Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2008 - Aug 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$21,413 6.74% 13.88%31.17%-30.04%-41.56% 0.500.720.95
Portfolio 2$10,000$18,961 5.64% 12.93%26.35%-30.49%-41.31% 0.450.640.97
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to August
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
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%
20192.12%13.45%13.12%$21,413$18,96117.84%9.12%4.02%6.97%22.60%8.47%9.24%
Annual returns for 2019 are based on partial year data
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%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value4.94%16.05%
Large-cap Growth14.88%22.37%
Mid-cap Value11.03%5.99%
Mid-cap Growth0.00%2.20%
Small-cap Value13.78%0.00%
Small-cap Growth2.95%1.56%
Global ex-US Developed Markets13.18%24.46%
Emerging Markets19.82%7.55%
Corporate Bonds9.02%5.09%
Long-Term Treasuries10.39%0.65%
Intermediate-Term Treasuries0.00%3.85%
Short-Term Treasuries0.00%10.23%
R Squared99.47%99.84%
Style analysis is based on monthly returns from Jan 2008 to Aug 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%32.00%$5,05633.82%
IJSiShares S&P Small-Cap 600 Value ETFSmall Value0.25%16.00%$2,14220.32%
GWXSPDR S&P International Small Cap ETFForeign Small/Mid Blend0.40%16.00%$95920.75%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts0.12%16.00%$69622.99%
BLVVanguard Long-Term Bond ETFLong-Term Bond15.200.07%20.00%$2,5602.12%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%48.00%$6,71755.58%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%32.00%$1,12143.74%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.020.04%20.00%$1,1230.69%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/05/2019. © 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.63%0.53%
Arithmetic Mean (annualized)7.78%6.53%
Geometric Mean (monthly)0.55%0.46%
Geometric Mean (annualized)6.74%5.64%
Volatility (monthly)4.01%3.73%
Volatility (annualized)13.88%12.93%
Downside Deviation (monthly)2.77%2.60%
Max. Drawdown-41.56%-41.31%
US Market Correlation0.950.97
Beta(*)0.850.81
Alpha (annualized)-0.34%-1.14%
R290.62%94.70%
Sharpe Ratio0.500.45
Sortino Ratio0.720.64
Treynor Ratio (%)8.247.20
Calmar Ratio0.580.78
Active Return-1.60%-2.71%
Tracking Error4.88%4.24%
Information Ratio-0.33-0.64
Skewness-0.79-0.72
Excess Kurtosis2.921.91
Historical Value-at-Risk (5%)-6.96%-6.71%
Analytical Value-at-Risk (5%)-6.05%-5.70%
Conditional Value-at-Risk (5%)-9.42%-8.68%
Upside Capture Ratio (%)80.2275.34
Downside Capture Ratio (%)83.6583.12
Safe Withdrawal Rate10.60%9.70%
Perpetual Withdrawal Rate4.98%3.92%
Positive Periods87 out of 140 (62.14%)88 out of 140 (62.86%)
Gain/Loss Ratio0.930.86
* 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 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 ETF8.47%15.60%33.45%-36.98%-48.15%0.570.811.00
IJSiShares S&P Small-Cap 600 Value ETF7.91%20.22%39.34%-29.39%-47.15%0.450.660.91
GWXSPDR S&P International Small Cap ETF2.26%19.30%38.31%-44.78%-55.96%0.190.250.87
VWOVanguard FTSE Emerging Markets ETF0.36%22.33%76.28%-52.49%-57.75%0.110.150.81
BLVVanguard Long-Term Bond ETF7.58%10.17%22.93%-8.95%-11.76%0.721.29-0.04
VGTSXVanguard Total Intl Stock Index Inv0.96%18.53%36.73%-44.10%-55.50%0.120.160.89
BNDVanguard Total Bond Market ETF4.00%3.67%9.24%-2.10%-4.01%0.941.720.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIIJSGWXVWOBLVVGTSXBNDPortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF-0.910.870.81-0.050.890.000.950.97
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.770.69-0.110.77-0.060.880.87
GWXSPDR S&P International Small Cap ETF0.870.77-0.900.080.970.140.940.94
VWOVanguard FTSE Emerging Markets ETF0.810.690.90-0.080.940.150.900.89
BLVVanguard Long-Term Bond ETF-0.05-0.110.080.08-0.080.930.150.06
VGTSXVanguard Total Intl Stock Index Inv0.890.770.970.940.08-0.150.950.97
BNDVanguard Total Bond Market ETF0.00-0.060.140.150.930.15-0.200.12

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF$5,056$6,717
IJSiShares S&P Small-Cap 600 Value ETF$2,142
GWXSPDR S&P International Small Cap ETF$959
VWOVanguard FTSE Emerging Markets ETF$696
BLVVanguard Long-Term Bond ETF$2,560
VGTSXVanguard Total Intl Stock Index Inv$1,121
BNDVanguard Total Bond Market ETF$1,123

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF33.82%55.58%
IJSiShares S&P Small-Cap 600 Value ETF20.32%
GWXSPDR S&P International Small Cap ETF20.75%
VWOVanguard FTSE Emerging Markets ETF22.99%
BLVVanguard Long-Term Bond ETF2.12%
VGTSXVanguard Total Intl Stock Index Inv43.74%
BNDVanguard Total Bond Market ETF0.69%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.35%31.17%-30.04%6.05%26.35%-30.49%
3 years9.25%15.54%2.87%7.81%13.38%-0.21%
5 years9.33%15.98%4.48%8.17%13.91%2.05%
7 years9.27%11.86%6.81%8.12%10.46%5.04%
10 years9.06%10.43%7.68%7.64%9.20%6.08%
Result statistics are based on annualized rolling returns over full calendar year periods