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 
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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 1992 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWAHX Vanguard High-Yield Tax-Exempt 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$40,509 5.32% 4.73%20.44%-4.33%-6.47% 0.621.01-0.16
Portfolio 2$10,000$42,240 5.48% 4.86%20.13%-10.45%-11.56% 0.620.950.12
   
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
  • 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.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard Interm-Term Treasury Inv (VFITX)Vanguard High-Yield Tax-Exempt (VWAHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19922.90%7.78%9.88%$10,778$10,9886.80% [$680]9.47% [$947]7.78%9.88%
19932.75%11.43%12.66%$12,010$12,37910.21% [$1,100]8.49% [$933]11.43%12.66%
19942.67%-4.33%-5.07%$11,490$11,7525.97% [$717]7.52% [$931]-4.33%-5.07%
19952.54%20.44%18.13%$13,839$13,8827.11% [$816]6.50% [$764]20.44%18.13%
19963.32%1.92%4.46%$14,105$14,5016.13% [$848]5.61% [$778]1.92%4.46%
19971.70%8.96%9.24%$15,369$15,8406.41% [$904]6.29% [$912]8.96%9.24%
19981.61%10.61%6.45%$16,998$16,8626.07% [$934]6.09% [$965]10.61%6.45%
19992.68%-3.52%-3.38%$16,400$16,2925.75% [$978]5.36% [$903]-3.52%-3.38%
20003.39%14.03%10.73%$18,701$18,0406.59% [$1,081]5.95% [$970]14.03%10.73%
20011.55%7.55%5.34%$20,112$19,0045.90% [$1,104]5.62% [$1,013]7.55%5.34%
20022.38%14.15%7.30%$22,958$20,3927.07% [$1,422]5.46% [$1,038]14.15%7.30%
20031.88%2.37%6.35%$23,502$21,6875.77% [$1,325]4.98% [$1,016]2.37%6.35%
20043.26%3.40%4.98%$24,301$22,7684.66% [$1,094]4.76% [$1,032]3.40%4.98%
20053.42%2.32%4.34%$24,864$23,7575.31% [$1,292]4.63% [$1,054]2.32%4.34%
20062.54%3.14%5.53%$25,644$25,0704.68% [$1,163]4.66% [$1,106]3.14%5.53%
20074.08%9.98%1.57%$28,203$25,4634.68% [$1,201]4.66% [$1,168]9.98%1.57%
20080.09%13.32%-10.45%$31,961$22,8026.17% [$1,741]4.77% [$1,216]13.32%-10.45%
20092.72%-1.69%20.13%$31,422$27,3926.86% [$2,191]5.45% [$1,243]-1.69%20.13%
20101.50%7.35%2.55%$33,733$28,0905.22% [$1,640]4.65% [$1,273]7.35%2.55%
20112.96%9.80%10.98%$37,037$31,1746.50% [$2,194]4.66% [$1,310]9.80%10.98%
20121.74%2.67%9.36%$38,028$34,0922.67% [$989]3.99% [$1,244]2.67%9.36%
20131.50%-3.09%-3.22%$36,854$32,9951.92% [$728]3.90% [$1,330]-3.09%-3.22%
20140.76%4.32%11.62%$38,445$36,8282.06% [$757]4.11% [$1,355]4.32%11.62%
20150.73%1.50%4.13%$39,024$38,3502.50% [$962]3.75% [$1,381]1.50%4.13%
20162.07%1.19%0.83%$39,487$38,6692.75% [$1,075]3.71% [$1,424]1.19%0.83%
20172.11%1.57%7.84%$40,107$41,7011.76% [$697]3.88% [$1,500]1.57%7.84%
20181.91%1.00%1.29%$40,509$42,2402.33% [$934]3.74% [$1,562]1.00%1.29%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard High-Yield Tax-Exempt (VWAHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19921-2.15%-0.37%$9,785$9,963-2.15%-0.37%
199220.52%0.17%$9,836$9,9800.52%0.17%
19923-0.91%0.10%$9,746$9,990-0.91%0.10%
199240.57%1.07%$9,801$10,0970.57%1.07%
199252.18%1.83%$10,014$10,2812.18%1.83%
199261.82%1.88%$10,197$10,4741.82%1.88%
199273.07%4.21%$10,511$10,9153.07%4.21%
199281.20%-2.08%$10,637$10,6881.20%-2.08%
199291.73%0.17%$10,821$10,7061.73%0.17%
199210-1.71%-2.07%$10,636$10,485-1.71%-2.07%
199211-0.46%3.26%$10,587$10,826-0.46%3.26%
1992121.80%1.49%$10,778$10,9881.80%1.49%
199312.72%1.01%$11,071$11,0992.72%1.01%
199322.53%4.65%$11,351$11,6152.53%4.65%
199330.40%-1.78%$11,397$11,4080.40%-1.78%
199340.93%1.71%$11,503$11,6040.93%1.71%
19935-0.15%0.59%$11,486$11,673-0.15%0.59%
199362.20%1.51%$11,739$11,8482.20%1.51%
199370.02%-0.58%$11,741$11,7790.02%-0.58%
199382.18%2.61%$11,997$12,0862.18%2.61%
199390.62%1.11%$12,072$12,2210.62%1.11%
1993100.09%0.21%$12,083$12,2470.09%0.21%
199311-1.16%-0.95%$11,943$12,130-1.16%-0.95%
1993120.56%2.05%$12,010$12,3790.56%2.05%
199411.49%1.11%$12,188$12,5161.49%1.11%
19942-2.46%-2.16%$11,888$12,245-2.46%-2.16%
19943-2.62%-4.07%$11,577$11,747-2.62%-4.07%
19944-0.92%0.80%$11,470$11,840-0.92%0.80%
199450.18%1.37%$11,491$12,0020.18%1.37%
19946-0.33%-0.95%$11,452$11,888-0.33%-0.95%
199471.70%1.97%$11,647$12,1221.70%1.97%
199480.30%0.22%$11,682$12,1490.30%0.22%
19949-1.79%-2.18%$11,474$11,884-1.79%-2.18%
199410-0.26%-2.14%$11,443$11,630-0.26%-2.14%
199411-0.38%-2.01%$11,400$11,397-0.38%-2.01%
1994120.79%3.11%$11,490$11,7520.79%3.11%
199511.94%3.25%$11,713$12,1341.94%3.25%
199522.58%3.40%$12,016$12,5472.58%3.40%
199530.57%1.00%$12,085$12,6720.57%1.00%
199541.56%-0.19%$12,273$12,6491.56%-0.19%
199554.74%3.65%$12,854$13,1114.74%3.65%
199560.81%-1.43%$12,958$12,9230.81%-1.43%
19957-0.61%0.98%$12,880$13,050-0.61%0.98%
199581.31%1.17%$13,049$13,2031.31%1.17%
199590.90%0.38%$13,166$13,2540.90%0.38%
1995101.76%1.64%$13,399$13,4721.76%1.64%
1995111.82%1.80%$13,642$13,7141.82%1.80%
1995121.44%1.23%$13,839$13,8821.44%1.23%
199610.69%0.38%$13,935$13,9340.69%0.38%
19962-2.38%-0.49%$13,604$13,866-2.38%-0.49%
19963-1.09%-1.50%$13,455$13,657-1.09%-1.50%
19964-1.03%-0.40%$13,316$13,603-1.03%-0.40%
19965-0.44%0.39%$13,258$13,656-0.44%0.39%
199661.51%1.24%$13,458$13,8251.51%1.24%
199670.14%0.75%$13,477$13,9290.14%0.75%
19968-0.35%-0.11%$13,430$13,914-0.35%-0.11%
199691.91%1.61%$13,686$14,1381.91%1.61%
1996102.48%1.04%$14,026$14,2852.48%1.04%
1996112.04%1.88%$14,312$14,5542.04%1.88%
199612-1.45%-0.36%$14,105$14,501-1.45%-0.36%
199710.06%-0.08%$14,113$14,4890.06%-0.08%
199720.10%0.71%$14,126$14,5930.10%0.71%
19973-1.30%-1.13%$13,942$14,428-1.30%-1.13%
199741.61%0.85%$14,167$14,5501.61%0.85%
199750.83%1.62%$14,285$14,7860.83%1.62%
199761.00%1.12%$14,429$14,9511.00%1.12%
199772.85%2.62%$14,840$15,3432.85%2.62%
19978-0.99%-0.74%$14,692$15,229-0.99%-0.74%
199791.47%1.19%$14,908$15,4101.47%1.19%
1997101.66%0.44%$15,155$15,4781.66%0.44%
1997110.31%0.55%$15,203$15,5630.31%0.55%
1997121.09%1.78%$15,369$15,8401.09%1.78%
199811.73%1.00%$15,634$15,9981.73%1.00%
19982-0.38%0.13%$15,574$16,018-0.38%0.13%
199830.14%0.17%$15,595$16,0450.14%0.17%
199840.49%-0.67%$15,671$15,9380.49%-0.67%
199850.98%1.74%$15,825$16,2160.98%1.74%
199860.95%0.34%$15,976$16,2710.95%0.34%
199870.22%0.36%$16,011$16,3290.22%0.36%
199883.20%1.46%$16,522$16,5683.20%1.46%
199893.64%1.17%$17,124$16,7613.64%1.17%
199810-0.77%-0.10%$16,992$16,745-0.77%-0.10%
199811-0.35%0.34%$16,933$16,801-0.35%0.34%
1998120.38%0.36%$16,998$16,8620.38%0.36%
199910.65%1.17%$17,110$17,0600.65%1.17%
19992-3.07%-0.33%$16,585$17,004-3.07%-0.33%
199930.58%-0.02%$16,681$17,0010.58%-0.02%
199940.28%0.43%$16,729$17,0730.28%0.43%
19995-1.37%-0.65%$16,500$16,962-1.37%-0.65%
19996-0.26%-1.60%$16,456$16,691-0.26%-1.60%
19997-0.45%0.27%$16,382$16,736-0.45%0.27%
19998-0.07%-1.24%$16,371$16,528-0.07%-1.24%
199991.08%-0.12%$16,548$16,5081.08%-0.12%
1999100.12%-1.37%$16,568$16,2820.12%-1.37%
199911-0.08%0.86%$16,555$16,422-0.08%0.86%
199912-0.94%-0.79%$16,400$16,292-0.94%-0.79%
20001-0.46%-1.20%$16,324$16,097-0.46%-1.20%
200021.00%1.49%$16,488$16,3361.00%1.49%
200032.04%2.31%$16,824$16,7132.04%2.31%
20004-0.26%-0.51%$16,781$16,627-0.26%-0.51%
200050.16%-0.69%$16,807$16,5130.16%-0.69%
200062.20%2.60%$17,177$16,9412.20%2.60%
200070.62%1.46%$17,285$17,1890.62%1.46%
200081.62%1.64%$17,564$17,4721.62%1.64%
200090.89%-0.41%$17,721$17,4000.89%-0.41%
2000100.90%0.86%$17,881$17,5500.90%0.86%
2000112.14%0.46%$18,264$17,6312.14%0.46%
2000122.39%2.32%$18,701$18,0402.39%2.32%
200111.33%0.85%$18,949$18,1931.33%0.85%
200121.26%0.80%$19,188$18,3391.26%0.80%
200130.50%1.23%$19,284$18,5640.50%1.23%
20014-1.16%-0.96%$19,061$18,386-1.16%-0.96%
200150.22%1.23%$19,103$18,6120.22%1.23%
200160.30%0.92%$19,160$18,7830.30%0.92%
200172.73%1.30%$19,683$19,0282.73%1.30%
200181.11%1.85%$19,901$19,3791.11%1.85%
200192.41%-1.23%$20,381$19,1422.41%-1.23%
2001102.22%0.64%$20,833$19,2642.22%0.64%
200111-2.32%-0.59%$20,349$19,151-2.32%-0.59%
200112-1.16%-0.77%$20,112$19,004-1.16%-0.77%
200210.45%1.23%$20,203$19,2370.45%1.23%
200221.29%0.98%$20,464$19,4251.29%0.98%
20023-2.30%-1.15%$19,993$19,201-2.30%-1.15%
200242.62%1.59%$20,517$19,5062.62%1.59%
200251.04%0.74%$20,730$19,6501.04%0.74%
200261.72%0.91%$21,086$19,8291.72%0.91%
200272.66%0.83%$21,646$19,9942.66%0.83%
200282.42%0.54%$22,170$20,1012.42%0.54%
200293.03%1.82%$22,841$20,4673.03%1.82%
200210-0.70%-2.42%$22,681$19,971-0.70%-2.42%
200211-1.32%0.05%$22,381$19,981-1.32%0.05%
2002122.58%2.06%$22,958$20,3922.58%2.06%
20031-0.49%-0.60%$22,844$20,270-0.49%-0.60%
200321.77%1.34%$23,249$20,5411.77%1.34%
20033-0.19%-0.05%$23,206$20,531-0.19%-0.05%
200340.24%1.07%$23,262$20,7500.24%1.07%
200352.74%2.56%$23,898$21,2812.74%2.56%
20036-0.43%-0.25%$23,795$21,228-0.43%-0.25%
20037-3.87%-2.73%$22,873$20,648-3.87%-2.73%
200380.19%0.80%$22,916$20,8130.19%0.80%
200393.09%2.49%$23,623$21,3313.09%2.49%
200310-1.36%-0.25%$23,303$21,278-1.36%-0.25%
2003110.01%1.14%$23,304$21,5210.01%1.14%
2003120.85%0.77%$23,502$21,6870.85%0.77%
200410.81%0.31%$23,693$21,7540.81%0.31%
200421.23%1.66%$23,983$22,1161.23%1.66%
200431.06%-0.52%$24,239$22,0011.06%-0.52%
20044-3.25%-2.01%$23,451$21,557-3.25%-2.01%
20045-0.51%0.12%$23,331$21,584-0.51%0.12%
200460.54%0.39%$23,458$21,6690.54%0.39%
200470.91%1.16%$23,671$21,9200.91%1.16%
200482.07%1.81%$24,162$22,3172.07%1.81%
200490.19%0.66%$24,207$22,4650.19%0.66%
2004100.91%0.85%$24,427$22,6570.91%0.85%
200411-1.48%-0.82%$24,067$22,470-1.48%-0.82%
2004120.97%1.33%$24,301$22,7680.97%1.33%
200510.56%1.13%$24,437$23,0250.56%1.13%
20052-0.98%-0.39%$24,197$22,935-0.98%-0.39%
20053-0.51%-0.81%$24,074$22,749-0.51%-0.81%
200541.75%1.60%$24,495$23,1131.75%1.60%
200551.20%1.04%$24,788$23,3521.20%1.04%
200560.55%0.56%$24,925$23,4820.55%0.56%
20057-1.41%-0.35%$24,574$23,399-1.41%-0.35%
200581.65%1.12%$24,979$23,6611.65%1.12%
20059-1.14%-0.64%$24,693$23,509-1.14%-0.64%
200510-0.79%-0.55%$24,498$23,381-0.79%-0.55%
2005110.48%0.56%$24,614$23,5120.48%0.56%
2005121.01%1.04%$24,864$23,7571.01%1.04%
20061-0.34%0.30%$24,781$23,827-0.34%0.30%
200620.09%0.81%$24,802$24,0210.09%0.81%
20063-0.99%-0.63%$24,557$23,869-0.99%-0.63%
20064-0.37%0.00%$24,466$23,870-0.37%0.00%
200650.02%0.58%$24,470$24,0080.02%0.58%
200660.10%-0.46%$24,495$23,8970.10%-0.46%
200671.35%1.33%$24,826$24,2161.35%1.33%
200681.62%1.51%$25,229$24,5811.62%1.51%
200690.94%0.74%$25,465$24,7630.94%0.74%
2006100.57%0.66%$25,612$24,9270.57%0.66%
2006111.12%0.83%$25,898$25,1341.12%0.83%
200612-0.98%-0.25%$25,644$25,070-0.98%-0.25%
20071-0.26%-0.16%$25,578$25,030-0.26%-0.16%
200721.86%1.19%$26,054$25,3261.86%1.19%
200730.03%-0.16%$26,060$25,2860.03%-0.16%
200740.57%0.28%$26,208$25,3570.57%0.28%
20075-1.18%-0.44%$25,897$25,245-1.18%-0.44%
20076-0.18%-0.46%$25,850$25,130-0.18%-0.46%
200771.81%0.30%$26,318$25,2061.81%0.30%
200781.97%-1.01%$26,836$24,9511.97%-1.01%
200790.46%1.53%$26,960$25,3330.46%1.53%
2007100.84%0.30%$27,185$25,4090.84%0.30%
2007113.46%0.29%$28,126$25,4823.46%0.29%
2007120.27%-0.08%$28,203$25,4630.27%-0.08%
200813.10%1.25%$29,077$25,7813.10%1.25%
200821.35%-5.17%$29,470$24,4481.35%-5.17%
200830.93%2.70%$29,743$25,1090.93%2.70%
20084-2.14%1.27%$29,108$25,427-2.14%1.27%
20085-1.32%0.79%$28,723$25,626-1.32%0.79%
200860.77%-1.05%$28,944$25,3570.77%-1.05%
200870.77%0.01%$29,168$25,3600.77%0.01%
200880.98%0.99%$29,452$25,6110.98%0.99%
200890.51%-5.14%$29,603$24,2940.51%-5.14%
200810-1.36%-3.99%$29,201$23,325-1.36%-3.99%
2008115.58%-0.97%$30,832$23,1005.58%-0.97%
2008123.66%-1.29%$31,961$22,8023.66%-1.29%
20091-2.39%4.69%$31,197$23,871-2.39%4.69%
20092-0.58%0.94%$31,015$24,094-0.58%0.94%
200933.20%-0.31%$32,009$24,0203.20%-0.31%
20094-1.76%3.10%$31,448$24,765-1.76%3.10%
20095-1.10%2.82%$31,100$25,464-1.10%2.82%
20096-0.37%-0.72%$30,985$25,281-0.37%-0.72%
200970.60%1.55%$31,169$25,6720.60%1.55%
200980.89%2.75%$31,447$26,3780.89%2.75%
200990.92%5.15%$31,737$27,7370.92%5.15%
2009100.25%-2.37%$31,817$27,0780.25%-2.37%
2009111.96%0.38%$32,439$27,1801.96%0.38%
200912-3.13%0.78%$31,422$27,392-3.13%0.78%
201011.97%0.68%$32,041$27,5801.97%0.68%
201020.40%0.93%$32,170$27,8370.40%0.93%
20103-0.91%0.10%$31,878$27,865-0.91%0.10%
201041.23%1.25%$32,271$28,2121.23%1.25%
201051.85%0.67%$32,868$28,4021.85%0.67%
201062.07%-0.11%$33,547$28,3712.07%-0.11%
201071.07%1.24%$33,907$28,7241.07%1.24%
201082.00%2.66%$34,585$29,4872.00%2.66%
201090.36%0.07%$34,711$29,5090.36%0.07%
2010100.45%-0.20%$34,867$29,4510.45%-0.20%
201011-0.98%-2.64%$34,524$28,672-0.98%-2.64%
201012-2.29%-2.03%$33,733$28,090-2.29%-2.03%
201110.29%-1.18%$33,832$27,7580.29%-1.18%
20112-0.43%1.47%$33,686$28,168-0.43%1.47%
20113-0.12%-0.30%$33,646$28,083-0.12%-0.30%
201141.60%1.59%$34,185$28,5301.60%1.59%
201151.77%2.08%$34,789$29,1221.77%2.08%
20116-0.16%0.76%$34,732$29,344-0.16%0.76%
201172.18%1.16%$35,488$29,6852.18%1.16%
201182.70%1.24%$36,448$30,0532.70%1.24%
201190.73%1.49%$36,715$30,5020.73%1.49%
201110-0.42%-0.30%$36,562$30,410-0.42%-0.30%
2011110.29%0.53%$36,669$30,5730.29%0.53%
2011121.00%1.97%$37,037$31,1741.00%1.97%
201210.81%2.77%$37,336$32,0390.81%2.77%
20122-0.65%0.40%$37,092$32,166-0.65%0.40%
20123-0.79%-0.40%$36,798$32,037-0.79%-0.40%
201241.50%1.24%$37,350$32,4341.50%1.24%
201251.24%1.06%$37,814$32,7781.24%1.06%
20126-0.22%0.04%$37,730$32,792-0.22%0.04%
201270.86%1.76%$38,056$33,3710.86%1.76%
201280.10%0.31%$38,094$33,4740.10%0.31%
20129-0.06%0.65%$38,071$33,692-0.06%0.65%
201210-0.32%0.57%$37,950$33,885-0.32%0.57%
2012110.62%1.89%$38,184$34,5260.62%1.89%
201212-0.41%-1.26%$38,028$34,092-0.41%-1.26%
20131-0.74%0.58%$37,747$34,291-0.74%0.58%
201320.71%0.47%$38,016$34,4510.71%0.47%
201330.27%-0.38%$38,120$34,3190.27%-0.38%
201340.71%1.02%$38,391$34,6670.71%1.02%
20135-1.84%-1.01%$37,684$34,317-1.84%-1.01%
20136-1.62%-3.53%$37,073$33,106-1.62%-3.53%
201370.13%-1.24%$37,120$32,6960.13%-1.24%
20138-1.02%-1.91%$36,742$32,071-1.02%-1.91%
201391.47%2.57%$37,281$32,8961.47%2.57%
2013100.49%0.83%$37,462$33,1690.49%0.83%
201311-0.14%-0.22%$37,411$33,095-0.14%-0.22%
201312-1.49%-0.30%$36,854$32,995-1.49%-0.30%
201411.67%2.55%$37,468$33,8371.67%2.55%
201420.21%1.43%$37,546$34,3220.21%1.43%
20143-0.60%0.35%$37,321$34,441-0.60%0.35%
201440.49%1.44%$37,505$34,9350.49%1.44%
201451.03%1.70%$37,891$35,5281.03%1.70%
20146-0.13%-0.05%$37,842$35,510-0.13%-0.05%
20147-0.39%0.14%$37,694$35,560-0.39%0.14%
201481.03%1.50%$38,083$36,0921.03%1.50%
20149-0.66%0.21%$37,834$36,169-0.66%0.21%
2014101.12%0.76%$38,258$36,4431.12%0.76%
2014110.84%0.30%$38,581$36,5520.84%0.30%
201412-0.35%0.76%$38,445$36,828-0.35%0.76%
201512.70%2.00%$39,482$37,5632.70%2.00%
20152-1.59%-1.03%$38,856$37,175-1.59%-1.03%
201530.76%0.31%$39,152$37,2900.76%0.31%
20154-0.21%-0.50%$39,069$37,106-0.21%-0.50%
20155-0.12%-0.31%$39,022$36,990-0.12%-0.31%
20156-0.74%-0.32%$38,734$36,872-0.74%-0.32%
201570.85%0.77%$39,061$37,1570.85%0.77%
20158-0.03%0.32%$39,048$37,276-0.03%0.32%
201591.19%0.67%$39,511$37,5261.19%0.67%
201510-0.47%0.49%$39,325$37,709-0.47%0.49%
201511-0.39%0.75%$39,172$37,994-0.39%0.75%
201512-0.38%0.94%$39,024$38,350-0.38%0.94%
201612.36%1.10%$39,944$38,7742.36%1.10%
201620.82%0.02%$40,270$38,7830.82%0.02%
201630.22%0.75%$40,359$39,0730.22%0.75%
20164-0.13%0.91%$40,307$39,429-0.13%0.91%
20165-0.21%0.74%$40,223$39,722-0.21%0.74%
201662.05%2.11%$41,046$40,5612.05%2.11%
201670.04%-0.04%$41,064$40,5430.04%-0.04%
20168-0.72%0.38%$40,767$40,696-0.72%0.38%
201690.29%-0.48%$40,884$40,4990.29%-0.48%
201610-0.73%-1.16%$40,583$40,029-0.73%-1.16%
201611-2.65%-4.41%$39,508$38,262-2.65%-4.41%
201612-0.05%1.06%$39,487$38,669-0.05%1.06%
201710.30%0.51%$39,607$38,8660.30%0.51%
201720.39%0.75%$39,763$39,1560.39%0.75%
201730.07%0.41%$39,789$39,3190.07%0.41%
201740.77%0.85%$40,097$39,6540.77%0.85%
201750.59%1.76%$40,335$40,3500.59%1.76%
20176-0.47%-0.05%$40,143$40,331-0.47%-0.05%
201770.42%0.94%$40,311$40,7090.42%0.94%
201780.86%1.11%$40,658$41,1600.86%1.11%
20179-0.83%-0.23%$40,319$41,066-0.83%-0.23%
201710-0.21%0.31%$40,236$41,192-0.21%0.31%
201711-0.39%0.04%$40,080$41,207-0.39%0.04%
2017120.07%1.20%$40,107$41,7010.07%1.20%
20181-1.56%-1.17%$39,483$41,213-1.56%-1.17%
20182-0.49%-0.42%$39,291$41,040-0.49%-0.42%
201830.75%0.59%$39,584$41,2800.75%0.59%
20184-0.92%-0.31%$39,221$41,151-0.92%-0.31%
201850.76%1.31%$39,518$41,6880.76%1.31%
201860.11%0.13%$39,560$41,7430.11%0.13%
20187-0.35%0.23%$39,421$41,839-0.35%0.23%
201880.77%0.32%$39,724$41,9710.77%0.32%
20189-0.82%-0.67%$39,400$41,689-0.82%-0.67%
201810-0.06%-0.85%$39,375$41,335-0.06%-0.85%
2018110.96%0.95%$39,754$41,7280.96%0.95%
2018121.90%1.23%$40,509$42,2401.90%1.23%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%3.01%
Mid-cap Value0.48%0.00%
Mid-cap Growth0.00%3.55%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.95%0.00%
Emerging Markets0.32%0.99%
Corporate Bonds0.00%19.58%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries63.92%13.02%
Short-Term Treasuries34.33%59.85%
R Squared97.44%13.27%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.220.20%100.00%$30,509100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWAHXVanguard High-Yield Tax-ExemptMuni National Long7.070.17%100.00%$32,240100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2019. © 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 2
Arithmetic Mean (monthly)0.44%0.46%
Arithmetic Mean (annualized)5.43%5.60%
Geometric Mean (monthly)0.43%0.45%
Geometric Mean (annualized)5.32%5.48%
Volatility (monthly)1.36%1.40%
Volatility (annualized)4.73%4.86%
Downside Deviation (monthly)0.73%0.84%
Max. Drawdown-6.47%-11.56%
US Market Correlation-0.160.12
Beta(*)-0.050.04
Alpha (annualized)5.82%5.07%
R22.61%1.43%
Sharpe Ratio0.620.62
Sortino Ratio1.010.95
Treynor Ratio (%)-54.1875.12
Calmar Ratio0.280.55
Active Return-3.69%-3.53%
Tracking Error15.82%14.59%
Information Ratio-0.23-0.24
Skewness0.06-0.49
Excess Kurtosis0.702.43
Historical Value-at-Risk (5%)-1.78%-2.03%
Analytical Value-at-Risk (5%)-1.80%-1.85%
Conditional Value-at-Risk (5%)-2.54%-3.07%
Upside Capture Ratio (%)10.0016.96
Downside Capture Ratio (%)-17.52-5.45
Sustainable Withdrawal Rate6.13%5.86%
Positive Periods207 out of 324 (63.89%)219 out of 324 (67.59%)
Gain/Loss Ratio1.311.13
* 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 2
Asian CrisisJul 1997Jan 1998-0.99%-0.74%
Russian Debt DefaultJul 1998Oct 1998-0.77%-0.10%
Dotcom CrashMar 2000Oct 2002-4.03%-2.42%
Subprime CrisisNov 2007Mar 2009-3.43%-11.56%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-6.47%
2Feb 1996May 19964 monthsOct 19965 months9 months-4.86%
3Oct 1998Jan 20001 year 4 monthsJun 20005 months1 year 9 months-4.67%
4Aug 2016Apr 20181 year 9 months-4.49%
5May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
6Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
7Nov 2001Mar 20025 monthsJun 20023 months8 months-4.03%
8Apr 2004May 20042 monthsOct 20045 months7 months-3.74%
9Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
10Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
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-11.56%
2Feb 1994Nov 199410 monthsFeb 19953 months1 year 1 month-8.94%
3May 2013Aug 20134 monthsApr 20148 months1 year-7.49%
4Sep 2016Nov 20163 monthsJul 20178 months11 months-5.98%
5Oct 2010Jan 20114 monthsJul 20116 months10 months-5.93%
6May 1999Jan 20009 monthsJul 20006 months1 year 3 months-5.72%
7Aug 1992Oct 19923 monthsDec 19922 months5 months-3.94%
8Jun 2003Jul 20032 monthsSep 20032 months4 months-2.98%
9Mar 2004Apr 20042 monthsAug 20044 months6 months-2.53%
10Oct 2002Oct 20021 monthFeb 20034 months5 months-2.42%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFITXVanguard Interm-Term Treasury Inv5.32%4.73%20.44%-4.33%-6.47%0.621.01-0.16
VWAHXVanguard High-Yield Tax-Exempt5.48%4.86%20.13%-10.45%-11.56%0.620.950.12

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFITXVWAHXPortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv-0.501.000.50
VWAHXVanguard High-Yield Tax-Exempt0.50-0.501.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv$30,509
VWAHXVanguard High-Yield Tax-Exempt$32,240

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv100.00%
VWAHXVanguard High-Yield Tax-Exempt100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.49%20.44%-4.33%5.69%20.13%-10.45%
3 years5.38%11.87%0.87%5.38%10.99%-1.36%
5 years5.51%8.36%1.07%5.43%7.72%1.01%
7 years5.62%8.33%1.29%5.36%7.75%2.64%
10 years5.74%7.85%2.40%5.27%6.84%3.06%
15 years5.69%6.94%3.70%5.15%6.32%4.16%
Result statistics are based on annualized rolling returns over full calendar year periods