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.

$ .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 1999 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 50.00%
VBINX Vanguard Balanced Index Inv 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 70.00%
VBINX Vanguard Balanced Index Inv 30.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 90.00%
VBINX Vanguard Balanced Index Inv 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$22,039 4.49% 5.81%13.25%-15.23%-21.58% 0.470.670.65
Portfolio 2$10,000$19,771 3.86% 6.24%11.39%-12.43%-18.10% 0.350.510.28
Portfolio 3$10,000$17,493 3.16% 7.57%12.93%-9.64%-17.97% 0.210.31-0.03
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Market Neutral Inv (VMNFX)Vanguard Balanced Index Inv (VBINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19992.68%10.38%9.09%7.80%$11,038$10,909$10,7807.15%13.61%
20003.39%-5.98%-7.56%-9.14%$10,378$10,084$9,794-9.93%-2.04%
20011.55%3.95%6.73%9.52%$10,787$10,763$10,72710.91%-3.02%
20022.38%2.95%7.94%12.93%$11,106$11,617$12,11315.42%-9.52%
20031.88%6.18%0.70%-4.78%$11,791$11,698$11,534-7.52%19.87%
20043.26%6.60%5.51%4.42%$12,570$12,343$12,0443.88%9.32%
20053.42%7.15%8.14%9.14%$13,468$13,348$13,1459.64%4.65%
20062.54%8.77%7.87%6.97%$14,649$14,399$14,0626.52%11.02%
20074.08%9.49%10.82%12.15%$16,039$15,957$15,77012.81%6.16%
20080.09%-15.23%-12.43%-9.64%$13,597$13,973$14,250-8.24%-22.21%
20092.72%4.33%-1.95%-8.24%$14,186$13,700$13,076-11.38%20.05%
20101.50%6.05%3.22%0.39%$15,044$14,141$13,126-1.03%13.13%
20112.96%5.97%6.70%7.44%$15,943$15,089$14,1027.80%4.14%
20121.74%4.92%2.35%-0.21%$16,727$15,444$14,072-1.50%11.33%
20131.50%13.25%11.39%9.53%$18,943$17,203$15,4138.59%17.91%
20140.76%7.05%5.94%4.82%$20,279$18,224$16,1564.26%9.84%
20150.73%2.89%3.90%4.90%$20,865$18,934$16,9485.41%0.37%
20162.07%5.62%4.42%3.22%$22,039$19,771$17,4932.62%8.63%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Market Neutral Inv (VMNFX)Vanguard Balanced Index Inv (VBINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199912.24%2.13%2.03%$10,224$10,213$10,2031.98%2.49%
19992-2.29%-2.04%-1.79%$9,990$10,005$10,021-1.67%-2.90%
199930.39%-0.48%-1.35%$10,029$9,957$9,885-1.79%2.59%
19994-0.37%-1.70%-3.05%$9,992$9,788$9,583-3.74%2.89%
19995-1.10%-0.91%-0.70%$9,882$9,699$9,516-0.60%-1.56%
199962.82%2.78%2.73%$10,161$9,968$9,7752.71%2.93%
19997-0.47%0.17%0.83%$10,113$9,985$9,8561.17%-1.97%
19998-0.65%-0.66%-0.67%$10,047$9,918$9,790-0.68%-0.63%
199990.54%1.17%1.81%$10,101$10,034$9,9672.14%-0.96%
1999100.30%-1.18%-2.67%$10,131$9,916$9,701-3.42%3.89%
1999112.17%2.20%2.24%$10,351$10,135$9,9192.26%2.08%
1999126.64%7.64%8.68%$11,038$10,909$10,7809.21%4.33%
20001-3.98%-4.55%-5.12%$10,598$10,412$10,228-5.40%-2.57%
200024.82%5.97%7.15%$11,109$11,035$10,9597.74%1.98%
200031.28%0.22%-0.83%$11,251$11,059$10,868-1.35%3.97%
20004-2.32%-1.90%-1.48%$10,990$10,848$10,707-1.27%-3.33%
20005-2.11%-2.11%-2.12%$10,758$10,619$10,480-2.12%-2.10%
20006-0.09%-1.52%-2.95%$10,749$10,458$10,171-3.67%3.47%
200070.34%0.82%1.31%$10,785$10,543$10,3041.56%-0.79%
200084.53%4.38%4.22%$11,274$11,005$10,7394.14%4.90%
20009-3.05%-3.27%-3.49%$10,930$10,645$10,364-3.60%-2.53%
200010-2.33%-2.92%-3.53%$10,675$10,334$9,999-3.84%-0.94%
200011-5.05%-4.91%-4.76%$10,136$9,827$9,523-4.69%-5.38%
2000122.38%2.61%2.85%$10,378$10,084$9,7942.98%1.84%
20011-2.35%-4.50%-6.66%$10,134$9,630$9,142-7.73%3.04%
200121.42%4.34%7.39%$10,278$10,048$9,8188.97%-5.34%
200130.97%2.76%4.54%$10,377$10,325$10,2645.42%-3.62%
20014-1.75%-4.09%-6.32%$10,195$9,903$9,615-7.40%4.61%
200152.93%3.75%4.58%$10,494$10,274$10,0554.99%0.86%
200160.25%0.66%1.07%$10,520$10,343$10,1621.27%-0.80%
200171.67%2.35%3.01%$10,696$10,586$10,4693.34%-0.11%
200180.69%2.11%3.48%$10,770$10,809$10,8334.14%-3.09%
200192.48%5.06%7.48%$11,037$11,356$11,6438.63%-4.77%
200110-2.14%-3.53%-4.78%$10,801$10,955$11,086-5.36%2.19%
200111-0.52%-1.98%-3.33%$10,745$10,737$10,717-3.96%3.77%
2001120.39%0.24%0.09%$10,787$10,763$10,7270.02%0.83%
200210.38%0.71%1.04%$10,828$10,839$10,8381.21%-0.45%
200221.49%2.41%3.33%$10,989$11,101$11,1993.78%-0.84%
200230.52%-0.05%-0.59%$11,046$11,096$11,132-0.86%1.99%
200242.51%4.39%6.24%$11,323$11,582$11,8277.16%-2.30%
200251.16%1.72%2.27%$11,454$11,782$12,0952.53%-0.40%
20026-0.46%0.80%1.99%$11,402$11,877$12,3352.55%-3.97%
20027-0.97%0.13%1.15%$11,291$11,892$12,4771.63%-4.22%
200281.08%1.12%1.16%$11,413$12,026$12,6221.18%0.95%
20029-1.34%-0.00%1.20%$11,260$12,026$12,7741.75%-5.44%
2002100.02%-1.29%-2.43%$11,262$11,871$12,463-2.95%4.26%
200211-2.76%-4.82%-6.67%$10,952$11,299$11,632-7.52%3.58%
2002121.40%2.81%4.14%$11,106$11,617$12,1134.77%-2.59%
20031-1.04%-0.87%-0.70%$10,990$11,516$12,029-0.61%-1.47%
200320.47%0.81%1.15%$11,042$11,610$12,1671.32%-0.39%
200330.68%0.72%0.76%$11,117$11,693$12,2600.78%0.58%
200341.26%-0.29%-1.82%$11,257$11,660$12,036-2.58%5.22%
200351.01%-0.36%-1.76%$11,371$11,618$11,824-2.48%4.34%
200360.38%0.16%-0.06%$11,415$11,637$11,816-0.18%0.88%
20037-0.48%-0.71%-0.96%$11,360$11,554$11,703-1.09%0.06%
20038-0.05%-0.81%-1.60%$11,354$11,461$11,515-2.02%1.66%
200390.26%0.20%0.13%$11,384$11,483$11,5300.09%0.41%
2003101.79%1.15%0.46%$11,588$11,615$11,5830.09%3.21%
2003110.49%0.27%0.03%$11,644$11,647$11,587-0.09%0.96%
2003121.26%0.44%-0.45%$11,791$11,698$11,534-0.94%3.03%
200410.19%-0.42%-1.02%$11,813$11,650$11,417-1.32%1.70%
200420.89%0.73%0.56%$11,919$11,734$11,4810.48%1.29%
200431.54%2.33%3.12%$12,102$12,007$11,8393.53%-0.37%
20044-2.35%-2.37%-2.39%$11,818$11,723$11,557-2.39%-2.31%
200450.09%-0.13%-0.36%$11,829$11,708$11,516-0.47%0.66%
200460.51%0.12%-0.28%$11,889$11,721$11,484-0.47%1.47%
20047-0.77%-0.32%0.15%$11,797$11,684$11,5010.38%-1.89%
200480.59%0.43%0.27%$11,867$11,735$11,5320.19%0.99%
200491.38%1.47%1.56%$12,030$11,907$11,7121.61%1.15%
2004100.19%-0.26%-0.71%$12,053$11,877$11,629-0.93%1.30%
2004112.62%2.66%2.71%$12,369$12,193$11,9442.73%2.52%
2004121.62%1.23%0.84%$12,570$12,343$12,0440.64%2.57%
20051-0.53%-0.21%0.11%$12,503$12,317$12,0580.27%-1.34%
200521.54%1.76%1.98%$12,696$12,534$12,2962.09%0.99%
200530.31%0.94%1.56%$12,735$12,652$12,4881.87%-1.29%
20054-1.71%-2.04%-2.37%$12,517$12,393$12,192-2.53%-0.84%
200552.36%2.20%2.05%$12,812$12,666$12,4411.97%2.76%
200560.98%1.08%1.18%$12,938$12,803$12,5881.23%0.72%
200570.11%-0.67%-1.44%$12,952$12,717$12,407-1.82%2.11%
200580.08%0.16%0.23%$12,962$12,736$12,4350.27%-0.10%
200591.42%1.95%2.47%$13,147$12,984$12,7422.73%0.11%
200510-0.25%0.23%0.71%$13,114$13,014$12,8320.94%-1.47%
2005111.34%0.87%0.40%$13,290$13,127$12,8840.17%2.58%
2005121.34%1.69%2.03%$13,468$13,348$13,1452.20%0.45%
200612.03%1.99%1.95%$13,741$13,614$13,4021.93%2.12%
20062-0.63%-0.94%-1.25%$13,655$13,486$13,235-1.40%0.15%
200631.01%1.14%1.27%$13,793$13,640$13,4031.34%0.69%
200641.22%1.49%1.76%$13,961$13,843$13,6391.90%0.54%
20065-1.47%-1.27%-1.07%$13,756$13,668$13,493-0.97%-1.96%
200660.82%1.08%1.34%$13,869$13,815$13,6741.47%0.16%
200670.86%1.00%1.14%$13,988$13,954$13,8301.21%0.50%
20068-0.63%-1.66%-2.68%$13,900$13,722$13,459-3.18%2.00%
200691.25%1.08%0.91%$14,074$13,870$13,5820.82%1.68%
2006101.76%1.48%1.20%$14,321$14,075$13,7451.06%2.43%
2006111.36%1.17%0.98%$14,515$14,240$13,8800.89%1.80%
2006120.93%1.12%1.31%$14,649$14,399$14,0621.41%0.47%
200710.33%0.04%-0.26%$14,698$14,404$14,025-0.41%1.08%
20072-1.19%-1.53%-1.88%$14,524$14,183$13,761-2.06%-0.32%
200731.61%2.01%2.41%$14,758$14,468$14,0922.61%0.65%
200741.15%0.56%-0.03%$14,927$14,549$14,088-0.33%2.60%
200752.34%2.52%2.71%$15,277$14,916$14,4692.80%1.90%
20076-0.31%0.03%0.38%$15,229$14,921$14,5240.56%-1.15%
20077-0.08%0.59%1.26%$15,217$15,008$14,7071.59%-1.72%
200780.94%0.75%0.56%$15,361$15,122$14,7900.47%1.43%
200790.48%-0.31%-1.09%$15,435$15,075$14,628-1.48%2.45%
2007101.26%1.17%1.08%$15,628$15,251$14,7861.03%1.47%
2007110.84%1.97%3.13%$15,759$15,552$15,2483.71%-1.94%
2007121.78%2.60%3.42%$16,039$15,957$15,7703.83%-0.32%
20081-2.67%-2.58%-2.48%$15,611$15,546$15,379-2.43%-2.91%
20082-0.85%-0.48%-0.10%$15,479$15,472$15,3630.08%-1.78%
20083-0.05%0.00%0.05%$15,470$15,472$15,3710.08%-0.19%
200840.91%0.15%-0.59%$15,611$15,496$15,280-0.96%2.83%
200851.06%1.09%1.12%$15,776$15,664$15,4511.14%0.98%
20086-1.94%-0.72%0.51%$15,470$15,552$15,5291.12%-4.98%
20087-0.58%-0.64%-0.69%$15,379$15,452$15,422-0.72%-0.44%
200880.19%-0.21%-0.61%$15,408$15,419$15,328-0.80%1.23%
20089-3.80%-2.92%-2.05%$14,823$14,969$15,014-1.62%-6.04%
200810-6.86%-5.07%-3.32%$13,806$14,211$14,515-2.47%-11.59%
200811-3.45%-3.45%-3.46%$13,331$13,720$14,012-3.46%-3.43%
2008122.00%1.84%1.69%$13,597$13,973$14,2501.62%2.44%
20091-3.23%-2.45%-1.67%$13,158$13,631$14,012-1.28%-5.18%
20092-4.40%-3.59%-2.79%$12,579$13,141$13,620-2.40%-6.48%
200931.36%-0.43%-2.16%$12,749$13,084$13,326-3.01%6.10%
200941.75%-0.12%-1.99%$12,972$13,069$13,060-2.93%6.40%
200951.16%0.13%-0.95%$13,123$13,085$12,936-1.51%3.58%
200960.93%1.12%1.32%$13,245$13,232$13,1071.43%0.50%
200972.22%0.87%-0.56%$13,539$13,347$13,034-1.31%5.28%
200981.40%0.84%0.22%$13,728$13,458$13,063-0.10%2.62%
200991.30%0.51%-0.35%$13,906$13,527$13,017-0.82%2.98%
200910-0.80%-0.54%-0.26%$13,795$13,454$12,983-0.10%-1.33%
2009112.09%1.25%0.31%$14,084$13,622$13,023-0.21%3.88%
2009120.72%0.57%0.40%$14,186$13,700$13,0760.31%1.03%
20101-0.70%-0.38%-0.06%$14,087$13,648$13,0680.10%-1.50%
201021.71%1.56%1.41%$14,329$13,862$13,2531.34%2.10%
201031.86%1.12%0.37%$14,596$14,016$13,3020.00%3.74%
201040.53%0.04%-0.46%$14,673$14,022$13,241-0.71%1.74%
20105-1.89%-0.82%0.27%$14,397$13,906$13,2760.82%-4.45%
20106-1.78%-1.39%-1.00%$14,140$13,713$13,143-0.81%-2.75%
201072.18%1.26%0.35%$14,448$13,886$13,189-0.10%4.50%
20108-1.58%-1.28%-0.97%$14,219$13,708$13,060-0.82%-2.33%
201093.27%2.34%1.40%$14,684$14,028$13,2430.93%5.59%
2010101.40%0.93%0.45%$14,889$14,158$13,3020.20%2.52%
2010110.37%0.46%0.56%$14,944$14,224$13,3770.61%0.14%
2010120.67%-0.58%-1.88%$15,044$14,141$13,126-2.54%3.66%
201110.83%0.63%0.42%$15,170$14,229$13,1810.31%1.36%
201121.81%1.62%1.44%$15,444$14,460$13,3711.35%2.26%
201131.33%1.78%2.23%$15,650$14,718$13,6692.46%0.23%
201141.48%1.12%0.77%$15,881$14,883$13,7750.60%2.35%
20115-0.04%0.02%0.07%$15,874$14,885$13,7840.10%-0.18%
201160.57%1.29%2.02%$15,966$15,078$14,0632.38%-1.21%
20117-0.50%-0.42%-0.33%$15,885$15,015$14,016-0.29%-0.72%
20118-0.60%0.27%1.13%$15,790$15,056$14,1741.55%-2.81%
20119-2.71%-2.07%-1.45%$15,362$14,743$13,968-1.15%-4.39%
2011103.76%2.57%1.43%$15,940$15,123$14,1670.87%6.98%
201111-0.09%-0.01%0.06%$15,926$15,121$14,1760.10%-0.28%
2011120.10%-0.21%-0.52%$15,943$15,089$14,102-0.67%0.92%
201211.80%1.15%0.51%$16,229$15,263$14,1750.19%3.40%
201221.59%1.23%0.86%$16,488$15,451$14,2970.67%2.49%
201230.69%0.30%-0.09%$16,601$15,498$14,284-0.29%1.62%
20124-0.49%-0.71%-0.94%$16,520$15,388$14,150-1.06%0.04%
20125-2.29%-1.85%-1.40%$16,141$15,102$13,952-1.16%-3.34%
201261.46%1.12%0.77%$16,376$15,271$14,0590.59%2.28%
201271.78%2.04%2.30%$16,669$15,582$14,3832.44%1.17%
201280.24%-0.30%-0.86%$16,709$15,536$14,260-1.14%1.55%
201290.18%-0.41%-1.03%$16,740$15,471$14,113-1.35%1.58%
201210-0.72%-0.59%-0.46%$16,620$15,380$14,048-0.39%-1.01%
2012110.55%0.56%0.58%$16,710$15,466$14,1290.59%0.51%
2012120.10%-0.15%-0.40%$16,727$15,444$14,072-0.54%0.66%
201312.20%1.87%1.54%$17,095$15,733$14,2901.38%3.03%
201320.78%0.70%0.62%$17,229$15,844$14,3790.58%0.98%
201331.68%1.41%1.13%$17,519$16,067$14,5410.99%2.36%
201340.89%0.69%0.49%$17,676$16,178$14,6120.38%1.39%
201350.85%0.89%0.93%$17,825$16,322$14,7480.95%0.74%
20136-0.58%-0.24%0.11%$17,721$16,282$14,7640.28%-1.41%
201371.73%1.08%0.42%$18,028$16,458$14,8270.09%3.33%
20138-1.64%-1.51%-1.38%$17,731$16,209$14,621-1.32%-1.95%
201391.73%1.39%1.04%$18,039$16,434$14,7730.86%2.56%
2013102.88%2.90%2.92%$18,558$16,910$15,2042.93%2.83%
2013111.36%1.26%1.15%$18,810$17,123$15,3791.10%1.60%
2013120.71%0.47%0.22%$18,943$17,203$15,4130.09%1.29%
20141-0.71%-0.50%-0.29%$18,809$17,117$15,369-0.18%-1.24%
201422.05%1.66%1.28%$19,195$17,402$15,5661.09%3.02%
201431.04%1.38%1.72%$19,395$17,642$15,8331.89%0.21%
201440.49%0.54%0.59%$19,490$17,737$15,9270.62%0.36%
201451.34%1.19%1.04%$19,750$17,948$16,0920.96%1.71%
201460.00%-0.63%-1.25%$19,750$17,836$15,891-1.56%1.57%
20147-0.22%0.22%0.66%$19,708$17,875$15,9960.88%-1.28%
201481.48%0.89%0.30%$19,999$18,034$16,0430.00%2.95%
20149-0.76%-0.42%-0.08%$19,848$17,958$16,0300.09%-1.57%
2014100.97%0.51%0.06%$20,040$18,050$16,038-0.17%2.09%
2014111.32%1.14%0.96%$20,304$18,256$16,1930.87%1.74%
201412-0.12%-0.18%-0.23%$20,279$18,224$16,156-0.26%0.01%
201510.18%0.56%0.94%$20,315$18,326$16,3081.13%-0.77%
201520.42%-0.58%-1.57%$20,401$18,220$16,051-2.06%2.95%
201530.34%0.66%0.98%$20,470$18,339$16,2091.14%-0.44%
20154-0.55%-0.82%-1.08%$20,357$18,190$16,033-1.22%0.10%
201550.71%0.74%0.77%$20,502$18,325$16,1570.79%0.63%
20156-1.15%-1.04%-0.93%$20,266$18,134$16,007-0.87%-1.42%
201571.92%2.17%2.42%$20,656$18,528$16,3952.55%1.31%
20158-2.17%-1.54%-0.91%$20,208$18,243$16,245-0.60%-3.72%
201591.81%3.10%4.37%$20,575$18,808$16,9565.00%-1.45%
2015101.95%0.95%-0.02%$20,976$18,986$16,952-0.49%4.61%
201511-0.22%-0.40%-0.57%$20,929$18,910$16,855-0.66%0.24%
201512-0.31%0.13%0.55%$20,865$18,934$16,9480.76%-1.41%
20161-0.74%0.08%0.91%$20,710$18,949$17,1021.32%-2.81%
201620.93%1.18%1.43%$20,902$19,173$17,3461.55%0.28%
201632.03%1.04%0.07%$21,326$19,372$17,358-0.40%4.59%
20164-0.66%-1.14%-1.61%$21,185$19,152$17,078-1.85%0.54%
20165-0.37%-0.94%-1.52%$21,107$18,972$16,820-1.80%1.04%
20166-0.14%-0.58%-1.03%$21,079$18,863$16,647-1.25%0.93%
201671.69%1.30%0.89%$21,436$19,107$16,7950.68%2.64%
20168-0.93%-1.35%-1.79%$21,236$18,848$16,494-2.02%0.06%
201690.28%0.37%0.47%$21,297$18,919$16,5710.51%0.08%
201610-0.56%-0.08%0.42%$21,177$18,904$16,6410.68%-1.68%
2016112.79%3.29%3.80%$21,768$19,525$17,2744.07%1.61%
2016121.24%1.26%1.27%$22,039$19,771$17,4931.28%1.21%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value9.39%2.86%0.00%
Large-cap Growth11.83%5.94%0.00%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth11.57%11.80%10.25%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth1.15%1.52%1.18%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries1.94%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries64.13%77.88%88.56%
R Squared76.87%40.16%5.49%
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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VMNFXVanguard Market Neutral InvMarket Neutral1.80%50.00%$3,90647.15%
VBINXVanguard Balanced Index Inv50% to 70% Equity6.020.18%50.00%$8,13352.85%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VMNFXVanguard Market Neutral InvMarket Neutral1.80%70.00%$5,07586.69%
VBINXVanguard Balanced Index Inv50% to 70% Equity6.020.18%30.00%$4,69613.31%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VMNFXVanguard Market Neutral InvMarket Neutral1.80%90.00%$5,998100.18%
VBINXVanguard Balanced Index Inv50% to 70% Equity6.020.18%10.00%$1,496-0.18%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/05/2019. © 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)0.38%0.33%0.28%
Arithmetic Mean (annualized)4.66%4.06%3.45%
Geometric Mean (monthly)0.37%0.32%0.26%
Geometric Mean (annualized)4.49%3.86%3.16%
Volatility (monthly)1.68%1.80%2.19%
Volatility (annualized)5.81%6.24%7.57%
Downside Deviation (monthly)1.11%1.14%1.37%
Max. Drawdown-21.58%-18.10%-17.97%
US Market Correlation0.650.28-0.03
Beta(*)0.250.12-0.02
Alpha (annualized)2.86%3.19%3.50%
R242.21%7.92%0.09%
Sharpe Ratio0.470.350.21
Sortino Ratio0.670.510.31
Treynor Ratio (%)11.2219.07-105.32
Calmar Ratio2.391.760.87
Active Return-1.40%-2.03%-2.74%
Tracking Error12.29%14.76%17.23%
Information Ratio-0.11-0.14-0.16
Skewness-0.61-0.070.24
Excess Kurtosis2.502.112.60
Historical Value-at-Risk (5%)-2.68%-2.97%-3.32%
Analytical Value-at-Risk (5%)-2.36%-2.60%-3.29%
Conditional Value-at-Risk (5%)-3.93%-4.18%-4.81%
Upside Capture Ratio (%)30.6018.877.41
Downside Capture Ratio (%)20.726.72-7.28
Safe Withdrawal Rate6.39%6.19%5.92%
Perpetual Withdrawal Rate2.21%1.62%0.95%
Positive Periods142 out of 216 (65.74%)133 out of 216 (61.57%)128 out of 216 (59.26%)
Gain/Loss Ratio0.941.030.99
* 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 2002-10.11%-12.92%-16.58%
Subprime CrisisNov 2007Mar 2009-21.58%-18.00%-15.50%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsJan 20122 years 11 months4 years 1 month-21.58%
2Sep 2000Jan 20015 monthsApr 20021 year 3 months1 year 8 months-10.11%
3Apr 2000Jun 20003 monthsAug 20002 months5 months-4.46%
4Jun 2002Nov 20026 monthsOct 200311 months1 year 5 months-4.38%
5Jan 2000Jan 20001 monthFeb 20001 month2 months-3.98%
6Feb 1999May 19994 monthsNov 19996 months10 months-3.34%
7Apr 2012May 20122 monthsJul 20122 months4 months-2.77%
8Apr 2004Jul 20044 monthsNov 20044 months8 months-2.52%
9Aug 2015Aug 20151 monthOct 20152 months3 months-2.17%
10Apr 2005Apr 20051 monthMay 20051 month2 months-1.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Apr 20091 year 4 monthsMar 20133 years 11 months5 years 3 months-18.10%
2Apr 2000Jan 200110 monthsSep 20018 months1 year 6 months-12.92%
3Sep 2002Nov 20023 monthsNov 20042 years2 years 3 months-6.04%
4Oct 2001Nov 20012 monthsApr 20025 months7 months-5.45%
5Feb 1999May 19994 monthsDec 19997 months11 months-5.04%
6Jan 2000Jan 20001 monthFeb 20001 month2 months-4.55%
7Apr 2016Aug 20165 monthsNov 20163 months8 months-2.70%
8Apr 2005Apr 20051 monthMay 20051 month2 months-2.04%
9Aug 2006Aug 20061 monthOct 20062 months3 months-1.66%
10Aug 2015Aug 20151 monthSep 20151 month2 months-1.54%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008May 20091 year 5 monthsMar 20144 years 10 months6 years 3 months-17.97%
2Mar 2000Jan 200111 monthsSep 20018 months1 year 7 months-16.58%
3Oct 2002Jan 20041 year 4 monthsOct 20051 year 9 months3 years 1 month-10.62%
4Oct 2001Nov 20012 monthsApr 20025 months7 months-7.95%
5Feb 1999May 19994 monthsDec 19997 months11 months-6.74%
6Jan 2000Jan 20001 monthFeb 20001 month2 months-5.12%
7Apr 2016Aug 20165 monthsDec 20164 months9 months-4.98%
8Aug 2006Aug 20061 monthNov 20063 months4 months-2.68%
9Jan 2007Feb 20072 monthsMar 20071 month3 months-2.14%
10Feb 2015Jun 20155 monthsJul 20151 month6 months-1.84%
Worst 10 drawdowns included above

Portfolio Assets

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

Monthly Correlations

Correlations for the portfolio assets
TickerNameVMNFXVBINXPortfolio 1Portfolio 2Portfolio 3
VMNFXVanguard Market Neutral Inv--0.130.640.900.99
VBINXVanguard Balanced Index Inv-0.13-0.670.30-0.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VMNFXVanguard Market Neutral Inv$3,906$5,075$5,998
VBINXVanguard Balanced Index Inv$8,133$4,696$1,496

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VMNFXVanguard Market Neutral Inv47.15%86.69%100.18%
VBINXVanguard Balanced Index Inv52.85%13.31%-0.18%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year4.69%13.25%-15.23%4.04%11.39%-12.43%3.40%12.93%-9.64%
3 years4.52%8.46%-2.11%3.93%8.94%-3.95%3.26%9.40%-5.93%
5 years4.51%7.63%0.84%3.78%6.55%-0.65%2.96%6.06%-2.25%
7 years4.33%6.50%3.14%3.61%6.78%1.92%2.81%7.04%0.35%
10 years4.00%4.90%2.54%3.35%3.97%2.30%2.61%3.60%1.51%
15 years4.53%4.88%4.14%3.90%4.29%3.48%3.17%3.72%2.73%
Result statistics are based on annualized rolling returns over full calendar year periods