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 1987 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 70.00%
VBMFX Vanguard Total Bond Market Index Inv 30.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 70.00%
VUSTX Vanguard Long-Term Treasury Inv 30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$189,789 9.33% 10.48%31.42%-26.08%-37.63% 0.610.890.98
Portfolio 2$10,000$229,576 9.96% 10.42%35.29%-22.30%-35.80% 0.670.990.94
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 16.27%24.35%11.84%9.08%10.57%9.33%
Portfolio 24.87%26.63%12.93%9.61%11.85%9.96%
Trailing returns are for full months ending in December 2019 excluding portfolio cashflows.
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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19874.43%4.99%3.77%$10,499$10,3774.71%1.54%-2.92%
19884.42%13.54%14.10%$11,920$11,84016.22%7.35%9.15%
19894.65%25.98%27.43%$15,017$15,08931.36%13.64%17.93%
19906.11%0.34%-0.54%$15,068$15,007-3.32%8.65%5.78%
19913.06%25.79%26.46%$18,953$18,97730.22%15.25%17.43%
19922.90%7.39%7.47%$20,354$20,3957.42%7.14%7.41%
19932.75%9.87%11.98%$22,362$22,8389.89%9.68%16.79%
19942.67%0.07%-1.29%$22,378$22,5421.18%-2.66%-7.04%
19952.54%31.42%35.29%$29,411$30,49737.45%18.18%30.09%
19963.32%16.87%15.24%$34,371$35,14422.88%3.58%-1.26%
19971.70%25.84%27.31%$43,252$44,74133.19%9.44%13.90%
19981.61%22.95%24.62%$53,179$55,75728.62%8.58%13.05%
19992.68%14.27%11.49%$60,766$62,16521.07%-0.76%-8.66%
20003.39%-3.07%-0.93%$58,897$61,584-9.06%11.39%19.72%
20011.55%-5.87%-6.79%$55,442$57,405-12.02%8.43%4.31%
20022.38%-13.52%-11.26%$47,949$50,944-22.15%8.26%16.67%
20031.88%20.82%20.54%$57,931$61,40628.50%3.97%2.68%
20043.26%8.82%9.76%$63,041$67,39910.74%4.24%7.12%
20053.42%4.14%5.48%$65,650$71,0964.77%2.40%6.61%
20062.54%12.15%11.37%$73,625$79,18015.64%4.27%1.74%
20074.08%5.97%6.75%$78,022$84,5245.39%6.92%9.24%
20080.09%-26.08%-22.30%$57,674$65,678-37.02%5.05%22.52%
20092.72%20.46%14.03%$69,472$74,89126.49%5.93%-12.05%
20101.50%12.79%14.04%$78,359$85,40914.91%6.42%8.93%
20112.96%3.89%10.38%$81,411$94,2751.97%7.56%29.28%
20121.74%12.31%12.44%$91,435$106,00315.82%4.05%3.47%
20131.50%20.90%16.93%$110,543$123,94732.18%-2.26%-13.03%
20140.76%11.20%17.08%$122,923$145,11213.51%5.76%25.28%
20150.73%1.17%0.86%$124,362$146,3651.25%0.30%-1.54%
20162.07%9.09%8.92%$135,664$159,42111.82%2.50%1.20%
20172.11%15.94%17.65%$157,288$187,56121.67%3.46%8.58%
20181.91%-2.96%-3.34%$152,630$181,290-4.52%-0.13%-1.90%
20192.29%24.35%26.63%$189,789$229,57631.33%8.61%14.13%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
198719.68%9.68%$10,968$10,96813.27%1.29%1.30%
198722.94%3.10%$11,290$11,3083.97%0.54%1.07%
198731.81%1.53%$11,494$11,4802.86%-0.64%-1.58%
19874-1.65%-2.13%$11,304$11,235-0.99%-3.20%-4.80%
198750.61%0.28%$11,373$11,2661.04%-0.39%-1.50%
198763.94%3.95%$11,821$11,7115.02%1.42%1.44%
198773.41%3.11%$12,224$12,0754.91%-0.11%-1.11%
198782.46%2.22%$12,524$12,3433.84%-0.77%-1.56%
19879-2.28%-2.71%$12,239$12,008-2.29%-2.25%-3.72%
198710-14.16%-13.46%$10,506$10,392-21.73%3.50%5.84%
198711-5.52%-5.59%$9,926$9,811-8.19%0.69%0.47%
1987125.77%5.77%$10,499$10,3777.55%1.62%1.60%
198813.85%4.32%$10,903$10,8254.17%3.09%4.65%
198823.57%3.56%$11,292$11,2114.59%1.19%1.16%
19883-2.47%-2.80%$11,013$10,897-3.04%-1.15%-2.24%
198840.54%0.37%$11,073$10,9361.01%-0.56%-1.14%
198850.28%0.09%$11,103$10,9460.81%-0.96%-1.59%
198863.99%4.42%$11,547$11,4304.56%2.68%4.09%
19887-0.40%-0.83%$11,501$11,335-0.37%-0.48%-1.90%
19888-2.33%-2.26%$11,233$11,079-3.40%0.18%0.40%
198893.64%4.14%$11,641$11,5374.26%2.19%3.86%
1988102.35%2.65%$11,915$11,8432.73%1.46%2.45%
198811-1.29%-1.60%$11,761$11,654-1.47%-0.86%-1.88%
1988121.35%1.60%$11,920$11,8401.74%0.45%1.29%
198915.39%5.74%$12,562$12,5207.32%0.87%2.05%
19892-1.91%-2.24%$12,322$12,240-2.47%-0.62%-1.71%
198931.66%1.84%$12,526$12,4652.26%0.26%0.86%
198944.22%4.41%$13,055$13,0145.18%1.98%2.59%
198953.59%3.76%$13,524$13,5034.04%2.54%3.11%
198960.47%1.41%$13,587$13,693-0.59%2.93%6.07%
198976.96%6.92%$14,533$14,6419.01%2.19%2.06%
198980.82%0.43%$14,652$14,7041.86%-1.60%-2.90%
19899-0.14%-0.24%$14,631$14,669-0.40%0.47%0.15%
198910-0.90%-0.47%$14,500$14,600-2.34%2.46%3.88%
1989111.65%1.67%$14,739$14,8442.04%0.75%0.83%
1989121.88%1.65%$15,017$15,0892.38%0.74%-0.05%
19901-5.27%-5.80%$14,225$14,213-6.72%-1.89%-3.67%
199021.12%0.80%$14,384$14,3261.27%0.75%-0.32%
199031.85%1.75%$14,650$14,5772.61%0.08%-0.26%
19904-2.02%-2.60%$14,354$14,197-2.50%-0.90%-2.84%
199057.64%8.13%$15,451$15,3529.69%2.86%4.49%
199060.02%0.22%$15,454$15,386-0.66%1.60%2.28%
199070.13%-0.04%$15,475$15,381-0.35%1.27%0.70%
19908-6.69%-7.60%$14,440$14,212-9.03%-1.21%-4.25%
19909-3.21%-3.08%$13,977$13,775-4.89%0.72%1.15%
1990100.16%0.36%$13,999$13,824-0.41%1.49%2.15%
1990115.18%5.89%$14,724$14,6386.44%2.23%4.60%
1990122.34%2.52%$15,068$15,0072.72%1.45%2.05%
199113.38%3.37%$15,577$15,5134.35%1.12%1.09%
199125.21%5.13%$16,390$16,3097.12%0.78%0.50%
199131.89%1.77%$16,700$16,5972.41%0.69%0.27%
199140.43%0.52%$16,772$16,6840.20%0.99%1.28%
199153.19%2.95%$17,308$17,1764.27%0.68%-0.14%
19916-3.21%-3.43%$16,752$16,587-4.56%-0.06%-0.78%
199173.63%3.70%$17,361$17,2004.63%1.32%1.53%
199182.25%2.68%$17,751$17,6612.33%2.05%3.49%
19919-0.57%-0.28%$17,651$17,611-1.67%2.01%2.95%
1991101.22%0.91%$17,866$17,7711.33%0.96%-0.08%
199111-2.58%-2.80%$17,404$17,273-4.01%0.74%0.02%
1991128.90%9.87%$18,953$18,97711.41%3.04%6.26%
19921-1.73%-2.28%$18,625$18,545-1.88%-1.39%-3.21%
199221.06%1.06%$18,822$18,7421.24%0.62%0.64%
19923-1.50%-1.68%$18,540$18,427-1.93%-0.50%-1.10%
199242.25%2.02%$18,957$18,7992.91%0.71%-0.07%
199250.89%1.15%$19,127$19,0150.48%1.84%2.70%
19926-0.65%-0.71%$19,002$18,880-1.49%1.31%1.12%
199273.40%4.04%$19,649$19,6424.04%1.91%4.02%
19928-1.15%-1.24%$19,423$19,399-2.07%0.98%0.71%
199291.20%1.23%$19,655$19,6371.17%1.26%1.36%
199210-0.14%-0.34%$19,628$19,5710.33%-1.22%-1.89%
1992112.37%2.53%$20,095$20,0673.40%-0.02%0.50%
1992121.29%1.64%$20,354$20,3951.21%1.48%2.63%
199311.10%1.42%$20,578$20,6840.81%1.79%2.85%
199321.54%1.91%$20,894$21,0791.36%1.96%3.20%
199331.59%1.53%$21,226$21,4022.11%0.37%0.19%
19934-1.47%-1.47%$20,913$21,088-2.42%0.74%0.76%
199351.90%1.97%$21,310$21,5042.65%0.14%0.38%
199360.73%1.44%$21,465$21,8130.27%1.80%4.17%
19937-0.11%0.12%$21,441$21,839-0.42%0.61%1.39%
199383.16%3.85%$22,117$22,6793.79%1.69%3.99%
19939-0.44%-0.46%$22,021$22,575-0.79%0.40%0.33%
1993101.55%1.64%$22,361$22,9462.08%0.30%0.62%
199311-0.99%-1.44%$22,141$22,615-1.00%-0.97%-2.48%
1993121.00%0.98%$22,362$22,8381.22%0.48%0.42%
199412.78%3.03%$22,984$23,5303.38%1.39%2.23%
19942-2.44%-3.10%$22,424$22,801-2.71%-1.78%-3.99%
19943-3.76%-4.22%$21,581$21,839-4.39%-2.30%-3.82%
199440.65%0.52%$21,722$21,9521.29%-0.83%-1.29%
199451.12%0.98%$21,966$22,1681.60%0.00%-0.47%
19946-1.77%-1.96%$21,578$21,734-2.45%-0.18%-0.81%
199472.85%3.18%$22,192$22,4243.28%1.84%2.94%
199482.90%2.65%$22,835$23,0194.08%0.14%-0.67%
19949-2.15%-2.61%$22,345$22,418-2.45%-1.44%-3.00%
1994101.55%1.47%$22,692$22,7462.25%-0.07%-0.36%
199411-2.61%-2.37%$22,099$22,207-3.65%-0.18%0.62%
1994121.26%1.51%$22,378$22,5421.46%0.80%1.62%
199512.38%2.59%$22,910$23,1272.58%1.90%2.62%
199523.37%3.54%$23,682$23,9443.88%2.17%2.73%
199532.27%2.28%$24,219$24,4912.95%0.67%0.72%
199542.45%2.56%$24,813$25,1172.94%1.31%1.65%
199553.95%5.02%$25,794$26,3793.95%3.95%7.52%
199561.81%1.96%$26,262$26,8952.31%0.66%1.13%
199572.24%1.89%$26,850$27,4043.30%-0.25%-1.40%
199580.54%0.80%$26,994$27,6240.26%1.18%2.05%
199593.23%3.49%$27,867$28,5894.21%0.95%1.81%
1995100.18%0.63%$27,919$28,770-0.36%1.47%2.97%
1995113.50%3.76%$28,895$29,8524.38%1.44%2.31%
1995121.78%2.16%$29,411$30,4971.93%1.44%2.70%
199612.56%2.35%$30,163$31,2153.39%0.63%-0.05%
199620.12%-0.83%$30,199$30,9550.92%-1.76%-4.93%
199630.45%0.09%$30,335$30,9840.98%-0.77%-1.98%
199640.87%0.49%$30,600$31,1341.46%-0.49%-1.78%
199651.73%1.64%$31,129$31,6462.54%-0.17%-0.46%
199660.65%0.91%$31,332$31,9330.38%1.27%2.14%
19967-3.02%-3.11%$30,386$30,940-4.42%0.25%-0.05%
199681.42%1.08%$30,816$31,2742.10%-0.16%-1.29%
199694.43%4.76%$32,183$32,7635.61%1.70%2.79%
1996102.59%3.09%$33,017$33,7772.76%2.21%3.88%
1996115.82%6.27%$34,939$35,8937.56%1.76%3.24%
199612-1.63%-2.09%$34,371$35,144-1.96%-0.85%-2.38%
199714.43%4.16%$35,892$36,6056.22%0.25%-0.65%
199720.59%0.52%$36,103$36,7950.79%0.11%-0.11%
19973-3.19%-3.58%$34,952$35,476-4.14%-0.97%-2.29%
199744.62%4.87%$36,565$37,2065.96%1.49%2.35%
199754.52%4.56%$38,219$38,9016.09%0.87%0.98%
199763.47%3.65%$39,544$40,3214.45%1.16%1.78%
199776.42%7.18%$42,081$43,2157.97%2.80%5.34%
19978-4.18%-4.70%$40,321$41,184-5.61%-0.85%-2.57%
199794.26%4.62%$42,040$43,0865.47%1.45%2.63%
199710-1.91%-1.45%$41,237$42,462-3.35%1.45%2.99%
1997113.32%3.60%$42,605$43,9914.60%0.33%1.27%
1997121.52%1.70%$43,252$44,7411.72%1.04%1.66%
199811.17%1.35%$43,759$45,3451.11%1.32%1.91%
199825.01%4.81%$45,950$47,5267.19%-0.10%-0.75%
199833.67%3.62%$47,636$49,2445.10%0.33%0.14%
199840.86%0.83%$48,045$49,6511.01%0.51%0.40%
19985-0.91%-0.67%$47,606$49,318-1.74%1.02%1.83%
199863.09%3.56%$49,078$51,0714.07%0.81%2.35%
19987-0.67%-0.89%$48,749$50,616-1.05%0.23%-0.51%
19988-9.56%-8.68%$44,088$46,221-14.47%1.90%4.83%
199895.08%5.47%$46,326$48,7516.41%1.96%3.29%
1998105.55%5.21%$48,896$51,2898.16%-0.55%-1.69%
1998114.40%4.52%$51,046$53,6056.07%0.49%0.88%
1998124.18%4.02%$53,179$55,7575.81%0.38%-0.16%
199913.18%3.24%$54,870$57,5624.20%0.79%0.98%
19992-2.72%-3.61%$53,379$55,482-3.12%-1.77%-4.76%
199932.97%2.69%$54,962$56,9774.00%0.56%-0.34%
199942.82%2.75%$56,511$58,5463.85%0.40%0.19%
19995-1.94%-2.18%$55,416$57,272-2.39%-0.88%-1.68%
199963.74%3.57%$57,489$59,3185.56%-0.50%-1.05%
19997-2.31%-2.36%$56,162$57,915-3.13%-0.39%-0.58%
19998-0.37%-0.49%$55,954$57,629-0.50%-0.08%-0.49%
19999-1.54%-1.65%$55,092$56,681-2.74%1.26%0.91%
1999104.53%4.46%$57,587$59,2126.33%0.33%0.12%
1999111.42%1.24%$58,406$59,9452.02%0.02%-0.59%
1999124.04%3.70%$60,766$62,1655.98%-0.48%-1.60%
20001-3.57%-3.15%$58,594$60,210-5.03%-0.17%1.25%
20002-0.98%-0.45%$58,019$59,940-1.91%1.18%2.96%
200037.25%7.77%$62,227$64,5999.76%1.40%3.14%
20004-2.25%-2.30%$60,826$63,112-3.01%-0.49%-0.66%
20005-1.48%-1.56%$59,928$62,125-2.04%-0.16%-0.46%
200062.39%2.43%$61,358$63,6352.49%2.15%2.30%
20007-0.78%-0.60%$60,880$63,254-1.49%0.88%1.49%
200084.75%4.96%$63,773$66,3896.19%1.40%2.08%
20009-3.47%-3.96%$61,557$63,761-5.29%0.76%-0.85%
200010-0.13%0.17%$61,477$63,869-0.43%0.57%1.57%
200011-5.04%-4.62%$58,378$60,921-7.88%1.58%2.99%
2000120.89%1.09%$58,897$61,5840.50%1.79%2.45%
200113.01%2.57%$60,670$63,1653.55%1.76%0.28%
20012-6.12%-5.86%$56,955$59,466-9.14%0.91%1.80%
20013-4.29%-4.63%$54,513$56,712-6.36%0.54%-0.60%
200145.30%4.67%$57,402$59,3617.77%-0.46%-2.56%
200150.68%0.52%$57,789$59,6680.65%0.73%0.21%
20016-1.55%-1.48%$56,891$58,782-2.45%0.52%0.76%
20017-0.03%0.38%$56,873$59,008-1.00%2.23%3.61%
20018-4.06%-3.78%$54,565$56,775-6.27%1.11%2.02%
20019-5.40%-5.40%$51,621$53,709-8.09%0.89%0.88%
2001101.88%2.86%$52,594$55,2471.90%1.86%5.12%
2001114.96%3.84%$55,201$57,3677.65%-1.34%-5.07%
2001120.44%0.07%$55,442$57,4050.87%-0.58%-1.82%
20021-0.82%-0.67%$54,985$57,020-1.47%0.69%1.20%
20022-1.10%-0.98%$54,381$56,459-1.94%0.85%1.24%
200232.18%1.46%$55,567$57,2863.74%-1.46%-3.86%
20024-3.74%-3.13%$53,487$55,492-6.07%1.69%3.73%
20025-0.29%-0.41%$53,332$55,264-0.75%0.80%0.39%
20026-4.91%-4.47%$50,715$52,795-7.13%0.29%1.76%
20027-5.26%-4.52%$48,048$50,406-7.72%0.48%2.93%
200280.96%1.74%$48,507$51,2830.65%1.66%4.28%
20029-7.15%-6.41%$45,037$47,997-10.87%1.53%4.02%
2002105.96%5.30%$47,724$50,5408.78%-0.61%-2.84%
2002114.12%3.82%$49,690$52,4705.88%0.02%-0.98%
200212-3.50%-2.91%$47,949$50,944-5.89%2.07%4.05%
20031-1.82%-1.97%$47,075$49,940-2.62%0.05%-0.45%
20032-0.65%-0.16%$46,769$49,862-1.52%1.38%3.03%
200330.63%0.33%$47,065$50,0270.96%-0.13%-1.13%
200346.04%6.05%$49,906$53,0538.25%0.87%0.91%
200354.23%5.39%$52,018$55,9115.26%1.82%5.67%
200360.84%0.44%$52,456$56,1551.26%-0.13%-1.48%
200370.22%-1.35%$52,571$55,3961.74%-3.34%-8.57%
200381.54%1.78%$53,378$56,3831.93%0.61%1.43%
200390.06%0.77%$53,411$56,817-1.07%2.71%5.07%
2003103.66%3.18%$55,367$58,6215.64%-0.96%-2.58%
2003110.69%0.70%$55,747$59,0310.86%0.27%0.31%
2003123.92%4.02%$57,931$61,4065.22%0.88%1.23%
200411.53%1.80%$58,820$62,5101.82%0.86%1.74%
200421.27%1.55%$59,569$63,4811.38%1.03%1.96%
20043-0.82%-0.63%$59,080$63,083-1.51%0.80%1.45%
20044-1.89%-2.76%$57,965$61,343-1.58%-2.61%-5.52%
200450.82%0.78%$58,442$61,8231.36%-0.43%-0.56%
200461.52%1.61%$59,329$62,8201.93%0.56%0.87%
20047-2.03%-1.86%$58,125$61,650-3.31%0.96%1.52%
200480.85%1.28%$58,620$62,4410.38%1.94%3.39%
200490.80%1.03%$59,086$63,0831.07%0.16%0.94%
2004101.31%1.50%$59,863$64,0281.51%0.85%1.46%
2004112.59%2.16%$61,413$65,4094.05%-0.81%-2.25%
2004122.65%3.04%$63,041$67,3993.39%0.92%2.22%
20051-1.52%-0.94%$62,082$66,766-2.45%0.65%2.59%
200521.28%1.09%$62,875$67,4962.09%-0.63%-1.24%
20053-1.38%-1.46%$62,007$66,511-1.76%-0.49%-0.76%
20054-0.93%-0.37%$61,429$66,265-1.91%1.35%3.22%
200552.53%2.98%$62,986$68,2413.17%1.05%2.55%
200560.25%0.58%$63,146$68,6380.13%0.55%1.64%
200572.30%1.82%$64,596$69,8873.71%-0.99%-2.58%
20058-0.23%0.22%$64,446$70,043-0.91%1.36%2.87%
200590.23%-0.28%$64,592$69,8490.79%-1.10%-2.78%
200510-1.42%-1.70%$63,676$68,664-1.68%-0.81%-1.74%
2005112.78%2.81%$65,445$70,5913.76%0.48%0.57%
2005120.31%0.71%$65,650$71,0960.02%0.99%2.33%
200611.82%1.58%$66,844$72,2202.65%-0.11%-0.90%
200620.30%0.43%$67,042$72,5280.26%0.37%0.81%
200630.56%-0.16%$67,419$72,4141.23%-1.00%-3.39%
200640.87%0.35%$68,006$72,6651.33%-0.21%-1.96%
20065-2.06%-2.04%$66,608$71,185-2.90%-0.09%-0.03%
200660.12%0.30%$66,689$71,4000.13%0.10%0.71%
200670.83%0.98%$67,241$72,0970.61%1.35%1.84%
200682.15%2.47%$68,684$73,8812.36%1.64%2.74%
200692.04%2.27%$70,084$75,5572.56%0.81%1.58%
2006102.49%2.51%$71,830$77,4503.25%0.72%0.77%
2006111.65%1.89%$73,019$78,9181.89%1.11%1.91%
2006120.83%0.33%$73,625$79,1801.39%-0.48%-2.14%
200711.02%0.79%$74,377$79,8071.49%-0.08%-0.85%
20072-0.93%-0.50%$73,687$79,408-1.97%1.50%2.93%
200730.78%0.44%$74,266$79,7571.11%0.02%-1.13%
200743.25%3.35%$76,676$82,4284.42%0.51%0.86%
200752.20%1.86%$78,364$83,9573.48%-0.78%-1.93%
20076-1.29%-1.44%$77,353$82,749-1.68%-0.39%-0.88%
20077-1.91%-1.44%$75,878$81,555-3.08%0.84%2.39%
200781.45%1.64%$76,979$82,8931.50%1.34%1.97%
200792.82%2.67%$79,152$85,1073.72%0.72%0.21%
2007101.38%1.52%$80,247$86,4041.58%0.93%1.40%
200711-2.36%-1.55%$78,355$85,063-4.19%1.91%4.59%
200712-0.42%-0.63%$78,022$84,524-0.70%0.22%-0.48%
20081-3.70%-3.42%$75,132$81,634-6.02%1.69%2.64%
20082-2.22%-2.17%$73,464$79,862-3.25%0.19%0.35%
20083-0.22%-0.00%$73,303$79,861-0.44%0.30%1.02%
200843.31%2.85%$75,728$82,1344.85%-0.30%-1.84%
200850.67%0.27%$76,234$82,3531.29%-0.79%-2.13%
20086-5.91%-5.37%$71,730$77,933-8.44%-0.01%1.80%
20087-0.58%-0.49%$71,312$77,548-0.83%0.00%0.30%
200881.22%1.55%$72,184$78,7531.45%0.70%1.80%
20089-6.57%-6.15%$67,445$73,910-8.91%-1.10%0.28%
200810-12.51%-12.84%$59,004$64,418-16.79%-2.53%-3.63%
200811-3.93%-1.40%$56,685$63,514-7.17%3.64%12.07%
2008121.74%3.41%$57,674$65,6781.07%3.32%8.87%
20091-6.10%-8.43%$54,157$60,142-8.41%-0.70%-8.47%
20092-7.59%-7.76%$50,048$55,473-10.66%-0.42%-1.01%
200936.58%7.71%$53,339$59,7518.76%1.48%5.27%
200946.80%5.19%$56,966$62,8559.56%0.36%-4.99%
200954.19%3.13%$59,351$64,8225.62%0.85%-2.68%
200960.32%0.36%$59,538$65,0580.22%0.54%0.70%
200975.73%5.54%$62,951$68,6657.58%1.43%0.80%
200982.82%3.02%$64,729$70,7423.60%1.01%1.68%
200992.96%3.20%$66,644$73,0033.72%1.19%1.98%
200910-1.18%-1.74%$65,855$71,730-1.87%0.41%-1.45%
2009114.60%4.76%$68,881$75,1445.98%1.36%1.91%
2009120.86%-0.34%$69,472$74,8911.95%-1.68%-5.66%
20101-2.05%-1.72%$68,047$73,600-3.60%1.57%2.66%
201022.22%2.10%$69,560$75,1473.09%0.20%-0.21%
201034.19%3.76%$72,471$77,9696.01%-0.08%-1.51%
201041.42%1.93%$73,502$79,4761.58%1.06%2.76%
20105-5.34%-4.33%$69,576$76,031-8.01%0.87%4.23%
20106-3.18%-2.27%$67,360$74,307-5.24%1.61%4.67%
201075.18%4.85%$70,848$77,9087.00%0.94%-0.17%
20108-2.73%-1.05%$68,917$77,092-4.53%1.48%7.08%
201096.24%5.70%$73,217$81,4848.92%-0.01%-1.82%
2010102.76%1.67%$75,238$82,8413.79%0.36%-3.29%
201011-0.17%-0.48%$75,110$82,4430.00%-0.57%-1.60%
2010124.33%3.60%$78,359$85,4096.67%-1.15%-3.58%
201111.67%0.94%$79,671$86,2092.36%0.08%-2.38%
201122.44%2.76%$81,615$88,5903.42%0.16%1.24%
201130.02%0.02%$81,629$88,6120.03%-0.01%0.02%
201142.46%2.68%$83,636$90,9832.95%1.32%2.04%
20115-0.41%0.19%$83,292$91,152-1.15%1.30%3.29%
20116-1.29%-1.77%$82,220$89,539-1.67%-0.39%-2.00%
20117-0.96%-0.18%$81,431$89,379-2.05%1.58%4.18%
20118-3.37%-1.21%$78,684$88,299-5.45%1.46%8.68%
20119-4.66%-1.88%$75,016$86,638-7.04%0.89%10.16%
2011107.69%6.64%$80,782$92,39010.91%0.16%-3.34%
201111-0.25%0.38%$80,577$92,742-0.23%-0.30%1.82%
2011121.04%1.65%$81,411$94,2751.02%1.08%3.13%
201213.39%3.15%$84,168$97,2434.46%0.87%0.08%
201223.00%2.38%$86,694$99,5594.31%-0.05%-2.11%
201232.12%1.17%$88,534$100,7203.28%-0.58%-3.77%
20124-0.11%0.86%$88,440$101,590-0.64%1.14%4.37%
20125-3.93%-1.88%$84,966$99,684-6.02%0.95%7.79%
201262.89%2.44%$87,419$102,1194.11%0.04%-1.44%
201271.37%1.96%$88,621$104,1161.37%1.39%3.32%
201281.58%1.25%$90,018$105,4172.24%0.03%-1.06%
201291.84%1.17%$91,671$106,6552.58%0.11%-2.10%
201210-1.27%-1.43%$90,508$105,128-1.86%0.11%-0.43%
2012110.45%0.80%$90,915$105,9660.56%0.19%1.35%
2012120.57%0.04%$91,435$106,0030.90%-0.20%-1.99%
201313.41%2.64%$94,552$108,8035.18%-0.71%-3.27%
201321.10%1.32%$95,592$110,2351.34%0.54%1.26%
201332.64%2.63%$98,118$113,1313.74%0.08%0.03%
201341.61%2.50%$99,697$115,9561.91%0.91%3.87%
201351.12%-0.24%$100,811$115,6782.33%-1.71%-6.23%
20136-1.44%-1.92%$99,357$113,454-1.35%-1.65%-3.26%
201373.61%2.97%$102,944$116,8265.07%0.20%-1.93%
20138-2.23%-2.42%$100,648$113,996-2.91%-0.64%-1.28%
201392.47%2.45%$103,137$116,7873.12%0.96%0.88%
2013103.44%3.61%$106,689$121,0014.59%0.78%1.32%
2013112.02%1.37%$108,839$122,6623.03%-0.35%-2.49%
2013121.57%1.05%$110,543$123,9472.51%-0.65%-2.37%
20141-1.97%-0.55%$108,370$123,265-3.47%1.54%6.26%
201423.34%3.37%$111,986$127,4214.56%0.48%0.60%
201430.53%0.76%$112,581$128,3960.82%-0.15%0.63%
201440.74%1.05%$113,412$129,7470.72%0.77%1.82%
201451.95%2.45%$115,623$132,9302.33%1.05%2.73%
201461.47%1.39%$117,321$134,7772.05%0.11%-0.16%
20147-1.05%-0.79%$116,091$133,707-1.39%-0.26%0.59%
201483.13%4.06%$119,720$139,1303.98%1.13%4.23%
20149-1.21%-1.58%$118,277$136,925-1.41%-0.72%-1.99%
2014101.98%2.48%$120,617$140,3202.42%0.94%2.61%
2014112.07%2.74%$123,118$144,1602.68%0.65%2.86%
201412-0.16%0.66%$122,923$145,112-0.26%0.09%2.82%
20151-1.42%0.58%$121,179$145,950-3.02%2.31%8.97%
201523.69%2.32%$125,654$149,3365.74%-1.08%-5.66%
20153-0.99%-0.78%$124,406$148,175-1.59%0.41%1.13%
201540.56%-0.26%$125,097$147,7950.95%-0.36%-3.07%
201550.76%0.24%$126,043$148,1541.27%-0.45%-2.16%
20156-1.66%-2.47%$123,956$144,493-1.93%-1.01%-3.73%
201571.68%2.72%$126,044$148,4212.08%0.76%4.21%
20158-4.34%-4.44%$120,579$141,826-6.04%-0.36%-0.71%
20159-1.52%-1.17%$118,751$140,167-2.49%0.76%1.91%
2015105.90%5.75%$125,757$148,2308.42%0.01%-0.48%
2015110.12%-0.04%$125,909$148,1680.29%-0.27%-0.81%
201512-1.23%-1.22%$124,362$146,365-1.59%-0.38%-0.34%
20161-3.05%-1.91%$120,563$143,566-4.98%1.43%5.24%
201620.10%0.76%$120,679$144,651-0.15%0.66%2.86%
201635.03%4.76%$126,744$151,5356.78%0.94%0.05%
201640.37%0.07%$127,219$151,6460.37%0.38%-0.63%
201651.25%1.45%$128,813$153,8501.78%0.01%0.69%
201660.76%2.15%$129,787$157,1530.25%1.94%6.57%
201672.77%3.18%$133,376$162,1443.68%0.64%2.01%
201680.04%-0.21%$133,430$161,8050.13%-0.17%-1.00%
20169-0.02%-0.39%$133,403$161,1750.01%-0.09%-1.32%
201610-1.53%-2.55%$131,369$157,060-1.83%-0.81%-4.23%
2016111.80%0.23%$133,728$157,4253.70%-2.64%-7.86%
2016121.45%1.27%$135,664$159,4211.96%0.24%-0.35%
201711.41%1.51%$137,572$161,8321.88%0.29%0.65%
201722.97%3.24%$141,660$167,0833.96%0.66%1.57%
201730.05%-0.11%$141,729$166,9050.10%-0.07%-0.59%
201740.94%1.19%$143,063$168,8871.02%0.76%1.58%
201751.18%1.49%$144,747$171,4101.39%0.67%1.73%
201760.43%0.62%$145,373$172,4710.61%0.01%0.63%
201771.55%1.25%$147,620$174,6302.04%0.39%-0.59%
201780.46%1.19%$148,302$176,7030.29%0.85%3.27%
201791.28%0.76%$150,200$178,0472.06%-0.54%-2.27%
2017101.66%1.62%$152,687$180,9252.32%0.11%-0.02%
2017112.09%2.33%$155,878$185,1433.06%-0.17%0.63%
2017120.90%1.31%$157,288$187,5611.10%0.44%1.78%
201813.67%2.98%$163,061$193,1455.71%-1.09%-3.40%
20182-2.89%-3.45%$158,342$186,478-3.69%-1.03%-2.89%
20183-1.60%-0.96%$155,807$184,683-2.56%0.63%2.75%
201840.01%-0.35%$155,826$184,0370.37%-0.83%-2.04%
201851.86%2.21%$158,722$188,1132.39%0.61%1.79%
201860.43%0.62%$159,408$189,2820.61%0.03%0.66%
201872.61%2.21%$163,564$193,4693.71%0.03%-1.28%
201882.43%2.63%$167,533$198,5533.25%0.52%1.18%
201890.23%-0.43%$167,911$197,6900.55%-0.54%-2.74%
201810-5.01%-5.64%$159,493$186,540-6.85%-0.73%-2.82%
2018111.58%1.95%$162,008$190,1852.03%0.53%1.78%
201812-5.79%-4.68%$152,630$181,290-9.04%1.80%5.50%
201915.90%5.75%$161,640$191,7138.00%1.01%0.49%
201922.22%1.85%$165,231$195,2583.20%-0.06%-1.31%
201931.94%3.00%$168,441$201,1091.94%1.96%5.47%
201942.84%2.26%$173,228$205,6644.04%0.04%-1.88%
20195-3.91%-2.46%$166,461$200,606-6.36%1.83%6.65%
201965.27%5.23%$175,232$211,0887.03%1.15%1.01%
201971.07%1.06%$177,100$213,3331.43%0.23%0.22%
20198-0.28%2.09%$176,606$217,790-1.59%2.78%10.68%
201991.12%0.52%$178,588$218,9131.86%-0.60%-2.62%
2019101.57%1.18%$181,396$221,4912.15%0.21%-1.10%
2019112.52%2.42%$185,959$226,8423.62%-0.06%-0.39%
2019122.06%1.21%$189,789$229,5763.01%-0.15%-3.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value32.10%31.49%
Large-cap Growth38.22%37.80%
Mid-cap Value0.25%0.00%
Mid-cap Growth0.00%0.45%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.58%0.43%
Corporate Bonds3.58%0.00%
Long-Term Treasuries0.49%22.24%
Intermediate-Term Treasuries10.34%7.59%
Short-Term Treasuries14.44%0.00%
R Squared99.83%99.64%
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/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend70.00%0.14%26.69$150,63797.98%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond30.00%0.15%6.60$29,1532.02%
100.00%0.14%26.696.60$179,789100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend70.00%0.14%26.69$171,56295.10%
VUSTXVanguard Long-Term Treasury InvLong Government30.00%0.20%18.41$48,0144.90%
100.00%0.16%26.6918.41$219,576100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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)0.79%0.84%
Arithmetic Mean (annualized)9.93%10.56%
Geometric Mean (monthly)0.75%0.79%
Geometric Mean (annualized)9.33%9.96%
Volatility (monthly)3.02%3.01%
Volatility (annualized)10.48%10.42%
Downside Deviation (monthly)1.94%1.90%
Max. Drawdown-37.63%-35.80%
US Market Correlation0.980.94
Beta(*)0.690.66
Alpha (annualized)1.93%2.83%
R296.27%88.99%
Sharpe Ratio0.610.67
Sortino Ratio0.890.99
Treynor Ratio (%)9.2910.59
Calmar Ratio1.301.49
Active Return-1.01%-0.38%
Tracking Error5.09%6.18%
Information Ratio-0.20-0.06
Skewness-0.73-0.70
Excess Kurtosis2.372.40
Historical Value-at-Risk (5%)-4.70%-4.48%
Analytical Value-at-Risk (5%)-4.18%-4.10%
Conditional Value-at-Risk (5%)-6.84%-6.74%
Upside Capture Ratio (%)71.4470.71
Downside Capture Ratio (%)65.2160.48
Safe Withdrawal Rate8.07%8.41%
Perpetual Withdrawal Rate6.16%6.70%
Positive Periods267 out of 396 (67.42%)264 out of 396 (66.67%)
Gain/Loss Ratio0.951.03
* 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
Black Monday PeriodSep 1987Nov 1987-20.75%-20.51%
Asian CrisisJul 1997Jan 1998-4.18%-4.70%
Russian Debt DefaultJul 1998Oct 1998-10.17%-9.50%
Dotcom CrashMar 2000Oct 2002-29.38%-27.70%
Subprime CrisisNov 2007Mar 2009-37.63%-35.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-37.63%
2Sep 2000Sep 20022 years 1 monthJul 20052 years 10 months4 years 11 months-29.38%
3Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-20.75%
4May 2011Sep 20115 monthsJan 20124 months9 months-10.31%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-10.17%
6Aug 1990Sep 19902 monthsJan 19914 months6 months-9.68%
7Oct 2018Dec 20183 monthsMar 20193 months6 months-9.10%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.12%
9Aug 2015Sep 20152 monthsMar 20166 months8 months-5.79%
10Jan 1990Jan 19901 monthMay 19904 months5 months-5.27%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-35.80%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-27.70%
3Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-20.51%
4Jul 1990Sep 19903 monthsJan 19914 months7 months-10.47%
5Jul 1998Aug 19982 monthsOct 19982 months4 months-9.50%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.69%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.63%
8Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.14%
9Jan 1990Apr 19904 monthsMay 19901 month5 months-5.91%
10Jun 2011Sep 20114 monthsOct 20111 month5 months-4.95%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.47%14.75%37.45%-37.02%-50.97%0.540.780.99
VBMFXVanguard Total Bond Market Index Inv5.86%3.80%18.18%-2.66%-5.86%0.711.130.06
VUSTXVanguard Long-Term Treasury Inv7.47%9.81%30.09%-13.03%-16.68%0.470.77-0.13

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVBMFXVUSTXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.000.08-0.110.990.96
VBMFXVanguard Total Bond Market Index Inv0.081.000.870.180.32
VUSTXVanguard Long-Term Treasury Inv-0.110.871.00-0.010.17

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$150,637$171,562
VBMFXVanguard Total Bond Market Index Inv$29,153
VUSTXVanguard Long-Term Treasury Inv$48,014

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor97.98%95.10%
VBMFXVanguard Total Bond Market Index Inv2.02%
VUSTXVanguard Long-Term Treasury Inv4.90%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.05%31.42%-26.08%10.65%35.29%-22.30%
3 years9.46%24.56%-7.59%10.12%25.67%-6.42%
5 years9.17%22.11%-0.09%9.82%22.49%1.35%
7 years8.97%16.91%0.57%9.64%17.26%1.94%
10 years8.66%16.13%0.81%9.32%16.76%1.65%
15 years7.83%12.10%4.81%8.49%12.36%5.47%
Result statistics are based on annualized rolling returns over full calendar year periods