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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2001 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IJH iShares Core S&P Mid-Cap ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
IJR iShares Core S&P Small-Cap ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$35,580 6.91% 14.28%32.30%-37.02%-50.78% 0.440.621.00
Portfolio 2$10,000$50,999 8.95% 16.58%37.81%-36.18%-49.45% 0.520.750.95
Portfolio 3$10,000$57,458 9.64% 18.02%41.32%-31.52%-51.79% 0.520.770.90
Vanguard Total Stock Mkt Idx Inv$10,000$37,923 7.27% 14.74%33.35%-37.04%-50.89% 0.450.641.00
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares Core S&P 500 ETF (IVV)iShares Core S&P Mid-Cap ETF (IJH)iShares Core S&P Small-Cap ETF (IJR)
Portfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx InvPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
20011.55%-11.95%-1.24%6.43%-10.97%$8,805$9,876$10,643$8,903-11.95%-1.24%6.43%
20022.38%-21.55%-14.21%-14.31%-20.96%$6,908$8,472$9,120$7,037-21.55%-14.21%-14.31%
20031.88%28.46%35.21%38.50%31.35%$8,874$11,455$12,631$9,24428.46%35.21%38.50%
20043.26%10.79%16.09%22.41%12.51%$9,831$13,298$15,461$10,40010.79%16.09%22.41%
20053.42%4.87%12.88%7.53%5.98%$10,309$15,010$16,625$11,0224.87%12.88%7.53%
20062.54%15.94%9.67%15.09%15.51%$11,953$16,462$19,133$12,73215.94%9.67%15.09%
20074.08%5.29%7.30%-0.47%5.49%$12,586$17,664$19,043$13,4315.29%7.30%-0.47%
20080.09%-37.02%-36.18%-31.52%-37.04%$7,927$11,273$13,041$8,456-37.02%-36.18%-31.52%
20092.72%26.60%37.81%25.88%28.70%$10,035$15,536$16,417$10,88326.60%37.81%25.88%
20101.50%15.09%26.72%26.60%17.09%$11,549$19,687$20,784$12,74415.09%26.72%26.60%
20112.96%1.86%-2.18%0.79%0.96%$11,764$19,259$20,949$12,8661.86%-2.18%0.79%
20121.74%16.06%17.79%16.29%16.25%$13,653$22,684$24,362$14,95716.06%17.79%16.29%
20131.50%32.30%33.46%41.32%33.35%$18,063$30,274$34,429$19,94632.30%33.46%41.32%
20140.76%13.56%9.71%5.85%12.43%$20,513$33,213$36,442$22,42513.56%9.71%5.85%
20150.73%1.30%-2.33%-2.07%0.29%$20,779$32,439$35,686$22,4911.30%-2.33%-2.07%
20162.07%12.16%20.73%26.61%12.53%$23,304$39,163$45,182$25,30912.16%20.73%26.61%
20172.11%21.76%16.26%13.15%21.05%$28,376$45,532$51,124$30,63721.76%16.26%13.15%
20181.91%-4.47%-11.18%-8.49%-5.26%$27,108$40,443$46,782$29,027-4.47%-11.18%-8.49%
20192.29%31.25%26.10%22.82%30.65%$35,580$50,999$57,458$37,92331.25%26.10%22.82%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P 500 ETF (IVV)iShares Core S&P Mid-Cap ETF (IJH)iShares Core S&P Small-Cap ETF (IJR)
Portfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx InvPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
200114.22%1.66%4.75%3.83%$10,422$10,166$10,475$10,3834.22%1.66%4.75%
20012-9.37%-5.67%-5.94%-9.41%$9,445$9,590$9,853$9,405-9.37%-5.67%-5.94%
20013-5.73%-7.23%-4.58%-6.72%$8,904$8,897$9,401$8,773-5.73%-7.23%-4.58%
200147.27%11.31%7.85%8.16%$9,551$9,903$10,139$9,4907.27%11.31%7.85%
200150.42%2.20%2.04%1.01%$9,591$10,121$10,346$9,5850.42%2.20%2.04%
20016-2.14%-0.38%2.16%-1.64%$9,385$10,083$10,570$9,429-2.14%-0.38%2.16%
20017-1.13%-1.95%-0.67%-1.71%$9,279$9,886$10,499$9,267-1.13%-1.95%-0.67%
20018-5.83%-2.75%-1.80%-6.00%$8,738$9,614$10,310$8,711-5.83%-2.75%-1.80%
20019-8.61%-12.40%-14.13%-9.00%$7,986$8,422$8,854$7,927-8.61%-12.40%-14.13%
2001101.78%4.32%5.73%2.52%$8,128$8,785$9,361$8,1271.78%4.32%5.73%
2001117.76%7.29%6.59%7.63%$8,759$9,425$9,978$8,7477.76%7.29%6.59%
2001120.52%4.78%6.66%1.78%$8,805$9,876$10,643$8,9030.52%4.78%6.66%
20021-1.04%0.06%1.53%-1.24%$8,713$9,882$10,805$8,793-1.04%0.06%1.53%
20022-1.86%-0.41%-2.07%-2.05%$8,551$9,842$10,582$8,613-1.86%-0.41%-2.07%
200233.37%7.26%7.78%4.38%$8,839$10,556$11,405$8,9903.37%7.26%7.78%
20024-5.71%-0.26%3.18%-4.90%$8,334$10,529$11,769$8,549-5.71%-0.26%3.18%
20025-0.81%-1.82%-4.26%-1.22%$8,267$10,337$11,267$8,445-0.81%-1.82%-4.26%
20026-7.19%-7.34%-5.25%-7.06%$7,672$9,578$10,675$7,849-7.19%-7.34%-5.25%
20027-7.77%-9.57%-13.97%-8.02%$7,076$8,662$9,184$7,219-7.77%-9.57%-13.97%
200280.47%0.66%0.59%0.53%$7,110$8,719$9,238$7,2580.47%0.66%0.59%
20029-10.36%-8.25%-5.83%-10.07%$6,373$8,000$8,699$6,527-10.36%-8.25%-5.83%
2002108.32%4.33%2.91%7.65%$6,903$8,346$8,952$7,0268.32%4.33%2.91%
2002115.73%5.90%5.38%6.06%$7,298$8,838$9,434$7,4525.73%5.90%5.38%
200212-5.35%-4.14%-3.33%-5.57%$6,908$8,472$9,120$7,037-5.35%-4.14%-3.33%
20031-2.47%-3.25%-3.06%-2.54%$6,737$8,197$8,841$6,858-2.47%-3.25%-3.06%
20032-1.39%-2.26%-3.49%-1.69%$6,643$8,012$8,532$6,743-1.39%-2.26%-3.49%
200330.22%1.01%0.51%1.09%$6,658$8,093$8,575$6,8160.22%1.01%0.51%
200348.49%6.89%8.57%8.21%$7,223$8,650$9,310$7,3758.49%6.89%8.57%
200355.41%8.31%7.66%6.11%$7,614$9,369$10,024$7,8265.41%8.31%7.66%
200361.18%1.28%2.74%1.43%$7,704$9,489$10,298$7,9381.18%1.28%2.74%
200371.72%3.65%4.98%2.36%$7,837$9,835$10,811$8,1251.72%3.65%4.98%
200381.88%4.52%5.00%2.39%$7,984$10,280$11,351$8,3191.88%4.52%5.00%
20039-1.00%-1.63%-2.71%-1.15%$7,904$10,112$11,043$8,224-1.00%-1.63%-2.71%
2003105.41%7.88%8.64%6.12%$8,331$10,909$11,997$8,7275.41%7.88%8.64%
2003111.22%3.29%3.87%1.38%$8,432$11,267$12,461$8,8471.22%3.29%3.87%
2003125.23%1.66%1.36%4.48%$8,874$11,455$12,631$9,2445.23%1.66%1.36%
200412.15%2.07%2.96%2.23%$9,064$11,692$13,005$9,4502.15%2.07%2.96%
200421.26%2.57%1.83%1.43%$9,178$11,993$13,243$9,5851.26%2.57%1.83%
20043-1.23%0.61%1.51%-1.07%$9,065$12,066$13,443$9,482-1.23%0.61%1.51%
20044-1.87%-3.59%-3.89%-2.11%$8,895$11,633$12,920$9,283-1.87%-3.59%-3.89%
200451.67%2.25%2.16%1.35%$9,044$11,894$13,199$9,4071.67%2.25%2.16%
200461.78%2.22%5.50%2.09%$9,205$12,159$13,925$9,6041.78%2.22%5.50%
20047-3.13%-4.74%-5.51%-3.80%$8,917$11,583$13,158$9,239-3.13%-4.74%-5.51%
200480.20%0.05%-1.00%0.31%$8,934$11,589$13,027$9,2670.20%0.05%-1.00%
200490.96%2.78%4.96%1.74%$9,020$11,911$13,673$9,4290.96%2.78%4.96%
2004101.25%1.35%2.07%1.68%$9,133$12,072$13,956$9,5871.25%1.35%2.07%
2004114.43%6.03%8.78%4.68%$9,538$12,799$15,181$10,0364.43%6.03%8.78%
2004123.07%3.89%1.85%3.63%$9,831$13,298$15,461$10,4003.07%3.89%1.85%
20051-2.24%-2.34%-2.24%-2.68%$9,611$12,987$15,114$10,122-2.24%-2.34%-2.24%
200522.08%3.31%2.79%2.07%$9,810$13,417$15,536$10,3322.08%3.31%2.79%
20053-1.81%-1.18%-2.54%-1.75%$9,633$13,259$15,141$10,151-1.81%-1.18%-2.54%
20054-1.80%-3.60%-5.56%-2.32%$9,460$12,782$14,298$9,915-1.80%-3.60%-5.56%
200553.15%5.72%6.47%3.77%$9,757$13,513$15,223$10,2893.15%5.72%6.47%
200560.13%2.47%3.55%0.81%$9,769$13,847$15,763$10,3730.13%2.47%3.55%
200573.85%5.49%6.14%4.11%$10,146$14,607$16,731$10,7983.85%5.49%6.14%
20058-0.97%-0.97%-1.63%-0.94%$10,047$14,465$16,459$10,697-0.97%-0.97%-1.63%
200590.82%0.63%0.72%0.86%$10,130$14,556$16,578$10,7880.82%0.63%0.72%
200510-2.15%-3.06%-3.57%-1.86%$9,913$14,110$15,986$10,587-2.15%-3.06%-3.57%
2005114.16%5.70%5.15%3.97%$10,326$14,914$16,810$11,0074.16%5.70%5.15%
200512-0.16%0.64%-1.10%0.14%$10,309$15,010$16,625$11,022-0.16%0.64%-1.10%
200612.47%5.45%8.20%3.50%$10,564$15,828$17,989$11,4082.47%5.45%8.20%
200620.53%-0.40%-0.48%0.00%$10,620$15,765$17,902$11,4080.53%-0.40%-0.48%
200631.56%2.55%4.99%1.80%$10,786$16,166$18,796$11,6141.56%2.55%4.99%
200641.29%1.46%0.11%1.11%$10,926$16,403$18,817$11,7431.29%1.46%0.11%
20065-2.93%-4.53%-4.55%-3.23%$10,606$15,661$17,961$11,363-2.93%-4.53%-4.55%
200660.27%-0.49%-0.19%0.17%$10,634$15,584$17,926$11,3820.27%-0.49%-0.19%
200670.39%-3.05%-3.70%-0.13%$10,676$15,108$17,262$11,3680.39%-3.05%-3.70%
200682.20%1.23%1.81%2.31%$10,911$15,294$17,574$11,6312.20%1.23%1.81%
200692.67%0.91%0.88%2.27%$11,203$15,434$17,728$11,8942.67%0.91%0.88%
2006103.21%4.26%5.14%3.53%$11,562$16,090$18,639$12,3143.21%4.26%5.14%
2006111.96%3.05%2.62%2.23%$11,789$16,581$19,128$12,5891.96%3.05%2.62%
2006121.39%-0.72%0.03%1.13%$11,953$16,462$19,133$12,7321.39%-0.72%0.03%
200711.43%3.73%2.00%1.88%$12,124$17,076$19,516$12,9711.43%3.73%2.00%
20072-1.90%0.88%-0.64%-1.61%$11,894$17,226$19,391$12,762-1.90%0.88%-0.64%
200731.19%1.33%1.71%1.11%$12,035$17,455$19,723$12,9031.19%1.33%1.71%
200744.31%2.81%2.33%4.01%$12,555$17,946$20,182$13,4214.31%2.81%2.33%
200753.41%5.00%4.37%3.69%$12,983$18,844$21,065$13,9163.41%5.00%4.37%
20076-1.55%-2.02%-1.61%-1.67%$12,783$18,463$20,726$13,683-1.55%-2.02%-1.61%
20077-3.19%-4.92%-5.06%-3.41%$12,375$17,555$19,677$13,217-3.19%-4.92%-5.06%
200781.31%1.44%1.87%1.45%$12,537$17,808$20,044$13,4091.31%1.44%1.87%
200794.09%2.65%1.62%3.59%$13,050$18,280$20,368$13,8904.09%2.65%1.62%
2007101.41%2.48%1.72%1.85%$13,234$18,734$20,719$14,1471.41%2.48%1.72%
200711-4.11%-4.82%-7.12%-4.49%$12,690$17,830$19,244$13,512-4.11%-4.82%-7.12%
200712-0.82%-0.93%-1.05%-0.60%$12,586$17,664$19,043$13,431-0.82%-0.93%-1.05%
20081-6.27%-5.71%-5.40%-6.08%$11,797$16,655$18,015$12,614-6.27%-5.71%-5.40%
20082-2.76%-1.81%-2.37%-3.07%$11,472$16,354$17,587$12,227-2.76%-1.81%-2.37%
20083-0.63%-0.93%-0.08%-0.58%$11,399$16,202$17,573$12,156-0.63%-0.93%-0.08%
200844.82%7.49%4.42%5.02%$11,949$17,415$18,350$12,7664.82%7.49%4.42%
200851.28%5.36%4.15%2.09%$12,103$18,349$19,112$13,0331.28%5.36%4.15%
20086-8.39%-7.05%-7.45%-8.19%$11,088$17,056$17,688$11,965-8.39%-7.05%-7.45%
20087-0.74%-1.65%1.89%-0.77%$11,005$16,773$18,023$11,873-0.74%-1.65%1.89%
200881.49%1.45%4.29%1.58%$11,169$17,016$18,796$12,0611.49%1.45%4.29%
20089-8.89%-10.78%-6.66%-9.26%$10,176$15,181$17,545$10,944-8.89%-10.78%-6.66%
200810-16.63%-21.30%-19.76%-17.63%$8,483$11,948$14,078$9,015-16.63%-21.30%-19.76%
200811-7.46%-9.62%-11.85%-7.90%$7,850$10,799$12,409$8,302-7.46%-9.62%-11.85%
2008120.97%4.40%5.09%1.86%$7,927$11,273$13,041$8,4560.97%4.40%5.09%
20091-8.13%-6.75%-11.69%-8.26%$7,282$10,512$11,517$7,758-8.13%-6.75%-11.69%
20092-10.56%-9.39%-11.82%-10.45%$6,513$9,525$10,155$6,947-10.56%-9.39%-11.82%
200938.02%8.45%6.64%8.65%$7,036$10,330$10,829$7,5498.02%8.45%6.64%
2009410.14%14.75%18.08%10.61%$7,749$11,854$12,787$8,34910.14%14.75%18.08%
200955.84%3.26%1.86%5.38%$8,202$12,241$13,025$8,7985.84%3.26%1.86%
200960.04%0.54%1.78%0.34%$8,205$12,307$13,257$8,8290.04%0.54%1.78%
200977.38%8.38%9.75%7.82%$8,811$13,338$14,549$9,5197.38%8.38%9.75%
200983.66%4.37%2.38%3.63%$9,133$13,922$14,895$9,8643.66%4.37%2.38%
200993.63%5.78%5.10%4.23%$9,465$14,727$15,655$10,2813.63%5.78%5.10%
200910-1.92%-4.54%-5.58%-2.57%$9,283$14,058$14,781$10,017-1.92%-4.54%-5.58%
2009116.09%4.18%2.61%5.63%$9,848$14,646$15,167$10,5816.09%4.18%2.61%
2009121.91%6.08%8.24%2.86%$10,035$15,536$16,417$10,8831.91%6.08%8.24%
20101-3.71%-3.23%-3.14%-3.50%$9,663$15,034$15,901$10,503-3.71%-3.23%-3.14%
201023.15%5.21%4.11%3.36%$9,967$15,817$16,555$10,8563.15%5.21%4.11%
201036.11%7.02%7.97%6.27%$10,576$16,928$17,873$11,5366.11%7.02%7.97%
201041.62%4.38%5.82%2.17%$10,748$17,670$18,913$11,7871.62%4.38%5.82%
20105-8.00%-7.08%-7.15%-8.00%$9,888$16,418$17,561$10,844-8.00%-7.08%-7.15%
20106-5.26%-6.58%-7.10%-5.66%$9,368$15,338$16,314$10,230-5.26%-6.58%-7.10%
201076.99%6.74%6.45%6.99%$10,022$16,371$17,366$10,9456.99%6.74%6.45%
20108-4.43%-4.89%-7.60%-4.75%$9,579$15,571$16,046$10,426-4.43%-4.89%-7.60%
201098.81%11.26%11.25%9.47%$10,423$17,324$17,851$11,4138.81%11.26%11.25%
2010103.84%3.41%4.25%3.94%$10,823$17,915$18,609$11,8633.84%3.41%4.25%
201011-0.07%3.03%3.81%0.58%$10,816$18,458$19,319$11,931-0.07%3.03%3.81%
2010126.78%6.66%7.58%6.81%$11,549$19,687$20,784$12,7446.78%6.66%7.58%
201112.30%1.81%0.12%2.19%$11,815$20,043$20,808$13,0222.30%1.81%0.12%
201123.46%4.56%4.43%3.60%$12,224$20,957$21,731$13,4913.46%4.56%4.43%
20113-0.00%2.48%2.94%0.45%$12,223$21,478$22,369$13,551-0.00%2.48%2.94%
201142.95%2.72%2.62%2.99%$12,584$22,061$22,956$13,9572.95%2.72%2.62%
20115-1.19%-1.30%-0.86%-1.16%$12,434$21,774$22,759$13,794-1.19%-1.30%-0.86%
20116-1.68%-2.12%-1.84%-1.79%$12,226$21,311$22,340$13,548-1.68%-2.12%-1.84%
20117-1.97%-3.63%-3.16%-2.28%$11,985$20,537$21,633$13,239-1.97%-3.63%-3.16%
20118-5.52%-7.00%-7.79%-5.99%$11,323$19,100$19,948$12,445-5.52%-7.00%-7.79%
20119-6.80%-10.61%-10.31%-7.75%$10,553$17,074$17,892$11,480-6.80%-10.61%-10.31%
20111010.65%13.67%14.91%11.51%$11,678$19,407$20,560$12,80110.65%13.67%14.91%
201111-0.32%-0.24%0.62%-0.29%$11,640$19,361$20,689$12,764-0.32%-0.24%0.62%
2011121.06%-0.53%1.26%0.80%$11,764$19,259$20,949$12,8661.06%-0.53%1.26%
201214.61%6.61%6.59%5.08%$12,307$20,531$22,329$13,5204.61%6.61%6.59%
201224.21%4.53%2.17%4.26%$12,825$21,461$22,814$14,0964.21%4.53%2.17%
201233.29%1.89%2.89%3.07%$13,247$21,867$23,473$14,5283.29%1.89%2.89%
20124-0.66%-0.36%-1.36%-0.65%$13,160$21,787$23,153$14,433-0.66%-0.36%-1.36%
20125-6.01%-6.40%-6.26%-6.24%$12,369$20,392$21,705$13,533-6.01%-6.40%-6.26%
201264.20%2.09%4.23%3.91%$12,889$20,819$22,623$14,0624.20%2.09%4.23%
201271.24%-0.22%-0.78%1.03%$13,049$20,772$22,447$14,2071.24%-0.22%-0.78%
201282.48%3.49%3.89%2.48%$13,372$21,497$23,321$14,5602.48%3.49%3.89%
201292.34%1.80%2.31%2.58%$13,685$21,885$23,859$14,9352.34%1.80%2.31%
201210-2.02%-0.75%-2.27%-1.76%$13,408$21,721$23,317$14,672-2.02%-0.75%-2.27%
2012110.87%2.23%1.30%0.74%$13,525$22,205$23,620$14,7810.87%2.23%1.30%
2012120.95%2.16%3.14%1.19%$13,653$22,684$24,362$14,9570.95%2.16%3.14%
201315.11%7.28%5.81%5.50%$14,351$24,335$25,779$15,7805.11%7.28%5.81%
201321.36%0.85%1.42%1.28%$14,546$24,542$26,144$15,9811.36%0.85%1.42%
201333.68%4.90%4.15%3.88%$15,081$25,746$27,229$16,6023.68%4.90%4.15%
201341.96%0.60%-0.16%1.70%$15,377$25,900$27,185$16,8841.96%0.60%-0.16%
201352.40%2.22%4.33%2.32%$15,746$26,475$28,361$17,2762.40%2.22%4.33%
20136-1.59%-2.01%-0.11%-1.27%$15,496$25,942$28,330$17,056-1.59%-2.01%-0.11%
201375.39%6.51%6.85%5.49%$16,331$27,631$30,272$17,9925.39%6.51%6.85%
20138-3.04%-3.97%-2.33%-2.82%$15,835$26,535$29,566$17,484-3.04%-3.97%-2.33%
201393.24%5.46%6.15%3.66%$16,348$27,984$31,385$18,1243.24%5.46%6.15%
2013104.61%3.54%3.58%4.22%$17,102$28,976$32,507$18,8904.61%3.54%3.58%
2013112.98%1.47%4.48%2.88%$17,612$29,402$33,963$19,4342.98%1.47%4.48%
2013122.56%2.96%1.37%2.63%$18,063$30,274$34,429$19,9462.56%2.96%1.37%
20141-3.49%-2.19%-3.70%-3.11%$17,432$29,611$33,155$19,326-3.49%-2.19%-3.70%
201424.56%4.98%4.41%4.73%$18,227$31,086$34,615$20,2404.56%4.98%4.41%
201430.87%0.37%0.67%0.51%$18,386$31,202$34,846$20,3440.87%0.37%0.67%
201440.74%-1.58%-2.73%0.06%$18,523$30,710$33,894$20,3570.74%-1.58%-2.73%
201452.28%1.72%0.16%2.17%$18,946$31,239$33,948$20,7992.28%1.72%0.16%
201462.09%4.25%4.77%2.54%$19,342$32,565$35,566$21,3272.09%4.25%4.77%
20147-1.40%-4.42%-5.56%-1.98%$19,072$31,126$33,589$20,905-1.40%-4.42%-5.56%
201483.97%5.05%4.25%4.18%$19,829$32,697$35,017$21,7803.97%5.05%4.25%
20149-1.38%-4.51%-5.21%-2.14%$19,556$31,222$33,191$21,314-1.38%-4.51%-5.21%
2014102.39%3.54%6.91%2.74%$20,023$32,327$35,485$21,8982.39%3.54%6.91%
2014112.75%1.89%-0.19%2.41%$20,574$32,939$35,418$22,4262.75%1.89%-0.19%
201412-0.30%0.83%2.89%-0.01%$20,513$33,213$36,442$22,425-0.30%0.83%2.89%
20151-2.90%-1.13%-3.59%-2.77%$19,918$32,840$35,136$21,803-2.90%-1.13%-3.59%
201525.65%5.08%6.01%5.76%$21,042$34,509$37,247$23,0595.65%5.08%6.01%
20153-1.59%1.34%1.61%-1.04%$20,708$34,972$37,846$22,820-1.59%1.34%1.61%
201540.97%-1.42%-2.30%0.42%$20,909$34,475$36,974$22,9160.97%-1.42%-2.30%
201551.30%1.67%1.46%1.39%$21,181$35,050$37,513$23,2351.30%1.67%1.46%
20156-1.98%-1.23%1.06%-1.71%$20,762$34,619$37,910$22,838-1.98%-1.23%1.06%
201572.19%0.02%-0.83%1.63%$21,217$34,625$37,595$23,2102.19%0.02%-0.83%
20158-6.14%-5.60%-5.19%-6.03%$19,914$32,687$35,643$21,812-6.14%-5.60%-5.19%
20159-2.49%-3.16%-3.53%-2.93%$19,417$31,653$34,386$21,172-2.49%-3.16%-3.53%
2015108.47%5.56%6.08%7.84%$21,062$33,414$36,477$22,8338.47%5.56%6.08%
2015110.39%1.35%2.70%0.54%$21,145$33,866$37,461$22,9560.39%1.35%2.70%
201512-1.73%-4.21%-4.74%-2.03%$20,779$32,439$35,686$22,491-1.73%-4.21%-4.74%
20161-5.00%-5.59%-6.16%-5.67%$19,739$30,625$33,489$21,215-5.00%-5.59%-6.16%
20162-0.06%1.32%1.09%-0.04%$19,728$31,028$33,855$21,206-0.06%1.32%1.09%
201636.82%8.61%8.18%7.01%$21,074$33,699$36,624$22,6936.82%8.61%8.18%
201640.39%1.14%1.20%0.63%$21,157$34,082$37,063$22,8350.39%1.14%1.20%
201651.69%2.32%1.61%1.79%$21,514$34,874$37,659$23,2451.69%2.32%1.61%
201660.25%0.52%0.71%0.23%$21,569$35,056$37,924$23,2970.25%0.52%0.71%
201673.74%4.14%4.99%3.95%$22,375$36,508$39,817$24,2173.74%4.14%4.99%
201680.13%0.49%1.40%0.26%$22,404$36,689$40,375$24,2800.13%0.49%1.40%
201690.01%-0.59%0.64%0.15%$22,406$36,472$40,632$24,3160.01%-0.59%0.64%
201610-1.78%-2.68%-4.41%-2.21%$22,008$35,496$38,838$23,778-1.78%-2.68%-4.41%
2016113.67%7.94%12.52%4.44%$22,815$38,313$43,702$24,8323.67%7.94%12.52%
2016122.14%2.22%3.39%1.92%$23,304$39,163$45,182$25,3092.14%2.22%3.39%
201711.75%1.71%-0.58%1.91%$23,713$39,834$44,919$25,7921.75%1.71%-0.58%
201723.98%2.55%1.61%3.71%$24,655$40,847$45,642$26,7503.98%2.55%1.61%
201730.12%-0.40%-0.10%0.07%$24,684$40,684$45,596$26,7670.12%-0.40%-0.10%
201740.97%0.80%0.91%1.05%$24,922$41,010$46,011$27,0480.97%0.80%0.91%
201751.39%-0.44%-2.09%1.01%$25,270$40,829$45,048$27,3201.39%-0.44%-2.09%
201760.67%1.59%2.91%0.92%$25,439$41,477$46,359$27,5720.67%1.59%2.91%
201772.07%0.89%1.00%1.87%$25,967$41,844$46,822$28,0872.07%0.89%1.00%
201780.27%-1.53%-2.46%0.15%$26,038$41,205$45,671$28,1280.27%-1.53%-2.46%
201792.04%3.90%7.79%2.45%$26,570$42,810$49,230$28,8182.04%3.90%7.79%
2017102.32%2.27%0.86%2.16%$27,187$43,782$49,655$29,4402.32%2.27%0.86%
2017113.12%3.73%3.50%3.04%$28,036$45,414$51,392$30,3363.12%3.73%3.50%
2017121.21%0.26%-0.52%0.99%$28,376$45,532$51,124$30,6371.21%0.26%-0.52%
201815.69%2.77%2.51%5.31%$29,990$46,794$52,408$32,2635.69%2.77%2.51%
20182-3.80%-4.40%-3.81%-3.72%$28,849$44,736$50,412$31,065-3.80%-4.40%-3.81%
20183-2.47%0.97%1.99%-1.99%$28,138$45,170$51,415$30,445-2.47%0.97%1.99%
201840.35%-0.33%1.05%0.38%$28,238$45,023$51,956$30,5600.35%-0.33%1.05%
201852.41%4.18%6.45%2.79%$28,918$46,904$55,307$31,4132.41%4.18%6.45%
201860.59%0.44%1.04%0.68%$29,088$47,110$55,884$31,6270.59%0.44%1.04%
201873.75%1.70%3.24%3.34%$30,178$47,913$57,692$32,6823.75%1.70%3.24%
201883.23%3.15%4.82%3.44%$31,154$49,424$60,471$33,8073.23%3.15%4.82%
201890.54%-1.08%-3.08%0.16%$31,321$48,889$58,608$33,8610.54%-1.08%-3.08%
201810-6.82%-9.56%-10.53%-7.40%$29,184$44,216$52,434$31,355-6.82%-9.56%-10.53%
2018111.92%3.15%1.60%2.06%$29,745$45,610$53,274$32,0011.92%3.15%1.60%
201812-8.86%-11.33%-12.19%-9.29%$27,108$40,443$46,782$29,027-8.86%-11.33%-12.19%
201917.92%10.29%10.63%8.59%$29,256$44,605$51,755$31,5197.92%10.29%10.63%
201923.23%4.37%4.34%3.50%$30,201$46,556$54,003$32,6233.23%4.37%4.34%
201931.92%-0.55%-3.26%1.44%$30,780$46,299$52,241$33,0911.92%-0.55%-3.26%
201944.00%3.95%3.86%3.98%$32,011$48,130$54,259$34,4074.00%3.95%3.86%
20195-6.30%-8.00%-8.69%-6.45%$29,995$44,280$49,546$32,189-6.30%-8.00%-8.69%
201966.95%7.74%7.34%6.97%$32,078$47,707$53,182$34,4326.95%7.74%7.34%
201971.52%1.03%1.19%1.44%$32,566$48,198$53,814$34,9271.52%1.03%1.19%
20198-1.66%-4.12%-4.58%-2.03%$32,026$46,211$51,348$34,220-1.66%-4.12%-4.58%
201991.95%3.15%3.37%1.70%$32,650$47,666$53,076$34,8031.95%3.15%3.37%
2019102.16%1.08%2.03%2.10%$33,356$48,179$54,153$35,5322.16%1.08%2.03%
2019113.64%2.96%3.01%3.77%$34,569$49,607$55,783$36,8723.64%2.96%3.01%
2019122.92%2.81%3.00%2.85%$35,580$50,999$57,458$37,9232.92%2.81%3.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
Large-cap Value46.58%1.54%0.00%37.62%
Large-cap Growth52.86%0.00%0.00%43.57%
Mid-cap Value0.00%47.67%0.00%4.34%
Mid-cap Growth0.28%50.35%2.08%7.91%
Small-cap Value0.00%0.00%49.44%2.75%
Small-cap Growth0.02%0.40%48.34%2.83%
Global ex-US Developed Markets0.00%0.00%0.00%0.44%
Emerging Markets0.03%0.03%0.00%0.54%
REITs0.00%0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%0.00%
Short-Term Treasuries0.23%0.00%0.14%0.00%
R Squared99.93%99.93%99.89%99.88%
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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IVViShares Core S&P 500 ETFLarge Blend0.04%100.00%$25,580100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJHiShares Core S&P Mid-Cap ETFMid-Cap Blend0.06%100.00%$40,999100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJRiShares Core S&P Small-Cap ETFSmall Blend0.07%100.00%$47,458100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/05/2020. (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 3Vanguard Total Stock Mkt Idx Inv
Arithmetic Mean (monthly)0.64%0.83%0.91%0.68%
Arithmetic Mean (annualized)8.01%10.47%11.44%8.45%
Geometric Mean (monthly)0.56%0.72%0.77%0.59%
Geometric Mean (annualized)6.91%8.95%9.64%7.27%
Volatility (monthly)4.12%4.79%5.20%4.25%
Volatility (annualized)14.28%16.58%18.02%14.74%
Downside Deviation (monthly)2.86%3.25%3.50%2.96%
Max. Drawdown-50.78%-49.45%-51.79%-50.89%
US Market Correlation1.000.950.901.00
Beta(*)0.961.071.101.00
Alpha (annualized)-0.12%1.28%1.90%0.00%
R299.16%90.78%81.52%100.00%
Sharpe Ratio0.440.520.520.45
Sortino Ratio0.620.750.770.64
Treynor Ratio (%)6.537.998.566.71
Calmar Ratio1.130.510.371.01
Active Return-0.36%1.69%2.37%N/A
Tracking Error1.41%5.14%7.90%N/A
Information Ratio-0.250.330.30N/A
Skewness-0.69-0.64-0.52-0.71
Excess Kurtosis1.301.971.431.39
Historical Value-at-Risk (5%)-7.63%-7.70%-7.70%-7.96%
Analytical Value-at-Risk (5%)-6.14%-7.04%-7.65%-6.32%
Conditional Value-at-Risk (5%)-9.60%-10.98%-12.07%-9.78%
Upside Capture Ratio (%)95.33111.25117.79100.00
Downside Capture Ratio (%)96.53104.17108.02100.00
Safe Withdrawal Rate5.55%8.00%8.85%5.92%
Perpetual Withdrawal Rate4.52%6.31%6.90%4.84%
Positive Periods149 out of 228 (65.35%)144 out of 228 (63.16%)145 out of 228 (63.60%)150 out of 228 (65.79%)
Gain/Loss Ratio0.800.920.890.78
* Vanguard Total Stock Mkt Idx Inv 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 3Vanguard Total Stock Mkt Idx Inv
Subprime CrisisNov 2007Mar 2009-50.78%-49.16%-50.99%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.78%
2Feb 2001Sep 20021 year 8 monthsJan 20063 years 4 months5 years-38.85%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.45%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6May 2019May 20191 monthJun 20191 month2 months-6.30%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.18%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-4.69%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.49%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.19%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-49.45%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-24.22%
3May 2011Sep 20115 monthsNov 20121 year 2 months1 year 7 months-22.61%
4Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-18.17%
5Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-17.16%
6Jun 2015Jan 20168 monthsJun 20165 months1 year 1 month-12.63%
7May 2006Jul 20063 monthsNov 20064 months7 months-7.89%
8Jul 2004Jul 20041 monthNov 20044 months5 months-4.74%
9Mar 2005Apr 20052 monthsMay 20051 month3 months-4.73%
10Sep 2014Sep 20141 monthNov 20142 months3 months-4.51%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-51.79%
2May 2002Feb 200310 monthsOct 20038 months1 year 6 months-27.50%
3Sep 2018Dec 20184 months-22.64%
4May 2011Sep 20115 monthsMar 20126 months11 months-22.06%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-16.24%
6Jul 2015Jan 20167 monthsJun 20165 months1 year-11.66%
7Feb 2001Mar 20012 monthsJun 20013 months5 months-10.26%
8May 2006Jul 20063 monthsNov 20064 months7 months-8.26%
9Mar 2005Apr 20052 monthsJun 20052 months4 months-7.97%
10Apr 2012May 20122 monthsSep 20124 months6 months-7.54%
Worst 10 drawdowns included above

Drawdowns for Vanguard Total Stock Mkt Idx Inv

Drawdowns for Vanguard Total Stock Mkt Idx Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-37.14%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
8Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
9Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
10May 2006May 20061 monthSep 20064 months5 months-3.23%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVViShares Core S&P 500 ETF6.91%14.28%32.30%-37.02%-50.78%0.440.621.00
IJHiShares Core S&P Mid-Cap ETF8.95%16.58%37.81%-36.18%-49.45%0.520.750.95
IJRiShares Core S&P Small-Cap ETF9.64%18.02%41.32%-31.52%-51.79%0.520.770.90

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVVIJHIJRPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
IVViShares Core S&P 500 ETF-0.930.871.000.930.871.00
IJHiShares Core S&P Mid-Cap ETF0.93-0.960.931.000.960.95
IJRiShares Core S&P Small-Cap ETF0.870.96-0.870.961.000.90

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF$25,580
IJHiShares Core S&P Mid-Cap ETF$40,999
IJRiShares Core S&P Small-Cap ETF$47,458

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF100.00%
IJHiShares Core S&P Mid-Cap ETF100.00%
IJRiShares Core S&P Small-Cap ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year8.54%32.30%-37.02%10.65%37.81%-36.18%11.18%41.32%-31.52%8.94%33.35%-37.04%
3 years8.08%20.36%-8.39%9.96%21.00%-9.10%10.49%22.16%-7.78%8.44%20.34%-8.45%
5 years7.85%17.91%-2.23%9.71%21.84%-0.32%10.06%21.43%0.64%8.18%18.72%-1.76%
7 years7.67%14.76%-1.49%9.55%16.30%1.91%9.78%15.56%2.95%8.01%15.00%-0.73%
10 years7.57%13.49%1.45%9.73%13.63%6.91%9.87%13.63%7.01%7.95%13.30%2.45%
15 years7.65%9.88%5.00%9.56%11.86%8.16%9.88%12.18%8.85%8.00%10.30%5.55%
Result statistics are based on annualized rolling returns over full calendar year periods