Backtest Portfolio Asset Allocation

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

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Portfolio Assets 
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 2002 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VBTLX Vanguard Total Bond Market Index Adm 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VIPSX Vanguard Inflation-Protected Secs Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,486 4.36% 4.56%14.15%-3.09%-4.49% 0.681.16-0.30
Portfolio 2$10,000$21,571 4.38% 3.43%8.86%-2.15%-3.94% 0.891.51-0.09
Portfolio 3$10,000$22,911 4.74% 5.88%16.61%-8.92%-12.50% 0.600.910.04
   
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.
  • The annual results for 2019 are based on full calendar months from January to November
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Inflation-Protected Secs Inv (VIPSX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20022.38%14.15%8.32%16.61%$11,415$10,832$11,66114.15%8.32%16.61%
20031.88%2.37%4.04%8.00%$11,685$11,270$12,5942.37%4.04%8.00%
20043.26%3.40%4.33%8.24%$12,083$11,758$13,6323.40%4.33%8.24%
20053.42%2.32%2.49%2.59%$12,363$12,050$13,9852.32%2.49%2.59%
20062.54%3.14%4.36%0.43%$12,750$12,576$14,0453.14%4.36%0.43%
20074.08%9.98%7.02%11.59%$14,023$13,458$15,6739.98%7.02%11.59%
20080.09%13.32%5.15%-2.85%$15,891$14,151$15,22613.32%5.15%-2.85%
20092.72%-1.69%6.04%10.80%$15,623$15,006$16,871-1.69%6.04%10.80%
20101.50%7.35%6.54%6.17%$16,772$15,987$17,9117.35%6.54%6.17%
20112.96%9.80%7.69%13.24%$18,415$17,216$20,2829.80%7.69%13.24%
20121.74%2.67%4.15%6.78%$18,908$17,931$21,6562.67%4.15%6.78%
20131.50%-3.09%-2.15%-8.92%$18,324$17,546$19,725-3.09%-2.15%-8.92%
20140.76%4.32%5.89%3.83%$19,115$18,581$20,4804.32%5.89%3.83%
20150.73%1.50%0.40%-1.83%$19,403$18,655$20,1061.50%0.40%-1.83%
20162.07%1.19%2.60%4.52%$19,633$19,139$21,0151.19%2.60%4.52%
20172.11%1.57%3.56%2.81%$19,941$19,820$21,6071.57%3.56%2.81%
20181.91%1.00%-0.03%-1.49%$20,141$19,814$21,2851.00%-0.03%-1.49%
20192.43%6.68%8.86%7.64%$21,486$21,571$22,9116.68%8.86%7.64%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Inflation-Protected Secs Inv (VIPSX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200210.45%0.69%0.56%$10,045$10,069$10,0560.45%0.69%0.56%
200221.29%0.86%1.59%$10,175$10,156$10,2171.29%0.86%1.59%
20023-2.30%-1.46%-0.64%$9,941$10,008$10,151-2.30%-1.46%-0.64%
200242.62%1.70%2.79%$10,201$10,178$10,4342.62%1.70%2.79%
200251.04%0.80%1.54%$10,307$10,259$10,5951.04%0.80%1.54%
200261.72%0.29%1.34%$10,484$10,290$10,7371.72%0.29%1.34%
200272.66%0.49%1.70%$10,763$10,340$10,9192.66%0.49%1.70%
200282.42%1.67%3.60%$11,023$10,512$11,3122.42%1.67%3.60%
200293.03%1.53%2.46%$11,357$10,673$11,5913.03%1.53%2.46%
200210-0.70%-0.61%-2.75%$11,277$10,609$11,272-0.70%-0.61%-2.75%
200211-1.32%0.03%0.00%$11,128$10,612$11,272-1.32%0.03%0.00%
2002122.58%2.08%3.45%$11,415$10,832$11,6612.58%2.08%3.45%
20031-0.49%0.06%0.59%$11,358$10,838$11,730-0.49%0.06%0.59%
200321.77%1.38%3.69%$11,560$10,987$12,1631.77%1.38%3.69%
20033-0.19%-0.12%-1.62%$11,538$10,974$11,966-0.19%-0.12%-1.62%
200340.24%0.87%-0.33%$11,566$11,070$11,9270.24%0.87%-0.33%
200352.74%1.83%4.73%$11,882$11,272$12,4912.74%1.83%4.73%
20036-0.43%-0.13%-0.88%$11,831$11,257$12,381-0.43%-0.13%-0.88%
20037-3.87%-3.33%-4.47%$11,373$10,882$11,827-3.87%-3.33%-4.47%
200380.19%0.62%1.70%$11,394$10,949$12,0290.19%0.62%1.70%
200393.09%2.71%3.18%$11,746$11,246$12,4113.09%2.71%3.18%
200310-1.36%-0.95%0.49%$11,586$11,139$12,472-1.36%-0.95%0.49%
2003110.01%0.28%0.08%$11,587$11,170$12,4820.01%0.28%0.08%
2003120.85%0.89%0.90%$11,685$11,270$12,5940.85%0.89%0.90%
200410.81%0.87%1.23%$11,780$11,368$12,7490.81%0.87%1.23%
200421.23%1.04%2.18%$11,925$11,486$13,0271.23%1.04%2.18%
200431.06%0.80%1.50%$12,052$11,578$13,2231.06%0.80%1.50%
20044-3.25%-2.61%-4.69%$11,660$11,276$12,602-3.25%-2.61%-4.69%
20045-0.51%-0.42%1.72%$11,601$11,229$12,820-0.51%-0.42%1.72%
200460.54%0.57%-0.02%$11,663$11,293$12,8170.54%0.57%-0.02%
200470.91%0.97%0.99%$11,769$11,403$12,9430.91%0.97%0.99%
200482.07%1.95%2.60%$12,013$11,625$13,2802.07%1.95%2.60%
200490.19%0.17%0.24%$12,036$11,644$13,3120.19%0.17%0.24%
2004100.91%0.85%0.88%$12,146$11,744$13,4290.91%0.85%0.88%
200411-1.48%-0.80%-0.32%$11,966$11,650$13,387-1.48%-0.80%-0.32%
2004120.97%0.92%1.83%$12,083$11,758$13,6320.97%0.92%1.83%
200510.56%0.66%0.00%$12,150$11,835$13,6320.56%0.66%0.00%
20052-0.98%-0.62%-0.48%$12,031$11,762$13,566-0.98%-0.62%-0.48%
20053-0.51%-0.48%0.13%$11,970$11,705$13,585-0.51%-0.48%0.13%
200541.75%1.36%1.84%$12,179$11,865$13,8351.75%1.36%1.84%
200551.20%1.06%0.71%$12,325$11,990$13,9331.20%1.06%0.71%
200560.55%0.56%0.33%$12,393$12,058$13,9790.55%0.56%0.33%
20057-1.41%-0.89%-1.99%$12,219$11,950$13,701-1.41%-0.89%-1.99%
200581.65%1.26%2.19%$12,420$12,102$14,0011.65%1.26%2.19%
20059-1.14%-1.09%-0.09%$12,278$11,969$13,988-1.14%-1.09%-0.09%
200510-0.79%-0.80%-1.28%$12,180$11,873$13,809-0.79%-0.80%-1.28%
2005110.48%0.49%0.16%$12,238$11,931$13,8310.48%0.49%0.16%
2005121.01%1.00%1.11%$12,363$12,050$13,9851.01%1.00%1.11%
20061-0.34%-0.10%0.16%$12,321$12,038$14,008-0.34%-0.10%0.16%
200620.09%0.38%-0.16%$12,332$12,084$13,9850.09%0.38%-0.16%
20063-0.99%-0.99%-2.14%$12,210$11,964$13,686-0.99%-0.99%-2.14%
20064-0.37%-0.20%-0.08%$12,165$11,941$13,674-0.37%-0.20%-0.08%
200650.02%-0.09%0.25%$12,167$11,930$13,7090.02%-0.09%0.25%
200660.10%0.11%0.31%$12,179$11,943$13,7510.10%0.11%0.31%
200671.35%1.35%1.62%$12,344$12,105$13,9741.35%1.35%1.62%
200681.62%1.65%1.68%$12,544$12,305$14,2091.62%1.65%1.68%
200690.94%0.82%0.18%$12,662$12,406$14,2350.94%0.82%0.18%
2006100.57%0.73%-0.17%$12,734$12,496$14,2110.57%0.73%-0.17%
2006111.12%1.12%1.17%$12,877$12,635$14,3781.12%1.12%1.17%
200612-0.98%-0.47%-2.32%$12,750$12,576$14,045-0.98%-0.47%-2.32%
20071-0.26%-0.07%0.17%$12,718$12,567$14,068-0.26%-0.07%0.17%
200721.86%1.51%2.03%$12,954$12,756$14,3551.86%1.51%2.03%
200730.03%0.03%0.18%$12,958$12,760$14,3810.03%0.03%0.18%
200740.57%0.52%0.75%$13,031$12,826$14,4890.57%0.52%0.75%
20075-1.18%-0.77%-1.24%$12,876$12,728$14,309-1.18%-0.77%-1.24%
20076-0.18%-0.38%-0.20%$12,853$12,679$14,280-0.18%-0.38%-0.20%
200771.81%0.85%2.25%$13,085$12,787$14,6011.81%0.85%2.25%
200781.97%1.35%0.93%$13,343$12,959$14,7371.97%1.35%0.93%
200790.46%0.73%1.26%$13,405$13,054$14,9230.46%0.73%1.26%
2007100.84%0.93%1.17%$13,517$13,176$15,0970.84%0.93%1.17%
2007113.46%1.92%3.97%$13,984$13,428$15,6963.46%1.92%3.97%
2007120.27%0.22%-0.15%$14,023$13,458$15,6730.27%0.22%-0.15%
200813.10%1.70%3.78%$14,457$13,687$16,2643.10%1.70%3.78%
200821.35%0.20%1.39%$14,653$13,714$16,4911.35%0.20%1.39%
200830.93%0.30%0.09%$14,789$13,755$16,5050.93%0.30%0.09%
20084-2.14%-0.29%-2.08%$14,473$13,715$16,161-2.14%-0.29%-2.08%
20085-1.32%-0.78%0.08%$14,281$13,608$16,174-1.32%-0.78%0.08%
200860.77%0.00%1.90%$14,391$13,608$16,4820.77%0.00%1.90%
200870.77%0.01%-0.55%$14,503$13,609$16,3910.77%0.01%-0.55%
200880.98%0.71%0.55%$14,644$13,706$16,4820.98%0.71%0.55%
200890.51%-1.10%-3.88%$14,719$13,555$15,8420.51%-1.10%-3.88%
200810-1.36%-2.53%-8.83%$14,519$13,213$14,443-1.36%-2.53%-8.83%
2008115.58%3.65%0.18%$15,330$13,695$14,4695.58%3.65%0.18%
2008123.66%3.33%5.23%$15,891$14,151$15,2263.66%3.33%5.23%
20091-2.39%-0.69%0.95%$15,511$14,054$15,372-2.39%-0.69%0.95%
20092-0.58%-0.42%-1.63%$15,421$13,995$15,121-0.58%-0.42%-1.63%
200933.20%1.49%5.99%$15,915$14,203$16,0263.20%1.49%5.99%
20094-1.76%0.36%-1.90%$15,636$14,255$15,722-1.76%0.36%-1.90%
20095-1.10%0.86%1.85%$15,463$14,377$16,013-1.10%0.86%1.85%
20096-0.37%0.55%0.33%$15,406$14,455$16,066-0.37%0.55%0.33%
200970.60%1.44%0.08%$15,498$14,663$16,0790.60%1.44%0.08%
200980.89%1.02%1.07%$15,636$14,813$16,2510.89%1.02%1.07%
200990.92%1.20%1.87%$15,780$14,990$16,5550.92%1.20%1.87%
2009100.25%0.42%1.44%$15,820$15,054$16,7930.25%0.42%1.44%
2009111.96%1.37%2.76%$16,129$15,260$17,2561.96%1.37%2.76%
200912-3.13%-1.67%-2.23%$15,623$15,006$16,871-3.13%-1.67%-2.23%
201011.97%1.58%1.51%$15,931$15,243$17,1271.97%1.58%1.51%
201020.40%0.20%-1.18%$15,995$15,274$16,9250.40%0.20%-1.18%
20103-0.91%-0.07%0.04%$15,850$15,264$16,932-0.91%-0.07%0.04%
201041.23%1.07%2.47%$16,046$15,427$17,3511.23%1.07%2.47%
201051.85%0.88%0.08%$16,342$15,563$17,3651.85%0.88%0.08%
201062.07%1.62%1.32%$16,680$15,815$17,5932.07%1.62%1.32%
201071.07%0.95%-0.08%$16,859$15,965$17,5791.07%0.95%-0.08%
201082.00%1.49%1.93%$17,196$16,202$17,9192.00%1.49%1.93%
201090.36%-0.00%0.70%$17,259$16,202$18,0450.36%-0.00%0.70%
2010100.45%0.37%2.56%$17,336$16,262$18,5070.45%0.37%2.56%
201011-0.98%-0.56%-1.69%$17,166$16,171$18,194-0.98%-0.56%-1.69%
201012-2.29%-1.14%-1.55%$16,772$15,987$17,911-2.29%-1.14%-1.55%
201110.29%0.09%0.00%$16,821$16,002$17,9110.29%0.09%0.00%
20112-0.43%0.17%0.92%$16,749$16,029$18,077-0.43%0.17%0.92%
20113-0.12%0.00%0.91%$16,729$16,030$18,242-0.12%0.00%0.91%
201141.60%1.33%2.43%$16,997$16,243$18,6861.60%1.33%2.43%
201151.77%1.31%0.30%$17,297$16,456$18,7411.77%1.31%0.30%
20116-0.16%-0.38%0.65%$17,269$16,394$18,863-0.16%-0.38%0.65%
201172.18%1.58%3.87%$17,645$16,653$19,5942.18%1.58%3.87%
201182.70%1.47%0.86%$18,122$16,899$19,7622.70%1.47%0.86%
201190.73%0.90%0.06%$18,255$17,051$19,7750.73%0.90%0.06%
201110-0.42%0.17%1.93%$18,179$17,080$20,157-0.42%0.17%1.93%
2011110.29%-0.29%0.42%$18,232$17,030$20,2420.29%-0.29%0.42%
2011121.00%1.09%0.20%$18,415$17,216$20,2821.00%1.09%0.20%
201210.81%0.88%2.20%$18,564$17,368$20,7280.81%0.88%2.20%
20122-0.65%-0.04%-0.42%$18,442$17,362$20,641-0.65%-0.04%-0.42%
20123-0.79%-0.57%-1.07%$18,296$17,262$20,420-0.79%-0.57%-1.07%
201241.50%1.15%2.05%$18,571$17,460$20,8381.50%1.15%2.05%
201251.24%0.96%1.80%$18,801$17,627$21,2121.24%0.96%1.80%
20126-0.22%0.04%-0.62%$18,760$17,635$21,081-0.22%0.04%-0.62%
201270.86%1.39%1.85%$18,922$17,881$21,4710.86%1.39%1.85%
201280.10%0.04%-0.20%$18,941$17,888$21,4280.10%0.04%-0.20%
20129-0.06%0.12%0.49%$18,929$17,908$21,533-0.06%0.12%0.49%
201210-0.32%0.12%0.67%$18,869$17,930$21,678-0.32%0.12%0.67%
2012110.62%0.20%0.47%$18,986$17,966$21,7790.62%0.20%0.47%
201212-0.41%-0.19%-0.57%$18,908$17,931$21,656-0.41%-0.19%-0.57%
20131-0.74%-0.70%-0.69%$18,768$17,805$21,507-0.74%-0.70%-0.69%
201320.71%0.55%0.14%$18,902$17,903$21,5370.71%0.55%0.14%
201330.27%0.09%0.21%$18,953$17,920$21,5830.27%0.09%0.21%
201340.71%0.92%0.76%$19,088$18,085$21,7480.71%0.92%0.76%
20135-1.84%-1.70%-4.26%$18,737$17,778$20,820-1.84%-1.70%-4.26%
20136-1.62%-1.64%-3.94%$18,433$17,486$19,999-1.62%-1.64%-3.94%
201370.13%0.21%0.90%$18,456$17,522$20,1790.13%0.21%0.90%
20138-1.02%-0.63%-1.71%$18,268$17,411$19,834-1.02%-0.63%-1.71%
201391.47%0.97%1.68%$18,537$17,580$20,1671.47%0.97%1.68%
2013100.49%0.79%0.45%$18,627$17,719$20,2570.49%0.79%0.45%
201311-0.14%-0.34%-1.04%$18,601$17,659$20,046-0.14%-0.34%-1.04%
201312-1.49%-0.64%-1.60%$18,324$17,546$19,725-1.49%-0.64%-1.60%
201411.67%1.55%2.16%$18,629$17,819$20,1511.67%1.55%2.16%
201420.21%0.49%0.30%$18,668$17,906$20,2110.21%0.49%0.30%
20143-0.60%-0.14%-0.47%$18,557$17,881$20,117-0.60%-0.14%-0.47%
201440.49%0.78%1.36%$18,648$18,021$20,3910.49%0.78%1.36%
201451.03%1.06%2.01%$18,840$18,212$20,8021.03%1.06%2.01%
20146-0.13%0.12%0.31%$18,815$18,234$20,867-0.13%0.12%0.31%
20147-0.39%-0.25%0.00%$18,742$18,189$20,867-0.39%-0.25%0.00%
201481.03%1.14%0.51%$18,935$18,397$20,9741.03%1.14%0.51%
20149-0.66%-0.71%-2.49%$18,811$18,266$20,453-0.66%-0.71%-2.49%
2014101.12%0.95%0.75%$19,022$18,440$20,6061.12%0.95%0.75%
2014110.84%0.66%0.30%$19,183$18,562$20,6670.84%0.66%0.30%
201412-0.35%0.10%-0.91%$19,115$18,581$20,480-0.35%0.10%-0.91%
201512.70%2.32%3.11%$19,631$19,012$21,1172.70%2.32%3.11%
20152-1.59%-1.07%-1.40%$19,319$18,808$20,822-1.59%-1.07%-1.40%
201530.76%0.42%-0.42%$19,467$18,887$20,7340.76%0.42%-0.42%
20154-0.21%-0.35%0.67%$19,426$18,820$20,874-0.21%-0.35%0.67%
20155-0.12%-0.44%-1.04%$19,402$18,737$20,656-0.12%-0.44%-1.04%
20156-0.74%-1.00%-0.90%$19,259$18,549$20,470-0.74%-1.00%-0.90%
201570.85%0.77%0.46%$19,422$18,692$20,5630.85%0.77%0.46%
20158-0.03%-0.35%-0.91%$19,415$18,626$20,377-0.03%-0.35%-0.91%
201591.19%0.76%-0.46%$19,645$18,768$20,2831.19%0.76%-0.46%
201510-0.47%0.02%0.23%$19,553$18,772$20,330-0.47%0.02%0.23%
201511-0.39%-0.26%-0.15%$19,476$18,724$20,299-0.39%-0.26%-0.15%
201512-0.38%-0.37%-0.95%$19,403$18,655$20,106-0.38%-0.37%-0.95%
201612.36%1.44%1.56%$19,860$18,923$20,4192.36%1.44%1.56%
201620.82%0.67%1.07%$20,023$19,049$20,6380.82%0.67%1.07%
201630.22%0.95%1.90%$20,067$19,231$21,0300.22%0.95%1.90%
20164-0.13%0.39%0.15%$20,041$19,305$21,061-0.13%0.39%0.15%
20165-0.21%0.02%-0.67%$19,999$19,309$20,920-0.21%0.02%-0.67%
201662.05%1.94%2.26%$20,408$19,685$21,3942.05%1.94%2.26%
201670.04%0.65%0.66%$20,418$19,813$21,5350.04%0.65%0.66%
20168-0.72%-0.16%-0.44%$20,270$19,781$21,441-0.72%-0.16%-0.44%
201690.29%-0.08%0.73%$20,328$19,765$21,5970.29%-0.08%0.73%
201610-0.73%-0.80%-0.51%$20,178$19,607$21,488-0.73%-0.80%-0.51%
201611-2.65%-2.63%-2.04%$19,644$19,090$21,049-2.65%-2.63%-2.04%
201612-0.05%0.25%-0.16%$19,633$19,139$21,015-0.05%0.25%-0.16%
201710.30%0.30%1.00%$19,693$19,197$21,2260.30%0.30%1.00%
201720.39%0.67%0.38%$19,770$19,325$21,3070.39%0.67%0.38%
201730.07%-0.06%0.01%$19,783$19,313$21,3080.07%-0.06%0.01%
201740.77%0.77%0.46%$19,937$19,461$21,4050.77%0.77%0.46%
201750.59%0.68%0.00%$20,055$19,593$21,4050.59%0.68%0.00%
20176-0.47%0.02%-0.95%$19,960$19,598$21,201-0.47%0.02%-0.95%
201770.42%0.40%0.54%$20,043$19,676$21,3150.42%0.40%0.54%
201780.86%0.86%0.91%$20,215$19,845$21,5090.86%0.86%0.91%
20179-0.83%-0.53%-0.71%$20,047$19,740$21,357-0.83%-0.53%-0.71%
201710-0.21%0.12%0.23%$20,006$19,764$21,406-0.21%0.12%0.23%
201711-0.39%-0.16%0.08%$19,928$19,732$21,422-0.39%-0.16%0.08%
2017120.07%0.45%0.86%$19,941$19,820$21,6070.07%0.45%0.86%
20181-1.56%-1.09%-0.92%$19,631$19,605$21,408-1.56%-1.09%-0.92%
20182-0.49%-1.02%-0.93%$19,536$19,405$21,209-0.49%-1.02%-0.93%
201830.75%0.63%0.92%$19,681$19,528$21,4040.75%0.63%0.92%
20184-0.92%-0.82%-0.08%$19,501$19,367$21,388-0.92%-0.82%-0.08%
201850.76%0.62%0.23%$19,649$19,487$21,4380.76%0.62%0.23%
201860.11%0.04%0.69%$19,669$19,494$21,5860.11%0.04%0.69%
20187-0.35%0.04%-0.54%$19,601$19,503$21,469-0.35%0.04%-0.54%
201880.77%0.52%0.62%$19,751$19,605$21,6030.77%0.52%0.62%
20189-0.82%-0.53%-0.95%$19,590$19,500$21,398-0.82%-0.53%-0.95%
201810-0.06%-0.72%-1.42%$19,577$19,359$21,095-0.06%-0.72%-1.42%
2018110.96%0.53%0.40%$19,766$19,463$21,1790.96%0.53%0.40%
2018121.90%1.81%0.50%$20,141$19,814$21,2851.90%1.81%0.50%
201910.58%1.02%1.44%$20,259$20,016$21,5930.58%1.02%1.44%
20192-0.26%-0.05%-0.16%$20,206$20,005$21,558-0.26%-0.05%-0.16%
201931.78%1.96%1.90%$20,565$20,398$21,9681.78%1.96%1.90%
20194-0.05%0.05%0.23%$20,555$20,408$22,019-0.05%0.05%0.23%
201952.05%1.84%1.71%$20,976$20,783$22,3952.05%1.84%1.71%
201961.02%1.16%0.80%$21,191$21,025$22,5751.02%1.16%0.80%
20197-0.16%0.23%0.23%$21,157$21,074$22,626-0.16%0.23%0.23%
201982.48%2.79%2.27%$21,681$21,662$23,1402.48%2.79%2.27%
20199-0.70%-0.59%-1.07%$21,530$21,535$22,894-0.70%-0.59%-1.07%
2019100.16%0.22%-0.15%$21,565$21,583$22,8590.16%0.22%-0.15%
201911-0.37%-0.06%0.23%$21,486$21,571$22,911-0.37%-0.06%0.23%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%1.71%
Mid-cap Value0.54%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.94%0.00%
Emerging Markets0.28%1.65%
REITs0.00%0.57%
Corporate Bonds0.00%13.31%
Long-Term Treasuries0.00%2.60%
Intermediate-Term Treasuries63.60%29.58%
Short-Term Treasuries34.64%50.58%
R Squared97.51%91.29%
Style analysis is based on monthly returns from Apr 2005 to Nov 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.350.20%100.00%$11,486100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond6.180.05%100.00%$11,571100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VIPSXVanguard Inflation-Protected Secs InvInflation-Protected Bond7.410.20%100.00%$12,911100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/04/2019. (c) 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.36%0.36%0.40%
Arithmetic Mean (annualized)4.47%4.45%4.92%
Geometric Mean (monthly)0.36%0.36%0.39%
Geometric Mean (annualized)4.36%4.38%4.74%
Volatility (monthly)1.32%0.99%1.70%
Volatility (annualized)4.56%3.43%5.88%
Downside Deviation (monthly)0.72%0.54%1.09%
Max. Drawdown-4.49%-3.94%-12.50%
US Market Correlation-0.30-0.090.04
Beta(*)-0.10-0.020.02
Alpha (annualized)5.25%4.55%4.66%
R29.28%0.85%0.15%
Sharpe Ratio0.680.890.60
Sortino Ratio1.161.510.91
Treynor Ratio (%)-32.14-140.29219.81
Calmar Ratio0.861.701.21
Active Return-3.89%-3.87%-3.52%
Tracking Error16.34%15.07%15.30%
Information Ratio-0.24-0.26-0.23
Skewness0.15-0.22-0.73
Excess Kurtosis1.241.504.70
Historical Value-at-Risk (5%)-1.65%-1.09%-2.16%
Analytical Value-at-Risk (5%)-1.80%-1.27%-2.39%
Conditional Value-at-Risk (5%)-2.56%-1.98%-3.99%
Upside Capture Ratio (%)2.297.949.26
Downside Capture Ratio (%)-25.97-15.46-15.65
Safe Withdrawal Rate7.58%7.29%8.17%
Perpetual Withdrawal Rate2.26%2.29%2.63%
Positive Periods130 out of 215 (60.47%)146 out of 215 (67.91%)140 out of 215 (65.12%)
Gain/Loss Ratio1.371.240.98
* 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 2009-3.43%-3.94%-12.50%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Apr 20181 year 9 monthsMar 201911 months2 years 8 months-4.49%
2May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
3Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
4Apr 2004May 20042 monthsOct 20045 months7 months-3.74%
5Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
6Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
7Apr 2009Jun 20093 monthsNov 20095 months8 months-3.20%
8Dec 2009Dec 20091 monthMay 20105 months6 months-3.13%
9Jan 2009Feb 20092 monthsMar 20091 month3 months-2.96%
10Mar 2002Mar 20021 monthApr 20021 month2 months-2.30%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.94%
2May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.73%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.65%
4Jun 2003Jul 20032 monthsJan 20046 months8 months-3.46%
5Apr 2004May 20042 monthsAug 20043 months5 months-3.01%
6Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.45%
7Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.43%
8Sep 2005Oct 20052 monthsJul 20069 months11 months-1.89%
9Nov 2010Dec 20102 monthsMay 20115 months7 months-1.69%
10Dec 2009Dec 20091 monthFeb 20102 months3 months-1.67%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsSep 200911 months1 year 6 months-12.50%
2Dec 2012Dec 20131 year 1 monthMar 20195 years 3 months6 years 4 months-9.43%
3Jun 2003Jul 20032 monthsDec 20035 months7 months-5.32%
4Apr 2004Apr 20041 monthAug 20044 months5 months-4.69%
5Nov 2010Dec 20102 monthsApr 20114 months6 months-3.22%
6Oct 2002Oct 20021 monthDec 20022 months3 months-2.75%
7Feb 2006Apr 20063 monthsAug 20064 months7 months-2.38%
8Dec 2006Dec 20061 monthMar 20073 months4 months-2.32%
9Dec 2009Dec 20091 monthApr 20104 months5 months-2.23%
10Jul 2005Jul 20051 monthAug 20051 month2 months-1.99%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFITXVanguard Interm-Term Treasury Inv4.36%4.56%14.15%-3.09%-4.49%0.681.16-0.30
VBTLXVanguard Total Bond Market Index Adm4.38%3.43%8.86%-2.15%-3.94%0.891.51-0.09
VIPSXVanguard Inflation-Protected Secs Inv4.74%5.88%16.61%-8.92%-12.50%0.600.910.04

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFITXVBTLXVIPSXPortfolio 1Portfolio 2Portfolio 3
VFITXVanguard Interm-Term Treasury Inv-0.910.741.000.910.74
VBTLXVanguard Total Bond Market Index Adm0.91-0.790.911.000.79
VIPSXVanguard Inflation-Protected Secs Inv0.740.79-0.740.791.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFITXVanguard Interm-Term Treasury Inv$11,486
VBTLXVanguard Total Bond Market Index Adm$11,571
VIPSXVanguard Inflation-Protected Secs Inv$12,911

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFITXVanguard Interm-Term Treasury Inv100.00%
VBTLXVanguard Total Bond Market Index Adm100.00%
VIPSXVanguard Inflation-Protected Secs Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year4.31%14.15%-3.09%4.14%8.32%-2.15%4.74%16.61%-8.92%
3 years4.06%8.73%0.87%4.14%6.75%1.33%4.33%10.88%-2.45%
5 years4.24%7.63%1.07%4.27%6.48%2.02%4.20%7.63%-0.05%
7 years4.46%6.84%1.29%4.43%5.84%2.03%4.42%6.45%0.69%
10 years4.47%6.30%2.40%4.51%5.58%3.42%4.62%7.33%3.26%
15 years4.03%4.60%3.70%4.12%4.42%3.83%4.28%5.08%3.56%
Result statistics are based on annualized rolling returns over full calendar year periods