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 1995 - May 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VBISX Vanguard Short-Term Bond Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$673,658 18.82% 8.36%7.24%8.94%28.74%-20.20%-30.72%
(-25.31%)
0.691.020.99
Portfolio 2$10,000$377,563 16.03% 4.17%3.17%2.05%12.89%0.07%-1.85%
(-1.85%)
0.931.69-0.09
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to May
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Annual contribution of $10,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Short-Term Bond Index Inv (VBISX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19952.54%28.74%12.89%$22,874$21,289$10,00035.79%18.18%12.89%
19963.32%14.01%4.55%$36,079$32,258$10,00020.96%3.58%4.55%
19971.70%22.37%7.04%$54,151$44,528$10,00030.99%9.44%7.04%
19981.61%17.39%7.63%$73,569$57,925$10,00023.26%8.58%7.63%
19992.68%13.98%2.08%$93,857$69,129$10,00023.81%-0.76%2.08%
20003.39%-1.79%8.84%$102,179$85,241$10,000-10.57%11.39%8.84%
20011.55%-3.21%8.88%$108,900$102,810$10,000-10.97%8.43%8.88%
20022.38%-9.27%6.10%$108,802$119,080$10,000-20.96%8.26%6.10%
20031.88%20.40%3.37%$140,999$133,097$10,00031.35%3.97%3.37%
20043.26%9.20%1.70%$163,976$145,355$10,00012.51%4.24%1.70%
20053.42%4.55%1.31%$181,431$157,257$10,0005.98%2.40%1.31%
20062.54%11.01%4.09%$211,414$173,688$10,00015.51%4.27%4.09%
20074.08%6.06%7.22%$234,230$196,231$10,0005.49%6.92%7.22%
20080.09%-20.20%5.43%$196,912$216,883$10,000-37.04%5.05%5.43%
20092.72%19.59%4.28%$245,492$236,157$10,00028.70%5.93%4.28%
20101.50%12.82%3.92%$286,976$255,406$10,00017.09%6.42%3.92%
20112.96%3.60%2.96%$307,308$272,975$10,0000.96%7.56%2.96%
20121.74%11.37%1.95%$352,252$288,292$10,00016.25%4.05%1.95%
20131.50%19.10%0.07%$429,549$298,484$10,00033.35%-2.26%0.07%
20140.76%9.76%1.16%$481,476$311,932$10,00012.43%5.76%1.16%
20150.73%0.30%0.85%$492,899$324,597$10,0000.29%0.30%0.85%
20162.07%8.52%1.41%$544,890$339,175$10,00012.53%2.50%1.41%
20172.11%14.02%1.10%$631,259$352,892$10,00021.05%3.46%1.10%
20181.91%-3.20%1.27%$621,029$367,366$10,000-5.26%-0.13%1.27%
20191.72%8.47%2.78%$673,658$377,563$0.0010.89%4.85%2.78%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Short-Term Bond Index Inv (VBISX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199512.08%1.60%$10,208$10,1602.20%1.90%1.60%
199523.30%1.65%$10,544$10,3274.04%2.17%1.65%
199531.87%0.66%$10,742$10,3962.65%0.67%0.66%
199542.04%0.95%$10,961$10,4952.51%1.31%0.95%
199553.66%2.40%$11,362$10,7473.48%3.95%2.40%
199562.08%0.52%$11,598$10,8032.98%0.66%0.52%
199572.38%0.34%$11,875$10,8394.02%-0.25%0.34%
199581.11%0.63%$12,007$10,9081.07%1.18%0.63%
199592.62%0.61%$12,321$10,9753.61%0.95%0.61%
199510-0.20%0.93%$12,296$11,076-1.17%1.47%0.93%
1995113.15%1.00%$12,683$11,1874.17%1.44%1.00%
1995121.51%0.91%$22,874$21,2891.54%1.44%0.91%
199611.85%0.89%$23,297$21,4792.66%0.63%0.89%
199620.28%-0.63%$23,363$21,3431.62%-1.76%-0.63%
199630.40%-0.37%$23,457$21,2631.14%-0.77%-0.37%
199641.30%-0.12%$23,762$21,2372.41%-0.49%-0.12%
199651.60%0.10%$24,141$21,2582.66%-0.17%0.10%
19966-0.06%0.90%$24,126$21,449-0.84%1.27%0.90%
19967-3.27%0.30%$23,338$21,513-5.37%0.25%0.30%
199681.83%0.30%$23,766$21,5783.09%-0.16%0.30%
199693.98%1.00%$24,712$21,7945.38%1.70%1.00%
1996101.72%1.42%$25,137$22,1041.43%2.21%1.42%
1996114.92%1.00%$26,374$22,3246.81%1.76%1.00%
199612-1.12%-0.30%$36,079$32,258-1.27%-0.85%-0.30%
199713.37%0.41%$37,296$32,3895.46%0.25%0.41%
19972-0.02%0.16%$37,289$32,440-0.11%0.11%0.16%
19973-3.10%-0.19%$36,132$32,377-4.45%-0.97%-0.19%
199743.30%0.91%$37,325$32,6724.50%1.49%0.91%
199754.67%0.72%$39,068$32,9077.10%0.87%0.72%
199763.16%0.80%$40,305$33,1724.37%1.16%0.80%
199775.94%1.52%$42,699$33,6777.77%2.80%1.52%
19978-2.69%-0.19%$41,549$33,612-3.72%-0.85%-0.19%
199794.19%0.90%$43,292$33,9135.77%1.45%0.90%
199710-1.68%0.91%$42,565$34,220-3.40%1.45%0.91%
1997112.23%0.19%$43,515$34,2853.33%0.33%0.19%
1997121.46%0.71%$54,151$44,5281.70%1.04%0.71%
199810.79%1.20%$54,581$45,0600.44%1.32%1.20%
199824.35%-0.05%$56,957$45,0397.34%-0.10%-0.05%
199833.24%0.35%$58,802$45,1965.06%0.33%0.35%
199840.88%0.48%$59,317$45,4131.10%0.51%0.48%
19985-1.32%0.59%$58,534$45,682-2.71%1.02%0.59%
199862.50%0.58%$59,997$45,9483.54%0.81%0.58%
19987-1.34%0.49%$59,196$46,175-2.27%0.23%0.49%
19988-8.96%1.49%$53,890$46,863-15.65%1.90%1.49%
199894.67%1.65%$56,405$47,6366.68%1.96%1.65%
1998104.16%0.27%$58,751$47,7657.51%-0.55%0.27%
1998113.91%-0.05%$61,051$47,7416.17%0.49%-0.05%
1998124.12%0.38%$73,569$57,9256.45%0.38%0.38%
199912.51%0.45%$75,412$58,1843.65%0.79%0.45%
19992-2.96%-0.88%$73,182$57,670-3.73%-1.77%-0.88%
199932.59%0.80%$75,077$58,1293.93%0.56%0.80%
199943.01%0.33%$77,336$58,3234.68%0.40%0.33%
19995-1.57%-0.35%$76,120$58,118-2.00%-0.88%-0.35%
199962.99%0.24%$78,398$58,2585.16%-0.50%0.24%
19997-2.16%0.05%$76,707$58,289-3.20%-0.39%0.05%
19998-0.60%0.26%$76,245$58,440-0.92%-0.08%0.26%
19999-1.04%0.76%$75,454$58,885-2.44%1.26%0.76%
1999103.98%0.27%$78,456$59,0436.29%0.33%0.27%
1999112.15%0.16%$80,143$59,1403.42%0.02%0.16%
1999124.63%-0.02%$93,857$69,1297.59%-0.48%-0.02%
20001-2.58%-0.12%$91,436$69,046-4.18%-0.17%-0.12%
200021.98%0.68%$93,249$69,5172.54%1.18%0.68%
200033.94%0.82%$96,928$70,0895.69%1.40%0.82%
20004-3.34%-0.02%$93,694$70,074-5.21%-0.49%-0.02%
20005-2.08%0.31%$91,743$70,295-3.41%-0.16%0.31%
200063.47%1.34%$94,930$71,2364.42%2.15%1.34%
20007-0.79%0.73%$94,182$71,758-1.95%0.88%0.73%
200084.82%0.94%$98,724$72,4337.28%1.40%0.94%
20009-2.47%1.03%$96,281$73,176-4.67%0.76%1.03%
200010-0.95%0.33%$95,363$73,416-2.04%0.57%0.33%
200011-5.03%1.13%$90,564$74,244-9.90%1.58%1.13%
2000121.78%1.34%$102,179$85,2411.78%1.79%1.34%
200113.00%1.63%$105,245$86,6313.83%1.76%1.63%
20012-5.33%0.77%$99,630$87,296-9.41%0.91%0.77%
20013-3.66%0.80%$95,981$87,999-6.72%0.54%0.80%
200144.37%0.09%$100,176$88,0748.16%-0.46%0.09%
200150.89%0.79%$101,073$88,7731.01%0.73%0.79%
20016-0.73%0.47%$100,334$89,189-1.64%0.52%0.47%
20017-0.04%1.57%$100,292$90,585-1.71%2.23%1.57%
20018-2.92%0.86%$97,363$91,364-6.00%1.11%0.86%
20019-4.53%1.41%$92,952$92,654-9.00%0.89%1.41%
2001102.21%1.10%$95,003$93,6752.52%1.86%1.10%
2001113.37%-0.65%$98,202$93,0627.63%-1.34%-0.65%
2001120.71%-0.27%$108,900$102,8101.78%-0.58%-0.27%
20021-0.47%0.32%$108,388$103,142-1.24%0.69%0.32%
20022-0.87%0.47%$107,442$103,631-2.05%0.85%0.47%
200231.97%-0.85%$109,563$102,7534.38%-1.46%-0.85%
20024-2.28%1.00%$107,068$103,782-4.90%1.69%1.00%
20025-0.38%0.71%$106,658$104,524-1.22%0.80%0.71%
20026-3.98%0.20%$102,410$104,731-7.06%0.29%0.20%
20027-4.30%0.59%$98,007$105,348-8.02%0.48%0.59%
200281.05%0.96%$99,036$106,3540.53%1.66%0.96%
20029-4.71%1.22%$94,374$107,651-10.07%1.53%1.22%
2002103.58%-0.07%$97,753$107,5797.65%-0.61%-0.07%
2002113.21%-0.19%$100,889$107,3756.06%0.02%-0.19%
200212-2.07%1.59%$108,802$119,080-5.57%2.07%1.59%
20031-1.50%0.01%$107,165$119,088-2.54%0.05%0.01%
20032-0.44%0.95%$106,691$120,217-1.69%1.38%0.95%
200330.58%0.19%$107,314$120,4481.09%-0.13%0.19%
200345.19%0.47%$112,887$121,0108.21%0.87%0.47%
200354.42%1.14%$117,876$122,3916.11%1.82%1.14%
200360.83%0.16%$118,855$122,5841.43%-0.13%0.16%
200370.19%-1.37%$119,081$120,9072.36%-3.34%-1.37%
200381.74%-0.03%$121,149$120,8732.39%0.61%-0.03%
200390.25%1.72%$121,456$122,953-1.15%2.71%1.72%
2003103.48%-0.61%$125,688$122,1996.12%-0.96%-0.61%
2003110.98%-0.05%$126,926$122,1371.38%0.27%-0.05%
2003123.21%0.79%$140,999$133,0974.48%0.88%0.79%
200411.68%0.34%$143,374$133,5542.23%0.86%0.34%
200421.27%0.81%$145,197$134,6341.43%1.03%0.81%
20043-0.33%0.50%$144,715$135,306-1.07%0.80%0.50%
20044-2.31%-1.60%$141,372$133,135-2.11%-2.61%-1.60%
200450.64%-0.25%$142,274$132,8091.35%-0.43%-0.25%
200461.48%0.05%$144,385$132,8702.09%0.56%0.05%
20047-1.94%0.55%$141,588$133,605-3.80%0.96%0.55%
200480.97%1.24%$142,957$135,2640.31%1.94%1.24%
200491.10%-0.04%$144,527$135,2041.74%0.16%-0.04%
2004101.34%0.45%$146,467$135,8191.68%0.85%0.45%
2004112.48%-0.73%$150,103$134,8334.68%-0.81%-0.73%
2004122.58%0.39%$163,976$145,3553.63%0.92%0.39%
20051-1.34%-0.03%$161,772$145,315-2.68%0.65%-0.03%
200520.97%-0.45%$163,342$144,6662.07%-0.63%-0.45%
20053-1.24%-0.22%$161,311$144,352-1.75%-0.49%-0.22%
20054-0.83%0.78%$159,965$145,475-2.32%1.35%0.78%
200552.65%0.59%$164,196$146,3283.77%1.05%0.59%
200560.71%0.28%$165,356$146,7400.81%0.55%0.28%
200572.03%-0.50%$168,717$146,0104.11%-0.99%-0.50%
20058-0.04%0.90%$168,655$147,329-0.94%1.36%0.90%
200590.07%-0.60%$168,780$146,4440.86%-1.10%-0.60%
200510-1.45%-0.19%$166,338$146,169-1.86%-0.81%-0.19%
2005112.58%0.31%$170,631$146,6273.97%0.48%0.31%
2005120.47%0.43%$181,431$157,2570.14%0.99%0.43%
200612.06%0.13%$185,163$157,4623.50%-0.11%0.13%
200620.15%0.01%$185,434$157,4720.00%0.37%0.01%
200630.70%-0.06%$186,739$157,3841.80%-1.00%-0.06%
200640.60%0.24%$187,864$157,7681.11%-0.21%0.24%
20065-2.03%0.16%$184,045$158,020-3.23%-0.09%0.16%
200660.15%0.05%$184,312$158,1030.17%0.10%0.05%
200670.45%0.99%$185,134$159,668-0.13%1.35%0.99%
200682.05%0.89%$188,927$161,0832.31%1.64%0.89%
200691.70%0.57%$192,132$162,0012.27%0.81%0.57%
2006102.44%0.48%$196,816$162,7833.53%0.72%0.48%
2006111.80%0.68%$200,366$163,8822.23%1.11%0.68%
2006120.52%-0.12%$211,414$173,6881.13%-0.48%-0.12%
200711.09%0.19%$213,726$174,0101.88%-0.08%0.19%
20072-0.38%1.06%$212,913$175,860-1.61%1.50%1.06%
200730.67%0.29%$214,341$176,3701.11%0.02%0.29%
200742.61%0.38%$219,936$177,0364.01%0.51%0.38%
200751.94%-0.31%$224,198$176,4793.69%-0.78%-0.31%
20076-1.18%0.28%$221,550$176,974-1.67%-0.39%0.28%
20077-1.78%0.91%$217,615$178,576-3.41%0.84%0.91%
200781.41%1.00%$220,681$180,3631.45%1.34%1.00%
200792.46%0.68%$226,108$181,5893.59%0.72%0.68%
2007101.49%0.49%$229,481$182,4781.85%0.93%0.49%
200711-2.02%1.77%$224,847$185,716-4.49%1.91%1.77%
200712-0.27%0.28%$234,230$196,231-0.60%0.22%0.28%
20081-2.97%2.05%$227,267$200,249-6.08%1.69%2.05%
20082-1.70%0.92%$223,394$202,082-3.07%0.19%0.92%
20083-0.21%0.05%$222,932$202,181-0.58%0.30%0.05%
200842.74%-0.85%$229,031$200,4715.02%-0.30%-0.85%
200850.89%-0.46%$231,075$199,5532.09%-0.79%-0.46%
20086-4.84%0.22%$219,897$199,988-8.19%-0.01%0.22%
20087-0.44%0.22%$218,935$200,434-0.77%0.00%0.22%
200881.20%0.61%$221,562$201,6641.58%0.70%0.61%
20089-5.75%-1.08%$208,819$199,489-9.26%-1.10%-1.08%
200810-10.81%-0.19%$186,242$199,101-17.63%-2.53%-0.19%
200811-2.21%2.10%$182,134$203,291-7.90%3.64%2.10%
2008122.62%1.77%$196,912$216,8831.86%3.32%1.77%
20091-5.23%0.18%$186,608$217,280-8.26%-0.70%0.18%
20092-6.25%-0.33%$174,950$216,562-10.45%-0.42%-0.33%
200935.46%0.66%$184,503$217,9928.65%1.48%0.66%
200946.22%0.54%$195,970$219,17710.61%0.36%0.54%
200953.55%0.74%$202,918$220,7895.38%0.85%0.74%
200960.42%0.14%$203,771$221,0880.34%0.54%0.14%
200975.30%0.82%$214,567$222,8967.82%1.43%0.82%
200982.63%0.61%$220,219$224,2653.63%1.01%0.61%
200993.09%0.60%$227,023$225,6064.23%1.19%0.60%
200910-1.47%0.41%$223,677$226,521-2.57%0.41%0.41%
2009114.03%0.96%$232,689$228,7055.63%1.36%0.96%
2009121.20%-1.11%$245,492$236,1572.86%-1.68%-1.11%
20101-1.47%1.16%$241,883$238,901-3.50%1.57%1.16%
201022.06%0.18%$246,855$239,3273.36%0.20%0.18%
201033.70%-0.21%$255,989$238,8146.27%-0.08%-0.21%
201041.74%0.57%$260,441$240,1762.17%1.06%0.57%
20105-4.56%0.48%$248,557$241,322-8.00%0.87%0.48%
20106-2.68%0.75%$241,886$243,131-5.66%1.61%0.75%
201074.40%0.75%$252,539$244,9486.99%0.94%0.75%
20108-2.17%0.55%$247,051$246,296-4.75%1.48%0.55%
201095.40%0.26%$260,400$246,9369.47%-0.01%0.26%
2010102.49%0.45%$266,872$248,0493.94%0.36%0.45%
2010110.12%-0.40%$267,193$247,0680.58%-0.57%-0.40%
2010123.66%-0.67%$286,976$255,4066.81%-1.15%-0.67%
201111.34%0.36%$290,835$256,3222.19%0.08%0.36%
201122.24%-0.13%$297,352$255,9863.60%0.16%-0.13%
201130.27%-0.14%$298,164$255,6370.45%-0.01%-0.14%
201142.34%0.92%$305,156$257,9882.99%1.32%0.92%
20115-0.22%0.63%$304,486$259,621-1.16%1.30%0.63%
20116-1.24%-0.04%$300,697$259,524-1.79%-0.39%-0.04%
20117-0.77%0.81%$298,371$261,635-2.28%1.58%0.81%
20118-3.01%0.34%$289,397$262,519-5.99%1.46%0.34%
20119-4.13%-0.23%$277,442$261,911-7.75%0.89%-0.23%
2011106.50%0.33%$295,487$262,77811.51%0.16%0.33%
201111-0.29%-0.24%$294,616$262,146-0.29%-0.30%-0.24%
2011120.91%0.32%$307,308$272,9750.80%1.08%0.32%
201213.40%0.60%$317,751$274,6265.08%0.87%0.60%
201222.58%-0.06%$325,944$274,4494.26%-0.05%-0.06%
201231.68%-0.11%$331,414$274,1363.07%-0.58%-0.11%
201240.01%0.41%$331,457$275,258-0.65%1.14%0.41%
20125-3.53%0.13%$319,741$275,610-6.24%0.95%0.13%
201262.39%0.03%$327,369$275,6803.91%0.04%0.03%
201271.17%0.50%$331,194$277,0511.03%1.39%0.50%
201281.54%0.12%$336,286$277,3762.48%0.03%0.12%
201291.64%0.21%$341,801$277,9462.58%0.11%0.21%
201210-1.06%-0.07%$338,181$277,740-1.76%0.11%-0.07%
2012110.53%0.20%$339,980$278,3010.74%0.19%0.20%
2012120.67%-0.00%$352,252$288,2921.19%-0.20%-0.00%
201313.01%-0.08%$362,871$288,0615.50%-0.71%-0.08%
201320.99%0.19%$366,476$288,6071.28%0.54%0.19%
201332.42%0.07%$375,360$288,8183.88%0.08%0.07%
201341.41%0.28%$380,636$289,6351.70%0.91%0.28%
201350.82%-0.47%$383,747$288,2712.32%-1.71%-0.47%
20136-1.41%-0.57%$378,329$286,614-1.27%-1.65%-0.57%
201373.57%0.28%$391,819$287,4115.49%0.20%0.28%
20138-2.06%-0.29%$383,759$286,569-2.82%-0.64%-0.29%
201392.70%0.56%$394,126$288,1783.66%0.96%0.56%
2013103.02%0.37%$406,015$289,2514.22%0.78%0.37%
2013111.77%0.08%$413,220$289,4942.88%-0.35%0.08%
2013121.53%-0.35%$429,549$298,4842.63%-0.65%-0.35%
20141-1.25%0.47%$424,193$299,884-3.11%1.54%0.47%
201422.98%0.18%$436,847$300,4104.73%0.48%0.18%
201430.25%-0.27%$437,929$299,5980.51%-0.15%-0.27%
201440.35%0.28%$439,447$300,4360.06%0.77%0.28%
201451.72%0.38%$447,006$301,5712.17%1.05%0.38%
201461.57%-0.10%$454,023$301,2732.54%0.11%-0.10%
20147-1.30%-0.19%$448,109$300,702-1.98%-0.26%-0.19%
201482.97%0.28%$461,421$301,5584.18%1.13%0.28%
20149-1.59%-0.19%$454,105$300,978-2.14%-0.72%-0.19%
2014102.03%0.38%$463,333$302,1322.74%0.94%0.38%
2014111.73%0.28%$471,330$302,9882.41%0.65%0.28%
2014120.03%-0.35%$481,476$311,932-0.01%0.09%-0.35%
20151-0.74%1.05%$477,918$315,213-2.77%2.31%1.05%
201522.94%-0.48%$491,972$313,7045.76%-1.08%-0.48%
20153-0.46%0.42%$489,685$315,016-1.04%0.41%0.42%
201540.11%0.01%$490,214$315,0320.42%-0.36%0.01%
201550.66%0.10%$493,443$315,3591.39%-0.45%0.10%
20156-1.43%-0.18%$486,366$314,783-1.71%-1.01%-0.18%
201571.29%0.20%$492,629$315,4171.63%0.76%0.20%
20158-3.80%-0.08%$473,924$315,156-6.03%-0.36%-0.08%
20159-1.43%0.49%$467,142$316,689-2.93%0.76%0.49%
2015104.59%-0.18%$488,563$316,1197.84%0.01%-0.18%
2015110.22%-0.18%$489,632$315,5450.54%-0.27%-0.18%
201512-1.37%-0.30%$492,899$324,597-2.03%-0.38%-0.30%
20161-2.83%0.88%$478,945$327,455-5.67%1.43%0.88%
201620.25%0.20%$480,148$328,115-0.04%0.66%0.20%
201634.47%0.50%$501,598$329,7407.01%0.94%0.50%
201640.53%0.11%$504,238$330,1080.63%0.38%0.11%
201651.07%-0.17%$509,649$329,5521.79%0.01%-0.17%
201660.91%0.97%$514,292$332,7450.23%1.94%0.97%
201672.61%0.12%$527,726$333,1373.95%0.64%0.12%
201680.09%-0.26%$528,197$332,2750.26%-0.17%-0.26%
201690.06%0.21%$528,497$332,9710.15%-0.09%0.21%
201610-1.66%-0.26%$519,731$332,108-2.21%-0.81%-0.26%
2016111.62%-0.93%$528,125$329,0304.44%-2.64%-0.93%
2016121.28%0.04%$544,890$339,1751.92%0.24%0.04%
201711.26%0.22%$551,773$339,9241.91%0.29%0.22%
201722.50%0.21%$565,578$340,6403.71%0.66%0.21%
201730.01%0.04%$565,650$340,7640.07%-0.07%0.04%
201740.94%0.41%$570,957$342,1731.05%0.76%0.41%
201750.88%0.23%$575,956$342,9491.01%0.67%0.23%
201760.57%-0.06%$579,239$342,7350.92%0.01%-0.06%
201771.30%0.33%$586,752$343,8491.87%0.39%0.33%
201780.42%0.33%$589,193$344,9700.15%0.85%0.33%
201791.31%-0.25%$596,891$344,1102.45%-0.54%-0.25%
2017101.39%-0.05%$605,175$343,9292.16%0.11%-0.05%
2017111.85%-0.35%$616,364$342,7413.04%-0.17%-0.35%
2017120.79%0.04%$631,259$352,8920.99%0.44%0.04%
201812.75%-0.53%$648,597$351,0235.31%-1.09%-0.53%
20182-2.68%-0.25%$631,212$350,134-3.72%-1.03%-0.25%
20183-0.97%0.25%$625,102$351,013-1.99%0.63%0.25%
20184-0.10%-0.34%$624,461$349,8340.38%-0.83%-0.34%
201851.93%0.45%$636,508$351,4162.79%0.61%0.45%
201860.43%0.06%$639,214$351,6270.68%0.03%0.06%
201872.05%-0.03%$652,348$351,5223.34%0.03%-0.03%
201882.33%0.46%$667,534$353,1463.44%0.52%0.46%
20189-0.10%-0.22%$666,846$352,3580.16%-0.54%-0.22%
201810-4.92%0.08%$634,049$352,636-7.40%-0.73%0.08%
2018111.47%0.27%$643,340$353,5972.06%0.53%0.27%
201812-5.02%1.07%$621,029$367,366-9.29%1.80%1.07%
201915.55%0.48%$655,523$369,1188.59%1.01%0.48%
201922.14%0.17%$669,532$369,7413.50%-0.06%0.17%
201931.63%0.96%$680,449$373,3011.44%1.96%0.96%
201942.50%0.18%$697,454$373,9843.98%0.04%0.18%
20195-3.41%0.96%$673,658$377,563-6.45%1.83%0.96%
* End-of-month balance includes the annual contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value20.83%0.00%
Large-cap Growth28.37%0.00%
Mid-cap Value6.33%0.00%
Mid-cap Growth3.84%0.30%
Small-cap Value0.00%0.00%
Small-cap Growth1.17%0.00%
Global ex-US Developed Markets0.10%0.00%
Emerging Markets1.04%0.65%
Corporate Bonds5.69%9.29%
Long-Term Treasuries0.91%0.00%
Intermediate-Term Treasuries10.92%5.63%
Short-Term Treasuries20.81%84.12%
R Squared99.71%88.98%
Style analysis is based on monthly returns from Apr 2005 to May 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$332,81098.03%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.000.15%40.00%$90,8481.97%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBISXVanguard Short-Term Bond Index InvShort-Term Bond2.620.15%100.00%$127,563100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/05/2019. © 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.70%0.34%
Arithmetic Mean (annualized)8.79%4.19%
Geometric Mean (monthly)0.67%0.34%
Geometric Mean (annualized)8.36%4.17%
Volatility (monthly)2.58%0.59%
Volatility (annualized)8.94%2.05%
Downside Deviation (monthly)1.66%0.24%
Max. Drawdown-30.72%-1.85%
US Market Correlation0.99-0.09
Beta(*)0.59-0.01
Alpha (annualized)2.37%4.24%
R297.12%0.86%
Sharpe Ratio0.690.93
Sortino Ratio1.021.69
Treynor Ratio (%)10.48-142.71
Calmar Ratio0.931.14
Active Return-1.28%-5.47%
Tracking Error6.38%15.34%
Information Ratio-0.20-0.36
Skewness-0.760.25
Excess Kurtosis1.410.84
Historical Value-at-Risk (5%)-4.18%-0.58%
Analytical Value-at-Risk (5%)-3.60%-0.63%
Conditional Value-at-Risk (5%)-5.73%-0.90%
Upside Capture Ratio (%)62.688.32
Downside Capture Ratio (%)55.47-11.30
Safe Withdrawal Rate9.28%5.95%
Perpetual Withdrawal Rate5.76%1.91%
Positive Periods197 out of 293 (67.24%)211 out of 293 (72.01%)
Gain/Loss Ratio0.971.84
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-2.69%-0.19%
Russian Debt DefaultJul 1998Oct 1998-10.18%0.00%
Dotcom CrashMar 2000Oct 2002-21.68%-0.98%
Subprime CrisisNov 2007Mar 2009-30.72%-1.52%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-10.18%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
6Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
7Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
8Jul 1999Sep 19993 monthsOct 19991 month4 months-3.76%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
10May 2012May 20121 monthAug 20123 months4 months-3.53%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2004May 20042 monthsOct 20045 months7 months-1.85%
2Apr 2008Oct 20087 monthsNov 20081 month8 months-1.52%
3Sep 2017Apr 20188 monthsDec 20188 months1 year 4 months-1.46%
4Jul 2003Aug 20032 monthsSep 20031 month3 months-1.40%
5Aug 2016Nov 20164 monthsJul 20178 months1 year-1.23%
6Feb 1996Apr 19963 monthsJul 19963 months6 months-1.13%
7Dec 2009Dec 20091 monthJan 20101 month2 months-1.11%
8Nov 2010Dec 20102 monthsMay 20115 months7 months-1.07%
9May 2013Aug 20134 monthsJan 20145 months9 months-1.06%
10Nov 2004Mar 20055 monthsMay 20052 months7 months-1.03%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.64%15.01%35.79%-37.04%-50.89%0.540.771.00
VBMFXVanguard Total Bond Market Index Inv5.34%3.50%18.18%-2.26%-3.99%0.861.44-0.03
VBISXVanguard Short-Term Bond Index Inv4.17%2.05%12.89%0.07%-1.85%0.931.69-0.09

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVBISXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv--0.03-0.090.99-0.09
VBMFXVanguard Total Bond Market Index Inv-0.03-0.910.130.91
VBISXVanguard Short-Term Bond Index Inv-0.090.91-0.061.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$332,810
VBMFXVanguard Total Bond Market Index Inv$90,848
VBISXVanguard Short-Term Bond Index Inv$127,563

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv98.03%
VBMFXVanguard Total Bond Market Index Inv1.97%
VBISXVanguard Short-Term Bond Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.71%28.74%-20.20%4.17%12.89%0.07%
3 years7.95%21.56%-4.81%4.02%8.10%0.69%
5 years7.34%19.17%1.41%3.99%6.86%0.92%
7 years6.83%12.53%2.29%4.05%7.37%1.11%
10 years6.62%10.55%2.42%4.03%6.26%1.89%
15 years6.60%8.20%5.61%4.03%5.65%2.56%
Result statistics are based on annualized rolling returns over full calendar year periods