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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2003 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFIDX Vanguard Interm-Term Investment-Grde Adm 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWALX Vanguard High-Yield Tax-Exempt Adm 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 25.00%
VFITX Vanguard Interm-Term Treasury Inv 75.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,973 5.06% 4.78%17.88%-6.06%-14.06% 0.801.200.28
Portfolio 2$10,000$20,690 4.97% 4.90%20.23%-10.39%-11.50% 0.761.150.15
Portfolio 3$10,000$18,604 4.23% 4.69%10.59%-2.81%-4.80% 0.651.08-0.06
Vanguard Interm-Term Tx-Ex Inv$10,000$17,620 3.85% 3.85%10.22%-1.56%-5.17% 0.681.020.03
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.19%4.26%3.27%2.86%5.19%5.06%3.16%3.34%
Portfolio 21.57%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 Inv0.26%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.
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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard Interm-Term Tx-Ex InvVanguard 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)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20031.88%6.38%$10,6386.42%$10,6424.05%$10,4054.46%$10,4466.38%6.42%9.08%2.37%
20043.26%4.86%$11,1555.04%$11,1783.98%$10,8193.23%$10,7834.86%5.04%5.72%3.40%
20053.42%2.07%$11,3864.42%$11,6722.03%$11,0382.24%$11,0252.07%4.42%1.16%2.32%
20062.54%4.55%$11,9045.61%$12,3273.41%$11,4144.43%$11,5134.55%5.61%4.22%3.14%
20074.08%6.26%$12,6481.64%$12,5298.42%$12,3753.43%$11,9076.26%1.64%3.73%9.98%
20080.09%-6.06%$11,882-10.39%$11,22710.59%$13,686-0.14%$11,891-6.06%-10.39%2.40%13.32%
20092.72%17.88%$14,00520.23%$13,4980.85%$13,80310.22%$13,10617.88%20.23%8.46%-1.69%
20101.50%10.60%$15,4902.63%$13,8537.85%$14,8862.13%$13,38510.60%2.63%9.33%7.35%
20112.96%7.63%$16,67111.07%$15,3879.78%$16,3419.62%$14,6737.63%11.07%9.73%9.80%
20121.74%9.25%$18,2139.45%$16,8404.65%$17,1015.70%$15,5099.25%9.45%10.58%2.67%
20131.50%-1.27%$17,982-3.14%$16,311-2.81%$16,620-1.56%$15,268-1.27%-3.14%-2.00%-3.09%
20140.76%5.91%$19,04411.71%$18,2205.29%$17,4997.25%$16,3745.91%11.71%8.21%4.32%
20150.73%1.63%$19,3554.22%$18,9890.81%$17,6422.86%$16,8421.63%4.22%-1.25%1.50%
20162.07%3.93%$20,1160.94%$19,1662.44%$18,0730.08%$16,8563.93%0.94%6.21%1.19%
20172.11%4.26%$20,9737.95%$20,6902.94%$18,6044.53%$17,6204.26%7.95%7.06%1.57%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard Interm-Term Tx-Ex Inv ReturnVanguard 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)
20031-0.03%-0.59%-0.57%-0.59%-0.03%-0.59%-0.81%-0.49%
200321.83%1.34%1.82%1.36%1.83%1.34%1.98%1.77%
200330.19%-0.04%-0.11%-0.16%0.19%-0.04%0.12%-0.19%
200341.15%1.07%0.77%0.71%1.15%1.07%2.35%0.24%
200352.72%2.56%3.03%2.25%2.72%2.56%3.90%2.74%
200360.12%-0.24%-0.37%-0.39%0.12%-0.24%-0.18%-0.43%
20037-3.49%-2.73%-4.37%-2.78%-3.49%-2.73%-5.80%-3.87%
200380.34%0.80%0.51%0.80%0.34%0.80%1.45%0.19%
200393.09%2.49%3.46%2.34%3.09%2.49%4.54%3.09%
200310-0.93%-0.24%-1.33%-0.62%-0.93%-0.24%-1.26%-1.36%
2003110.40%1.14%0.08%0.99%0.40%1.14%0.31%0.01%
2003120.99%0.78%1.29%0.56%0.99%0.78%2.55%0.85%
200411.00%0.31%0.92%0.27%1.00%0.31%1.22%0.81%
200421.17%1.67%1.30%1.71%1.17%1.67%1.51%1.23%
200430.95%-0.52%1.05%-0.75%0.95%-0.52%0.99%1.06%
20044-2.91%-2.01%-3.41%-2.22%-2.91%-2.01%-3.89%-3.25%
20045-0.79%0.13%-0.51%0.05%-0.79%0.13%-0.52%-0.51%
200460.51%0.40%0.44%0.26%0.51%0.40%0.13%0.54%
200471.23%1.17%1.07%1.03%1.23%1.17%1.56%0.91%
200482.22%1.82%2.33%1.84%2.22%1.82%3.08%2.07%
200490.39%0.67%0.22%0.41%0.39%0.67%0.31%0.19%
2004100.99%0.86%0.98%0.64%0.99%0.86%1.18%0.91%
200411-1.09%-0.82%-1.41%-1.06%-1.09%-0.82%-1.22%-1.48%
2004121.20%1.33%1.08%1.09%1.20%1.33%1.39%0.97%
200510.50%1.13%0.73%0.57%0.50%1.13%1.23%0.56%
20052-0.63%-0.38%-0.97%-0.43%-0.63%-0.38%-0.94%-0.98%
20053-0.72%-0.81%-0.70%-0.84%-0.72%-0.81%-1.26%-0.51%
200541.51%1.61%1.72%1.39%1.51%1.61%1.62%1.75%
200551.11%1.04%1.05%0.72%1.11%1.04%0.62%1.20%
200560.69%0.56%0.72%0.48%0.69%0.56%1.22%0.55%
20057-1.20%-0.34%-1.26%-0.62%-1.20%-0.34%-0.82%-1.41%
200581.62%1.12%1.61%0.94%1.62%1.12%1.50%1.65%
20059-1.20%-0.64%-1.32%-0.63%-1.20%-0.64%-1.86%-1.14%
200510-0.90%-0.54%-0.99%-0.55%-0.90%-0.54%-1.58%-0.79%
2005110.51%0.57%0.52%0.41%0.51%0.57%0.66%0.48%
2005120.83%1.05%0.98%0.81%0.83%1.05%0.86%1.01%
20061-0.09%0.30%-0.36%0.28%-0.09%0.30%-0.44%-0.34%
200620.08%0.82%0.24%0.55%0.08%0.82%0.68%0.09%
20063-0.91%-0.63%-1.16%-0.69%-0.91%-0.63%-1.68%-0.99%
20064-0.31%0.01%-0.33%-0.03%-0.31%0.01%-0.20%-0.37%
200650.02%0.58%-0.03%0.44%0.02%0.58%-0.19%0.02%
200660.01%-0.45%0.05%-0.41%0.01%-0.45%-0.09%0.10%
200671.41%1.34%1.38%1.12%1.41%1.34%1.46%1.35%
200681.82%1.51%1.77%1.42%1.82%1.51%2.22%1.62%
200690.95%0.75%0.92%0.64%0.95%0.75%0.87%0.94%
2006100.75%0.67%0.68%0.50%0.75%0.67%1.00%0.57%
2006111.25%0.84%1.21%0.71%1.25%0.84%1.46%1.12%
200612-0.48%-0.25%-0.96%-0.17%-0.48%-0.25%-0.90%-0.98%
20071-0.07%-0.16%-0.17%-0.24%-0.07%-0.16%0.09%-0.26%
200721.96%1.19%1.89%1.15%1.96%1.19%2.00%1.86%
20073-0.17%-0.16%-0.15%-0.18%-0.17%-0.16%-0.68%0.03%
200740.63%0.29%0.65%0.26%0.63%0.29%0.89%0.57%
20075-1.09%-0.44%-1.20%-0.48%-1.09%-0.44%-1.23%-1.18%
20076-0.40%-0.45%-0.34%-0.34%-0.40%-0.45%-0.81%-0.18%
200770.87%0.31%1.15%0.66%0.87%0.31%-0.82%1.81%
200781.07%-1.00%2.07%-0.11%1.07%-1.00%2.38%1.97%
200790.75%1.54%0.53%1.18%0.75%1.54%0.73%0.46%
2007100.86%0.31%0.87%0.28%0.86%0.31%0.97%0.84%
2007111.88%0.29%2.86%0.94%1.88%0.29%1.02%3.46%
200712-0.16%-0.07%0.01%0.27%-0.16%-0.07%-0.81%0.27%
200811.88%1.26%2.97%1.63%1.88%1.26%2.57%3.10%
200820.32%-5.17%0.84%-4.08%0.32%-5.17%-0.71%1.35%
20083-0.56%2.71%0.55%2.62%-0.56%2.71%-0.60%0.93%
20084-0.39%1.27%-1.32%0.87%-0.39%1.27%1.25%-2.14%
20085-0.69%0.79%-1.54%0.57%-0.69%0.79%-2.21%-1.32%
20086-0.39%-1.05%0.26%-1.03%-0.39%-1.05%-1.29%0.77%
20087-0.69%0.02%0.68%0.57%-0.69%0.02%0.39%0.77%
200880.37%1.00%0.77%1.18%0.37%1.00%0.15%0.98%
20089-5.73%-5.14%-2.20%-3.92%-5.73%-5.14%-10.73%0.51%
200810-6.66%-3.98%-1.49%0.12%-6.66%-3.98%-1.95%-1.36%
2008112.11%-0.96%5.09%0.18%2.11%-0.96%3.35%5.58%
2008124.73%-1.28%5.85%1.39%4.73%-1.28%13.80%3.66%
200910.36%4.70%-2.24%3.73%0.36%4.70%-1.80%-2.39%
20092-1.54%0.94%-1.74%-0.46%-1.54%0.94%-5.20%-0.58%
200931.01%-0.30%2.54%-0.20%1.01%-0.30%0.47%3.20%
200942.47%3.11%-0.68%1.79%2.47%3.11%2.78%-1.76%
200953.37%2.83%-0.26%0.86%3.37%2.83%2.32%-1.10%
200962.14%-0.71%0.45%-0.97%2.14%-0.71%2.89%-0.37%
200973.89%1.55%1.64%1.79%3.89%1.55%4.63%0.60%
200981.85%2.75%1.00%1.23%1.85%2.75%1.31%0.89%
200991.70%5.16%1.15%3.00%1.70%5.16%1.76%0.92%
2009101.07%-2.37%0.05%-2.17%1.07%-2.37%-0.49%0.25%
2009111.75%0.38%1.96%1.13%1.75%0.38%1.95%1.96%
200912-1.37%0.79%-2.85%0.17%-1.37%0.79%-2.07%-3.13%
201012.38%0.69%1.79%0.54%2.38%0.69%1.25%1.97%
201020.39%0.94%0.43%0.95%0.39%0.94%0.51%0.40%
201030.60%0.11%-0.52%-0.72%0.60%0.11%0.65%-0.91%
201041.74%1.25%1.40%1.05%1.74%1.25%1.91%1.23%
20105-0.18%0.68%1.05%0.76%-0.18%0.68%-1.31%1.85%
201062.03%-0.10%2.37%0.01%2.03%-0.10%3.28%2.07%
201072.01%1.25%1.33%1.34%2.01%1.25%2.11%1.07%
201081.98%2.66%2.22%2.34%1.98%2.66%2.86%2.00%
201090.87%0.08%0.39%-0.43%0.87%0.08%0.46%0.36%
2010100.78%-0.19%0.27%-0.35%0.78%-0.19%-0.26%0.45%
201011-0.97%-2.64%-1.14%-1.74%-0.97%-2.64%-1.62%-0.98%
201012-1.44%-2.03%-1.91%-1.54%-1.44%-2.03%-0.75%-2.29%
201110.69%-1.17%0.23%-0.66%0.69%-1.17%0.04%0.29%
201120.35%1.48%-0.05%1.51%0.35%1.48%1.08%-0.43%
20113-0.07%-0.29%-0.23%-0.28%-0.07%-0.29%-0.54%-0.12%
201141.91%1.60%1.83%1.60%1.91%1.60%2.50%1.60%
201151.29%2.08%1.64%1.51%1.29%2.08%1.27%1.77%
20116-0.83%0.77%-0.32%0.30%-0.83%0.77%-0.80%-0.16%
201172.29%1.17%2.24%0.97%2.29%1.17%2.43%2.18%
201180.27%1.25%2.11%1.40%0.27%1.25%0.34%2.70%
20119-0.34%1.50%0.64%0.65%-0.34%1.50%0.35%0.73%
2011101.46%-0.30%0.30%-0.36%1.46%-0.30%2.51%-0.42%
201111-1.52%0.54%-0.58%0.65%-1.52%0.54%-3.16%0.29%
2011121.96%1.98%1.61%1.96%1.96%1.98%3.49%1.00%
201212.25%2.78%1.14%2.20%2.25%2.78%2.14%0.81%
201220.61%0.41%-0.08%-0.03%0.61%0.41%1.63%-0.65%
20123-0.44%-0.40%-0.95%-0.92%-0.44%-0.40%-1.42%-0.79%
201241.22%1.25%1.39%1.12%1.22%1.25%1.08%1.50%
201250.52%1.06%1.12%0.69%0.52%1.06%0.76%1.24%
201260.50%0.05%0.06%-0.17%0.50%0.05%0.87%-0.22%
201272.07%1.77%1.53%1.39%2.07%1.77%3.48%0.86%
201280.39%0.32%0.06%0.18%0.39%0.32%-0.05%0.10%
201290.86%0.66%0.24%0.66%0.86%0.66%1.10%-0.06%
2012100.76%0.58%0.12%0.18%0.76%0.58%1.35%-0.32%
2012110.18%1.90%0.34%1.49%0.18%1.90%-0.42%0.62%
201212-0.02%-1.25%-0.39%-1.19%-0.02%-1.25%-0.33%-0.41%
20131-0.50%0.59%-0.88%0.39%-0.50%0.59%-1.30%-0.74%
201320.74%0.47%0.80%0.36%0.74%0.47%1.08%0.71%
201330.13%-0.38%0.19%-0.38%0.13%-0.38%-0.05%0.27%
201341.24%1.02%1.08%0.94%1.24%1.02%2.17%0.71%
20135-1.87%-1.00%-2.19%-1.27%-1.87%-1.00%-3.22%-1.84%
20136-2.62%-3.52%-2.03%-2.57%-2.62%-3.52%-3.27%-1.62%
201370.79%-1.23%0.37%-0.38%0.79%-1.23%1.11%0.13%
20138-0.94%-1.91%-1.01%-1.04%-0.94%-1.91%-1.00%-1.02%
201391.30%2.58%1.29%1.97%1.30%2.58%0.74%1.47%
2013101.10%0.83%0.81%0.79%1.10%0.83%1.81%0.49%
201311-0.03%-0.22%-0.14%-0.16%-0.03%-0.22%-0.14%-0.14%
201312-0.53%-0.30%-1.07%-0.15%-0.53%-0.30%0.22%-1.49%
201411.74%2.56%1.72%1.67%1.74%2.56%1.88%1.67%
201420.67%1.44%0.44%1.04%0.67%1.44%1.14%0.21%
20143-0.04%0.35%-0.46%-0.08%-0.04%0.35%-0.03%-0.60%
201440.88%1.44%0.70%1.05%0.88%1.44%1.33%0.49%
201451.19%1.70%1.15%1.05%1.19%1.70%1.51%1.03%
201460.06%-0.04%-0.09%-0.10%0.06%-0.04%0.01%-0.13%
20147-0.14%0.15%-0.37%0.18%-0.14%0.15%-0.32%-0.39%
201481.08%1.50%1.28%1.10%1.08%1.50%2.00%1.03%
20149-0.94%0.22%-0.92%0.03%-0.94%0.22%-1.68%-0.66%
2014100.88%0.76%1.15%0.53%0.88%0.76%1.23%1.12%
2014110.66%0.30%0.86%0.03%0.66%0.30%0.91%0.84%
201412-0.25%0.76%-0.27%0.53%-0.25%0.76%-0.02%-0.35%
201512.60%2.00%2.96%1.51%2.60%2.00%3.75%2.70%
20152-0.76%-1.03%-1.55%-0.96%-0.76%-1.03%-1.42%-1.59%
201530.46%0.32%0.62%0.25%0.46%0.32%0.20%0.76%
20154-0.05%-0.49%-0.46%-0.46%-0.05%-0.49%-1.19%-0.21%
20155-0.34%-0.30%-0.37%-0.31%-0.34%-0.30%-1.12%-0.12%
20156-1.16%-0.31%-1.02%-0.11%-1.16%-0.31%-1.88%-0.74%
201570.57%0.78%0.84%0.67%0.57%0.78%0.83%0.85%
20158-0.44%0.33%-0.23%0.24%-0.44%0.33%-0.83%-0.03%
201590.99%0.68%1.19%0.66%0.99%0.68%1.19%1.19%
2015100.37%0.50%-0.22%0.38%0.37%0.50%0.57%-0.47%
201511-0.05%0.76%-0.33%0.30%-0.05%0.76%-0.15%-0.39%
201512-0.51%0.94%-0.55%0.66%-0.51%0.94%-1.08%-0.38%
201611.08%1.11%1.80%1.29%1.08%1.11%0.12%2.36%
201620.65%0.03%0.88%0.01%0.65%0.03%1.05%0.82%
201631.79%0.75%1.06%0.30%1.79%0.75%3.62%0.22%
201640.75%0.92%0.30%0.64%0.75%0.92%1.55%-0.13%
20165-0.15%0.75%-0.29%0.09%-0.15%0.75%-0.51%-0.21%
201661.86%2.12%2.31%1.40%1.86%2.12%3.09%2.05%
201670.85%-0.03%0.36%-0.05%0.85%-0.03%1.29%0.04%
20168-0.05%0.39%-0.49%0.15%-0.05%0.39%0.18%-0.72%
201690.13%-0.47%0.13%-0.40%0.13%-0.47%-0.32%0.29%
201610-0.56%-1.15%-0.94%-0.81%-0.56%-1.15%-1.53%-0.73%
201611-2.57%-4.41%-2.78%-3.42%-2.57%-4.41%-3.17%-2.65%
2016120.16%1.07%0.18%0.96%0.16%1.07%0.84%-0.05%
201710.44%0.52%0.26%0.53%0.44%0.52%0.15%0.30%
201720.84%0.75%0.63%0.57%0.84%0.75%1.32%0.39%
201730.05%0.42%-0.02%0.31%0.05%0.42%-0.29%0.07%
201740.97%0.86%0.88%0.73%0.97%0.86%1.19%0.77%
201750.76%1.77%0.78%1.37%0.76%1.77%1.33%0.59%
20176-0.16%-0.04%-0.23%-0.34%-0.16%-0.04%0.48%-0.47%
201770.86%0.95%0.51%0.65%0.86%0.95%0.77%0.42%
201780.75%1.12%0.81%0.79%0.75%1.12%0.68%0.86%
20179-0.49%-0.22%-0.63%-0.41%-0.49%-0.22%-0.05%-0.83%
2017100.23%0.31%-0.10%0.09%0.23%0.31%0.19%-0.21%
201711-0.37%0.05%-0.32%-0.70%-0.37%0.05%-0.12%-0.39%
2017120.33%1.21%0.36%0.87%0.33%1.21%1.22%0.07%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 3
Large-cap Value0.00%0.00%
Large-cap Growth2.42%0.00%
Mid-cap Value0.00%0.56%
Mid-cap Growth2.54%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%1.20%
Emerging Markets3.88%0.26%
Corporate Bonds37.98%22.24%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries21.70%50.20%
Short-Term Treasuries31.47%25.54%
R Squared78.66%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.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VFIDXVanguard Interm-Term Investment-Grde AdmCorporate Bond100.00%1.59%0.10%6.01$10,973100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VWALXVanguard High-Yield Tax-Exempt AdmMuni National Long100.00%1.73%0.09%6.06$10,690100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
LQDiShares iBoxx $ Invmt Grade Corp Bd ETFCorporate Bond25.00%2.06%0.14%9.62$2,90431.32%
VFITXVanguard Interm-Term Treasury InvIntermediate Government75.00%0.47%0.20%5.20$5,70168.68%
100.00%0.87%0.18%6.30$8,604100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

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.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 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 Correlation0.280.15-0.060.03
Beta(*)0.781.170.721.00
Alpha (annualized)2.06%0.46%1.49%0.00%
R239.29%84.60%34.60%100.00%
Sharpe Ratio0.800.760.650.68
Sortino Ratio1.201.151.081.02
Treynor Ratio (%)4.973.234.272.66
Calmar Ratio1.050.730.510.54
Active Return1.21%1.12%0.38%N/A
Tracking Error3.82%2.03%3.95%N/A
Information Ratio0.320.550.10N/A
Skewness-1.15-0.830.19-0.81
Excess Kurtosis5.653.712.302.85
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 (%)93.39117.7492.07100.00
Downside Capture Ratio (%)51.99104.1373.11100.00
Safe Withdrawal Rate8.22%7.96%7.93%7.50%
Perpetual Withdrawal Rate2.84%2.74%2.05%1.70%
Positive Periods118 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 Ratio1.231.071.261.11
* Vanguard Interm-Term Tx-Ex Inv 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 3Vanguard Interm-Term Tx-Ex Inv
Subprime CrisisNov 2007Mar 2009-14.06%-11.50%-4.77%-4.08%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsJul 20099 months1 year 5 months-14.06%
2May 2013Aug 20134 monthsApr 20148 months1 year-4.59%
3Apr 2004May 20042 monthsAug 20043 months5 months-3.68%
4Jul 2003Jul 20031 monthDec 20035 months6 months-3.49%
5Oct 2016Nov 20162 monthsMay 20176 months8 months-3.12%
6Nov 2010Dec 20102 monthsApr 20114 months6 months-2.39%
7Sep 2005Oct 20052 monthsAug 200610 months1 year-2.09%
8Feb 2015Jun 20155 monthsJan 20167 months1 year-1.86%
9Nov 2011Nov 20111 monthDec 20111 month2 months-1.52%
10May 2007Jun 20072 monthsAug 20072 months4 months-1.49%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Dec 200811 monthsAug 20098 months1 year 7 months-11.50%
2May 2013Aug 20134 monthsApr 20148 months1 year-7.47%
3Sep 2016Nov 20163 monthsJul 20178 months11 months-5.95%
4Oct 2010Jan 20114 monthsJul 20116 months10 months-5.91%
5Jun 2003Jul 20032 monthsSep 20032 months4 months-2.96%
6Mar 2004Apr 20042 monthsAug 20044 months6 months-2.52%
7Oct 2009Oct 20091 monthFeb 20104 months5 months-2.37%
8Feb 2015Jun 20155 monthsOct 20154 months9 months-1.81%
9May 2007Aug 20074 monthsOct 20072 months6 months-1.58%
10Dec 2012Dec 20121 monthApr 20134 months5 months-1.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsAug 20141 year1 year 4 months-4.80%
2Apr 2008Oct 20087 monthsNov 20081 month8 months-4.77%
3Jun 2003Jul 20032 monthsJan 20046 months8 months-4.72%
4Aug 2016Nov 20164 months-4.05%
5Jan 2009Feb 20092 monthsAug 20096 months8 months-3.95%
6Apr 2004May 20042 monthsSep 20044 months6 months-3.91%
7Nov 2010Mar 20115 monthsMay 20112 months7 months-3.07%
8Dec 2009Dec 20091 monthApr 20104 months5 months-2.85%
9Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.76%
10Sep 2005May 20069 monthsAug 20063 months1 year-2.46%
Worst 10 drawdowns included above

Drawdowns for Vanguard Interm-Term Tx-Ex Inv

Drawdowns for Vanguard Interm-Term Tx-Ex Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsApr 20148 months1 year-5.17%
2Sep 2010Jan 20115 monthsJul 20116 months11 months-4.65%
3Sep 2016Nov 20163 monthsJul 20178 months11 months-4.59%
4Feb 2008Feb 20081 monthAug 20086 months7 months-4.08%
5Sep 2008Sep 20081 monthJan 20094 months5 months-3.92%
6Jun 2003Jul 20032 monthsNov 20034 months6 months-3.16%
7Mar 2004Apr 20042 monthsAug 20044 months6 months-2.95%
8Oct 2009Oct 20091 monthFeb 20104 months5 months-2.17%
9Feb 2015Jun 20155 monthsOct 20154 months9 months-1.59%
10Feb 2005Mar 20052 monthsApr 20051 month3 months-1.26%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFIDXVanguard Interm-Term Investment-Grde Adm5.06%4.78%17.88%-6.06%-14.06%0.801.200.28
VWALXVanguard High-Yield Tax-Exempt Adm4.97%4.90%20.23%-10.39%-11.50%0.761.150.15
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.44%7.31%10.58%-2.00%-15.11%0.590.950.25
VFITXVanguard Interm-Term Treasury Inv3.79%4.53%13.32%-3.09%-4.30%0.580.96-0.22

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFIDXVWALXLQDVFITXPortfolio 1Portfolio 2Portfolio 3Vanguard Interm-Term Tx-Ex Inv
VFIDXVanguard Interm-Term Investment-Grde Adm1.000.620.870.661.000.620.810.63
VWALXVanguard High-Yield Tax-Exempt Adm0.621.000.480.340.621.000.430.92
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.870.481.000.590.870.480.810.60
VFITXVanguard Interm-Term Treasury Inv0.660.340.591.000.660.340.950.49

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFIDXVanguard Interm-Term Investment-Grde Adm$10,973
VWALXVanguard High-Yield Tax-Exempt Adm$10,690
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$2,904
VFITXVanguard Interm-Term Treasury Inv$5,701

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFIDXVanguard Interm-Term Investment-Grde Adm100.00%
VWALXVanguard High-Yield Tax-Exempt Adm100.00%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF31.32%
VFITXVanguard Interm-Term Treasury Inv68.68%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard Interm-Term Tx-Ex Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year5.22%25.61%-10.65%5.01%20.23%-10.39%4.37%13.26%-3.37%3.92%13.10%-2.82%
3 years5.31%14.33%-0.37%4.97%11.08%-1.29%4.63%9.55%1.04%4.07%7.26%2.15%
5 years5.62%10.23%1.15%4.94%7.76%1.08%4.96%7.95%1.55%4.22%6.13%2.16%
7 years6.07%8.34%4.07%5.20%7.80%3.59%5.18%6.88%2.78%4.39%5.30%3.42%
10 years5.62%6.21%5.14%4.94%5.52%4.36%4.96%5.60%4.12%4.22%4.70%3.77%