Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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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 2002 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 80.00%
VBTLX Vanguard Total Bond Market Index Adm 20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 80.00%
VBTLX Vanguard Total Bond Market Index Adm 14.00%
PREMX T. Rowe Price Emerging Markets Bond 6.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 74.00%
VBTLX Vanguard Total Bond Market Index Adm 20.00%
PREMX T. Rowe Price Emerging Markets Bond 6.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$37,285 7.58% 10.98%26.72%-28.42%-41.12% 0.600.880.99
Portfolio 2$10,000$38,614 7.79% 11.35%26.88%-29.79%-42.34% 0.600.880.99
Portfolio 3$10,000$37,626 7.64% 10.49%25.53%-27.27%-39.30% 0.630.920.99
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market Index Adm (VBTLX)T. Rowe Price Emerging Markets Bond (PREMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20022.38%-15.61%-15.53%-13.74%$8,439$8,447$8,626-21.59%8.32%9.52%
20031.88%23.35%24.67%23.22%$10,410$10,530$10,62928.18%4.04%26.05%
20043.26%9.43%10.06%9.68%$11,391$11,589$11,65810.70%4.33%14.83%
20053.42%4.36%5.25%5.11%$11,888$12,197$12,2534.83%2.49%17.28%
20062.54%13.55%13.97%13.29%$13,499$13,902$13,88115.85%4.36%11.43%
20074.08%5.51%5.44%5.55%$14,243$14,658$14,6515.14%7.02%5.82%
20080.09%-28.42%-29.79%-27.27%$10,196$10,292$10,656-36.81%5.15%-17.71%
20092.72%22.30%24.03%22.81%$12,469$12,766$13,08726.36%6.04%34.95%
20101.50%13.35%13.76%13.25%$14,134$14,522$14,82115.06%6.54%13.28%
20112.96%3.05%2.79%3.14%$14,565$14,928$15,2861.89%7.69%3.48%
20121.74%13.62%14.55%13.84%$16,549$17,100$17,40215.99%4.15%19.62%
20131.50%25.42%25.11%23.05%$20,755$21,394$21,41332.31%-2.15%-7.19%
20140.76%11.95%11.79%11.33%$23,235$23,916$23,84013.46%5.89%3.21%
20150.73%1.08%1.09%1.04%$23,487$24,178$24,0891.25%0.40%0.62%
20162.07%10.12%10.84%10.28%$25,864$26,800$26,56512.00%2.60%14.63%
20172.11%18.07%18.40%17.31%$30,538$31,730$31,16221.70%3.56%8.98%
20181.91%-3.65%-4.08%-3.81%$29,423$30,434$29,975-4.56%-0.03%-7.23%
20192.29%26.72%26.88%25.53%$37,285$38,614$37,62631.22%8.71%11.30%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market Index Adm (VBTLX)T. Rowe Price Emerging Markets Bond (PREMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20021-0.65%-0.56%-0.46%$9,935$9,944$9,954-0.98%0.69%2.07%
20022-1.26%-1.03%-0.87%$9,811$9,841$9,867-1.79%0.86%4.43%
200232.33%2.41%2.12%$10,040$10,078$10,0763.32%-1.46%-0.13%
20024-4.32%-4.31%-3.86%$9,606$9,644$9,686-5.82%1.70%1.45%
20025-0.30%-0.40%-0.31%$9,578$9,605$9,656-0.59%0.80%-0.81%
20026-5.73%-6.15%-5.67%$9,029$9,014$9,108-7.38%0.29%-6.27%
20027-5.97%-6.33%-5.78%$8,489$8,443$8,582-7.88%0.49%-4.72%
200280.92%1.21%1.27%$8,567$8,545$8,6910.68%1.67%6.02%
20029-7.54%-7.79%-6.96%$7,922$7,880$8,086-10.49%1.53%-1.70%
2002105.85%6.30%5.65%$8,385$8,376$8,5438.23%-0.61%4.89%
2002114.61%4.78%4.35%$8,772$8,777$8,9156.17%0.03%2.21%
200212-3.79%-3.76%-3.24%$8,439$8,447$8,626-5.66%2.08%2.46%
20031-1.96%-1.88%-1.73%$8,274$8,288$8,477-2.46%0.06%1.37%
20032-0.79%-0.70%-0.53%$8,209$8,230$8,432-1.35%1.38%2.84%
200330.14%0.30%0.28%$8,220$8,255$8,4550.21%-0.12%2.42%
200346.88%7.26%6.79%$8,786$8,854$9,0298.46%0.87%6.90%
200354.77%4.92%4.71%$9,204$9,290$9,4555.48%1.83%4.53%
200360.84%0.90%0.83%$9,282$9,373$9,5331.07%-0.13%0.93%
200370.83%0.74%0.45%$9,359$9,443$9,5761.80%-3.33%-4.16%
200381.80%1.92%1.84%$9,527$9,624$9,7522.06%0.62%2.65%
20039-0.41%-0.40%-0.19%$9,488$9,585$9,733-1.09%2.71%2.44%
2003104.19%4.19%3.83%$9,886$9,987$10,1075.35%-0.95%-0.20%
2003110.95%0.99%0.95%$9,980$10,086$10,2021.09%0.28%1.08%
2003124.31%4.40%4.18%$10,410$10,530$10,6295.03%0.89%2.95%
200411.76%1.77%1.71%$10,593$10,717$10,8101.98%0.87%1.14%
200421.29%1.25%1.23%$10,730$10,850$10,9431.36%1.04%0.25%
20043-0.90%-0.82%-0.69%$10,633$10,762$10,868-1.32%0.80%2.21%
20044-2.04%-2.16%-2.20%$10,417$10,530$10,629-1.89%-2.61%-4.56%
200451.29%1.21%1.08%$10,551$10,657$10,7431.71%-0.42%-1.76%
200461.60%1.68%1.61%$10,719$10,836$10,9161.85%0.57%2.00%
20047-2.41%-2.30%-2.05%$10,461$10,587$10,692-3.22%0.97%2.83%
200480.59%0.71%0.81%$10,523$10,662$10,7780.24%1.95%3.93%
200490.83%0.93%0.88%$10,610$10,762$10,8741.00%0.17%1.81%
2004101.20%1.27%1.24%$10,738$10,898$11,0091.29%0.85%1.98%
2004113.39%3.51%3.19%$11,102$11,280$11,3604.45%-0.80%1.24%
2004122.61%2.74%2.62%$11,391$11,589$11,6583.02%0.92%3.13%
20051-1.66%-1.65%-1.48%$11,202$11,398$11,485-2.24%0.66%0.82%
200521.54%1.78%1.61%$11,374$11,601$11,6702.09%-0.62%3.32%
20053-1.56%-1.71%-1.63%$11,197$11,403$11,481-1.83%-0.48%-2.88%
20054-1.22%-1.21%-1.01%$11,060$11,265$11,364-1.87%1.36%1.47%
200552.77%2.94%2.80%$11,367$11,596$11,6833.22%1.06%3.67%
200560.23%0.33%0.35%$11,394$11,634$11,7250.15%0.56%2.05%
200572.86%2.93%2.64%$11,720$11,975$12,0343.83%-0.89%0.37%
20058-0.50%-0.47%-0.34%$11,661$11,919$11,994-0.94%1.26%1.70%
200590.42%0.66%0.54%$11,710$11,997$12,0590.80%-1.09%2.68%
200510-2.06%-2.07%-1.98%$11,469$11,748$11,820-2.37%-0.80%-1.18%
2005113.61%3.70%3.46%$11,883$12,183$12,2294.40%0.49%2.10%
2005120.04%0.12%0.19%$11,888$12,197$12,253-0.19%1.00%2.11%
200611.90%2.03%1.88%$12,114$12,445$12,4832.40%-0.10%1.99%
200620.54%0.67%0.66%$12,179$12,528$12,5650.57%0.38%2.58%
200631.13%1.06%0.90%$12,317$12,660$12,6781.65%-0.99%-2.10%
200640.98%1.01%0.93%$12,438$12,788$12,7961.26%-0.20%0.32%
20065-2.46%-2.63%-2.46%$12,132$12,452$12,481-3.01%-0.09%-3.06%
200660.23%0.24%0.23%$12,161$12,482$12,5090.26%0.11%0.18%
200670.62%0.74%0.80%$12,236$12,575$12,6090.45%1.35%3.40%
200682.08%2.12%2.09%$12,491$12,841$12,8722.18%1.65%2.31%
200692.33%2.32%2.21%$12,782$13,139$13,1562.70%0.82%0.60%
2006102.69%2.76%2.62%$13,126$13,502$13,5013.15%0.73%2.04%
2006111.82%1.84%1.79%$13,365$13,750$13,7431.99%1.12%1.45%
2006121.00%1.10%1.00%$13,499$13,902$13,8811.34%-0.47%1.37%
200711.19%1.19%1.10%$13,659$14,068$14,0331.50%-0.07%0.03%
20072-1.28%-1.29%-1.09%$13,485$13,886$13,881-1.96%1.51%1.22%
200730.93%0.98%0.92%$13,610$14,023$14,0081.16%0.03%0.91%
200743.64%3.70%3.46%$14,106$14,542$14,4934.43%0.52%1.46%
200752.58%2.63%2.39%$14,470$14,924$14,8393.39%-0.77%0.15%
20076-1.26%-1.34%-1.27%$14,288$14,725$14,650-1.46%-0.38%-1.70%
20077-2.37%-2.51%-2.28%$13,949$14,355$14,316-3.13%0.85%-1.54%
200781.30%1.24%1.24%$14,130$14,533$14,4941.28%1.35%0.33%
200793.25%3.41%3.22%$14,589$15,028$14,9613.87%0.73%3.37%
2007101.28%1.35%1.33%$14,775$15,231$15,1591.36%0.93%2.26%
200711-2.76%-2.95%-2.62%$14,367$14,781$14,762-3.87%1.92%-1.42%
200712-0.86%-0.83%-0.75%$14,243$14,658$14,651-1.13%0.22%0.72%
20081-4.50%-4.57%-4.11%$13,602$13,988$14,050-6.05%1.70%0.48%
20082-1.99%-2.00%-1.82%$13,331$13,709$13,794-2.58%0.20%0.16%
20083-0.64%-0.76%-0.68%$13,246$13,606$13,700-0.90%0.30%-1.48%
200843.65%3.74%3.42%$13,730$14,115$14,1694.77%-0.29%0.99%
200851.03%1.13%0.98%$13,871$14,274$14,3081.51%-0.78%0.78%
20086-6.62%-6.77%-6.26%$12,953$13,307$13,413-8.35%0.00%-2.48%
20087-0.70%-0.59%-0.54%$12,863$13,228$13,341-0.90%0.01%1.62%
200881.36%1.32%1.27%$13,038$13,404$13,5111.55%0.71%0.20%
20089-7.58%-8.00%-7.46%$12,049$12,332$12,503-9.44%-1.10%-7.32%
200810-13.19%-14.22%-13.26%$10,460$10,578$10,845-16.52%-2.53%-17.22%
200811-4.12%-4.51%-3.72%$10,029$10,102$10,441-6.96%3.65%-0.17%
2008121.66%1.88%2.06%$10,196$10,292$10,6560.98%3.33%7.21%
20091-6.71%-6.59%-6.14%$9,512$9,614$10,002-8.21%-0.69%1.25%
20092-8.55%-8.64%-7.99%$8,699$8,783$9,202-10.74%-0.42%-2.00%
200936.76%6.94%6.49%$9,287$9,393$9,7998.35%1.49%4.17%
200947.83%8.18%7.57%$10,013$10,162$10,5419.93%0.36%5.84%
200954.82%5.13%4.82%$10,496$10,683$11,0505.85%0.86%5.77%
200960.05%0.14%0.17%$10,502$10,697$11,069-0.07%0.55%1.73%
200976.27%6.36%6.00%$11,160$11,378$11,7337.46%1.44%3.45%
200983.19%3.31%3.16%$11,516$11,754$12,1033.69%1.02%3.15%
200993.11%3.38%3.25%$11,874$12,151$12,4963.55%1.20%5.56%
200910-1.50%-1.49%-1.36%$11,696$11,970$12,327-1.92%0.42%0.18%
2009115.27%5.16%4.89%$12,313$12,588$12,9306.16%1.37%0.55%
2009121.27%1.41%1.21%$12,469$12,766$13,0871.91%-1.67%1.03%
20101-2.59%-2.65%-2.34%$12,146$12,427$12,781-3.63%1.58%0.59%
201022.51%2.59%2.41%$12,451$12,749$13,0893.12%0.20%1.45%
201034.83%4.99%4.62%$13,053$13,386$13,6946.09%-0.07%2.55%
201041.45%1.45%1.42%$13,243$13,580$13,8891.55%1.07%1.04%
20105-6.24%-6.44%-5.93%$12,417$12,705$13,066-7.95%0.88%-2.79%
20106-3.76%-3.74%-3.32%$11,950$12,230$12,632-5.17%1.62%1.96%
201075.54%5.75%5.37%$12,612$12,933$13,3106.83%0.95%4.22%
20108-3.24%-3.21%-2.84%$12,203$12,518$12,933-4.50%1.49%1.83%
201096.98%7.10%6.53%$13,055$13,408$13,7788.96%-0.00%2.06%
2010103.11%3.19%2.98%$13,461$13,836$14,1893.82%0.37%1.82%
201011-0.11%-0.27%-0.30%$13,446$13,799$14,1460.00%-0.56%-2.95%
2010125.12%5.24%4.77%$14,134$14,522$14,8216.68%-1.14%0.99%
201111.88%1.85%1.71%$14,400$14,790$15,0742.33%0.09%-0.51%
201122.82%2.84%2.64%$14,807$15,209$15,4723.47%0.17%0.34%
201130.01%0.10%0.10%$14,808$15,225$15,4880.01%0.00%1.64%
201142.60%2.62%2.53%$15,193$15,623$15,8802.90%1.33%1.73%
20115-0.66%-0.68%-0.54%$15,092$15,518$15,794-1.12%1.31%1.00%
20116-1.44%-1.39%-1.32%$14,876$15,301$15,586-1.69%-0.38%0.32%
20117-1.30%-1.29%-1.08%$14,682$15,103$15,417-2.00%1.58%1.65%
20118-4.10%-4.24%-3.82%$14,080$14,463$14,829-5.50%1.47%-0.86%
20119-5.28%-5.76%-5.27%$13,337$13,630$14,047-6.94%0.90%-6.67%
2011108.49%8.91%8.20%$14,468$14,844$15,20010.91%0.17%6.20%
201111-0.38%-0.46%-0.45%$14,413$14,776$15,131-0.41%-0.29%-1.59%
2011121.05%1.03%1.03%$14,565$14,928$15,2861.04%1.09%0.66%
201213.89%4.03%3.80%$15,131$15,529$15,8684.64%0.88%3.26%
201223.49%3.68%3.43%$15,659$16,101$16,4124.34%-0.04%3.29%
201232.50%2.54%2.32%$16,051$16,510$16,7933.22%-0.57%0.17%
20124-0.34%-0.34%-0.24%$15,997$16,454$16,753-0.67%1.15%1.03%
20125-4.72%-4.97%-4.58%$15,242$15,636$15,986-6.01%0.96%-3.64%
201263.27%3.47%3.23%$15,740$16,178$16,5024.05%0.04%3.41%
201271.22%1.38%1.39%$15,933$16,401$16,7321.18%1.39%3.96%
201282.04%2.12%1.97%$16,257$16,748$17,0622.51%0.04%1.48%
201292.08%2.16%2.03%$16,596$17,110$17,4082.54%0.12%1.57%
201210-1.47%-1.40%-1.29%$16,353$16,871$17,183-1.82%0.12%1.10%
2012110.50%0.58%0.56%$16,435$16,969$17,2790.57%0.20%1.53%
2012120.70%0.77%0.71%$16,549$17,100$17,4020.90%-0.19%1.13%
201313.95%3.94%3.59%$17,204$17,774$18,0285.12%-0.70%-0.91%
201321.14%1.11%1.07%$17,399$17,971$18,2201.28%0.55%0.07%
201333.09%3.06%2.84%$17,938$18,521$18,7383.80%0.09%-0.57%
201341.74%1.82%1.77%$18,249$18,858$19,0691.92%0.92%2.45%
201351.62%1.51%1.28%$18,545$19,143$19,3132.36%-1.70%-3.67%
20136-1.39%-1.57%-1.59%$18,287$18,842$19,006-1.34%-1.64%-5.14%
201374.29%4.32%4.05%$19,072$19,656$19,7755.17%0.21%0.53%
20138-2.60%-2.71%-2.58%$18,576$19,124$19,264-3.00%-0.63%-2.80%
201392.79%2.87%2.75%$19,094$19,673$19,7943.17%0.97%2.54%
2013103.98%4.06%3.86%$19,854$20,472$20,5584.63%0.79%2.35%
2013112.42%2.31%2.14%$20,334$20,945$20,9972.96%-0.34%-2.72%
2013122.07%2.15%1.98%$20,755$21,394$21,4132.59%-0.64%0.79%
20141-2.51%-2.68%-2.37%$20,235$20,821$20,905-3.52%1.55%-1.28%
201423.71%3.88%3.63%$20,984$21,629$21,6634.55%0.49%3.25%
201430.64%0.73%0.67%$21,118$21,787$21,8090.83%-0.14%1.48%
201440.71%0.74%0.75%$21,268$21,949$21,9720.70%0.78%1.25%
201452.07%2.20%2.13%$21,708$22,433$22,4402.32%1.06%3.30%
201461.68%1.71%1.60%$22,072$22,817$22,7982.06%0.12%0.75%
20147-1.13%-1.12%-1.05%$21,823$22,562$22,558-1.34%-0.25%-0.09%
201483.39%3.32%3.16%$22,564$23,312$23,2703.95%1.14%0.09%
20149-1.25%-1.38%-1.34%$22,281$22,991$22,958-1.38%-0.71%-2.84%
2014102.08%2.13%2.04%$22,745$23,479$23,4282.36%0.95%1.70%
2014112.35%2.25%2.13%$23,279$24,009$23,9272.75%0.66%-0.88%
201412-0.19%-0.38%-0.36%$23,235$23,916$23,840-0.26%0.10%-3.33%
20151-1.91%-2.03%-1.71%$22,793$23,431$23,432-2.96%2.32%0.28%
201524.22%4.39%3.98%$23,755$24,460$24,3645.62%-1.07%1.53%
20153-1.18%-1.23%-1.11%$23,475$24,159$24,092-1.57%0.42%-0.47%
201540.71%0.90%0.82%$23,643$24,375$24,2890.98%-0.35%2.70%
201550.94%0.93%0.82%$23,865$24,602$24,4901.29%-0.44%-0.64%
20156-1.83%-1.87%-1.81%$23,429$24,141$24,046-2.03%-1.00%-1.78%
201571.96%1.93%1.84%$23,889$24,606$24,4882.26%0.77%0.18%
20158-4.97%-5.02%-4.68%$22,702$23,371$23,342-6.10%-0.35%-1.19%
20159-1.86%-2.01%-1.81%$22,279$22,902$22,920-2.54%0.76%-1.60%
2015106.72%6.94%6.41%$23,775$24,492$24,3918.51%0.02%3.51%
2015110.24%0.28%0.25%$23,833$24,561$24,4510.37%-0.26%0.43%
201512-1.45%-1.56%-1.48%$23,487$24,178$24,089-1.72%-0.37%-2.17%
20161-3.70%-3.84%-3.45%$22,619$23,250$23,257-4.98%1.44%-0.92%
201620.08%0.14%0.19%$22,636$23,284$23,301-0.08%0.67%1.78%
201635.50%5.71%5.35%$23,881$24,614$24,5486.72%0.95%4.23%
201640.39%0.54%0.54%$23,975$24,746$24,6800.39%0.39%2.76%
201651.36%1.35%1.25%$24,301$25,080$24,9881.70%0.02%-0.13%
201660.67%0.78%0.88%$24,464$25,276$25,2070.35%1.94%3.73%
201673.04%3.13%2.95%$25,207$26,068$25,9523.65%0.65%2.24%
201680.06%0.18%0.17%$25,223$26,116$25,9950.12%-0.16%1.73%
20169-0.01%0.06%0.06%$25,221$26,132$26,0100.01%-0.08%1.03%
201610-1.55%-1.55%-1.50%$24,830$25,726$25,620-1.73%-0.80%-0.95%
2016112.43%2.33%1.95%$25,433$26,325$26,1203.68%-2.63%-3.67%
2016121.69%1.80%1.70%$25,864$26,800$26,5652.03%0.25%2.18%
201711.49%1.57%1.48%$26,250$27,221$26,9591.79%0.30%1.65%
201723.28%3.39%3.19%$27,112$28,143$27,8193.93%0.67%2.39%
201730.09%0.09%0.08%$27,136$28,170$27,8420.13%-0.06%0.03%
201740.95%1.01%1.00%$27,394$28,455$28,1210.99%0.77%1.83%
201751.27%1.27%1.23%$27,742$28,817$28,4671.41%0.68%0.74%
201760.52%0.49%0.45%$27,886$28,958$28,5960.64%0.02%-0.48%
201771.74%1.74%1.65%$28,371$29,463$29,0672.06%0.40%0.49%
201780.40%0.45%0.49%$28,484$29,597$29,2090.29%0.86%1.80%
201791.54%1.59%1.45%$28,922$30,068$29,6312.01%-0.53%0.56%
2017101.94%1.93%1.81%$29,484$30,650$30,1672.36%0.12%0.06%
2017112.47%2.42%2.24%$30,213$31,392$30,8433.06%-0.16%-0.93%
2017121.07%1.08%1.04%$30,538$31,730$31,1621.21%0.45%0.54%
201814.29%4.38%3.98%$31,848$33,120$32,4025.64%-1.09%0.40%
20182-3.14%-3.19%-3.04%$30,848$32,065$31,419-3.64%-1.02%-1.86%
20183-2.09%-2.09%-1.89%$30,204$31,395$30,824-2.74%0.63%0.58%
201840.25%0.21%0.13%$30,280$31,462$30,8650.52%-0.82%-1.43%
201852.07%1.90%1.79%$30,908$32,059$31,4182.43%0.62%-2.35%
201860.47%0.36%0.32%$31,053$32,173$31,5200.58%0.04%-1.99%
201873.00%3.13%2.91%$31,984$33,179$32,4373.70%0.04%2.23%
201882.69%2.49%2.34%$32,845$34,006$33,1963.19%0.52%-3.16%
201890.39%0.56%0.50%$32,972$34,196$33,3600.59%-0.53%2.71%
201810-5.78%-5.88%-5.54%$31,065$32,184$31,514-6.91%-0.72%-2.46%
2018111.60%1.51%1.44%$31,563$32,671$31,9661.85%0.53%-1.14%
201812-6.78%-6.85%-6.23%$29,423$30,434$29,975-8.79%1.81%1.19%
201916.61%6.91%6.49%$31,367$32,536$31,9198.01%1.02%5.99%
201922.62%2.64%2.45%$32,188$33,396$32,7023.24%-0.05%0.50%
201931.84%1.77%1.78%$32,779$33,987$33,2831.81%1.96%0.79%
201943.34%3.31%3.08%$33,874$35,112$34,3094.09%0.05%-0.33%
20195-4.91%-4.98%-4.53%$32,212$33,362$32,755-6.38%1.84%0.23%
201965.85%5.98%5.64%$34,096$35,356$34,6026.96%1.16%3.44%
201971.28%1.28%1.21%$34,531$35,808$35,0191.51%0.23%0.27%
20198-0.86%-1.15%-0.90%$34,233$35,396$34,703-1.67%2.79%-2.40%
201991.47%1.49%1.34%$34,736$35,923$35,1691.95%-0.59%-0.29%
2019101.84%1.86%1.75%$35,377$36,592$35,7852.21%0.22%0.53%
2019112.95%2.93%2.73%$36,422$37,665$36,7613.62%-0.06%-0.44%
2019122.37%2.52%2.35%$37,285$38,614$37,6262.90%-0.14%2.72%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value36.37%36.35%33.24%
Large-cap Growth43.16%43.25%40.39%
Mid-cap Value0.00%0.52%0.74%
Mid-cap Growth0.49%0.15%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.35%1.80%1.91%
Corporate Bonds3.54%5.06%5.90%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries6.40%5.10%7.16%
Short-Term Treasuries9.69%7.77%10.66%
R Squared99.88%99.82%99.78%
Style analysis is based on monthly returns from Apr 2005 to Dec 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend80.00%0.09%25.14$24,830100.13%
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond20.00%0.05%6.45$2,455-0.13%
100.00%0.09%25.146.45$27,285100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend80.00%0.09%25.14$25,54797.01%
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond14.00%0.05%6.45$1,762-0.07%
PREMXT. Rowe Price Emerging Markets BondEmerging Markets Bond6.00%0.90%7.51$1,3053.06%
100.00%0.14%25.146.77$28,614100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend74.00%0.09%25.14$23,78096.58%
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond20.00%0.05%6.45$2,5250.06%
PREMXT. Rowe Price Emerging Markets BondEmerging Markets Bond6.00%0.90%7.51$1,3213.36%
100.00%0.13%25.146.69$27,626100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/07/2020. (c) 2020 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)0.66%0.68%0.66%
Arithmetic Mean (annualized)8.24%8.49%8.23%
Geometric Mean (monthly)0.61%0.63%0.62%
Geometric Mean (annualized)7.58%7.79%7.64%
Volatility (monthly)3.17%3.28%3.03%
Volatility (annualized)10.98%11.35%10.49%
Downside Deviation (monthly)2.13%2.21%2.03%
Max. Drawdown-41.12%-42.34%-39.30%
US Market Correlation0.990.990.99
Beta(*)0.760.790.72
Alpha (annualized)1.01%1.01%1.33%
R298.55%98.52%98.03%
Sharpe Ratio0.600.600.63
Sortino Ratio0.880.880.92
Treynor Ratio (%)8.728.749.15
Calmar Ratio1.201.181.21
Active Return-0.80%-0.59%-0.74%
Tracking Error3.68%3.37%4.22%
Information Ratio-0.22-0.17-0.18
Skewness-0.74-0.77-0.78
Excess Kurtosis1.722.002.08
Historical Value-at-Risk (5%)-5.74%-5.92%-5.56%
Analytical Value-at-Risk (5%)-4.62%-4.76%-4.39%
Conditional Value-at-Risk (5%)-7.49%-7.78%-7.17%
Upside Capture Ratio (%)77.1079.6274.10
Downside Capture Ratio (%)74.6676.9370.23
Safe Withdrawal Rate7.09%7.26%7.32%
Perpetual Withdrawal Rate5.09%5.28%5.14%
Positive Periods145 out of 216 (67.13%)146 out of 216 (67.59%)146 out of 216 (67.59%)
Gain/Loss Ratio0.840.820.85
* 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
Subprime CrisisNov 2007Mar 2009-41.12%-42.34%-39.30%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-41.12%
2Apr 2002Sep 20026 monthsDec 20031 year 3 months1 year 9 months-21.10%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.22%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-10.76%
5Aug 2015Sep 20152 monthsApr 20167 months9 months-6.74%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-5.16%
7Apr 2012May 20122 monthsAug 20123 months5 months-5.04%
8May 2019May 20191 monthJun 20191 month2 months-4.91%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.60%
10Mar 2004Apr 20042 monthsOct 20046 months8 months-2.92%
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-42.34%
2Apr 2002Sep 20026 monthsNov 20031 year 2 months1 year 8 months-21.81%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.76%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-11.00%
5Aug 2015Sep 20152 monthsMar 20166 months8 months-6.93%
6Apr 2012May 20122 monthsAug 20123 months5 months-5.29%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.21%
8May 2019May 20191 monthJun 20191 month2 months-4.98%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.81%
10Mar 2004Apr 20042 monthsOct 20046 months8 months-2.95%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-39.30%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-19.75%
3May 2011Sep 20115 monthsFeb 20125 months10 months-11.54%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-10.15%
5Jun 2015Sep 20154 monthsMar 20166 months10 months-6.41%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-4.87%
7Apr 2012May 20122 monthsAug 20123 months5 months-4.80%
8May 2019May 20191 monthJun 20191 month2 months-4.53%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.52%
10Mar 2004Apr 20042 monthsOct 20046 months8 months-2.87%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust8.01%13.95%32.31%-36.81%-50.80%0.530.761.00
VBTLXVanguard Total Bond Market Index Adm4.36%3.43%8.71%-2.15%-3.94%0.881.48-0.09
PREMXT. Rowe Price Emerging Markets Bond8.36%9.28%34.95%-17.71%-23.95%0.771.110.58

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYVBTLXPREMXPortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust1.00-0.080.581.001.000.99
VBTLXVanguard Total Bond Market Index Adm-0.081.000.44-0.02-0.020.01
PREMXT. Rowe Price Emerging Markets Bond0.580.441.000.610.630.64

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust$24,830$25,547$23,780
VBTLXVanguard Total Bond Market Index Adm$2,455$1,762$2,525
PREMXT. Rowe Price Emerging Markets Bond$1,305$1,321

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust100.13%97.01%96.58%
VBTLXVanguard Total Bond Market Index Adm-0.13%-0.07%0.06%
PREMXT. Rowe Price Emerging Markets Bond3.06%3.36%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.57%26.72%-28.42%8.85%26.88%-29.79%8.53%25.53%-27.27%
3 years8.05%16.85%-4.99%8.27%17.01%-5.50%8.04%15.97%-4.55%
5 years7.74%15.28%-0.42%7.92%15.76%-0.46%7.73%14.98%0.05%
7 years7.55%12.66%0.28%7.70%12.98%0.41%7.54%12.36%0.91%
10 years7.75%11.58%3.83%7.92%11.70%4.09%7.76%11.14%4.34%
15 years7.72%8.95%6.54%7.93%9.22%6.79%7.74%8.94%6.73%
Result statistics are based on annualized rolling returns over full calendar year periods