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 
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 2008 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 32.00%
IJS iShares S&P Small-Cap 600 Value ETF 16.00%
GWX SPDR S&P International Small Cap ETF 16.00%
VWO Vanguard FTSE Emerging Markets ETF 16.00%
BLV Vanguard Long-Term Bond ETF 20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 48.00%
VGTSX Vanguard Total Intl Stock Index Inv 32.00%
BND Vanguard Total Bond Market ETF 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,349 7.32% 13.72%31.17%-30.04%-41.56% 0.540.780.95
Portfolio 2$10,000$20,675 6.24% 12.78%26.35%-30.49%-41.31% 0.490.700.97
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • 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 Total Stock Market ETF (VTI)iShares S&P Small-Cap 600 Value ETF (IJS)SPDR S&P International Small Cap ETF (GWX)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard Long-Term Bond ETF (BLV)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20080.09%-30.04%-30.49%$6,996$6,951-36.98%-29.39%-44.78%-52.49%10.28%-44.10%6.86%
20092.72%31.17%26.35%$9,176$8,78328.89%22.36%38.31%76.28%0.06%36.73%3.64%
20101.50%18.63%13.16%$10,886$9,93817.42%24.69%24.93%19.47%10.01%11.12%6.20%
20112.96%-0.88%-2.61%$10,790$9,6790.97%-1.65%-15.71%-18.76%22.93%-14.56%7.92%
20121.74%15.37%14.33%$12,449$11,06616.45%18.24%16.27%19.20%7.57%18.14%3.16%
20131.50%17.92%20.45%$14,680$13,32933.45%39.34%21.86%-4.92%-8.95%15.04%-2.10%
20140.76%8.03%5.83%$15,858$14,10612.54%7.56%-7.76%-0.07%20.27%-4.24%5.82%
20150.73%-3.33%-1.12%$15,330$13,9490.36%-6.90%6.17%-15.81%-4.00%-4.37%0.56%
20162.07%13.56%8.15%$17,408$15,08612.83%31.25%7.07%12.21%6.83%4.65%2.52%
20172.11%20.41%19.66%$20,960$18,05221.21%11.35%28.88%31.48%10.74%27.40%3.57%
20181.91%-9.95%-7.15%$18,875$16,762-5.21%-12.84%-18.94%-14.77%-4.17%-14.44%-0.12%
20192.29%23.70%23.35%$23,349$20,67530.67%24.12%18.17%20.76%18.99%21.43%8.83%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares S&P Small-Cap 600 Value ETF (IJS)SPDR S&P International Small Cap ETF (GWX)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard Long-Term Bond ETF (BLV)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-5.56%-5.44%$9,444$9,456-6.17%-4.00%-11.32%-9.02%1.55%-8.55%1.25%
20082-0.43%-1.07%$9,404$9,355-2.50%-3.36%3.86%2.88%-0.52%0.33%0.09%
20083-0.54%-0.56%$9,353$9,302-0.90%0.83%0.95%-3.68%0.22%-0.71%0.40%
200843.49%4.04%$9,680$9,6794.89%2.64%1.75%8.43%-0.12%5.85%-0.34%
200851.31%1.22%$9,806$9,7972.02%3.92%2.15%1.79%-2.75%1.51%-0.99%
20086-6.51%-6.72%$9,168$9,138-8.12%-8.41%-7.69%-9.81%1.18%-8.99%0.04%
20087-1.17%-1.43%$9,060$9,008-0.62%2.87%-3.84%-4.72%-0.46%-3.67%0.02%
20088-0.38%-0.68%$9,026$8,9471.46%4.76%-4.71%-7.92%1.27%-5.10%0.84%
20089-8.78%-8.39%$8,233$8,196-9.24%-4.82%-13.32%-15.59%-4.00%-13.09%-0.52%
200810-17.78%-15.18%$6,769$6,952-17.48%-19.86%-25.20%-27.26%-6.96%-22.09%-2.95%
200811-3.88%-4.22%$6,507$6,659-8.01%-11.80%-4.93%-8.65%8.95%-6.29%3.92%
2008127.52%4.39%$6,996$6,9511.78%6.57%9.62%7.59%12.96%8.16%5.13%
20091-9.25%-8.10%$6,349$6,388-8.05%-13.94%-10.79%-8.91%-6.44%-11.96%-2.08%
20092-7.95%-8.12%$5,844$5,869-10.53%-13.03%-10.60%-2.38%-2.47%-9.58%-0.59%
200937.56%6.93%$6,286$6,2768.26%7.58%8.22%12.40%2.28%9.31%1.09%
2009411.01%9.25%$6,978$6,85610.99%18.89%14.56%17.44%-2.54%12.78%0.46%
200957.91%7.33%$7,530$7,3595.46%0.67%15.37%17.89%1.44%14.35%0.67%
200960.54%-0.16%$7,570$7,3470.36%1.52%0.81%-2.45%3.33%-1.32%0.62%
200978.00%7.26%$8,176$7,8817.74%11.00%7.97%10.91%2.76%9.96%1.31%
200983.09%3.16%$8,429$8,1303.71%3.48%6.77%-0.71%2.54%3.50%1.01%
200995.17%3.94%$8,865$8,4504.14%4.21%4.70%9.96%2.78%5.15%1.00%
200910-2.95%-1.97%$8,604$8,283-2.63%-6.07%-3.20%-2.41%-1.09%-2.17%0.27%
2009114.06%4.29%$8,953$8,6385.69%2.90%1.25%7.18%1.07%3.86%1.30%
2009122.50%1.67%$9,176$8,7832.86%8.10%1.67%3.10%-3.06%1.53%-1.45%
20101-2.64%-3.08%$8,934$8,512-3.57%-2.54%-2.61%-6.73%2.00%-5.07%1.29%
201022.38%1.78%$9,147$8,6643.44%4.76%1.22%1.88%0.21%0.22%0.33%
201035.63%5.13%$9,661$9,1086.40%7.80%7.09%8.19%-0.35%6.71%-0.22%
201042.62%0.75%$9,914$9,1762.18%6.63%1.76%-0.21%2.88%-1.71%1.07%
20105-6.99%-7.00%$9,222$8,534-7.88%-8.54%-11.80%-9.18%1.54%-10.78%1.13%
20106-2.55%-2.91%$8,986$8,285-5.83%-8.27%-0.63%-0.55%4.21%-1.17%1.45%
201076.39%6.64%$9,560$8,8357.02%6.71%8.93%10.21%1.04%10.33%0.86%
20108-2.22%-2.93%$9,348$8,576-4.71%-7.91%-1.90%-2.56%5.63%-3.22%1.56%
201097.64%7.66%$10,062$9,2349.45%10.93%10.65%11.42%-1.46%10.41%-0.00%
2010102.47%3.11%$10,311$9,5214.03%4.04%3.83%3.10%-2.43%3.55%0.32%
201011-0.70%-1.32%$10,239$9,3950.51%2.47%-2.76%-2.84%-1.65%-4.52%-0.68%
2010126.32%5.78%$10,886$9,9386.96%8.97%11.14%7.56%-1.69%8.34%-1.02%
20111-0.12%1.22%$10,874$10,0602.05%-0.24%0.55%-3.45%-1.35%0.70%0.09%
201122.49%2.71%$11,144$10,3333.70%4.21%2.13%-0.17%1.46%2.71%0.29%
201131.21%0.04%$11,278$10,3370.42%2.21%-0.25%5.47%-0.38%-0.43%-0.15%
201142.92%3.36%$11,608$10,6842.90%1.06%4.62%3.37%2.78%5.24%1.46%
20115-1.04%-1.22%$11,487$10,554-1.06%-1.77%-3.18%-2.94%2.97%-2.87%1.18%
20116-1.49%-1.43%$11,316$10,403-1.79%-1.59%-0.31%-1.00%-2.22%-1.51%-0.38%
20117-0.47%-1.27%$11,263$10,271-2.27%-2.77%-0.28%-0.62%4.33%-1.53%1.63%
20118-4.75%-5.27%$10,728$9,729-6.09%-7.98%-7.51%-9.09%5.09%-8.45%1.66%
20119-7.56%-7.23%$9,917$9,026-7.57%-10.57%-14.24%-18.44%5.94%-12.29%0.66%
2011109.09%8.39%$10,819$9,78311.37%15.34%8.60%15.91%-0.22%10.22%0.11%
201111-0.77%-1.04%$10,735$9,681-0.37%0.63%-2.13%-1.71%-0.87%-2.88%-0.06%
2011120.51%-0.02%$10,790$9,6790.98%2.02%-3.07%-4.17%3.70%-2.64%1.18%
201216.08%4.89%$11,446$10,1525.07%7.90%8.03%10.78%0.91%7.27%0.63%
201223.11%3.72%$11,802$10,5294.22%1.71%4.49%5.43%-0.74%5.14%0.04%
201230.68%1.14%$11,883$10,6493.06%2.89%1.27%-2.60%-2.88%-0.75%-0.51%
20124-0.55%-0.69%$11,818$10,576-0.64%-1.91%-1.74%-2.09%3.45%-1.78%1.10%
20125-5.93%-6.48%$11,117$9,890-6.23%-7.18%-11.57%-10.67%4.94%-11.14%0.93%
201263.41%3.86%$11,496$10,2724.05%4.54%4.36%5.02%-0.43%6.03%0.07%
201270.90%0.81%$11,600$10,3550.88%-0.69%-1.01%0.20%4.31%0.44%1.23%
201281.84%2.22%$11,813$10,5852.70%4.08%2.66%0.25%-0.69%2.72%0.16%
201292.65%2.41%$12,126$10,8402.49%3.14%4.19%5.31%-0.75%3.62%0.18%
201210-0.82%-0.74%$12,027$10,759-1.81%-1.96%0.62%-0.55%0.48%0.56%-0.10%
2012110.93%1.01%$12,139$10,8680.77%1.65%0.84%1.28%0.41%1.82%0.27%
2012122.55%1.82%$12,449$11,0661.29%3.55%4.40%7.06%-1.37%4.17%-0.88%
201312.62%3.53%$12,774$11,4575.42%5.35%3.73%0.07%-2.91%3.34%-0.69%
201320.79%0.34%$12,875$11,4961.28%1.63%0.78%-2.36%1.80%-1.23%0.54%
201332.18%2.20%$13,155$11,7493.95%4.11%3.06%-1.27%-0.57%0.77%0.08%
201341.98%2.11%$13,417$11,9961.61%0.12%2.45%2.00%3.94%3.58%1.01%
20135-1.13%-0.07%$13,265$11,9882.44%4.29%-5.03%-5.07%-5.75%-2.95%-1.93%
20136-2.40%-2.18%$12,947$11,727-1.43%-0.14%-2.61%-5.33%-3.99%-3.75%-1.65%
201374.09%4.40%$13,476$12,2445.75%6.56%5.86%0.70%-0.64%4.56%0.38%
20138-2.55%-2.23%$13,132$11,971-3.03%-3.41%-1.05%-3.43%-1.34%-1.63%-0.86%
201394.96%4.40%$13,784$12,4983.90%6.59%8.21%7.27%0.60%7.21%1.11%
2013103.50%3.41%$14,267$12,9254.27%3.48%2.42%4.34%2.33%3.41%0.86%
2013111.28%1.39%$14,449$13,1052.70%4.25%-0.27%-0.93%-1.77%0.12%-0.29%
2013121.59%1.72%$14,680$13,3292.73%1.29%3.11%-0.28%-0.62%1.25%-0.64%
20141-2.41%-2.74%$14,327$12,964-3.17%-3.51%-2.95%-8.43%4.96%-4.78%1.55%
201423.74%4.11%$14,862$13,4974.87%4.63%4.76%3.24%1.00%5.39%0.47%
201431.14%0.34%$15,032$13,5430.51%1.34%-0.70%4.62%0.90%0.41%-0.17%
201440.29%0.61%$15,075$13,6250.06%-2.29%-0.03%0.89%2.41%1.31%0.80%
201451.84%1.82%$15,352$13,8742.10%0.62%0.94%3.10%2.07%1.88%1.05%
201462.53%1.84%$15,740$14,1282.62%3.85%3.52%3.17%0.22%1.74%0.08%
20147-1.56%-1.53%$15,495$13,911-1.99%-5.07%-2.18%1.37%-0.01%-1.61%-0.28%
201483.70%2.56%$16,068$14,2684.15%4.46%1.51%3.84%3.98%1.05%1.14%
20149-4.29%-2.72%$15,378$13,880-2.10%-5.94%-6.65%-7.18%-2.49%-5.01%-0.57%
2014102.50%1.40%$15,764$14,0752.75%7.13%-1.50%2.23%1.92%-0.31%0.72%
2014110.65%1.33%$15,865$14,2622.48%0.48%-3.01%-1.10%1.70%-0.25%0.83%
201412-0.05%-1.09%$15,858$14,106-0.04%2.56%-1.23%-4.69%2.14%-3.65%0.06%
20151-0.50%-0.79%$15,779$13,995-2.74%-5.32%-0.33%-0.20%6.56%0.13%2.40%
201523.53%4.22%$16,336$14,5855.74%5.86%6.17%4.66%-4.16%5.52%-1.31%
20153-0.38%-0.95%$16,275$14,446-1.16%1.03%0.21%-2.05%0.66%-1.54%0.55%
201541.52%1.88%$16,523$14,7180.62%-1.82%5.63%7.41%-2.47%5.08%-0.32%
20155-0.43%0.20%$16,452$14,7471.30%0.75%0.62%-3.55%-2.38%-0.94%-0.50%
20156-1.64%-1.90%$16,182$14,467-1.67%0.42%-0.63%-2.54%-3.43%-2.69%-1.11%
20157-0.66%0.72%$16,076$14,5701.70%-2.70%-1.87%-6.26%3.07%-0.80%0.88%
20158-5.27%-5.34%$15,228$13,792-6.09%-4.62%-4.87%-9.86%-1.11%-7.29%-0.25%
20159-2.34%-2.47%$14,872$13,452-2.92%-3.77%-3.40%-2.88%1.02%-3.90%0.81%
2015105.43%5.72%$15,680$14,2227.91%6.57%5.63%5.29%0.68%6.26%0.03%
2015110.08%-0.20%$15,692$14,1930.60%2.47%0.00%-2.30%-0.86%-1.32%-0.39%
201512-2.31%-1.72%$15,330$13,949-2.13%-5.08%-0.47%-3.44%-1.18%-2.07%-0.18%
20161-4.26%-4.30%$14,676$13,350-5.72%-5.85%-6.52%-5.75%2.34%-5.59%1.20%
201620.59%-0.54%$14,763$13,278-0.01%2.08%-0.87%-0.32%2.11%-2.27%0.85%
201637.84%6.11%$15,920$14,0897.11%9.41%9.21%12.72%3.23%8.19%0.88%
201641.41%1.10%$16,144$14,2440.66%2.13%2.98%1.01%1.12%2.22%0.40%
201650.24%0.50%$16,182$14,3151.73%0.44%0.88%-3.24%0.07%-1.02%-0.01%
201661.75%0.24%$16,466$14,3500.27%0.83%-1.91%4.93%5.14%-0.94%2.02%
201674.28%3.42%$17,170$14,8403.98%5.06%5.30%5.14%2.73%4.41%0.60%
201680.16%0.27%$17,198$14,8810.21%1.13%-0.95%0.78%-0.31%0.74%-0.31%
201690.89%0.55%$17,351$14,9630.21%0.87%3.50%2.05%-0.89%1.37%0.11%
201610-2.35%-1.79%$16,943$14,695-2.19%-3.74%-3.09%0.32%-3.07%-1.72%-0.94%
2016111.25%0.97%$17,155$14,8374.49%13.34%-2.04%-4.05%-6.30%-2.15%-2.57%
2016121.48%1.68%$17,408$15,0861.98%3.20%1.32%-0.74%0.98%2.02%0.33%
201712.12%2.17%$17,777$15,4131.86%-1.21%4.31%5.76%0.56%3.87%0.19%
201722.49%2.38%$18,221$15,7793.69%1.35%2.31%2.25%1.80%1.50%0.62%
201730.55%0.93%$18,321$15,9260.06%-0.65%1.84%2.84%-0.70%2.82%-0.04%
201741.32%1.39%$18,564$16,1461.06%0.51%2.03%1.56%1.58%2.20%0.80%
201750.89%1.62%$18,730$16,4071.01%-2.26%2.24%0.99%1.90%3.01%0.71%
201761.30%0.64%$18,973$16,5120.95%2.96%1.46%0.85%0.89%0.52%0.05%
201772.22%2.12%$19,393$16,8621.88%0.75%3.12%5.34%0.39%3.42%0.40%
201780.61%0.45%$19,511$16,9370.15%-2.72%0.20%3.00%2.08%0.64%0.86%
201792.00%1.69%$19,901$17,2232.44%8.58%1.60%-0.49%-0.84%1.81%-0.47%
2017101.47%1.69%$20,194$17,5152.17%0.59%1.57%2.43%0.02%1.94%-0.03%
2017111.99%1.71%$20,597$17,8133.03%3.76%2.25%-0.34%0.75%0.78%-0.11%
2017121.77%1.34%$20,960$18,0521.16%-0.37%2.76%3.70%1.87%2.01%0.54%
201813.62%4.05%$21,718$18,7845.23%1.33%4.96%8.56%-2.17%5.59%-1.24%
20182-4.13%-3.69%$20,821$18,090-3.76%-4.04%-4.86%-5.36%-3.14%-5.14%-1.04%
20183-0.19%-1.02%$20,782$17,906-1.95%1.37%-0.11%-0.21%1.51%-0.64%0.69%
20184-0.34%0.31%$20,711$17,9620.45%1.76%0.57%-2.77%-2.05%0.83%-0.85%
201851.65%0.82%$21,053$18,1112.72%5.87%-0.28%-2.34%1.28%-1.92%0.68%
20186-0.98%-0.32%$20,847$18,0530.70%0.80%-3.08%-4.79%-0.59%-2.08%-0.04%
201872.28%2.40%$21,322$18,4863.32%2.62%0.35%3.98%0.42%2.48%-0.04%
201881.12%1.17%$21,560$18,7023.43%3.14%-0.20%-4.19%0.48%-2.19%0.67%
20189-0.91%0.09%$21,365$18,7180.20%-3.05%-0.03%-1.35%-1.27%0.30%-0.55%
201810-7.66%-6.45%$19,729$17,511-7.41%-9.94%-11.03%-7.66%-3.22%-8.35%-0.86%
2018111.76%1.52%$20,077$17,7762.01%0.57%1.34%4.83%0.40%1.26%0.64%
201812-5.99%-5.70%$18,875$16,762-9.16%-12.38%-7.38%-3.34%4.36%-4.85%1.87%
201917.72%6.75%$20,332$17,8938.54%12.26%6.91%9.66%1.86%7.58%1.11%
201921.95%2.27%$20,729$18,3003.56%4.13%2.08%-0.38%-0.79%1.72%-0.09%
201930.99%1.29%$20,933$18,5361.42%-3.91%-0.49%2.31%4.88%0.72%1.94%
201942.52%2.82%$21,461$19,0583.93%4.32%1.91%2.14%-0.60%2.76%-0.02%
20195-4.94%-4.66%$20,402$18,170-6.45%-9.98%-5.70%-6.38%4.16%-5.55%1.83%
201965.56%5.55%$21,536$19,1797.08%7.66%4.19%5.37%2.69%5.83%1.25%
201970.19%0.13%$21,576$19,2041.41%1.30%-2.00%-1.81%0.51%-1.89%0.15%
20198-0.75%-1.26%$21,413$18,961-2.08%-5.14%-2.39%-3.26%8.25%-2.35%2.77%
201991.55%1.62%$21,745$19,2681.78%5.57%2.58%0.93%-1.94%2.72%-0.57%
2019102.13%2.16%$22,209$19,6842.11%2.00%3.91%3.95%-0.29%3.38%0.31%
2019112.17%2.24%$22,691$20,1253.79%2.71%2.23%0.50%0.32%1.11%-0.04%
2019122.90%2.74%$23,349$20,6752.80%2.84%4.25%7.07%-1.04%4.27%-0.07%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value5.36%16.24%
Large-cap Growth15.02%22.44%
Mid-cap Value10.44%5.58%
Mid-cap Growth0.00%2.28%
Small-cap Value13.28%0.00%
Small-cap Growth3.51%1.73%
Global ex-US Developed Markets12.87%24.31%
Emerging Markets19.87%7.60%
REITs0.31%0.00%
Corporate Bonds9.12%5.18%
Long-Term Treasuries10.22%0.66%
Intermediate-Term Treasuries0.00%3.77%
Short-Term Treasuries0.00%10.19%
R Squared99.47%99.84%
Style analysis is based on monthly returns from Jan 2008 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
VTIVanguard Total Stock Market ETFLarge Blend0.03%32.00%$5,83133.83%
IJSiShares S&P Small-Cap 600 Value ETFSmall Value0.25%16.00%$2,59520.31%
GWXSPDR S&P International Small Cap ETFForeign Small/Mid Blend0.40%16.00%$1,38620.79%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts0.12%16.00%$1,11223.03%
BLVVanguard Long-Term Bond ETFLong-Term Bond15.640.07%20.00%$2,4242.04%

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
VTIVanguard Total Stock Market ETFLarge Blend0.03%48.00%$7,74955.56%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%32.00%$1,81743.78%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.260.04%20.00%$1,1100.66%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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)0.67%0.57%
Arithmetic Mean (annualized)8.34%7.11%
Geometric Mean (monthly)0.59%0.51%
Geometric Mean (annualized)7.32%6.24%
Volatility (monthly)3.96%3.69%
Volatility (annualized)13.72%12.78%
Downside Deviation (monthly)2.73%2.56%
Max. Drawdown-41.56%-41.31%
US Market Correlation0.950.97
Beta(*)0.850.81
Alpha (annualized)-0.33%-1.08%
R290.60%94.67%
Sharpe Ratio0.540.49
Sortino Ratio0.780.70
Treynor Ratio (%)8.787.80
Calmar Ratio0.791.03
Active Return-1.71%-2.80%
Tracking Error4.83%4.20%
Information Ratio-0.35-0.67
Skewness-0.82-0.76
Excess Kurtosis3.072.03
Historical Value-at-Risk (5%)-6.87%-6.66%
Analytical Value-at-Risk (5%)-5.93%-5.58%
Conditional Value-at-Risk (5%)-9.42%-8.68%
Upside Capture Ratio (%)80.2975.57
Downside Capture Ratio (%)83.6183.09
Safe Withdrawal Rate10.04%9.16%
Perpetual Withdrawal Rate5.25%4.28%
Positive Periods91 out of 144 (63.19%)92 out of 144 (63.89%)
Gain/Loss Ratio0.920.86
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsSep 20101 year 7 months2 years 9 months-41.56%
2May 2011Sep 20115 monthsFeb 20125 months10 months-14.57%
3Feb 2018Dec 201811 monthsSep 20199 months1 year 8 months-13.09%
4May 2015Jan 20169 monthsJul 20166 months1 year 3 months-11.18%
5Apr 2012May 20122 monthsSep 20124 months6 months-6.44%
6Sep 2014Sep 20141 monthFeb 20155 months6 months-4.29%
7May 2013Jun 20132 monthsJul 20131 month3 months-3.50%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.55%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.41%
10Oct 2016Oct 20161 monthDec 20162 months3 months-2.35%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsJan 20111 year 11 months3 years 1 month-41.31%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-15.52%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-10.76%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.97%
5May 2019May 20191 monthJun 20191 month2 months-4.66%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-2.74%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-2.72%
8May 2013Jun 20132 monthsJul 20131 month3 months-2.24%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.23%
10Oct 2016Oct 20161 monthDec 20162 months3 months-1.79%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF9.16%15.42%33.45%-36.98%-48.15%0.610.871.00
IJSiShares S&P Small-Cap 600 Value ETF8.84%20.00%39.34%-29.39%-47.15%0.490.730.91
GWXSPDR S&P International Small Cap ETF3.29%19.11%38.31%-44.78%-55.96%0.240.320.87
VWOVanguard FTSE Emerging Markets ETF1.37%22.13%76.28%-52.49%-57.75%0.150.210.81
BLVVanguard Long-Term Bond ETF7.10%10.07%22.93%-8.95%-11.76%0.671.20-0.05
VGTSXVanguard Total Intl Stock Index Inv1.88%18.35%36.73%-44.10%-55.50%0.160.220.89
BNDVanguard Total Bond Market ETF3.85%3.63%8.83%-2.10%-4.01%0.891.630.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIIJSGWXVWOBLVVGTSXBNDPortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF-0.910.870.81-0.050.89-0.000.950.97
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.770.69-0.120.77-0.060.880.86
GWXSPDR S&P International Small Cap ETF0.870.77-0.900.070.970.140.940.94
VWOVanguard FTSE Emerging Markets ETF0.810.690.90-0.070.940.140.900.89
BLVVanguard Long-Term Bond ETF-0.05-0.120.070.07-0.070.930.140.05
VGTSXVanguard Total Intl Stock Index Inv0.890.770.970.940.07-0.140.950.97
BNDVanguard Total Bond Market ETF-0.00-0.060.140.140.930.14-0.190.12

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF$5,831$7,749
IJSiShares S&P Small-Cap 600 Value ETF$2,595
GWXSPDR S&P International Small Cap ETF$1,386
VWOVanguard FTSE Emerging Markets ETF$1,112
BLVVanguard Long-Term Bond ETF$2,424
VGTSXVanguard Total Intl Stock Index Inv$1,817
BNDVanguard Total Bond Market ETF$1,110

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF33.83%55.56%
IJSiShares S&P Small-Cap 600 Value ETF20.31%
GWXSPDR S&P International Small Cap ETF20.79%
VWOVanguard FTSE Emerging Markets ETF23.03%
BLVVanguard Long-Term Bond ETF2.04%
VGTSXVanguard Total Intl Stock Index Inv43.78%
BNDVanguard Total Bond Market ETF0.66%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.72%31.17%-30.04%7.49%26.35%-30.49%
3 years9.35%15.54%2.87%8.13%13.38%-0.21%
5 years9.17%15.98%4.48%8.14%13.91%2.05%
7 years9.30%11.86%6.81%8.32%10.46%5.04%
10 years9.30%10.43%7.68%8.07%9.20%6.08%
Result statistics are based on annualized rolling returns over full calendar year periods