%-2.30%0.67%-2.38%1.27%2.02%
20019-5.45%-0.56%-2.00%$13,397$15,893$14,8220.89%-9.00%-10.73%-0.56%-4.45%0.73%0.88%
2001102.33%0.43%2.42%$13,709$15,962$15,1801.86%2.52%2.97%0.43%-1.08%2.04%5.12%
2001113.13%0.14%-0.02%$14,139$15,985$15,177-1.34%7.63%3.56%0.14%4.73%-1.30%-5.07%
2001120.76%0.57%-0.14%$14,246$16,076$15,155-0.58%1.78%1.35%0.57%1.97%-0.87%-1.82%
20021-1.33%0.45%-0.09%$14,056$16,149$15,1410.69%-1.24%-4.63%0.45%-1.28%0.85%1.20%
20022-0.41%1.65%0.71%$13,998$16,415$15,2490.85%-2.05%0.90%1.65%1.47%1.01%1.24%
200232.61%-0.10%-0.03%$14,364$16,399$15,244-1.46%4.38%5.71%-0.10%3.43%-1.82%-3.86%
20024-1.49%0.70%0.07%$14,149$16,513$15,2541.69%-4.90%0.42%0.70%-3.12%1.47%3.73%
200250.02%1.33%0.42%$14,153$16,734$15,3190.80%-1.22%1.16%1.33%-0.09%1.39%0.39%
20026-3.84%-0.93%-1.88%$13,609$16,578$15,0300.29%-7.06%-4.28%-0.93%-5.56%0.02%1.76%
20027-5.31%-2.09%-2.08%$12,886$16,232$14,7180.48%-8.02%-9.80%-2.09%-8.08%0.80%2.93%
200280.83%0.86%2.17%$12,992$16,372$15,0371.66%0.53%-0.12%0.86%0.36%2.23%4.28%
20029-5.70%-2.67%-1.74%$12,252$15,934$14,7761.53%-10.07%-10.88%-2.67%-11.05%2.38%4.02%
2002103.77%2.31%0.83%$12,713$16,302$14,898-0.61%7.65%5.70%2.31%6.05%-1.02%-2.84%
2002113.35%2.36%1.59%$13,139$16,686$15,1360.02%6.06%4.75%2.36%5.59%-0.06%-0.98%
200212-2.13%0.82%0.73%$12,859$16,822$15,2472.07%-5.57%-3.43%0.82%-3.09%2.68%4.05%
20031-1.93%-1.56%-1.30%$12,612$16,560$15,0490.05%-2.54%-3.76%-1.56%-2.83%-0.04%-0.45%
20032-0.78%0.10%0.43%$12,513$16,577$15,1141.38%-1.69%-2.42%0.10%-2.97%1.82%3.03%
200330.02%-0.11%-0.19%$12,515$16,560$15,085-0.13%1.09%-1.93%-0.11%-0.01%0.18%-1.13%
200345.92%3.40%3.92%$13,256$17,123$15,6760.87%8.21%9.70%3.40%8.16%1.15%0.91%
200354.67%4.24%4.81%$13,875$17,849$16,4301.82%6.11%6.15%4.24%5.65%2.72%5.67%
200361.19%0.18%0.26%$14,040$17,882$16,472-0.13%1.43%2.66%0.18%1.29%0.11%-1.48%
200370.70%-3.38%-2.81%$14,138$17,278$16,010-3.34%2.36%3.18%-3.38%0.20%-3.50%-8.57%
200381.86%0.40%1.25%$14,401$17,347$16,2100.61%2.39%2.51%0.40%1.19%0.33%1.43%
200390.93%1.72%1.97%$14,536$17,645$16,5292.71%-1.15%2.78%1.72%-0.98%3.08%5.07%
2003103.99%0.44%1.49%$15,117$17,724$16,776-0.96%6.12%6.49%0.44%5.22%-0.94%-2.58%
2003111.23%0.54%0.88%$15,302$17,820$16,9230.27%1.38%2.13%0.54%1.47%0.39%0.31%
2003124.22%3.52%3.37%$15,948$18,446$17,4930.88%4.48%7.80%3.52%7.00%0.98%1.23%
200411.63%0.48%1.37%$16,208$18,535$17,7330.86%2.23%1.60%0.48%0.81%0.99%1.74%
200421.53%1.38%1.65%$16,456$18,791$18,0261.03%1.43%2.50%1.38%1.96%1.16%1.96%
20043-0.11%0.32%0.26%$16,438$18,851$18,0720.80%-1.07%0.45%0.32%-1.41%0.94%1.45%
20044-2.51%-2.17%-3.20%$16,026$18,442$17,494-2.61%-2.11%-3.14%-2.17%-1.33%-2.92%-5.52%
200450.55%-0.34%0.01%$16,114$18,380$17,496-0.43%1.35%0.46%-0.34%0.90%-0.79%-0.56%
200461.64%1.11%1.28%$16,379$18,584$17,7210.56%2.09%2.40%1.11%2.14%0.50%0.87%
20047-2.12%0.34%-0.34%$16,032$18,647$17,6610.96%-3.80%-3.34%0.34%-1.72%1.22%1.52%
200480.96%2.07%2.11%$16,187$19,033$18,0341.94%0.31%0.75%2.07%1.93%2.21%3.39%
200491.46%0.66%0.98%$16,424$19,159$18,2120.16%1.74%2.96%0.66%0.97%0.38%0.94%
2004101.74%0.66%1.36%$16,710$19,286$18,4600.85%1.68%3.24%0.66%1.14%0.99%1.46%
2004113.41%0.89%1.02%$17,279$19,459$18,648-0.81%4.68%7.23%0.89%4.42%-1.09%-2.25%
2004122.94%1.96%2.44%$17,787$19,840$19,1040.92%3.63%4.44%1.96%3.18%1.19%2.22%
20051-1.32%-0.09%-0.07%$17,552$19,822$19,0900.65%-2.68%-1.67%-0.09%-2.13%0.49%2.59%
200521.71%1.25%0.64%$17,852$20,070$19,212-0.63%2.07%4.68%1.25%3.17%-0.64%-1.24%
20053-1.59%-1.41%-1.30%$17,568$19,786$18,963-0.49%-1.75%-2.93%-1.41%-2.14%-0.73%-0.76%
20054-1.01%0.94%0.66%$17,392$19,971$19,0881.35%-2.32%-2.07%0.94%-1.21%1.50%3.22%
200552.00%1.07%2.00%$17,740$20,185$19,4691.05%3.77%0.08%1.07%1.89%1.10%2.55%
200560.83%0.87%1.04%$17,887$20,361$19,6710.55%0.81%1.30%0.87%0.86%0.68%1.64%
200572.25%0.09%0.23%$18,289$20,380$19,716-0.99%4.11%3.68%0.09%2.79%-1.21%-2.58%
200580.66%0.78%1.15%$18,410$20,539$19,9431.36%-0.94%2.85%0.78%-0.71%1.61%2.87%
200591.07%-0.25%-0.66%$18,606$20,488$19,810-1.10%0.86%4.73%-0.25%0.64%-1.21%-2.78%
200510-1.87%-1.34%-1.55%$18,259$20,213$19,504-0.81%-1.86%-3.37%-1.34%-1.56%-0.91%-1.74%
2005112.50%1.03%1.59%$18,717$20,421$19,8130.48%3.97%2.67%1.03%2.57%0.50%0.57%
2005121.57%0.53%1.25%$19,010$20,531$20,0610.99%0.14%5.14%0.53%0.32%0.83%2.33%
200613.01%0.85%1.17%$19,583$20,706$20,295-0.11%3.50%6.87%0.85%2.72%-0.10%-0.90%
20062-0.04%0.80%0.50%$19,575$20,872$20,3950.37%0.00%-0.72%0.80%1.41%0.07%0.81%
200631.19%-0.66%-0.59%$19,807$20,733$20,276-1.00%1.80%3.17%-0.66%0.75%-0.92%-3.39%
200641.61%1.09%0.44%$20,126$20,960$20,366-0.21%1.11%5.12%1.09%2.74%-0.32%-1.96%
20065-2.53%-0.66%-1.19%$19,617$20,822$20,124-0.09%-3.23%-4.45%-0.66%-1.89%0.01%-0.03%
200660.02%0.58%0.28%$19,621$20,943$20,1810.10%0.17%-0.38%0.58%0.43%0.00%0.71%
200670.65%2.14%1.35%$19,749$21,390$20,4541.35%-0.13%1.15%2.14%1.80%1.40%1.84%
200682.14%1.81%2.25%$20,172$21,778$20,9151.64%2.31%2.53%1.81%2.22%1.81%2.74%
200691.32%1.23%1.54%$20,438$22,047$21,2360.81%2.27%0.25%1.23%2.14%0.94%1.58%
2006102.73%1.64%1.79%$20,995$22,408$21,6160.72%3.53%4.00%1.64%2.70%0.74%0.77%
2006112.23%1.30%1.73%$21,462$22,699$21,9891.11%2.23%3.73%1.30%1.35%1.24%1.91%
2006121.09%0.65%0.24%$21,697$22,846$22,042-0.48%1.13%3.09%0.65%2.62%-0.49%-2.14%
200711.01%0.32%0.32%$21,916$22,920$22,112-0.08%1.88%0.96%0.32%1.15%-0.08%-0.85%
20072-0.20%0.91%0.92%$21,873$23,129$22,3161.50%-1.61%0.06%0.91%-1.13%1.95%2.93%
200731.11%0.63%0.23%$22,116$23,275$22,3680.02%1.11%2.80%0.63%1.42%-0.18%-1.13%
200742.81%1.73%2.05%$22,736$23,677$22,8260.51%4.01%3.92%1.73%3.88%0.63%0.86%
200752.08%0.45%0.52%$23,208$23,783$22,944-0.78%3.69%3.09%0.45%3.06%-1.10%-1.93%
20076-0.74%-1.19%-0.98%$23,038$23,499$22,719-0.39%-1.67%0.61%-1.19%-1.79%-0.41%-0.88%
20077-1.49%-0.73%-0.45%$22,693$23,328$22,6160.84%-3.41%-1.06%-0.73%-3.45%0.86%2.39%
200780.91%1.42%1.50%$22,900$23,659$22,9541.34%1.45%-0.72%1.42%2.14%1.07%1.97%
200793.28%1.72%1.92%$23,651$24,065$23,3950.72%3.59%6.38%1.72%3.54%0.74%0.21%
2007102.51%0.94%1.33%$24,244$24,292$23,7070.93%1.85%5.90%0.94%0.41%0.85%1.40%
200711-2.47%-0.18%0.17%$23,645$24,249$23,7481.91%-4.49%-4.57%-0.18%-3.10%1.87%4.59%
200712-0.73%-0.50%-0.61%$23,472$24,127$23,6030.22%-0.60%-2.28%-0.50%-1.01%-0.17%-0.48%
20081-3.98%-0.82%-0.98%$22,538$23,928$23,3711.69%-6.08%-8.55%-0.82%-4.55%1.87%2.64%
20082-1.18%-1.29%-1.06%$22,271$23,618$23,1230.19%-3.07%0.33%-1.29%-4.16%0.31%0.35%
20083-0.29%0.38%0.21%$22,207$23,708$23,1720.30%-0.58%-0.71%0.38%1.16%-0.57%1.02%
200843.24%1.18%0.90%$22,927$23,987$23,381-0.30%5.02%5.85%1.18%2.99%-0.40%-1.84%
200850.95%-0.56%-0.43%$23,143$23,853$23,281-0.79%2.09%1.51%-0.56%0.09%-0.69%-2.13%
20086-5.51%-3.41%-3.14%$21,867$23,040$22,551-0.01%-8.19%-8.99%-3.41%-9.07%-0.40%1.80%
20087-1.09%0.15%-0.30%$21,628$23,074$22,4830.00%-0.77%-3.67%0.15%0.67%-0.70%0.30%
20088-0.12%0.78%0.84%$21,603$23,255$22,6730.70%1.58%-5.10%0.78%1.10%0.36%1.80%
20089-6.94%-3.47%-4.57%$20,104$22,447$21,636-1.10%-9.26%-13.09%-3.47%-4.65%-5.74%0.28%
200810-12.41%-7.19%-9.06%$17,609$20,833$19,676-2.53%-17.63%-22.09%-7.19%-13.24%-6.67%-3.63%
200811-2.51%0.33%2.34%$17,167$20,901$20,1363.64%-7.90%-6.29%0.33%-6.16%2.10%12.07%
2008123.53%4.07%5.32%$17,773$21,752$21,2073.32%1.86%8.16%4.07%0.74%4.73%8.87%
20091-6.50%-4.62%-6.51%$16,618$20,747$19,826-0.70%-8.26%-11.96%-4.62%-11.90%0.35%-8.47%
20092-6.65%-4.96%-5.24%$15,513$19,719$18,788-0.42%-10.45%-9.58%-4.96%-12.38%-1.55%-1.01%
200936.02%2.94%5.10%$16,447$20,298$19,7471.48%8.65%9.31%2.94%9.13%1.00%5.27%
200947.28%3.54%3.09%$17,644$21,017$20,3560.36%10.61%12.78%3.54%7.89%2.46%-4.99%
200955.77%4.39%3.16%$18,662$21,939$21,0000.85%5.38%14.35%4.39%5.73%3.36%-2.68%
200960.02%1.25%0.88%$18,665$22,214$21,1860.54%0.34%-1.32%1.25%0.03%2.13%0.70%
200976.20%5.68%4.93%$19,823$23,475$22,2311.43%7.82%9.96%5.68%8.03%3.88%0.80%
200982.77%2.32%2.67%$20,372$24,021$22,8241.01%3.63%3.50%2.32%4.14%1.84%1.68%
200993.51%1.87%2.53%$21,087$24,469$23,4021.19%4.23%5.15%1.87%2.45%1.69%1.98%
200910-1.57%-0.05%-0.85%$20,757$24,457$23,2020.41%-2.57%-2.17%-0.05%-1.55%1.06%-1.45%
2009113.87%3.20%3.33%$21,561$25,241$23,9751.36%5.63%3.86%3.20%5.55%1.73%1.91%
2009121.17%-0.01%-0.80%$21,812$25,238$23,784-1.68%2.86%1.53%-0.01%1.71%-1.38%-5.66%
20101-2.12%-0.29%0.07%$21,350$25,164$23,8001.57%-3.50%-5.07%-0.29%-3.01%2.37%2.66%
201021.57%1.08%1.04%$21,686$25,436$24,0460.20%3.36%0.22%1.08%2.32%0.38%-0.21%
201034.15%1.99%2.13%$22,586$25,942$24,558-0.08%6.27%6.71%1.99%5.38%0.59%-1.51%
201040.96%1.49%1.93%$22,804$26,329$25,0321.06%2.17%-1.71%1.49%1.85%1.73%2.76%
20105-5.62%-2.71%-2.27%$21,523$25,617$24,4640.87%-8.00%-10.78%-2.71%-7.46%-0.19%4.23%
20106-2.17%0.19%0.34%$21,055$25,666$24,5471.61%-5.66%-1.17%0.19%-3.83%2.02%4.67%
201075.42%3.49%3.36%$22,196$26,562$25,3710.94%6.99%10.33%3.49%6.98%2.00%-0.17%
20108-2.21%0.86%1.24%$21,704$26,790$25,6851.48%-4.75%-3.22%0.86%-3.07%1.97%7.08%
201096.17%2.70%2.82%$23,043$27,514$26,411-0.01%9.47%10.41%2.70%7.21%0.86%-1.82%
2010102.61%0.88%0.56%$23,646$27,756$26,5600.36%3.94%3.55%0.88%2.71%0.77%-3.29%
201011-0.92%-0.92%-0.99%$23,427$27,502$26,297-0.57%0.58%-4.52%-0.92%-0.47%-0.98%-1.60%
2010124.42%1.54%1.30%$24,462$27,925$26,639-1.15%6.81%8.34%1.54%6.65%-1.45%-3.58%
201111.14%0.65%0.34%$24,742$28,105$26,7310.08%2.19%0.70%0.65%1.91%0.68%-2.38%
201122.25%1.88%1.90%$25,298$28,633$27,2390.16%3.60%2.71%1.88%3.66%0.34%1.24%
201130.11%0.14%0.22%$25,325$28,674$27,299-0.01%0.45%-0.43%0.14%0.89%-0.08%0.02%
201142.93%2.58%2.69%$26,067$29,413$28,0331.32%2.99%5.24%2.58%3.80%1.90%2.04%
20115-0.74%0.84%0.89%$25,873$29,660$28,2831.30%-1.16%-2.87%0.84%-0.13%1.28%3.29%
20116-1.26%-1.06%-1.47%$25,547$29,346$27,867-0.39%-1.79%-1.51%-1.06%-1.51%-0.84%-2.00%
20117-0.83%0.04%0.69%$25,334$29,359$28,0601.58%-2.28%-1.53%0.04%-3.25%2.28%4.18%
20118-3.98%-0.27%0.56%$24,326$29,280$28,2161.46%-5.99%-8.45%-0.27%-2.84%0.26%8.68%
20119-5.57%-1.46%0.26%$22,972$28,852$28,2900.89%-7.75%-12.29%-1.46%-4.96%-0.35%10.16%
2011106.88%4.03%2.98%$24,552$30,016$29,1350.16%11.51%10.22%4.03%9.07%1.45%-3.34%
201111-0.81%-0.53%0.16%$24,354$29,857$29,183-0.30%-0.29%-2.88%-0.53%1.23%-1.53%1.82%
2011120.23%2.53%2.20%$24,411$30,614$29,8241.08%0.80%-2.64%2.53%3.04%1.95%3.13%
201214.13%1.88%2.32%$25,420$31,188$30,5150.87%5.08%7.27%1.88%2.15%2.25%0.08%
201223.04%1.28%1.24%$26,192$31,588$30,894-0.05%4.26%5.14%1.28%3.26%0.60%-2.11%
201231.02%0.46%-0.07%$26,459$31,734$30,872-0.58%3.07%-0.75%0.46%2.74%-0.45%-3.77%
20124-0.35%0.93%1.29%$26,368$32,030$31,2711.14%-0.65%-1.78%0.93%0.17%1.21%4.37%
20125-5.04%-1.43%-0.66%$25,038$31,572$31,0630.95%-6.24%-11.14%-1.43%-5.59%0.51%7.79%
201263.04%2.00%1.64%$25,800$32,203$31,5710.04%3.91%6.03%2.00%4.85%0.49%-1.44%
201271.02%2.44%2.16%$26,063$32,990$32,2541.39%1.03%0.44%2.44%2.07%2.06%3.32%
201281.72%0.53%0.58%$26,512$33,166$32,4410.03%2.48%2.72%0.53%1.10%0.38%-1.06%
201292.00%0.86%0.78%$27,043$33,451$32,6930.11%2.58%3.62%0.86%2.26%0.85%-2.10%
201210-0.65%0.25%-0.29%$26,867$33,533$32,5960.11%-1.76%0.56%0.25%-0.78%0.75%-0.43%
2012110.80%0.29%0.68%$27,083$33,629$32,8190.19%0.74%1.82%0.29%0.33%0.17%1.35%
2012121.42%0.19%-0.00%$27,467$33,692$32,817-0.20%1.19%4.17%0.19%0.54%-0.03%-1.99%
201312.91%1.45%1.07%$28,266$34,181$33,170-0.71%5.50%3.34%1.45%5.38%-0.51%-3.27%
201320.48%1.23%1.15%$28,403$34,600$33,5510.54%1.28%-1.23%1.23%2.08%0.73%1.26%
201331.96%1.26%1.45%$28,959$35,037$34,0370.08%3.88%0.77%1.26%3.42%0.12%0.03%
201341.85%1.97%2.42%$29,495$35,726$34,8600.91%1.70%3.58%1.97%2.66%1.23%3.87%
20135-0.12%-0.87%-1.67%$29,461$35,417$34,279-1.71%2.32%-2.95%-0.87%1.31%-1.88%-6.23%
20136-1.92%-1.59%-2.10%$28,896$34,853$33,559-1.65%-1.27%-3.75%-1.59%-0.42%-2.63%-3.26%
201373.63%2.04%1.98%$29,944$35,562$34,2250.20%5.49%4.56%2.04%4.55%0.78%-1.93%
20138-1.91%-1.87%-2.02%$29,373$34,895$33,535-0.64%-2.82%-1.63%-1.87%-3.55%-0.95%-1.28%
201393.58%1.63%2.24%$30,424$35,464$34,2860.96%3.66%7.21%1.63%2.72%1.30%0.88%
2013103.01%2.10%2.53%$31,340$36,207$35,1520.78%4.22%3.41%2.10%4.07%1.09%1.32%
2013111.33%0.79%0.51%$31,756$36,493$35,332-0.35%2.88%0.12%0.79%2.38%-0.04%-2.49%
2013121.38%0.81%0.42%$32,195$36,788$35,480-0.65%2.63%1.25%0.81%2.29%-0.54%-2.37%
20141-1.89%-0.36%0.70%$31,586$36,655$35,7281.54%-3.11%-4.78%-0.36%-4.00%1.73%6.26%
201423.38%2.06%2.15%$32,652$37,410$36,4960.48%4.73%5.39%2.06%4.13%0.66%0.60%
201430.26%0.92%0.74%$32,738$37,754$36,766-0.15%0.51%0.41%0.92%2.38%-0.05%0.63%
201440.58%1.19%1.20%$32,927$38,202$37,2060.77%0.06%1.31%1.19%1.62%0.88%1.82%
201451.72%1.21%1.85%$33,495$38,665$37,8961.05%2.17%1.88%1.21%1.46%1.18%2.73%
201461.54%0.78%0.84%$34,011$38,965$38,2140.11%2.54%1.74%0.78%1.97%0.05%-0.16%
20147-1.32%-1.00%-0.77%$33,561$38,574$37,920-0.26%-1.98%-1.61%-1.00%-2.47%-0.14%0.59%
201482.46%1.99%2.94%$34,388$39,341$39,0361.13%4.18%1.05%1.99%3.57%1.07%4.23%
20149-2.29%-1.25%-1.75%$33,601$38,849$38,355-0.72%-2.14%-5.01%-1.25%-1.55%-0.95%-1.99%
2014101.49%1.17%1.83%$34,101$39,303$39,0550.94%2.74%-0.31%1.17%1.99%0.87%2.61%
2014111.27%1.31%1.90%$34,534$39,818$39,7960.65%2.41%-0.25%1.31%2.48%0.65%2.86%
201412-0.72%-0.16%0.48%$34,286$39,755$39,9880.09%-0.01%-3.65%-0.16%-0.49%-0.25%2.82%
20151-0.41%0.55%2.20%$34,147$39,973$40,8692.31%-2.77%0.13%0.55%-3.04%2.60%8.97%
201523.32%0.82%0.14%$35,280$40,299$40,928-1.08%5.76%5.52%0.82%4.66%-0.77%-5.66%
20153-0.67%-0.10%-0.10%$35,044$40,259$40,8860.41%-1.04%-1.54%-0.10%-1.52%0.45%1.13%
201541.20%0.51%-0.18%$35,465$40,462$40,814-0.36%0.42%5.08%0.51%1.77%-0.06%-3.07%
201550.24%-0.12%-0.34%$35,549$40,415$40,676-0.45%1.39%-0.94%-0.12%0.92%-0.35%-2.16%
20156-1.70%-2.06%-2.39%$34,943$39,582$39,703-1.01%-1.71%-2.69%-2.06%-3.01%-1.17%-3.73%
201570.79%1.23%1.79%$35,218$40,071$40,4120.76%1.63%-0.80%1.23%1.47%0.56%4.21%
20158-4.42%-2.16%-2.82%$33,661$39,204$39,271-0.36%-6.03%-7.29%-2.16%-5.66%-0.45%-0.71%
20159-1.86%0.11%-0.04%$33,034$39,248$39,2550.76%-2.93%-3.90%0.11%-1.24%0.98%1.91%
2015104.72%3.40%3.06%$34,592$40,582$40,4540.01%7.84%6.26%3.40%8.13%0.37%-0.48%
201511-0.14%0.00%-0.15%$34,545$40,582$40,392-0.27%0.54%-1.32%0.00%0.29%-0.05%-0.81%
201512-1.48%-0.79%-0.94%$34,035$40,262$40,013-0.38%-2.03%-2.07%-0.79%-1.27%-0.52%-0.34%
20161-3.24%-0.20%-0.03%$32,933$40,180$40,0001.43%-5.67%-5.59%-0.20%-3.15%1.08%5.24%
20162-0.27%0.45%0.95%$32,844$40,361$40,3810.66%-0.04%-2.27%0.45%0.21%0.64%2.86%
201635.08%3.52%3.29%$34,511$41,779$41,7100.94%7.01%8.19%3.52%6.66%1.78%0.05%
201640.89%0.91%0.47%$34,817$42,160$41,9060.38%0.63%2.22%0.91%1.02%0.74%-0.63%
201650.56%0.59%0.62%$35,013$42,407$42,1680.01%1.79%-1.02%0.59%1.30%-0.16%0.69%
201660.56%2.18%2.74%$35,209$43,332$43,3241.94%0.23%-0.94%2.18%1.63%1.85%6.57%
201672.90%1.38%2.08%$36,230$43,931$44,2270.64%3.95%4.41%1.38%2.26%0.84%2.01%
201680.22%0.00%-0.26%$36,309$43,931$44,110-0.17%0.26%0.74%0.00%-0.16%-0.06%-1.00%
201690.33%-0.32%-0.34%$36,430$43,792$43,960-0.09%0.15%1.37%-0.32%-0.42%0.12%-1.32%
201610-1.63%-1.22%-2.15%$35,836$43,256$43,016-0.81%-2.21%-1.72%-1.22%-1.74%-0.57%-4.23%
2016110.59%-0.74%-1.64%$36,048$42,938$42,310-2.64%4.44%-2.15%-0.74%3.82%-2.58%-7.86%
2016121.39%1.35%0.95%$36,549$43,515$42,7140.24%1.92%2.02%1.35%2.70%0.15%-0.35%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value14.46%20.96%20.04%
Large-cap Growth21.63%9.19%15.66%
Mid-cap Value6.35%0.00%0.21%
Mid-cap Growth2.44%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets16.35%4.30%3.17%
Emerging Markets5.57%0.00%2.47%
REITs0.00%0.64%0.81%
Corporate Bonds6.15%20.10%10.45%
Long-Term Treasuries0.25%6.29%16.55%
Intermediate-Term Treasuries8.88%11.11%24.35%
Short-Term Treasuries17.92%27.42%6.30%
R Squared99.75%92.83%97.93%
Style analysis is based on monthly returns from Apr 2005 to Dec 2016 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%34.00%$6,3580.97%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%44.00%$15,75964.16%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%22.00%$4,43234.87%

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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity7.500.23%100.00%$33,515100.00%

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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%15.00%$6,33026.34%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%5.00%$1,2489.48%
VEIPXVanguard Equity-Income InvLarge Value0.27%21.00%$9,09232.40%
VFICXVanguard Interm-Term Invmt-Grade InvCorporate Bond5.460.20%32.00%$7,61415.03%
VUSTXVanguard Long-Term Treasury InvLong Government17.640.20%27.00%$8,43016.75%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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)0.59%0.63%0.62%
Arithmetic Mean (annualized)7.26%7.83%7.76%
Geometric Mean (monthly)0.54%0.61%0.61%
Geometric Mean (annualized)6.69%7.63%7.53%
Volatility (monthly)2.96%1.76%1.89%
Volatility (annualized)10.25%6.09%6.53%
Downside Deviation (monthly)1.98%1.00%1.17%
Max. Drawdown-36.01%-18.82%-20.88%
US Market Correlation0.970.670.74
Beta(*)0.630.260.31
Alpha (annualized)1.44%5.25%4.78%
R294.23%45.49%54.58%
Sharpe Ratio0.480.890.82
Sortino Ratio0.681.461.25
Treynor Ratio (%)7.7220.7417.43
Calmar Ratio0.571.851.47
Active Return-1.15%-0.21%-0.31%
Tracking Error6.26%12.44%11.73%
Information Ratio-0.18-0.02-0.03
Skewness-0.72-0.33-0.88
Excess Kurtosis1.442.333.35
Historical Value-at-Risk (5%)-5.30%-2.38%-2.40%
Analytical Value-at-Risk (5%)-4.39%-2.26%-2.53%
Conditional Value-at-Risk (5%)-6.73%-3.60%-4.10%
Upside Capture Ratio (%)64.7935.2839.42
Downside Capture Ratio (%)62.1314.7921.65
Safe Withdrawal Rate7.88%8.68%8.46%
Perpetual Withdrawal Rate4.29%5.12%5.03%
Positive Periods149 out of 240 (62.08%)165 out of 240 (68.75%)161 out of 240 (67.08%)
Gain/Loss Ratio1.011.141.18
* 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
Asian CrisisJul 1997Jan 1998-3.88%-2.28%-2.71%
Russian Debt DefaultJul 1998Oct 1998-10.21%-3.64%-4.36%
Dotcom CrashMar 2000Oct 2002-24.74%-4.78%-3.92%
Subprime CrisisNov 2007Mar 2009-36.01%-18.82%-20.88%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-36.01%
2Apr 2000Sep 20022 years 6 monthsFeb 20041 year 5 months3 years 11 months-24.74%
3May 2011Sep 20115 monthsFeb 20125 months10 months-11.88%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-10.21%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.61%
6Apr 2012May 20122 monthsAug 20123 months5 months-5.37%
7Aug 1997Aug 19971 monthSep 19971 month2 months-3.88%
8Jan 2000Jan 20001 monthMar 20002 months3 months-3.27%
9Oct 1997Oct 19971 monthJan 19983 months4 months-3.07%
10Feb 1999Feb 19991 monthMar 19991 month2 months-2.73%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-18.82%
2May 1999Feb 200010 monthsAug 20006 months1 year 4 months-8.44%
3Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
4Jul 1998Aug 19982 monthsSep 19981 month3 months-3.64%
5Jan 1999Feb 19992 monthsApr 19992 months4 months-3.39%
6Jul 2003Jul 20031 monthDec 20035 months6 months-3.38%
7May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
8Jun 2011Sep 20114 monthsOct 20111 month5 months-2.72%
9May 2010May 20101 monthJul 20102 months3 months-2.71%
10Mar 1997Mar 19971 monthMay 19972 months3 months-2.55%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-20.88%
2Jul 1998Aug 19982 monthsOct 19982 months4 months-4.36%
3Aug 2016Nov 20164 months-4.33%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-4.09%
5Jun 2002Jul 20022 monthsApr 20039 months11 months-3.92%
6May 2013Aug 20134 monthsOct 20132 months6 months-3.80%
7Apr 2004Apr 20041 monthSep 20045 months6 months-3.20%
8Feb 1999Feb 19991 monthApr 19992 months3 months-3.13%
9May 1999Sep 19995 monthsDec 19993 months8 months-3.01%
10Feb 2001Mar 20012 monthsJul 20014 months6 months-2.96%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBMFXVanguard Total Bond Market Index Inv5.07%3.48%11.39%-2.26%-3.99%0.831.36-0.06
VTSMXVanguard Total Stock Mkt Idx Inv7.84%15.70%33.35%-37.04%-50.89%0.420.601.00
VGTSXVanguard Total Intl Stock Index Inv4.28%17.66%40.34%-44.10%-58.50%0.210.290.86
VWINXVanguard Wellesley Income Inv7.63%6.09%20.19%-9.84%-18.82%0.891.460.67
VEIPXVanguard Equity-Income Inv8.65%13.29%31.17%-30.95%-48.87%0.530.780.87
VFICXVanguard Interm-Term Invmt-Grade Inv5.78%4.72%17.73%-6.16%-14.11%0.761.160.15
VUSTXVanguard Long-Term Treasury Inv6.91%10.37%29.28%-13.03%-16.68%0.490.81-0.26

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBMFXVTSMXVGTSXVWINXVEIPXVFICXVUSTXPortfolio 1Portfolio 2Portfolio 3
VBMFXVanguard Total Bond Market Index Inv--0.060.020.48-0.010.890.850.090.480.56
VTSMXVanguard Total Stock Mkt Idx Inv-0.06-0.860.670.870.15-0.260.970.670.74
VGTSXVanguard Total Intl Stock Index Inv0.020.86-0.640.770.25-0.220.940.640.71
VWINXVanguard Wellesley Income Inv0.480.670.64-0.830.610.240.741.000.91
VEIPXVanguard Equity-Income Inv-0.010.870.770.83-0.16-0.190.860.830.77
VFICXVanguard Interm-Term Invmt-Grade Inv0.890.150.250.610.16-0.620.290.610.66
VUSTXVanguard Long-Term Treasury Inv0.85-0.26-0.220.24-0.190.62--0.150.240.40

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBMFXVanguard Total Bond Market Index Inv$6,358
VTSMXVanguard Total Stock Mkt Idx Inv$15,759$6,330
VGTSXVanguard Total Intl Stock Index Inv$4,432$1,248
VWINXVanguard Wellesley Income Inv$33,515
VEIPXVanguard Equity-Income Inv$9,092
VFICXVanguard Interm-Term Invmt-Grade Inv$7,614
VUSTXVanguard Long-Term Treasury Inv$8,430

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBMFXVanguard Total Bond Market Index Inv0.97%
VTSMXVanguard Total Stock Mkt Idx Inv64.16%26.34%
VGTSXVanguard Total Intl Stock Index Inv34.87%9.48%
VWINXVanguard Wellesley Income Inv100.00%
VEIPXVanguard Equity-Income Inv32.40%
VFICXVanguard Interm-Term Invmt-Grade Inv15.03%
VUSTXVanguard Long-Term Treasury Inv16.75%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.39%24.02%-24.28%7.84%20.19%-9.84%7.72%17.77%-10.15%
3 years6.45%16.69%-6.81%7.24%12.07%1.95%7.27%12.04%1.87%
5 years5.96%12.79%1.96%7.30%11.08%3.35%7.13%10.95%3.93%
7 years6.08%9.73%3.21%7.17%9.19%4.41%7.12%9.49%4.92%
10 years5.90%8.05%2.71%6.91%8.61%4.93%6.87%8.22%4.67%
15 years5.86%6.48%5.26%7.21%7.80%6.82%7.10%7.56%6.69%
Result statistics are based on annualized rolling returns over full calendar year periods