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 1993 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 20.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWAHX Vanguard High-Yield Tax-Exempt 20.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$85,570 8.61% 11.40%32.72%-26.97%-39.92% 0.580.831.00
Portfolio 2$10,000$83,105 8.49% 11.69%32.25%-31.72%-43.12% 0.550.791.00
   
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
  • 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 Total Stock Mkt Idx Inv (VTSMX)Vanguard High-Yield Tax-Exempt (VWAHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19932.75%10.79%11.03%$11,079$11,1034.20% [$420]3.86% [$386]11.43%10.62%12.66%
19942.67%-1.00%-1.15%$10,968$10,9763.27% [$362]3.58% [$397]-4.33%-0.17%-5.07%
19952.54%32.72%32.25%$14,556$14,5164.05% [$444]3.93% [$431]20.44%35.79%18.13%
19963.32%17.15%17.66%$17,053$17,0793.37% [$491]3.27% [$474]1.92%20.96%4.46%
19971.70%26.59%26.64%$21,587$21,6303.97% [$677]3.95% [$674]8.96%30.99%9.24%
19981.61%20.73%19.90%$26,062$25,9342.83% [$611]2.83% [$613]10.61%23.26%6.45%
19992.68%18.35%18.37%$30,844$30,7003.06% [$798]2.98% [$774]-3.52%23.81%-3.38%
20003.39%-5.65%-6.31%$29,100$28,7612.47% [$762]2.34% [$719]14.03%-10.57%10.73%
20011.55%-7.26%-7.70%$26,986$26,5452.00% [$581]1.94% [$558]7.55%-10.97%5.34%
20022.38%-13.94%-15.31%$23,225$22,4822.33% [$629]2.01% [$533]14.15%-20.96%7.30%
20031.88%25.56%26.35%$29,160$28,4072.47% [$573]2.31% [$519]2.37%31.35%6.35%
20043.26%10.69%11.01%$32,278$31,5342.31% [$673]2.33% [$662]3.40%12.51%4.98%
20053.42%5.25%5.65%$33,972$33,3162.39% [$770]2.25% [$709]2.32%5.98%4.34%
20062.54%13.04%13.51%$38,401$37,8192.34% [$795]2.34% [$779]3.14%15.51%5.53%
20074.08%6.39%4.70%$40,853$39,5982.36% [$906]2.35% [$890]9.98%5.49%1.57%
20080.09%-26.97%-31.72%$29,837$27,0372.57% [$1,050]2.29% [$907]13.32%-37.04%-10.45%
20092.72%22.62%26.99%$36,587$34,3343.28% [$978]3.00% [$810]-1.69%28.70%20.13%
20101.50%15.15%14.18%$42,128$39,2032.60% [$951]2.49% [$853]7.35%17.09%2.55%
20112.96%2.73%2.97%$43,278$40,3662.73% [$1,152]2.37% [$928]9.80%0.96%10.98%
20121.74%13.54%14.87%$49,136$46,3702.39% [$1,034]2.65% [$1,071]2.67%16.25%9.36%
20131.50%26.06%26.04%$61,942$58,4432.11% [$1,038]2.51% [$1,164]-3.09%33.35%-3.22%
20140.76%10.81%12.27%$68,636$65,6131.88% [$1,164]2.29% [$1,338]4.32%12.43%11.62%
20150.73%0.54%1.06%$69,004$66,3091.98% [$1,359]2.23% [$1,462]1.50%0.29%4.13%
20162.07%10.26%10.19%$76,087$73,0682.18% [$1,502]2.37% [$1,570]1.19%12.53%0.83%
20172.11%17.15%18.41%$89,139$86,5201.90% [$1,445]2.32% [$1,696]1.57%21.05%7.84%
20181.91%-4.00%-3.95%$85,570$83,1051.90% [$1,698]2.19% [$1,893]1.00%-5.26%1.29%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard High-Yield Tax-Exempt (VWAHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199311.36%1.01%$10,136$10,1012.72%1.01%1.01%
199320.88%1.30%$10,225$10,2322.53%0.46%4.65%
199332.04%1.59%$10,433$10,3950.40%2.46%-1.78%
19934-2.02%-1.87%$10,222$10,2000.93%-2.77%1.71%
199352.37%2.53%$10,464$10,458-0.15%3.03%0.59%
199360.88%0.74%$10,557$10,5352.20%0.55%1.51%
19937-0.21%-0.33%$10,535$10,5000.02%-0.27%-0.58%
199383.57%3.66%$10,911$10,8842.18%3.93%2.61%
199390.13%0.23%$10,925$10,9090.62%0.01%1.11%
1993101.32%1.35%$11,070$11,0570.09%1.64%0.21%
199311-1.52%-1.48%$10,901$10,893-1.16%-1.62%-0.95%
1993121.63%1.93%$11,079$11,1030.56%1.90%2.05%
199412.76%2.68%$11,384$11,4011.49%3.08%1.11%
19942-2.28%-2.23%$11,124$11,148-2.46%-2.24%-2.16%
19943-4.08%-4.37%$10,670$10,661-2.62%-4.44%-4.07%
199440.53%0.87%$10,727$10,754-0.92%0.89%0.80%
199450.82%1.05%$10,814$10,8670.18%0.97%1.37%
19946-2.26%-2.38%$10,570$10,609-0.33%-2.73%-0.95%
199472.80%2.86%$10,867$10,9121.70%3.08%1.97%
199483.58%3.56%$11,256$11,3000.30%4.39%0.22%
19949-1.84%-1.91%$11,049$11,084-1.79%-1.85%-2.18%
1994101.20%0.84%$11,182$11,178-0.26%1.55%-2.14%
199411-3.03%-3.34%$10,843$10,804-0.38%-3.65%-2.01%
1994121.15%1.59%$10,968$10,9760.79%1.23%3.11%
199512.15%2.41%$11,203$11,2401.94%2.20%3.25%
199523.75%3.92%$11,624$11,6802.58%4.04%3.40%
199532.24%2.32%$11,884$11,9510.57%2.65%1.00%
199542.32%1.98%$12,161$12,1881.56%2.51%-0.19%
199553.72%3.51%$12,613$12,6154.74%3.48%3.65%
199562.56%2.12%$12,935$12,8830.81%2.98%-1.43%
199573.14%3.45%$13,341$13,328-0.61%4.02%0.98%
199581.12%1.09%$13,490$13,4731.31%1.07%1.17%
199593.11%3.02%$13,910$13,8800.90%3.61%0.38%
199510-0.64%-0.67%$13,821$13,7881.76%-1.17%1.64%
1995113.73%3.73%$14,337$14,3031.82%4.17%1.80%
1995121.53%1.49%$14,556$14,5161.44%1.54%1.23%
199612.27%2.20%$14,886$14,8350.69%2.66%0.38%
199620.83%1.20%$15,010$15,014-2.38%1.62%-0.49%
199630.72%0.63%$15,118$15,109-1.09%1.14%-1.50%
199641.76%1.88%$15,384$15,393-1.03%2.41%-0.40%
199652.10%2.24%$15,707$15,738-0.44%2.66%0.39%
19966-0.43%-0.47%$15,640$15,6651.51%-0.84%1.24%
19967-4.37%-4.24%$14,956$15,0010.14%-5.37%0.75%
199682.44%2.47%$15,322$15,372-0.35%3.09%-0.11%
199694.74%4.67%$16,048$16,0891.91%5.38%1.61%
1996101.62%1.36%$16,307$16,3072.48%1.43%1.04%
1996115.95%5.91%$17,277$17,2712.04%6.81%1.88%
199612-1.30%-1.11%$17,053$17,079-1.45%-1.27%-0.36%
199714.38%4.35%$17,800$17,8220.06%5.46%-0.08%
19972-0.07%0.05%$17,787$17,8310.10%-0.11%0.71%
19973-3.85%-3.81%$17,103$17,151-1.30%-4.45%-1.13%
199743.93%3.77%$17,775$17,7991.61%4.50%0.85%
199755.89%6.05%$18,822$18,8750.83%7.10%1.62%
199763.75%3.77%$19,528$19,5861.00%4.37%1.12%
199776.89%6.84%$20,874$20,9272.85%7.77%2.62%
19978-3.25%-3.20%$20,196$20,256-0.99%-3.72%-0.74%
199795.01%4.96%$21,208$21,2601.47%5.77%1.19%
199710-2.54%-2.74%$20,670$20,6781.66%-3.40%0.44%
1997112.80%2.84%$21,248$21,2650.31%3.33%0.55%
1997121.59%1.71%$21,587$21,6301.09%1.70%1.78%
199810.70%0.55%$21,738$21,7491.73%0.44%1.00%
199825.78%5.89%$22,995$23,031-0.38%7.34%0.13%
199834.12%4.13%$23,943$23,9830.14%5.06%0.17%
199840.99%0.77%$24,179$24,1680.49%1.10%-0.67%
19985-2.04%-1.91%$23,686$23,7070.98%-2.71%1.74%
199863.06%2.95%$24,410$24,4050.95%3.54%0.34%
19987-1.82%-1.79%$23,967$23,9670.22%-2.27%0.36%
19988-12.12%-12.47%$21,063$20,9793.20%-15.65%1.46%
199896.01%5.49%$22,329$22,1313.64%6.68%1.17%
1998105.73%5.94%$23,608$23,445-0.77%7.51%-0.10%
1998114.85%5.03%$24,754$24,625-0.35%6.17%0.34%
1998125.29%5.32%$26,062$25,9340.38%6.45%0.36%
199913.05%3.15%$26,857$26,7520.65%3.65%1.17%
19992-3.60%-3.06%$25,890$25,933-3.07%-3.73%-0.33%
199933.27%3.14%$26,738$26,7460.58%3.93%-0.02%
199943.84%3.85%$27,764$27,7750.28%4.68%0.43%
19995-1.88%-1.74%$27,241$27,291-1.37%-2.00%-0.65%
199964.15%3.87%$28,373$28,346-0.26%5.16%-1.60%
19997-2.71%-2.57%$27,604$27,618-0.45%-3.20%0.27%
19998-0.76%-0.98%$27,393$27,348-0.07%-0.92%-1.24%
19999-1.79%-2.01%$26,902$26,7991.08%-2.44%-0.12%
1999105.12%4.83%$28,280$28,0940.12%6.29%-1.37%
1999112.79%2.97%$29,070$28,928-0.08%3.42%0.86%
1999126.10%6.13%$30,844$30,700-0.94%7.59%-0.79%
20001-3.44%-3.59%$29,783$29,598-0.46%-4.18%-1.20%
200022.23%2.33%$30,446$30,2881.00%2.54%1.49%
200034.94%5.00%$31,951$31,8022.04%5.69%2.31%
20004-4.23%-4.28%$30,600$30,441-0.26%-5.21%-0.51%
20005-2.67%-2.85%$29,783$29,5740.16%-3.41%-0.69%
200063.95%4.04%$30,959$30,7682.20%4.42%2.60%
20007-1.41%-1.24%$30,521$30,3850.62%-1.95%1.46%
200086.07%6.08%$32,375$32,2321.62%7.28%1.64%
20009-3.54%-3.80%$31,230$31,0070.89%-4.67%-0.41%
200010-1.42%-1.43%$30,788$30,5640.90%-2.04%0.86%
200011-7.27%-7.66%$28,549$28,2232.14%-9.90%0.46%
2000121.93%1.91%$29,100$28,7612.39%1.78%2.32%
200113.33%3.23%$30,068$29,6911.33%3.83%0.85%
20012-7.32%-7.42%$27,867$27,4881.26%-9.41%0.80%
20013-5.17%-5.03%$26,426$26,1060.50%-6.72%1.23%
200146.05%6.10%$28,024$27,697-1.16%8.16%-0.96%
200150.84%1.06%$28,260$27,9900.22%1.01%1.23%
20016-1.23%-1.09%$27,913$27,6840.30%-1.64%0.92%
20017-0.76%-1.06%$27,700$27,3912.73%-1.71%1.30%
20018-4.43%-4.27%$26,472$26,2221.11%-6.00%1.85%
20019-6.33%-7.17%$24,797$24,3432.41%-9.00%-1.23%
2001102.44%2.05%$25,403$24,8422.22%2.52%0.64%
2001115.09%5.60%$26,697$26,234-2.32%7.63%-0.59%
2001121.08%1.19%$26,986$26,545-1.16%1.78%-0.77%
20021-0.90%-0.75%$26,742$26,3470.45%-1.24%1.23%
20022-1.37%-1.43%$26,376$25,9701.29%-2.05%0.98%
200232.99%3.22%$27,164$26,807-2.30%4.38%-1.15%
20024-3.41%-3.60%$26,237$25,8412.62%-4.90%1.59%
20025-0.74%-0.80%$26,041$25,6331.04%-1.22%0.74%
20026-5.19%-5.36%$24,691$24,2611.72%-7.06%0.91%
20027-5.57%-6.00%$23,315$22,8052.66%-8.02%0.83%
200281.00%0.53%$23,548$22,9262.42%0.53%0.54%
20029-6.76%-7.15%$21,956$21,2863.03%-10.07%1.82%
2002105.32%4.94%$23,124$22,338-0.70%7.65%-2.42%
2002114.12%4.56%$24,076$23,356-1.32%6.06%0.05%
200212-3.53%-3.74%$23,225$22,4822.58%-5.57%2.06%
20031-2.13%-2.15%$22,730$21,998-0.49%-2.54%-0.60%
20032-0.98%-1.07%$22,506$21,7621.77%-1.69%1.34%
200330.82%0.85%$22,691$21,947-0.19%1.09%-0.05%
200346.56%6.74%$24,179$23,4250.24%8.21%1.07%
200355.45%5.41%$25,497$24,6942.74%6.11%2.56%
200361.08%1.11%$25,772$24,968-0.43%1.43%-0.25%
200371.19%1.40%$26,080$25,319-3.87%2.36%-2.73%
200382.00%2.10%$26,601$25,8510.19%2.39%0.80%
20039-0.41%-0.50%$26,493$25,7223.09%-1.15%2.49%
2003104.77%4.95%$27,756$26,996-1.36%6.12%-0.25%
2003111.15%1.34%$28,074$27,3570.01%1.38%1.14%
2003123.87%3.84%$29,160$28,4070.85%4.48%0.77%
200411.95%1.85%$29,728$28,9310.81%2.23%0.31%
200421.39%1.48%$30,142$29,3581.23%1.43%1.66%
20043-0.65%-0.96%$29,946$29,0761.06%-1.07%-0.52%
20044-2.34%-2.09%$29,246$28,468-3.25%-2.11%-2.01%
200450.98%1.10%$29,531$28,782-0.51%1.35%0.12%
200461.78%1.76%$30,058$29,2870.54%2.09%0.39%
20047-2.89%-2.84%$29,190$28,4560.91%-3.80%1.16%
200480.66%0.61%$29,384$28,6302.07%0.31%1.81%
200491.42%1.52%$29,802$29,0650.19%1.74%0.66%
2004101.52%1.51%$30,256$29,5040.91%1.68%0.85%
2004113.45%3.58%$31,299$30,559-1.48%4.68%-0.82%
2004123.13%3.19%$32,278$31,5340.97%3.63%1.33%
20051-2.03%-1.92%$31,623$30,9300.56%-2.68%1.13%
200521.44%1.56%$32,080$31,414-0.98%2.07%-0.39%
20053-1.50%-1.56%$31,599$30,924-0.51%-1.75%-0.81%
20054-1.50%-1.52%$31,126$30,4531.75%-2.32%1.60%
200553.23%3.19%$32,131$31,4261.20%3.77%1.04%
200560.76%0.76%$32,375$31,6640.55%0.81%0.56%
200572.98%3.19%$33,339$32,674-1.41%4.11%-0.35%
20058-0.44%-0.53%$33,193$32,4991.65%-0.94%1.12%
200590.46%0.55%$33,345$32,680-1.14%0.86%-0.64%
200510-1.65%-1.60%$32,794$32,156-0.79%-1.86%-0.55%
2005113.28%3.28%$33,869$33,2120.48%3.97%0.56%
2005120.30%0.31%$33,972$33,3161.01%0.14%1.04%
200612.73%2.86%$34,900$34,269-0.34%3.50%0.30%
200620.02%0.16%$34,906$34,3230.09%0.00%0.81%
200631.26%1.32%$35,346$34,778-0.99%1.80%-0.63%
200640.83%0.90%$35,640$35,090-0.37%1.11%0.00%
20065-2.62%-2.51%$34,704$34,2100.02%-3.23%0.58%
200660.16%0.05%$34,759$34,2260.10%0.17%-0.46%
200670.16%0.16%$34,813$34,2801.35%-0.13%1.33%
200682.18%2.15%$35,571$35,0181.62%2.31%1.51%
200692.01%1.97%$36,286$35,7070.94%2.27%0.74%
2006102.96%2.97%$37,361$36,7680.57%3.53%0.66%
2006112.03%1.97%$38,118$37,4921.12%2.23%0.83%
2006120.74%0.87%$38,401$37,819-0.98%1.13%-0.25%
200711.45%1.47%$38,958$38,375-0.26%1.88%-0.16%
20072-0.93%-1.06%$38,595$37,9671.86%-1.61%1.19%
200730.89%0.85%$38,939$38,2910.03%1.11%-0.16%
200743.32%3.27%$40,231$39,5420.57%4.01%0.28%
200752.74%2.89%$41,333$40,685-1.18%3.69%-0.44%
20076-1.39%-1.44%$40,758$40,097-0.18%-1.67%-0.46%
20077-2.42%-2.71%$39,772$39,0121.81%-3.41%0.30%
200781.55%0.97%$40,390$39,3911.97%1.45%-1.01%
200792.97%3.20%$41,589$40,6510.46%3.59%1.53%
2007101.65%1.56%$42,277$41,2840.84%1.85%0.30%
200711-2.96%-3.60%$41,027$39,7983.46%-4.49%0.29%
200712-0.42%-0.50%$40,853$39,5980.27%-0.60%-0.08%
20081-4.24%-4.61%$39,119$37,7713.10%-6.08%1.25%
20082-2.12%-3.52%$38,290$36,4431.35%-3.07%-5.17%
20083-0.25%0.10%$38,196$36,4800.93%-0.58%2.70%
200843.41%4.22%$39,498$38,019-2.14%5.02%1.27%
200851.36%1.82%$40,036$38,711-1.32%2.09%0.79%
20086-6.33%-6.72%$37,502$36,1090.77%-8.19%-1.05%
20087-0.42%-0.60%$37,343$35,8930.77%-0.77%0.01%
200881.44%1.45%$37,882$36,4140.98%1.58%0.99%
20089-7.06%-8.36%$35,207$33,3690.51%-9.26%-5.14%
200810-13.66%-14.54%$30,396$28,517-1.36%-17.63%-3.99%
200811-4.15%-6.14%$29,135$26,7675.58%-7.90%-0.97%
2008122.41%1.01%$29,837$27,0373.66%1.86%-1.29%
20091-7.08%-5.67%$27,724$25,505-2.39%-8.26%4.69%
20092-8.38%-7.92%$25,401$23,484-0.58%-10.45%0.94%
200937.41%6.47%$27,284$25,0053.20%8.65%-0.31%
200947.90%8.90%$29,439$27,229-1.76%10.61%3.10%
200954.09%4.83%$30,642$28,543-1.10%5.38%2.82%
200960.21%0.12%$30,705$28,577-0.37%0.34%-0.72%
200976.46%6.51%$32,689$30,4360.60%7.82%1.55%
200983.14%3.45%$33,715$31,4870.89%3.63%2.75%
200993.65%4.41%$34,946$32,8760.92%4.23%5.15%
200910-2.09%-2.53%$34,216$32,0440.25%-2.57%-2.37%
2009114.99%4.57%$35,923$33,5101.96%5.63%0.38%
2009121.85%2.46%$36,587$34,334-3.13%2.86%0.78%
20101-2.40%-2.66%$35,707$33,4201.97%-3.50%0.68%
201022.74%2.86%$36,686$34,3750.40%3.36%0.93%
201034.81%5.02%$38,449$36,100-0.91%6.27%0.10%
201041.99%1.99%$39,215$36,8201.23%2.17%1.25%
20105-6.11%-6.34%$36,817$34,4871.85%-8.00%0.67%
20106-4.06%-4.52%$35,324$32,9302.07%-5.66%-0.11%
201075.69%5.75%$37,333$34,8241.07%6.99%1.24%
20108-3.32%-3.22%$36,093$33,7042.00%-4.75%2.66%
201097.44%7.41%$38,777$36,2010.36%9.47%0.07%
2010103.21%3.10%$40,023$37,3220.45%3.94%-0.20%
2010110.26%-0.06%$40,127$37,299-0.98%0.58%-2.64%
2010124.99%5.11%$42,128$39,203-2.29%6.81%-2.03%
201111.81%1.51%$42,889$39,7970.29%2.19%-1.18%
201122.80%3.18%$44,092$41,064-0.43%3.60%1.47%
201130.34%0.31%$44,242$41,189-0.12%0.45%-0.30%
201142.73%2.72%$45,449$42,3121.60%2.99%1.59%
20115-0.61%-0.55%$45,171$42,0781.77%-1.16%2.08%
20116-1.48%-1.30%$44,504$41,533-0.16%-1.79%0.76%
20117-1.41%-1.60%$43,875$40,8672.18%-2.28%1.16%
20118-4.24%-4.53%$42,016$39,0172.70%-5.99%1.24%
20119-5.91%-5.76%$39,531$36,7670.73%-7.75%1.49%
2011108.74%8.77%$42,987$39,993-0.42%11.51%-0.30%
201111-0.16%-0.11%$42,916$39,9470.29%-0.29%0.53%
2011120.84%1.05%$43,278$40,3661.00%0.80%1.97%
201214.23%4.62%$45,107$42,2310.81%5.08%2.77%
201223.31%3.50%$46,599$43,709-0.65%4.26%0.40%
201232.35%2.41%$47,693$44,760-0.79%3.07%-0.40%
20124-0.26%-0.30%$47,567$44,6251.50%-0.65%1.24%
20125-4.86%-4.86%$45,253$42,4551.24%-6.24%1.06%
201263.10%3.14%$46,657$43,786-0.22%3.91%0.04%
201271.00%1.17%$47,124$44,3010.86%1.03%1.76%
201282.03%2.06%$48,082$45,2120.10%2.48%0.31%
201292.09%2.21%$49,086$46,211-0.06%2.58%0.65%
201210-1.50%-1.32%$48,351$45,602-0.32%-1.76%0.57%
2012110.72%0.96%$48,698$46,0400.62%0.74%1.89%
2012120.90%0.72%$49,136$46,370-0.41%1.19%-1.26%
201314.25%4.52%$51,225$48,465-0.74%5.50%0.58%
201321.17%1.12%$51,824$49,0080.71%1.28%0.47%
201333.20%3.07%$53,482$50,5110.27%3.88%-0.38%
201341.52%1.57%$54,294$51,3060.71%1.70%1.02%
201351.56%1.71%$55,141$52,183-1.84%2.32%-1.01%
20136-1.34%-1.68%$54,405$51,307-1.62%-1.27%-3.53%
201374.54%4.30%$56,876$53,5160.13%5.49%-1.24%
20138-2.52%-2.67%$55,443$52,086-1.02%-2.82%-1.91%
201393.29%3.48%$57,267$53,9001.47%3.66%2.57%
2013103.59%3.66%$59,325$55,8720.49%4.22%0.83%
2013112.39%2.38%$60,742$57,202-0.14%2.88%-0.22%
2013121.98%2.17%$61,942$58,443-1.49%2.63%-0.30%
20141-2.15%-1.97%$60,609$57,2891.67%-3.11%2.55%
201423.79%4.04%$62,908$59,6050.21%4.73%1.43%
201430.29%0.48%$63,090$59,891-0.60%0.51%0.35%
201440.15%0.34%$63,184$60,0960.49%0.06%1.44%
201451.94%2.07%$64,412$61,3421.03%2.17%1.70%
201462.01%2.01%$65,707$62,573-0.13%2.54%-0.05%
20147-1.67%-1.55%$64,608$61,601-0.39%-1.98%0.14%
201483.57%3.63%$66,912$63,8401.03%4.18%1.50%
20149-1.85%-1.67%$65,672$62,776-0.66%-2.14%0.21%
2014102.43%2.34%$67,265$64,2421.12%2.74%0.76%
2014112.11%1.99%$68,685$65,5180.84%2.41%0.30%
201412-0.07%0.14%$68,636$65,613-0.35%-0.01%0.76%
20151-1.68%-1.82%$67,484$64,4192.70%-2.77%2.00%
201524.23%4.35%$70,337$67,222-1.59%5.76%-1.03%
20153-0.68%-0.77%$69,857$66,7030.76%-1.04%0.31%
201540.29%0.24%$70,063$66,862-0.21%0.42%-0.50%
201551.09%1.05%$70,826$67,567-0.12%1.39%-0.31%
20156-1.52%-1.44%$69,750$66,595-0.74%-1.71%-0.32%
201571.48%1.46%$70,780$67,5690.85%1.63%0.77%
20158-4.85%-4.78%$67,351$64,338-0.03%-6.03%0.32%
20159-2.08%-2.19%$65,949$62,9291.19%-2.93%0.67%
2015106.07%6.28%$69,950$66,882-0.47%7.84%0.49%
2015110.35%0.58%$70,197$67,272-0.39%0.54%0.75%
201512-1.70%-1.43%$69,004$66,309-0.38%-2.03%0.94%
20161-4.07%-4.32%$66,199$63,4472.36%-5.67%1.10%
201620.14%-0.03%$66,292$63,4290.82%-0.04%0.02%
201635.55%5.69%$69,973$67,0360.22%7.01%0.75%
201640.47%0.68%$70,304$67,495-0.13%0.63%0.91%
201651.39%1.58%$71,279$68,562-0.21%1.79%0.74%
201660.59%0.60%$71,699$68,9762.05%0.23%2.11%
201673.16%3.14%$73,964$71,1400.04%3.95%-0.04%
201680.07%0.28%$74,012$71,341-0.72%0.26%0.38%
201690.18%0.03%$74,143$71,3590.29%0.15%-0.48%
201610-1.93%-2.01%$72,715$69,926-0.73%-2.21%-1.16%
2016113.04%2.68%$74,923$71,802-2.65%4.44%-4.41%
2016121.55%1.76%$76,087$73,068-0.05%1.92%1.06%
201711.59%1.63%$77,295$74,2580.30%1.91%0.51%
201723.06%3.12%$79,657$76,5780.39%3.71%0.75%
201730.07%0.13%$79,709$76,6810.07%0.07%0.41%
201741.00%1.01%$80,504$77,4570.77%1.05%0.85%
201750.93%1.15%$81,250$78,3480.59%1.01%1.76%
201760.65%0.73%$81,782$78,922-0.47%0.92%-0.05%
201771.59%1.69%$83,084$80,2530.42%1.87%0.94%
201780.28%0.33%$83,316$80,5180.86%0.15%1.11%
201791.84%1.94%$84,845$82,077-0.83%2.45%-0.23%
2017101.72%1.81%$86,308$83,561-0.21%2.16%0.31%
2017112.43%2.48%$88,403$85,636-0.39%3.04%0.04%
2017120.83%1.03%$89,139$86,5200.07%0.99%1.20%
201813.93%4.01%$92,647$89,990-1.56%5.31%-1.17%
20182-3.10%-3.09%$89,771$87,210-0.49%-3.72%-0.42%
20183-1.46%-1.49%$88,460$85,9110.75%-1.99%0.59%
201840.12%0.24%$88,567$86,117-0.92%0.38%-0.31%
201852.39%2.50%$90,684$88,2680.76%2.79%1.31%
201860.57%0.57%$91,199$88,7720.11%0.68%0.13%
201872.63%2.73%$93,594$91,196-0.35%3.34%0.23%
201882.94%2.85%$96,347$93,7920.77%3.44%0.32%
20189-0.02%0.01%$96,329$93,797-0.82%0.16%-0.67%
201810-6.07%-6.19%$90,483$87,988-0.06%-7.40%-0.85%
2018111.85%1.84%$92,157$89,6110.96%2.06%0.95%
201812-7.15%-7.26%$85,570$83,1051.90%-9.29%1.23%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value29.64%28.10%
Large-cap Growth35.41%37.11%
Mid-cap Value4.81%8.23%
Mid-cap Growth5.55%7.75%
Small-cap Value2.23%0.00%
Small-cap Growth1.79%0.00%
Global ex-US Developed Markets0.85%0.00%
Emerging Markets0.37%0.54%
Corporate Bonds0.00%4.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries12.01%0.74%
Short-Term Treasuries7.34%13.52%
R Squared99.86%99.29%
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%20.00%$8,325-0.68%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%80.00%$67,245100.68%

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
VWAHXVanguard High-Yield Tax-ExemptMuni National Long7.070.17%20.00%$8,9051.56%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%80.00%$64,20098.44%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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)0.74%0.74%
Arithmetic Mean (annualized)9.32%9.23%
Geometric Mean (monthly)0.69%0.68%
Geometric Mean (annualized)8.61%8.49%
Volatility (monthly)3.29%3.38%
Volatility (annualized)11.40%11.69%
Downside Deviation (monthly)2.18%2.27%
Max. Drawdown-39.92%-43.12%
US Market Correlation1.001.00
Beta(*)0.780.80
Alpha (annualized)1.36%1.08%
R299.11%99.25%
Sharpe Ratio0.580.55
Sortino Ratio0.830.79
Treynor Ratio (%)8.428.10
Calmar Ratio0.660.69
Active Return-0.40%-0.52%
Tracking Error3.39%3.08%
Information Ratio-0.12-0.17
Skewness-0.75-0.80
Excess Kurtosis1.431.60
Historical Value-at-Risk (5%)-5.32%-5.70%
Analytical Value-at-Risk (5%)-4.73%-4.85%
Conditional Value-at-Risk (5%)-7.54%-7.81%
Upside Capture Ratio (%)80.5981.96
Downside Capture Ratio (%)76.6279.21
Sustainable Withdrawal Rate8.76%8.54%
Positive Periods207 out of 312 (66.35%)209 out of 312 (66.99%)
Gain/Loss Ratio0.900.86
* 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 1998-3.25%-3.20%
Russian Debt DefaultJul 1998Oct 1998-13.71%-14.04%
Dotcom CrashMar 2000Oct 2002-32.18%-33.96%
Subprime CrisisNov 2007Mar 2009-39.92%-43.12%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-39.92%
2Sep 2000Sep 20022 years 1 monthJul 20052 years 10 months4 years 11 months-32.18%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-13.71%
4May 2011Sep 20115 monthsFeb 20125 months10 months-13.02%
5Sep 2018Dec 20184 months-11.19%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.15%
7Jun 2015Sep 20154 monthsMay 20168 months1 year-6.89%
8Apr 2000May 20002 monthsAug 20003 months5 months-6.79%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-5.18%
10Apr 2012May 20122 monthsAug 20123 months5 months-5.12%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-43.12%
2Sep 2000Sep 20022 years 1 monthJul 20052 years 10 months4 years 11 months-33.96%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-14.04%
4May 2011Sep 20115 monthsFeb 20125 months10 months-13.10%
5Oct 2018Dec 20183 months-11.40%
6Apr 2000May 20002 monthsAug 20003 months5 months-7.00%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.95%
8Aug 2015Sep 20152 monthsMay 20168 months10 months-6.87%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-5.46%
10Apr 2012May 20122 monthsAug 20123 months5 months-5.15%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFITXVanguard Interm-Term Treasury Inv5.22%4.69%20.44%-4.33%-6.47%0.611.00-0.17
VTSMXVanguard Total Stock Mkt Idx Inv9.01%14.56%35.79%-37.04%-50.89%0.500.721.00
VWAHXVanguard High-Yield Tax-Exempt5.32%4.79%20.13%-10.45%-11.56%0.610.910.11

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFITXVTSMXVWAHXPortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv--0.170.50-0.08-0.13
VTSMXVanguard Total Stock Mkt Idx Inv-0.17-0.111.001.00
VWAHXVanguard High-Yield Tax-Exempt0.500.11-0.150.19

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv$8,325
VTSMXVanguard Total Stock Mkt Idx Inv$67,245$64,200
VWAHXVanguard High-Yield Tax-Exempt$8,905

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv-0.68%
VTSMXVanguard Total Stock Mkt Idx Inv100.68%98.44%
VWAHXVanguard High-Yield Tax-Exempt1.56%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.51%32.72%-26.97%9.54%32.25%-31.72%
3 years9.26%25.32%-9.02%9.15%25.37%-9.86%
5 years8.83%22.97%0.46%8.67%22.84%-0.98%
7 years8.10%17.46%1.44%7.88%17.38%0.26%
10 years7.24%11.40%1.36%6.95%11.88%0.42%
15 years7.14%9.84%5.48%6.82%9.61%5.19%
Result statistics are based on annualized rolling returns over full calendar year periods