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 Analysis Results (Jan 2013 - Dec 2019)

Portfolio Allocations

60-40
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
401
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 33.00%
VXF Vanguard Extended Market ETF 24.00%
VEA Vanguard FTSE Developed Markets ETF 15.00%
VWO Vanguard FTSE Emerging Markets ETF 10.00%
VNQ Vanguard Real Estate ETF 2.80%
CASHX Cash 2.00%
PFF iShares Preferred&Income Securities ETF 3.50%
IJS iShares S&P Small-Cap 600 Value ETF 5.20%
AGG iShares Core US Aggregate Bond ETF 3.50%
GNR SPDR S&P Global Natural Resources ETF 1.00%
Save portfolio »
HSA
Ticker Name Allocation
ITOT iShares Core S&P Total US Stock Mkt ETF 60.00%
IEFA iShares Core MSCI EAFE ETF 20.00%
IEMG iShares Core MSCI Emerging Markets ETF 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
60-40$10,000$18,996 9.60% 6.78%21.60%-2.82%-8.03% 1.282.160.98
401$10,000$19,885 10.32% 10.64%25.40%-8.51%-13.79% 0.911.430.97
HSA$10,000$20,338 10.67% 11.13%26.44%-8.88%-13.85% 0.901.430.95
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
60-405.38%21.60%10.37%7.94%9.60%7.29%7.17%
4018.11%25.40%11.15%8.41%10.32%11.21%11.23%
HSA9.52%26.44%13.09%9.24%10.67%11.67%11.87%
Trailing annualized return and volatility 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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflation60-40401HSAVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Market ETF (VTI)Vanguard Extended Market ETF (VXF)Vanguard FTSE Developed Markets ETF (VEA)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard Real Estate ETF (VNQ)Cash (CASHX)iShares Preferred&Income Securities ETF (PFF)iShares S&P Small-Cap 600 Value ETF (IJS)iShares Core US Aggregate Bond ETF (AGG)SPDR S&P Global Natural Resources ETF (GNR)iShares Core S&P Total US Stock Mkt ETF (ITOT)iShares Core MSCI EAFE ETF (IEFA)iShares Core MSCI Emerging Markets ETF (IEMG)
ReturnBalanceReturnBalanceReturnBalance
20131.50%18.14%$11,81424.31%$12,43123.40%$12,34033.35%-2.26%33.45%38.26%21.83%-4.92%2.31%0.05%-0.98%39.34%-1.98%0.05%33.31%22.42%-2.81%
20140.76%9.74%$12,9646.80%$13,2775.94%$13,07412.43%5.76%12.54%7.56%-5.98%-0.07%30.36%0.03%14.11%7.56%6.00%-10.38%13.52%-6.33%-3.44%
20150.73%0.45%$13,022-2.63%$12,927-2.23%$12,7820.29%0.30%0.36%-3.26%-0.38%-15.81%2.42%0.05%4.27%-6.90%0.48%-24.12%0.91%0.73%-14.31%
20162.07%8.50%$14,12912.02%$14,48010.00%$14,06012.53%2.50%12.83%16.21%2.67%12.21%8.60%0.30%1.30%31.25%2.42%30.84%12.61%1.58%10.29%
20172.11%13.78%$16,07619.69%$17,33225.54%$17,65221.05%3.46%21.21%18.06%26.42%31.48%4.91%0.88%8.10%11.35%3.52%22.63%21.38%26.59%37.40%
20181.91%-2.82%$15,622-8.51%$15,857-8.88%$16,085-5.26%-0.13%-5.21%-9.34%-14.75%-14.77%-6.02%1.90%-4.63%-12.84%0.33%-13.18%-5.31%-14.13%-14.92%
20192.29%21.60%$18,99625.40%$19,88526.44%$20,33830.65%8.61%30.67%27.96%22.62%20.76%28.87%2.13%15.92%24.12%8.45%16.45%30.67%22.63%17.79%
Monthly returns for the configured portfolios
YearMonth60-40401HSAVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Market ETF (VTI)Vanguard Extended Market ETF (VXF)Vanguard FTSE Developed Markets ETF (VEA)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard Real Estate ETF (VNQ)Cash (CASHX)iShares Preferred&Income Securities ETF (PFF)iShares S&P Small-Cap 600 Value ETF (IJS)iShares Core US Aggregate Bond ETF (AGG)SPDR S&P Global Natural Resources ETF (GNR)iShares Core S&P Total US Stock Mkt ETF (ITOT)iShares Core MSCI EAFE ETF (IEFA)iShares Core MSCI Emerging Markets ETF (IEMG)
ReturnBalanceReturnBalanceReturnBalance
201313.01%$10,3014.44%$10,4443.87%$10,3875.50%-0.71%5.42%6.79%3.83%0.07%3.74%0.00%1.34%5.35%-0.62%3.01%5.33%3.60%-0.23%
201320.99%$10,4040.35%$10,4810.25%$10,4131.28%0.54%1.28%0.82%-1.15%-2.36%1.22%0.01%0.53%1.63%0.59%-3.60%1.23%-1.01%-1.54%
201332.42%$10,6562.89%$10,7842.75%$10,7003.88%0.08%3.95%4.81%1.19%-1.27%2.87%0.01%1.12%4.11%0.10%-1.82%4.29%1.57%-1.01%
201341.39%$10,8041.92%$10,9912.31%$10,9471.70%0.91%1.61%0.66%5.22%2.00%6.73%0.01%1.05%0.12%0.97%-1.19%1.79%4.78%1.40%
201350.72%$10,8810.43%$11,038-0.10%$10,9362.32%-1.71%2.44%2.79%-2.97%-5.07%-5.98%0.00%-0.66%4.29%-2.00%-2.36%2.39%-3.23%-4.37%
20136-1.42%$10,726-1.91%$10,827-2.46%$10,667-1.27%-1.65%-1.43%-1.12%-2.77%-5.33%-1.98%0.00%-2.20%-0.14%-1.57%-5.64%-1.40%-2.75%-5.57%
201373.37%$11,0884.84%$11,3514.54%$11,1525.49%0.20%5.75%7.12%5.20%0.70%0.90%0.00%-0.54%6.56%0.27%2.73%5.37%5.58%1.04%
20138-1.98%$10,869-2.76%$11,038-2.63%$10,858-2.82%-0.64%-3.03%-2.91%-1.60%-3.43%-6.98%0.00%-2.19%-3.41%-0.83%0.26%-2.99%-1.67%-2.49%
201392.60%$11,1525.24%$11,6165.12%$11,4143.66%0.96%3.90%6.20%7.85%7.27%3.49%0.00%0.68%6.59%1.12%4.55%3.50%7.90%7.21%
2013102.84%$11,4693.37%$12,0084.12%$11,8844.22%0.78%4.27%2.68%3.21%4.34%4.52%0.00%0.93%3.48%0.83%3.51%4.37%3.38%4.09%
2013111.62%$11,6541.57%$12,1971.83%$12,1012.88%-0.35%2.70%2.54%0.66%-0.93%-5.25%0.00%0.32%4.25%-0.25%-1.14%3.04%0.55%-0.57%
2013121.37%$11,8141.92%$12,4311.98%$12,3402.63%-0.65%2.73%2.98%1.90%-0.28%0.10%0.01%-1.29%1.29%-0.56%2.28%2.54%2.35%-0.15%
20141-1.25%$11,667-3.09%$12,048-4.61%$11,772-3.11%1.54%-3.17%-1.89%-5.21%-8.43%4.28%0.01%2.96%-3.51%1.54%-5.75%-3.39%-4.87%-7.99%
201422.98%$12,0154.66%$12,6104.62%$12,3154.73%0.48%4.87%5.51%5.95%3.24%5.07%0.00%2.28%4.63%0.38%5.34%4.53%6.09%3.38%
201430.25%$12,0440.52%$12,6751.09%$12,4490.51%-0.15%0.51%-0.71%-0.37%4.62%0.49%0.00%1.75%1.34%-0.15%0.92%0.80%-0.42%3.59%
201440.35%$12,086-0.19%$12,6510.66%$12,5310.06%0.77%0.06%-2.61%1.57%0.89%3.29%0.00%1.84%-2.29%0.82%2.52%0.37%1.18%0.98%
201451.72%$12,2941.82%$12,8822.22%$12,8092.17%1.05%2.10%1.51%1.77%3.10%2.40%0.00%1.25%0.62%1.18%0.47%2.23%1.60%2.80%
201461.57%$12,4872.67%$13,2262.03%$13,0692.54%0.11%2.62%4.44%1.04%3.17%1.13%0.00%0.61%3.85%-0.06%3.25%2.28%0.96%2.35%
20147-1.29%$12,326-2.23%$12,931-1.32%$12,897-1.98%-0.26%-1.99%-4.38%-2.37%1.37%0.08%0.00%-0.50%-5.07%-0.25%-1.29%-1.67%-2.57%1.01%
201482.95%$12,6893.39%$13,3693.16%$13,3044.18%1.13%4.15%4.92%0.26%3.84%3.04%0.00%1.79%4.46%1.15%0.44%4.07%0.20%3.33%
20149-1.58%$12,489-3.85%$12,855-3.34%$12,859-2.14%-0.72%-2.10%-5.06%-4.16%-7.18%-6.04%0.00%-0.82%-5.94%-0.61%-7.04%-1.76%-4.10%-7.26%
2014102.02%$12,7422.75%$13,2081.65%$13,0722.74%0.94%2.75%4.07%-0.35%2.23%9.94%0.00%1.07%7.13%1.06%-2.92%2.59%-0.29%0.78%
2014111.71%$12,9601.16%$13,3601.25%$13,2352.41%0.65%2.48%1.33%0.00%-1.10%2.00%0.00%1.24%0.48%0.66%-3.02%2.49%-0.02%-1.29%
2014120.03%$12,964-0.63%$13,277-1.22%$13,074-0.01%0.09%-0.04%0.90%-3.77%-4.69%1.88%0.00%-0.12%2.56%0.15%-3.08%0.53%-3.77%-4.21%
20151-0.74%$12,868-1.27%$13,108-1.56%$12,870-2.77%2.31%-2.74%-1.94%0.71%-0.20%6.85%0.00%1.32%-5.32%2.05%-2.30%-2.88%0.85%-0.02%
201522.94%$13,2474.98%$13,7615.51%$13,5785.76%-1.08%5.74%6.08%6.16%4.66%-3.67%0.00%0.97%5.86%-0.89%6.82%5.68%6.29%4.21%
20153-0.46%$13,185-0.40%$13,706-1.31%$13,400-1.04%0.41%-1.16%1.30%-1.22%-2.05%1.74%0.00%0.30%1.03%0.38%-6.51%-1.27%-1.37%-1.37%
201540.11%$13,1990.94%$13,8352.58%$13,7460.42%-0.36%0.62%-1.58%3.87%7.41%-5.85%0.00%0.02%-1.82%-0.32%6.83%0.63%3.73%7.26%
201550.66%$13,2860.46%$13,8990.09%$13,7581.39%-0.45%1.30%1.80%-0.05%-3.55%-0.30%0.00%-0.01%0.75%-0.44%-1.64%1.33%0.31%-3.65%
20156-1.43%$13,096-1.65%$13,669-2.20%$13,455-1.71%-1.01%-1.67%-0.71%-2.91%-2.54%-4.68%0.00%-1.01%0.42%-1.08%-4.96%-1.81%-2.62%-2.94%
201571.28%$13,2640.14%$13,6880.17%$13,4781.63%0.76%1.70%-0.18%1.46%-6.26%5.77%0.00%1.36%-2.70%0.86%-7.18%1.93%1.63%-6.56%
20158-3.77%$12,764-6.00%$12,867-6.86%$12,553-6.03%-0.36%-6.09%-5.88%-7.23%-9.86%-6.29%0.01%-0.75%-4.62%-0.34%-7.17%-6.09%-6.90%-9.36%
20159-1.41%$12,584-3.18%$12,457-2.83%$12,198-2.93%0.76%-2.92%-4.77%-4.08%-2.88%3.05%0.01%-0.69%-3.77%0.81%-10.38%-2.61%-4.26%-1.97%
2015104.71%$13,1766.16%$13,2257.44%$13,1067.84%0.01%7.91%5.55%6.73%5.29%5.76%0.00%2.16%6.57%0.07%10.19%8.23%6.38%6.14%
2015110.23%$13,2070.34%$13,270-0.31%$13,0650.54%-0.27%0.60%1.65%-0.76%-2.30%-0.63%0.01%0.67%2.47%-0.39%-3.47%0.43%-0.61%-2.29%
201512-1.40%$13,022-2.58%$12,927-2.17%$12,782-2.03%-0.38%-2.13%-3.86%-2.14%-3.44%1.82%0.02%-0.10%-5.08%-0.19%-5.19%-1.86%-1.83%-3.47%
20161-2.83%$12,653-5.84%$12,172-5.70%$12,053-5.67%1.43%-5.72%-8.71%-5.53%-5.75%-3.44%0.01%-0.98%-5.85%1.24%-6.45%-5.87%-5.70%-5.20%
201620.25%$12,685-0.22%$12,145-0.76%$11,962-0.04%0.66%-0.01%0.34%-3.08%-0.32%-0.36%0.03%0.06%2.08%0.89%6.63%0.11%-3.16%-0.96%
201634.47%$13,2527.64%$13,0738.21%$12,9447.01%0.94%7.11%8.27%7.20%12.72%10.48%0.03%2.38%9.41%0.88%9.21%7.16%7.01%12.55%
201640.53%$13,3221.24%$13,2350.88%$13,0580.63%0.38%0.66%1.61%2.31%1.01%-2.35%0.02%0.88%2.13%0.26%10.87%0.58%1.99%0.67%
201651.08%$13,4660.73%$13,3320.42%$13,1121.79%0.01%1.73%1.88%-0.30%-3.24%2.25%0.02%1.54%0.44%0.01%-5.83%1.79%0.13%-3.41%
201660.90%$13,5870.61%$13,4130.40%$13,1650.23%1.94%0.27%-0.08%-2.04%4.93%6.92%0.03%1.18%0.83%1.94%2.93%0.16%-2.60%4.34%
201672.63%$13,9444.22%$13,9794.23%$13,7223.95%0.64%3.98%5.33%4.16%5.14%4.26%0.02%1.39%5.06%0.54%4.07%3.96%4.18%5.09%
201680.09%$13,9570.35%$14,0280.46%$13,7850.26%-0.17%0.21%0.84%0.41%0.78%-3.76%0.02%0.02%1.13%-0.21%-1.09%0.30%0.39%1.00%
201690.06%$13,9650.74%$14,1310.98%$13,9200.15%-0.09%0.21%0.94%1.65%2.05%-1.82%0.03%-1.07%0.87%0.05%2.41%0.19%1.60%2.70%
201610-1.65%$13,734-2.39%$13,794-2.05%$13,636-2.21%-0.81%-2.19%-3.83%-2.41%0.32%-5.74%0.02%-0.97%-3.74%-0.82%-0.10%-2.28%-2.36%-1.03%
2016111.58%$13,9513.18%$14,2321.45%$13,8334.44%-2.64%4.49%7.90%-1.51%-4.05%-1.68%0.03%-3.33%13.34%-2.57%4.07%4.42%-1.82%-4.14%
2016121.27%$14,1291.74%$14,4801.64%$14,0601.92%0.24%1.98%1.84%2.45%-0.74%4.82%0.04%0.31%3.20%0.25%1.98%2.02%2.58%-0.52%
201711.26%$14,3072.33%$14,8173.19%$14,5091.91%0.29%1.86%2.13%3.67%5.76%-0.19%0.04%2.39%-1.21%0.21%5.35%2.01%3.37%6.57%
201722.50%$14,6652.42%$15,1762.80%$14,9153.71%0.66%3.69%2.41%1.06%2.25%3.51%0.04%2.09%1.35%0.65%-2.01%3.57%1.30%2.03%
201730.01%$14,6670.66%$15,2771.42%$15,1280.07%-0.07%0.06%-0.11%3.06%2.84%-2.42%0.04%0.50%-0.65%-0.05%0.24%0.12%3.19%3.53%
201740.93%$14,8041.22%$15,4631.52%$15,3581.05%0.76%1.06%1.13%2.21%1.56%0.24%0.06%1.30%0.51%0.91%-0.61%1.00%2.71%1.90%
201750.87%$14,9330.67%$15,5661.82%$15,6371.01%0.67%1.01%-0.77%3.41%0.99%-0.72%0.07%0.55%-2.26%0.69%-0.38%1.06%3.53%2.34%
201760.56%$15,0171.29%$15,7660.86%$15,7710.92%0.01%0.95%2.33%0.64%0.85%2.23%0.08%0.80%2.96%-0.02%-0.07%0.93%0.39%1.13%
201771.28%$15,2082.03%$16,0862.80%$16,2131.87%0.39%1.88%1.11%2.88%5.34%1.24%0.08%0.66%0.75%0.33%6.26%1.89%2.81%5.50%
201780.43%$15,2730.18%$16,1140.57%$16,3050.15%0.85%0.15%-0.34%0.02%3.00%-0.26%0.09%-0.06%-2.72%0.94%1.11%0.12%0.11%2.31%
201791.26%$15,4662.56%$16,5271.90%$16,6162.45%-0.54%2.44%4.21%2.52%-0.49%-0.11%0.08%-0.16%8.58%-0.57%3.03%2.40%2.39%0.02%
2017101.34%$15,6731.56%$16,7852.33%$17,0032.16%0.11%2.17%1.33%1.77%2.43%-1.07%0.09%-0.37%0.59%0.10%2.13%2.24%1.68%3.26%
2017111.77%$15,9512.14%$17,1432.02%$17,3473.04%-0.17%3.03%3.11%0.86%-0.34%2.66%0.09%0.68%3.76%-0.15%0.17%3.04%0.89%0.13%
2017120.78%$16,0761.10%$17,3321.76%$17,6520.99%0.44%1.16%0.29%1.65%3.70%-0.14%0.10%-0.52%-0.37%0.44%5.76%1.21%1.52%3.68%
201812.75%$16,5174.01%$18,0285.77%$18,6705.31%-1.09%5.23%3.32%4.75%8.56%-4.25%0.11%-1.18%1.33%-1.13%5.16%5.22%5.21%7.98%
20182-2.68%$16,074-3.96%$17,314-4.40%$17,848-3.72%-1.03%-3.76%-3.73%-5.11%-5.36%-7.68%0.12%0.27%-4.04%-1.01%-5.78%-3.79%-4.88%-5.71%
20183-0.97%$15,919-0.37%$17,250-1.06%$17,659-1.99%0.63%-1.95%0.68%-0.40%-0.21%3.88%0.14%0.54%1.37%0.67%-0.49%-1.91%-0.39%0.81%
20184-0.11%$15,9020.22%$17,287-0.11%$17,6390.38%-0.83%0.45%0.22%1.27%-2.77%0.82%0.14%-0.70%1.76%-0.94%4.26%0.31%1.15%-2.65%
201851.92%$16,2082.11%$17,6520.93%$17,8032.79%0.61%2.72%4.87%-1.43%-2.34%3.68%0.15%0.81%5.87%0.66%1.70%2.80%-1.52%-2.32%
201860.42%$16,277-0.04%$17,645-0.79%$17,6620.68%0.03%0.70%0.79%-1.67%-4.79%4.20%0.16%1.76%0.80%0.10%-1.22%0.69%-1.70%-4.65%
201872.02%$16,6052.40%$18,0693.07%$18,2043.34%0.03%3.32%1.66%2.28%3.98%0.60%0.16%0.19%2.62%-0.03%0.92%3.29%2.45%3.03%
201882.29%$16,9861.80%$18,3941.06%$18,3983.44%0.52%3.43%4.48%-1.73%-4.19%2.58%0.17%1.41%3.14%0.57%-3.40%3.48%-1.86%-3.31%
20189-0.11%$16,967-0.63%$18,2770.01%$18,4000.16%-0.54%0.20%-1.61%0.71%-1.35%-2.64%0.17%-1.71%-3.05%-0.62%3.56%0.15%0.58%-1.01%
201810-4.73%$16,164-7.70%$16,870-7.81%$16,962-7.40%-0.73%-7.41%-10.06%-8.60%-7.66%-2.93%0.18%-2.24%-9.94%-0.64%-9.06%-7.35%-8.27%-8.73%
2018111.42%$16,3941.73%$17,1612.15%$17,3262.06%0.53%2.01%1.83%0.51%4.83%4.67%0.19%-2.23%0.57%0.52%-3.37%1.91%0.34%4.68%
201812-4.71%$15,622-7.60%$15,857-7.17%$16,085-9.29%1.80%-9.16%-10.69%-5.67%-3.34%-7.96%0.19%-1.53%-12.38%2.22%-5.23%-9.13%-5.48%-2.95%
201915.55%$16,4898.97%$17,2808.32%$17,4238.59%1.01%8.54%11.55%7.47%9.66%11.85%0.20%5.64%12.26%0.91%9.48%8.44%6.69%9.61%
201922.14%$16,8422.97%$17,7932.44%$17,8483.50%-0.06%3.56%4.96%2.33%-0.38%0.70%0.20%0.58%4.13%-0.11%1.31%3.53%2.74%-1.08%
201931.63%$17,1160.59%$17,8971.26%$18,0731.44%1.96%1.42%-0.93%0.60%2.31%4.21%0.20%1.46%-3.91%2.12%1.07%1.44%0.80%1.15%
201942.40%$17,5283.04%$18,4423.36%$18,6803.98%0.04%3.93%3.59%2.84%2.14%-0.16%0.20%0.68%4.32%-0.20%0.48%3.88%2.95%2.19%
20195-3.21%$16,965-5.76%$17,380-6.23%$17,515-6.45%1.83%-6.45%-6.92%-5.21%-6.38%0.14%0.20%0.25%-9.98%1.91%-8.35%-6.35%-5.07%-7.04%
201964.58%$17,7415.98%$18,4206.41%$18,6386.97%1.15%7.08%6.79%5.86%5.37%1.54%0.19%1.31%7.66%1.10%9.83%6.93%5.46%5.77%
201970.95%$17,9100.54%$18,520-0.06%$18,6261.44%0.23%1.41%1.68%-2.04%-1.81%1.70%0.17%1.80%1.30%0.18%-2.77%1.28%-1.68%-2.45%
20198-0.12%$17,890-2.42%$18,071-2.23%$18,212-2.03%2.78%-2.08%-4.26%-1.88%-3.26%3.75%0.17%0.60%-5.14%2.78%-6.23%-1.88%-1.72%-3.81%
201990.76%$18,0261.79%$18,3941.97%$18,5701.70%-0.60%1.78%1.09%3.16%0.93%1.93%0.16%0.75%5.57%-0.61%2.99%1.79%2.93%1.55%
2019101.34%$18,2682.22%$18,8032.90%$19,1092.10%0.21%2.11%1.97%3.21%3.95%1.13%0.15%0.43%2.00%0.21%1.90%2.19%3.54%4.39%
2019112.26%$18,6802.70%$19,3102.42%$19,5713.77%-0.06%3.79%4.54%1.34%0.50%-1.30%0.13%-0.44%2.71%-0.03%1.41%3.75%0.93%0.00%
2019121.69%$18,9962.98%$19,8853.92%$20,3382.85%-0.15%2.80%2.13%3.57%7.07%0.76%0.13%1.92%2.84%-0.05%5.86%2.86%3.60%7.46%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category60-40401HSA
Large-cap Value20.85%6.57%19.47%
Large-cap Growth28.41%19.63%29.85%
Mid-cap Value4.04%13.57%5.24%
Mid-cap Growth2.85%9.92%0.00%
Small-cap Value0.00%8.53%0.00%
Small-cap Growth3.38%5.32%4.61%
Global ex-US Developed Markets0.63%16.76%21.37%
Emerging Markets0.28%10.57%19.26%
Corporate Bonds9.59%6.43%0.21%
Long-Term Treasuries2.19%0.67%0.00%
Intermediate-Term Treasuries7.57%0.00%0.00%
Short-Term Treasuries20.21%2.04%0.00%
R Squared99.80%99.51%99.74%
Style analysis is based on monthly returns from January 2013 to December 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 60-40

Holdings Based Style Analysis for 60-40
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%1.01%0.14%25.59$7,91498.81%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.26%0.15%6.79$1,0831.19%
100.00%1.11%0.14%25.596.79$8,996100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for 401

Holdings Based Style Analysis for 401
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend33.00%1.21%0.03%25.59$4,47434.56%
VXFVanguard Extended Market ETFMid-Cap Growth24.00%0.78%0.06%20.54$2,84629.69%
VEAVanguard FTSE Developed Markets ETFForeign Large Blend15.00%2.49%0.05%19.25$97014.76%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts10.00%1.98%0.10%16.44$41510.50%
VNQVanguard Real Estate ETFReal Estate2.80%2.34%0.12%40.92$2661.87%
CASHXCashCash2.00%0.01%0.00$17.97-0.00%
PFFiShares Preferred&Income Securities ETFPreferred Stock3.50%4.51%0.46%3.57$1810.76%
IJSiShares S&P Small-Cap 600 Value ETFSmall Value5.20%0.83%0.18%14.98$5826.77%
AGGiShares Core US Aggregate Bond ETFIntermediate Core Bond3.50%1.35%0.04%6.56$103-0.06%
GNRSPDR S&P Global Natural Resources ETFNatural Resources1.00%2.62%0.40%19.68$29.821.15%
100.00%1.50%0.08%22.013.94$9,885100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for HSA

Holdings Based Style Analysis for HSA
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
ITOTiShares Core S&P Total US Stock Mkt ETFLarge Blend60.00%1.22%0.03%25.52$8,20158.40%
IEFAiShares Core MSCI EAFE ETFForeign Large Blend20.00%2.28%0.07%20.08$1,31219.34%
IEMGiShares Core MSCI Emerging Markets ETFDiversified Emerging Mkts20.00%1.78%0.11%16.71$82522.25%
100.00%1.54%0.05%22.67$10,338100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 07/28/2021. (c) 2021 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
Metric60-40401HSA
Arithmetic Mean (monthly)0.79%0.87%0.90%
Arithmetic Mean (annualized)9.85%10.93%11.35%
Geometric Mean (monthly)0.77%0.82%0.85%
Geometric Mean (annualized)9.60%10.32%10.67%
Volatility (monthly)1.96%3.07%3.21%
Volatility (annualized)6.78%10.64%11.13%
Downside Deviation (monthly)1.13%1.92%1.99%
Max. Drawdown-8.03%-13.79%-13.85%
US Market Correlation0.980.970.95
Beta(*)0.590.910.93
Alpha (annualized)1.23%-2.33%-2.26%
R296.63%94.89%91.01%
Sharpe Ratio1.280.910.90
Sortino Ratio2.161.431.43
Treynor Ratio (%)14.8210.6210.77
Calmar Ratio1.290.810.95
Active Return-4.61%-3.90%-3.54%
Tracking Error4.88%2.61%3.42%
Information Ratio-0.94-1.49-1.03
Skewness-0.51-0.47-0.43
Excess Kurtosis0.871.060.78
Historical Value-at-Risk (5%)-2.81%-5.49%-5.54%
Analytical Value-at-Risk (5%)-2.42%-4.16%-4.36%
Conditional Value-at-Risk (5%)-3.85%-6.58%-6.75%
Upside Capture Ratio (%)60.5382.8087.14
Downside Capture Ratio (%)56.6498.68104.53
Safe Withdrawal Rate19.45%20.07%20.01%
Perpetual Withdrawal Rate7.28%7.88%8.18%
Positive Periods63 out of 84 (75.00%)60 out of 84 (71.43%)58 out of 84 (69.05%)
Gain/Loss Ratio0.910.840.92
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for 60-40

Drawdowns for 60-40 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-8.03%
2Jun 2015Sep 20154 monthsApr 20167 months11 months-5.29%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
4May 2019May 20191 monthJun 20191 month2 months-3.21%
5Aug 2013Aug 20131 monthSep 20131 month2 months-1.98%
6Oct 2016Oct 20161 monthDec 20162 months3 months-1.65%
7Sep 2014Sep 20141 monthOct 20141 month2 months-1.58%
8Jun 2013Jun 20131 monthJul 20131 month2 months-1.42%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.29%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.25%
Worst 10 drawdowns included above

Drawdowns for 401

Drawdowns for 401 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-13.79%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-12.61%
3May 2019May 20191 monthJul 20192 months3 months-5.76%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-4.31%
5Sep 2014Sep 20141 monthFeb 20155 months6 months-3.85%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.09%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.76%
8Aug 2019Aug 20191 monthOct 20192 months3 months-2.42%
9Oct 2016Oct 20161 monthNov 20161 month2 months-2.39%
10Jul 2014Jul 20141 monthAug 20141 month2 months-2.23%
Worst 10 drawdowns included above

Drawdowns for HSA

Drawdowns for HSA
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-13.85%
2Jun 2015Feb 20169 monthsAug 20166 months1 year 3 months-13.05%
3May 2019May 20191 monthOct 20195 months6 months-6.23%
4Jan 2014Jan 20141 monthMar 20142 months3 months-4.61%
5Sep 2014Sep 20141 monthFeb 20155 months6 months-3.34%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.63%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.56%
8Oct 2016Oct 20161 monthDec 20162 months3 months-2.05%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.32%
10Mar 2015Mar 20151 monthApr 20151 month2 months-1.31%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv14.21%11.39%33.35%-5.26%-14.28%1.161.901.00
VBMFXVanguard Total Bond Market Index Inv2.55%3.12%8.61%-2.26%-3.76%0.580.96-0.12
VTIVanguard Total Stock Market ETF14.33%11.44%33.45%-5.21%-14.20%1.171.911.00
VXFVanguard Extended Market ETF12.56%13.86%38.26%-9.34%-19.52%0.871.360.94
VEAVanguard FTSE Developed Markets ETF6.44%11.85%26.42%-14.75%-18.62%0.520.810.82
VWOVanguard FTSE Emerging Markets ETF2.82%15.01%31.48%-15.81%-29.25%0.210.320.64
VNQVanguard Real Estate ETF9.48%13.91%30.36%-6.02%-14.88%0.671.090.46
CASHXCash0.76%0.25%2.13%0.03%0.00%N/AN/A-0.03
PFFiShares Preferred&Income Securities ETF5.20%4.69%15.92%-4.63%-7.50%0.951.640.45
IJSiShares S&P Small-Cap 600 Value ETF11.97%15.84%39.34%-12.84%-23.06%0.751.190.86
AGGiShares Core US Aggregate Bond ETF2.69%3.18%8.45%-1.98%-4.07%0.621.03-0.13
GNRSPDR S&P Global Natural Resources ETF1.42%16.42%30.84%-24.12%-40.30%0.120.180.68
ITOTiShares Core S&P Total US Stock Mkt ETF14.52%11.35%33.31%-5.31%-14.20%1.191.941.00
IEFAiShares Core MSCI EAFE ETF6.60%11.69%26.59%-14.13%-18.38%0.540.840.81
IEMGiShares Core MSCI Emerging Markets ETF2.90%14.88%37.40%-14.92%-28.91%0.210.320.65

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVTIVXFVEAVWOVNQCASHXPFFIJSAGGGNRITOTIEFAIEMG60-40401HSA
VTSMXVanguard Total Stock Mkt Idx Inv1.00-0.121.000.940.820.640.46-0.030.450.86-0.130.681.000.810.650.980.970.95
VBMFXVanguard Total Bond Market Index Inv-0.121.00-0.12-0.140.040.170.530.170.48-0.250.99-0.07-0.120.040.170.06-0.04-0.02
VTIVanguard Total Stock Market ETF1.00-0.121.000.940.820.650.46-0.030.440.87-0.130.681.000.810.650.980.980.96
VXFVanguard Extended Market ETF0.94-0.140.941.000.740.550.47-0.050.430.94-0.160.630.930.730.560.920.950.87
VEAVanguard FTSE Developed Markets ETF0.820.040.820.741.000.800.40-0.020.440.630.030.770.821.000.820.830.880.93
VWOVanguard FTSE Emerging Markets ETF0.640.170.650.550.801.000.360.050.390.480.160.760.640.790.990.680.750.82
VNQVanguard Real Estate ETF0.460.530.460.470.400.361.000.040.640.400.520.190.460.390.350.560.510.46
CASHXCash-0.030.17-0.03-0.05-0.020.050.041.000.01-0.080.160.05-0.03-0.020.040.00-0.02-0.02
PFFiShares Preferred&Income Securities ETF0.450.480.440.430.440.390.640.011.000.320.460.290.450.430.390.540.490.47
IJSiShares S&P Small-Cap 600 Value ETF0.86-0.250.870.940.630.480.40-0.080.321.00-0.260.610.860.620.490.820.880.79
AGGiShares Core US Aggregate Bond ETF-0.130.99-0.13-0.160.030.160.520.160.46-0.261.00-0.09-0.130.020.150.05-0.05-0.04
GNRSPDR S&P Global Natural Resources ETF0.68-0.070.680.630.770.760.190.050.290.61-0.091.000.680.750.770.670.750.78
ITOTiShares Core S&P Total US Stock Mkt ETF1.00-0.121.000.930.820.640.46-0.030.450.86-0.130.681.000.810.650.980.970.95
IEFAiShares Core MSCI EAFE ETF0.810.040.810.731.000.790.39-0.020.430.620.020.750.811.000.810.820.880.92
IEMGiShares Core MSCI Emerging Markets ETF0.650.170.650.560.820.990.350.040.390.490.150.770.650.811.000.680.750.83

Portfolio Return Decomposition

Portfolio return decomposition
TickerName60-40401HSA
VTSMXVanguard Total Stock Mkt Idx Inv$7,914
VBMFXVanguard Total Bond Market Index Inv$1,083
VTIVanguard Total Stock Market ETF$4,474
VXFVanguard Extended Market ETF$2,846
VEAVanguard FTSE Developed Markets ETF$970
VWOVanguard FTSE Emerging Markets ETF$415
VNQVanguard Real Estate ETF$266
CASHXCash$17.97
PFFiShares Preferred&Income Securities ETF$181
IJSiShares S&P Small-Cap 600 Value ETF$582
AGGiShares Core US Aggregate Bond ETF$103
GNRSPDR S&P Global Natural Resources ETF$29.82
ITOTiShares Core S&P Total US Stock Mkt ETF$8,201
IEFAiShares Core MSCI EAFE ETF$1,312
IEMGiShares Core MSCI Emerging Markets ETF$825

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName60-40401HSA
VTSMXVanguard Total Stock Mkt Idx Inv98.81%
VBMFXVanguard Total Bond Market Index Inv1.19%
VTIVanguard Total Stock Market ETF34.56%
VXFVanguard Extended Market ETF29.69%
VEAVanguard FTSE Developed Markets ETF14.76%
VWOVanguard FTSE Emerging Markets ETF10.50%
VNQVanguard Real Estate ETF1.87%
CASHXCash-0.00%
PFFiShares Preferred&Income Securities ETF0.76%
IJSiShares S&P Small-Cap 600 Value ETF6.77%
AGGiShares Core US Aggregate Bond ETF-0.06%
GNRSPDR S&P Global Natural Resources ETF1.15%
ITOTiShares Core S&P Total US Stock Mkt ETF58.40%
IEFAiShares Core MSCI EAFE ETF19.34%
IEMGiShares Core MSCI Emerging Markets ETF22.25%

Annual Asset Returns

Rolling returns summary
Roll Period60-40401HSA
AverageHighLowAverageHighLowAverageHighLow
1 year8.53%21.60%-4.24%9.06%25.40%-11.74%9.50%28.67%-11.91%
3 years7.82%10.48%6.15%8.45%13.63%4.73%9.01%14.69%4.44%
5 years7.89%9.96%5.75%8.37%11.63%4.99%8.87%12.44%5.44%