This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.
The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.
| Ticker | Name | Allocation |
|---|---|---|
| VFIDX | Vanguard Interm-Term Investment-Grde Adm | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VWALX | Vanguard High-Yield Tax-Exempt Adm | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 25.00% |
| VFITX | Vanguard Interm-Term Treasury Inv | 75.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $20,973 | 5.06% | 4.78% | 17.88% | -6.06% | -14.06% | 0.80 | 1.20 | 0.28 |
| Portfolio 2 | $10,000 | $20,690 | 4.97% | 4.90% | 20.23% | -10.39% | -11.50% | 0.76 | 1.15 | 0.15 |
| Portfolio 3 | $10,000 | $18,604 | 4.23% | 4.69% | 10.59% | -2.81% | -4.80% | 0.65 | 1.08 | -0.06 |
| Vanguard Interm-Term Tx-Ex Inv | $10,000 | $17,620 | 3.85% | 3.85% | 10.22% | -1.56% | -5.17% | 0.68 | 1.02 | 0.03 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | 0.19% | 4.26% | 3.27% | 2.86% | 5.19% | 5.06% | 3.16% | 3.34% |
| Portfolio 2 | 1.57% | 7.95% | 4.33% | 4.20% | 5.14% | 4.97% | 3.81% | 4.15% |
| Portfolio 3 | -0.06% | 2.94% | 2.06% | 1.70% | 4.16% | 4.23% | 3.59% | 3.60% |
| Vanguard Interm-Term Tx-Ex Inv | 0.26% | 4.53% | 2.48% | 2.59% | 4.00% | 3.85% | 3.04% | 3.15% |
| Trailing annualized return and volatility are for full months ending in December 2017 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Interm-Term Tx-Ex Inv | Vanguard Interm-Term Investment-Grde Adm (VFIDX) | Vanguard High-Yield Tax-Exempt Adm (VWALX) | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | Vanguard Interm-Term Treasury Inv (VFITX) | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | Return | Balance | ||||||
| 2003 | 1.88% | 6.38% | $10,638 | 6.42% | $10,642 | 4.05% | $10,405 | 4.46% | $10,446 | 6.38% | 6.42% | 9.08% | 2.37% |
| 2004 | 3.26% | 4.86% | $11,155 | 5.04% | $11,178 | 3.98% | $10,819 | 3.23% | $10,783 | 4.86% | 5.04% | 5.72% | 3.40% |
| 2005 | 3.42% | 2.07% | $11,386 | 4.42% | $11,672 | 2.03% | $11,038 | 2.24% | $11,025 | 2.07% | 4.42% | 1.16% | 2.32% |
| 2006 | 2.54% | 4.55% | $11,904 | 5.61% | $12,327 | 3.41% | $11,414 | 4.43% | $11,513 | 4.55% | 5.61% | 4.22% | 3.14% |
| 2007 | 4.08% | 6.26% | $12,648 | 1.64% | $12,529 | 8.42% | $12,375 | 3.43% | $11,907 | 6.26% | 1.64% | 3.73% | 9.98% |
| 2008 | 0.09% | -6.06% | $11,882 | -10.39% | $11,227 | 10.59% | $13,686 | -0.14% | $11,891 | -6.06% | -10.39% | 2.40% | 13.32% |
| 2009 | 2.72% | 17.88% | $14,005 | 20.23% | $13,498 | 0.85% | $13,803 | 10.22% | $13,106 | 17.88% | 20.23% | 8.46% | -1.69% |
| 2010 | 1.50% | 10.60% | $15,490 | 2.63% | $13,853 | 7.85% | $14,886 | 2.13% | $13,385 | 10.60% | 2.63% | 9.33% | 7.35% |
| 2011 | 2.96% | 7.63% | $16,671 | 11.07% | $15,387 | 9.78% | $16,341 | 9.62% | $14,673 | 7.63% | 11.07% | 9.73% | 9.80% |
| 2012 | 1.74% | 9.25% | $18,213 | 9.45% | $16,840 | 4.65% | $17,101 | 5.70% | $15,509 | 9.25% | 9.45% | 10.58% | 2.67% |
| 2013 | 1.50% | -1.27% | $17,982 | -3.14% | $16,311 | -2.81% | $16,620 | -1.56% | $15,268 | -1.27% | -3.14% | -2.00% | -3.09% |
| 2014 | 0.76% | 5.91% | $19,044 | 11.71% | $18,220 | 5.29% | $17,499 | 7.25% | $16,374 | 5.91% | 11.71% | 8.21% | 4.32% |
| 2015 | 0.73% | 1.63% | $19,355 | 4.22% | $18,989 | 0.81% | $17,642 | 2.86% | $16,842 | 1.63% | 4.22% | -1.25% | 1.50% |
| 2016 | 2.07% | 3.93% | $20,116 | 0.94% | $19,166 | 2.44% | $18,073 | 0.08% | $16,856 | 3.93% | 0.94% | 6.21% | 1.19% |
| 2017 | 2.11% | 4.26% | $20,973 | 7.95% | $20,690 | 2.94% | $18,604 | 4.53% | $17,620 | 4.26% | 7.95% | 7.06% | 1.57% |
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Portfolio 3 Return | Vanguard Interm-Term Tx-Ex Inv Return | Vanguard Interm-Term Investment-Grde Adm (VFIDX) | Vanguard High-Yield Tax-Exempt Adm (VWALX) | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | Vanguard Interm-Term Treasury Inv (VFITX) |
|---|---|---|---|---|---|---|---|---|---|
| 2003 | 1 | -0.03% | -0.59% | -0.57% | -0.59% | -0.03% | -0.59% | -0.81% | -0.49% |
| 2003 | 2 | 1.83% | 1.34% | 1.82% | 1.36% | 1.83% | 1.34% | 1.98% | 1.77% |
| 2003 | 3 | 0.19% | -0.04% | -0.11% | -0.16% | 0.19% | -0.04% | 0.12% | -0.19% |
| 2003 | 4 | 1.15% | 1.07% | 0.77% | 0.71% | 1.15% | 1.07% | 2.35% | 0.24% |
| 2003 | 5 | 2.72% | 2.56% | 3.03% | 2.25% | 2.72% | 2.56% | 3.90% | 2.74% |
| 2003 | 6 | 0.12% | -0.24% | -0.37% | -0.39% | 0.12% | -0.24% | -0.18% | -0.43% |
| 2003 | 7 | -3.49% | -2.73% | -4.37% | -2.78% | -3.49% | -2.73% | -5.80% | -3.87% |
| 2003 | 8 | 0.34% | 0.80% | 0.51% | 0.80% | 0.34% | 0.80% | 1.45% | 0.19% |
| 2003 | 9 | 3.09% | 2.49% | 3.46% | 2.34% | 3.09% | 2.49% | 4.54% | 3.09% |
| 2003 | 10 | -0.93% | -0.24% | -1.33% | -0.62% | -0.93% | -0.24% | -1.26% | -1.36% |
| 2003 | 11 | 0.40% | 1.14% | 0.08% | 0.99% | 0.40% | 1.14% | 0.31% | 0.01% |
| 2003 | 12 | 0.99% | 0.78% | 1.29% | 0.56% | 0.99% | 0.78% | 2.55% | 0.85% |
| 2004 | 1 | 1.00% | 0.31% | 0.92% | 0.27% | 1.00% | 0.31% | 1.22% | 0.81% |
| 2004 | 2 | 1.17% | 1.67% | 1.30% | 1.71% | 1.17% | 1.67% | 1.51% | 1.23% |
| 2004 | 3 | 0.95% | -0.52% | 1.05% | -0.75% | 0.95% | -0.52% | 0.99% | 1.06% |
| 2004 | 4 | -2.91% | -2.01% | -3.41% | -2.22% | -2.91% | -2.01% | -3.89% | -3.25% |
| 2004 | 5 | -0.79% | 0.13% | -0.51% | 0.05% | -0.79% | 0.13% | -0.52% | -0.51% |
| 2004 | 6 | 0.51% | 0.40% | 0.44% | 0.26% | 0.51% | 0.40% | 0.13% | 0.54% |
| 2004 | 7 | 1.23% | 1.17% | 1.07% | 1.03% | 1.23% | 1.17% | 1.56% | 0.91% |
| 2004 | 8 | 2.22% | 1.82% | 2.33% | 1.84% | 2.22% | 1.82% | 3.08% | 2.07% |
| 2004 | 9 | 0.39% | 0.67% | 0.22% | 0.41% | 0.39% | 0.67% | 0.31% | 0.19% |
| 2004 | 10 | 0.99% | 0.86% | 0.98% | 0.64% | 0.99% | 0.86% | 1.18% | 0.91% |
| 2004 | 11 | -1.09% | -0.82% | -1.41% | -1.06% | -1.09% | -0.82% | -1.22% | -1.48% |
| 2004 | 12 | 1.20% | 1.33% | 1.08% | 1.09% | 1.20% | 1.33% | 1.39% | 0.97% |
| 2005 | 1 | 0.50% | 1.13% | 0.73% | 0.57% | 0.50% | 1.13% | 1.23% | 0.56% |
| 2005 | 2 | -0.63% | -0.38% | -0.97% | -0.43% | -0.63% | -0.38% | -0.94% | -0.98% |
| 2005 | 3 | -0.72% | -0.81% | -0.70% | -0.84% | -0.72% | -0.81% | -1.26% | -0.51% |
| 2005 | 4 | 1.51% | 1.61% | 1.72% | 1.39% | 1.51% | 1.61% | 1.62% | 1.75% |
| 2005 | 5 | 1.11% | 1.04% | 1.05% | 0.72% | 1.11% | 1.04% | 0.62% | 1.20% |
| 2005 | 6 | 0.69% | 0.56% | 0.72% | 0.48% | 0.69% | 0.56% | 1.22% | 0.55% |
| 2005 | 7 | -1.20% | -0.34% | -1.26% | -0.62% | -1.20% | -0.34% | -0.82% | -1.41% |
| 2005 | 8 | 1.62% | 1.12% | 1.61% | 0.94% | 1.62% | 1.12% | 1.50% | 1.65% |
| 2005 | 9 | -1.20% | -0.64% | -1.32% | -0.63% | -1.20% | -0.64% | -1.86% | -1.14% |
| 2005 | 10 | -0.90% | -0.54% | -0.99% | -0.55% | -0.90% | -0.54% | -1.58% | -0.79% |
| 2005 | 11 | 0.51% | 0.57% | 0.52% | 0.41% | 0.51% | 0.57% | 0.66% | 0.48% |
| 2005 | 12 | 0.83% | 1.05% | 0.98% | 0.81% | 0.83% | 1.05% | 0.86% | 1.01% |
| 2006 | 1 | -0.09% | 0.30% | -0.36% | 0.28% | -0.09% | 0.30% | -0.44% | -0.34% |
| 2006 | 2 | 0.08% | 0.82% | 0.24% | 0.55% | 0.08% | 0.82% | 0.68% | 0.09% |
| 2006 | 3 | -0.91% | -0.63% | -1.16% | -0.69% | -0.91% | -0.63% | -1.68% | -0.99% |
| 2006 | 4 | -0.31% | 0.01% | -0.33% | -0.03% | -0.31% | 0.01% | -0.20% | -0.37% |
| 2006 | 5 | 0.02% | 0.58% | -0.03% | 0.44% | 0.02% | 0.58% | -0.19% | 0.02% |
| 2006 | 6 | 0.01% | -0.45% | 0.05% | -0.41% | 0.01% | -0.45% | -0.09% | 0.10% |
| 2006 | 7 | 1.41% | 1.34% | 1.38% | 1.12% | 1.41% | 1.34% | 1.46% | 1.35% |
| 2006 | 8 | 1.82% | 1.51% | 1.77% | 1.42% | 1.82% | 1.51% | 2.22% | 1.62% |
| 2006 | 9 | 0.95% | 0.75% | 0.92% | 0.64% | 0.95% | 0.75% | 0.87% | 0.94% |
| 2006 | 10 | 0.75% | 0.67% | 0.68% | 0.50% | 0.75% | 0.67% | 1.00% | 0.57% |
| 2006 | 11 | 1.25% | 0.84% | 1.21% | 0.71% | 1.25% | 0.84% | 1.46% | 1.12% |
| 2006 | 12 | -0.48% | -0.25% | -0.96% | -0.17% | -0.48% | -0.25% | -0.90% | -0.98% |
| 2007 | 1 | -0.07% | -0.16% | -0.17% | -0.24% | -0.07% | -0.16% | 0.09% | -0.26% |
| 2007 | 2 | 1.96% | 1.19% | 1.89% | 1.15% | 1.96% | 1.19% | 2.00% | 1.86% |
| 2007 | 3 | -0.17% | -0.16% | -0.15% | -0.18% | -0.17% | -0.16% | -0.68% | 0.03% |
| 2007 | 4 | 0.63% | 0.29% | 0.65% | 0.26% | 0.63% | 0.29% | 0.89% | 0.57% |
| 2007 | 5 | -1.09% | -0.44% | -1.20% | -0.48% | -1.09% | -0.44% | -1.23% | -1.18% |
| 2007 | 6 | -0.40% | -0.45% | -0.34% | -0.34% | -0.40% | -0.45% | -0.81% | -0.18% |
| 2007 | 7 | 0.87% | 0.31% | 1.15% | 0.66% | 0.87% | 0.31% | -0.82% | 1.81% |
| 2007 | 8 | 1.07% | -1.00% | 2.07% | -0.11% | 1.07% | -1.00% | 2.38% | 1.97% |
| 2007 | 9 | 0.75% | 1.54% | 0.53% | 1.18% | 0.75% | 1.54% | 0.73% | 0.46% |
| 2007 | 10 | 0.86% | 0.31% | 0.87% | 0.28% | 0.86% | 0.31% | 0.97% | 0.84% |
| 2007 | 11 | 1.88% | 0.29% | 2.86% | 0.94% | 1.88% | 0.29% | 1.02% | 3.46% |
| 2007 | 12 | -0.16% | -0.07% | 0.01% | 0.27% | -0.16% | -0.07% | -0.81% | 0.27% |
| 2008 | 1 | 1.88% | 1.26% | 2.97% | 1.63% | 1.88% | 1.26% | 2.57% | 3.10% |
| 2008 | 2 | 0.32% | -5.17% | 0.84% | -4.08% | 0.32% | -5.17% | -0.71% | 1.35% |
| 2008 | 3 | -0.56% | 2.71% | 0.55% | 2.62% | -0.56% | 2.71% | -0.60% | 0.93% |
| 2008 | 4 | -0.39% | 1.27% | -1.32% | 0.87% | -0.39% | 1.27% | 1.25% | -2.14% |
| 2008 | 5 | -0.69% | 0.79% | -1.54% | 0.57% | -0.69% | 0.79% | -2.21% | -1.32% |
| 2008 | 6 | -0.39% | -1.05% | 0.26% | -1.03% | -0.39% | -1.05% | -1.29% | 0.77% |
| 2008 | 7 | -0.69% | 0.02% | 0.68% | 0.57% | -0.69% | 0.02% | 0.39% | 0.77% |
| 2008 | 8 | 0.37% | 1.00% | 0.77% | 1.18% | 0.37% | 1.00% | 0.15% | 0.98% |
| 2008 | 9 | -5.73% | -5.14% | -2.20% | -3.92% | -5.73% | -5.14% | -10.73% | 0.51% |
| 2008 | 10 | -6.66% | -3.98% | -1.49% | 0.12% | -6.66% | -3.98% | -1.95% | -1.36% |
| 2008 | 11 | 2.11% | -0.96% | 5.09% | 0.18% | 2.11% | -0.96% | 3.35% | 5.58% |
| 2008 | 12 | 4.73% | -1.28% | 5.85% | 1.39% | 4.73% | -1.28% | 13.80% | 3.66% |
| 2009 | 1 | 0.36% | 4.70% | -2.24% | 3.73% | 0.36% | 4.70% | -1.80% | -2.39% |
| 2009 | 2 | -1.54% | 0.94% | -1.74% | -0.46% | -1.54% | 0.94% | -5.20% | -0.58% |
| 2009 | 3 | 1.01% | -0.30% | 2.54% | -0.20% | 1.01% | -0.30% | 0.47% | 3.20% |
| 2009 | 4 | 2.47% | 3.11% | -0.68% | 1.79% | 2.47% | 3.11% | 2.78% | -1.76% |
| 2009 | 5 | 3.37% | 2.83% | -0.26% | 0.86% | 3.37% | 2.83% | 2.32% | -1.10% |
| 2009 | 6 | 2.14% | -0.71% | 0.45% | -0.97% | 2.14% | -0.71% | 2.89% | -0.37% |
| 2009 | 7 | 3.89% | 1.55% | 1.64% | 1.79% | 3.89% | 1.55% | 4.63% | 0.60% |
| 2009 | 8 | 1.85% | 2.75% | 1.00% | 1.23% | 1.85% | 2.75% | 1.31% | 0.89% |
| 2009 | 9 | 1.70% | 5.16% | 1.15% | 3.00% | 1.70% | 5.16% | 1.76% | 0.92% |
| 2009 | 10 | 1.07% | -2.37% | 0.05% | -2.17% | 1.07% | -2.37% | -0.49% | 0.25% |
| 2009 | 11 | 1.75% | 0.38% | 1.96% | 1.13% | 1.75% | 0.38% | 1.95% | 1.96% |
| 2009 | 12 | -1.37% | 0.79% | -2.85% | 0.17% | -1.37% | 0.79% | -2.07% | -3.13% |
| 2010 | 1 | 2.38% | 0.69% | 1.79% | 0.54% | 2.38% | 0.69% | 1.25% | 1.97% |
| 2010 | 2 | 0.39% | 0.94% | 0.43% | 0.95% | 0.39% | 0.94% | 0.51% | 0.40% |
| 2010 | 3 | 0.60% | 0.11% | -0.52% | -0.72% | 0.60% | 0.11% | 0.65% | -0.91% |
| 2010 | 4 | 1.74% | 1.25% | 1.40% | 1.05% | 1.74% | 1.25% | 1.91% | 1.23% |
| 2010 | 5 | -0.18% | 0.68% | 1.05% | 0.76% | -0.18% | 0.68% | -1.31% | 1.85% |
| 2010 | 6 | 2.03% | -0.10% | 2.37% | 0.01% | 2.03% | -0.10% | 3.28% | 2.07% |
| 2010 | 7 | 2.01% | 1.25% | 1.33% | 1.34% | 2.01% | 1.25% | 2.11% | 1.07% |
| 2010 | 8 | 1.98% | 2.66% | 2.22% | 2.34% | 1.98% | 2.66% | 2.86% | 2.00% |
| 2010 | 9 | 0.87% | 0.08% | 0.39% | -0.43% | 0.87% | 0.08% | 0.46% | 0.36% |
| 2010 | 10 | 0.78% | -0.19% | 0.27% | -0.35% | 0.78% | -0.19% | -0.26% | 0.45% |
| 2010 | 11 | -0.97% | -2.64% | -1.14% | -1.74% | -0.97% | -2.64% | -1.62% | -0.98% |
| 2010 | 12 | -1.44% | -2.03% | -1.91% | -1.54% | -1.44% | -2.03% | -0.75% | -2.29% |
| 2011 | 1 | 0.69% | -1.17% | 0.23% | -0.66% | 0.69% | -1.17% | 0.04% | 0.29% |
| 2011 | 2 | 0.35% | 1.48% | -0.05% | 1.51% | 0.35% | 1.48% | 1.08% | -0.43% |
| 2011 | 3 | -0.07% | -0.29% | -0.23% | -0.28% | -0.07% | -0.29% | -0.54% | -0.12% |
| 2011 | 4 | 1.91% | 1.60% | 1.83% | 1.60% | 1.91% | 1.60% | 2.50% | 1.60% |
| 2011 | 5 | 1.29% | 2.08% | 1.64% | 1.51% | 1.29% | 2.08% | 1.27% | 1.77% |
| 2011 | 6 | -0.83% | 0.77% | -0.32% | 0.30% | -0.83% | 0.77% | -0.80% | -0.16% |
| 2011 | 7 | 2.29% | 1.17% | 2.24% | 0.97% | 2.29% | 1.17% | 2.43% | 2.18% |
| 2011 | 8 | 0.27% | 1.25% | 2.11% | 1.40% | 0.27% | 1.25% | 0.34% | 2.70% |
| 2011 | 9 | -0.34% | 1.50% | 0.64% | 0.65% | -0.34% | 1.50% | 0.35% | 0.73% |
| 2011 | 10 | 1.46% | -0.30% | 0.30% | -0.36% | 1.46% | -0.30% | 2.51% | -0.42% |
| 2011 | 11 | -1.52% | 0.54% | -0.58% | 0.65% | -1.52% | 0.54% | -3.16% | 0.29% |
| 2011 | 12 | 1.96% | 1.98% | 1.61% | 1.96% | 1.96% | 1.98% | 3.49% | 1.00% |
| 2012 | 1 | 2.25% | 2.78% | 1.14% | 2.20% | 2.25% | 2.78% | 2.14% | 0.81% |
| 2012 | 2 | 0.61% | 0.41% | -0.08% | -0.03% | 0.61% | 0.41% | 1.63% | -0.65% |
| 2012 | 3 | -0.44% | -0.40% | -0.95% | -0.92% | -0.44% | -0.40% | -1.42% | -0.79% |
| 2012 | 4 | 1.22% | 1.25% | 1.39% | 1.12% | 1.22% | 1.25% | 1.08% | 1.50% |
| 2012 | 5 | 0.52% | 1.06% | 1.12% | 0.69% | 0.52% | 1.06% | 0.76% | 1.24% |
| 2012 | 6 | 0.50% | 0.05% | 0.06% | -0.17% | 0.50% | 0.05% | 0.87% | -0.22% |
| 2012 | 7 | 2.07% | 1.77% | 1.53% | 1.39% | 2.07% | 1.77% | 3.48% | 0.86% |
| 2012 | 8 | 0.39% | 0.32% | 0.06% | 0.18% | 0.39% | 0.32% | -0.05% | 0.10% |
| 2012 | 9 | 0.86% | 0.66% | 0.24% | 0.66% | 0.86% | 0.66% | 1.10% | -0.06% |
| 2012 | 10 | 0.76% | 0.58% | 0.12% | 0.18% | 0.76% | 0.58% | 1.35% | -0.32% |
| 2012 | 11 | 0.18% | 1.90% | 0.34% | 1.49% | 0.18% | 1.90% | -0.42% | 0.62% |
| 2012 | 12 | -0.02% | -1.25% | -0.39% | -1.19% | -0.02% | -1.25% | -0.33% | -0.41% |
| 2013 | 1 | -0.50% | 0.59% | -0.88% | 0.39% | -0.50% | 0.59% | -1.30% | -0.74% |
| 2013 | 2 | 0.74% | 0.47% | 0.80% | 0.36% | 0.74% | 0.47% | 1.08% | 0.71% |
| 2013 | 3 | 0.13% | -0.38% | 0.19% | -0.38% | 0.13% | -0.38% | -0.05% | 0.27% |
| 2013 | 4 | 1.24% | 1.02% | 1.08% | 0.94% | 1.24% | 1.02% | 2.17% | 0.71% |
| 2013 | 5 | -1.87% | -1.00% | -2.19% | -1.27% | -1.87% | -1.00% | -3.22% | -1.84% |
| 2013 | 6 | -2.62% | -3.52% | -2.03% | -2.57% | -2.62% | -3.52% | -3.27% | -1.62% |
| 2013 | 7 | 0.79% | -1.23% | 0.37% | -0.38% | 0.79% | -1.23% | 1.11% | 0.13% |
| 2013 | 8 | -0.94% | -1.91% | -1.01% | -1.04% | -0.94% | -1.91% | -1.00% | -1.02% |
| 2013 | 9 | 1.30% | 2.58% | 1.29% | 1.97% | 1.30% | 2.58% | 0.74% | 1.47% |
| 2013 | 10 | 1.10% | 0.83% | 0.81% | 0.79% | 1.10% | 0.83% | 1.81% | 0.49% |
| 2013 | 11 | -0.03% | -0.22% | -0.14% | -0.16% | -0.03% | -0.22% | -0.14% | -0.14% |
| 2013 | 12 | -0.53% | -0.30% | -1.07% | -0.15% | -0.53% | -0.30% | 0.22% | -1.49% |
| 2014 | 1 | 1.74% | 2.56% | 1.72% | 1.67% | 1.74% | 2.56% | 1.88% | 1.67% |
| 2014 | 2 | 0.67% | 1.44% | 0.44% | 1.04% | 0.67% | 1.44% | 1.14% | 0.21% |
| 2014 | 3 | -0.04% | 0.35% | -0.46% | -0.08% | -0.04% | 0.35% | -0.03% | -0.60% |
| 2014 | 4 | 0.88% | 1.44% | 0.70% | 1.05% | 0.88% | 1.44% | 1.33% | 0.49% |
| 2014 | 5 | 1.19% | 1.70% | 1.15% | 1.05% | 1.19% | 1.70% | 1.51% | 1.03% |
| 2014 | 6 | 0.06% | -0.04% | -0.09% | -0.10% | 0.06% | -0.04% | 0.01% | -0.13% |
| 2014 | 7 | -0.14% | 0.15% | -0.37% | 0.18% | -0.14% | 0.15% | -0.32% | -0.39% |
| 2014 | 8 | 1.08% | 1.50% | 1.28% | 1.10% | 1.08% | 1.50% | 2.00% | 1.03% |
| 2014 | 9 | -0.94% | 0.22% | -0.92% | 0.03% | -0.94% | 0.22% | -1.68% | -0.66% |
| 2014 | 10 | 0.88% | 0.76% | 1.15% | 0.53% | 0.88% | 0.76% | 1.23% | 1.12% |
| 2014 | 11 | 0.66% | 0.30% | 0.86% | 0.03% | 0.66% | 0.30% | 0.91% | 0.84% |
| 2014 | 12 | -0.25% | 0.76% | -0.27% | 0.53% | -0.25% | 0.76% | -0.02% | -0.35% |
| 2015 | 1 | 2.60% | 2.00% | 2.96% | 1.51% | 2.60% | 2.00% | 3.75% | 2.70% |
| 2015 | 2 | -0.76% | -1.03% | -1.55% | -0.96% | -0.76% | -1.03% | -1.42% | -1.59% |
| 2015 | 3 | 0.46% | 0.32% | 0.62% | 0.25% | 0.46% | 0.32% | 0.20% | 0.76% |
| 2015 | 4 | -0.05% | -0.49% | -0.46% | -0.46% | -0.05% | -0.49% | -1.19% | -0.21% |
| 2015 | 5 | -0.34% | -0.30% | -0.37% | -0.31% | -0.34% | -0.30% | -1.12% | -0.12% |
| 2015 | 6 | -1.16% | -0.31% | -1.02% | -0.11% | -1.16% | -0.31% | -1.88% | -0.74% |
| 2015 | 7 | 0.57% | 0.78% | 0.84% | 0.67% | 0.57% | 0.78% | 0.83% | 0.85% |
| 2015 | 8 | -0.44% | 0.33% | -0.23% | 0.24% | -0.44% | 0.33% | -0.83% | -0.03% |
| 2015 | 9 | 0.99% | 0.68% | 1.19% | 0.66% | 0.99% | 0.68% | 1.19% | 1.19% |
| 2015 | 10 | 0.37% | 0.50% | -0.22% | 0.38% | 0.37% | 0.50% | 0.57% | -0.47% |
| 2015 | 11 | -0.05% | 0.76% | -0.33% | 0.30% | -0.05% | 0.76% | -0.15% | -0.39% |
| 2015 | 12 | -0.51% | 0.94% | -0.55% | 0.66% | -0.51% | 0.94% | -1.08% | -0.38% |
| 2016 | 1 | 1.08% | 1.11% | 1.80% | 1.29% | 1.08% | 1.11% | 0.12% | 2.36% |
| 2016 | 2 | 0.65% | 0.03% | 0.88% | 0.01% | 0.65% | 0.03% | 1.05% | 0.82% |
| 2016 | 3 | 1.79% | 0.75% | 1.06% | 0.30% | 1.79% | 0.75% | 3.62% | 0.22% |
| 2016 | 4 | 0.75% | 0.92% | 0.30% | 0.64% | 0.75% | 0.92% | 1.55% | -0.13% |
| 2016 | 5 | -0.15% | 0.75% | -0.29% | 0.09% | -0.15% | 0.75% | -0.51% | -0.21% |
| 2016 | 6 | 1.86% | 2.12% | 2.31% | 1.40% | 1.86% | 2.12% | 3.09% | 2.05% |
| 2016 | 7 | 0.85% | -0.03% | 0.36% | -0.05% | 0.85% | -0.03% | 1.29% | 0.04% |
| 2016 | 8 | -0.05% | 0.39% | -0.49% | 0.15% | -0.05% | 0.39% | 0.18% | -0.72% |
| 2016 | 9 | 0.13% | -0.47% | 0.13% | -0.40% | 0.13% | -0.47% | -0.32% | 0.29% |
| 2016 | 10 | -0.56% | -1.15% | -0.94% | -0.81% | -0.56% | -1.15% | -1.53% | -0.73% |
| 2016 | 11 | -2.57% | -4.41% | -2.78% | -3.42% | -2.57% | -4.41% | -3.17% | -2.65% |
| 2016 | 12 | 0.16% | 1.07% | 0.18% | 0.96% | 0.16% | 1.07% | 0.84% | -0.05% |
| 2017 | 1 | 0.44% | 0.52% | 0.26% | 0.53% | 0.44% | 0.52% | 0.15% | 0.30% |
| 2017 | 2 | 0.84% | 0.75% | 0.63% | 0.57% | 0.84% | 0.75% | 1.32% | 0.39% |
| 2017 | 3 | 0.05% | 0.42% | -0.02% | 0.31% | 0.05% | 0.42% | -0.29% | 0.07% |
| 2017 | 4 | 0.97% | 0.86% | 0.88% | 0.73% | 0.97% | 0.86% | 1.19% | 0.77% |
| 2017 | 5 | 0.76% | 1.77% | 0.78% | 1.37% | 0.76% | 1.77% | 1.33% | 0.59% |
| 2017 | 6 | -0.16% | -0.04% | -0.23% | -0.34% | -0.16% | -0.04% | 0.48% | -0.47% |
| 2017 | 7 | 0.86% | 0.95% | 0.51% | 0.65% | 0.86% | 0.95% | 0.77% | 0.42% |
| 2017 | 8 | 0.75% | 1.12% | 0.81% | 0.79% | 0.75% | 1.12% | 0.68% | 0.86% |
| 2017 | 9 | -0.49% | -0.22% | -0.63% | -0.41% | -0.49% | -0.22% | -0.05% | -0.83% |
| 2017 | 10 | 0.23% | 0.31% | -0.10% | 0.09% | 0.23% | 0.31% | 0.19% | -0.21% |
| 2017 | 11 | -0.37% | 0.05% | -0.32% | -0.70% | -0.37% | 0.05% | -0.12% | -0.39% |
| 2017 | 12 | 0.33% | 1.21% | 0.36% | 0.87% | 0.33% | 1.21% | 1.22% | 0.07% |
| Style Category | Portfolio 1 | Portfolio 3 |
|---|---|---|
| Large-cap Value | 0.00% | 0.00% |
| Large-cap Growth | 2.42% | 0.00% |
| Mid-cap Value | 0.00% | 0.56% |
| Mid-cap Growth | 2.54% | 0.00% |
| Small-cap Value | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 0.00% | 1.20% |
| Emerging Markets | 3.88% | 0.26% |
| Corporate Bonds | 37.98% | 22.24% |
| Long-Term Treasuries | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 21.70% | 50.20% |
| Short-Term Treasuries | 31.47% | 25.54% |
| R Squared | 78.66% | 98.70% |
| Style analysis is based on monthly returns from April 2005 to December 2017 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings. | ||
| Ticker | Name | Category | Weight | Yield | Fees | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VFIDX | Vanguard Interm-Term Investment-Grde Adm | Corporate Bond | 100.00% | 1.59% | 0.10% | 6.01 | $10,973 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VWALX | Vanguard High-Yield Tax-Exempt Adm | Muni National Long | 100.00% | 1.73% | 0.09% | 6.06 | $10,690 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | Corporate Bond | 25.00% | 2.06% | 0.14% | 9.62 | $2,904 | 31.32% |
| VFITX | Vanguard Interm-Term Treasury Inv | Intermediate Government | 75.00% | 0.47% | 0.20% | 5.20 | $5,701 | 68.68% |
| 100.00% | 0.87% | 0.18% | 6.30 | $8,604 | 100.00% |
Fund fundamentals data as of 03/05/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Interm-Term Tx-Ex Inv |
|---|---|---|---|---|
| Arithmetic Mean (monthly) | 0.42% | 0.41% | 0.35% | 0.32% |
| Arithmetic Mean (annualized) | 5.18% | 5.09% | 4.34% | 3.93% |
| Geometric Mean (monthly) | 0.41% | 0.40% | 0.35% | 0.32% |
| Geometric Mean (annualized) | 5.06% | 4.97% | 4.23% | 3.85% |
| Volatility (monthly) | 1.38% | 1.42% | 1.35% | 1.11% |
| Volatility (annualized) | 4.78% | 4.90% | 4.69% | 3.85% |
| Downside Deviation (monthly) | 0.89% | 0.92% | 0.77% | 0.71% |
| Max. Drawdown | -14.06% | -11.50% | -4.80% | -5.17% |
| US Market Correlation | 0.28 | 0.15 | -0.06 | 0.03 |
| Beta(*) | 0.78 | 1.17 | 0.72 | 1.00 |
| Alpha (annualized) | 2.06% | 0.46% | 1.49% | 0.00% |
| R2 | 39.29% | 84.60% | 34.60% | 100.00% |
| Sharpe Ratio | 0.80 | 0.76 | 0.65 | 0.68 |
| Sortino Ratio | 1.20 | 1.15 | 1.08 | 1.02 |
| Treynor Ratio (%) | 4.97 | 3.23 | 4.27 | 2.66 |
| Calmar Ratio | 1.05 | 0.73 | 0.51 | 0.54 |
| Active Return | 1.21% | 1.12% | 0.38% | N/A |
| Tracking Error | 3.82% | 2.03% | 3.95% | N/A |
| Information Ratio | 0.32 | 0.55 | 0.10 | N/A |
| Skewness | -1.15 | -0.83 | 0.19 | -0.81 |
| Excess Kurtosis | 5.65 | 3.71 | 2.30 | 2.85 |
| Historical Value-at-Risk (5%) | -1.44% | -2.01% | -1.75% | -1.29% |
| Analytical Value-at-Risk (5%) | -1.85% | -1.91% | -1.88% | -1.51% |
| Conditional Value-at-Risk (5%) | -3.21% | -3.55% | -2.66% | -2.71% |
| Upside Capture Ratio (%) | 93.39 | 117.74 | 92.07 | 100.00 |
| Downside Capture Ratio (%) | 51.99 | 104.13 | 73.11 | 100.00 |
| Safe Withdrawal Rate | 8.22% | 7.96% | 7.93% | 7.50% |
| Perpetual Withdrawal Rate | 2.84% | 2.74% | 2.05% | 1.70% |
| Positive Periods | 118 out of 180 (65.56%) | 122 out of 180 (67.78%) | 111 out of 180 (61.67%) | 119 out of 180 (66.11%) |
| Gain/Loss Ratio | 1.23 | 1.07 | 1.26 | 1.11 |
| * Vanguard Interm-Term Tx-Ex Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||||
| Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Interm-Term Tx-Ex Inv |
|---|---|---|---|---|---|---|
| Subprime Crisis | Nov 2007 | Mar 2009 | -14.06% | -11.50% | -4.77% | -4.08% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Mar 2008 | Oct 2008 | 8 months | Jul 2009 | 9 months | 1 year 5 months | -14.06% |
| 2 | May 2013 | Aug 2013 | 4 months | Apr 2014 | 8 months | 1 year | -4.59% |
| 3 | Apr 2004 | May 2004 | 2 months | Aug 2004 | 3 months | 5 months | -3.68% |
| 4 | Jul 2003 | Jul 2003 | 1 month | Dec 2003 | 5 months | 6 months | -3.49% |
| 5 | Oct 2016 | Nov 2016 | 2 months | May 2017 | 6 months | 8 months | -3.12% |
| 6 | Nov 2010 | Dec 2010 | 2 months | Apr 2011 | 4 months | 6 months | -2.39% |
| 7 | Sep 2005 | Oct 2005 | 2 months | Aug 2006 | 10 months | 1 year | -2.09% |
| 8 | Feb 2015 | Jun 2015 | 5 months | Jan 2016 | 7 months | 1 year | -1.86% |
| 9 | Nov 2011 | Nov 2011 | 1 month | Dec 2011 | 1 month | 2 months | -1.52% |
| 10 | May 2007 | Jun 2007 | 2 months | Aug 2007 | 2 months | 4 months | -1.49% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2008 | Dec 2008 | 11 months | Aug 2009 | 8 months | 1 year 7 months | -11.50% |
| 2 | May 2013 | Aug 2013 | 4 months | Apr 2014 | 8 months | 1 year | -7.47% |
| 3 | Sep 2016 | Nov 2016 | 3 months | Jul 2017 | 8 months | 11 months | -5.95% |
| 4 | Oct 2010 | Jan 2011 | 4 months | Jul 2011 | 6 months | 10 months | -5.91% |
| 5 | Jun 2003 | Jul 2003 | 2 months | Sep 2003 | 2 months | 4 months | -2.96% |
| 6 | Mar 2004 | Apr 2004 | 2 months | Aug 2004 | 4 months | 6 months | -2.52% |
| 7 | Oct 2009 | Oct 2009 | 1 month | Feb 2010 | 4 months | 5 months | -2.37% |
| 8 | Feb 2015 | Jun 2015 | 5 months | Oct 2015 | 4 months | 9 months | -1.81% |
| 9 | May 2007 | Aug 2007 | 4 months | Oct 2007 | 2 months | 6 months | -1.58% |
| 10 | Dec 2012 | Dec 2012 | 1 month | Apr 2013 | 4 months | 5 months | -1.25% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2013 | Aug 2013 | 4 months | Aug 2014 | 1 year | 1 year 4 months | -4.80% |
| 2 | Apr 2008 | Oct 2008 | 7 months | Nov 2008 | 1 month | 8 months | -4.77% |
| 3 | Jun 2003 | Jul 2003 | 2 months | Jan 2004 | 6 months | 8 months | -4.72% |
| 4 | Aug 2016 | Nov 2016 | 4 months | -4.05% | |||
| 5 | Jan 2009 | Feb 2009 | 2 months | Aug 2009 | 6 months | 8 months | -3.95% |
| 6 | Apr 2004 | May 2004 | 2 months | Sep 2004 | 4 months | 6 months | -3.91% |
| 7 | Nov 2010 | Mar 2011 | 5 months | May 2011 | 2 months | 7 months | -3.07% |
| 8 | Dec 2009 | Dec 2009 | 1 month | Apr 2010 | 4 months | 5 months | -2.85% |
| 9 | Feb 2015 | Jun 2015 | 5 months | Feb 2016 | 8 months | 1 year 1 month | -2.76% |
| 10 | Sep 2005 | May 2006 | 9 months | Aug 2006 | 3 months | 1 year | -2.46% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2013 | Aug 2013 | 4 months | Apr 2014 | 8 months | 1 year | -5.17% |
| 2 | Sep 2010 | Jan 2011 | 5 months | Jul 2011 | 6 months | 11 months | -4.65% |
| 3 | Sep 2016 | Nov 2016 | 3 months | Jul 2017 | 8 months | 11 months | -4.59% |
| 4 | Feb 2008 | Feb 2008 | 1 month | Aug 2008 | 6 months | 7 months | -4.08% |
| 5 | Sep 2008 | Sep 2008 | 1 month | Jan 2009 | 4 months | 5 months | -3.92% |
| 6 | Jun 2003 | Jul 2003 | 2 months | Nov 2003 | 4 months | 6 months | -3.16% |
| 7 | Mar 2004 | Apr 2004 | 2 months | Aug 2004 | 4 months | 6 months | -2.95% |
| 8 | Oct 2009 | Oct 2009 | 1 month | Feb 2010 | 4 months | 5 months | -2.17% |
| 9 | Feb 2015 | Jun 2015 | 5 months | Oct 2015 | 4 months | 9 months | -1.59% |
| 10 | Feb 2005 | Mar 2005 | 2 months | Apr 2005 | 1 month | 3 months | -1.26% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VFIDX | Vanguard Interm-Term Investment-Grde Adm | 5.06% | 4.78% | 17.88% | -6.06% | -14.06% | 0.80 | 1.20 | 0.28 |
| VWALX | Vanguard High-Yield Tax-Exempt Adm | 4.97% | 4.90% | 20.23% | -10.39% | -11.50% | 0.76 | 1.15 | 0.15 |
| LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 5.44% | 7.31% | 10.58% | -2.00% | -15.11% | 0.59 | 0.95 | 0.25 |
| VFITX | Vanguard Interm-Term Treasury Inv | 3.79% | 4.53% | 13.32% | -3.09% | -4.30% | 0.58 | 0.96 | -0.22 |
| Ticker | Name | VFIDX | VWALX | LQD | VFITX | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Interm-Term Tx-Ex Inv |
|---|---|---|---|---|---|---|---|---|---|
| VFIDX | Vanguard Interm-Term Investment-Grde Adm | 1.00 | 0.62 | 0.87 | 0.66 | 1.00 | 0.62 | 0.81 | 0.63 |
| VWALX | Vanguard High-Yield Tax-Exempt Adm | 0.62 | 1.00 | 0.48 | 0.34 | 0.62 | 1.00 | 0.43 | 0.92 |
| LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 0.87 | 0.48 | 1.00 | 0.59 | 0.87 | 0.48 | 0.81 | 0.60 |
| VFITX | Vanguard Interm-Term Treasury Inv | 0.66 | 0.34 | 0.59 | 1.00 | 0.66 | 0.34 | 0.95 | 0.49 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VFIDX | Vanguard Interm-Term Investment-Grde Adm | $10,973 | ||
| VWALX | Vanguard High-Yield Tax-Exempt Adm | $10,690 | ||
| LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | $2,904 | ||
| VFITX | Vanguard Interm-Term Treasury Inv | $5,701 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VFIDX | Vanguard Interm-Term Investment-Grde Adm | 100.00% | ||
| VWALX | Vanguard High-Yield Tax-Exempt Adm | 100.00% | ||
| LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 31.32% | ||
| VFITX | Vanguard Interm-Term Treasury Inv | 68.68% |
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Interm-Term Tx-Ex Inv | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 5.22% | 25.61% | -10.65% | 5.01% | 20.23% | -10.39% | 4.37% | 13.26% | -3.37% | 3.92% | 13.10% | -2.82% |
| 3 years | 5.31% | 14.33% | -0.37% | 4.97% | 11.08% | -1.29% | 4.63% | 9.55% | 1.04% | 4.07% | 7.26% | 2.15% |
| 5 years | 5.62% | 10.23% | 1.15% | 4.94% | 7.76% | 1.08% | 4.96% | 7.95% | 1.55% | 4.22% | 6.13% | 2.16% |
| 7 years | 6.07% | 8.34% | 4.07% | 5.20% | 7.80% | 3.59% | 5.18% | 6.88% | 2.78% | 4.39% | 5.30% | 3.42% |
| 10 years | 5.62% | 6.21% | 5.14% | 4.94% | 5.52% | 4.36% | 4.96% | 5.60% | 4.12% | 4.22% | 4.70% | 3.77% |