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.
| Ticker | Name | Allocation |
|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 60.00% |
| VBMFX | Vanguard Total Bond Market Index Inv | 40.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $64,622 | 8.09% | 8.86% | 28.74% | -20.20% | -30.72% | 0.64 | 0.95 | 0.98 |
| Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | Vanguard Total Stock Mkt Idx Inv (VTSMX) | Vanguard Total Bond Market Index Inv (VBMFX) |
|---|---|---|---|---|---|
| 1993 | 2.75% | 10.25% | $11,025 | 10.62% | 9.68% |
| 1994 | 2.67% | -1.16% | $10,896 | -0.17% | -2.66% |
| 1995 | 2.54% | 28.74% | $14,029 | 35.79% | 18.18% |
| 1996 | 3.32% | 14.01% | $15,994 | 20.96% | 3.58% |
| 1997 | 1.70% | 22.37% | $19,572 | 30.99% | 9.44% |
| 1998 | 1.61% | 17.39% | $22,976 | 23.26% | 8.58% |
| 1999 | 2.68% | 13.98% | $26,189 | 23.81% | -0.76% |
| 2000 | 3.39% | -1.79% | $25,721 | -10.57% | 11.39% |
| 2001 | 1.55% | -3.21% | $24,896 | -10.97% | 8.43% |
| 2002 | 2.38% | -9.27% | $22,587 | -20.96% | 8.26% |
| 2003 | 1.88% | 20.40% | $27,195 | 31.35% | 3.97% |
| 2004 | 3.26% | 9.20% | $29,698 | 12.51% | 4.24% |
| 2005 | 3.42% | 4.55% | $31,048 | 5.98% | 2.40% |
| 2006 | 2.54% | 11.01% | $34,468 | 15.51% | 4.27% |
| 2007 | 4.08% | 6.06% | $36,558 | 5.49% | 6.92% |
| 2008 | 0.09% | -20.20% | $29,172 | -37.04% | 5.05% |
| 2009 | 2.72% | 19.59% | $34,888 | 28.70% | 5.93% |
| 2010 | 1.50% | 12.82% | $39,362 | 17.09% | 6.42% |
| 2011 | 2.96% | 3.60% | $40,779 | 0.96% | 7.56% |
| 2012 | 1.74% | 11.37% | $45,416 | 16.25% | 4.05% |
| 2013 | 1.50% | 19.10% | $54,093 | 33.35% | -2.26% |
| 2014 | 0.76% | 9.76% | $59,373 | 12.43% | 5.76% |
| 2015 | 0.73% | 0.30% | $59,549 | 0.29% | 0.30% |
| 2016 | 2.07% | 8.52% | $64,622 | 12.53% | 2.50% |
| Year | Month | Portfolio 1 Return | Portfolio 1 Balance | Vanguard Total Stock Mkt Idx Inv (VTSMX) | Vanguard Total Bond Market Index Inv (VBMFX) |
|---|---|---|---|---|---|
| 1993 | 1 | 1.32% | $10,132 | 1.01% | 1.79% |
| 1993 | 2 | 1.06% | $10,240 | 0.46% | 1.96% |
| 1993 | 3 | 1.61% | $10,405 | 2.46% | 0.37% |
| 1993 | 4 | -1.36% | $10,264 | -2.77% | 0.74% |
| 1993 | 5 | 1.85% | $10,453 | 3.03% | 0.14% |
| 1993 | 6 | 1.05% | $10,563 | 0.55% | 1.80% |
| 1993 | 7 | 0.09% | $10,572 | -0.27% | 0.61% |
| 1993 | 8 | 3.02% | $10,891 | 3.93% | 1.69% |
| 1993 | 9 | 0.16% | $10,909 | 0.01% | 0.40% |
| 1993 | 10 | 1.10% | $11,030 | 1.64% | 0.30% |
| 1993 | 11 | -1.36% | $10,880 | -1.62% | -0.97% |
| 1993 | 12 | 1.33% | $11,025 | 1.90% | 0.48% |
| 1994 | 1 | 2.40% | $11,290 | 3.08% | 1.39% |
| 1994 | 2 | -2.06% | $11,057 | -2.24% | -1.78% |
| 1994 | 3 | -3.59% | $10,660 | -4.44% | -2.30% |
| 1994 | 4 | 0.20% | $10,682 | 0.89% | -0.83% |
| 1994 | 5 | 0.59% | $10,744 | 0.97% | 0.00% |
| 1994 | 6 | -1.72% | $10,559 | -2.73% | -0.18% |
| 1994 | 7 | 2.58% | $10,832 | 3.08% | 1.84% |
| 1994 | 8 | 2.70% | $11,124 | 4.39% | 0.14% |
| 1994 | 9 | -1.69% | $10,936 | -1.85% | -1.44% |
| 1994 | 10 | 0.92% | $11,037 | 1.55% | -0.07% |
| 1994 | 11 | -2.31% | $10,782 | -3.65% | -0.18% |
| 1994 | 12 | 1.06% | $10,896 | 1.23% | 0.80% |
| 1995 | 1 | 2.08% | $11,123 | 2.20% | 1.90% |
| 1995 | 2 | 3.30% | $11,490 | 4.04% | 2.17% |
| 1995 | 3 | 1.87% | $11,705 | 2.65% | 0.67% |
| 1995 | 4 | 2.04% | $11,944 | 2.51% | 1.31% |
| 1995 | 5 | 3.66% | $12,381 | 3.48% | 3.95% |
| 1995 | 6 | 2.08% | $12,638 | 2.98% | 0.66% |
| 1995 | 7 | 2.38% | $12,939 | 4.02% | -0.25% |
| 1995 | 8 | 1.11% | $13,083 | 1.07% | 1.18% |
| 1995 | 9 | 2.62% | $13,426 | 3.61% | 0.95% |
| 1995 | 10 | -0.20% | $13,399 | -1.17% | 1.47% |
| 1995 | 11 | 3.15% | $13,820 | 4.17% | 1.44% |
| 1995 | 12 | 1.51% | $14,029 | 1.54% | 1.44% |
| 1996 | 1 | 1.85% | $14,288 | 2.66% | 0.63% |
| 1996 | 2 | 0.28% | $14,328 | 1.62% | -1.76% |
| 1996 | 3 | 0.40% | $14,386 | 1.14% | -0.77% |
| 1996 | 4 | 1.30% | $14,573 | 2.41% | -0.49% |
| 1996 | 5 | 1.60% | $14,805 | 2.66% | -0.17% |
| 1996 | 6 | -0.06% | $14,796 | -0.84% | 1.27% |
| 1996 | 7 | -3.27% | $14,313 | -5.37% | 0.25% |
| 1996 | 8 | 1.83% | $14,575 | 3.09% | -0.16% |
| 1996 | 9 | 3.98% | $15,155 | 5.38% | 1.70% |
| 1996 | 10 | 1.72% | $15,416 | 1.43% | 2.21% |
| 1996 | 11 | 4.92% | $16,175 | 6.81% | 1.76% |
| 1996 | 12 | -1.12% | $15,994 | -1.27% | -0.85% |
| 1997 | 1 | 3.37% | $16,534 | 5.46% | 0.25% |
| 1997 | 2 | -0.02% | $16,530 | -0.11% | 0.11% |
| 1997 | 3 | -3.10% | $16,017 | -4.45% | -0.97% |
| 1997 | 4 | 3.30% | $16,546 | 4.50% | 1.49% |
| 1997 | 5 | 4.67% | $17,319 | 7.10% | 0.87% |
| 1997 | 6 | 3.16% | $17,867 | 4.37% | 1.16% |
| 1997 | 7 | 5.94% | $18,928 | 7.77% | 2.80% |
| 1997 | 8 | -2.69% | $18,419 | -3.72% | -0.85% |
| 1997 | 9 | 4.19% | $19,191 | 5.77% | 1.45% |
| 1997 | 10 | -1.68% | $18,869 | -3.40% | 1.45% |
| 1997 | 11 | 2.23% | $19,290 | 3.33% | 0.33% |
| 1997 | 12 | 1.46% | $19,572 | 1.70% | 1.04% |
| 1998 | 1 | 0.79% | $19,728 | 0.44% | 1.32% |
| 1998 | 2 | 4.35% | $20,586 | 7.34% | -0.10% |
| 1998 | 3 | 3.24% | $21,253 | 5.06% | 0.33% |
| 1998 | 4 | 0.88% | $21,440 | 1.10% | 0.51% |
| 1998 | 5 | -1.32% | $21,156 | -2.71% | 1.02% |
| 1998 | 6 | 2.50% | $21,685 | 3.54% | 0.81% |
| 1998 | 7 | -1.34% | $21,396 | -2.27% | 0.23% |
| 1998 | 8 | -8.96% | $19,478 | -15.65% | 1.90% |
| 1998 | 9 | 4.67% | $20,387 | 6.68% | 1.96% |
| 1998 | 10 | 4.16% | $21,235 | 7.51% | -0.55% |
| 1998 | 11 | 3.91% | $22,066 | 6.17% | 0.49% |
| 1998 | 12 | 4.12% | $22,976 | 6.45% | 0.38% |
| 1999 | 1 | 2.51% | $23,552 | 3.65% | 0.79% |
| 1999 | 2 | -2.96% | $22,855 | -3.73% | -1.77% |
| 1999 | 3 | 2.59% | $23,447 | 3.93% | 0.56% |
| 1999 | 4 | 3.01% | $24,153 | 4.68% | 0.40% |
| 1999 | 5 | -1.57% | $23,773 | -2.00% | -0.88% |
| 1999 | 6 | 2.99% | $24,485 | 5.16% | -0.50% |
| 1999 | 7 | -2.16% | $23,956 | -3.20% | -0.39% |
| 1999 | 8 | -0.60% | $23,812 | -0.92% | -0.08% |
| 1999 | 9 | -1.04% | $23,565 | -2.44% | 1.26% |
| 1999 | 10 | 3.98% | $24,502 | 6.29% | 0.33% |
| 1999 | 11 | 2.15% | $25,029 | 3.42% | 0.02% |
| 1999 | 12 | 4.63% | $26,189 | 7.59% | -0.48% |
| 2000 | 1 | -2.58% | $25,514 | -4.18% | -0.17% |
| 2000 | 2 | 1.98% | $26,020 | 2.54% | 1.18% |
| 2000 | 3 | 3.94% | $27,046 | 5.69% | 1.40% |
| 2000 | 4 | -3.34% | $26,144 | -5.21% | -0.49% |
| 2000 | 5 | -2.08% | $25,599 | -3.41% | -0.16% |
| 2000 | 6 | 3.47% | $26,489 | 4.42% | 2.15% |
| 2000 | 7 | -0.79% | $26,280 | -1.95% | 0.88% |
| 2000 | 8 | 4.82% | $27,547 | 7.28% | 1.40% |
| 2000 | 9 | -2.47% | $26,866 | -4.67% | 0.76% |
| 2000 | 10 | -0.95% | $26,609 | -2.04% | 0.57% |
| 2000 | 11 | -5.03% | $25,270 | -9.90% | 1.58% |
| 2000 | 12 | 1.78% | $25,721 | 1.78% | 1.79% |
| 2001 | 1 | 3.00% | $26,493 | 3.83% | 1.76% |
| 2001 | 2 | -5.33% | $25,079 | -9.41% | 0.91% |
| 2001 | 3 | -3.66% | $24,161 | -6.72% | 0.54% |
| 2001 | 4 | 4.37% | $25,217 | 8.16% | -0.46% |
| 2001 | 5 | 0.89% | $25,443 | 1.01% | 0.73% |
| 2001 | 6 | -0.73% | $25,257 | -1.64% | 0.52% |
| 2001 | 7 | -0.04% | $25,246 | -1.71% | 2.23% |
| 2001 | 8 | -2.92% | $24,509 | -6.00% | 1.11% |
| 2001 | 9 | -4.53% | $23,398 | -9.00% | 0.89% |
| 2001 | 10 | 2.21% | $23,915 | 2.52% | 1.86% |
| 2001 | 11 | 3.37% | $24,720 | 7.63% | -1.34% |
| 2001 | 12 | 0.71% | $24,896 | 1.78% | -0.58% |
| 2002 | 1 | -0.47% | $24,779 | -1.24% | 0.69% |
| 2002 | 2 | -0.87% | $24,562 | -2.05% | 0.85% |
| 2002 | 3 | 1.97% | $25,047 | 4.38% | -1.46% |
| 2002 | 4 | -2.28% | $24,477 | -4.90% | 1.69% |
| 2002 | 5 | -0.38% | $24,383 | -1.22% | 0.80% |
| 2002 | 6 | -3.98% | $23,412 | -7.06% | 0.29% |
| 2002 | 7 | -4.30% | $22,405 | -8.02% | 0.48% |
| 2002 | 8 | 1.05% | $22,641 | 0.53% | 1.66% |
| 2002 | 9 | -4.71% | $21,575 | -10.07% | 1.53% |
| 2002 | 10 | 3.58% | $22,347 | 7.65% | -0.61% |
| 2002 | 11 | 3.21% | $23,064 | 6.06% | 0.02% |
| 2002 | 12 | -2.07% | $22,587 | -5.57% | 2.07% |
| 2003 | 1 | -1.50% | $22,247 | -2.54% | 0.05% |
| 2003 | 2 | -0.44% | $22,149 | -1.69% | 1.38% |
| 2003 | 3 | 0.58% | $22,278 | 1.09% | -0.13% |
| 2003 | 4 | 5.19% | $23,435 | 8.21% | 0.87% |
| 2003 | 5 | 4.42% | $24,471 | 6.11% | 1.82% |
| 2003 | 6 | 0.83% | $24,674 | 1.43% | -0.13% |
| 2003 | 7 | 0.19% | $24,721 | 2.36% | -3.34% |
| 2003 | 8 | 1.74% | $25,150 | 2.39% | 0.61% |
| 2003 | 9 | 0.25% | $25,214 | -1.15% | 2.71% |
| 2003 | 10 | 3.48% | $26,093 | 6.12% | -0.96% |
| 2003 | 11 | 0.98% | $26,350 | 1.38% | 0.27% |
| 2003 | 12 | 3.21% | $27,195 | 4.48% | 0.88% |
| 2004 | 1 | 1.68% | $27,653 | 2.23% | 0.86% |
| 2004 | 2 | 1.27% | $28,005 | 1.43% | 1.03% |
| 2004 | 3 | -0.33% | $27,912 | -1.07% | 0.80% |
| 2004 | 4 | -2.31% | $27,267 | -2.11% | -2.61% |
| 2004 | 5 | 0.64% | $27,441 | 1.35% | -0.43% |
| 2004 | 6 | 1.48% | $27,848 | 2.09% | 0.56% |
| 2004 | 7 | -1.94% | $27,309 | -3.80% | 0.96% |
| 2004 | 8 | 0.97% | $27,573 | 0.31% | 1.94% |
| 2004 | 9 | 1.10% | $27,876 | 1.74% | 0.16% |
| 2004 | 10 | 1.34% | $28,250 | 1.68% | 0.85% |
| 2004 | 11 | 2.48% | $28,951 | 4.68% | -0.81% |
| 2004 | 12 | 2.58% | $29,698 | 3.63% | 0.92% |
| 2005 | 1 | -1.34% | $29,299 | -2.68% | 0.65% |
| 2005 | 2 | 0.97% | $29,583 | 2.07% | -0.63% |
| 2005 | 3 | -1.24% | $29,215 | -1.75% | -0.49% |
| 2005 | 4 | -0.83% | $28,972 | -2.32% | 1.35% |
| 2005 | 5 | 2.65% | $29,738 | 3.77% | 1.05% |
| 2005 | 6 | 0.71% | $29,948 | 0.81% | 0.55% |
| 2005 | 7 | 2.03% | $30,557 | 4.11% | -0.99% |
| 2005 | 8 | -0.04% | $30,546 | -0.94% | 1.36% |
| 2005 | 9 | 0.07% | $30,568 | 0.86% | -1.10% |
| 2005 | 10 | -1.45% | $30,126 | -1.86% | -0.81% |
| 2005 | 11 | 2.58% | $30,904 | 3.97% | 0.48% |
| 2005 | 12 | 0.47% | $31,048 | 0.14% | 0.99% |
| 2006 | 1 | 2.06% | $31,687 | 3.50% | -0.11% |
| 2006 | 2 | 0.15% | $31,733 | 0.00% | 0.37% |
| 2006 | 3 | 0.70% | $31,957 | 1.80% | -1.00% |
| 2006 | 4 | 0.60% | $32,149 | 1.11% | -0.21% |
| 2006 | 5 | -2.03% | $31,496 | -3.23% | -0.09% |
| 2006 | 6 | 0.15% | $31,541 | 0.17% | 0.10% |
| 2006 | 7 | 0.45% | $31,682 | -0.13% | 1.35% |
| 2006 | 8 | 2.05% | $32,331 | 2.31% | 1.64% |
| 2006 | 9 | 1.70% | $32,880 | 2.27% | 0.81% |
| 2006 | 10 | 2.44% | $33,681 | 3.53% | 0.72% |
| 2006 | 11 | 1.80% | $34,289 | 2.23% | 1.11% |
| 2006 | 12 | 0.52% | $34,468 | 1.13% | -0.48% |
| 2007 | 1 | 1.09% | $34,845 | 1.88% | -0.08% |
| 2007 | 2 | -0.38% | $34,712 | -1.61% | 1.50% |
| 2007 | 3 | 0.67% | $34,945 | 1.11% | 0.02% |
| 2007 | 4 | 2.61% | $35,857 | 4.01% | 0.51% |
| 2007 | 5 | 1.94% | $36,552 | 3.69% | -0.78% |
| 2007 | 6 | -1.18% | $36,121 | -1.67% | -0.39% |
| 2007 | 7 | -1.78% | $35,479 | -3.41% | 0.84% |
| 2007 | 8 | 1.41% | $35,979 | 1.45% | 1.34% |
| 2007 | 9 | 2.46% | $36,864 | 3.59% | 0.72% |
| 2007 | 10 | 1.49% | $37,414 | 1.85% | 0.93% |
| 2007 | 11 | -2.02% | $36,658 | -4.49% | 1.91% |
| 2007 | 12 | -0.27% | $36,558 | -0.60% | 0.22% |
| 2008 | 1 | -2.97% | $35,471 | -6.08% | 1.69% |
| 2008 | 2 | -1.70% | $34,866 | -3.07% | 0.19% |
| 2008 | 3 | -0.21% | $34,794 | -0.58% | 0.30% |
| 2008 | 4 | 2.74% | $35,746 | 5.02% | -0.30% |
| 2008 | 5 | 0.89% | $36,065 | 2.09% | -0.79% |
| 2008 | 6 | -4.84% | $34,320 | -8.19% | -0.01% |
| 2008 | 7 | -0.44% | $34,170 | -0.77% | 0.00% |
| 2008 | 8 | 1.20% | $34,580 | 1.58% | 0.70% |
| 2008 | 9 | -5.75% | $32,592 | -9.26% | -1.10% |
| 2008 | 10 | -10.81% | $29,068 | -17.63% | -2.53% |
| 2008 | 11 | -2.21% | $28,427 | -7.90% | 3.64% |
| 2008 | 12 | 2.62% | $29,172 | 1.86% | 3.32% |
| 2009 | 1 | -5.23% | $27,646 | -8.26% | -0.70% |
| 2009 | 2 | -6.25% | $25,919 | -10.45% | -0.42% |
| 2009 | 3 | 5.46% | $27,334 | 8.65% | 1.48% |
| 2009 | 4 | 6.22% | $29,033 | 10.61% | 0.36% |
| 2009 | 5 | 3.55% | $30,062 | 5.38% | 0.85% |
| 2009 | 6 | 0.42% | $30,188 | 0.34% | 0.54% |
| 2009 | 7 | 5.30% | $31,788 | 7.82% | 1.43% |
| 2009 | 8 | 2.63% | $32,625 | 3.63% | 1.01% |
| 2009 | 9 | 3.09% | $33,633 | 4.23% | 1.19% |
| 2009 | 10 | -1.47% | $33,138 | -2.57% | 0.41% |
| 2009 | 11 | 4.03% | $34,473 | 5.63% | 1.36% |
| 2009 | 12 | 1.20% | $34,888 | 2.86% | -1.68% |
| 2010 | 1 | -1.47% | $34,375 | -3.50% | 1.57% |
| 2010 | 2 | 2.06% | $35,082 | 3.36% | 0.20% |
| 2010 | 3 | 3.70% | $36,380 | 6.27% | -0.08% |
| 2010 | 4 | 1.74% | $37,012 | 2.17% | 1.06% |
| 2010 | 5 | -4.56% | $35,323 | -8.00% | 0.87% |
| 2010 | 6 | -2.68% | $34,375 | -5.66% | 1.61% |
| 2010 | 7 | 4.40% | $35,889 | 6.99% | 0.94% |
| 2010 | 8 | -2.17% | $35,110 | -4.75% | 1.48% |
| 2010 | 9 | 5.40% | $37,007 | 9.47% | -0.01% |
| 2010 | 10 | 2.49% | $37,926 | 3.94% | 0.36% |
| 2010 | 11 | 0.12% | $37,972 | 0.58% | -0.57% |
| 2010 | 12 | 3.66% | $39,362 | 6.81% | -1.15% |
| 2011 | 1 | 1.34% | $39,892 | 2.19% | 0.08% |
| 2011 | 2 | 2.24% | $40,785 | 3.60% | 0.16% |
| 2011 | 3 | 0.27% | $40,897 | 0.45% | -0.01% |
| 2011 | 4 | 2.34% | $41,856 | 2.99% | 1.32% |
| 2011 | 5 | -0.22% | $41,764 | -1.16% | 1.30% |
| 2011 | 6 | -1.24% | $41,244 | -1.79% | -0.39% |
| 2011 | 7 | -0.77% | $40,925 | -2.28% | 1.58% |
| 2011 | 8 | -3.01% | $39,694 | -5.99% | 1.46% |
| 2011 | 9 | -4.13% | $38,055 | -7.75% | 0.89% |
| 2011 | 10 | 6.50% | $40,530 | 11.51% | 0.16% |
| 2011 | 11 | -0.29% | $40,410 | -0.29% | -0.30% |
| 2011 | 12 | 0.91% | $40,779 | 0.80% | 1.08% |
| 2012 | 1 | 3.40% | $42,165 | 5.08% | 0.87% |
| 2012 | 2 | 2.58% | $43,252 | 4.26% | -0.05% |
| 2012 | 3 | 1.68% | $43,978 | 3.07% | -0.58% |
| 2012 | 4 | 0.01% | $43,984 | -0.65% | 1.14% |
| 2012 | 5 | -3.53% | $42,429 | -6.24% | 0.95% |
| 2012 | 6 | 2.39% | $43,442 | 3.91% | 0.04% |
| 2012 | 7 | 1.17% | $43,949 | 1.03% | 1.39% |
| 2012 | 8 | 1.54% | $44,625 | 2.48% | 0.03% |
| 2012 | 9 | 1.64% | $45,357 | 2.58% | 0.11% |
| 2012 | 10 | -1.06% | $44,876 | -1.76% | 0.11% |
| 2012 | 11 | 0.53% | $45,115 | 0.74% | 0.19% |
| 2012 | 12 | 0.67% | $45,416 | 1.19% | -0.20% |
| 2013 | 1 | 3.01% | $46,786 | 5.50% | -0.71% |
| 2013 | 2 | 0.99% | $47,250 | 1.28% | 0.54% |
| 2013 | 3 | 2.42% | $48,396 | 3.88% | 0.08% |
| 2013 | 4 | 1.41% | $49,076 | 1.70% | 0.91% |
| 2013 | 5 | 0.82% | $49,477 | 2.32% | -1.71% |
| 2013 | 6 | -1.41% | $48,779 | -1.27% | -1.65% |
| 2013 | 7 | 3.57% | $50,518 | 5.49% | 0.20% |
| 2013 | 8 | -2.06% | $49,479 | -2.82% | -0.64% |
| 2013 | 9 | 2.70% | $50,815 | 3.66% | 0.96% |
| 2013 | 10 | 3.02% | $52,348 | 4.22% | 0.78% |
| 2013 | 11 | 1.77% | $53,277 | 2.88% | -0.35% |
| 2013 | 12 | 1.53% | $54,093 | 2.63% | -0.65% |
| 2014 | 1 | -1.25% | $53,419 | -3.11% | 1.54% |
| 2014 | 2 | 2.98% | $55,012 | 4.73% | 0.48% |
| 2014 | 3 | 0.25% | $55,149 | 0.51% | -0.15% |
| 2014 | 4 | 0.35% | $55,340 | 0.06% | 0.77% |
| 2014 | 5 | 1.72% | $56,292 | 2.17% | 1.05% |
| 2014 | 6 | 1.57% | $57,175 | 2.54% | 0.11% |
| 2014 | 7 | -1.30% | $56,430 | -1.98% | -0.26% |
| 2014 | 8 | 2.97% | $58,107 | 4.18% | 1.13% |
| 2014 | 9 | -1.59% | $57,186 | -2.14% | -0.72% |
| 2014 | 10 | 2.03% | $58,348 | 2.74% | 0.94% |
| 2014 | 11 | 1.73% | $59,355 | 2.41% | 0.65% |
| 2014 | 12 | 0.03% | $59,373 | -0.01% | 0.09% |
| 2015 | 1 | -0.74% | $58,934 | -2.77% | 2.31% |
| 2015 | 2 | 2.94% | $60,667 | 5.76% | -1.08% |
| 2015 | 3 | -0.46% | $60,385 | -1.04% | 0.41% |
| 2015 | 4 | 0.11% | $60,451 | 0.42% | -0.36% |
| 2015 | 5 | 0.66% | $60,849 | 1.39% | -0.45% |
| 2015 | 6 | -1.43% | $59,976 | -1.71% | -1.01% |
| 2015 | 7 | 1.29% | $60,748 | 1.63% | 0.76% |
| 2015 | 8 | -3.80% | $58,442 | -6.03% | -0.36% |
| 2015 | 9 | -1.43% | $57,605 | -2.93% | 0.76% |
| 2015 | 10 | 4.59% | $60,247 | 7.84% | 0.01% |
| 2015 | 11 | 0.22% | $60,379 | 0.54% | -0.27% |
| 2015 | 12 | -1.37% | $59,549 | -2.03% | -0.38% |
| 2016 | 1 | -2.83% | $57,863 | -5.67% | 1.43% |
| 2016 | 2 | 0.25% | $58,008 | -0.04% | 0.66% |
| 2016 | 3 | 4.47% | $60,599 | 7.01% | 0.94% |
| 2016 | 4 | 0.53% | $60,918 | 0.63% | 0.38% |
| 2016 | 5 | 1.07% | $61,572 | 1.79% | 0.01% |
| 2016 | 6 | 0.91% | $62,133 | 0.23% | 1.94% |
| 2016 | 7 | 2.61% | $63,756 | 3.95% | 0.64% |
| 2016 | 8 | 0.09% | $63,813 | 0.26% | -0.17% |
| 2016 | 9 | 0.06% | $63,849 | 0.15% | -0.09% |
| 2016 | 10 | -1.66% | $62,790 | -2.21% | -0.81% |
| 2016 | 11 | 1.62% | $63,804 | 4.44% | -2.64% |
| 2016 | 12 | 1.28% | $64,622 | 1.92% | 0.24% |
| Style Category | Portfolio 1 |
|---|---|
| Large-cap Value | 20.74% |
| Large-cap Growth | 28.33% |
| Mid-cap Value | 6.88% |
| Mid-cap Growth | 3.73% |
| Small-cap Value | 0.00% |
| Small-cap Growth | 1.01% |
| Global ex-US Developed Markets | 0.10% |
| Emerging Markets | 0.99% |
| REITs | 0.01% |
| Corporate Bonds | 5.47% |
| Long-Term Treasuries | 0.69% |
| Intermediate-Term Treasuries | 11.10% |
| Short-Term Treasuries | 20.96% |
| R Squared | 99.70% |
| 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. | |
| Ticker | Name | Category | Weight | ER | P/E | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | Large Blend | 60.00% | 0.14% | 19.23 | $41,002 | 97.15% | |
| VBMFX | Vanguard Total Bond Market Index Inv | Intermediate Core Bond | 40.00% | 0.15% | 6.21 | $13,620 | 2.85% | |
| 100.00% | 0.14% | 19.23 | 6.21 | $54,622 | 100.00% |
Fund fundamentals data as of 06/04/2020. (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.
| Metric | Portfolio 1 |
|---|---|
| Arithmetic Mean (monthly) | 0.68% |
| Arithmetic Mean (annualized) | 8.51% |
| Geometric Mean (monthly) | 0.65% |
| Geometric Mean (annualized) | 8.09% |
| Volatility (monthly) | 2.56% |
| Volatility (annualized) | 8.86% |
| Downside Deviation (monthly) | 1.63% |
| Max. Drawdown | -30.72% |
| US Market Correlation | 0.98 |
| Beta(*) | 0.59 |
| Alpha (annualized) | 2.35% |
| R2 | 96.86% |
| Sharpe Ratio | 0.64 |
| Sortino Ratio | 0.95 |
| Treynor Ratio (%) | 9.63 |
| Calmar Ratio | 1.15 |
| Active Return | -1.08% |
| Tracking Error | 6.28% |
| Information Ratio | -0.17 |
| Skewness | -0.73 |
| Excess Kurtosis | 1.43 |
| Historical Value-at-Risk (5%) | -3.90% |
| Analytical Value-at-Risk (5%) | -3.60% |
| Conditional Value-at-Risk (5%) | -5.60% |
| Upside Capture Ratio (%) | 63.31 |
| Downside Capture Ratio (%) | 56.01 |
| Safe Withdrawal Rate | 8.44% |
| Perpetual Withdrawal Rate | 5.41% |
| Positive Periods | 192 out of 288 (66.67%) |
| Gain/Loss Ratio | 0.97 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |
| Stress Period | Start | End | Portfolio 1 |
|---|---|---|---|
| Asian Crisis | Jul 1997 | Jan 1998 | -2.69% |
| Russian Debt Default | Jul 1998 | Oct 1998 | -10.18% |
| Dotcom Crash | Mar 2000 | Oct 2002 | -21.68% |
| Subprime Crisis | Nov 2007 | Mar 2009 | -30.72% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Oct 2010 | 1 year 8 months | 3 years | -30.72% |
| 2 | Sep 2000 | Sep 2002 | 2 years 1 month | Jan 2004 | 1 year 4 months | 3 years 5 months | -21.68% |
| 3 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -10.18% |
| 4 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 4 months | 9 months | -9.08% |
| 5 | Feb 1994 | Jun 1994 | 5 months | Feb 1995 | 8 months | 1 year 1 month | -6.47% |
| 6 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -5.35% |
| 7 | Jun 2015 | Sep 2015 | 4 months | Apr 2016 | 7 months | 11 months | -5.33% |
| 8 | Jul 1999 | Sep 1999 | 3 months | Oct 1999 | 1 month | 4 months | -3.76% |
| 9 | May 2012 | May 2012 | 1 month | Aug 2012 | 3 months | 4 months | -3.53% |
| 10 | Jun 1996 | Jul 1996 | 2 months | Sep 1996 | 2 months | 4 months | -3.33% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 9.17% | 14.79% | 35.79% | -37.04% | -50.89% | 0.50 | 0.71 | 1.00 |
| VBMFX | Vanguard Total Bond Market Index Inv | 5.37% | 3.61% | 18.18% | -2.66% | -5.01% | 0.78 | 1.27 | 0.01 |
| Ticker | Name | VTSMX | VBMFX | Portfolio 1 |
|---|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 1.00 | 0.01 | 0.98 |
| VBMFX | Vanguard Total Bond Market Index Inv | 0.01 | 1.00 | 0.18 |
| Ticker | Name | Portfolio 1 |
|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | $41,002 |
| VBMFX | Vanguard Total Bond Market Index Inv | $13,620 |
| Ticker | Name | Portfolio 1 |
|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 97.15% |
| VBMFX | Vanguard Total Bond Market Index Inv | 2.85% |
| Roll Period | Average | High | Low |
|---|---|---|---|
| 1 year | 8.64% | 28.74% | -20.20% |
| 3 years | 8.47% | 21.56% | -4.81% |
| 5 years | 8.06% | 19.17% | 1.41% |
| 7 years | 7.38% | 14.74% | 2.29% |
| 10 years | 6.71% | 10.55% | 2.42% |
| 15 years | 6.69% | 9.03% | 5.61% |
| Result statistics are based on annualized rolling returns over full calendar year periods | |||