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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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 1999 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBINX Vanguard Balanced Index Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 10.00%
VBINX Vanguard Balanced Index Inv 90.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 20.00%
VBINX Vanguard Balanced Index Inv 80.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$27,306 5.74% 9.10%20.05%-22.21%-32.57% 0.460.660.99
Portfolio 2$10,000$26,328 5.53% 8.09%17.13%-20.81%-30.09% 0.480.690.98
Portfolio 3$10,000$25,304 5.29% 7.21%16.05%-19.42%-27.54% 0.500.710.95
   
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 (1-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 include annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Balanced Index Inv (VBINX)Vanguard Market Neutral Inv (VMNFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19992.68%13.61%12.97%12.32%$11,361$11,297$11,23213.61%7.15%
20003.39%-2.04%-2.83%-3.62%$11,130$10,977$10,826-2.04%-9.93%
20011.55%-3.02%-1.62%-0.23%$10,794$10,799$10,801-3.02%10.91%
20022.38%-9.52%-7.03%-4.53%$9,766$10,040$10,311-9.52%15.42%
20031.88%19.87%17.13%14.39%$11,707$11,760$11,79519.87%-7.52%
20043.26%9.32%8.78%8.23%$12,798$12,793$12,7679.32%3.88%
20053.42%4.65%5.15%5.65%$13,394$13,452$13,4884.65%9.64%
20062.54%11.02%10.57%10.12%$14,870$14,874$14,85311.02%6.52%
20074.08%6.16%6.83%7.49%$15,786$15,889$15,9666.16%12.81%
20080.09%-22.21%-20.81%-19.42%$12,280$12,582$12,866-22.21%-8.24%
20092.72%20.05%16.91%13.76%$14,743$14,709$14,63720.05%-11.38%
20101.50%13.13%11.71%10.30%$16,678$16,433$16,14413.13%-1.03%
20112.96%4.14%4.50%4.87%$17,368$17,172$16,9304.14%7.80%
20121.74%11.33%10.05%8.77%$19,336$18,898$18,41411.33%-1.50%
20131.50%17.91%16.98%16.05%$22,800$22,107$21,37017.91%8.59%
20140.76%9.84%9.29%8.73%$25,044$24,160$23,2349.84%4.26%
20150.73%0.37%0.87%1.38%$25,136$24,370$23,5540.37%5.41%
20162.07%8.63%8.03%7.43%$27,306$26,328$25,3048.63%2.62%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Balanced Index Inv (VBINX)Vanguard Market Neutral Inv (VMNFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199912.49%2.44%2.39%$10,249$10,244$10,2392.49%1.98%
19992-2.90%-2.78%-2.66%$9,951$9,959$9,967-2.90%-1.67%
199932.59%2.15%1.71%$10,209$10,173$10,1372.59%-1.79%
199942.89%2.25%1.60%$10,504$10,401$10,2992.89%-3.74%
19995-1.56%-1.47%-1.38%$10,340$10,248$10,157-1.56%-0.60%
199962.93%2.91%2.89%$10,643$10,546$10,4502.93%2.71%
19997-1.97%-1.68%-1.38%$10,433$10,369$10,305-1.97%1.17%
19998-0.63%-0.64%-0.64%$10,367$10,303$10,239-0.63%-0.68%
19999-0.96%-0.66%-0.37%$10,268$10,235$10,201-0.96%2.14%
1999103.89%3.18%2.47%$10,668$10,560$10,4533.89%-3.42%
1999112.08%2.10%2.11%$10,890$10,782$10,6742.08%2.26%
1999124.33%4.77%5.23%$11,361$11,297$11,2324.33%9.21%
20001-2.57%-2.85%-3.14%$11,069$10,974$10,880-2.57%-5.40%
200021.98%2.54%3.10%$11,288$11,253$11,2171.98%7.74%
200033.97%3.43%2.88%$11,736$11,638$11,5413.97%-1.35%
20004-3.33%-3.13%-2.93%$11,346$11,274$11,203-3.33%-1.27%
20005-2.10%-2.10%-2.10%$11,108$11,038$10,968-2.10%-2.12%
200063.47%2.76%2.05%$11,494$11,343$11,1933.47%-3.67%
20007-0.79%-0.57%-0.35%$11,402$11,278$11,154-0.79%1.56%
200084.90%4.83%4.76%$11,961$11,822$11,6844.90%4.14%
20009-2.53%-2.63%-2.73%$11,659$11,511$11,365-2.53%-3.60%
200010-0.94%-1.21%-1.48%$11,550$11,372$11,196-0.94%-3.84%
200011-5.38%-5.31%-5.25%$10,929$10,768$10,608-5.38%-4.69%
2000121.84%1.94%2.05%$11,130$10,977$10,8261.84%2.98%
200113.04%1.96%0.89%$11,468$11,193$10,9223.04%-7.73%
20012-5.34%-4.05%-2.72%$10,856$10,740$10,624-5.34%8.97%
20013-3.62%-2.69%-1.77%$10,462$10,450$10,436-3.62%5.42%
200144.61%3.28%1.97%$10,945$10,793$10,6424.61%-7.40%
200150.86%1.27%1.69%$11,039$10,930$10,8210.86%4.99%
20016-0.80%-0.59%-0.37%$10,951$10,866$10,781-0.80%1.27%
20017-0.11%0.26%0.61%$10,939$10,894$10,847-0.11%3.34%
20018-3.09%-2.30%-1.53%$10,601$10,643$10,681-3.09%4.14%
20019-4.77%-3.22%-1.72%$10,095$10,300$10,497-4.77%8.63%
2001102.19%1.21%0.29%$10,316$10,425$10,5282.19%-5.36%
2001113.77%2.83%1.93%$10,705$10,720$10,7313.77%-3.96%
2001120.83%0.74%0.65%$10,794$10,799$10,8010.83%0.02%
20021-0.45%-0.28%-0.12%$10,746$10,769$10,788-0.45%1.21%
20022-0.84%-0.37%0.09%$10,655$10,728$10,798-0.84%3.78%
200231.99%1.68%1.39%$10,867$10,909$10,9481.99%-0.86%
20024-2.30%-1.32%-0.35%$10,617$10,765$10,909-2.30%7.16%
20025-0.40%-0.07%0.25%$10,575$10,757$10,936-0.40%2.53%
20026-3.97%-3.22%-2.50%$10,155$10,410$10,663-3.97%2.55%
20027-4.22%-3.51%-2.83%$9,726$10,045$10,361-4.22%1.63%
200280.95%0.98%1.00%$9,817$10,143$10,4650.95%1.18%
20029-5.44%-4.51%-3.65%$9,284$9,685$10,083-5.44%1.75%
2002104.26%3.28%2.37%$9,680$10,002$10,3224.26%-2.95%
2002113.58%2.15%0.81%$10,026$10,217$10,4063.58%-7.52%
200212-2.59%-1.73%-0.91%$9,766$10,040$10,311-2.59%4.77%
20031-1.47%-1.38%-1.30%$9,623$9,901$10,178-1.47%-0.61%
20032-0.39%-0.22%-0.05%$9,585$9,880$10,173-0.39%1.32%
200330.58%0.60%0.62%$9,641$9,939$10,2360.58%0.78%
200345.22%4.42%3.62%$10,144$10,378$10,6075.22%-2.58%
200354.34%3.69%3.03%$10,584$10,761$10,9284.34%-2.48%
200360.88%0.79%0.69%$10,677$10,845$11,0030.88%-0.18%
200370.06%-0.04%-0.15%$10,684$10,841$10,9870.06%-1.09%
200381.66%1.33%1.00%$10,861$10,985$11,0971.66%-2.02%
200390.41%0.38%0.35%$10,905$11,027$11,1360.41%0.09%
2003103.21%2.94%2.67%$11,255$11,352$11,4333.21%0.09%
2003110.96%0.87%0.78%$11,363$11,451$11,5230.96%-0.09%
2003123.03%2.70%2.36%$11,707$11,760$11,7953.03%-0.94%
200411.70%1.39%1.09%$11,905$11,924$11,9241.70%-1.32%
200421.29%1.21%1.13%$12,059$12,069$12,0591.29%0.48%
20043-0.37%0.01%0.39%$12,015$12,070$12,106-0.37%3.53%
20044-2.31%-2.31%-2.32%$11,738$11,790$11,825-2.31%-2.39%
200450.66%0.55%0.43%$11,815$11,855$11,8760.66%-0.47%
200461.47%1.28%1.09%$11,989$12,006$12,0051.47%-0.47%
20047-1.89%-1.67%-1.45%$11,762$11,806$11,831-1.89%0.38%
200480.99%0.91%0.83%$11,879$11,914$11,9300.99%0.19%
200491.15%1.19%1.24%$12,015$12,056$12,0771.15%1.61%
2004101.30%1.08%0.86%$12,172$12,186$12,1811.30%-0.93%
2004112.52%2.54%2.56%$12,478$12,495$12,4932.52%2.73%
2004122.57%2.38%2.19%$12,798$12,793$12,7672.57%0.64%
20051-1.34%-1.18%-1.01%$12,627$12,642$12,637-1.34%0.27%
200520.99%1.10%1.21%$12,752$12,782$12,7900.99%2.09%
20053-1.29%-0.96%-0.64%$12,588$12,658$12,708-1.29%1.87%
20054-0.84%-1.02%-1.20%$12,482$12,529$12,556-0.84%-2.53%
200552.76%2.68%2.59%$12,827$12,865$12,8822.76%1.97%
200560.72%0.78%0.83%$12,919$12,964$12,9890.72%1.23%
200572.11%1.71%1.30%$13,192$13,186$13,1582.11%-1.82%
20058-0.10%-0.06%-0.03%$13,179$13,177$13,154-0.10%0.27%
200590.11%0.37%0.63%$13,193$13,226$13,2370.11%2.73%
200510-1.47%-1.23%-0.98%$12,999$13,063$13,108-1.47%0.94%
2005112.58%2.33%2.08%$13,334$13,368$13,3802.58%0.17%
2005120.45%0.63%0.81%$13,394$13,452$13,4880.45%2.20%
200612.12%2.10%2.08%$13,678$13,734$13,7692.12%1.93%
200620.15%-0.01%-0.16%$13,698$13,733$13,7470.15%-1.40%
200630.69%0.75%0.82%$13,792$13,837$13,8590.69%1.34%
200640.54%0.68%0.81%$13,867$13,930$13,9710.54%1.90%
20065-1.96%-1.86%-1.76%$13,595$13,671$13,725-1.96%-0.97%
200660.16%0.29%0.43%$13,617$13,711$13,7830.16%1.47%
200670.50%0.58%0.65%$13,686$13,790$13,8720.50%1.21%
200682.00%1.47%0.94%$13,960$13,992$14,0032.00%-3.18%
200691.68%1.59%1.51%$14,194$14,215$14,2141.68%0.82%
2006102.43%2.30%2.16%$14,539$14,542$14,5212.43%1.06%
2006111.80%1.72%1.63%$14,801$14,791$14,7581.80%0.89%
2006120.47%0.56%0.65%$14,870$14,874$14,8530.47%1.41%
200711.08%0.93%0.78%$15,030$15,012$14,9691.08%-0.41%
20072-0.32%-0.50%-0.67%$14,981$14,937$14,869-0.32%-2.06%
200730.65%0.84%1.03%$15,078$15,062$15,0220.65%2.61%
200742.60%2.31%2.02%$15,471$15,411$15,3262.60%-0.33%
200751.90%1.99%2.08%$15,765$15,717$15,6441.90%2.80%
20076-1.15%-0.99%-0.82%$15,583$15,562$15,516-1.15%0.56%
20077-1.72%-1.39%-1.07%$15,315$15,345$15,350-1.72%1.59%
200781.43%1.33%1.23%$15,534$15,549$15,5391.43%0.47%
200792.45%2.06%1.66%$15,915$15,869$15,7982.45%-1.48%
2007101.47%1.43%1.39%$16,149$16,096$16,0171.47%1.03%
200711-1.94%-1.39%-0.84%$15,837$15,872$15,882-1.94%3.71%
200712-0.32%0.10%0.53%$15,786$15,889$15,966-0.32%3.83%
20081-2.91%-2.86%-2.81%$15,327$15,435$15,517-2.91%-2.43%
20082-1.78%-1.59%-1.41%$15,055$15,189$15,299-1.78%0.08%
20083-0.19%-0.16%-0.13%$15,026$15,164$15,278-0.19%0.08%
200842.83%2.44%2.06%$15,452$15,535$15,5932.83%-0.96%
200850.98%1.00%1.01%$15,603$15,690$15,7500.98%1.14%
20086-4.98%-4.38%-3.77%$14,826$15,003$15,156-4.98%1.12%
20087-0.44%-0.47%-0.50%$14,761$14,932$15,081-0.44%-0.72%
200881.23%1.02%0.81%$14,943$15,085$15,2031.23%-0.80%
20089-6.04%-5.58%-5.13%$14,040$14,242$14,422-6.04%-1.62%
200810-11.59%-10.62%-9.66%$12,413$12,730$13,030-11.59%-2.47%
200811-3.43%-3.43%-3.43%$11,988$12,294$12,582-3.43%-3.46%
2008122.44%2.35%2.25%$12,280$12,582$12,8662.44%1.62%
20091-5.18%-4.79%-4.40%$11,644$11,979$12,300-5.18%-1.28%
20092-6.48%-6.06%-5.64%$10,889$11,253$11,606-6.48%-2.40%
200936.10%5.12%4.16%$11,553$11,829$12,0886.10%-3.01%
200946.40%5.47%4.54%$12,292$12,476$12,6376.40%-2.93%
200953.58%3.12%2.64%$12,732$12,865$12,9713.58%-1.51%
200960.50%0.58%0.66%$12,796$12,940$13,0570.50%1.43%
200975.28%4.70%4.11%$13,472$13,548$13,5935.28%-1.31%
200982.62%2.40%2.16%$13,825$13,873$13,8872.62%-0.10%
200992.98%2.67%2.35%$14,237$14,243$14,2132.98%-0.82%
200910-1.33%-1.23%-1.13%$14,048$14,068$14,052-1.33%-0.10%
2009113.88%3.55%3.21%$14,592$14,567$14,5043.88%-0.21%
2009121.03%0.98%0.92%$14,743$14,709$14,6371.03%0.31%
20101-1.50%-1.34%-1.18%$14,522$14,513$14,464-1.50%0.10%
201022.10%2.02%1.94%$14,826$14,806$14,7462.10%1.34%
201033.74%3.36%2.99%$15,381$15,304$15,1863.74%0.00%
201041.74%1.50%1.26%$15,649$15,534$15,3781.74%-0.71%
20105-4.45%-3.95%-3.44%$14,952$14,920$14,848-4.45%0.82%
20106-2.75%-2.56%-2.36%$14,541$14,539$14,498-2.75%-0.81%
201074.50%4.04%3.57%$15,196$15,126$15,0154.50%-0.10%
20108-2.33%-2.18%-2.04%$14,841$14,795$14,709-2.33%-0.82%
201095.59%5.13%4.67%$15,671$15,554$15,3965.59%0.93%
2010102.52%2.30%2.08%$16,067$15,912$15,7162.52%0.20%
2010110.14%0.19%0.23%$16,090$15,942$15,7520.14%0.61%
2010123.66%3.08%2.49%$16,678$16,433$16,1443.66%-2.54%
201111.36%1.25%1.15%$16,904$16,638$16,3291.36%0.31%
201122.26%2.17%2.08%$17,287$16,999$16,6692.26%1.35%
201130.23%0.45%0.67%$17,326$17,076$16,7800.23%2.46%
201142.35%2.18%2.00%$17,734$17,447$17,1162.35%0.60%
20115-0.18%-0.15%-0.12%$17,703$17,421$17,095-0.18%0.10%
20116-1.21%-0.86%-0.50%$17,488$17,272$17,010-1.21%2.38%
20117-0.72%-0.68%-0.63%$17,362$17,155$16,902-0.72%-0.29%
20118-2.81%-2.37%-1.92%$16,874$16,749$16,578-2.81%1.55%
20119-4.39%-4.05%-3.71%$16,132$16,072$15,963-4.39%-1.15%
2011106.98%6.31%5.65%$17,258$17,085$16,8656.98%0.87%
201111-0.28%-0.24%-0.20%$17,210$17,045$16,832-0.28%0.10%
2011120.92%0.75%0.59%$17,368$17,172$16,9300.92%-0.67%
201213.40%3.08%2.76%$17,958$17,701$17,3973.40%0.19%
201222.49%2.31%2.13%$18,405$18,110$17,7682.49%0.67%
201231.62%1.43%1.25%$18,702$18,370$17,9901.62%-0.29%
201240.04%-0.06%-0.17%$18,710$18,358$17,9610.04%-1.06%
20125-3.34%-3.14%-2.93%$18,085$17,783$17,434-3.34%-1.16%
201262.28%2.12%1.96%$18,498$18,159$17,7752.28%0.59%
201271.17%1.29%1.41%$18,715$18,394$18,0261.17%2.44%
201281.55%1.29%1.04%$19,005$18,632$18,2131.55%-1.14%
201291.58%1.31%1.04%$19,306$18,877$18,4021.58%-1.35%
201210-1.01%-0.95%-0.89%$19,111$18,697$18,238-1.01%-0.39%
2012110.51%0.52%0.52%$19,209$18,794$18,3330.51%0.59%
2012120.66%0.55%0.44%$19,336$18,898$18,4140.66%-0.54%
201313.03%2.87%2.70%$19,922$19,439$18,9113.03%1.38%
201320.98%0.94%0.90%$20,117$19,622$19,0820.98%0.58%
201332.36%2.23%2.09%$20,592$20,059$19,4812.36%0.99%
201341.39%1.29%1.19%$20,878$20,318$19,7131.39%0.38%
201350.74%0.76%0.78%$21,033$20,473$19,8680.74%0.95%
20136-1.41%-1.25%-1.09%$20,735$20,217$19,652-1.41%0.28%
201373.33%3.01%2.69%$21,425$20,825$20,1813.33%0.09%
20138-1.95%-1.89%-1.83%$21,006$20,431$19,811-1.95%-1.32%
201392.56%2.40%2.24%$21,545$20,922$20,2542.56%0.86%
2013102.83%2.84%2.85%$22,155$21,516$20,8322.83%2.93%
2013111.60%1.55%1.51%$22,510$21,850$21,1451.60%1.10%
2013121.29%1.17%1.06%$22,800$22,107$21,3701.29%0.09%
20141-1.24%-1.13%-1.02%$22,518$21,857$21,151-1.24%-0.18%
201423.02%2.82%2.63%$23,197$22,474$21,7063.02%1.09%
201430.21%0.38%0.54%$23,246$22,559$21,8240.21%1.89%
201440.36%0.38%0.41%$23,329$22,645$21,9140.36%0.62%
201451.71%1.64%1.56%$23,729$23,016$22,2561.71%0.96%
201461.57%1.25%0.94%$24,101$23,305$22,4651.57%-1.56%
20147-1.28%-1.07%-0.86%$23,792$23,055$22,272-1.28%0.88%
201482.95%2.66%2.36%$24,494$23,667$22,7992.95%0.00%
20149-1.57%-1.41%-1.25%$24,109$23,334$22,514-1.57%0.09%
2014102.09%1.87%1.64%$24,612$23,769$22,8842.09%-0.17%
2014111.74%1.66%1.57%$25,040$24,163$23,2441.74%0.87%
2014120.01%-0.01%-0.04%$25,044$24,160$23,2340.01%-0.26%
20151-0.77%-0.58%-0.39%$24,850$24,018$23,143-0.77%1.13%
201522.95%2.44%1.94%$25,584$24,605$23,5912.95%-2.06%
20153-0.44%-0.29%-0.13%$25,472$24,535$23,560-0.44%1.14%
201540.10%-0.03%-0.16%$25,497$24,528$23,5220.10%-1.22%
201550.63%0.65%0.66%$25,658$24,687$23,6780.63%0.79%
20156-1.42%-1.37%-1.31%$25,294$24,349$23,367-1.42%-0.87%
201571.31%1.43%1.56%$25,626$24,698$23,7311.31%2.55%
20158-3.72%-3.41%-3.10%$24,672$23,856$22,995-3.72%-0.60%
20159-1.45%-0.79%-0.13%$24,315$23,668$22,964-1.45%5.00%
2015104.61%4.06%3.52%$25,435$24,628$23,7724.61%-0.49%
2015110.24%0.14%0.05%$25,495$24,663$23,7840.24%-0.66%
201512-1.41%-1.19%-0.96%$25,136$24,370$23,554-1.41%0.76%
20161-2.81%-2.39%-1.98%$24,431$23,787$23,088-2.81%1.32%
201620.28%0.41%0.54%$24,500$23,885$23,2130.28%1.55%
201634.59%4.07%3.55%$25,624$24,856$24,0374.59%-0.40%
201640.54%0.30%0.06%$25,762$24,931$24,0510.54%-1.85%
201651.04%0.76%0.48%$26,030$25,120$24,1661.04%-1.80%
201660.93%0.72%0.51%$26,272$25,301$24,2890.93%-1.25%
201672.64%2.46%2.27%$26,967$25,924$24,8412.64%0.68%
201680.06%-0.13%-0.32%$26,984$25,891$24,7610.06%-2.02%
201690.08%0.12%0.16%$27,005$25,921$24,8000.08%0.51%
201610-1.68%-1.47%-1.25%$26,551$25,541$24,491-1.68%0.68%
2016111.61%1.84%2.07%$26,979$26,010$24,9981.61%4.07%
2016121.21%1.22%1.23%$27,306$26,328$25,3041.21%1.28%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value21.44%19.65%17.86%
Large-cap Growth27.65%24.22%20.78%
Mid-cap Value6.36%3.83%1.31%
Mid-cap Growth4.37%6.54%8.71%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth1.00%1.26%1.52%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.95%0.69%0.44%
REITs0.08%0.12%0.15%
Corporate Bonds5.17%4.05%2.94%
Long-Term Treasuries0.20%0.82%1.43%
Intermediate-Term Treasuries12.63%9.42%6.20%
Short-Term Treasuries20.16%29.41%38.66%
R Squared99.66%99.36%97.90%
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
VBINXVanguard Balanced Index Inv50% to 70% Equity6.190.18%100.00%$17,306100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VMNFXVanguard Market Neutral InvMarket Neutral1.80%10.00%$882-0.23%
VBINXVanguard Balanced Index Inv50% to 70% Equity6.190.18%90.00%$15,446100.23%

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
VMNFXVanguard Market Neutral InvMarket Neutral1.80%20.00%$1,7172.65%
VBINXVanguard Balanced Index Inv50% to 70% Equity6.190.18%80.00%$13,58897.35%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/04/2019. (c) 2019 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)0.50%0.48%0.45%
Arithmetic Mean (annualized)6.18%5.87%5.57%
Geometric Mean (monthly)0.47%0.45%0.43%
Geometric Mean (annualized)5.74%5.53%5.29%
Volatility (monthly)2.63%2.33%2.08%
Volatility (annualized)9.10%8.09%7.21%
Downside Deviation (monthly)1.75%1.56%1.39%
Max. Drawdown-32.57%-30.09%-27.54%
US Market Correlation0.990.980.95
Beta(*)0.590.520.45
Alpha (annualized)1.93%2.13%2.32%
R297.56%95.96%90.82%
Sharpe Ratio0.460.480.50
Sortino Ratio0.660.690.71
Treynor Ratio (%)7.167.568.08
Calmar Ratio1.181.441.79
Active Return-0.15%-0.37%-0.60%
Tracking Error6.42%7.50%8.66%
Information Ratio-0.02-0.05-0.07
Skewness-0.68-0.76-0.84
Excess Kurtosis1.661.982.38
Historical Value-at-Risk (5%)-4.40%-3.58%-3.18%
Analytical Value-at-Risk (5%)-3.82%-3.37%-2.98%
Conditional Value-at-Risk (5%)-5.97%-5.33%-4.81%
Upside Capture Ratio (%)61.3855.0348.78
Downside Capture Ratio (%)55.9248.8441.78
Safe Withdrawal Rate6.69%6.66%6.61%
Perpetual Withdrawal Rate3.37%3.18%2.96%
Positive Periods138 out of 216 (63.89%)135 out of 216 (62.50%)137 out of 216 (63.43%)
Gain/Loss Ratio0.921.011.01
* 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
Dotcom CrashMar 2000Oct 2002-22.39%-18.08%-13.70%
Subprime CrisisNov 2007Mar 2009-32.57%-30.09%-27.54%

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-32.57%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.39%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
4Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
6Jul 1999Sep 19993 monthsOct 19991 month4 months-3.52%
7May 2012May 20121 monthJul 20122 months3 months-3.34%
8Feb 1999Feb 19991 monthApr 19992 months3 months-2.90%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-2.85%
10Mar 2004Apr 20042 monthsOct 20046 months8 months-2.67%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-30.09%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-18.08%
3May 2011Sep 20115 monthsJan 20124 months9 months-7.89%
4Apr 2000May 20002 monthsAug 20003 months5 months-5.16%
5Aug 2015Sep 20152 monthsMar 20166 months8 months-4.17%
6Apr 2012May 20122 monthsJul 20122 months4 months-3.20%
7Jul 1999Sep 19993 monthsOct 19991 month4 months-2.95%
8Jan 2000Jan 20001 monthMar 20002 months3 months-2.85%
9Feb 1999Feb 19991 monthApr 19992 months3 months-2.78%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-2.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-27.54%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-13.70%
3May 2011Sep 20115 monthsJan 20124 months9 months-6.74%
4Apr 2000May 20002 monthsAug 20003 months5 months-4.97%
5Aug 2015Sep 20152 monthsOct 20151 month3 months-3.23%
6Jan 2000Jan 20001 monthMar 20002 months3 months-3.14%
7Apr 2012May 20122 monthsJul 20122 months4 months-3.09%
8Dec 2015Jan 20162 monthsMar 20162 months4 months-2.93%
9Feb 1999Feb 19991 monthApr 19992 months3 months-2.66%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-2.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBINXVanguard Balanced Index Inv5.74%9.10%20.05%-22.21%-32.57%0.460.660.99
VMNFXVanguard Market Neutral Inv2.77%8.45%15.42%-11.38%-19.53%0.150.23-0.14

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBINXVMNFXPortfolio 1Portfolio 2Portfolio 3
VBINXVanguard Balanced Index Inv--0.131.000.990.97
VMNFXVanguard Market Neutral Inv-0.13--0.13-0.020.11

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBINXVanguard Balanced Index Inv$17,306$15,446$13,588
VMNFXVanguard Market Neutral Inv$882$1,717

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBINXVanguard Balanced Index Inv100.00%100.23%97.35%
VMNFXVanguard Market Neutral Inv-0.23%2.65%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.29%20.05%-22.21%5.97%17.13%-20.81%5.65%16.05%-19.42%
3 years5.72%12.98%-4.92%5.51%12.05%-3.85%5.29%11.13%-2.81%
5 years6.00%13.17%0.96%5.74%11.93%1.36%5.46%10.68%1.75%
7 years5.78%10.77%1.86%5.53%9.90%2.21%5.25%9.02%2.53%
10 years5.26%7.07%2.08%5.05%6.56%2.32%4.82%6.17%2.55%
15 years5.76%6.38%5.41%5.55%6.12%5.20%5.33%5.84%4.97%
Result statistics are based on annualized rolling returns over full calendar year periods