Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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 2005 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 40.00%
VBMFX Vanguard Total Bond Market Index Inv 60.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 20.00%
VISVX Vanguard Small Cap Value Index Inv 20.00%
GLD SPDR Gold Shares 20.00%
VUSTX Vanguard Long-Term Treasury Inv 20.00%
VFISX Vanguard Short-Term Treasury Inv 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 33.00%
VBMFX Vanguard Total Bond Market Index Inv 34.00%
VGTSX Vanguard Total Intl Stock Index Inv 33.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,020,977 0.17% 5.96%5.78%6.10%16.66%-13.17%-20.08%
(-25.99%)
0.781.190.95
Portfolio 2$1,000,000$1,340,685 2.47% 7.38%7.52%7.77%17.80%-7.50%-17.85%
(-21.63%)
0.801.240.77
Portfolio 3$1,000,000$999,925 -0.00% 5.69%5.65%10.65%23.78%-26.82%-38.59%
(-42.96%)
0.460.660.95
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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 bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly withdrawal of $4,000 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 Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Small Cap Value Index Inv (VISVX)SPDR Gold Shares (GLD)Vanguard Long-Term Treasury Inv (VUSTX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20053.42%3.83%7.64%7.93%$987,762$1,024,383$1,027,177-$49,2595.98%2.40%6.07%17.76%6.61%1.77%15.57%
20062.54%8.86%13.35%15.62%$1,021,771$1,107,739$1,132,858-$50,84815.51%4.27%19.24%22.55%1.74%3.77%26.64%
20074.08%6.80%8.79%9.34%$1,037,628$1,150,605$1,184,903-$52,2995.49%6.92%-7.07%30.45%9.24%7.89%15.52%
20080.09%-13.17%-7.50%-26.82%$850,816$1,012,704$821,375-$54,307-37.04%5.05%-32.05%4.92%22.52%6.68%-44.10%
20092.72%16.66%14.37%23.78%$932,859$1,098,047$953,936-$54,11328.70%5.93%30.34%24.03%-12.05%1.44%36.73%
20101.50%10.82%17.80%11.49%$975,486$1,233,066$1,003,603-$55,00117.09%6.42%24.82%29.27%8.93%2.64%11.12%
20112.96%4.83%7.58%-2.00%$965,027$1,268,365$928,451-$56,7370.96%7.56%-4.16%9.57%29.28%2.26%-14.56%
20121.74%8.90%8.67%13.19%$991,548$1,319,094$990,117-$57,91116.25%4.05%18.56%6.60%3.47%0.69%18.14%
20131.50%11.68%4.05%15.02%$1,045,623$1,312,806$1,075,936-$58,75933.35%-2.26%36.41%-28.33%-13.03%-0.10%15.04%
20140.76%8.43%9.34%4.63%$1,071,756$1,373,528$1,065,375-$59,71312.43%5.76%10.39%-2.19%25.28%0.71%-4.24%
20150.73%0.30%-3.01%-1.16%$1,015,457$1,273,993$994,518-$59,7840.29%0.30%-4.78%-10.67%-1.54%0.45%-4.37%
20162.07%6.66%10.09%6.85%$1,020,977$1,340,685$999,925-$60,53812.53%2.50%24.65%8.03%1.20%0.99%4.65%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Small Cap Value Index Inv (VISVX)SPDR Gold Shares (GLD)Vanguard Long-Term Treasury Inv (VUSTX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20051-0.68%-1.47%-1.21%$989,212$981,255$983,884-2.68%0.65%-3.72%-3.61%2.59%0.04%-1.67%
200520.43%1.14%1.99%$989,444$988,362$999,4722.07%-0.63%2.30%3.10%-1.24%-0.36%4.68%
20053-0.99%-1.21%-1.72%$975,563$972,368$978,194-1.75%-0.49%-1.88%-1.63%-0.76%-0.05%-2.93%
20054-0.10%-0.17%-0.98%$970,505$966,660$964,514-2.32%1.35%-3.85%1.24%3.22%0.72%-2.07%
200552.10%1.59%1.60%$986,827$977,937$975,9033.77%1.05%5.39%-3.92%2.55%0.44%0.08%
200560.65%2.14%0.88%$989,196$994,763$980,3920.81%0.55%3.87%4.30%1.64%0.24%1.30%
200571.01%1.03%2.20%$995,109$1,000,948$997,8414.11%-0.99%5.70%-1.43%-2.58%-0.41%3.68%
200580.42%0.36%1.08%$995,195$1,000,388$1,004,532-0.94%1.36%-2.13%1.35%2.87%0.75%2.85%
20059-0.32%1.09%1.50%$987,856$1,007,162$1,015,4070.86%-1.10%0.54%7.60%-2.78%-0.31%4.73%
200510-1.24%-1.48%-2.04%$971,458$988,115$990,514-1.86%-0.81%-2.98%-0.64%-1.74%-0.11%-3.37%
2005111.88%2.92%2.36%$985,595$1,012,860$1,009,7813.97%0.48%3.77%5.82%0.57%0.39%2.67%
2005120.64%1.55%2.13%$987,762$1,024,383$1,027,1770.14%0.99%-0.43%5.05%2.33%0.41%5.14%
200611.37%4.10%3.53%$997,082$1,062,251$1,059,2313.50%-0.11%7.07%9.93%-0.90%0.14%6.87%
200620.22%-0.08%-0.15%$995,082$1,057,263$1,053,5020.00%0.37%0.13%-1.11%0.81%0.01%-0.72%
200630.17%1.27%1.42%$992,542$1,066,506$1,064,2871.80%-1.00%3.58%3.62%-3.39%0.05%3.17%
200640.35%2.75%2.19%$991,782$1,091,609$1,083,3391.11%-0.21%0.06%12.03%-1.96%0.33%5.12%
20065-1.43%-1.67%-2.76%$973,321$1,069,084$1,049,206-3.23%-0.09%-3.83%-1.32%-0.03%0.05%-4.45%
200660.13%-0.49%-0.06%$970,343$1,059,533$1,044,3560.17%0.10%1.09%-4.67%0.71%0.25%-0.38%
200670.73%0.82%0.80%$973,140$1,063,988$1,048,430-0.13%1.35%-1.46%3.15%1.84%0.76%1.15%
200681.92%1.36%2.19%$987,542$1,074,150$1,067,0732.31%1.64%2.32%-1.38%2.74%0.75%2.53%
200691.42%0.20%1.06%$997,274$1,072,027$1,074,1612.27%0.81%0.88%-4.53%1.58%0.55%0.25%
2006101.90%2.16%2.84%$1,011,970$1,090,934$1,100,4673.53%0.72%4.82%1.29%0.77%0.46%4.00%
2006111.59%2.83%2.46%$1,023,810$1,117,600$1,123,2722.23%1.11%3.04%6.89%1.91%0.55%3.73%
2006120.22%-0.50%1.23%$1,021,771$1,107,739$1,132,8581.13%-0.48%0.48%-1.83%-2.14%-0.20%3.09%
200710.77%1.14%0.91%$1,025,352$1,116,064$1,138,9671.88%-0.08%1.99%2.56%-0.85%0.19%0.96%
200720.14%0.79%-0.02%$1,022,501$1,120,659$1,134,462-1.61%1.50%-0.58%2.55%2.93%0.93%0.06%
200730.49%-0.04%1.31%$1,023,190$1,115,865$1,145,0401.11%0.02%0.60%-1.11%-1.13%0.28%2.80%
200742.03%1.86%2.82%$1,039,581$1,132,246$1,172,9874.01%0.51%1.84%2.05%0.86%0.46%3.92%
200751.19%0.62%2.04%$1,047,627$1,134,949$1,192,4903.69%-0.78%3.67%-2.31%-1.93%-0.40%3.09%
20076-0.90%-1.35%-0.47%$1,033,809$1,115,221$1,182,496-1.67%-0.39%-2.51%-1.94%-0.88%0.37%0.61%
20077-0.85%-1.13%-1.24%$1,020,668$1,098,210$1,163,437-3.41%0.84%-7.21%2.37%2.39%1.06%-1.06%
200781.38%1.43%0.65%$1,030,430$1,109,567$1,166,6461.45%1.34%1.45%1.11%1.97%1.15%-0.72%
200791.83%3.11%3.63%$1,044,921$1,139,667$1,204,6383.59%0.72%0.89%10.51%0.21%0.74%6.38%
2007101.29%2.43%3.01%$1,054,008$1,162,929$1,236,4761.85%0.93%1.35%6.95%1.40%0.45%5.90%
200711-0.62%-1.26%-2.54%$1,043,037$1,143,912$1,200,646-4.49%1.91%-6.74%-1.65%4.59%2.16%-4.57%
200712-0.10%0.97%-0.94%$1,037,628$1,150,605$1,184,903-0.60%0.22%-1.42%6.65%-0.48%0.25%-2.28%
20081-1.25%1.49%-4.42%$1,020,209$1,163,363$1,128,135-6.08%1.69%-3.62%10.84%2.64%2.01%-8.55%
20082-0.98%0.46%-0.78%$1,005,719$1,164,312$1,114,864-3.07%0.19%-3.15%5.23%0.35%1.09%0.33%
20083-0.01%-1.03%-0.32%$1,001,098$1,147,790$1,106,825-0.58%0.30%0.14%-6.00%1.02%0.25%-0.71%
200841.56%0.54%3.42%$1,012,236$1,149,512$1,140,2125.02%-0.30%4.42%-4.16%-1.84%-0.96%5.85%
200850.26%0.96%0.91%$1,010,276$1,155,968$1,146,0172.09%-0.79%4.17%0.92%-2.13%-0.51%1.51%
20086-3.03%-3.02%-5.73%$975,107$1,116,494$1,075,736-8.19%-0.01%-11.56%4.52%1.80%0.33%-8.99%
20087-0.31%0.52%-1.48%$967,488$1,117,731$1,055,175-0.77%0.00%4.02%-1.44%0.30%0.52%-3.67%
200881.05%-0.19%-0.96%$973,050$1,110,961$1,040,4691.58%0.70%3.87%-9.29%1.80%0.56%-5.10%
20089-4.37%-2.28%-7.49%$925,935$1,081,078$957,936-9.26%-1.10%-6.05%4.11%0.28%0.53%-13.09%
200810-8.27%-11.28%-13.97%$844,842$954,632$819,579-17.63%-2.53%-21.09%-16.14%-3.63%0.49%-22.09%
200811-0.98%1.94%-2.97%$832,127$968,664$790,737-7.90%3.64%-10.49%12.57%12.07%1.03%-6.29%
2008122.78%5.00%4.43%$850,816$1,012,704$821,3751.86%3.32%5.38%7.73%8.87%1.17%8.16%
20091-3.48%-4.85%-6.98%$816,736$959,112$759,623-8.26%-0.70%-13.03%5.54%-8.47%-0.09%-11.96%
20092-3.94%-4.39%-6.57%$780,120$912,530$705,274-10.45%-0.42%-13.96%1.45%-1.01%-0.01%-9.58%
200934.35%3.73%6.12%$809,585$942,107$743,9318.65%1.48%9.39%-2.54%5.27%0.90%9.31%
200944.63%3.53%7.56%$842,548$970,914$795,65710.61%0.36%19.76%-3.33%-4.99%-0.25%12.78%
200952.84%3.45%6.87%$862,012$999,961$845,7965.38%0.85%3.50%10.23%-2.68%0.21%14.35%
200960.46%-1.03%-0.20%$861,447$985,087$839,6030.34%0.54%-0.10%-5.22%0.70%-0.17%-1.32%
200973.98%4.45%6.51%$891,228$1,024,420$889,7387.82%1.43%10.64%2.38%0.80%0.22%9.96%
200982.10%2.46%2.77%$905,379$1,045,034$909,8723.63%1.01%6.12%0.05%1.68%0.37%3.50%
200992.47%3.74%3.65%$923,162$1,079,531$938,5024.23%1.19%5.52%5.84%1.98%0.29%5.15%
200910-0.86%-1.40%-1.53%$910,654$1,059,822$919,571-2.57%0.41%-6.32%3.72%-1.45%0.24%-2.17%
2009113.15%5.30%3.67%$934,821$1,111,416$948,8015.63%1.36%3.67%12.79%1.91%0.87%3.86%
2009120.28%-0.79%1.02%$932,859$1,098,047$953,9362.86%-1.68%6.88%-7.20%-5.66%-1.13%1.53%
20101-0.67%-1.16%-2.29%$922,083$1,080,792$927,519-3.50%1.57%-3.06%-1.26%2.66%0.95%-5.07%
201021.55%2.61%1.23%$931,850$1,104,474$934,4163.36%0.20%5.21%3.27%-0.21%0.19%0.22%
201032.69%2.78%4.19%$952,369$1,130,645$968,9846.27%-0.08%8.00%-0.44%-1.51%-0.36%6.71%
201041.51%3.74%0.54%$962,125$1,168,389$969,6132.17%1.06%6.19%5.88%2.76%0.39%-1.71%
20105-2.70%-2.33%-5.89%$931,557$1,136,612$907,901-8.00%0.87%-7.99%3.05%4.23%0.48%-10.78%
20106-1.16%-1.64%-1.68%$916,184$1,113,426$888,070-5.66%1.61%-8.04%2.36%4.67%0.56%-1.17%
201073.14%1.80%5.74%$940,348$1,128,873$934,4826.99%0.94%7.43%-5.09%-0.17%0.38%10.33%
20108-0.87%0.03%-2.04%$927,607$1,124,643$910,802-4.75%1.48%-6.70%5.71%7.08%0.37%-3.22%
201093.42%4.95%6.26%$954,758$1,175,689$963,2439.47%-0.01%10.42%4.78%-1.82%0.18%10.41%
2010101.73%1.98%2.57%$966,715$1,194,345$983,3873.94%0.36%3.57%3.68%-3.29%0.26%3.55%
201011-0.12%0.85%-1.48%$960,957$1,199,951$964,2050.58%-0.57%2.30%2.11%-1.60%-0.30%-4.52%
2010121.99%3.14%4.56%$975,486$1,233,066$1,003,6036.81%-1.15%7.55%2.44%-3.58%-0.48%8.34%
201110.95%-1.14%1.01%$980,139$1,214,403$1,009,1512.19%0.08%0.62%-6.38%-2.38%0.25%0.70%
201121.60%3.03%2.20%$991,158$1,246,501$1,026,7203.60%0.16%4.66%6.00%1.24%-0.22%2.71%
201130.19%0.69%0.02%$988,329$1,250,433$1,022,1930.45%-0.01%1.50%1.60%0.02%-0.13%-0.43%
201142.03%3.41%3.20%$1,003,687$1,288,355$1,050,1782.99%1.32%2.40%8.94%2.04%0.71%5.24%
201150.24%-0.32%-0.97%$1,001,352$1,279,460$1,035,243-1.16%1.30%-2.11%-1.79%3.29%0.52%-2.87%
20116-0.98%-1.69%-1.25%$986,761$1,253,111$1,017,531-1.79%-0.39%-2.10%-2.43%-2.00%-0.04%-1.51%
20117-0.05%1.46%-0.81%$981,492$1,266,700$1,004,590-2.28%1.58%-3.45%8.42%4.18%0.52%-1.53%
20118-1.61%1.77%-4.36%$960,898$1,284,414$956,075-5.99%1.46%-8.08%12.27%8.68%0.52%-8.45%
20119-2.52%-3.74%-6.17%$931,959$1,231,552$892,359-7.75%0.89%-10.60%-11.06%10.16%-0.22%-12.29%
2011104.39%4.82%6.90%$968,133$1,286,154$949,18811.51%0.16%14.34%5.87%-3.34%0.15%10.22%
201111-0.30%0.68%-1.07%$960,496$1,290,118$934,276-0.29%-0.30%-0.26%1.67%1.82%-0.04%-2.88%
2011120.97%-1.32%-0.12%$965,027$1,268,365$928,4510.80%1.08%1.00%-10.66%3.13%0.21%-2.64%
201212.55%4.56%4.21%$984,844$1,321,416$962,7855.08%0.87%6.85%11.40%0.08%0.23%7.27%
201221.71%0.10%3.03%$996,884$1,317,967$987,2124.26%-0.05%2.49%-2.96%-2.11%-0.14%5.14%
201230.94%-0.11%0.70%$1,001,447$1,311,704$989,2713.07%-0.58%2.35%-1.32%-3.77%-0.13%-0.75%
201240.37%0.67%-0.40%$1,000,358$1,315,679$980,522-0.65%1.14%-0.89%-0.15%4.37%0.32%-1.78%
20125-2.08%-1.97%-5.26%$974,670$1,284,869$924,086-6.24%0.95%-6.29%-6.34%7.79%0.06%-11.14%
201261.60%1.60%3.29%$985,468$1,300,618$949,7013.91%0.04%4.28%2.35%-1.44%-0.13%6.03%
201271.24%1.14%0.95%$992,869$1,310,602$953,9011.03%1.39%-0.43%0.84%3.32%0.29%0.44%
201281.04%1.76%1.75%$998,371$1,328,809$965,7732.48%0.03%2.95%4.94%-1.06%0.11%2.72%
201291.14%1.49%2.13%$1,004,904$1,343,793$981,4772.58%0.11%2.87%4.67%-2.10%0.03%3.62%
201210-0.68%-1.21%-0.36%$993,188$1,322,737$973,071-1.76%0.11%-0.58%-2.94%-0.43%-0.16%0.56%
2012110.42%0.54%0.94%$992,535$1,324,985$977,3710.74%0.19%0.82%-0.47%1.35%0.12%1.82%
2012120.39%-0.08%1.80%$991,548$1,319,094$990,1171.19%-0.20%3.33%-2.43%-1.99%0.09%4.17%
201311.93%1.50%2.79%$1,005,795$1,334,106$1,012,8655.50%-0.71%6.49%-0.51%-3.27%-0.06%3.34%
201320.87%-0.07%0.15%$1,009,618$1,328,284$1,009,5071.28%0.54%1.78%-5.09%1.26%0.12%-1.23%
201331.76%1.95%1.62%$1,022,491$1,349,304$1,021,0003.88%0.08%4.53%0.95%0.03%0.03%0.77%
201341.23%-0.18%2.13%$1,030,161$1,342,022$1,037,8631.70%0.91%-0.05%-7.56%3.87%0.12%3.58%
20135-0.09%-1.36%-0.75%$1,024,348$1,318,843$1,025,1342.32%-1.71%3.05%-6.20%-6.23%-0.34%-2.95%
20136-1.50%-3.08%-2.25%$1,004,102$1,273,331$997,145-1.27%-1.65%-1.13%-11.06%-3.26%-0.26%-3.75%
201372.38%3.56%3.62%$1,023,072$1,313,718$1,028,3105.49%0.20%6.68%7.43%-1.93%0.12%4.56%
20138-1.57%-0.63%-1.69%$1,002,110$1,300,471$1,006,045-2.82%-0.64%-4.20%5.20%-1.28%-0.16%-1.63%
201392.10%0.98%3.91%$1,018,187$1,308,279$1,040,4393.66%0.96%5.31%-4.78%0.88%0.40%7.21%
2013102.25%1.87%2.80%$1,036,140$1,327,856$1,064,6234.22%0.78%3.89%-0.34%1.32%0.13%3.41%
2013111.05%-0.32%0.88%$1,042,159$1,318,650$1,069,0662.88%-0.35%2.99%-5.51%-2.49%0.13%0.12%
2013120.80%-0.07%1.10%$1,045,623$1,312,806$1,075,9362.63%-0.65%2.68%-3.79%-2.37%-0.33%1.25%
20141-0.32%0.49%-2.20%$1,037,394$1,314,283$1,047,371-3.11%1.54%-2.83%3.42%6.26%0.32%-4.78%
201422.13%3.42%3.55%$1,054,585$1,354,234$1,079,5964.73%0.48%5.03%6.27%0.60%0.03%5.39%
201430.12%-0.14%0.27%$1,050,832$1,347,431$1,077,4980.51%-0.15%1.32%-3.14%0.63%-0.21%0.41%
201440.49%0.23%0.71%$1,050,980$1,345,496$1,080,1820.06%0.77%-1.16%0.49%1.82%0.23%1.31%
201451.50%0.78%1.72%$1,061,697$1,351,010$1,093,7102.17%1.05%1.59%-3.05%2.73%0.13%1.88%
201461.08%2.65%1.50%$1,068,196$1,381,767$1,105,0712.54%0.11%4.29%6.32%-0.16%0.04%1.74%
20147-0.96%-2.10%-1.31%$1,052,954$1,347,703$1,085,539-1.98%-0.26%-4.71%-3.63%0.59%-0.14%-1.61%
201482.36%2.96%2.15%$1,072,808$1,382,621$1,103,9044.18%1.13%5.15%0.38%4.23%0.14%1.05%
20149-1.30%-3.28%-2.66%$1,053,825$1,332,283$1,069,505-2.14%-0.72%-5.65%-6.18%-1.99%-0.14%-5.01%
2014101.67%1.74%1.17%$1,066,457$1,350,411$1,076,9752.74%0.94%4.94%-3.05%2.61%0.33%-0.31%
2014111.37%1.31%0.99%$1,076,153$1,363,164$1,082,6812.41%0.65%1.04%-0.49%2.86%0.23%-0.25%
2014120.05%1.12%-1.14%$1,071,756$1,373,528$1,065,375-0.01%0.09%1.70%1.31%2.82%-0.24%-3.65%
201510.20%2.00%-0.24%$1,069,015$1,396,058$1,057,957-2.77%2.31%-3.31%8.69%8.97%0.61%0.13%
201521.67%0.13%3.43%$1,081,962$1,392,922$1,089,3475.76%-1.08%5.71%-5.91%-5.66%-0.42%5.52%
20153-0.20%-0.03%-0.74%$1,074,864$1,387,553$1,076,294-1.04%0.41%1.22%-2.15%1.13%0.33%-1.54%
20154-0.04%-0.85%1.65%$1,069,494$1,370,765$1,089,0600.42%-0.36%-1.26%-0.17%-3.07%0.05%5.08%
201550.32%0.29%0.05%$1,067,895$1,369,743$1,084,6231.39%-0.45%1.35%0.56%-2.16%0.06%-0.94%
20156-1.30%-1.73%-1.81%$1,048,948$1,341,051$1,059,975-1.71%-1.01%-1.45%-1.52%-3.73%-0.04%-2.69%
201571.13%-0.09%0.58%$1,055,749$1,334,797$1,061,0701.63%0.76%-1.01%-6.62%4.21%0.15%-0.80%
20158-2.75%-2.13%-4.65%$1,021,734$1,301,362$1,006,744-6.03%-0.36%-4.81%3.71%-0.71%-0.13%-7.29%
20159-0.75%-1.29%-2.02%$1,009,096$1,279,607$981,409-2.93%0.76%-3.58%-1.80%1.91%0.43%-3.90%
2015103.14%3.43%4.72%$1,035,734$1,318,550$1,022,7717.84%0.01%6.59%2.28%-0.48%-0.13%6.26%
2015110.07%-0.87%-0.29%$1,031,462$1,302,028$1,014,8020.54%-0.27%1.33%-6.75%-0.81%-0.31%-1.32%
201512-1.07%-1.77%-1.51%$1,015,457$1,273,993$994,518-2.03%-0.38%-4.90%-0.45%-0.34%-0.16%-2.07%
20161-1.52%-0.71%-3.33%$995,086$1,259,939$956,394-5.67%1.43%-6.46%5.41%5.24%0.82%-5.59%
201620.38%2.75%-0.46%$993,896$1,289,577$947,039-0.04%0.66%1.58%10.93%2.86%0.15%-2.27%
201633.34%3.28%5.25%$1,022,124$1,326,912$991,7807.01%0.94%8.91%-0.84%0.05%0.26%8.19%
201640.48%1.31%1.02%$1,022,002$1,339,213$996,8460.63%0.38%2.05%5.11%-0.63%-0.03%2.22%
201650.74%-0.22%0.36%$1,024,554$1,331,203$995,3961.79%0.01%1.44%-6.14%0.69%-0.10%-1.02%
201661.23%3.06%0.44%$1,032,069$1,366,813$994,7150.23%1.94%0.08%8.97%6.57%0.75%-0.94%
201672.00%2.66%2.98%$1,047,643$1,398,125$1,019,3233.95%0.64%4.68%1.98%2.01%-0.10%4.41%
201680.01%-0.61%0.26%$1,042,688$1,384,582$1,016,9280.26%-0.17%0.72%-3.26%-1.00%-0.29%0.74%
201690.01%-0.03%0.44%$1,037,750$1,379,105$1,016,2900.15%-0.09%0.31%0.69%-1.32%0.23%1.37%
201610-1.40%-2.60%-1.61%$1,018,162$1,338,121$994,838-2.21%-0.81%-3.01%-2.94%-4.23%-0.12%-1.72%
2016110.30%0.16%0.15%$1,016,182$1,335,207$991,2924.44%-2.64%10.26%-8.36%-7.86%-0.58%-2.15%
2016120.97%0.79%1.38%$1,020,977$1,340,685$999,9251.92%0.24%2.82%-1.91%-0.35%-0.00%2.02%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value11.34%1.79%9.94%
Large-cap Growth21.37%0.00%17.25%
Mid-cap Value6.35%23.25%5.64%
Mid-cap Growth1.68%2.14%1.16%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%2.20%0.00%
Global ex-US Developed Markets0.00%0.00%24.45%
Emerging Markets1.32%10.21%7.95%
REITs0.42%1.65%0.00%
Corporate Bonds7.91%0.00%6.99%
Long-Term Treasuries1.20%3.78%0.05%
Intermediate-Term Treasuries16.66%45.92%8.80%
Short-Term Treasuries31.76%9.06%17.77%
R Squared99.02%83.60%99.69%
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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%40.00%$416,00390.29%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.220.15%60.00%$274,2439.71%

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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%20.00%$252,26329.16%
VISVXVanguard Small Cap Value Index InvSmall Value0.19%20.00%$280,91636.95%
GLDSPDR Gold SharesCommodities Precious Metals0.40%20.00%$238,37928.78%
VUSTXVanguard Long-Term Treasury InvLong Government17.410.20%20.00%$176,0804.56%
VFISXVanguard Short-Term Treasury InvShort Government2.120.20%20.00%$62,3170.55%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%33.00%$316,89543.15%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.220.15%34.00%$157,0461.68%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%33.00%$195,25255.17%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/03/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.50%0.62%0.51%
Arithmetic Mean (annualized)6.16%7.70%6.29%
Geometric Mean (monthly)0.48%0.59%0.46%
Geometric Mean (annualized)5.96%7.38%5.69%
Volatility (monthly)1.76%2.24%3.08%
Volatility (annualized)6.10%7.77%10.65%
Downside Deviation (monthly)1.13%1.41%2.12%
Max. Drawdown-20.08%-17.85%-38.59%
US Market Correlation0.950.770.95
Beta(*)0.390.400.69
Alpha (annualized)2.64%3.99%0.25%
R289.67%58.77%90.28%
Sharpe Ratio0.780.800.46
Sortino Ratio1.191.240.66
Treynor Ratio (%)12.1515.367.12
Calmar Ratio1.380.930.39
Active Return-1.73%-0.32%-2.00%
Tracking Error9.15%10.08%5.67%
Information Ratio-0.19-0.03-0.35
Skewness-0.96-1.00-0.89
Excess Kurtosis3.914.583.13
Historical Value-at-Risk (5%)-2.65%-2.91%-5.61%
Analytical Value-at-Risk (5%)-2.44%-3.07%-4.56%
Conditional Value-at-Risk (5%)-4.08%-4.81%-7.54%
Upside Capture Ratio (%)43.5647.0266.77
Downside Capture Ratio (%)33.6030.1668.47
Safe Withdrawal Rate10.04%11.56%10.15%
Perpetual Withdrawal Rate3.74%5.00%3.49%
Positive Periods97 out of 144 (67.36%)87 out of 144 (60.42%)87 out of 144 (60.42%)
Gain/Loss Ratio1.041.371.02
* 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
Subprime CrisisNov 2007Mar 2009-20.08%-17.85%-38.59%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-20.08%
2Jun 2011Sep 20114 monthsJan 20124 months8 months-5.08%
3May 2010Jun 20102 monthsSep 20103 months5 months-3.83%
4Jun 2015Sep 20154 monthsMar 20166 months10 months-3.66%
5May 2012May 20121 monthJul 20122 months3 months-2.08%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-1.74%
7May 2013Jun 20132 monthsJul 20131 month3 months-1.58%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.57%
9Sep 2005Oct 20052 monthsNov 20051 month3 months-1.55%
10May 2006May 20061 monthAug 20063 months4 months-1.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20097 months1 year 4 months-17.85%
2Mar 2015Jan 201611 monthsMar 20162 months1 year 1 month-5.71%
3Apr 2013Jun 20133 monthsOct 20134 months7 months-4.57%
4May 2010Jun 20102 monthsSep 20103 months5 months-3.93%
5Sep 2011Sep 20111 monthOct 20111 month2 months-3.74%
6Sep 2014Sep 20141 monthDec 20143 months4 months-3.28%
7Aug 2016Oct 20163 months-3.22%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-2.47%
9May 2006Jun 20062 monthsSep 20063 months5 months-2.16%
10Jul 2014Jul 20141 monthAug 20141 month2 months-2.10%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-38.59%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-12.94%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-8.69%
4May 2013Jun 20132 monthsJul 20131 month3 months-2.99%
5May 2006Jun 20062 monthsAug 20062 months4 months-2.81%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-2.69%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-2.66%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-2.20%
9Oct 2005Oct 20051 monthNov 20051 month2 months-2.04%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-1.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv7.69%14.72%33.35%-37.04%-50.89%0.500.711.00
VBMFXVanguard Total Bond Market Index Inv4.04%3.33%7.56%-2.26%-3.99%0.831.43-0.02
VISVXVanguard Small Cap Value Index Inv8.42%18.79%36.41%-32.05%-56.13%0.460.670.95
GLDSPDR Gold Shares7.94%18.82%30.45%-28.33%-42.91%0.440.700.05
VUSTXVanguard Long-Term Treasury Inv6.03%11.49%29.28%-13.03%-16.68%0.460.79-0.30
VFISXVanguard Short-Term Treasury Inv2.40%1.58%7.89%-0.10%-1.46%0.771.44-0.26
VGTSXVanguard Total Intl Stock Index Inv3.98%18.31%36.73%-44.10%-58.50%0.240.340.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVISVXGLDVUSTXVFISXVGTSXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv1.00-0.020.950.05-0.30-0.260.880.950.770.95
VBMFXVanguard Total Bond Market Index Inv-0.021.00-0.050.390.840.700.110.300.410.16
VISVXVanguard Small Cap Value Index Inv0.95-0.051.000.04-0.30-0.260.810.890.760.88
GLDSPDR Gold Shares0.050.390.041.000.220.340.230.170.590.20
VUSTXVanguard Long-Term Treasury Inv-0.300.84-0.300.221.000.56-0.22-0.030.15-0.17
VFISXVanguard Short-Term Treasury Inv-0.260.70-0.260.340.561.00-0.14-0.020.14-0.13
VGTSXVanguard Total Intl Stock Index Inv0.880.110.810.23-0.22-0.141.000.880.760.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$416,003$252,263$316,895
VBMFXVanguard Total Bond Market Index Inv$274,243$157,046
VISVXVanguard Small Cap Value Index Inv$280,916
GLDSPDR Gold Shares$238,379
VUSTXVanguard Long-Term Treasury Inv$176,080
VFISXVanguard Short-Term Treasury Inv$62,317
VGTSXVanguard Total Intl Stock Index Inv$195,252

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv90.29%29.16%43.15%
VBMFXVanguard Total Bond Market Index Inv9.71%1.68%
VISVXVanguard Small Cap Value Index Inv36.95%
GLDSPDR Gold Shares28.78%
VUSTXVanguard Long-Term Treasury Inv4.56%
VFISXVanguard Short-Term Treasury Inv0.55%
VGTSXVanguard Total Intl Stock Index Inv55.17%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.22%16.66%-13.17%7.60%17.80%-7.50%6.49%23.78%-26.82%
3 years6.21%10.67%0.31%7.39%13.17%3.33%5.50%10.91%-2.56%
5 years6.58%10.51%4.10%7.80%10.38%5.22%5.84%11.98%1.59%
7 years6.62%8.70%5.14%8.01%8.73%7.41%5.75%8.94%4.36%
10 years6.16%6.48%5.89%7.35%8.20%6.77%5.39%6.29%4.53%
Result statistics are based on annualized rolling returns over full calendar year periods

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
105/31/2007Vanguard Total Stock Mkt Idx Inv (VTSMX): 45.23%
Vanguard Total Bond Market Index Inv (VBMFX): 54.77%
206/30/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 34.92%
Vanguard Total Bond Market Index Inv (VBMFX): 65.08%
310/31/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 34.10%
Vanguard Total Bond Market Index Inv (VBMFX): 65.90%
402/28/2009Vanguard Total Stock Mkt Idx Inv (VTSMX): 32.67%
Vanguard Total Bond Market Index Inv (VBMFX): 67.33%
505/31/2009Vanguard Total Stock Mkt Idx Inv (VTSMX): 45.12%
Vanguard Total Bond Market Index Inv (VBMFX): 54.88%
603/31/2010Vanguard Total Stock Mkt Idx Inv (VTSMX): 45.18%
Vanguard Total Bond Market Index Inv (VBMFX): 54.82%
703/31/2013Vanguard Total Stock Mkt Idx Inv (VTSMX): 45.05%
Vanguard Total Bond Market Index Inv (VBMFX): 54.95%
812/31/2013Vanguard Total Stock Mkt Idx Inv (VTSMX): 45.02%
Vanguard Total Bond Market Index Inv (VBMFX): 54.98%

Portfolio 2 Rebalancing Events

Rebalancing dates for portfolio 2
#DateAllocation
104/30/2006Vanguard Total Stock Mkt Idx Inv (VTSMX): 19.38%
Vanguard Small Cap Value Index Inv (VISVX): 20.23%
SPDR Gold Shares (GLD): 25.51%
Vanguard Long-Term Treasury Inv (VUSTX): 17.32%
Vanguard Short-Term Treasury Inv (VFISX): 17.56%
202/29/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 17.93%
Vanguard Small Cap Value Index Inv (VISVX): 16.03%
SPDR Gold Shares (GLD): 25.44%
Vanguard Long-Term Treasury Inv (VUSTX): 20.83%
Vanguard Short-Term Treasury Inv (VFISX): 19.77%
311/30/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 15.72%
Vanguard Small Cap Value Index Inv (VISVX): 15.99%
SPDR Gold Shares (GLD): 19.33%
Vanguard Long-Term Treasury Inv (VUSTX): 25.29%
Vanguard Short-Term Treasury Inv (VFISX): 23.67%
412/31/2010Vanguard Total Stock Mkt Idx Inv (VTSMX): 21.70%
Vanguard Small Cap Value Index Inv (VISVX): 24.24%
SPDR Gold Shares (GLD): 24.42%
Vanguard Long-Term Treasury Inv (VUSTX): 14.75%
Vanguard Short-Term Treasury Inv (VFISX): 14.89%
506/30/2013Vanguard Total Stock Mkt Idx Inv (VTSMX): 23.20%
Vanguard Small Cap Value Index Inv (VISVX): 22.73%
SPDR Gold Shares (GLD): 14.88%
Vanguard Long-Term Treasury Inv (VUSTX): 21.41%
Vanguard Short-Term Treasury Inv (VFISX): 17.78%
612/31/2016Vanguard Total Stock Mkt Idx Inv (VTSMX): 24.11%
Vanguard Small Cap Value Index Inv (VISVX): 25.17%
SPDR Gold Shares (GLD): 14.95%
Vanguard Long-Term Treasury Inv (VUSTX): 19.11%
Vanguard Short-Term Treasury Inv (VFISX): 16.65%

Portfolio 3 Rebalancing Events

Rebalancing dates for portfolio 3
#DateAllocation
111/30/2006Vanguard Total Stock Mkt Idx Inv (VTSMX): 32.40%
Vanguard Total Bond Market Index Inv (VBMFX): 29.59%
Vanguard Total Intl Stock Index Inv (VGTSX): 38.01%
209/30/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 30.87%
Vanguard Total Bond Market Index Inv (VBMFX): 39.19%
Vanguard Total Intl Stock Index Inv (VGTSX): 29.94%
311/30/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 29.99%
Vanguard Total Bond Market Index Inv (VBMFX): 41.14%
Vanguard Total Intl Stock Index Inv (VGTSX): 28.86%
412/31/2009Vanguard Total Stock Mkt Idx Inv (VTSMX): 33.46%
Vanguard Total Bond Market Index Inv (VBMFX): 28.79%
Vanguard Total Intl Stock Index Inv (VGTSX): 37.75%
505/31/2012Vanguard Total Stock Mkt Idx Inv (VTSMX): 36.81%
Vanguard Total Bond Market Index Inv (VBMFX): 35.73%
Vanguard Total Intl Stock Index Inv (VGTSX): 27.46%
607/31/2013Vanguard Total Stock Mkt Idx Inv (VTSMX): 36.82%
Vanguard Total Bond Market Index Inv (VBMFX): 28.33%
Vanguard Total Intl Stock Index Inv (VGTSX): 34.85%
711/30/2016Vanguard Total Stock Mkt Idx Inv (VTSMX): 39.02%
Vanguard Total Bond Market Index Inv (VBMFX): 31.62%
Vanguard Total Intl Stock Index Inv (VGTSX): 29.36%