Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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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 1993 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWEHX Vanguard High-Yield Corporate Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx 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$53,235 6.92% 7.02%39.09%-21.29%-28.90% 0.640.920.63
Portfolio 2$10,000$36,335 5.30% 3.55%18.18%-2.66%-5.01% 0.801.310.01
Portfolio 3$10,000$99,355 9.62% 14.52%35.79%-37.04%-50.89% 0.540.781.00
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard High-Yield Corporate Inv (VWEHX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19932.75%18.24%9.68%10.62%$11,824$10,968$11,06218.24%9.68%10.62%
19942.67%-1.71%-2.66%-0.17%$11,622$10,677$11,044-1.71%-2.66%-0.17%
19952.54%19.15%18.18%35.79%$13,848$12,618$14,99619.15%18.18%35.79%
19963.32%9.55%3.58%20.96%$15,170$13,070$18,1399.55%3.58%20.96%
19971.70%11.91%9.44%30.99%$16,976$14,304$23,76111.91%9.44%30.99%
19981.61%5.62%8.58%23.26%$17,929$15,532$29,2895.62%8.58%23.26%
19992.68%2.49%-0.76%23.81%$18,376$15,414$36,2642.49%-0.76%23.81%
20003.39%-0.88%11.39%-10.57%$18,215$17,170$32,429-0.88%11.39%-10.57%
20011.55%2.90%8.43%-10.97%$18,744$18,617$28,8732.90%8.43%-10.97%
20022.38%1.73%8.26%-20.96%$19,068$20,154$22,8211.73%8.26%-20.96%
20031.88%17.20%3.97%31.35%$22,348$20,955$29,97617.20%3.97%31.35%
20043.26%8.52%4.24%12.51%$24,251$21,843$33,7288.52%4.24%12.51%
20053.42%2.77%2.40%5.98%$24,922$22,366$35,7452.77%2.40%5.98%
20062.54%8.24%4.27%15.51%$26,975$23,321$41,2898.24%4.27%15.51%
20074.08%2.04%6.92%5.49%$27,526$24,935$43,5562.04%6.92%5.49%
20080.09%-21.29%5.05%-37.04%$21,666$26,195$27,424-21.29%5.05%-37.04%
20092.72%39.09%5.93%28.70%$30,135$27,749$35,29439.09%5.93%28.70%
20101.50%12.40%6.42%17.09%$33,871$29,531$41,32712.40%6.42%17.09%
20112.96%7.13%7.56%0.96%$36,287$31,763$41,7247.13%7.56%0.96%
20121.74%14.36%4.05%16.25%$41,496$33,049$48,50614.36%4.05%16.25%
20131.50%4.54%-2.26%33.35%$43,379$32,301$64,6824.54%-2.26%33.35%
20140.76%4.58%5.76%12.43%$45,367$34,161$72,7214.58%5.76%12.43%
20150.73%-1.39%0.30%0.29%$44,734$34,263$72,935-1.39%0.30%0.29%
20162.07%11.19%2.50%12.53%$49,741$35,119$82,07611.19%2.50%12.53%
20172.11%7.02%3.46%21.05%$53,235$36,335$99,3557.02%3.46%21.05%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard High-Yield Corporate Inv (VWEHX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199312.81%1.79%1.01%$10,281$10,179$10,1012.81%1.79%1.01%
199322.22%1.96%0.46%$10,510$10,379$10,1482.22%1.96%0.46%
199331.54%0.37%2.46%$10,671$10,417$10,3981.54%0.37%2.46%
199340.88%0.74%-2.77%$10,765$10,494$10,1100.88%0.74%-2.77%
199351.28%0.14%3.03%$10,903$10,509$10,4161.28%0.14%3.03%
199362.29%1.80%0.55%$11,153$10,698$10,4732.29%1.80%0.55%
199370.86%0.61%-0.27%$11,249$10,763$10,4450.86%0.61%-0.27%
199381.11%1.69%3.93%$11,374$10,945$10,8561.11%1.69%3.93%
199390.36%0.40%0.01%$11,415$10,989$10,8560.36%0.40%0.01%
1993102.62%0.30%1.64%$11,714$11,022$11,0352.62%0.30%1.64%
199311-0.02%-0.97%-1.62%$11,711$10,916$10,856-0.02%-0.97%-1.62%
1993120.96%0.48%1.90%$11,824$10,968$11,0620.96%0.48%1.90%
199412.20%1.39%3.08%$12,085$11,121$11,4032.20%1.39%3.08%
19942-0.92%-1.78%-2.24%$11,974$10,922$11,148-0.92%-1.78%-2.24%
19943-4.43%-2.30%-4.44%$11,444$10,671$10,652-4.43%-2.30%-4.44%
19944-1.62%-0.83%0.89%$11,259$10,583$10,748-1.62%-0.83%0.89%
199450.10%0.00%0.97%$11,270$10,583$10,8520.10%0.00%0.97%
199460.77%-0.18%-2.73%$11,357$10,564$10,5560.77%-0.18%-2.73%
199470.90%1.84%3.08%$11,459$10,759$10,8810.90%1.84%3.08%
199480.90%0.14%4.39%$11,562$10,774$11,3600.90%0.14%4.39%
19949-0.05%-1.44%-1.85%$11,556$10,618$11,149-0.05%-1.44%-1.85%
1994100.10%-0.07%1.55%$11,568$10,611$11,3220.10%-0.07%1.55%
199411-1.02%-0.18%-3.65%$11,449$10,592$10,909-1.02%-0.18%-3.65%
1994121.51%0.80%1.23%$11,622$10,677$11,0441.51%0.80%1.23%
199511.36%1.90%2.20%$11,780$10,879$11,2871.36%1.90%2.20%
199522.92%2.17%4.04%$12,124$11,116$11,7432.92%2.17%4.04%
199530.91%0.67%2.65%$12,234$11,191$12,0550.91%0.67%2.65%
199542.37%1.31%2.51%$12,524$11,338$12,3572.37%1.31%2.51%
199552.50%3.95%3.48%$12,837$11,786$12,7872.50%3.95%3.48%
199560.48%0.66%2.98%$12,898$11,863$13,1680.48%0.66%2.98%
199571.54%-0.25%4.02%$13,096$11,833$13,6971.54%-0.25%4.02%
199580.49%1.18%1.07%$13,159$11,972$13,8440.49%1.18%1.07%
199591.24%0.95%3.61%$13,323$12,086$14,3441.24%0.95%3.61%
1995101.40%1.47%-1.17%$13,509$12,263$14,1771.40%1.47%-1.17%
1995110.85%1.44%4.17%$13,624$12,439$14,7680.85%1.44%4.17%
1995121.64%1.44%1.54%$13,848$12,618$14,9961.64%1.44%1.54%
199611.24%0.63%2.66%$14,020$12,697$15,3951.24%0.63%2.66%
199620.05%-1.76%1.62%$14,027$12,474$15,6440.05%-1.76%1.62%
19963-0.92%-0.77%1.14%$13,898$12,378$15,823-0.92%-0.77%1.14%
19964-0.18%-0.49%2.41%$13,874$12,317$16,204-0.18%-0.49%2.41%
199650.37%-0.17%2.66%$13,925$12,296$16,6350.37%-0.17%2.66%
199660.21%1.27%-0.84%$13,954$12,452$16,4950.21%1.27%-0.84%
199671.03%0.25%-5.37%$14,098$12,483$15,6091.03%0.25%-5.37%
199681.42%-0.16%3.09%$14,299$12,463$16,0921.42%-0.16%3.09%
199692.05%1.70%5.38%$14,592$12,675$16,9582.05%1.70%5.38%
1996100.76%2.21%1.43%$14,702$12,955$17,2010.76%2.21%1.43%
1996112.02%1.76%6.81%$15,000$13,183$18,3722.02%1.76%6.81%
1996121.14%-0.85%-1.27%$15,170$13,070$18,1391.14%-0.85%-1.27%
199710.75%0.25%5.46%$15,283$13,102$19,1290.75%0.25%5.46%
199721.43%0.11%-0.11%$15,502$13,117$19,1091.43%0.11%-0.11%
19973-1.92%-0.97%-4.45%$15,205$12,990$18,258-1.92%-0.97%-4.45%
199741.12%1.49%4.50%$15,375$13,183$19,0791.12%1.49%4.50%
199752.56%0.87%7.10%$15,768$13,298$20,4342.56%0.87%7.10%
199761.22%1.16%4.37%$15,960$13,453$21,3261.22%1.16%4.37%
199772.38%2.80%7.77%$16,340$13,830$22,9832.38%2.80%7.77%
19978-0.14%-0.85%-3.72%$16,316$13,711$22,129-0.14%-0.85%-3.72%
199791.58%1.45%5.77%$16,575$13,910$23,4061.58%1.45%5.77%
1997100.35%1.45%-3.40%$16,634$14,111$22,6110.35%1.45%-3.40%
1997110.70%0.33%3.33%$16,750$14,157$23,3640.70%0.33%3.33%
1997121.35%1.04%1.70%$16,976$14,304$23,7611.35%1.04%1.70%
199811.86%1.32%0.44%$17,291$14,493$23,8661.86%1.32%0.44%
199820.51%-0.10%7.34%$17,379$14,479$25,6190.51%-0.10%7.34%
199830.70%0.33%5.06%$17,501$14,527$26,9160.70%0.33%5.06%
199840.31%0.51%1.10%$17,556$14,601$27,2110.31%0.51%1.10%
199850.57%1.02%-2.71%$17,657$14,750$26,4730.57%1.02%-2.71%
199860.55%0.81%3.54%$17,754$14,869$27,4110.55%0.81%3.54%
199870.81%0.23%-2.27%$17,898$14,902$26,7880.81%0.23%-2.27%
19988-3.87%1.90%-15.65%$17,206$15,185$22,595-3.87%1.90%-15.65%
199891.60%1.96%6.68%$17,481$15,483$24,1041.60%1.96%6.68%
199810-1.60%-0.55%7.51%$17,201$15,397$25,915-1.60%-0.55%7.51%
1998114.23%0.49%6.17%$17,930$15,472$27,5144.23%0.49%6.17%
199812-0.00%0.38%6.45%$17,929$15,532$29,289-0.00%0.38%6.45%
199911.59%0.79%3.65%$18,214$15,655$30,3571.59%0.79%3.65%
19992-0.65%-1.77%-3.73%$18,096$15,378$29,225-0.65%-1.77%-3.73%
199930.81%0.56%3.93%$18,243$15,465$30,3750.81%0.56%3.93%
199941.30%0.40%4.68%$18,481$15,527$31,7951.30%0.40%4.68%
19995-1.60%-0.88%-2.00%$18,185$15,390$31,160-1.60%-0.88%-2.00%
19996-0.49%-0.50%5.16%$18,096$15,313$32,768-0.49%-0.50%5.16%
199970.05%-0.39%-3.20%$18,105$15,254$31,7210.05%-0.39%-3.20%
19998-1.01%-0.08%-0.92%$17,923$15,242$31,430-1.01%-0.08%-0.92%
199990.02%1.26%-2.44%$17,927$15,434$30,6630.02%1.26%-2.44%
1999100.12%0.33%6.29%$17,948$15,485$32,5910.12%0.33%6.29%
1999111.66%0.02%3.42%$18,246$15,488$33,7061.66%0.02%3.42%
1999120.71%-0.48%7.59%$18,376$15,414$36,2640.71%-0.48%7.59%
20001-0.77%-0.17%-4.18%$18,235$15,387$34,747-0.77%-0.17%-4.18%
200020.14%1.18%2.54%$18,261$15,568$35,6310.14%1.18%2.54%
20003-0.91%1.40%5.69%$18,095$15,787$37,657-0.91%1.40%5.69%
200040.74%-0.49%-5.21%$18,229$15,709$35,6960.74%-0.49%-5.21%
20005-1.20%-0.16%-3.41%$18,009$15,684$34,480-1.20%-0.16%-3.41%
200062.47%2.15%4.42%$18,454$16,021$36,0042.47%2.15%4.42%
200071.18%0.88%-1.95%$18,671$16,162$35,3011.18%0.88%-1.95%
200081.60%1.40%7.28%$18,970$16,388$37,8711.60%1.40%7.28%
20009-1.35%0.76%-4.67%$18,714$16,512$36,102-1.35%0.76%-4.67%
200010-1.79%0.57%-2.04%$18,379$16,606$35,364-1.79%0.57%-2.04%
200011-3.46%1.58%-9.90%$17,744$16,869$31,862-3.46%1.58%-9.90%
2000122.66%1.79%1.78%$18,215$17,170$32,4292.66%1.79%1.78%
200114.82%1.76%3.83%$19,093$17,472$33,6714.82%1.76%3.83%
200120.67%0.91%-9.41%$19,222$17,631$30,5010.67%0.91%-9.41%
20013-1.25%0.54%-6.72%$18,981$17,726$28,451-1.25%0.54%-6.72%
20014-0.13%-0.46%8.16%$18,956$17,643$30,774-0.13%-0.46%8.16%
200150.77%0.73%1.01%$19,102$17,773$31,0850.77%0.73%1.01%
20016-2.80%0.52%-1.64%$18,567$17,866$30,577-2.80%0.52%-1.64%
200171.23%2.23%-1.71%$18,796$18,264$30,0531.23%2.23%-1.71%
200180.90%1.11%-6.00%$18,965$18,467$28,2490.90%1.11%-6.00%
20019-4.76%0.89%-9.00%$18,063$18,632$25,707-4.76%0.89%-9.00%
2001101.59%1.86%2.52%$18,350$18,979$26,3551.59%1.86%2.52%
2001112.82%-1.34%7.63%$18,868$18,725$28,3672.82%-1.34%7.63%
200112-0.66%-0.58%1.78%$18,744$18,617$28,873-0.66%-0.58%1.78%
200210.75%0.69%-1.24%$18,884$18,745$28,5140.75%0.69%-1.24%
20022-0.79%0.85%-2.05%$18,734$18,905$27,931-0.79%0.85%-2.05%
200231.35%-1.46%4.38%$18,987$18,629$29,1531.35%-1.46%4.38%
200241.48%1.69%-4.90%$19,268$18,944$27,7251.48%1.69%-4.90%
20025-0.41%0.80%-1.22%$19,188$19,095$27,388-0.41%0.80%-1.22%
20026-2.87%0.29%-7.06%$18,638$19,151$25,453-2.87%0.29%-7.06%
20027-3.78%0.48%-8.02%$17,933$19,243$23,412-3.78%0.48%-8.02%
200281.97%1.66%0.53%$18,286$19,563$23,5361.97%1.66%0.53%
20029-1.36%1.53%-10.07%$18,037$19,862$21,167-1.36%1.53%-10.07%
2002100.20%-0.61%7.65%$18,073$19,741$22,7850.20%-0.61%7.65%
2002114.41%0.02%6.06%$18,870$19,745$24,1664.41%0.02%6.06%
2002121.05%2.07%-5.57%$19,068$20,154$22,8211.05%2.07%-5.57%
200311.56%0.05%-2.54%$19,365$20,165$22,2411.56%0.05%-2.54%
200321.30%1.38%-1.69%$19,617$20,442$21,8661.30%1.38%-1.69%
200331.36%-0.13%1.09%$19,883$20,416$22,1031.36%-0.13%1.09%
200343.64%0.87%8.21%$20,607$20,593$23,9183.64%0.87%8.21%
200350.33%1.82%6.11%$20,674$20,969$25,3780.33%1.82%6.11%
200361.92%-0.13%1.43%$21,072$20,940$25,7421.92%-0.13%1.43%
20037-1.60%-3.34%2.36%$20,735$20,242$26,349-1.60%-3.34%2.36%
200380.83%0.61%2.39%$20,906$20,365$26,9780.83%0.61%2.39%
200392.11%2.71%-1.15%$21,347$20,916$26,6692.11%2.71%-1.15%
2003101.45%-0.96%6.12%$21,657$20,716$28,3001.45%-0.96%6.12%
2003111.10%0.27%1.38%$21,895$20,772$28,6911.10%0.27%1.38%
2003122.07%0.88%4.48%$22,348$20,955$29,9762.07%0.88%4.48%
200410.93%0.86%2.23%$22,555$21,136$30,6450.93%0.86%2.23%
200420.26%1.03%1.43%$22,613$21,354$31,0830.26%1.03%1.43%
200430.77%0.80%-1.07%$22,788$21,524$30,7500.77%0.80%-1.07%
20044-0.66%-2.61%-2.11%$22,638$20,961$30,102-0.66%-2.61%-2.11%
20045-1.60%-0.43%1.35%$22,277$20,872$30,507-1.60%-0.43%1.35%
200461.26%0.56%2.09%$22,557$20,988$31,1441.26%0.56%2.09%
200471.11%0.96%-3.80%$22,808$21,190$29,9601.11%0.96%-3.80%
200481.91%1.94%0.31%$23,243$21,602$30,0531.91%1.94%0.31%
200491.22%0.16%1.74%$23,527$21,637$30,5761.22%0.16%1.74%
2004101.71%0.85%1.68%$23,929$21,820$31,0891.71%0.85%1.68%
2004110.27%-0.81%4.68%$23,993$21,645$32,5450.27%-0.81%4.68%
2004121.08%0.92%3.63%$24,251$21,843$33,7281.08%0.92%3.63%
20051-0.17%0.65%-2.68%$24,209$21,986$32,825-0.17%0.65%-2.68%
200521.16%-0.63%2.07%$24,491$21,848$33,5051.16%-0.63%2.07%
20053-2.68%-0.49%-1.75%$23,835$21,741$32,920-2.68%-0.49%-1.75%
20054-0.55%1.35%-2.32%$23,705$22,035$32,155-0.55%1.35%-2.32%
200551.90%1.05%3.77%$24,157$22,267$33,3671.90%1.05%3.77%
200561.22%0.55%0.81%$24,452$22,390$33,6381.22%0.55%0.81%
200570.92%-0.99%4.11%$24,676$22,168$35,0180.92%-0.99%4.11%
200580.25%1.36%-0.94%$24,739$22,468$34,6880.25%1.36%-0.94%
20059-0.56%-1.10%0.86%$24,602$22,221$34,985-0.56%-1.10%0.86%
200510-0.54%-0.81%-1.86%$24,470$22,041$34,333-0.54%-0.81%-1.86%
2005110.91%0.48%3.97%$24,693$22,147$35,6960.91%0.48%3.97%
2005120.93%0.99%0.14%$24,922$22,366$35,7450.93%0.99%0.14%
200610.92%-0.11%3.50%$25,152$22,342$36,9960.92%-0.11%3.50%
200620.70%0.37%0.00%$25,329$22,426$36,9960.70%0.37%0.00%
20063-0.04%-1.00%1.80%$25,318$22,202$37,663-0.04%-1.00%1.80%
200640.26%-0.21%1.11%$25,383$22,156$38,0810.26%-0.21%1.11%
20065-0.37%-0.09%-3.23%$25,288$22,135$36,849-0.37%-0.09%-3.23%
20066-0.40%0.10%0.17%$25,187$22,158$36,913-0.40%0.10%0.17%
200670.78%1.35%-0.13%$25,383$22,456$36,8640.78%1.35%-0.13%
200681.44%1.64%2.31%$25,750$22,825$37,7171.44%1.64%2.31%
200691.25%0.81%2.27%$26,071$23,011$38,5721.25%0.81%2.27%
2006100.94%0.72%3.53%$26,315$23,176$39,9340.94%0.72%3.53%
2006111.56%1.11%2.23%$26,727$23,433$40,8261.56%1.11%2.23%
2006120.93%-0.48%1.13%$26,975$23,321$41,2890.93%-0.48%1.13%
200710.60%-0.08%1.88%$27,138$23,302$42,0640.60%-0.08%1.88%
200721.51%1.50%-1.61%$27,548$23,652$41,3861.51%1.50%-1.61%
200730.13%0.02%1.11%$27,583$23,658$41,8440.13%0.02%1.11%
200741.24%0.51%4.01%$27,924$23,779$43,5231.24%0.51%4.01%
200750.61%-0.78%3.69%$28,094$23,594$45,1280.61%-0.78%3.69%
20076-2.27%-0.39%-1.67%$27,456$23,503$44,374-2.27%-0.39%-1.67%
20077-3.30%0.84%-3.41%$26,550$23,700$42,861-3.30%0.84%-3.41%
200781.84%1.34%1.45%$27,038$24,018$43,4831.84%1.34%1.45%
200792.80%0.72%3.59%$27,795$24,191$45,0452.80%0.72%3.59%
2007100.46%0.93%1.85%$27,922$24,415$45,8790.46%0.93%1.85%
200711-1.87%1.91%-4.49%$27,399$24,881$43,820-1.87%1.91%-4.49%
2007120.47%0.22%-0.60%$27,526$24,935$43,5560.47%0.22%-0.60%
20081-0.72%1.69%-6.08%$27,328$25,356$40,907-0.72%1.69%-6.08%
20082-1.46%0.19%-3.07%$26,928$25,404$39,651-1.46%0.19%-3.07%
20083-0.22%0.30%-0.58%$26,868$25,480$39,420-0.22%0.30%-0.58%
200843.65%-0.30%5.02%$27,848$25,403$41,3993.65%-0.30%5.02%
20085-0.22%-0.79%2.09%$27,786$25,203$42,266-0.22%-0.79%2.09%
20086-3.01%-0.01%-8.19%$26,949$25,202$38,803-3.01%-0.01%-8.19%
20087-1.13%0.00%-0.77%$26,643$25,202$38,505-1.13%0.00%-0.77%
200880.67%0.70%1.58%$26,821$25,378$39,1140.67%0.70%1.58%
20089-6.13%-1.10%-9.26%$25,177$25,098$35,491-6.13%-1.10%-9.26%
200810-15.39%-2.53%-17.63%$21,301$24,462$29,234-15.39%-2.53%-17.63%
200811-6.22%3.64%-7.90%$19,976$25,353$26,924-6.22%3.64%-7.90%
2008128.46%3.32%1.86%$21,666$26,195$27,4248.46%3.32%1.86%
200915.71%-0.70%-8.26%$22,903$26,012$25,1595.71%-0.70%-8.26%
20092-2.89%-0.42%-10.45%$22,240$25,902$22,530-2.89%-0.42%-10.45%
200931.95%1.48%8.65%$22,674$26,286$24,4801.95%1.48%8.65%
200947.83%0.36%10.61%$24,449$26,380$27,0767.83%0.36%10.61%
200954.35%0.85%5.38%$25,513$26,604$28,5324.35%0.85%5.38%
200961.70%0.54%0.34%$25,946$26,747$28,6301.70%0.54%0.34%
200975.79%1.43%7.82%$27,449$27,129$30,8705.79%1.43%7.82%
200980.29%1.01%3.63%$27,528$27,404$31,9900.29%1.01%3.63%
200994.17%1.19%4.23%$28,676$27,730$33,3424.17%1.19%4.23%
2009101.60%0.41%-2.57%$29,135$27,844$32,4851.60%0.41%-2.57%
2009110.65%1.36%5.63%$29,325$28,223$34,3130.65%1.36%5.63%
2009122.76%-1.68%2.86%$30,135$27,749$35,2942.76%-1.68%2.86%
201010.83%1.57%-3.50%$30,386$28,185$34,0590.83%1.57%-3.50%
201020.05%0.20%3.36%$30,401$28,241$35,2040.05%0.20%3.36%
201032.70%-0.08%6.27%$31,221$28,218$37,4112.70%-0.08%6.27%
201041.72%1.06%2.17%$31,759$28,517$38,2241.72%1.06%2.17%
20105-3.42%0.87%-8.00%$30,671$28,766$35,166-3.42%0.87%-8.00%
201061.77%1.61%-5.66%$31,214$29,229$33,1751.77%1.61%-5.66%
201073.42%0.94%6.99%$32,280$29,503$35,4953.42%0.94%6.99%
201080.28%1.48%-4.75%$32,370$29,940$33,8100.28%1.48%-4.75%
201092.76%-0.01%9.47%$33,264$29,936$37,0112.76%-0.01%9.47%
2010102.20%0.36%3.94%$33,995$30,044$38,4702.20%0.36%3.94%
201011-1.66%-0.57%0.58%$33,430$29,874$38,692-1.66%-0.57%0.58%
2010121.32%-1.15%6.81%$33,871$29,531$41,3271.32%-1.15%6.81%
201112.01%0.08%2.19%$34,550$29,556$42,2302.01%0.08%2.19%
201121.25%0.16%3.60%$34,984$29,604$43,7491.25%0.16%3.60%
201130.28%-0.01%0.45%$35,083$29,603$43,9460.28%-0.01%0.45%
201141.61%1.32%2.99%$35,649$29,992$45,2601.61%1.32%2.99%
201150.59%1.30%-1.16%$35,859$30,384$44,7340.59%1.30%-1.16%
20116-0.96%-0.39%-1.79%$35,513$30,266$43,935-0.96%-0.39%-1.79%
201171.46%1.58%-2.28%$36,030$30,742$42,9321.46%1.58%-2.28%
20118-3.19%1.46%-5.99%$34,880$31,192$40,358-3.19%1.46%-5.99%
20119-1.91%0.89%-7.75%$34,213$31,471$37,229-1.91%0.89%-7.75%
2011105.39%0.16%11.51%$36,056$31,521$41,5135.39%0.16%11.51%
201111-2.05%-0.30%-0.29%$35,315$31,425$41,394-2.05%-0.30%-0.29%
2011122.75%1.08%0.80%$36,287$31,763$41,7242.75%1.08%0.80%
201212.87%0.87%5.08%$37,328$32,041$43,8442.87%0.87%5.08%
201221.90%-0.05%4.26%$38,037$32,026$45,7111.90%-0.05%4.26%
20123-0.47%-0.58%3.07%$37,859$31,839$47,113-0.47%-0.58%3.07%
201241.04%1.14%-0.65%$38,254$32,202$46,8051.04%1.14%-0.65%
20125-0.99%0.95%-6.24%$37,876$32,507$43,886-0.99%0.95%-6.24%
201262.08%0.04%3.91%$38,665$32,519$45,6022.08%0.04%3.91%
201272.07%1.39%1.03%$39,467$32,970$46,0732.07%1.39%1.03%
201280.86%0.03%2.48%$39,805$32,980$47,2160.86%0.03%2.48%
201291.17%0.11%2.58%$40,271$33,015$48,4331.17%0.11%2.58%
2012101.01%0.11%-1.76%$40,679$33,052$47,5821.01%0.11%-1.76%
2012110.66%0.19%0.74%$40,949$33,116$47,9330.66%0.19%0.74%
2012121.34%-0.20%1.19%$41,496$33,049$48,5061.34%-0.20%1.19%
201310.67%-0.71%5.50%$41,773$32,814$51,1730.67%-0.71%5.50%
201320.29%0.54%1.28%$41,893$32,992$51,8260.29%0.54%1.28%
201330.82%0.08%3.88%$42,237$33,019$53,8390.82%0.08%3.88%
201341.61%0.91%1.70%$42,918$33,320$54,7541.61%0.91%1.70%
20135-0.81%-1.71%2.32%$42,569$32,751$56,025-0.81%-1.71%2.32%
20136-2.96%-1.65%-1.27%$41,309$32,209$55,312-2.96%-1.65%-1.27%
201371.85%0.20%5.49%$42,072$32,273$58,3461.85%0.20%5.49%
20138-1.02%-0.64%-2.82%$41,643$32,066$56,698-1.02%-0.64%-2.82%
201390.99%0.96%3.66%$42,053$32,374$58,7760.99%0.96%3.66%
2013102.51%0.78%4.22%$43,111$32,626$61,2592.51%0.78%4.22%
2013110.30%-0.35%2.88%$43,241$32,512$63,0240.30%-0.35%2.88%
2013120.32%-0.65%2.63%$43,379$32,301$64,6820.32%-0.65%2.63%
201410.66%1.54%-3.11%$43,666$32,800$62,6720.66%1.54%-3.11%
201421.92%0.48%4.73%$44,506$32,957$65,6381.92%0.48%4.73%
201430.14%-0.15%0.51%$44,568$32,908$65,9760.14%-0.15%0.51%
201440.61%0.77%0.06%$44,841$33,162$66,0170.61%0.77%0.06%
201450.95%1.05%2.17%$45,269$33,509$67,4510.95%1.05%2.17%
201460.61%0.11%2.54%$45,543$33,546$69,1620.61%0.11%2.54%
20147-1.17%-0.26%-1.98%$45,011$33,460$67,793-1.17%-0.26%-1.98%
201481.62%1.13%4.18%$45,740$33,838$70,6291.62%1.13%4.18%
20149-1.84%-0.72%-2.14%$44,898$33,593$69,120-1.84%-0.72%-2.14%
2014101.97%0.94%2.74%$45,784$33,909$71,0141.97%0.94%2.74%
201411-0.54%0.65%2.41%$45,534$34,131$72,725-0.54%0.65%2.41%
201412-0.37%0.09%-0.01%$45,367$34,161$72,721-0.37%0.09%-0.01%
201510.64%2.31%-2.77%$45,655$34,951$70,7050.64%2.31%-2.77%
201521.93%-1.08%5.76%$46,535$34,573$74,7801.93%-1.08%5.76%
20153-0.55%0.41%-1.04%$46,278$34,714$74,004-0.55%0.41%-1.04%
201540.95%-0.36%0.42%$46,717$34,588$74,3160.95%-0.36%0.42%
201550.30%-0.45%1.39%$46,856$34,432$75,3490.30%-0.45%1.39%
20156-1.39%-1.01%-1.71%$46,205$34,085$74,061-1.39%-1.01%-1.71%
201570.29%0.76%1.63%$46,341$34,344$75,2690.29%0.76%1.63%
20158-0.89%-0.36%-6.03%$45,929$34,222$70,734-0.89%-0.36%-6.03%
20159-2.12%0.76%-2.93%$44,954$34,481$68,659-2.12%0.76%-2.93%
2015102.77%0.01%7.84%$46,201$34,486$74,0452.77%0.01%7.84%
201511-1.44%-0.27%0.54%$45,535$34,394$74,445-1.44%-0.27%0.54%
201512-1.76%-0.38%-2.03%$44,734$34,263$72,935-1.76%-0.38%-2.03%
20161-0.99%1.43%-5.67%$44,290$34,753$68,799-0.99%1.43%-5.67%
201620.46%0.66%-0.04%$44,492$34,982$68,7700.46%0.66%-0.04%
201632.85%0.94%7.01%$45,761$35,313$73,5912.85%0.94%7.01%
201642.60%0.38%0.63%$46,952$35,446$74,0532.60%0.38%0.63%
20165-0.05%0.01%1.79%$46,929$35,451$75,380-0.05%0.01%1.79%
201660.80%1.94%0.23%$47,304$36,138$75,5500.80%1.94%0.23%
201672.03%0.64%3.95%$48,267$36,370$78,5352.03%0.64%3.95%
201681.66%-0.17%0.26%$49,068$36,309$78,7381.66%-0.17%0.26%
201690.62%-0.09%0.15%$49,371$36,277$78,8560.62%-0.09%0.15%
2016100.28%-0.81%-2.21%$49,511$35,985$77,1090.28%-0.81%-2.21%
201611-0.91%-2.64%4.44%$49,059$35,033$80,530-0.91%-2.64%4.44%
2016121.39%0.24%1.92%$49,741$35,119$82,0761.39%0.24%1.92%
201711.00%0.29%1.91%$50,237$35,223$83,6431.00%0.29%1.91%
201721.44%0.66%3.71%$50,959$35,455$86,7471.44%0.66%3.71%
20173-0.22%-0.07%0.07%$50,847$35,430$86,804-0.22%-0.07%0.07%
201741.29%0.76%1.05%$51,505$35,700$87,7161.29%0.76%1.05%
201750.96%0.67%1.01%$51,999$35,939$88,5980.96%0.67%1.01%
201760.27%0.01%0.92%$52,141$35,944$89,4140.27%0.01%0.92%
201771.12%0.39%1.87%$52,727$36,084$91,0831.12%0.39%1.87%
201780.11%0.85%0.15%$52,787$36,392$91,2160.11%0.85%0.15%
201790.77%-0.54%2.45%$53,191$36,196$93,4540.77%-0.54%2.45%
2017100.09%0.11%2.16%$53,237$36,236$95,4700.09%0.11%2.16%
201711-0.27%-0.17%3.04%$53,095$36,174$98,376-0.27%-0.17%3.04%
2017120.27%0.44%0.99%$53,235$36,335$99,3550.27%0.44%0.99%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%37.54%
Large-cap Growth9.72%2.53%42.98%
Mid-cap Value15.81%0.00%5.17%
Mid-cap Growth2.90%0.00%7.91%
Small-cap Value0.00%0.00%3.07%
Small-cap Growth0.00%0.00%2.07%
Global ex-US Developed Markets0.00%0.00%0.76%
Emerging Markets6.13%1.72%0.51%
Corporate Bonds42.40%13.21%0.00%
Long-Term Treasuries0.00%2.08%0.00%
Intermediate-Term Treasuries0.00%30.19%0.00%
Short-Term Treasuries23.05%50.27%0.00%
R Squared66.02%90.49%99.88%
Style analysis is based on monthly returns from Apr 2005 to Dec 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWEHXVanguard High-Yield Corporate InvHigh Yield Bond3.780.23%100.00%$43,235100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.000.15%100.00%$26,335100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%100.00%$89,355100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 06/05/2019. © 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.58%0.44%0.86%
Arithmetic Mean (annualized)7.18%5.36%10.79%
Geometric Mean (monthly)0.56%0.43%0.77%
Geometric Mean (annualized)6.92%5.30%9.62%
Volatility (monthly)2.03%1.03%4.19%
Volatility (annualized)7.02%3.55%14.52%
Downside Deviation (monthly)1.37%0.54%2.83%
Max. Drawdown-28.90%-5.01%-50.89%
US Market Correlation0.630.011.00
Beta(*)0.310.001.00
Alpha (annualized)3.82%5.22%0.00%
R239.91%0.00%100.00%
Sharpe Ratio0.640.800.54
Sortino Ratio0.921.310.78
Treynor Ratio (%)14.911,874.577.88
Calmar Ratio1.000.571.23
Active Return-2.70%-4.32%-0.00%
Tracking Error11.46%14.93%0.00%
Information Ratio-0.24-0.29-0.01
Skewness-1.64-0.21-0.78
Excess Kurtosis14.041.101.65
Historical Value-at-Risk (5%)-2.86%-1.14%-7.05%
Analytical Value-at-Risk (5%)-2.75%-1.25%-6.04%
Conditional Value-at-Risk (5%)-4.65%-1.94%-9.77%
Upside Capture Ratio (%)36.7512.81100.00
Downside Capture Ratio (%)21.57-11.27100.00
Safe Withdrawal Rate7.00%6.22%9.22%
Perpetual Withdrawal Rate4.38%2.91%6.74%
Positive Periods217 out of 300 (72.33%)206 out of 300 (68.67%)197 out of 300 (65.67%)
Gain/Loss Ratio0.871.360.87
* 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 1998-0.14%-0.85%-3.72%
Russian Debt DefaultJul 1998Oct 1998-3.89%-0.55%-17.57%
Dotcom CrashMar 2000Oct 2002-6.93%-1.91%-44.11%
Subprime CrisisNov 2007Mar 2009-28.46%-3.99%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Nov 20081 year 6 monthsSep 200910 months2 years 4 months-28.90%
2May 2002Jul 20023 monthsJan 20036 months9 months-6.93%
3Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-6.83%
4Sep 2000Nov 20003 monthsJan 20012 months5 months-6.46%
5Mar 2001Sep 20017 monthsApr 20027 months1 year 2 months-6.03%
6Jun 2015Jan 20168 monthsApr 20163 months11 months-5.48%
7Aug 2011Sep 20112 monthsOct 20111 month3 months-5.04%
8Aug 1998Oct 19983 monthsNov 19981 month4 months-3.89%
9May 2013Jun 20132 monthsOct 20134 months6 months-3.75%
10May 2010May 20101 monthJul 20102 months3 months-3.42%
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 monthsAug 20179 months1 year 1 month-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
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
9Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWEHXVanguard High-Yield Corporate Inv6.92%7.02%39.09%-21.29%-28.90%0.640.920.63
VBMFXVanguard Total Bond Market Index Inv5.30%3.55%18.18%-2.66%-5.01%0.801.310.01
VTSMXVanguard Total Stock Mkt Idx Inv9.62%14.52%35.79%-37.04%-50.89%0.540.781.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWEHXVBMFXVTSMXPortfolio 1Portfolio 2Portfolio 3
VWEHXVanguard High-Yield Corporate Inv-0.320.631.000.320.63
VBMFXVanguard Total Bond Market Index Inv0.32-0.010.321.000.01
VTSMXVanguard Total Stock Mkt Idx Inv0.630.01-0.630.011.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWEHXVanguard High-Yield Corporate Inv$43,235
VBMFXVanguard Total Bond Market Index Inv$26,335
VTSMXVanguard Total Stock Mkt Idx Inv$89,355

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWEHXVanguard High-Yield Corporate Inv100.00%
VBMFXVanguard Total Bond Market Index Inv100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.42%39.09%-21.29%5.39%18.18%-2.66%11.17%35.79%-37.04%
3 years6.77%18.76%-4.56%5.41%10.24%1.21%9.95%29.10%-14.31%
5 years6.63%14.89%-0.62%5.41%7.62%1.91%9.32%26.84%-1.76%
7 years6.45%10.91%2.09%5.47%8.27%3.01%8.03%20.21%-0.73%
10 years6.16%8.09%1.91%5.49%7.42%3.84%6.69%11.81%-0.66%
15 years6.20%7.08%4.12%5.45%6.57%4.01%6.86%10.31%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods