Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy. The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2002 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWELX Vanguard Wellington Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 65.00%
VBTLX Vanguard Total Bond Market Index Adm 35.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$40,572 8.09% 9.08%22.51%-22.30%-32.53% 0.761.140.96
Portfolio 2$10,000$36,639 7.48% 9.12%23.07%-22.24%-33.36% 0.691.030.99
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Wellington Inv (VWELX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20022.38%-6.90%-10.71%$9,310$8,929-6.90%-20.95%8.32%
20031.88%20.75%21.84%$11,242$10,87920.75%31.42%4.04%
20043.26%11.16%9.71%$12,497$11,93611.16%12.61%4.33%
20053.42%6.82%4.83%$13,350$12,5126.82%6.09%2.49%
20062.54%14.97%11.69%$15,348$13,97414.97%15.63%4.36%
20074.08%8.34%6.08%$16,627$14,8238.34%5.57%7.02%
20080.09%-22.30%-22.24%$12,920$11,526-22.30%-36.99%5.15%
20092.72%22.20%20.85%$15,788$13,92922.20%28.83%6.04%
20101.50%10.94%13.51%$17,515$15,81110.94%17.26%6.54%
20112.96%3.85%3.39%$18,189$16,3473.85%1.08%7.69%
20121.74%12.57%12.10%$20,476$18,32612.57%16.38%4.15%
20131.50%19.66%21.04%$24,503$22,18119.66%33.52%-2.15%
20140.76%9.82%10.23%$26,909$24,4499.82%12.56%5.89%
20150.73%0.06%0.39%$26,925$24,5450.06%0.39%0.40%
20162.07%11.01%9.14%$29,890$26,78911.01%12.66%2.60%
20172.11%14.72%15.01%$34,291$30,80814.72%21.17%3.56%
20181.91%-3.42%-3.37%$33,117$29,770-3.42%-5.17%-0.03%
20192.29%22.51%23.07%$40,572$36,63922.51%30.80%8.71%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellington Inv (VWELX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200210.26%-0.59%$10,026$9,9410.26%-1.28%0.69%
200220.91%-1.02%$10,117$9,8400.91%-2.05%0.86%
200232.11%2.28%$10,330$10,0642.11%4.39%-1.46%
20024-2.07%-2.60%$10,116$9,802-2.07%-4.90%1.70%
200250.69%-0.46%$10,186$9,7570.69%-1.18%0.80%
20026-3.23%-4.37%$9,857$9,331-3.23%-7.09%0.29%
20027-4.99%-4.74%$9,366$8,889-4.99%-8.02%0.49%
200280.32%1.02%$9,396$8,9800.32%0.58%1.67%
20029-6.66%-5.33%$8,770$8,501-6.66%-10.10%1.53%
2002103.43%4.02%$9,070$8,8433.43%7.65%-0.61%
2002114.68%3.53%$9,495$9,1554.68%6.06%0.03%
200212-1.94%-2.46%$9,310$8,929-1.94%-5.56%2.08%
20031-2.16%-1.63%$9,109$8,784-2.16%-2.54%0.06%
20032-1.17%-0.60%$9,003$8,731-1.17%-1.69%1.38%
20033-0.05%0.66%$8,999$8,789-0.05%1.10%-0.12%
200345.90%5.57%$9,530$9,2785.90%8.21%0.87%
200355.61%4.63%$10,064$9,7085.61%6.11%1.83%
200360.63%0.92%$10,128$9,7960.63%1.44%-0.13%
20037-0.84%0.47%$10,044$9,843-0.84%2.36%-3.33%
200381.95%1.82%$10,240$10,0221.95%2.39%0.62%
200390.26%0.08%$10,267$10,0300.26%-1.13%2.71%
2003103.24%3.83%$10,600$10,4143.24%6.12%-0.95%
2003111.17%1.07%$10,724$10,5251.17%1.42%0.28%
2003124.83%3.36%$11,242$10,8794.83%4.45%0.89%
200410.73%1.76%$11,324$11,0700.73%2.23%0.87%
200422.07%1.32%$11,558$11,2162.07%1.47%1.04%
20043-0.61%-0.43%$11,488$11,167-0.61%-1.09%0.80%
20044-1.74%-2.28%$11,288$10,913-1.74%-2.11%-2.61%
200450.03%0.75%$11,292$10,9950.03%1.38%-0.42%
200462.16%1.55%$11,535$11,1652.16%2.07%0.57%
20047-1.30%-2.17%$11,385$10,923-1.30%-3.80%0.97%
200481.46%0.89%$11,551$11,0201.46%0.31%1.95%
200491.51%1.19%$11,725$11,1521.51%1.76%0.17%
2004101.09%1.41%$11,853$11,3091.09%1.71%0.85%
2004112.62%2.76%$12,163$11,6212.62%4.68%-0.80%
2004122.74%2.71%$12,497$11,9362.74%3.62%0.92%
20051-1.23%-1.51%$12,344$11,756-1.23%-2.68%0.66%
200522.28%1.13%$12,625$11,8892.28%2.11%-0.62%
20053-1.54%-1.31%$12,431$11,733-1.54%-1.76%-0.48%
20054-0.64%-1.02%$12,352$11,614-0.64%-2.32%1.36%
200551.65%2.79%$12,556$11,9371.65%3.77%1.06%
200560.70%0.74%$12,644$12,0250.70%0.84%0.56%
200572.22%2.35%$12,925$12,3082.22%4.14%-0.89%
200580.88%-0.18%$13,038$12,2850.88%-0.94%1.26%
200591.07%0.17%$13,177$12,3061.07%0.85%-1.09%
200510-1.80%-1.50%$12,941$12,122-1.80%-1.86%-0.80%
2005112.32%2.78%$13,241$12,4592.32%4.01%0.49%
2005120.82%0.42%$13,350$12,5120.82%0.13%1.00%
200612.57%2.24%$13,693$12,7922.57%3.50%-0.10%
20062-0.19%0.15%$13,666$12,811-0.19%0.03%0.38%
200630.61%0.84%$13,749$12,9190.61%1.79%-0.99%
200641.93%0.67%$14,015$13,0061.93%1.11%-0.20%
20065-1.36%-2.18%$13,825$12,721-1.36%-3.23%-0.09%
200660.14%0.17%$13,844$12,7430.14%0.20%0.11%
200671.64%0.40%$14,072$12,7941.64%-0.10%1.35%
200681.94%2.08%$14,344$13,0601.94%2.31%1.65%
200691.41%1.77%$14,546$13,2911.41%2.26%0.82%
2006102.60%2.60%$14,924$13,6372.60%3.56%0.73%
2006111.75%1.86%$15,185$13,8901.75%2.23%1.12%
2006121.07%0.60%$15,348$13,9741.07%1.13%-0.47%
200710.68%1.19%$15,452$14,1410.68%1.88%-0.07%
20072-0.49%-0.53%$15,376$14,065-0.49%-1.61%1.51%
200730.95%0.74%$15,523$14,1690.95%1.13%0.03%
200743.44%2.81%$16,056$14,5673.44%4.04%0.52%
200752.28%2.16%$16,423$14,8822.28%3.69%-0.77%
20076-0.84%-1.24%$16,286$14,697-0.84%-1.68%-0.38%
20077-1.47%-1.96%$16,046$14,408-1.47%-3.38%0.85%
200781.38%1.42%$16,266$14,6121.38%1.45%1.35%
200793.13%2.62%$16,776$14,9943.13%3.61%0.73%
2007100.98%1.52%$16,940$15,2230.98%1.82%0.93%
200711-1.31%-2.31%$16,718$14,870-1.31%-4.46%1.92%
200712-0.54%-0.32%$16,627$14,823-0.54%-0.61%0.22%
20081-2.85%-3.36%$16,153$14,325-2.85%-6.08%1.70%
20082-0.76%-1.85%$16,031$14,060-0.76%-3.04%0.20%
20083-0.35%-0.26%$15,975$14,024-0.35%-0.59%0.30%
200842.60%3.01%$16,391$14,4472.60%5.02%-0.29%
200850.91%1.06%$16,540$14,6000.91%2.12%-0.78%
20086-5.02%-5.25%$15,710$13,833-5.02%-8.20%0.00%
20087-1.32%-0.47%$15,502$13,767-1.32%-0.77%0.01%
200880.74%1.27%$15,617$13,9420.74%1.61%0.71%
20089-7.39%-6.18%$14,462$13,081-7.39%-9.28%-1.10%
200810-12.18%-11.60%$12,700$11,564-12.18%-17.63%-2.53%
200811-2.06%-2.79%$12,439$11,241-2.06%-7.86%3.65%
2008123.87%2.53%$12,920$11,5263.87%1.83%3.33%
20091-5.44%-5.61%$12,217$10,880-5.44%-8.26%-0.69%
20092-6.45%-6.76%$11,429$10,145-6.45%-10.45%-0.42%
200935.04%5.88%$12,004$10,7415.04%8.73%1.49%
200945.87%6.74%$12,709$11,4665.87%10.60%0.36%
200956.30%3.74%$13,509$11,8956.30%5.33%0.86%
200960.52%0.43%$13,579$11,9460.52%0.37%0.55%
200975.71%5.65%$14,355$12,6215.71%7.87%1.44%
200982.70%2.76%$14,742$12,9692.70%3.63%1.02%
200992.54%3.26%$15,117$13,3922.54%4.25%1.20%
200910-0.47%-1.64%$15,047$13,172-0.47%-2.61%0.42%
2009114.54%4.27%$15,731$13,7344.54%5.66%1.37%
2009120.37%1.42%$15,788$13,9290.37%2.85%-1.67%
20101-1.70%-1.70%$15,520$13,693-1.70%-3.46%1.58%
201021.48%2.22%$15,750$13,9971.48%3.36%0.20%
201033.93%4.02%$16,369$14,5593.93%6.26%-0.07%
201040.74%1.82%$16,490$14,8240.74%2.21%1.07%
20105-5.38%-5.00%$15,603$14,083-5.38%-8.00%0.88%
20106-2.17%-3.05%$15,264$13,653-2.17%-5.67%1.62%
201075.42%4.74%$16,092$14,3015.42%7.03%0.95%
20108-2.21%-2.48%$15,736$13,945-2.21%-4.75%1.49%
201095.26%5.91%$16,564$14,7705.26%9.50%-0.00%
2010102.13%2.67%$16,916$15,1642.13%3.94%0.37%
201011-1.02%0.18%$16,743$15,191-1.02%0.58%-0.56%
2010124.61%4.08%$17,515$15,8114.61%6.83%-1.14%
201111.99%1.45%$17,864$16,0401.99%2.19%0.09%
201122.30%2.43%$18,275$16,4312.30%3.63%0.17%
20113-0.18%0.30%$18,243$16,479-0.18%0.45%0.00%
201142.80%2.43%$18,753$16,8802.80%2.99%1.33%
20115-0.51%-0.34%$18,657$16,823-0.51%-1.16%1.31%
20116-1.32%-1.31%$18,410$16,603-1.32%-1.79%-0.38%
20117-1.30%-0.92%$18,170$16,450-1.30%-2.22%1.58%
20118-3.52%-3.40%$17,530$15,891-3.52%-6.02%1.47%
20119-4.12%-4.57%$16,808$15,166-4.12%-7.75%0.90%
2011107.12%7.12%$18,005$16,2457.12%11.54%0.17%
201111-0.64%-0.29%$17,890$16,198-0.64%-0.29%-0.29%
2011121.67%0.92%$18,189$16,3471.67%0.82%1.09%
201213.29%3.61%$18,787$16,9373.29%5.08%0.88%
201222.56%2.79%$19,269$17,4112.56%4.26%-0.04%
201231.53%1.86%$19,563$17,7351.53%3.07%-0.57%
20124-0.09%-0.05%$19,546$17,725-0.09%-0.63%1.15%
20125-3.98%-3.88%$18,768$17,038-3.98%-6.23%0.96%
201263.22%2.60%$19,372$17,4813.22%3.94%0.04%
201271.46%1.15%$19,655$17,6821.46%1.03%1.39%
201281.23%1.68%$19,896$17,9791.23%2.51%0.04%
201291.93%1.76%$20,281$18,2961.93%2.58%0.12%
2012100.00%-1.15%$20,281$18,0860.00%-1.76%0.12%
2012110.18%0.56%$20,317$18,1880.18%0.74%0.20%
2012120.79%0.76%$20,476$18,3260.79%1.22%-0.19%
201313.49%3.33%$21,190$18,9353.49%5.50%-0.70%
201320.89%1.03%$21,378$19,1310.89%1.28%0.55%
201332.53%2.63%$21,919$19,6352.53%3.91%0.09%
201342.28%1.45%$22,418$19,9192.28%1.70%0.92%
201350.65%1.03%$22,564$20,1240.65%2.35%-1.70%
20136-1.35%-1.37%$22,260$19,849-1.35%-1.24%-1.64%
201373.55%3.80%$23,050$20,6033.55%5.46%0.21%
20138-2.23%-2.14%$22,535$20,163-2.23%-2.80%-0.63%
201392.28%2.84%$23,050$20,7342.28%3.67%0.97%
2013102.78%3.20%$23,691$21,3972.78%4.25%0.79%
2013111.93%1.93%$24,147$21,8091.93%2.88%-0.34%
2013121.47%1.70%$24,503$22,1811.47%2.66%-0.64%
20141-1.53%-1.47%$24,128$21,854-1.53%-3.11%1.55%
201423.00%3.21%$24,851$22,5573.00%4.75%0.49%
201430.92%0.29%$25,080$22,6220.92%0.52%-0.14%
201441.09%0.31%$25,353$22,6931.09%0.06%0.78%
201451.46%1.78%$25,724$23,0971.46%2.17%1.06%
201461.40%1.71%$26,084$23,4931.40%2.57%0.12%
20147-1.03%-1.38%$25,816$23,168-1.03%-1.98%-0.25%
201482.46%3.13%$26,450$23,8922.46%4.18%1.14%
20149-1.36%-1.63%$26,089$23,502-1.36%-2.11%-0.71%
2014101.56%2.12%$26,497$24,0021.56%2.74%0.95%
2014111.81%1.83%$26,977$24,4401.81%2.43%0.66%
201412-0.25%0.04%$26,909$24,449-0.25%0.00%0.10%
20151-1.38%-0.99%$26,538$24,208-1.38%-2.77%2.32%
201523.26%3.29%$27,404$25,0043.26%5.76%-1.07%
20153-0.98%-0.52%$27,137$24,875-0.98%-1.01%0.42%
201541.10%0.15%$27,434$24,9121.10%0.42%-0.35%
201550.33%0.75%$27,524$25,1000.33%1.39%-0.44%
20156-1.94%-1.46%$26,991$24,733-1.94%-1.70%-1.00%
201571.78%1.35%$27,471$25,0661.78%1.65%0.77%
20158-4.51%-4.06%$26,233$24,048-4.51%-6.00%-0.35%
20159-1.35%-1.62%$25,878$23,658-1.35%-2.94%0.76%
2015105.44%5.00%$27,286$24,8405.44%7.86%0.02%
2015110.08%0.27%$27,307$24,9090.08%0.56%-0.26%
201512-1.40%-1.46%$26,925$24,545-1.40%-2.04%-0.37%
20161-2.77%-3.17%$26,178$23,767-2.77%-5.65%1.44%
20162-0.25%0.22%$26,112$23,819-0.25%-0.04%0.67%
201635.08%4.79%$27,438$24,9615.08%7.03%0.95%
201641.45%0.55%$27,835$25,0991.45%0.65%0.39%
201650.79%1.15%$28,056$25,3880.79%1.77%0.02%
201660.78%0.84%$28,274$25,6020.78%0.25%1.94%
201672.39%2.78%$28,949$26,3142.39%3.95%0.65%
201680.20%0.12%$29,008$26,3470.20%0.28%-0.16%
20169-0.13%0.07%$28,970$26,366-0.13%0.15%-0.08%
201610-1.16%-1.73%$28,634$25,911-1.16%-2.21%-0.80%
2016112.21%1.98%$29,269$26,4252.21%4.45%-2.63%
2016122.12%1.37%$29,890$26,7892.12%1.93%0.25%
201710.92%1.36%$30,166$27,1520.92%1.93%0.30%
201722.66%2.66%$30,969$27,8732.66%3.71%0.67%
20173-0.18%0.03%$30,914$27,882-0.18%0.08%-0.06%
201740.77%0.96%$31,153$28,1480.77%1.05%0.77%
201751.16%0.91%$31,514$28,4031.16%1.02%0.68%
201760.69%0.62%$31,732$28,5790.69%0.93%0.02%
201771.20%1.37%$32,112$28,9721.20%1.87%0.40%
201780.14%0.40%$32,158$29,0860.14%0.16%0.86%
201792.02%1.46%$32,808$29,5112.02%2.46%-0.53%
2017101.38%1.50%$33,260$29,9541.38%2.17%0.12%
2017111.83%2.01%$33,868$30,5551.83%3.04%-0.16%
2017121.25%0.83%$34,291$30,8081.25%1.01%0.45%
201812.88%3.08%$35,278$31,7572.88%5.32%-1.09%
20182-3.58%-2.81%$34,014$30,865-3.58%-3.71%-1.02%
20183-1.10%-1.09%$33,640$30,529-1.10%-1.98%0.63%
201840.29%-0.04%$33,738$30,5170.29%0.38%-0.82%
201850.61%2.06%$33,943$31,1450.61%2.82%0.62%
20186-0.14%0.46%$33,895$31,288-0.14%0.67%0.04%
201873.37%2.23%$35,036$31,9863.37%3.35%0.04%
201881.13%2.48%$35,432$32,7801.13%3.45%0.52%
201890.26%-0.07%$35,524$32,7580.26%0.16%-0.53%
201810-3.93%-5.24%$34,127$31,043-3.93%-7.40%-0.72%
2018112.02%1.55%$34,817$31,5252.02%2.08%0.53%
201812-4.88%-5.57%$33,117$29,770-4.88%-9.30%1.81%
201914.42%5.95%$34,580$31,5404.42%8.60%1.02%
201922.45%2.32%$35,428$32,2732.45%3.51%-0.05%
201931.56%1.61%$35,979$32,7941.56%1.45%1.96%
201942.42%2.69%$36,850$33,6772.42%3.98%0.05%
20195-2.83%-3.80%$35,809$32,398-2.83%-6.43%1.84%
201964.39%5.02%$37,380$34,0264.39%6.99%1.16%
201971.14%1.05%$37,805$34,3821.14%1.44%0.23%
201980.38%-0.46%$37,950$34,2230.38%-2.01%2.79%
201991.63%0.94%$38,568$34,5441.63%1.70%-0.59%
2019101.42%1.49%$39,114$35,0591.42%2.11%0.22%
2019111.67%2.54%$39,769$35,9501.67%3.78%-0.06%
2019122.02%1.92%$40,572$36,6392.02%2.86%-0.14%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value27.64%23.14%
Large-cap Growth23.23%30.65%
Mid-cap Value0.00%5.67%
Mid-cap Growth0.00%4.28%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%1.90%
Global ex-US Developed Markets10.01%0.00%
Emerging Markets0.83%0.94%
REITs0.00%0.09%
Corporate Bonds14.58%5.05%
Long-Term Treasuries0.65%0.95%
Intermediate-Term Treasuries2.44%9.46%
Short-Term Treasuries20.63%17.89%
R Squared97.12%99.76%
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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWELXVanguard Wellington Inv50% to 70% Equity7.500.25%100.00%$30,572100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%65.00%$22,11099.49%
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond6.260.05%35.00%$4,5290.51%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/06/2020. (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 2
Arithmetic Mean (monthly)0.68%0.64%
Arithmetic Mean (annualized)8.54%7.93%
Geometric Mean (monthly)0.65%0.60%
Geometric Mean (annualized)8.09%7.48%
Volatility (monthly)2.62%2.63%
Volatility (annualized)9.08%9.12%
Downside Deviation (monthly)1.71%1.74%
Max. Drawdown-32.53%-33.36%
US Market Correlation0.960.99
Beta(*)0.610.63
Alpha (annualized)2.70%1.91%
R291.54%98.01%
Sharpe Ratio0.760.69
Sortino Ratio1.141.03
Treynor Ratio (%)11.4110.08
Calmar Ratio1.581.20
Active Return-0.29%-0.90%
Tracking Error6.24%5.47%
Information Ratio-0.05-0.17
Skewness-0.87-0.78
Excess Kurtosis2.802.06
Historical Value-at-Risk (5%)-4.18%-4.59%
Analytical Value-at-Risk (5%)-3.62%-3.78%
Conditional Value-at-Risk (5%)-6.29%-6.13%
Upside Capture Ratio (%)65.2466.30
Downside Capture Ratio (%)54.6559.94
Safe Withdrawal Rate8.26%7.57%
Perpetual Withdrawal Rate5.54%5.00%
Positive Periods144 out of 216 (66.67%)147 out of 216 (68.06%)
Gain/Loss Ratio0.980.88
* 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
Subprime CrisisNov 2007Mar 2009-32.53%-33.36%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.53%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-15.11%
3May 2011Sep 20115 monthsJan 20124 months9 months-10.37%
4Oct 2018Dec 20183 monthsMar 20193 months6 months-6.78%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.98%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-4.64%
7Apr 2012May 20122 monthsJul 20122 months4 months-4.06%
8May 2019May 20191 monthJun 20191 month2 months-2.83%
9Mar 2004Apr 20042 monthsSep 20045 months7 months-2.34%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-2.30%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-33.36%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-15.53%
3May 2011Sep 20115 monthsJan 20124 months9 months-10.16%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-9.18%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-5.75%
6Apr 2012May 20122 monthsAug 20123 months5 months-3.93%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.90%
8May 2019May 20191 monthJun 20191 month2 months-3.80%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.18%
10Mar 2004Apr 20042 monthsOct 20046 months8 months-2.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWELXVanguard Wellington Inv8.09%9.08%22.51%-22.30%-32.53%0.761.140.96
VTSAXVanguard Total Stock Mkt Idx Adm8.49%14.35%33.52%-36.99%-50.84%0.550.791.00
VBTLXVanguard Total Bond Market Index Adm4.36%3.43%8.71%-2.15%-3.94%0.881.48-0.09

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWELXVTSAXVBTLXPortfolio 1Portfolio 2
VWELXVanguard Wellington Inv-0.960.081.000.97
VTSAXVanguard Total Stock Mkt Idx Adm0.96--0.090.960.99
VBTLXVanguard Total Bond Market Index Adm0.08-0.09-0.080.04

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VWELXVanguard Wellington Inv$30,572
VTSAXVanguard Total Stock Mkt Idx Adm$22,110
VBTLXVanguard Total Bond Market Index Adm$4,529

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VWELXVanguard Wellington Inv100.00%
VTSAXVanguard Total Stock Mkt Idx Adm99.49%
VBTLXVanguard Total Bond Market Index Adm0.51%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.71%22.51%-22.30%8.14%23.07%-22.24%
3 years8.29%13.94%-1.08%7.76%14.36%-2.70%
5 years8.01%13.65%2.82%7.51%13.99%1.16%
7 years7.82%11.06%3.73%7.42%11.40%2.05%
10 years7.99%9.90%6.17%7.63%10.15%5.04%
15 years8.07%9.08%7.47%7.53%8.61%6.79%
Result statistics are based on annualized rolling returns over full calendar year periods