Backtest Portfolio Asset Allocation

This online 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 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1995 - Oct 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VWEHX Vanguard High-Yield Corporate Inv 40.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBLTX Vanguard Long-Term Bond Index Investor 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$67,916 8.37% 8.86%28.74%-20.20%-30.72% 0.701.030.99
Portfolio 2$10,000$72,748 8.68% 10.88%32.85%-30.74%-39.71% 0.610.870.98
Portfolio 3$10,000$83,661 9.32% 9.40%33.36%-18.77%-31.61% 0.751.120.92
   
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
  • The annual results for 2018 are based on full calendar months from January to October
  • 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
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard High-Yield Corporate Inv (VWEHX)Vanguard Long-Term Bond Index Investor (VBLTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19952.54%28.74%29.13%33.36%$12,874$12,913$13,33635.79%18.18%19.15%29.72%
19963.32%14.01%16.40%12.46%$14,678$15,030$14,99720.96%3.58%9.55%-0.30%
19971.70%22.37%23.36%24.32%$17,962$18,542$18,64430.99%9.44%11.91%14.30%
19981.61%17.39%16.21%18.75%$21,086$21,546$22,14023.26%8.58%5.62%11.98%
19992.68%13.98%15.29%11.15%$24,035$24,840$24,60823.81%-0.76%2.49%-7.85%
20003.39%-1.79%-6.70%0.31%$23,605$23,176$24,684-10.57%11.39%-0.88%16.63%
20011.55%-3.21%-5.42%-3.31%$22,848$21,920$23,866-10.97%8.43%2.90%8.17%
20022.38%-9.27%-11.88%-6.84%$20,729$19,315$22,235-20.96%8.26%1.73%14.35%
20031.88%20.40%25.69%21.01%$24,958$24,278$26,90731.35%3.97%17.20%5.50%
20043.26%9.20%10.91%10.87%$27,255$26,928$29,83212.51%4.24%8.52%8.40%
20053.42%4.55%4.70%5.72%$28,494$28,192$31,5375.98%2.40%2.77%5.32%
20062.54%11.01%12.60%10.37%$31,632$31,745$34,80915.51%4.27%8.24%2.67%
20074.08%6.06%4.11%5.93%$33,550$33,050$36,8735.49%6.92%2.04%6.59%
20080.09%-20.20%-30.74%-18.77%$26,772$22,891$29,953-37.04%5.05%-21.29%8.64%
20092.72%19.59%32.85%17.92%$32,018$30,411$35,32128.70%5.93%39.09%1.76%
20101.50%12.82%15.22%14.37%$36,124$35,039$40,39517.09%6.42%12.40%10.27%
20112.96%3.60%3.43%9.40%$37,424$36,241$44,1920.96%7.56%7.13%22.06%
20121.74%11.37%15.49%13.15%$41,680$41,856$50,00316.25%4.05%14.36%8.49%
20131.50%19.10%21.82%16.36%$49,643$50,991$58,18233.35%-2.26%4.54%-9.13%
20140.76%9.76%9.29%15.34%$54,488$55,728$67,11012.43%5.76%4.58%19.72%
20150.73%0.30%-0.38%-1.21%$54,649$55,515$66,2970.29%0.30%-1.39%-3.47%
20162.07%8.52%12.00%10.08%$59,305$62,176$72,98212.53%2.50%11.19%6.41%
20172.11%14.02%15.44%16.94%$67,617$71,776$85,34221.05%3.46%7.02%10.76%
20182.58%0.44%1.35%-1.97%$67,916$72,748$83,6612.34%-2.41%-0.13%-8.43%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard High-Yield Corporate Inv (VWEHX)Vanguard Long-Term Bond Index Investor (VBLTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199512.08%1.86%2.34%$10,208$10,186$10,2342.20%1.90%1.36%2.56%
199523.30%3.60%3.49%$10,544$10,553$10,5924.04%2.17%2.92%2.67%
199531.87%1.96%2.03%$10,742$10,760$10,8062.65%0.67%0.91%1.08%
199542.04%2.45%2.23%$10,961$11,024$11,0472.51%1.31%2.37%1.79%
199553.66%3.09%4.97%$11,362$11,365$11,5963.48%3.95%2.50%7.28%
199562.08%2.01%2.17%$11,598$11,593$11,8482.98%0.66%0.48%0.97%
199572.38%3.07%1.91%$11,875$11,949$12,0754.02%-0.25%1.54%-1.30%
199581.11%0.85%1.46%$12,007$12,051$12,2511.07%1.18%0.49%2.09%
199592.62%2.72%2.89%$12,321$12,379$12,6063.61%0.95%1.24%1.74%
199510-0.20%-0.22%0.31%$12,296$12,352$12,645-1.17%1.47%1.40%2.71%
1995113.15%2.92%3.46%$12,683$12,712$13,0834.17%1.44%0.85%2.36%
1995121.51%1.58%1.94%$12,874$12,913$13,3361.54%1.44%1.64%2.56%
199611.85%2.09%1.62%$13,112$13,183$13,5522.66%0.63%1.24%0.07%
199620.28%1.00%-0.80%$13,149$13,315$13,4441.62%-1.76%0.05%-4.52%
199630.40%0.33%0.03%$13,202$13,359$13,4481.14%-0.77%-0.92%-1.80%
199641.30%1.41%0.90%$13,374$13,547$13,5692.41%-0.49%-0.18%-1.65%
199651.60%1.78%1.57%$13,587$13,789$13,7822.66%-0.17%0.37%-0.34%
19966-0.06%-0.44%0.14%$13,579$13,728$13,802-0.84%1.27%0.21%1.92%
19967-3.27%-2.94%-3.40%$13,135$13,324$13,333-5.37%0.25%1.03%0.07%
199681.83%2.44%1.50%$13,376$13,648$13,5323.09%-0.16%1.42%-1.16%
199693.98%4.08%4.43%$13,909$14,205$14,1315.38%1.70%2.05%2.77%
1996101.72%1.17%2.30%$14,148$14,371$14,4561.43%2.21%0.76%3.85%
1996114.92%4.98%5.48%$14,844$15,087$15,2496.81%1.76%2.02%3.18%
199612-1.12%-0.38%-1.65%$14,678$15,030$14,997-1.27%-0.85%1.14%-2.34%
199713.37%3.57%3.07%$15,173$15,568$15,4575.46%0.25%0.75%-0.52%
19972-0.02%0.49%-0.10%$15,170$15,644$15,442-0.11%0.11%1.43%-0.08%
19973-3.10%-3.46%-3.60%$14,699$15,103$14,887-4.45%-0.97%-1.92%-2.24%
199743.30%3.15%3.62%$15,185$15,579$15,4254.50%1.49%1.12%2.25%
199754.67%5.32%4.74%$15,894$16,408$16,1577.10%0.87%2.56%1.00%
199763.16%3.17%3.48%$16,397$16,928$16,7194.37%1.16%1.22%1.99%
199775.94%5.76%7.04%$17,371$17,903$17,8977.77%2.80%2.38%5.79%
19978-2.69%-2.42%-3.41%$16,903$17,469$17,286-3.72%-0.85%-0.14%-2.88%
199794.19%4.22%4.69%$17,612$18,206$18,0975.77%1.45%1.58%2.82%
199710-1.68%-2.04%-1.15%$17,317$17,834$17,889-3.40%1.45%0.35%2.87%
1997112.23%2.36%2.46%$17,703$18,255$18,3293.33%0.33%0.70%0.99%
1997121.46%1.57%1.72%$17,962$18,542$18,6441.70%1.04%1.35%1.75%
199810.79%1.01%0.92%$18,105$18,728$18,8160.44%1.32%1.86%1.64%
199824.35%4.59%4.17%$18,893$19,587$19,6007.34%-0.10%0.51%-0.54%
199833.24%3.37%3.21%$19,505$20,248$20,2295.06%0.33%0.70%0.24%
199840.88%0.80%0.88%$19,676$20,410$20,4061.10%0.51%0.31%0.51%
19985-1.32%-1.48%-1.02%$19,416$20,109$20,198-2.71%1.02%0.57%1.83%
199862.50%2.40%2.98%$19,901$20,590$20,7993.54%0.81%0.55%2.07%
19987-1.34%-1.11%-1.63%$19,635$20,362$20,461-2.27%0.23%0.81%-0.57%
19988-8.96%-11.13%-8.26%$17,876$18,096$18,771-15.65%1.90%-3.87%3.62%
199894.67%4.57%5.07%$18,710$18,922$19,7236.68%1.96%1.60%2.97%
1998104.16%3.84%3.46%$19,488$19,648$20,4067.51%-0.55%-1.60%-2.03%
1998113.91%5.43%4.38%$20,251$20,715$21,3006.17%0.49%4.23%1.72%
1998124.12%4.01%3.94%$21,086$21,546$22,1406.45%0.38%-0.00%0.05%
199912.51%2.82%2.67%$21,614$22,154$22,7303.65%0.79%1.59%1.20%
19992-2.96%-2.51%-3.99%$20,975$21,598$21,824-3.73%-1.77%-0.65%-4.38%
199932.59%2.68%2.34%$21,518$22,176$22,3343.93%0.56%0.81%-0.13%
199943.01%3.34%2.94%$22,166$22,918$22,9904.68%0.40%1.30%0.13%
19995-1.57%-1.84%-1.89%$21,817$22,495$22,555-2.00%-0.88%-1.60%-1.71%
199962.99%2.96%2.75%$22,470$23,162$23,1755.16%-0.50%-0.49%-1.29%
19997-2.16%-1.98%-2.31%$21,985$22,704$22,641-3.20%-0.39%0.05%-0.72%
19998-0.60%-0.95%-0.74%$21,853$22,488$22,473-0.92%-0.08%-1.01%-0.43%
19999-1.04%-1.49%-1.24%$21,626$22,151$22,194-2.44%1.26%0.02%0.84%
1999103.98%3.89%4.04%$22,487$23,012$23,0906.29%0.33%0.12%0.26%
1999112.15%2.76%2.03%$22,970$23,648$23,5583.42%0.02%1.66%-0.45%
1999124.63%5.04%4.46%$24,035$24,840$24,6087.59%-0.48%0.71%-1.34%
20001-2.58%-2.82%-2.07%$23,415$24,140$24,097-4.18%-0.17%-0.77%1.09%
200021.98%1.56%2.43%$23,879$24,517$24,6842.54%1.18%0.14%2.28%
200033.94%3.03%4.36%$24,821$25,260$25,7615.69%1.40%-0.91%2.48%
20004-3.34%-2.90%-3.63%$23,993$24,526$24,825-5.21%-0.49%0.74%-1.32%
20005-2.08%-2.52%-2.42%$23,493$23,908$24,224-3.41%-0.16%-1.20%-1.03%
200063.47%3.63%3.74%$24,310$24,774$25,1304.42%2.15%2.47%2.80%
20007-0.79%-0.69%-0.40%$24,118$24,603$25,029-1.95%0.88%1.18%1.77%
200084.82%4.95%5.01%$25,281$25,821$26,2827.28%1.40%1.60%1.94%
20009-2.47%-3.35%-2.96%$24,655$24,955$25,505-4.67%0.76%-1.35%-0.53%
200010-0.95%-1.94%-0.77%$24,420$24,471$25,308-2.04%0.57%-1.79%0.96%
200011-5.03%-7.29%-4.56%$23,191$22,688$24,155-9.90%1.58%-3.46%2.50%
2000121.78%2.15%2.19%$23,605$23,176$24,6841.78%1.79%2.66%2.66%
200113.00%4.22%2.96%$24,313$24,155$25,4153.83%1.76%4.82%1.67%
20012-5.33%-5.36%-5.10%$23,016$22,862$24,119-9.41%0.91%0.67%1.51%
20013-3.66%-4.38%-4.04%$22,173$21,860$23,144-6.72%0.54%-1.25%-0.38%
200144.37%4.50%3.76%$23,142$22,843$24,0148.16%-0.46%-0.13%-1.88%
200150.89%0.91%1.02%$23,349$23,051$24,2591.01%0.73%0.77%1.04%
20016-0.73%-2.13%-0.62%$23,179$22,561$24,110-1.64%0.52%-2.80%0.82%
20017-0.04%-0.48%0.51%$23,169$22,453$24,233-1.71%2.23%1.23%3.57%
20018-2.92%-3.06%-2.57%$22,492$21,765$23,609-6.00%1.11%0.90%1.90%
20019-4.53%-7.12%-5.06%$21,473$20,216$22,415-9.00%0.89%-4.76%-0.31%
2001102.21%2.10%3.56%$21,947$20,641$23,2132.52%1.86%1.59%4.70%
2001113.37%5.46%2.38%$22,686$21,767$23,7657.63%-1.34%2.82%-3.28%
2001120.71%0.70%0.43%$22,848$21,920$23,8661.78%-0.58%-0.66%-1.20%
20021-0.47%-0.45%-0.17%$22,740$21,822$23,827-1.24%0.69%0.75%1.45%
20022-0.87%-1.54%-0.76%$22,542$21,487$23,645-2.05%0.85%-0.79%1.12%
200231.97%3.14%1.13%$22,987$22,162$23,9124.38%-1.46%1.35%-3.47%
20024-2.28%-2.34%-1.78%$22,463$21,643$23,487-4.90%1.69%1.48%3.00%
20025-0.38%-0.88%-0.49%$22,377$21,452$23,372-1.22%0.80%-0.41%0.54%
20026-3.98%-5.31%-4.04%$21,486$20,313$22,427-7.06%0.29%-2.87%0.15%
20027-4.30%-6.20%-3.93%$20,562$19,053$21,547-8.02%0.48%-3.78%1.35%
200281.05%1.16%2.38%$20,778$19,275$22,0600.53%1.66%1.97%4.55%
20029-4.71%-6.20%-3.78%$19,800$18,079$21,227-10.07%1.53%-1.36%3.29%
2002103.58%4.17%2.45%$20,509$18,833$21,7477.65%-0.61%0.20%-2.64%
2002113.21%5.32%3.37%$21,167$19,835$22,4796.06%0.02%4.41%0.45%
200212-2.07%-2.62%-1.09%$20,729$19,315$22,235-5.57%2.07%1.05%4.03%
20031-1.50%-0.90%-1.58%$20,417$19,141$21,883-2.54%0.05%1.56%-0.14%
20032-0.44%-0.46%0.22%$20,327$19,053$21,931-1.69%1.38%1.30%3.01%
200330.58%1.20%0.22%$20,445$19,281$21,9801.09%-0.13%1.36%-0.98%
200345.19%6.30%5.71%$21,507$20,496$23,2348.21%0.87%3.64%2.14%
200354.42%3.75%5.82%$22,458$21,265$24,5876.11%1.82%0.33%5.39%
200360.83%1.63%0.30%$22,644$21,611$24,6601.43%-0.13%1.92%-1.43%
200370.19%0.79%-1.95%$22,687$21,782$24,1802.36%-3.34%-1.60%-8.68%
200381.74%1.79%2.15%$23,081$22,171$24,7002.39%0.61%0.83%1.73%
200390.25%0.10%1.22%$23,140$22,193$25,002-1.15%2.71%2.11%5.41%
2003103.48%4.30%2.94%$23,946$23,147$25,7366.12%-0.96%1.45%-2.33%
2003110.98%1.27%1.11%$24,182$23,442$26,0211.38%0.27%1.10%0.62%
2003123.21%3.57%3.40%$24,958$24,278$26,9074.48%0.88%2.07%1.45%
200411.68%1.71%2.04%$25,378$24,693$27,4572.23%0.86%0.93%1.76%
200421.27%0.97%1.61%$25,701$24,931$27,8991.43%1.03%0.26%1.88%
20043-0.33%-0.34%-0.09%$25,616$24,845$27,873-1.07%0.80%0.77%1.37%
20044-2.31%-1.53%-3.46%$25,024$24,466$26,908-2.11%-2.61%-0.66%-5.45%
200450.64%0.16%0.53%$25,183$24,505$27,0521.35%-0.43%-1.60%-0.69%
200461.48%1.76%1.62%$25,557$24,937$27,4912.09%0.56%1.26%0.91%
20047-1.94%-1.87%-1.65%$25,062$24,470$27,038-3.80%0.96%1.11%1.72%
200480.97%0.96%1.73%$25,305$24,704$27,5050.31%1.94%1.91%3.83%
200491.10%1.53%1.38%$25,582$25,082$27,8851.74%0.16%1.22%0.86%
2004101.34%1.69%1.63%$25,926$25,505$28,3381.68%0.85%1.71%1.55%
2004112.48%2.88%2.01%$26,569$26,241$28,9074.68%-0.81%0.27%-1.85%
2004122.58%2.62%3.20%$27,255$26,928$29,8323.63%0.92%1.08%2.52%
20051-1.34%-1.67%-0.58%$26,888$26,477$29,657-2.68%0.65%-0.17%2.55%
200520.97%1.70%0.79%$27,149$26,928$29,8932.07%-0.63%1.16%-1.02%
20053-1.24%-2.12%-1.58%$26,812$26,356$29,421-1.75%-0.49%-2.68%-1.33%
20054-0.83%-1.61%-0.20%$26,588$25,932$29,364-2.32%1.35%-0.55%2.91%
200552.65%3.01%3.25%$27,292$26,713$30,3163.77%1.05%1.90%2.52%
200560.71%0.98%1.12%$27,484$26,974$30,6550.81%0.55%1.22%1.55%
200572.03%2.82%1.41%$28,043$27,735$31,0894.11%-0.99%0.92%-2.34%
20058-0.04%-0.47%0.54%$28,033$27,605$31,257-0.94%1.36%0.25%2.75%
200590.07%0.29%-0.80%$28,053$27,686$31,0060.86%-1.10%-0.56%-3.18%
200510-1.45%-1.34%-1.89%$27,647$27,315$30,419-1.86%-0.81%-0.54%-1.94%
2005112.58%2.75%2.69%$28,361$28,067$31,2363.97%0.48%0.91%0.77%
2005120.47%0.44%0.96%$28,494$28,192$31,5370.14%0.99%0.93%2.24%
200612.06%2.47%1.73%$29,080$28,888$32,0833.50%-0.11%0.92%-0.93%
200620.15%0.28%0.42%$29,123$28,968$32,2170.00%0.37%0.70%1.08%
200630.70%1.07%-0.30%$29,328$29,279$32,1211.80%-1.00%-0.04%-3.56%
200640.60%0.78%-0.02%$29,504$29,506$32,1151.11%-0.21%0.26%-1.86%
20065-2.03%-2.12%-2.09%$28,904$28,880$31,443-3.23%-0.09%-0.37%-0.17%
200660.15%-0.05%0.24%$28,946$28,865$31,5190.17%0.10%-0.40%0.36%
200670.45%0.23%0.69%$29,076$28,931$31,736-0.13%1.35%0.78%2.02%
200682.05%1.97%2.57%$29,671$29,500$32,5512.31%1.64%1.44%2.98%
200691.70%1.86%2.03%$30,175$30,050$33,2132.27%0.81%1.25%1.66%
2006102.44%2.51%2.61%$30,910$30,805$34,0803.53%0.72%0.94%1.14%
2006111.80%1.97%2.20%$31,468$31,414$34,8302.23%1.11%1.56%2.15%
2006120.52%1.05%-0.06%$31,632$31,745$34,8091.13%-0.48%0.93%-2.02%
200711.09%1.37%0.89%$31,978$32,179$35,1191.88%-0.08%0.60%-0.59%
20072-0.38%-0.37%0.26%$31,857$32,059$35,208-1.61%1.50%1.51%3.13%
200730.67%0.71%-0.02%$32,070$32,287$35,2001.11%0.02%0.13%-1.69%
200742.61%2.89%2.83%$32,907$33,222$36,1964.01%0.51%1.24%1.05%
200751.94%2.47%1.61%$33,545$34,043$36,7773.69%-0.78%0.61%-1.63%
20076-1.18%-1.90%-1.47%$33,149$33,394$36,236-1.67%-0.39%-2.27%-1.15%
20077-1.78%-3.37%-1.66%$32,560$32,270$35,634-3.41%0.84%-3.30%1.19%
200781.41%1.60%1.55%$33,019$32,787$36,1881.45%1.34%1.84%1.71%
200792.46%3.28%2.39%$33,831$33,864$37,0543.59%0.72%2.80%0.53%
2007101.49%1.31%1.82%$34,335$34,308$37,7301.85%0.93%0.46%1.78%
200711-2.02%-3.49%-1.82%$33,642$33,112$37,042-4.49%1.91%-1.87%2.44%
200712-0.27%-0.19%-0.46%$33,550$33,050$36,873-0.60%0.22%0.47%-0.24%
20081-2.97%-3.94%-3.16%$32,553$31,749$35,708-6.08%1.69%-0.72%1.22%
20082-1.70%-2.41%-1.86%$31,998$30,985$35,043-3.07%0.19%-1.46%-0.18%
20083-0.21%-0.43%-0.25%$31,932$30,851$34,954-0.58%0.30%-0.22%0.19%
200842.74%4.45%2.84%$32,805$32,223$35,9485.02%-0.30%3.65%-0.08%
200850.89%1.13%0.34%$33,098$32,587$36,0682.09%-0.79%-0.22%-2.14%
20086-4.84%-6.07%-4.58%$31,497$30,609$34,415-8.19%-0.01%-3.01%0.72%
20087-0.44%-0.92%-0.77%$31,359$30,326$34,150-0.77%0.00%-1.13%-0.77%
200881.20%1.20%1.45%$31,735$30,689$34,6461.58%0.70%0.67%1.28%
20089-5.75%-7.95%-7.05%$29,910$28,250$32,203-9.26%-1.10%-6.13%-4.08%
200810-10.81%-16.67%-13.05%$26,676$23,540$27,999-17.63%-2.53%-15.39%-7.24%
200811-2.21%-7.17%0.26%$26,088$21,852$28,072-7.90%3.64%-6.22%9.48%
2008122.62%4.75%6.70%$26,772$22,891$29,9531.86%3.32%8.46%11.30%
20091-5.23%-2.67%-7.45%$25,371$22,279$27,721-8.26%-0.70%5.71%-6.25%
20092-6.25%-7.17%-6.91%$23,786$20,683$25,804-10.45%-0.42%-2.89%-1.73%
200935.46%5.61%5.74%$25,085$21,842$27,2868.65%1.48%1.95%1.85%
200946.22%9.39%5.72%$26,644$23,893$28,84610.61%0.36%7.83%-1.26%
200953.55%4.93%3.81%$27,589$25,072$29,9455.38%0.85%4.35%1.30%
200960.42%0.92%1.27%$27,705$25,304$30,3260.34%0.54%1.70%2.82%
200975.30%6.94%6.23%$29,173$27,061$32,2177.82%1.43%5.79%3.66%
200982.63%2.20%3.05%$29,941$27,655$33,2003.63%1.01%0.29%2.08%
200993.09%4.20%3.64%$30,866$28,817$34,4074.23%1.19%4.17%2.63%
200910-1.47%-0.81%-1.96%$30,411$28,582$33,733-2.57%0.41%1.60%-0.90%
2009114.03%3.48%4.11%$31,637$29,578$35,1185.63%1.36%0.65%1.51%
2009121.20%2.82%0.58%$32,018$30,411$35,3212.86%-1.68%2.76%-3.48%
20101-1.47%-1.76%-1.20%$31,547$29,875$34,899-3.50%1.57%0.83%2.26%
201022.06%2.00%1.85%$32,195$30,472$35,5453.36%0.20%0.05%-0.29%
201033.70%4.83%3.56%$33,387$31,945$36,8116.27%-0.08%2.70%-0.42%
201041.74%2.00%2.50%$33,967$32,582$37,7322.17%1.06%1.72%3.02%
20105-4.56%-6.20%-4.27%$32,417$30,562$36,120-8.00%0.87%-3.42%1.52%
20106-2.68%-2.65%-1.62%$31,547$29,752$35,535-5.66%1.61%1.77%4.07%
201074.40%5.48%4.35%$32,937$31,382$37,0796.99%0.94%3.42%0.97%
20108-2.17%-2.66%-0.29%$32,221$30,547$36,973-4.75%1.48%0.28%5.74%
201095.40%6.60%4.68%$33,962$32,563$38,7039.47%-0.01%2.76%-1.15%
2010102.49%3.22%1.31%$34,806$33,612$39,2123.94%0.36%2.20%-2.23%
2010110.12%-0.34%-0.22%$34,848$33,499$39,1260.58%-0.57%-1.66%-1.36%
2010123.66%4.60%3.24%$36,124$35,039$40,3956.81%-1.15%1.32%-1.97%
201111.34%2.11%0.65%$36,610$35,779$40,6572.19%0.08%2.01%-1.66%
201122.24%2.66%2.77%$37,430$36,732$41,7843.60%0.16%1.25%1.49%
201130.27%0.38%0.21%$37,532$36,873$41,8730.45%-0.01%0.28%-0.16%
201142.34%2.45%2.78%$38,412$37,775$43,0362.99%1.32%1.61%2.44%
20115-0.22%-0.48%0.39%$38,328$37,595$43,205-1.16%1.30%0.59%2.90%
20116-1.24%-1.46%-1.85%$37,851$37,045$42,406-1.79%-0.39%-0.96%-1.95%
20117-0.77%-0.80%0.30%$37,558$36,749$42,533-2.28%1.58%1.46%4.30%
20118-3.01%-4.86%-1.76%$36,429$34,964$41,782-5.99%1.46%-3.19%4.37%
20119-4.13%-5.34%-1.55%$34,924$33,096$41,136-7.75%0.89%-1.91%6.56%
2011106.50%8.89%6.00%$37,195$36,038$43,60611.51%0.16%5.39%-0.22%
201111-0.29%-1.02%-0.55%$37,086$35,670$43,365-0.29%-0.30%-2.05%-0.89%
2011120.91%1.60%1.91%$37,424$36,241$44,1920.80%1.08%2.75%3.32%
201213.40%4.20%3.53%$38,696$37,762$45,7545.08%0.87%2.87%1.21%
201222.58%3.33%2.39%$39,694$39,018$46,8454.26%-0.05%1.90%-0.53%
201231.68%1.69%0.78%$40,360$39,677$47,2113.07%-0.58%-0.47%-2.95%
201240.01%-0.01%0.78%$40,365$39,674$47,578-0.65%1.14%1.04%3.26%
20125-3.53%-4.21%-2.11%$38,939$38,002$46,573-6.24%0.95%-0.99%4.76%
201262.39%3.18%2.14%$39,868$39,211$47,5693.91%0.04%2.08%-0.51%
201271.17%1.44%2.37%$40,333$39,777$48,6971.03%1.39%2.07%4.46%
201281.54%1.84%1.27%$40,953$40,508$49,3172.48%0.03%0.86%-0.55%
201291.64%2.03%1.24%$41,625$41,329$49,9282.58%0.11%1.17%-0.84%
201210-1.06%-0.68%-0.70%$41,184$41,048$49,581-1.76%0.11%1.01%1.01%
2012110.53%0.71%0.52%$41,403$41,339$49,8390.74%0.19%0.66%0.18%
2012120.67%1.25%0.33%$41,680$41,856$50,0031.19%-0.20%1.34%-1.03%
201313.01%3.57%2.34%$42,936$43,349$51,1725.50%-0.71%0.67%-2.40%
201320.99%0.89%1.16%$43,363$43,735$51,7641.28%0.54%0.29%0.96%
201332.42%2.70%2.35%$44,414$44,916$52,9813.88%0.08%0.82%-0.14%
201341.41%1.67%2.45%$45,038$45,665$54,2781.70%0.91%1.61%3.71%
201350.82%1.13%-0.55%$45,407$46,182$53,9782.32%-1.71%-0.81%-5.32%
20136-1.41%-1.90%-2.44%$44,766$45,304$52,660-1.27%-1.65%-2.96%-4.54%
201373.57%4.15%3.47%$46,362$47,183$54,4905.49%0.20%1.85%-0.25%
20138-2.06%-2.17%-2.38%$45,408$46,157$53,194-2.82%-0.64%-1.02%-1.51%
201392.70%2.69%2.68%$46,635$47,398$54,6173.66%0.96%0.99%0.76%
2013103.02%3.61%3.49%$48,041$49,110$56,5254.22%0.78%2.51%2.04%
2013111.77%1.97%1.41%$48,894$50,077$57,3202.88%-0.35%0.30%-1.59%
2013121.53%1.83%1.50%$49,643$50,991$58,1822.63%-0.65%0.32%-0.89%
20141-1.25%-1.60%0.03%$49,024$50,175$58,200-3.11%1.54%0.66%4.73%
201422.98%3.58%3.34%$50,486$51,973$60,1454.73%0.48%1.92%1.41%
201430.25%0.36%0.58%$50,611$52,162$60,4930.51%-0.15%0.14%0.67%
201440.35%0.28%0.90%$50,787$52,310$61,0390.06%0.77%0.61%2.10%
201451.72%1.68%2.32%$51,660$53,189$62,4552.17%1.05%0.95%2.53%
201461.57%1.76%1.53%$52,471$54,127$63,4092.54%0.11%0.61%0.12%
20147-1.30%-1.66%-1.02%$51,788$53,230$62,761-1.98%-0.26%-1.17%0.35%
201482.97%3.16%3.90%$53,326$54,914$65,2084.18%1.13%1.62%3.50%
20149-1.59%-2.02%-2.30%$52,481$53,804$63,709-2.14%-0.72%-1.84%-2.53%
2014102.03%2.44%2.44%$53,547$55,116$65,2662.74%0.94%1.97%2.03%
2014111.73%1.26%2.17%$54,471$55,809$66,6852.41%0.65%-0.54%1.84%
2014120.03%-0.14%0.64%$54,488$55,728$67,110-0.01%0.09%-0.37%1.56%
20151-0.74%-1.41%0.99%$54,086$54,943$67,775-2.77%2.31%0.64%6.64%
201522.94%4.20%1.83%$55,676$57,248$69,0155.76%-1.08%1.93%-3.55%
20153-0.46%-0.84%-0.43%$55,417$56,765$68,720-1.04%0.41%-0.55%0.49%
201540.11%0.63%-0.70%$55,477$57,124$68,2360.42%-0.36%0.95%-2.37%
201550.66%0.95%-0.01%$55,843$57,668$68,2291.39%-0.45%0.30%-2.14%
20156-1.43%-1.58%-2.41%$55,042$56,756$66,587-1.71%-1.01%-1.39%-3.50%
201571.29%1.10%2.03%$55,751$57,378$67,9421.63%0.76%0.29%2.68%
20158-3.80%-3.99%-4.27%$53,634$55,090$65,039-6.03%-0.36%-0.89%-1.49%
20159-1.43%-2.60%-1.31%$52,866$53,657$64,190-2.93%0.76%-2.12%1.16%
2015104.59%5.76%4.88%$55,290$56,746$67,3207.84%0.01%2.77%0.56%
2015110.22%-0.25%0.14%$55,411$56,603$67,4130.54%-0.27%-1.44%-0.49%
201512-1.37%-1.92%-1.66%$54,649$55,515$66,297-2.03%-0.38%-1.76%-1.07%
20161-2.83%-3.80%-2.48%$53,102$53,406$64,655-5.67%1.43%-0.99%2.31%
201620.25%0.16%0.79%$53,236$53,493$65,168-0.04%0.66%0.46%1.95%
201634.47%5.29%5.29%$55,614$56,325$68,6187.01%0.94%2.85%2.96%
201640.53%1.42%0.91%$55,907$57,127$69,2420.63%0.38%2.60%1.31%
201651.07%1.04%1.09%$56,507$57,722$69,9961.79%0.01%-0.05%0.10%
201660.91%0.46%2.24%$57,021$57,985$71,5660.23%1.94%0.80%5.11%
201672.61%3.17%3.37%$58,511$59,826$73,9813.95%0.64%2.03%2.59%
201680.09%0.82%0.11%$58,563$60,317$74,0600.26%-0.17%1.66%-0.10%
201690.06%0.34%-0.38%$58,596$60,521$73,7810.15%-0.09%0.62%-1.10%
201610-1.66%-1.20%-2.51%$57,624$59,793$71,928-2.21%-0.81%0.28%-2.93%
2016111.62%2.24%0.01%$58,555$61,131$71,9354.44%-2.64%-0.91%-6.22%
2016121.28%1.71%1.46%$59,305$62,176$72,9821.92%0.24%1.39%0.73%
201711.26%1.54%1.40%$60,054$63,136$74,0001.91%0.29%1.00%0.63%
201722.50%2.81%2.94%$61,557$64,907$76,1773.71%0.66%1.44%1.77%
201730.01%-0.05%-0.20%$61,565$64,878$76,0220.07%-0.07%-0.22%-0.62%
201740.94%1.15%1.22%$62,142$65,621$76,9511.05%0.76%1.29%1.49%
201750.88%0.99%1.36%$62,686$66,269$78,0001.01%0.67%0.96%1.92%
201760.57%0.67%0.93%$63,044$66,711$78,7260.92%0.01%0.27%0.95%
201771.30%1.58%1.25%$63,861$67,762$79,7131.87%0.39%1.12%0.31%
201780.42%0.13%0.90%$64,127$67,852$80,4330.15%0.85%0.11%2.09%
201791.31%1.80%1.08%$64,965$69,072$81,3002.45%-0.54%0.77%-1.03%
2017101.39%1.36%1.47%$65,866$70,011$82,4962.16%0.11%0.09%0.38%
2017111.85%1.78%2.07%$67,084$71,261$84,2083.04%-0.17%-0.27%0.51%
2017120.79%0.72%1.35%$67,617$71,776$85,3420.99%0.44%0.27%1.93%
201812.75%3.27%2.36%$69,474$74,121$87,3575.31%-1.09%0.21%-2.06%
20182-2.68%-2.71%-3.49%$67,612$72,116$84,307-3.72%-1.03%-1.11%-3.13%
20183-0.97%-1.43%-0.67%$66,957$71,084$83,738-1.99%0.63%-0.57%1.44%
20184-0.10%0.41%-0.56%$66,889$71,375$83,2670.38%-0.83%0.46%-2.02%
201851.93%1.52%2.07%$68,179$72,460$84,9902.79%0.61%-0.40%0.92%
201860.43%0.52%0.31%$68,469$72,841$85,2560.68%0.03%0.28%-0.28%
201872.05%2.50%2.19%$69,876$74,658$87,1253.34%0.03%1.18%0.33%
201882.33%2.50%2.39%$71,503$76,525$89,2083.44%0.52%0.99%0.62%
20189-0.10%0.27%-0.41%$71,429$76,732$88,8410.16%-0.54%0.45%-1.40%
201810-4.92%-5.19%-5.83%$67,916$72,748$83,661-7.40%-0.73%-1.58%-3.07%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value20.85%14.34%18.65%
Large-cap Growth28.37%34.46%29.70%
Mid-cap Value6.81%19.62%9.29%
Mid-cap Growth3.76%1.11%3.25%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth1.01%0.06%0.00%
Global ex-US Developed Markets0.04%1.54%0.01%
Emerging Markets0.99%2.53%2.01%
Corporate Bonds5.45%15.72%16.32%
Long-Term Treasuries0.78%0.00%20.76%
Intermediate-Term Treasuries11.14%0.00%0.00%
Short-Term Treasuries20.81%10.61%0.00%
R Squared99.71%97.06%99.23%
Style analysis is based on monthly returns from Apr 2005 to Oct 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$45,49497.72%
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond6.240.15%40.00%$12,4222.28%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$45,23279.92%
VWEHXVanguard High-Yield Corporate InvHigh Yield Bond4.460.23%40.00%$17,51620.08%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$52,54186.51%
VBLTXVanguard Long-Term Bond Index InvestorLong-Term Bond14.650.15%40.00%$21,12013.49%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 2018 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)0.70%0.75%0.78%
Arithmetic Mean (annualized)8.79%9.33%9.81%
Geometric Mean (monthly)0.67%0.70%0.75%
Geometric Mean (annualized)8.37%8.68%9.32%
Volatility (monthly)2.56%3.14%2.71%
Volatility (annualized)8.86%10.88%9.40%
Downside Deviation (monthly)1.64%2.13%1.74%
Max. Drawdown-30.72%-39.71%-31.61%
US Market Correlation0.990.980.92
Beta(*)0.590.720.58
Alpha (annualized)2.31%1.45%3.30%
R297.03%95.89%84.60%
Sharpe Ratio0.700.610.75
Sortino Ratio1.030.871.12
Treynor Ratio (%)10.499.2912.19
Information Ratio-0.32-0.32-0.15
Diversification Ratio1.161.081.32
Skewness-0.77-1.07-0.88
Excess Kurtosis1.523.622.40
Historical Value-at-Risk (5%)-4.08%-5.27%-4.02%
Analytical Value-at-Risk (5%)-3.57%-4.44%-3.74%
Conditional Value-at-Risk (5%)-5.67%-7.51%-6.04%
Upside Capture Ratio (%)62.6073.0764.61
Downside Capture Ratio (%)55.4769.2153.16
Positive Periods192 out of 286 (67.13%)189 out of 286 (66.08%)190 out of 286 (66.43%)
Gain/Loss Ratio0.980.951.05
* 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 1998-2.69%-2.42%-3.41%
Russian Debt DefaultJul 1998Oct 1998-10.18%-12.12%-9.75%
Dotcom CrashMar 2000Oct 2002-21.68%-29.98%-19.23%
Subprime CrisisNov 2007Mar 2009-30.72%-39.71%-31.61%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-10.18%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
5Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
6Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
7Sep 2018Oct 20182 months-5.02%
8Jul 1999Sep 19993 monthsOct 19991 month4 months-3.76%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
10May 2012May 20121 monthAug 20123 months4 months-3.53%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-39.71%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-29.98%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.39%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-12.12%
5Jun 2015Jan 20168 monthsMay 20164 months1 year-7.39%
6Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.21%
8Oct 2018Oct 20181 month-5.19%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-4.36%
10Apr 2012May 20122 monthsJul 20122 months4 months-4.22%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-31.61%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-19.23%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.75%
4Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-6.99%
5Sep 2018Oct 20182 months-6.22%
6Apr 2000May 20002 monthsAug 20003 months5 months-5.97%
7May 2010Jun 20102 monthsSep 20103 months5 months-5.82%
8Jun 2011Sep 20114 monthsOct 20111 month5 months-4.79%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-4.68%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-4.23%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.76%14.87%35.79%-37.04%-50.89%0.550.791.00
VBMFXVanguard Total Bond Market Index Inv5.17%3.50%18.18%-2.41%-3.99%0.811.35-0.02
VWEHXVanguard High-Yield Corporate Inv6.59%7.06%39.09%-21.29%-28.90%0.610.870.64
VBLTXVanguard Long-Term Bond Index Investor7.25%8.72%29.72%-9.13%-11.93%0.580.94-0.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVWEHXVBLTXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv--0.020.64-0.020.990.980.92
VBMFXVanguard Total Bond Market Index Inv-0.02-0.290.930.150.060.34
VWEHXVanguard High-Yield Corporate Inv0.640.29-0.270.660.780.69
VBLTXVanguard Long-Term Bond Index Investor-0.020.930.27-0.130.050.37

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$45,494$45,232$52,541
VBMFXVanguard Total Bond Market Index Inv$12,422
VWEHXVanguard High-Yield Corporate Inv$17,516
VBLTXVanguard Long-Term Bond Index Investor$21,120

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv97.72%79.92%86.51%
VBMFXVanguard Total Bond Market Index Inv2.28%
VWEHXVanguard High-Yield Corporate Inv20.08%
VBLTXVanguard Long-Term Bond Index Investor13.49%

Annual Asset Returns