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 
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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 1994 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DODIX Dodge&Cox Income 100.00%
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Portfolio 2
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
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Portfolio 3
Ticker Name Allocation
VFICX Vanguard Interm-Term Invmt-Grade Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$37,231 5.88% 3.79%20.21%-2.89%-8.01% 0.871.510.28
Portfolio 2$10,000$32,019 5.19% 3.63%18.18%-2.66%-5.01% 0.731.180.00
Portfolio 3$10,000$36,771 5.82% 4.81%21.39%-6.16%-14.11% 0.681.040.19
   
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 (3-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 assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceDodge&Cox Income (DODIX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Interm-Term Invmt-Grade Inv (VFICX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19942.67%-2.89%-2.66%-4.20%$9,711$9,734$9,580-2.89%-2.66%-4.20%
19952.54%20.21%18.18%21.39%$11,673$11,504$11,62920.21%18.18%21.39%
19963.32%3.61%3.58%2.78%$12,095$11,916$11,9523.61%3.58%2.78%
19971.70%10.00%9.44%8.94%$13,305$13,042$13,02010.00%9.44%8.94%
19981.61%8.08%8.58%8.30%$14,380$14,161$14,1018.08%8.58%8.30%
19992.68%-0.81%-0.76%-1.53%$14,264$14,053$13,885-0.81%-0.76%-1.53%
20003.39%10.70%11.39%10.70%$15,790$15,654$15,37110.70%11.39%10.70%
20011.55%10.32%8.43%9.42%$17,420$16,973$16,81910.32%8.43%9.42%
20022.38%10.75%8.26%10.28%$19,293$18,375$18,54810.75%8.26%10.28%
20031.88%5.97%3.97%6.29%$20,445$19,105$19,7145.97%3.97%6.29%
20043.26%3.64%4.24%4.75%$21,190$19,915$20,6503.64%4.24%4.75%
20053.42%1.98%2.40%1.97%$21,609$20,392$21,0561.98%2.40%1.97%
20062.54%5.30%4.27%4.43%$22,756$21,262$21,9895.30%4.27%4.43%
20074.08%4.68%6.92%6.14%$23,820$22,734$23,3394.68%6.92%6.14%
20080.09%-0.29%5.05%-6.16%$23,751$23,883$21,902-0.29%5.05%-6.16%
20092.72%16.05%5.93%17.73%$27,563$25,300$25,78616.05%5.93%17.73%
20101.50%7.17%6.42%10.47%$29,539$26,924$28,4857.17%6.42%10.47%
20112.96%4.76%7.56%7.52%$30,946$28,959$30,6264.76%7.56%7.52%
20121.74%7.94%4.05%9.14%$33,404$30,132$33,4247.94%4.05%9.14%
20131.50%0.64%-2.26%-1.37%$33,618$29,450$32,9670.64%-2.26%-1.37%
20140.76%5.48%5.76%5.81%$35,460$31,146$34,8815.48%5.76%5.81%
20150.73%-0.59%0.30%1.53%$35,252$31,239$35,415-0.59%0.30%1.53%
20162.07%5.61%2.50%3.83%$37,231$32,019$36,7715.61%2.50%3.83%
Monthly returns for the configured portfolios
YearMonthReturnBalanceDodge&Cox Income (DODIX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Interm-Term Invmt-Grade Inv (VFICX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199411.60%1.39%1.45%$10,160$10,139$10,1451.60%1.39%1.45%
19942-1.90%-1.78%-2.34%$9,966$9,958$9,908-1.90%-1.78%-2.34%
19943-2.05%-2.30%-2.51%$9,762$9,729$9,659-2.05%-2.30%-2.51%
19944-1.06%-0.83%-1.00%$9,659$9,649$9,563-1.06%-0.83%-1.00%
19945-0.18%0.00%-0.04%$9,642$9,649$9,559-0.18%0.00%-0.04%
19946-0.29%-0.18%-0.14%$9,614$9,631$9,545-0.29%-0.18%-0.14%
199472.09%1.84%1.60%$9,815$9,809$9,6982.09%1.84%1.60%
199480.18%0.14%0.31%$9,832$9,823$9,7280.18%0.14%0.31%
19949-1.78%-1.44%-1.60%$9,657$9,681$9,572-1.78%-1.44%-1.60%
199410-0.28%-0.07%-0.31%$9,631$9,674$9,543-0.28%-0.07%-0.31%
199411-0.18%-0.18%-0.31%$9,613$9,657$9,513-0.18%-0.18%-0.31%
1994121.02%0.80%0.70%$9,711$9,734$9,5801.02%0.80%0.70%
199511.96%1.90%1.95%$9,901$9,919$9,7671.96%1.90%1.95%
199522.74%2.17%2.78%$10,172$10,135$10,0382.74%2.17%2.78%
199530.71%0.67%0.83%$10,244$10,203$10,1210.71%0.67%0.83%
199541.44%1.31%1.55%$10,391$10,337$10,2781.44%1.31%1.55%
199554.69%3.95%4.76%$10,879$10,745$10,7674.69%3.95%4.76%
199560.76%0.66%0.76%$10,962$10,816$10,8490.76%0.66%0.76%
19957-0.43%-0.25%-0.35%$10,915$10,788$10,811-0.43%-0.25%-0.35%
199581.37%1.18%1.30%$11,064$10,915$10,9521.37%1.18%1.30%
199591.10%0.95%1.06%$11,186$11,019$11,0681.10%0.95%1.06%
1995101.19%1.47%1.58%$11,319$11,180$11,2431.19%1.47%1.58%
1995111.76%1.44%1.85%$11,519$11,341$11,4521.76%1.44%1.85%
1995121.34%1.44%1.55%$11,673$11,504$11,6291.34%1.44%1.55%
199610.50%0.63%0.73%$11,732$11,577$11,7140.50%0.63%0.73%
19962-1.90%-1.76%-2.26%$11,508$11,373$11,449-1.90%-1.76%-2.26%
19963-0.66%-0.77%-0.88%$11,432$11,285$11,349-0.66%-0.77%-0.88%
19964-0.60%-0.49%-1.11%$11,363$11,230$11,223-0.60%-0.49%-1.11%
19965-0.26%-0.17%-0.38%$11,333$11,210$11,180-0.26%-0.17%-0.38%
199661.33%1.27%1.39%$11,484$11,353$11,3361.33%1.27%1.39%
199670.26%0.25%0.25%$11,514$11,381$11,3650.26%0.25%0.25%
19968-0.26%-0.16%-0.17%$11,484$11,363$11,345-0.26%-0.16%-0.17%
199692.03%1.70%1.93%$11,717$11,556$11,5642.03%1.70%1.93%
1996102.44%2.21%2.55%$12,003$11,811$11,8592.44%2.21%2.55%
1996111.96%1.76%2.18%$12,237$12,019$12,1171.96%1.76%2.18%
199612-1.16%-0.85%-1.36%$12,095$11,916$11,952-1.16%-0.85%-1.36%
199710.17%0.25%0.25%$12,116$11,946$11,9820.17%0.25%0.25%
199720.34%0.11%0.20%$12,157$11,959$12,0060.34%0.11%0.20%
19973-1.28%-0.97%-1.29%$12,002$11,843$11,851-1.28%-0.97%-1.29%
199741.49%1.49%1.50%$12,181$12,019$12,0281.49%1.49%1.50%
199750.78%0.87%0.88%$12,276$12,124$12,1340.78%0.87%0.88%
199761.37%1.16%1.27%$12,444$12,265$12,2881.37%1.16%1.27%
199773.35%2.80%2.93%$12,861$12,609$12,6483.35%2.80%2.93%
19978-1.33%-0.85%-1.07%$12,690$12,501$12,513-1.33%-0.85%-1.07%
199791.68%1.45%1.55%$12,903$12,682$12,7071.68%1.45%1.55%
1997101.52%1.45%1.36%$13,099$12,865$12,8791.52%1.45%1.36%
1997110.41%0.33%0.03%$13,153$12,908$12,8820.41%0.33%0.03%
1997121.16%1.04%1.07%$13,305$13,042$13,0201.16%1.04%1.07%
199811.08%1.32%1.45%$13,449$13,214$13,2091.08%1.32%1.45%
199820.08%-0.10%-0.21%$13,460$13,201$13,1820.08%-0.10%-0.21%
199830.25%0.33%0.40%$13,493$13,244$13,2340.25%0.33%0.40%
199840.58%0.51%0.63%$13,571$13,312$13,3170.58%0.51%0.63%
199851.07%1.02%0.94%$13,717$13,448$13,4421.07%1.02%0.94%
199860.74%0.81%0.62%$13,818$13,556$13,5260.74%0.81%0.62%
199870.08%0.23%0.23%$13,830$13,587$13,5570.08%0.23%0.23%
199881.07%1.90%1.23%$13,978$13,845$13,7251.07%1.90%1.23%
199891.96%1.96%3.10%$14,252$14,116$14,1501.96%1.96%3.10%
199810-0.89%-0.55%-1.43%$14,125$14,038$13,948-0.89%-0.55%-1.43%
1998111.23%0.49%0.51%$14,298$14,107$14,0181.23%0.49%0.51%
1998120.57%0.38%0.59%$14,380$14,161$14,1010.57%0.38%0.59%
199910.90%0.79%0.92%$14,509$14,273$14,2310.90%0.79%0.92%
19992-1.78%-1.77%-2.51%$14,251$14,021$13,873-1.78%-1.77%-2.51%
199930.58%0.56%0.90%$14,333$14,099$13,9980.58%0.56%0.90%
199940.33%0.40%0.30%$14,381$14,156$14,0410.33%0.40%0.30%
19995-0.83%-0.88%-1.32%$14,261$14,031$13,856-0.83%-0.88%-1.32%
19996-0.50%-0.50%-0.52%$14,191$13,962$13,784-0.50%-0.50%-0.52%
19997-0.34%-0.39%-0.40%$14,142$13,907$13,730-0.34%-0.39%-0.40%
19998-0.34%-0.08%-0.39%$14,094$13,897$13,676-0.34%-0.08%-0.39%
199991.12%1.26%1.21%$14,251$14,071$13,8411.12%1.26%1.21%
1999100.35%0.33%0.47%$14,300$14,118$13,9060.35%0.33%0.47%
1999110.00%0.02%0.34%$14,300$14,121$13,9540.00%0.02%0.34%
199912-0.26%-0.48%-0.49%$14,264$14,053$13,885-0.26%-0.48%-0.49%
20001-0.26%-0.17%-0.28%$14,226$14,029$13,846-0.26%-0.17%-0.28%
200021.23%1.18%0.90%$14,401$14,194$13,9701.23%1.18%0.90%
200031.14%1.40%1.37%$14,565$14,393$14,1621.14%1.40%1.37%
20004-0.61%-0.49%-1.47%$14,476$14,323$13,954-0.61%-0.49%-1.47%
20005-0.44%-0.16%-0.48%$14,413$14,299$13,886-0.44%-0.16%-0.48%
200062.39%2.15%2.62%$14,757$14,606$14,2502.39%2.15%2.62%
200071.05%0.88%1.05%$14,912$14,735$14,4001.05%0.88%1.05%
200081.30%1.40%1.38%$15,106$14,941$14,5991.30%1.40%1.38%
200090.35%0.76%1.24%$15,159$15,055$14,7790.35%0.76%1.24%
2000100.69%0.57%-0.04%$15,264$15,140$14,7730.69%0.57%-0.04%
2000111.55%1.58%1.79%$15,501$15,380$15,0381.55%1.58%1.79%
2000121.87%1.79%2.22%$15,790$15,654$15,3711.87%1.79%2.22%
200112.29%1.76%1.97%$16,151$15,930$15,6732.29%1.76%1.97%
200120.99%0.91%1.24%$16,312$16,074$15,8680.99%0.91%1.24%
200130.50%0.54%0.67%$16,393$16,161$15,9740.50%0.54%0.67%
200140.00%-0.46%-0.90%$16,393$16,086$15,8300.00%-0.46%-0.90%
200151.08%0.73%0.77%$16,570$16,204$15,9531.08%0.73%0.77%
200160.24%0.52%0.54%$16,609$16,289$16,0400.24%0.52%0.54%
200172.24%2.23%2.96%$16,982$16,652$16,5152.24%2.23%2.96%
200181.14%1.11%1.27%$17,175$16,837$16,7241.14%1.11%1.27%
200190.81%0.89%0.73%$17,314$16,987$16,8460.81%0.89%0.73%
2001101.62%1.86%2.04%$17,594$17,304$17,1901.62%1.86%2.04%
200111-0.48%-1.34%-1.30%$17,510$17,072$16,967-0.48%-1.34%-1.30%
200112-0.51%-0.58%-0.87%$17,420$16,973$16,819-0.51%-0.58%-0.87%
200210.74%0.69%0.85%$17,548$17,090$16,9620.74%0.69%0.85%
200220.81%0.85%1.01%$17,691$17,236$17,1330.81%0.85%1.01%
20023-0.57%-1.46%-1.82%$17,591$16,984$16,820-0.57%-1.46%-1.82%
200241.73%1.69%1.47%$17,895$17,272$17,0681.73%1.69%1.47%
200250.89%0.80%1.39%$18,054$17,410$17,3050.89%0.80%1.39%
200260.47%0.29%0.02%$18,140$17,460$17,3090.47%0.29%0.02%
200270.65%0.48%0.80%$18,257$17,545$17,4480.65%0.48%0.80%
200281.45%1.66%2.23%$18,521$17,836$17,8371.45%1.66%2.23%
200291.67%1.53%2.38%$18,831$18,109$18,2611.67%1.53%2.38%
200210-0.71%-0.61%-1.02%$18,697$17,998$18,074-0.71%-0.61%-1.02%
2002110.79%0.02%-0.06%$18,845$18,002$18,0630.79%0.02%-0.06%
2002122.37%2.07%2.68%$19,293$18,375$18,5482.37%2.07%2.68%
200310.31%0.05%-0.04%$19,353$18,385$18,5400.31%0.05%-0.04%
200321.01%1.38%1.82%$19,550$18,637$18,8791.01%1.38%1.82%
200330.09%-0.13%0.18%$19,566$18,614$18,9120.09%-0.13%0.18%
200341.41%0.87%1.15%$19,842$18,775$19,1291.41%0.87%1.15%
200351.46%1.82%2.72%$20,132$19,118$19,6491.46%1.82%2.72%
20036-0.08%-0.13%0.11%$20,117$19,092$19,671-0.08%-0.13%0.11%
20037-2.31%-3.34%-3.50%$19,653$18,455$18,983-2.31%-3.34%-3.50%
200380.79%0.61%0.33%$19,808$18,567$19,0450.79%0.61%0.33%
200392.11%2.71%3.08%$20,226$19,070$19,6322.11%2.71%3.08%
200310-0.54%-0.96%-0.94%$20,116$18,887$19,447-0.54%-0.96%-0.94%
2003110.47%0.27%0.39%$20,210$18,938$19,5230.47%0.27%0.39%
2003121.16%0.88%0.98%$20,445$19,105$19,7141.16%0.88%0.98%
200410.70%0.86%0.99%$20,588$19,270$19,9080.70%0.86%0.99%
200420.69%1.03%1.16%$20,730$19,469$20,1390.69%1.03%1.16%
200430.46%0.80%0.94%$20,825$19,624$20,3290.46%0.80%0.94%
20044-1.92%-2.61%-2.92%$20,425$19,111$19,735-1.92%-2.61%-2.92%
20045-0.55%-0.43%-0.79%$20,314$19,029$19,578-0.55%-0.43%-0.79%
200460.40%0.56%0.50%$20,394$19,136$19,6750.40%0.56%0.50%
200470.71%0.96%1.22%$20,540$19,320$19,9150.71%0.96%1.22%
200481.57%1.94%2.21%$20,863$19,695$20,3551.57%1.94%2.21%
200490.38%0.16%0.38%$20,944$19,727$20,4320.38%0.16%0.38%
2004100.62%0.85%0.99%$21,075$19,894$20,6340.62%0.85%0.99%
200411-0.31%-0.81%-1.09%$21,009$19,734$20,408-0.31%-0.81%-1.09%
2004120.86%0.92%1.19%$21,190$19,915$20,6500.86%0.92%1.19%
200510.39%0.65%0.49%$21,272$20,045$20,7520.39%0.65%0.49%
20052-0.08%-0.63%-0.64%$21,256$19,919$20,620-0.08%-0.63%-0.64%
20053-0.77%-0.49%-0.73%$21,091$19,821$20,470-0.77%-0.49%-0.73%
200540.79%1.35%1.50%$21,258$20,090$20,7770.79%1.35%1.50%
200550.78%1.05%1.10%$21,424$20,301$21,0050.78%1.05%1.10%
200560.55%0.55%0.68%$21,541$20,414$21,1470.55%0.55%0.68%
20057-0.16%-0.99%-1.21%$21,508$20,211$20,892-0.16%-0.99%-1.21%
200580.70%1.36%1.61%$21,659$20,485$21,2280.70%1.36%1.61%
20059-0.78%-1.10%-1.21%$21,490$20,260$20,971-0.78%-1.10%-1.21%
200510-0.24%-0.81%-0.91%$21,439$20,096$20,780-0.24%-0.81%-0.91%
2005110.24%0.48%0.50%$21,490$20,192$20,8840.24%0.48%0.50%
2005120.55%0.99%0.83%$21,609$20,392$21,0560.55%0.99%0.83%
200610.32%-0.11%-0.10%$21,678$20,370$21,0350.32%-0.11%-0.10%
200620.16%0.37%0.07%$21,713$20,446$21,0500.16%0.37%0.07%
20063-0.40%-1.00%-0.92%$21,627$20,242$20,856-0.40%-1.00%-0.92%
200640.00%-0.21%-0.32%$21,627$20,200$20,7900.00%-0.21%-0.32%
20065-0.08%-0.09%0.01%$21,609$20,181$20,793-0.08%-0.09%0.01%
200660.08%0.10%0.00%$21,628$20,202$20,7930.08%0.10%0.00%
200671.06%1.35%1.40%$21,857$20,474$21,0841.06%1.35%1.40%
200681.37%1.64%1.81%$22,157$20,810$21,4641.37%1.64%1.81%
200690.96%0.81%0.94%$22,369$20,979$21,6660.96%0.81%0.94%
2006100.64%0.72%0.74%$22,512$21,130$21,8260.64%0.72%0.74%
2006111.27%1.11%1.24%$22,798$21,364$22,0971.27%1.11%1.24%
200612-0.19%-0.48%-0.49%$22,756$21,262$21,989-0.19%-0.48%-0.49%
200710.16%-0.08%-0.08%$22,792$21,245$21,9720.16%-0.08%-0.08%
200721.27%1.50%1.95%$23,081$21,564$22,4001.27%1.50%1.95%
20073-0.00%0.02%-0.18%$23,081$21,569$22,361-0.00%0.02%-0.18%
200740.56%0.51%0.63%$23,210$21,680$22,5000.56%0.51%0.63%
20075-0.39%-0.78%-1.10%$23,118$21,511$22,252-0.39%-0.78%-1.10%
20076-0.39%-0.39%-0.41%$23,027$21,428$22,162-0.39%-0.39%-0.41%
200770.08%0.84%0.86%$23,046$21,608$22,3520.08%0.84%0.86%
200780.97%1.34%1.07%$23,268$21,898$22,5900.97%1.34%1.07%
200791.04%0.72%0.74%$23,510$22,055$22,7561.04%0.72%0.74%
2007100.64%0.93%0.85%$23,660$22,260$22,9500.64%0.93%0.85%
2007110.64%1.91%1.87%$23,810$22,685$23,3790.64%1.91%1.87%
2007120.04%0.22%-0.17%$23,820$22,734$23,3390.04%0.22%-0.17%
200811.20%1.69%1.87%$24,106$23,118$23,7771.20%1.69%1.87%
20082-0.16%0.19%0.31%$24,068$23,162$23,850-0.16%0.19%0.31%
20083-0.47%0.30%-0.57%$23,954$23,230$23,715-0.47%0.30%-0.57%
200841.13%-0.30%-0.40%$24,224$23,160$23,6211.13%-0.30%-0.40%
20085-0.40%-0.79%-0.69%$24,128$22,978$23,457-0.40%-0.79%-0.69%
20086-1.04%-0.01%-0.40%$23,876$22,977$23,363-1.04%-0.01%-0.40%
20087-0.49%0.00%-0.70%$23,759$22,977$23,200-0.49%0.00%-0.70%
200880.49%0.70%0.36%$23,876$23,138$23,2840.49%0.70%0.36%
20089-3.77%-1.10%-5.74%$22,977$22,882$21,948-3.77%-1.10%-5.74%
200810-3.02%-2.53%-6.67%$22,283$22,302$20,484-3.02%-2.53%-6.67%
2008110.45%3.64%2.10%$22,382$23,114$20,9140.45%3.64%2.10%
2008126.11%3.32%4.73%$23,751$23,883$21,9026.11%3.32%4.73%
200910.93%-0.70%0.35%$23,972$23,716$21,9790.93%-0.70%0.35%
20092-1.68%-0.42%-1.55%$23,569$23,616$21,639-1.68%-0.42%-1.55%
200931.03%1.48%1.00%$23,812$23,965$21,8551.03%1.48%1.00%
200943.44%0.36%2.46%$24,630$24,051$22,3933.44%0.36%2.46%
200952.41%0.85%3.36%$25,223$24,255$23,1452.41%0.85%3.36%
200961.46%0.54%2.13%$25,592$24,386$23,6391.46%0.54%2.13%
200972.92%1.43%3.88%$26,339$24,734$24,5562.92%1.43%3.88%
200981.18%1.01%1.84%$26,650$24,985$25,0071.18%1.01%1.84%
200991.64%1.19%1.69%$27,087$25,282$25,4311.64%1.19%1.69%
2009100.70%0.41%1.06%$27,276$25,386$25,7000.70%0.41%1.06%
2009111.16%1.36%1.73%$27,591$25,731$26,1461.16%1.36%1.73%
200912-0.10%-1.68%-1.38%$27,563$25,300$25,786-0.10%-1.68%-1.38%
201011.23%1.57%2.37%$27,903$25,697$26,3981.23%1.57%2.37%
201020.08%0.20%0.38%$27,925$25,748$26,4990.08%0.20%0.38%
201030.92%-0.08%0.59%$28,180$25,727$26,6540.92%-0.08%0.59%
201040.84%1.06%1.73%$28,417$26,000$27,1160.84%1.06%1.73%
20105-0.15%0.87%-0.19%$28,374$26,227$27,064-0.15%0.87%-0.19%
201061.29%1.61%2.02%$28,741$26,649$27,6111.29%1.61%2.02%
201071.14%0.94%2.00%$29,068$26,899$28,1641.14%0.94%2.00%
201080.75%1.48%1.97%$29,286$27,297$28,7180.75%1.48%1.97%
201090.67%-0.01%0.86%$29,482$27,294$28,9650.67%-0.01%0.86%
2010100.60%0.36%0.77%$29,659$27,392$29,1890.60%0.36%0.77%
201011-0.37%-0.57%-0.98%$29,548$27,237$28,903-0.37%-0.57%-0.98%
201012-0.03%-1.15%-1.45%$29,539$26,924$28,485-0.03%-1.15%-1.45%
201110.38%0.08%0.68%$29,650$26,947$28,6790.38%0.08%0.68%
201120.75%0.16%0.34%$29,873$26,991$28,7780.75%0.16%0.34%
201130.23%-0.01%-0.08%$29,941$26,989$28,7560.23%-0.01%-0.08%
201141.21%1.32%1.90%$30,302$27,345$29,3021.21%1.32%1.90%
201150.97%1.30%1.28%$30,595$27,701$29,6760.97%1.30%1.28%
20116-0.41%-0.39%-0.84%$30,470$27,594$29,426-0.41%-0.39%-0.84%
201171.20%1.58%2.28%$30,835$28,028$30,0971.20%1.58%2.28%
20118-0.52%1.46%0.26%$30,675$28,439$30,175-0.52%1.46%0.26%
20119-0.48%0.89%-0.35%$30,528$28,693$30,071-0.48%0.89%-0.35%
2011101.21%0.16%1.45%$30,896$28,738$30,5071.21%0.16%1.45%
201111-1.27%-0.30%-1.53%$30,505$28,651$30,040-1.27%-0.30%-1.53%
2011121.45%1.08%1.95%$30,946$28,959$30,6261.45%1.08%1.95%
201212.11%0.87%2.25%$31,597$29,212$31,3142.11%0.87%2.25%
201220.88%-0.05%0.60%$31,877$29,199$31,5020.88%-0.05%0.60%
20123-0.04%-0.58%-0.45%$31,865$29,028$31,361-0.04%-0.58%-0.45%
201240.74%1.14%1.21%$32,100$29,359$31,7400.74%1.14%1.21%
201250.07%0.95%0.51%$32,123$29,638$31,9030.07%0.95%0.51%
201260.48%0.04%0.49%$32,276$29,649$32,0600.48%0.04%0.49%
201271.47%1.39%2.06%$32,750$30,059$32,7211.47%1.39%2.06%
201280.36%0.03%0.38%$32,869$30,068$32,8470.36%0.03%0.38%
201290.65%0.11%0.85%$33,083$30,101$33,1260.65%0.11%0.85%
2012100.87%0.11%0.75%$33,370$30,134$33,3760.87%0.11%0.75%
201211-0.07%0.19%0.17%$33,346$30,192$33,433-0.07%0.19%0.17%
2012120.17%-0.20%-0.03%$33,404$30,132$33,4240.17%-0.20%-0.03%
201310.00%-0.71%-0.51%$33,404$29,917$33,2540.00%-0.71%-0.51%
201320.36%0.54%0.73%$33,524$30,079$33,4960.36%0.54%0.73%
201330.18%0.08%0.12%$33,585$30,104$33,5360.18%0.08%0.12%
201340.80%0.91%1.23%$33,852$30,379$33,9500.80%0.91%1.23%
20135-0.93%-1.71%-1.88%$33,536$29,860$33,311-0.93%-1.71%-1.88%
20136-1.70%-1.65%-2.63%$32,967$29,366$32,436-1.70%-1.65%-2.63%
201370.52%0.20%0.78%$33,138$29,424$32,6900.52%0.20%0.78%
20138-0.52%-0.64%-0.95%$32,967$29,235$32,380-0.52%-0.64%-0.95%
201390.81%0.96%1.30%$33,236$29,516$32,8000.81%0.96%1.30%
2013101.11%0.78%1.09%$33,605$29,746$33,1581.11%0.78%1.09%
2013110.07%-0.35%-0.04%$33,630$29,642$33,1460.07%-0.35%-0.04%
201312-0.04%-0.65%-0.54%$33,618$29,450$32,967-0.04%-0.65%-0.54%
201411.33%1.54%1.73%$34,065$29,904$33,5371.33%1.54%1.73%
201420.95%0.48%0.66%$34,388$30,048$33,7580.95%0.48%0.66%
201430.02%-0.15%-0.05%$34,395$30,003$33,7420.02%-0.15%-0.05%
201440.88%0.77%0.88%$34,697$30,234$34,0380.88%0.77%0.88%
201451.01%1.05%1.18%$35,048$30,551$34,4391.01%1.05%1.18%
201460.29%0.11%0.05%$35,149$30,585$34,4580.29%0.11%0.05%
20147-0.22%-0.26%-0.14%$35,073$30,506$34,408-0.22%-0.26%-0.14%
201480.87%1.13%1.07%$35,377$30,851$34,7760.87%1.13%1.07%
20149-0.64%-0.72%-0.95%$35,149$30,628$34,445-0.64%-0.72%-0.95%
2014100.65%0.94%0.87%$35,378$30,916$34,7440.65%0.94%0.87%
2014110.50%0.65%0.65%$35,557$31,118$34,9700.50%0.65%0.65%
201412-0.27%0.09%-0.25%$35,460$31,146$34,881-0.27%0.09%-0.25%
201511.31%2.31%2.60%$35,923$31,865$35,7871.31%2.31%2.60%
20152-0.29%-1.08%-0.77%$35,821$31,521$35,510-0.29%-1.08%-0.77%
201530.28%0.41%0.45%$35,919$31,649$35,6690.28%0.41%0.45%
201540.00%-0.36%-0.06%$35,919$31,535$35,6480.00%-0.36%-0.06%
20155-0.22%-0.45%-0.35%$35,842$31,393$35,523-0.22%-0.45%-0.35%
20156-0.98%-1.01%-1.17%$35,492$31,076$35,107-0.98%-1.01%-1.17%
201570.29%0.76%0.56%$35,596$31,312$35,3050.29%0.76%0.56%
20158-0.81%-0.36%-0.45%$35,309$31,201$35,145-0.81%-0.36%-0.45%
20159-0.30%0.76%0.98%$35,205$31,437$35,490-0.30%0.76%0.98%
2015101.05%0.01%0.37%$35,573$31,442$35,6201.05%0.01%0.37%
201511-0.07%-0.27%-0.05%$35,547$31,357$35,600-0.07%-0.27%-0.05%
201512-0.83%-0.38%-0.52%$35,252$31,239$35,415-0.83%-0.38%-0.52%
20161-0.08%1.43%1.08%$35,225$31,685$35,796-0.08%1.43%1.08%
201620.15%0.66%0.64%$35,278$31,894$36,0260.15%0.66%0.64%
201632.29%0.94%1.78%$36,087$32,195$36,6692.29%0.94%1.78%
201641.34%0.38%0.74%$36,569$32,317$36,9411.34%0.38%0.74%
20165-0.22%0.01%-0.16%$36,488$32,322$36,883-0.22%0.01%-0.16%
201661.51%1.94%1.85%$37,039$32,948$37,5651.51%1.94%1.85%
201671.09%0.64%0.84%$37,444$33,159$37,8791.09%0.64%0.84%
201680.58%-0.17%-0.06%$37,660$33,103$37,8580.58%-0.17%-0.06%
201690.11%-0.09%0.12%$37,700$33,075$37,9040.11%-0.09%0.12%
201610-0.14%-0.81%-0.57%$37,646$32,808$37,689-0.14%-0.81%-0.57%
201611-1.66%-2.64%-2.58%$37,020$31,941$36,716-1.66%-2.64%-2.58%
2016120.57%0.24%0.15%$37,231$32,019$36,7710.57%0.24%0.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%0.00%
Large-cap Growth1.45%2.07%2.35%
Mid-cap Value0.07%0.00%0.00%
Mid-cap Growth3.31%0.00%2.58%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets2.14%1.67%3.81%
REITs0.97%0.44%0.09%
Corporate Bonds36.01%12.89%38.10%
Long-Term Treasuries0.00%1.71%0.00%
Intermediate-Term Treasuries0.00%30.81%21.42%
Short-Term Treasuries56.05%50.41%31.64%
R Squared83.10%90.45%78.62%
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
DODIXDodge&Cox IncomeIntermediate Core-Plus Bond4.300.42%100.00%$27,231100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%100.00%$22,019100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFICXVanguard Interm-Term Invmt-Grade InvCorporate Bond5.460.20%100.00%$26,771100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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)0.48%0.43%0.48%
Arithmetic Mean (annualized)5.96%5.26%5.95%
Geometric Mean (monthly)0.48%0.42%0.47%
Geometric Mean (annualized)5.88%5.19%5.82%
Volatility (monthly)1.09%1.05%1.39%
Volatility (annualized)3.79%3.63%4.81%
Downside Deviation (monthly)0.54%0.56%0.83%
Max. Drawdown-8.01%-5.01%-14.11%
US Market Correlation0.280.000.19
Beta(*)0.070.000.06
Alpha (annualized)5.09%5.12%5.20%
R28.05%0.00%3.44%
Sharpe Ratio0.870.730.68
Sortino Ratio1.511.181.04
Treynor Ratio (%)46.192,225.3955.52
Calmar Ratio1.730.771.18
Active Return-3.22%-3.91%-3.28%
Tracking Error14.44%15.47%14.93%
Information Ratio-0.22-0.25-0.22
Skewness0.30-0.21-0.77
Excess Kurtosis3.701.023.66
Historical Value-at-Risk (5%)-1.29%-1.35%-1.55%
Analytical Value-at-Risk (5%)-1.32%-1.30%-1.80%
Conditional Value-at-Risk (5%)-2.06%-2.05%-3.00%
Upside Capture Ratio (%)18.4911.6216.49
Downside Capture Ratio (%)-3.23-11.37-6.50
Safe Withdrawal Rate6.71%6.39%6.54%
Perpetual Withdrawal Rate3.46%2.83%3.41%
Positive Periods187 out of 276 (67.75%)186 out of 276 (67.39%)182 out of 276 (65.94%)
Gain/Loss Ratio1.491.381.29
* 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
Asian CrisisJul 1997Jan 1998-1.33%-0.85%-1.07%
Russian Debt DefaultJul 1998Oct 1998-0.89%-0.55%-1.43%
Dotcom CrashMar 2000Oct 2002-1.05%-1.91%-2.16%
Subprime CrisisNov 2007Mar 2009-8.01%-3.99%-14.11%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Oct 20086 monthsApr 20096 months1 year-8.01%
2Feb 1994Nov 199410 monthsFeb 19953 months1 year 1 month-5.38%
3Feb 1996May 19964 monthsOct 19965 months9 months-3.39%
4Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.86%
5May 2013Jun 20132 monthsJan 20147 months9 months-2.61%
6Apr 2004May 20042 monthsAug 20043 months5 months-2.46%
7Jun 2003Jul 20032 monthsSep 20032 months4 months-2.38%
8Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-2.00%
9Dec 1996Mar 19974 monthsMay 19972 months6 months-1.92%
10Oct 2016Nov 20162 months-1.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
2Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
4Aug 2016Nov 20164 months-3.67%
5Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
6Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
7Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
8Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
9Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
10Nov 2001Dec 20012 monthsMay 20025 months7 months-1.91%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsJul 20099 months1 year 5 months-14.11%
2Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-6.23%
3May 2013Aug 20134 monthsApr 20148 months1 year-4.62%
4Feb 1996May 19964 monthsOct 19965 months9 months-4.55%
5Feb 1999Aug 19997 monthsJun 200010 months1 year 5 months-3.90%
6Apr 2004May 20042 monthsAug 20043 months5 months-3.69%
7Jul 2003Jul 20031 monthDec 20035 months6 months-3.50%
8Oct 2016Nov 20162 months-3.13%
9Nov 2010Dec 20102 monthsApr 20114 months6 months-2.41%
10Dec 1996Mar 19974 monthsMay 19972 months6 months-2.20%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DODIXDodge&Cox Income5.88%3.79%20.21%-2.89%-8.01%0.871.510.28
VBMFXVanguard Total Bond Market Index Inv5.19%3.63%18.18%-2.66%-5.01%0.731.180.00
VFICXVanguard Interm-Term Invmt-Grade Inv5.82%4.81%21.39%-6.16%-14.11%0.681.040.19

Monthly Correlations

Correlations for the portfolio assets
TickerNameDODIXVBMFXVFICXPortfolio 1Portfolio 2Portfolio 3
DODIXDodge&Cox Income-0.840.921.000.840.92
VBMFXVanguard Total Bond Market Index Inv0.84-0.910.841.000.91
VFICXVanguard Interm-Term Invmt-Grade Inv0.920.91-0.920.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DODIXDodge&Cox Income$27,231
VBMFXVanguard Total Bond Market Index Inv$22,019
VFICXVanguard Interm-Term Invmt-Grade Inv$26,771

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DODIXDodge&Cox Income100.00%
VBMFXVanguard Total Bond Market Index Inv100.00%
VFICXVanguard Interm-Term Invmt-Grade Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.01%20.21%-2.89%5.28%18.18%-2.66%6.01%21.39%-6.16%
3 years6.10%11.07%1.81%5.44%10.24%1.21%6.10%11.82%1.32%
5 years6.15%8.24%3.04%5.49%7.62%2.03%6.16%8.52%2.13%
7 years6.20%8.71%4.39%5.56%8.27%3.42%6.21%8.37%3.84%
10 years6.06%8.12%5.02%5.48%7.42%4.18%6.01%7.98%4.50%
15 years6.12%7.20%5.19%5.52%6.57%4.32%6.06%6.82%5.35%
Result statistics are based on annualized rolling returns over full calendar year periods