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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Portfolio Analysis Results (Jan 1999 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
XLU Utilities Select Sector SPDR ETF 50.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 50.00%
VBMFX Vanguard Total Bond Market Index Inv 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$464,507 7.59% 12.20%28.96%-32.79%-44.31% 0.510.730.84
Portfolio 2$100,000$419,889 7.07% 14.87%33.35%-37.04%-50.89% 0.410.581.00
Portfolio 3$100,000$356,075 6.23% 7.43%19.39%-17.52%-26.45% 0.610.890.97
   
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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUtilities Select Sector SPDR ETF (XLU)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19992.68%9.85%23.81%11.45%$109,854$123,813$111,446-4.42%23.81%-0.76%
20003.39%5.51%-10.57%0.13%$115,903$110,720$111,59122.48%-10.57%11.39%
20011.55%-11.45%-10.97%-0.63%$102,634$98,579$110,890-12.98%-10.97%8.43%
20022.38%-24.91%-20.96%-6.58%$77,064$77,916$103,595-28.77%-20.96%8.26%
20031.88%28.96%31.35%17.34%$99,378$102,345$121,56126.44%31.35%3.97%
20043.26%18.03%12.51%8.45%$117,299$115,153$131,83923.58%12.51%4.24%
20053.42%11.30%5.98%4.21%$130,554$122,040$137,39016.37%5.98%2.40%
20062.54%18.32%15.51%9.84%$154,474$140,970$150,91020.90%15.51%4.27%
20074.08%12.02%5.49%6.32%$173,044$148,708$160,44218.41%5.49%6.92%
20080.09%-32.79%-37.04%-17.52%$116,309$93,630$132,325-28.93%-37.04%5.05%
20092.72%20.08%28.70%17.49%$139,667$120,500$155,47011.71%28.70%5.93%
20101.50%11.40%17.09%12.31%$155,587$141,098$174,6075.30%17.09%6.42%
20112.96%10.42%0.96%4.95%$171,802$142,455$183,25019.62%0.96%7.56%
20121.74%8.84%16.25%10.24%$186,984$165,608$202,0221.04%16.25%4.05%
20131.50%22.96%33.35%14.54%$229,910$220,838$231,39913.05%33.35%-2.26%
20140.76%20.51%12.43%9.07%$277,064$248,287$252,38428.73%12.43%5.76%
20150.73%-2.00%0.29%0.45%$271,510$249,016$253,526-4.91%0.29%0.30%
20162.07%14.74%12.53%7.50%$311,522$280,226$272,52816.06%12.53%2.50%
20172.11%16.51%21.05%12.01%$362,959$339,218$305,26312.03%21.05%3.46%
20181.91%-0.39%-5.26%-2.30%$361,549$321,388$298,2503.92%-5.26%-0.13%
20192.29%28.48%30.65%19.39%$464,507$419,889$356,07525.91%30.65%8.61%
Monthly returns for the configured portfolios
YearMonthReturnBalanceUtilities Select Sector SPDR ETF (XLU)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199910.58%3.65%2.22%$100,583$103,647$102,220-2.48%3.65%0.79%
19992-3.26%-3.73%-2.76%$97,307$99,781$99,396-2.76%-3.73%-1.77%
19993-1.05%3.93%2.25%$96,283$103,706$101,636-6.30%3.93%0.56%
199947.17%4.68%2.54%$103,185$108,556$104,2179.66%4.68%0.40%
19995-0.37%-2.00%-1.45%$102,799$106,388$102,7051.17%-2.00%-0.88%
199964.62%5.16%2.37%$107,546$111,878$105,1444.12%5.16%-0.50%
19997-1.45%-3.20%-1.79%$105,992$108,303$103,2600.31%-3.20%-0.39%
19998-2.88%-0.92%-0.49%$102,936$107,307$102,751-4.78%-0.92%-0.08%
199990.04%-2.44%-0.56%$102,979$104,691$102,1802.53%-2.44%1.26%
1999103.40%6.29%3.31%$106,486$111,272$105,5620.52%6.29%0.33%
1999110.16%3.42%1.77%$106,657$115,079$107,430-3.29%3.42%0.02%
1999123.00%7.59%3.74%$109,854$123,813$111,446-2.19%7.59%-0.48%
20001-2.98%-4.18%-2.18%$106,580$118,633$109,018-1.78%-4.18%-0.17%
20002-4.90%2.54%1.85%$101,362$121,651$111,031-12.15%2.54%1.18%
200038.13%5.69%3.52%$109,605$128,569$114,93410.92%5.69%1.40%
200040.67%-5.21%-2.85%$110,338$121,873$111,6606.55%-5.21%-0.49%
20005-1.72%-3.41%-1.75%$108,440$117,721$109,710-0.22%-3.41%-0.16%
200060.22%4.42%3.24%$108,683$122,924$113,263-3.39%4.42%2.15%
20007-0.20%-1.95%-0.54%$108,464$120,524$112,6561.55%-1.95%0.88%
200085.56%7.28%4.30%$114,493$129,299$117,4973.90%7.28%1.40%
200094.28%-4.67%-1.99%$119,394$123,260$115,15513.21%-4.67%0.76%
2000101.88%-2.04%-0.74%$121,642$120,740$114,3055.81%-2.04%0.57%
200011-4.78%-9.90%-4.09%$115,821$108,783$109,635-0.05%-9.90%1.58%
2000120.07%1.78%1.78%$115,903$110,720$111,591-1.36%1.78%1.79%
20011-0.90%3.83%2.79%$114,860$114,958$114,708-5.63%3.83%1.76%
20012-3.94%-9.41%-4.30%$110,331$104,136$109,7712.08%-9.41%0.91%
20013-4.04%-6.72%-2.93%$105,871$97,138$106,553-1.43%-6.72%0.54%
200146.49%8.16%3.85%$112,747$105,068$110,6554.83%8.16%-0.46%
200150.86%1.01%0.88%$113,715$106,131$111,6260.70%1.01%0.73%
20016-3.30%-1.64%-0.60%$109,963$104,395$110,955-5.02%-1.64%0.52%
20017-1.31%-1.71%0.26%$108,527$102,608$111,241-0.90%-1.71%2.23%
20018-4.78%-6.00%-2.38%$103,341$96,447$108,596-3.56%-6.00%1.11%
20019-4.90%-9.00%-3.77%$98,281$87,770$104,498-0.93%-9.00%0.89%
200110-1.37%2.52%2.19%$96,933$89,983$106,788-5.26%2.52%1.86%
2001113.36%7.63%3.16%$100,191$96,852$110,165-1.26%7.63%-1.34%
2001122.44%1.78%0.66%$102,634$98,579$110,8903.21%1.78%-0.58%
20021-2.42%-1.24%-0.28%$100,147$97,353$110,582-3.60%-1.24%0.69%
20022-1.13%-2.05%-0.58%$99,019$95,362$109,938-0.19%-2.05%0.85%
200234.85%4.38%1.39%$103,821$99,536$111,4645.33%4.38%-1.46%
20024-5.48%-4.90%-1.60%$98,128$94,659$109,676-6.07%-4.90%1.69%
20025-1.03%-1.22%-0.18%$97,121$93,507$109,484-0.83%-1.22%0.80%
20026-6.90%-7.06%-3.23%$90,423$86,902$105,951-6.73%-7.06%0.29%
20027-11.37%-8.02%-3.77%$80,141$79,933$101,959-14.72%-8.02%0.48%
200282.18%0.53%1.12%$81,890$80,357$103,1023.97%0.53%1.66%
20029-11.05%-10.07%-3.98%$72,840$72,267$98,998-12.08%-10.07%1.53%
2002102.67%7.65%3.52%$74,786$77,794$102,480-2.30%7.65%-0.61%
2002114.56%6.06%3.16%$78,196$82,509$105,7222.91%6.06%0.02%
200212-1.45%-5.57%-2.01%$77,064$77,916$103,5953.23%-5.57%2.07%
20031-2.45%-2.54%-1.24%$75,179$75,936$102,305-2.35%-2.54%0.05%
20032-3.52%-1.69%-0.14%$72,533$74,655$102,167-5.35%-1.69%1.38%
200333.03%1.09%0.46%$74,732$75,466$102,6395.05%1.09%-0.13%
200348.42%8.21%4.54%$81,028$81,660$107,2978.64%8.21%0.87%
200358.11%6.11%4.04%$87,600$86,647$111,63210.11%6.11%1.82%
200361.40%1.43%0.69%$88,823$87,889$112,4051.36%1.43%-0.13%
20037-2.17%2.36%-0.49%$86,898$89,960$111,854-6.69%2.36%-3.34%
200382.20%2.39%1.53%$88,807$92,110$113,5601.99%2.39%0.61%
200391.77%-1.15%0.71%$90,375$91,055$114,3654.97%-1.15%2.71%
2003103.40%6.12%2.58%$93,448$96,623$117,3130.68%6.12%-0.96%
2003110.82%1.38%0.84%$94,213$97,956$118,3040.23%1.38%0.27%
2003125.48%4.48%2.75%$99,378$102,345$121,5616.55%4.48%0.88%
200412.14%2.23%1.55%$101,509$104,629$123,4432.06%2.23%0.86%
200421.66%1.43%1.23%$103,194$106,126$124,9631.89%1.43%1.03%
200430.00%-1.07%-0.15%$103,195$104,988$124,7811.07%-1.07%0.80%
20044-3.19%-2.11%-2.36%$99,901$102,776$121,835-4.28%-2.11%-2.61%
200451.27%1.35%0.46%$101,175$104,159$122,3981.20%1.35%-0.43%
200461.91%2.09%1.33%$103,107$106,334$124,0281.73%2.09%0.56%
20047-1.14%-3.80%-1.42%$101,928$102,291$122,2681.52%-3.80%0.96%
200482.24%0.31%1.15%$104,208$102,608$123,6694.06%0.31%1.94%
200491.16%1.74%0.93%$105,417$104,394$124,8130.63%1.74%0.16%
2004103.27%1.68%1.26%$108,867$106,143$126,3884.87%1.68%0.85%
2004114.57%4.68%1.95%$113,839$111,114$128,8534.45%4.68%-0.81%
2004123.04%3.63%2.32%$117,299$115,153$131,8392.46%3.63%0.92%
20051-0.28%-2.68%-1.01%$116,972$112,071$130,5062.12%-2.68%0.65%
200522.11%2.07%0.70%$119,438$114,393$131,4202.14%2.07%-0.63%
20053-0.28%-1.75%-1.12%$119,099$112,394$129,9511.11%-1.75%-0.49%
200540.38%-2.32%-0.48%$119,554$109,783$129,3223.09%-2.32%1.35%
200551.80%3.77%2.39%$121,705$113,921$132,407-0.07%3.77%1.05%
200563.40%0.81%0.68%$125,841$114,846$133,3105.94%0.81%0.55%
200573.18%4.11%1.56%$129,839$119,561$135,3842.25%4.11%-0.99%
20058-0.15%-0.94%0.18%$129,640$118,432$135,6240.65%-0.94%1.36%
200592.54%0.86%-0.11%$132,929$119,447$135,4774.22%0.86%-1.10%
200510-4.13%-1.86%-1.34%$127,437$117,220$133,666-6.40%-1.86%-0.81%
2005111.95%3.97%2.22%$129,929$121,875$136,627-0.16%3.97%0.48%
2005120.48%0.14%0.56%$130,554$122,040$137,3900.86%0.14%0.99%
200612.96%3.50%1.70%$134,419$126,311$139,7202.42%3.50%-0.11%
200620.65%0.00%0.18%$135,292$126,311$139,9771.31%0.00%0.37%
20063-1.42%1.80%0.42%$133,374$128,588$140,571-4.63%1.80%-1.00%
200641.35%1.11%0.45%$135,176$130,017$141,2061.59%1.11%-0.21%
20065-0.80%-3.23%-1.68%$134,097$125,811$138,8411.63%-3.23%-0.09%
200661.26%0.17%0.14%$135,790$126,027$139,0322.30%0.17%0.10%
200672.34%-0.13%0.61%$138,960$125,863$139,8784.80%-0.13%1.35%
200682.54%2.31%1.98%$142,484$128,774$142,6412.75%2.31%1.64%
200690.36%2.27%1.54%$142,993$131,693$144,832-1.45%2.27%0.81%
2006104.41%3.53%2.12%$149,304$136,343$147,9095.30%3.53%0.72%
2006112.45%2.23%1.68%$152,955$139,389$150,3922.65%2.23%1.11%
2006120.99%1.13%0.34%$154,474$140,970$150,9100.85%1.13%-0.48%
200710.76%1.88%0.90%$155,651$143,616$152,265-0.35%1.88%-0.08%
200721.81%-1.61%-0.07%$158,463$141,300$152,1595.30%-1.61%1.50%
200732.38%1.11%0.56%$162,234$142,866$153,0143.59%1.11%0.02%
200744.46%4.01%2.26%$169,471$148,596$156,4744.91%4.01%0.51%
200752.07%3.69%1.49%$172,971$154,076$158,8120.46%3.69%-0.78%
20076-3.20%-1.67%-1.05%$167,444$151,502$157,137-4.76%-1.67%-0.39%
20077-3.70%-3.41%-1.29%$161,247$146,335$155,117-3.99%-3.41%0.84%
200781.52%1.45%1.40%$163,690$148,460$157,2821.58%1.45%1.34%
200793.71%3.59%2.13%$169,769$153,795$160,6273.84%3.59%0.72%
2007104.25%1.85%1.39%$176,991$156,640$162,8576.66%1.85%0.93%
200711-1.85%-4.49%-1.30%$173,709$149,611$160,7340.66%-4.49%1.91%
200712-0.38%-0.60%-0.18%$173,044$148,708$160,442-0.18%-0.60%0.22%
20081-6.71%-6.08%-2.20%$161,426$139,666$156,919-7.35%-6.08%1.69%
20082-3.58%-3.07%-1.38%$155,640$135,377$154,760-4.11%-3.07%0.19%
200830.50%-0.58%-0.12%$156,416$134,588$154,5771.61%-0.58%0.30%
200845.07%5.02%2.36%$164,343$141,347$158,2255.11%5.02%-0.30%
200852.84%2.09%0.69%$169,009$144,304$159,3173.59%2.09%-0.79%
20086-4.44%-8.19%-4.26%$161,511$132,482$152,524-0.74%-8.19%-0.01%
20087-3.60%-0.77%-0.38%$155,692$131,464$151,938-6.44%-0.77%0.00%
200880.28%1.58%1.14%$156,126$133,543$153,669-1.10%1.58%0.70%
20089-10.10%-9.26%-5.19%$140,361$121,172$145,700-11.01%-9.26%-1.10%
200810-15.31%-17.63%-10.08%$118,866$99,812$131,012-13.00%-17.63%-2.53%
200811-1.69%-7.90%-1.65%$116,853$91,924$128,8554.19%-7.90%3.64%
200812-0.47%1.86%2.69%$116,309$93,630$132,325-2.41%1.86%3.32%
20091-4.21%-8.26%-4.48%$111,407$85,899$126,402-0.17%-8.26%-0.70%
20092-11.53%-10.45%-5.24%$98,560$76,923$119,781-12.53%-10.45%-0.42%
200935.18%8.65%4.74%$103,665$83,580$125,4531.91%8.65%1.48%
200945.89%10.61%5.48%$109,770$92,444$132,3301.17%10.61%0.36%
200954.51%5.38%3.22%$114,720$97,416$136,5963.56%5.38%0.85%
200962.73%0.34%0.43%$117,852$97,750$137,1895.39%0.34%0.54%
200975.79%7.82%4.62%$124,680$105,396$143,5333.76%7.82%1.43%
200982.34%3.63%2.36%$127,597$109,219$146,9221.00%3.63%1.01%
200992.85%4.23%2.77%$131,228$113,835$150,9961.37%4.23%1.19%
200910-2.89%-2.57%-1.08%$127,440$110,912$149,368-3.20%-2.57%0.41%
2009115.23%5.63%3.46%$134,101$117,151$154,5374.83%5.63%1.36%
2009124.15%2.86%0.60%$139,667$120,500$155,4705.46%2.86%-1.68%
20101-4.15%-3.50%-0.96%$133,871$116,286$153,973-4.80%-3.50%1.57%
201021.04%3.36%1.74%$135,257$120,193$156,648-1.32%3.36%0.20%
201034.54%6.27%3.06%$141,391$127,730$161,4472.69%6.27%-0.08%
201042.40%2.17%1.62%$144,786$130,506$164,0582.63%2.17%1.06%
20105-6.76%-8.00%-3.59%$135,002$120,064$158,170-5.52%-8.00%0.87%
20106-3.14%-5.66%-1.88%$130,758$113,265$155,199-0.70%-5.66%1.61%
201077.23%6.99%3.97%$140,212$121,188$161,3537.47%6.99%0.94%
20108-1.64%-4.75%-1.72%$137,909$115,434$158,5711.45%-4.75%1.48%
201096.07%9.47%4.72%$146,283$126,365$166,0502.90%9.47%-0.01%
2010102.51%3.94%2.15%$149,959$131,347$169,6231.08%3.94%0.36%
201011-1.20%0.58%0.01%$148,159$132,103$169,647-3.03%0.58%-0.57%
2010125.01%6.81%2.92%$155,587$141,098$174,6073.10%6.81%-1.15%
201111.70%2.19%1.13%$158,231$144,183$176,5881.21%2.19%0.08%
201122.42%3.60%1.90%$162,059$149,369$179,9391.23%3.60%0.16%
201130.34%0.45%0.23%$162,609$150,040$180,3500.23%0.45%-0.01%
201143.52%2.99%2.15%$168,332$154,528$184,2344.05%2.99%1.32%
201150.50%-1.16%0.06%$169,171$152,732$184,3472.14%-1.16%1.30%
20116-0.95%-1.79%-1.08%$167,561$150,003$182,348-0.15%-1.79%-0.39%
20117-1.60%-2.28%-0.35%$164,873$146,578$181,702-0.93%-2.28%1.58%
20118-1.88%-5.99%-2.19%$161,767$137,792$177,7172.17%-5.99%1.46%
20119-3.58%-7.75%-3.18%$155,974$127,108$172,0620.20%-7.75%0.89%
2011107.58%11.51%5.83%$167,801$141,734$182,0993.66%11.51%0.16%
2011110.35%-0.29%-0.30%$168,386$141,327$181,5611.03%-0.29%-0.30%
2011122.03%0.80%0.93%$171,802$142,455$183,2503.33%0.80%1.08%
201210.73%5.08%2.98%$173,063$149,694$188,706-3.61%5.08%0.87%
201222.51%4.26%2.15%$177,408$156,068$192,7630.61%4.26%-0.05%
201232.26%3.07%1.32%$181,426$160,853$195,3011.36%3.07%-0.58%
201240.56%-0.65%0.24%$182,438$159,802$195,7751.77%-0.65%1.14%
20125-2.80%-6.24%-2.61%$177,336$149,837$190,6630.56%-6.24%0.95%
201264.01%3.91%1.88%$184,452$155,695$194,2564.11%3.91%0.04%
201271.77%1.03%1.21%$187,723$157,302$196,6052.51%1.03%1.39%
20128-0.85%2.48%1.25%$186,121$161,206$199,070-4.14%2.48%0.03%
201291.89%2.58%1.36%$189,641$165,361$201,7681.17%2.58%0.11%
201210-0.18%-1.76%-0.82%$189,303$162,454$200,1071.40%-1.76%0.11%
201211-1.81%0.74%0.46%$185,874$163,654$201,033-4.28%0.74%0.19%
2012120.60%1.19%0.49%$186,984$165,608$202,022-0.01%1.19%-0.20%
201315.13%5.50%2.39%$196,570$174,716$206,8574.75%5.50%-0.71%
201321.80%1.28%0.92%$200,104$176,946$208,7612.32%1.28%0.54%
201334.62%3.88%2.05%$209,357$183,816$213,0355.36%3.88%0.08%
201343.83%1.70%1.31%$217,376$186,943$215,8195.96%1.70%0.91%
20135-3.48%2.32%0.31%$209,807$191,283$216,498-9.05%2.32%-1.71%
20136-0.24%-1.27%-1.46%$209,309$188,847$213,3390.88%-1.27%-1.65%
201374.91%5.49%2.84%$219,583$199,205$219,4004.33%5.49%0.20%
20138-3.90%-2.82%-1.76%$211,015$193,581$215,538-4.99%-2.82%-0.64%
201392.43%3.66%2.33%$216,152$200,675$220,5661.16%3.66%0.96%
2013104.00%4.22%2.50%$224,794$209,150$226,0803.77%4.22%0.78%
2013110.48%2.88%1.29%$225,871$215,177$229,004-1.93%2.88%-0.35%
2013121.79%2.63%1.05%$229,910$220,838$231,3990.90%2.63%-0.65%
20141-0.07%-3.11%-0.78%$229,760$213,977$229,5902.98%-3.11%1.54%
201424.07%4.73%2.56%$239,118$224,103$235,4583.45%4.73%0.48%
201431.96%0.51%0.18%$243,813$225,255$235,8853.34%0.51%-0.15%
201442.14%0.06%0.42%$249,036$225,397$236,8704.22%0.06%0.77%
201450.51%2.17%1.61%$250,302$230,291$240,678-1.09%2.17%1.05%
201463.50%2.54%1.33%$259,054$236,135$243,8694.45%2.54%0.11%
20147-4.39%-1.98%-1.12%$247,682$231,461$241,142-6.80%-1.98%-0.26%
201484.54%4.18%2.64%$258,933$241,143$247,5174.92%4.18%1.13%
20149-2.01%-2.14%-1.43%$253,725$235,991$243,967-1.88%-2.14%-0.72%
2014105.39%2.74%1.84%$267,388$242,457$248,4578.03%2.74%0.94%
2014111.77%2.41%1.54%$272,127$248,300$252,2811.17%2.41%0.65%
2014121.81%-0.01%0.04%$277,064$248,287$252,3843.57%-0.01%0.09%
20151-0.22%-2.77%-0.23%$276,450$241,403$251,8022.33%-2.77%2.31%
20152-0.47%5.76%2.25%$275,147$255,315$257,476-6.39%5.76%-1.08%
20153-1.02%-1.04%-0.32%$272,339$252,666$256,650-1.00%-1.04%0.41%
20154-0.03%0.42%0.03%$272,268$253,730$256,726-0.47%0.42%-0.36%
201551.01%1.39%0.47%$275,029$257,259$257,9430.63%1.39%-0.45%
20156-3.83%-1.71%-1.36%$264,508$252,860$254,425-5.98%-1.71%-1.01%
201573.87%1.63%1.20%$274,736$256,986$257,4696.10%1.63%0.76%
20158-4.71%-6.03%-3.20%$261,788$241,500$249,223-3.46%-6.03%-0.36%
201590.08%-2.93%-1.04%$262,010$234,416$246,6252.90%-2.93%0.76%
2015104.45%7.84%3.93%$273,679$252,805$256,3151.06%7.84%0.01%
201511-0.75%0.54%0.15%$271,628$254,171$256,703-2.13%0.54%-0.27%
201512-0.04%-2.03%-1.24%$271,510$249,016$253,5262.13%-2.03%-0.38%
20161-0.36%-5.67%-2.12%$270,523$234,893$248,1484.94%-5.67%1.43%
201621.00%-0.04%0.32%$273,230$234,795$248,9471.94%-0.04%0.66%
201637.53%7.01%3.86%$293,796$251,256$258,5487.98%7.01%0.94%
20164-0.90%0.63%0.50%$291,165$252,833$259,848-2.42%0.63%0.38%
201651.65%1.79%0.90%$295,975$257,364$262,1981.51%1.79%0.01%
201663.86%0.23%1.07%$307,410$257,946$265,0117.62%0.23%1.94%
201671.64%3.95%2.30%$312,456$268,135$271,095-0.67%3.95%0.64%
20168-2.58%0.26%0.05%$304,403$268,827$271,227-5.54%0.26%-0.17%
201690.25%0.15%0.03%$305,152$269,231$271,3200.35%0.15%-0.09%
201610-0.66%-2.21%-1.51%$303,143$263,268$267,2210.90%-2.21%-0.81%
201611-0.57%4.44%0.87%$301,414$274,945$269,547-5.42%4.44%-2.64%
2016123.35%1.92%1.11%$311,522$280,226$272,5284.89%1.92%0.24%
201711.58%1.91%1.10%$316,451$285,575$275,5311.26%1.91%0.29%
201724.49%3.71%2.20%$330,648$296,172$281,5865.27%3.71%0.66%
20173-0.04%0.07%-0.00%$330,525$296,369$281,583-0.14%0.07%-0.07%
201740.91%1.05%0.91%$333,516$299,481$284,1340.76%1.05%0.76%
201752.57%1.01%0.84%$342,089$302,493$286,5164.14%1.01%0.67%
20176-0.92%0.92%0.47%$338,939$305,279$287,860-2.71%0.92%0.01%
201772.15%1.87%1.13%$346,211$310,976$291,1052.42%1.87%0.39%
201781.72%0.15%0.50%$352,171$311,430$292,5533.29%0.15%0.85%
20179-0.20%2.45%0.96%$351,468$319,071$295,370-2.76%2.45%-0.54%
2017103.03%2.16%1.13%$362,117$325,956$298,7233.90%2.16%0.11%
2017112.86%3.04%1.45%$372,484$335,877$303,0612.69%3.04%-0.17%
201712-2.56%0.99%0.73%$362,959$339,218$305,263-6.06%0.99%0.44%
201811.10%5.31%2.11%$366,941$357,221$311,693-3.11%5.31%-1.09%
20182-3.79%-3.72%-2.41%$353,019$343,948$304,170-3.88%-3.72%-1.03%
201830.78%-1.99%-0.71%$355,755$337,090$302,0203.79%-1.99%0.63%
201841.21%0.38%-0.23%$360,054$338,367$301,3372.04%0.38%-0.83%
201850.83%2.79%1.71%$363,032$347,811$306,480-1.11%2.79%0.61%
201861.73%0.68%0.36%$369,316$350,171$307,5802.81%0.68%0.03%
201872.47%3.34%1.69%$378,428$361,857$312,7661.60%3.34%0.03%
201882.37%3.44%2.00%$387,413$374,312$319,0291.29%3.44%0.52%
20189-0.24%0.16%-0.18%$386,488$374,909$318,452-0.65%0.16%-0.54%
201810-2.71%-7.40%-4.07%$376,002$347,159$305,5031.98%-7.40%-0.73%
2018112.84%2.06%1.27%$386,664$354,315$309,3773.54%2.06%0.53%
201812-6.50%-9.29%-3.60%$361,549$321,388$298,250-3.99%-9.29%1.80%
201916.03%8.59%4.80%$383,355$348,981$312,5543.48%8.59%1.01%
201923.80%3.50%1.78%$397,914$361,199$318,1304.11%3.50%-0.06%
201932.10%1.44%1.68%$406,262$366,385$323,4802.79%1.44%1.96%
201942.45%3.98%2.01%$416,225$380,955$329,9830.93%3.98%0.04%
20195-3.66%-6.45%-2.39%$401,002$356,394$322,102-0.78%-6.45%1.83%
201965.05%6.97%3.99%$421,247$381,232$334,9673.18%6.97%1.15%
201970.65%1.44%0.83%$423,994$386,715$337,754-0.13%1.44%0.23%
201981.50%-2.03%0.36%$430,369$378,882$338,9845.09%-2.03%2.78%
201993.01%1.70%0.53%$443,326$385,337$340,7914.25%1.70%-0.60%
2019100.67%2.10%1.15%$446,294$393,413$344,724-0.76%2.10%0.21%
2019110.99%3.77%1.87%$450,722$408,253$351,179-1.87%3.77%-0.06%
2019123.06%2.85%1.39%$464,507$419,889$356,0753.29%2.85%-0.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value12.40%37.62%16.65%
Large-cap Growth42.84%43.57%24.66%
Mid-cap Value15.10%4.34%5.52%
Mid-cap Growth0.00%7.91%3.33%
Small-cap Value0.00%2.75%0.00%
Small-cap Growth0.00%2.83%0.66%
Global ex-US Developed Markets4.17%0.44%0.00%
Emerging Markets0.01%0.54%1.18%
Corporate Bonds10.13%0.00%7.13%
Long-Term Treasuries14.14%0.00%1.62%
Intermediate-Term Treasuries1.20%0.00%13.04%
Short-Term Treasuries0.00%0.00%26.21%
R Squared79.24%99.88%99.48%
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/EReturn ContributionRisk Contribution
XLUUtilities Select Sector SPDR ETFUtilities50.00%0.13%20.91$183,05749.11%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend50.00%0.14%22.08$181,45050.89%
100.00%0.14%21.50$364,507100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%22.08$319,889100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend50.00%0.14%22.08$177,71196.75%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond50.00%0.15%6.45$78,3643.25%
100.00%0.15%22.086.45$256,075100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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)0.67%0.66%0.53%
Arithmetic Mean (annualized)8.40%8.27%6.53%
Geometric Mean (monthly)0.61%0.57%0.51%
Geometric Mean (annualized)7.59%7.07%6.23%
Volatility (monthly)3.52%4.29%2.15%
Volatility (annualized)12.20%14.87%7.43%
Downside Deviation (monthly)2.42%2.97%1.39%
Max. Drawdown-44.31%-50.89%-26.45%
US Market Correlation0.841.000.97
Beta(*)0.691.000.49
Alpha (annualized)2.62%0.00%2.47%
R269.91%100.00%94.57%
Sharpe Ratio0.510.410.61
Sortino Ratio0.730.580.89
Treynor Ratio (%)9.176.179.35
Calmar Ratio2.131.011.43
Active Return0.52%0.00%-0.84%
Tracking Error8.16%0.00%7.83%
Information Ratio0.060.01-0.11
Skewness-0.91-0.65-0.73
Excess Kurtosis2.281.092.03
Historical Value-at-Risk (5%)-4.82%-7.94%-3.59%
Analytical Value-at-Risk (5%)-5.11%-6.39%-3.02%
Conditional Value-at-Risk (5%)-8.46%-9.79%-4.73%
Upside Capture Ratio (%)72.45100.0052.37
Downside Capture Ratio (%)63.99100.0044.19
Safe Withdrawal Rate6.00%5.56%6.26%
Perpetual Withdrawal Rate5.04%4.58%3.83%
Positive Periods159 out of 252 (63.10%)162 out of 252 (64.29%)167 out of 252 (66.27%)
Gain/Loss Ratio0.960.810.95
* 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
Dotcom CrashMar 2000Oct 2002-40.12%-44.11%-15.74%
Subprime CrisisNov 2007Mar 2009-44.31%-50.89%-26.45%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-44.31%
2Nov 2000Feb 20032 years 4 monthsMay 20052 years 3 months4 years 7 months-40.37%
3Jan 2000Feb 20002 monthsApr 20002 months4 months-7.73%
4Jun 2007Jul 20072 monthsOct 20073 months5 months-6.78%
5Sep 2018Dec 20184 monthsFeb 20192 months6 months-6.68%
6Jan 2015Aug 20158 monthsMar 20167 months1 year 3 months-5.51%
7Dec 2017Feb 20183 monthsJul 20185 months8 months-5.23%
8Jul 2014Jul 20141 monthOct 20143 months4 months-4.39%
9Jul 1999Aug 19992 monthsDec 19994 months6 months-4.29%
10Feb 1999Mar 19992 monthsApr 19991 month3 months-4.28%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-26.45%
2Sep 2000Sep 20022 years 1 monthNov 20031 year 2 months3 years 3 months-15.74%
3Jun 2011Sep 20114 monthsJan 20124 months8 months-6.66%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-6.51%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.40%
6Apr 2000May 20002 monthsAug 20003 months5 months-4.54%
7Jun 2015Sep 20154 monthsMar 20166 months10 months-4.39%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.32%
9Jul 1999Sep 19993 monthsOct 19991 month4 months-2.82%
10Feb 1999Feb 19991 monthApr 19992 months3 months-2.76%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
XLUUtilities Select Sector SPDR ETF7.42%14.50%28.73%-28.93%-43.51%0.440.620.38
VTSMXVanguard Total Stock Mkt Idx Inv7.07%14.87%33.35%-37.04%-50.89%0.410.581.00
VBMFXVanguard Total Bond Market Index Inv4.53%3.42%11.39%-2.26%-3.99%0.791.31-0.09

Monthly Correlations

Correlations for the portfolio assets
TickerNameXLUVTSMXVBMFXPortfolio 1Portfolio 2Portfolio 3
XLUUtilities Select Sector SPDR ETF1.000.380.230.830.380.43
VTSMXVanguard Total Stock Mkt Idx Inv0.381.00-0.090.841.000.97
VBMFXVanguard Total Bond Market Index Inv0.23-0.091.000.08-0.090.14

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
XLUUtilities Select Sector SPDR ETF$183,057
VTSMXVanguard Total Stock Mkt Idx Inv$181,450$319,889$177,711
VBMFXVanguard Total Bond Market Index Inv$78,364

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
XLUUtilities Select Sector SPDR ETF49.11%
VTSMXVanguard Total Stock Mkt Idx Inv50.89%100.00%96.75%
VBMFXVanguard Total Bond Market Index Inv3.25%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.88%28.96%-32.79%8.72%33.35%-37.04%6.60%19.39%-17.52%
3 years7.39%19.21%-11.15%6.77%20.34%-14.31%5.96%11.46%-2.41%
5 years7.76%17.56%-0.12%7.16%18.72%-1.76%6.16%11.83%1.71%
7 years7.91%13.88%1.80%7.26%15.00%-0.73%6.25%9.73%2.56%
10 years7.21%12.77%1.52%6.55%13.30%-0.66%6.03%8.64%2.84%
15 years7.87%10.88%5.71%7.17%10.30%4.75%6.23%7.47%5.60%
Result statistics are based on annualized rolling returns over full calendar year periods