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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1995 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VEIEX Vanguard Emerging Mkts Stock 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$570,049 33.43% 5.77%4.55%4.81%20.44%-3.52%-4.86%
(-3.13%)
0.701.17-0.20
Portfolio 2$1,000$697,969 34.67% 5.67%6.30%23.52%75.98%-52.81%-62.70%
(-60.64%)
0.250.360.77
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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
  • 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 backtested results assume monthly rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19952.54%20.44%0.56%$14,417$13,754$12,21520.44%0.56%
19963.32%1.92%15.83%$27,671$28,939$12,5731.92%15.83%
19971.70%8.96%-16.82%$43,705$34,900$12,8678.96%-16.82%
19981.61%10.61%-18.12%$62,035$41,155$13,06710.61%-18.12%
19992.68%-3.52%61.57%$73,065$84,006$13,353-3.52%61.57%
20003.39%14.03%-27.56%$98,241$72,662$13,80414.03%-27.56%
20011.55%7.55%-2.88%$120,183$85,258$14,1947.55%-2.88%
20022.38%14.15%-7.43%$152,637$92,504$14,41914.15%-7.43%
20031.88%2.37%57.65%$171,118$165,549$14,7462.37%57.65%
20043.26%3.40%26.12%$192,329$226,902$15,1413.40%26.12%
20053.42%2.32%32.05%$212,611$318,331$15,6552.32%32.05%
20062.54%3.14%29.39%$235,847$430,400$16,1603.14%29.39%
20074.08%9.98%38.90%$277,014$617,331$16,6219.98%38.90%
20080.09%13.32%-52.81%$332,576$302,825$17,25913.32%-52.81%
20092.72%-1.69%75.98%$344,138$556,356$17,197-1.69%75.98%
20101.50%7.35%18.86%$387,105$681,595$17,4797.35%18.86%
20112.96%9.80%-18.78%$443,952$569,416$18,0319.80%-18.78%
20121.74%2.67%18.64%$474,388$695,438$18,4042.67%18.64%
20131.50%-3.09%-5.19%$478,103$678,040$18,674-3.09%-5.19%
20140.76%4.32%0.42%$518,010$699,416$18,9774.32%0.42%
20150.73%1.50%-15.47%$544,757$608,039$18,9991.50%-15.47%
20162.07%1.19%11.50%$570,049$697,969$19,2391.19%11.50%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199511.94%-10.67%$2,023$1,8971.94%-10.67%
199522.58%0.41%$3,084$2,9132.58%0.41%
199530.57%-1.03%$4,113$3,8950.57%-1.03%
199541.56%5.18%$5,191$5,1111.56%5.18%
199554.74%7.68%$6,454$6,5214.74%7.68%
199560.81%-0.55%$7,525$7,5030.81%-0.55%
19957-0.61%2.85%$8,498$8,736-0.61%2.85%
199581.31%-2.42%$9,631$9,5471.31%-2.42%
199590.90%0.18%$10,741$10,5870.90%0.18%
1995101.76%-4.30%$11,957$11,1591.76%-4.30%
1995111.82%0.38%$13,201$12,2281.82%0.38%
1995121.44%4.10%$14,417$13,7541.44%4.10%
199610.69%10.23%$15,548$16,1930.69%10.23%
19962-2.38%-1.60%$16,213$16,968-2.38%-1.60%
19963-1.09%1.54%$17,076$18,270-1.09%1.54%
19964-1.03%2.70%$17,944$19,809-1.03%2.70%
19965-0.44%1.48%$18,911$21,148-0.44%1.48%
199661.51%0.00%$20,243$22,1951.51%0.00%
199670.14%-6.73%$21,321$21,7500.14%-6.73%
19968-0.35%3.13%$22,298$23,481-0.35%3.13%
199691.91%2.28%$23,777$25,0701.91%2.28%
1996102.48%-1.48%$25,424$25,7552.48%-1.48%
1996112.04%3.51%$27,002$27,7202.04%3.51%
199612-1.45%0.58%$27,671$28,939-1.45%0.58%
199710.06%5.13%$28,749$31,4860.06%5.13%
199720.10%3.02%$29,843$33,5040.10%3.02%
19973-1.30%-3.16%$30,523$33,514-1.30%-3.16%
199741.61%-1.63%$32,085$34,0381.61%-1.63%
199750.83%4.50%$33,422$36,6390.83%4.50%
199761.00%3.93%$34,829$39,1491.00%3.93%
199772.85%1.53%$36,894$40,8182.85%1.53%
19978-0.99%-15.10%$37,601$35,727-0.99%-15.10%
199791.47%5.23%$39,230$38,6721.47%5.23%
1997101.66%-18.11%$40,960$32,7481.66%-18.11%
1997110.31%-1.37%$42,168$33,3790.31%-1.37%
1997121.09%1.33%$43,705$34,9001.09%1.33%
199811.73%-8.02%$45,539$33,1821.73%-8.02%
19982-0.38%11.87%$46,445$38,203-0.38%11.87%
199830.14%3.60%$47,591$40,6630.14%3.60%
199840.49%-1.03%$48,911$41,3280.49%-1.03%
199850.98%-12.54%$50,476$37,2350.98%-12.54%
199860.95%-9.34%$52,046$34,8470.95%-9.34%
199870.22%1.80%$53,251$36,5630.22%1.80%
199883.20%-26.12%$56,045$28,1053.20%-26.12%
199893.64%9.39%$59,177$31,8383.64%9.39%
199810-0.77%15.43%$59,818$37,846-0.77%15.43%
199811-0.35%6.31%$60,706$41,328-0.35%6.31%
1998120.38%-3.07%$62,035$41,1550.38%-3.07%
199910.65%-2.91%$63,538$41,0560.65%-2.91%
19992-3.07%2.21%$62,688$43,063-3.07%2.21%
199930.58%11.72%$64,155$49,2120.58%11.72%
199940.28%15.39%$65,448$57,8980.28%15.39%
19995-1.37%-4.15%$65,662$56,605-1.37%-4.15%
19996-0.26%7.94%$66,600$62,209-0.26%7.94%
19997-0.45%-3.44%$67,413$61,184-0.45%-3.44%
19998-0.07%-0.99%$68,482$61,695-0.07%-0.99%
199991.08%-0.50%$70,343$62,5081.08%-0.50%
1999100.12%3.82%$71,554$66,0170.12%3.82%
199911-0.08%8.12%$72,622$72,504-0.08%8.12%
199912-0.94%14.31%$73,065$84,006-0.94%14.31%
20001-0.46%-4.88%$73,857$81,035-0.46%-4.88%
200021.00%3.53%$75,731$85,0311.00%3.53%
200032.04%-0.90%$78,417$85,4122.04%-0.90%
20004-0.26%-7.47%$79,361$80,180-0.26%-7.47%
200050.16%-5.32%$80,632$77,0610.16%-5.32%
200062.20%6.27%$83,559$83,0472.20%6.27%
200070.62%-5.20%$85,235$79,8840.62%-5.20%
200081.62%1.49%$87,766$82,2261.62%1.49%
200090.89%-6.14%$89,710$78,3420.89%-6.14%
2000100.90%-7.61%$91,682$73,5420.90%-7.61%
2000112.14%-9.82%$94,809$67,4832.14%-9.82%
2000122.39%5.95%$98,241$72,6622.39%5.95%
200111.33%11.76%$100,713$82,3801.33%11.76%
200121.26%-8.70%$103,158$76,3831.26%-8.70%
200130.50%-10.42%$104,855$69,5990.50%-10.42%
20014-1.16%9.29%$104,822$77,249-1.16%9.29%
200150.22%1.47%$106,237$79,5750.22%1.47%
200160.30%-2.12%$107,747$79,0750.30%-2.12%
200172.73%-6.74%$111,870$74,9352.73%-6.74%
200181.11%-0.98%$114,298$75,3871.11%-0.98%
200192.41%-15.57%$118,245$64,8362.41%-15.57%
2001102.22%6.59%$122,052$70,2952.22%6.59%
200111-2.32%9.34%$120,401$78,046-2.32%9.34%
200112-1.16%7.73%$120,183$85,258-1.16%7.73%
200210.45%2.87%$121,909$88,8860.45%2.87%
200221.29%2.67%$124,671$92,4481.29%2.67%
20023-2.30%4.52%$122,997$97,825-2.30%4.52%
200242.62%0.32%$127,419$99,3442.62%0.32%
200251.04%-0.43%$129,944$100,1161.04%-0.43%
200261.72%-8.23%$133,380$93,0751.72%-8.23%
200272.66%-8.50%$138,124$86,3662.66%-8.50%
200282.42%1.42%$142,674$88,7992.42%1.42%
200293.03%-10.69%$148,201$80,5183.03%-10.69%
200210-0.70%6.55%$148,372$87,005-0.70%6.55%
200211-1.32%7.09%$147,621$94,381-1.32%7.09%
2002122.58%-3.27%$152,637$92,5042.58%-3.27%
20031-0.49%0.13%$153,096$93,839-0.49%0.13%
200321.77%-3.80%$157,030$91,5001.77%-3.80%
20033-0.19%-2.04%$157,969$90,863-0.19%-2.04%
200340.24%8.75%$159,577$100,0410.24%8.75%
200352.74%6.39%$165,169$107,6552.74%6.39%
20036-0.43%5.88%$165,683$115,215-0.43%5.88%
20037-3.87%7.03%$160,494$124,543-3.87%7.03%
200380.19%6.36%$162,026$133,6920.19%6.36%
200393.09%0.80%$168,266$135,9943.09%0.80%
200310-1.36%9.09%$167,219$149,593-1.36%9.09%
2003110.01%1.09%$168,463$152,4520.01%1.09%
2003120.85%7.78%$171,118$165,5490.85%7.78%
200410.81%3.12%$173,748$171,9550.81%3.12%
200421.23%4.17%$177,122$180,3751.23%4.17%
200431.06%0.39%$180,260$182,3361.06%0.39%
20044-3.25%-7.90%$175,655$169,181-3.25%-7.90%
20045-0.51%-0.85%$176,025$169,007-0.51%-0.85%
200460.54%-0.09%$178,244$170,1300.54%-0.09%
200470.91%-1.80%$181,130$168,3310.91%-1.80%
200482.07%4.10%$186,153$176,5062.07%4.10%
200490.19%5.62%$187,772$187,6960.19%5.62%
2004100.91%2.30%$190,755$193,2950.91%2.30%
200411-1.48%10.17%$189,214$214,230-1.48%10.17%
2004120.97%5.32%$192,329$226,9020.97%5.32%
200510.56%-0.14%$194,678$227,8670.56%-0.14%
20052-0.98%8.87%$194,050$249,354-0.98%8.87%
20053-0.51%-6.70%$194,352$233,928-0.51%-6.70%
200541.75%-2.89%$199,053$228,4731.75%-2.89%
200551.20%3.39%$202,731$237,5131.20%3.39%
200560.55%3.28%$205,146$246,5970.55%3.28%
20057-1.41%6.87%$203,568$264,832-1.41%6.87%
200581.65%0.97%$208,229$268,7121.65%0.97%
20059-1.14%8.64%$207,177$293,266-1.14%8.64%
200510-0.79%-6.57%$206,867$275,316-0.79%-6.57%
2005110.48%7.98%$209,173$298,6160.48%7.98%
2005121.01%6.16%$212,611$318,3311.01%6.16%
20061-0.34%11.48%$213,221$356,212-0.34%11.48%
200620.09%-1.46%$214,733$352,3460.09%-1.46%
20063-0.99%1.24%$213,948$358,053-0.99%1.24%
20064-0.37%7.12%$214,499$384,890-0.37%7.12%
200650.02%-10.74%$215,887$344,9080.02%-10.74%
200660.10%-0.20%$217,460$345,5830.10%-0.20%
200671.35%1.19%$221,761$351,0401.35%1.19%
200681.62%2.05%$226,720$359,6011.62%2.05%
200690.94%0.72%$230,202$363,5370.94%0.72%
2006100.57%4.75%$232,873$382,1560.57%4.75%
2006111.12%7.44%$236,827$411,9251.12%7.44%
200612-0.98%4.16%$235,847$430,400-0.98%4.16%
20071-0.26%-0.58%$236,596$429,270-0.26%-0.58%
200721.86%-1.28%$242,352$425,1141.86%-1.28%
200730.03%4.11%$243,787$443,9760.03%4.11%
200740.57%4.23%$246,546$464,1540.57%4.23%
20075-1.18%5.96%$245,014$493,195-1.18%5.96%
20076-0.18%4.49%$245,958$516,735-0.18%4.49%
200771.81%4.30%$251,802$540,3341.81%4.30%
200781.97%-0.94%$258,150$536,6541.97%-0.94%
200790.46%10.75%$260,729$595,7600.46%10.75%
2007100.84%12.31%$264,305$670,4660.84%12.31%
2007113.46%-7.99%$274,857$618,2763.46%-7.99%
2007120.27%-0.38%$277,014$617,3310.27%-0.38%
200813.10%-11.08%$287,007$550,3353.10%-11.08%
200821.35%4.65%$292,301$577,3501.35%4.65%
200830.93%-3.80%$296,438$556,8590.93%-3.80%
20084-2.14%8.09%$291,539$603,369-2.14%8.09%
20085-1.32%1.84%$289,135$615,923-1.32%1.84%
200860.77%-10.39%$292,814$553,4150.77%-10.39%
200870.77%-4.14%$296,553$531,9910.77%-4.14%
200880.98%-7.81%$300,910$491,9040.98%-7.81%
200890.51%-16.25%$303,909$413,4430.51%-16.25%
200810-1.36%-27.67%$301,229$300,501-1.36%-27.67%
2008115.58%-7.85%$319,469$278,3175.58%-7.85%
2008123.66%8.30%$332,576$302,8253.66%8.30%
20091-2.39%-8.19%$326,035$279,440-2.39%-8.19%
20092-0.58%-6.07%$325,557$263,903-0.58%-6.07%
200933.20%16.03%$337,412$307,6313.20%16.03%
20094-1.76%16.03%$332,914$358,367-1.76%16.03%
20095-1.10%18.27%$330,667$425,255-1.10%18.27%
20096-0.37%-2.25%$330,878$417,135-0.37%-2.25%
200970.60%11.55%$334,287$466,7520.60%11.55%
200980.89%-0.63%$338,708$465,2650.89%-0.63%
200990.92%9.29%$343,270$509,9390.92%9.29%
2009100.25%-1.36%$345,580$504,4380.25%-1.36%
2009111.96%5.90%$353,786$535,6431.96%5.90%
200912-3.13%3.60%$344,138$556,356-3.13%3.60%
201011.97%-6.25%$352,359$523,0051.97%-6.25%
201020.40%1.07%$355,231$530,0530.40%1.07%
20103-0.91%8.15%$353,459$574,706-0.91%8.15%
201041.23%0.26%$359,277$577,6781.23%0.26%
201051.85%-9.32%$367,374$525,2971.85%-9.32%
201062.07%-0.04%$376,420$526,5352.07%-0.04%
201071.07%9.25%$381,916$576,6721.07%9.25%
201082.00%-2.24%$391,014$565,2182.00%-2.24%
201090.36%11.18%$393,899$629,8700.36%11.18%
2010100.45%2.97%$397,123$650,0240.45%2.97%
201011-0.98%-2.71%$394,686$633,852-0.98%-2.71%
201012-2.29%7.30%$387,105$681,595-2.29%7.30%
201110.29%-2.77%$389,706$664,1950.29%-2.77%
20112-0.43%-0.85%$389,505$660,045-0.43%-0.85%
20113-0.12%5.57%$390,532$698,320-0.12%5.57%
201141.60%3.47%$398,299$724,0191.60%3.47%
201151.77%-2.82%$406,840$705,1331.77%-2.82%
20116-0.16%-1.51%$407,679$695,968-0.16%-1.51%
201172.18%-0.82%$418,069$691,7872.18%-0.82%
201182.70%-8.54%$430,888$634,2262.70%-8.54%
201190.73%-16.19%$435,556$533,0860.73%-16.19%
201110-0.42%13.51%$435,253$606,594-0.42%13.51%
2011110.29%-3.41%$438,045$587,4180.29%-3.41%
2011121.00%-3.32%$443,952$569,4161.00%-3.32%
201210.81%11.12%$449,051$634,2250.81%11.12%
20122-0.65%5.56%$447,631$671,019-0.65%5.56%
20123-0.79%-2.86%$445,613$653,332-0.79%-2.86%
201241.50%-1.75%$453,842$643,4531.50%-1.75%
201251.24%-11.08%$461,009$573,7061.24%-11.08%
20126-0.22%4.83%$461,523$602,968-0.22%4.83%
201270.86%0.64%$467,033$608,3320.86%0.64%
201280.10%0.43%$469,049$612,5140.10%0.43%
20129-0.06%5.32%$470,300$646,636-0.06%5.32%
201210-0.32%-0.42%$470,359$645,494-0.32%-0.42%
2012110.62%1.33%$474,799$655,6030.62%1.33%
201212-0.41%5.84%$474,388$695,438-0.41%5.84%
20131-0.74%0.61%$472,423$701,197-0.74%0.61%
201320.71%-1.74%$477,335$690,5550.71%-1.74%
201330.27%-1.54%$480,195$681,4950.27%-1.54%
201340.71%1.32%$485,168$692,0550.71%1.32%
20135-1.84%-3.73%$477,790$667,784-1.84%-3.73%
20136-1.62%-6.14%$471,600$628,350-1.62%-6.14%
201370.13%0.97%$473,759$636,0360.13%0.97%
20138-1.02%-3.18%$470,497$617,386-1.02%-3.18%
201391.47%7.15%$478,965$663,1201.47%7.15%
2013100.49%4.65%$482,852$695,5170.49%4.65%
201311-0.14%-2.02%$483,753$683,049-0.14%-2.02%
201312-1.49%-0.96%$478,103$678,040-1.49%-0.96%
201411.67%-7.27%$487,626$630,3101.67%-7.27%
201420.21%3.42%$490,219$653,4320.21%3.42%
20143-0.60%3.86%$488,860$680,238-0.60%3.86%
201440.49%0.51%$492,848$685,2620.49%0.51%
201451.03%3.72%$499,512$712,3201.03%3.72%
20146-0.13%3.00%$500,454$735,276-0.13%3.00%
20147-0.39%1.46%$500,093$747,625-0.39%1.46%
201481.03%3.57%$506,846$775,8961.03%3.57%
20149-0.66%-7.16%$505,111$721,939-0.66%-7.16%
2014101.12%2.31%$512,366$740,2001.12%2.31%
2014110.84%-1.00%$518,270$734,3810.84%-1.00%
201412-0.35%-4.97%$518,010$699,416-0.35%-4.97%
201512.70%0.67%$533,543$705,6732.70%0.67%
20152-1.59%3.53%$526,644$732,157-1.59%3.53%
201530.76%-2.08%$532,240$718,5290.76%-2.08%
20154-0.21%7.79%$532,694$776,066-0.21%7.79%
20155-0.12%-3.38%$533,636$751,432-0.12%-3.38%
20156-0.74%-2.39%$531,289$735,100-0.74%-2.39%
201570.85%-6.81%$537,379$686,6700.85%-6.81%
20158-0.03%-9.32%$538,784$624,241-0.03%-9.32%
201591.19%-3.25%$546,769$605,5731.19%-3.25%
201510-0.47%5.57%$545,782$640,917-0.47%5.57%
201511-0.39%-3.25%$545,237$621,678-0.39%-3.25%
201512-0.38%-2.45%$544,757$608,039-0.38%-2.45%
201612.36%-6.05%$559,183$572,8242.36%-6.05%
201620.82%-0.87%$565,341$569,4290.82%-0.87%
201630.22%13.04%$568,172$645,2910.22%13.04%
20164-0.13%0.78%$569,037$651,901-0.13%0.78%
20165-0.21%-3.40%$569,461$631,342-0.21%-3.40%
201662.05%5.04%$582,722$664,7992.05%5.04%
201670.04%4.67%$584,589$697,4800.04%4.67%
20168-0.72%1.67%$581,964$710,769-0.72%1.67%
201690.29%1.27%$585,244$721,4110.29%1.27%
201610-0.73%0.63%$582,561$727,592-0.73%0.63%
201611-2.65%-4.36%$568,733$697,477-2.65%-4.36%
201612-0.05%-0.16%$570,049$697,969-0.05%-0.16%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.08%
Mid-cap Value0.51%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.95%1.59%
Emerging Markets0.38%97.09%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%1.24%
Intermediate-Term Treasuries64.13%0.00%
Short-Term Treasuries34.02%0.00%
R Squared97.39%98.59%
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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government100.00%0.20%5.17$219,974100.00%

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
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts100.00%0.29%13.42$347,894100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (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 2
Arithmetic Mean (monthly)0.48%0.70%
Arithmetic Mean (annualized)5.89%8.68%
Geometric Mean (monthly)0.47%0.46%
Geometric Mean (annualized)5.77%5.67%
Volatility (monthly)1.39%6.79%
Volatility (annualized)4.81%23.52%
Downside Deviation (monthly)0.73%4.71%
Max. Drawdown-4.86%-62.70%
US Market Correlation-0.200.77
Beta(*)-0.061.19
Alpha (annualized)6.41%-3.97%
R24.19%59.88%
Sharpe Ratio0.700.25
Sortino Ratio1.170.36
Treynor Ratio (%)-51.324.97
Calmar Ratio0.61-0.06
Active Return-3.77%-3.88%
Tracking Error16.90%15.19%
Information Ratio-0.22-0.26
Skewness0.07-0.55
Excess Kurtosis0.791.59
Historical Value-at-Risk (5%)-1.72%-10.61%
Analytical Value-at-Risk (5%)-1.80%-10.47%
Conditional Value-at-Risk (5%)-2.57%-15.52%
Upside Capture Ratio (%)7.83106.80
Downside Capture Ratio (%)-21.84127.11
Safe Withdrawal Rate7.47%5.96%
Perpetual Withdrawal Rate3.38%3.28%
Positive Periods170 out of 264 (64.39%)147 out of 264 (55.68%)
Gain/Loss Ratio1.351.03
* 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 2
Asian CrisisJul 1997Jan 1998-0.99%-32.75%
Russian Debt DefaultJul 1998Oct 1998-0.77%-26.12%
Dotcom CrashMar 2000Oct 2002-4.03%-43.10%
Subprime CrisisNov 2007Mar 2009-3.43%-62.70%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1996May 19964 monthsOct 19965 months9 months-4.86%
2Oct 1998Jan 20001 year 4 monthsJun 20005 months1 year 9 months-4.67%
3May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
4Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
5Nov 2001Mar 20025 monthsJun 20023 months8 months-4.03%
6Aug 2016Dec 20165 months-3.84%
7Apr 2004May 20042 monthsOct 20045 months7 months-3.74%
8Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
9Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
10Apr 2009Jun 20093 monthsNov 20095 months8 months-3.20%
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-62.70%
2Aug 1997Aug 19981 year 1 monthJan 20045 years 5 months6 years 6 months-53.99%
3Jan 1995Mar 19953 monthsMay 19952 months5 months-11.22%
4May 2006Jun 20062 monthsNov 20065 months7 months-10.92%
5Apr 2004Jul 20044 monthsOct 20043 months7 months-10.41%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-9.40%
7Jul 1996Jul 19961 monthNov 19964 months5 months-6.73%
8Oct 2005Oct 20051 monthNov 20051 month2 months-6.57%
9Aug 1995Oct 19953 monthsJan 19963 months6 months-6.44%
10Mar 1997Apr 19972 monthsJun 19972 months4 months-4.74%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFITXVanguard Interm-Term Treasury Inv5.77%4.81%20.44%-3.52%-4.86%0.701.17-0.20
VEIEXVanguard Emerging Mkts Stock Idx Inv5.67%23.52%75.98%-52.81%-62.70%0.250.360.77

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFITXVEIEXPortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv1.00-0.171.00-0.17
VEIEXVanguard Emerging Mkts Stock Idx Inv-0.171.00-0.171.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv$219,974
VEIEXVanguard Emerging Mkts Stock Idx Inv$347,894

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv100.00%
VEIEXVanguard Emerging Mkts Stock Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.94%20.44%-3.52%10.11%75.98%-52.81%
3 years5.65%11.87%0.87%6.75%37.96%-13.32%
5 years5.68%8.36%1.29%7.74%36.38%-4.99%
7 years5.85%8.33%2.89%8.27%22.93%-2.63%
10 years5.79%7.78%4.41%9.59%16.20%1.72%
15 years5.84%6.94%4.60%8.61%10.51%6.87%
Result statistics are based on annualized rolling returns over full calendar year periods