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 2001 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 15.00%
NAESX Vanguard Small Cap Index Inv 15.00%
VEURX Vanguard European Stock Index Investor 10.00%
VPACX Vanguard Pacific Stock Index Investor 10.00%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 10.00%
VFSTX Vanguard Short-Term Investment-Grade Inv 10.00%
VWEHX Vanguard High-Yield Corporate Inv 10.00%
VIPSX Vanguard Inflation-Protected Secs Inv 10.00%
VGSIX Vanguard Real Estate Index Investor 5.00%
VGPMX Vanguard Global Capital Cycles Investor 5.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$37,729 7.24% 12.00%34.32%-31.70%-43.84% 0.520.750.92
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 16.15%20.27%8.45%6.41%7.36%7.24%
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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Small Cap Index Inv (NAESX)Vanguard European Stock Index Investor (VEURX)Vanguard Pacific Stock Index Investor (VPACX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Short-Term Investment-Grade Inv (VFSTX)Vanguard High-Yield Corporate Inv (VWEHX)Vanguard Inflation-Protected Secs Inv (VIPSX)Vanguard Real Estate Index Investor (VGSIX)Vanguard Global Capital Cycles Investor (VGPMX)
20011.55%-2.73%$9,727-10.97%3.10%-20.30%-26.34%-2.88%8.14%2.90%7.61%12.35%18.33%
20022.38%-5.41%$9,201-20.96%-20.02%-17.95%-9.32%-7.43%5.22%1.73%16.61%3.75%33.35%
20031.88%32.72%$12,21231.35%45.63%38.70%38.42%57.65%4.20%17.20%8.00%35.65%59.45%
20043.26%15.27%$14,07612.51%19.90%20.86%18.83%26.12%2.11%8.52%8.24%30.76%8.09%
20053.42%11.93%$15,7565.98%7.36%9.26%22.59%32.05%2.20%2.77%2.59%11.89%43.79%
20062.54%16.99%$18,43315.51%15.66%33.42%11.99%29.39%4.99%8.24%0.43%35.07%34.30%
20074.08%9.68%$20,2175.49%1.16%13.82%4.78%38.90%5.86%2.04%11.59%-16.46%36.13%
20080.09%-31.70%$13,809-37.04%-36.07%-44.73%-34.36%-52.81%-4.74%-21.29%-2.85%-37.05%-56.02%
20092.72%34.32%$18,54828.70%36.12%31.91%21.18%75.98%14.03%39.09%10.80%29.58%76.46%
20101.50%16.34%$21,57917.09%27.72%4.91%15.77%18.86%5.21%12.40%6.17%28.30%37.45%
20112.96%-3.15%$20,9000.96%-2.80%-11.60%-14.00%-18.78%1.93%7.13%13.24%8.47%-21.70%
20121.74%13.43%$23,70716.25%18.04%20.80%15.49%18.64%4.52%14.36%6.78%17.53%-12.98%
20131.50%12.35%$26,63533.35%37.62%24.70%17.36%-5.19%0.97%4.54%-8.92%2.31%-35.13%
20140.76%3.83%$27,65512.43%7.37%-6.67%-4.69%0.42%1.76%4.58%3.83%30.13%-11.41%
20150.73%-3.62%$26,6530.29%-3.78%-2.00%2.25%-15.47%1.03%-1.39%-1.83%2.22%-29.42%
20162.07%10.99%$29,58112.53%18.17%-0.80%5.19%11.50%2.72%11.19%4.52%8.34%50.64%
20172.11%16.32%$34,41021.05%16.10%26.82%28.39%31.15%2.02%7.02%2.81%4.83%13.75%
20181.91%-8.84%$31,370-5.26%-9.43%-14.86%-13.98%-14.71%0.86%-2.96%-1.49%-6.11%-32.27%
20192.29%20.27%$37,72930.65%27.22%24.06%17.42%20.13%5.74%15.79%8.06%28.78%20.66%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Small Cap Index Inv (NAESX)Vanguard European Stock Index Investor (VEURX)Vanguard Pacific Stock Index Investor (VPACX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Short-Term Investment-Grade Inv (VFSTX)Vanguard High-Yield Corporate Inv (VWEHX)Vanguard Inflation-Protected Secs Inv (VIPSX)Vanguard Real Estate Index Investor (VGSIX)Vanguard Global Capital Cycles Investor (VGPMX)
200113.32%$10,3323.83%5.25%0.00%-0.34%11.76%1.61%4.82%1.93%0.43%-0.92%
20012-4.21%$9,897-9.41%-6.60%-8.77%-4.26%-8.70%0.69%0.67%1.71%-1.72%4.13%
20013-4.53%$9,448-6.72%-4.87%-7.51%-4.68%-10.42%0.84%-1.25%0.93%0.81%-13.88%
200145.69%$9,9868.16%7.76%7.12%8.97%9.29%-0.12%-0.13%0.56%2.28%18.07%
200150.72%$10,0581.01%2.45%-4.81%-2.59%1.47%0.74%0.77%1.11%2.15%7.02%
20016-0.64%$9,993-1.64%4.19%-3.76%-4.86%-2.12%0.63%-2.80%-0.10%5.92%-2.15%
20017-2.38%$9,755-1.71%-5.31%0.28%-6.57%-6.74%1.47%1.23%1.58%-2.10%-6.70%
20018-1.24%$9,633-6.00%-3.23%-2.60%-2.34%-0.98%0.89%0.90%0.28%3.54%4.18%
20019-6.85%$8,974-9.00%-13.47%-10.00%-10.40%-15.57%0.95%-4.76%0.54%-3.87%4.26%
2001102.42%$9,1912.52%5.79%3.12%1.04%6.59%0.87%1.59%2.30%-3.37%-0.12%
2001113.85%$9,5457.63%7.75%3.49%1.62%9.34%-0.53%2.82%-2.34%5.76%2.53%
2001121.91%$9,7271.78%6.05%2.59%-4.45%7.73%-0.17%-0.66%-1.05%2.47%3.80%
20021-0.54%$9,675-1.24%-1.06%-5.09%-5.79%2.87%0.46%0.75%0.56%-0.25%8.89%
200220.45%$9,718-2.05%-2.70%0.00%2.59%2.67%0.43%-0.79%1.59%1.98%7.52%
200234.24%$10,1304.38%8.02%5.41%7.10%4.52%-0.62%1.35%-0.64%6.24%7.56%
200240.50%$10,181-4.90%0.92%-0.74%3.53%0.32%0.67%1.48%2.79%0.62%4.12%
200250.85%$10,267-1.22%-4.33%0.10%4.84%-0.43%0.95%-0.41%1.54%1.30%14.91%
20026-4.28%$9,828-7.06%-4.52%-3.43%-5.16%-8.23%-0.37%-2.87%1.34%2.81%-12.82%
20027-7.38%$9,103-8.02%-15.05%-11.11%-6.72%-8.50%0.18%-3.78%1.70%-5.28%-16.95%
200281.54%$9,2420.53%-0.25%-0.06%-0.77%1.42%1.01%1.97%3.60%0.16%12.10%
20029-5.13%$8,768-10.07%-7.20%-13.14%-5.72%-10.69%1.07%-1.36%2.46%-3.53%-2.31%
2002101.62%$8,9117.65%3.21%9.60%-3.28%6.55%-0.31%0.20%-2.75%-4.95%-1.78%
2002114.22%$9,2876.06%8.88%4.93%3.56%7.09%0.31%4.41%0.00%4.43%1.41%
200212-0.93%$9,201-5.57%-5.59%-3.68%-2.64%-3.27%1.35%1.05%3.45%0.85%12.08%
20031-1.26%$9,085-2.54%-2.75%-4.69%-2.89%0.13%0.29%1.56%0.59%-2.70%3.31%
20032-0.99%$8,995-1.69%-3.02%-3.30%0.18%-3.80%0.72%1.30%3.69%1.74%-5.24%
20033-0.50%$8,9501.09%1.22%-1.54%-2.97%-2.04%0.37%1.36%-1.62%2.04%-6.19%
200345.41%$9,4348.21%9.36%13.53%0.90%8.75%0.64%3.64%-0.33%4.05%-0.60%
200355.57%$9,9596.11%9.54%6.65%4.82%6.39%0.91%0.33%4.73%5.52%12.07%
200362.19%$10,1771.43%2.01%1.01%6.30%5.88%0.34%1.92%-0.88%2.25%2.60%
200372.35%$10,4172.36%5.36%2.00%4.49%7.03%-0.77%-1.60%-4.47%5.18%3.67%
200383.48%$10,7792.39%4.83%-0.16%7.82%6.36%-0.16%0.83%1.70%0.65%13.16%
200391.42%$10,933-1.15%-1.64%2.02%5.41%0.80%1.34%2.11%3.18%3.41%5.00%
2003105.21%$11,5036.12%8.11%6.63%5.26%9.09%-0.24%1.45%0.49%1.63%10.16%
2003112.09%$11,7431.38%3.77%4.26%-2.31%1.09%0.12%1.10%0.08%4.31%11.03%
2003123.99%$12,2124.48%2.40%8.20%6.82%7.78%0.59%2.07%0.90%3.08%0.84%
200411.69%$12,4182.23%3.94%1.14%1.99%3.12%0.40%0.93%1.23%4.28%-6.65%
200421.72%$12,6311.43%1.36%2.92%0.85%4.17%0.65%0.26%2.18%1.64%2.29%
200431.34%$12,800-1.07%1.18%-3.14%9.56%0.39%0.48%0.77%1.50%5.43%2.05%
20044-4.86%$12,178-2.11%-4.77%-0.81%-6.63%-7.90%-1.11%-0.66%-4.69%-14.56%-17.29%
200451.01%$12,3011.35%1.92%1.50%-1.30%-0.85%-0.28%-1.60%1.72%7.09%6.59%
200461.87%$12,5312.09%4.06%1.57%5.04%-0.09%0.09%1.26%-0.02%2.79%-0.36%
20047-2.18%$12,258-3.80%-5.88%-2.73%-5.14%-1.80%0.47%1.11%0.99%0.51%0.93%
200481.63%$12,4580.31%-0.35%0.05%1.20%4.10%0.84%1.91%2.60%7.83%3.67%
200492.34%$12,7501.74%4.21%3.99%-0.36%5.62%0.18%1.22%0.24%-0.23%8.93%
2004102.15%$13,0241.68%2.23%3.57%2.98%2.30%0.38%1.71%0.88%5.39%1.94%
2004114.82%$13,6524.68%7.57%7.32%5.68%10.17%-0.47%0.27%-0.32%4.15%9.88%
2004123.11%$14,0763.63%3.62%4.23%4.63%5.32%0.48%1.08%1.83%4.83%-1.09%
20051-1.83%$13,819-2.68%-3.58%-1.89%-1.81%-0.14%0.00%-0.17%0.00%-8.46%-1.38%
200522.95%$14,2272.07%2.09%4.90%2.61%8.87%-0.21%1.16%-0.48%2.85%10.02%
20053-2.36%$13,891-1.75%-2.26%-2.47%-2.54%-6.70%-0.18%-2.68%0.13%-1.58%-3.81%
20054-1.56%$13,674-2.32%-4.61%-1.99%-1.85%-2.89%0.67%-0.55%1.84%5.81%-6.20%
200552.27%$13,9853.77%6.17%-0.08%-0.88%3.39%0.49%1.90%0.71%3.24%2.26%
200561.90%$14,2510.81%3.52%0.98%1.12%3.28%0.39%1.22%0.33%4.96%5.45%
200573.42%$14,7384.11%6.25%3.80%1.88%6.87%-0.27%0.92%-1.99%6.97%7.43%
200580.85%$14,864-0.94%-1.67%1.98%5.96%0.97%0.68%0.25%2.19%-3.74%5.44%
200592.90%$15,2950.86%0.71%2.16%8.69%8.64%-0.17%-0.56%-0.09%0.57%12.58%
200510-2.78%$14,869-1.86%-3.23%-3.23%-2.26%-6.57%-0.06%-0.54%-1.28%-2.35%-7.21%
2005113.39%$15,3723.97%4.61%1.30%3.08%7.98%0.41%0.91%0.16%4.25%7.77%
2005122.50%$15,7560.14%-0.06%3.82%7.37%6.16%0.43%0.93%1.11%-0.10%6.80%
200615.38%$16,6033.50%7.85%6.61%5.20%11.48%0.24%0.92%0.16%7.53%16.72%
20062-0.43%$16,5320.00%-0.16%-0.03%-1.68%-1.46%0.22%0.70%-0.16%1.83%-4.43%
200632.24%$16,9031.80%4.20%3.76%2.98%1.24%0.07%-0.04%-2.14%4.83%8.94%
200642.26%$17,2851.11%0.03%5.16%4.14%7.12%0.35%0.26%-0.08%-3.63%9.78%
20065-3.61%$16,661-3.23%-4.94%-2.42%-5.33%-10.74%0.17%-0.37%0.25%-2.80%-4.60%
200660.17%$16,6890.17%0.20%0.06%-1.43%-0.20%0.27%-0.40%0.31%5.29%-0.27%
200670.15%$16,714-0.13%-3.31%1.75%-0.26%1.19%0.76%0.78%1.62%3.49%-1.61%
200682.03%$17,0542.31%2.27%3.06%1.71%2.05%0.87%1.44%1.68%3.72%1.15%
200690.45%$17,1312.27%0.86%0.79%-1.09%0.72%0.66%1.25%0.18%1.90%-6.24%
2006103.48%$17,7283.53%5.20%4.30%2.97%4.75%0.49%0.94%-0.17%6.11%8.86%
2006112.98%$18,2562.23%3.10%3.81%1.40%7.44%0.67%1.56%1.17%4.69%4.83%
2006120.97%$18,4331.13%0.01%2.69%3.25%4.16%0.12%0.93%-2.32%-1.81%-0.62%
200711.47%$18,7031.88%2.39%1.25%1.29%-0.58%0.21%0.60%0.17%8.52%2.10%
200720.21%$18,742-1.61%-0.12%-0.99%3.18%-1.28%1.04%1.51%2.03%-2.41%1.01%
200731.34%$18,9921.11%1.22%3.85%-0.08%4.11%0.32%0.13%0.18%-2.37%5.54%
200742.45%$19,4574.01%2.67%5.73%-0.39%4.23%0.49%1.24%0.75%-0.04%4.73%
200752.63%$19,9703.69%4.41%2.55%2.71%5.96%-0.25%0.61%-1.24%-0.11%6.92%
20076-0.64%$19,843-1.67%-1.60%-0.30%0.23%4.49%0.21%-2.27%-0.20%-9.26%1.11%
20077-1.87%$19,472-3.41%-5.76%-2.86%-0.60%4.30%0.70%-3.30%2.25%-7.77%-3.91%
200780.53%$19,5741.45%1.34%-0.08%-1.97%-0.94%0.42%1.84%0.93%6.49%-2.44%
200794.60%$20,4753.59%2.15%5.23%5.63%10.75%0.79%2.80%1.26%4.25%14.32%
2007103.84%$21,2611.85%2.62%4.85%3.58%12.31%0.60%0.46%1.17%1.22%9.65%
200711-3.98%$20,415-4.49%-6.79%-3.71%-3.81%-7.99%1.16%-1.87%3.97%-9.32%-7.46%
200712-0.97%$20,217-0.60%-0.72%-1.94%-4.59%-0.38%0.04%0.47%-0.15%-5.11%1.58%
20081-3.91%$19,428-6.08%-6.23%-9.13%-4.95%-11.08%1.45%-0.72%3.78%-0.34%0.48%
20082-0.11%$19,407-3.07%-2.65%-0.30%-1.65%4.65%0.48%-1.46%1.39%-3.73%12.20%
20083-0.60%$19,291-0.58%-0.50%0.94%-1.77%-3.80%-0.72%-0.22%0.09%6.45%-3.80%
200843.99%$20,0615.02%5.48%4.43%7.28%8.09%-0.28%3.65%-2.08%5.89%3.21%
200852.07%$20,4762.09%5.16%1.13%2.00%1.84%0.20%-0.22%0.08%0.14%9.26%
20086-5.87%$19,274-8.19%-8.90%-9.19%-7.28%-10.39%-0.10%-3.01%1.90%-10.77%-1.14%
20087-2.15%$18,859-0.77%1.67%-3.07%-4.47%-4.14%-0.08%-1.13%-0.55%3.15%-18.19%
20088-1.00%$18,6711.58%3.13%-3.93%-5.04%-7.81%0.11%0.67%0.55%2.25%-7.74%
20089-8.91%$17,007-9.26%-9.41%-13.48%-9.49%-16.25%-3.45%-6.13%-3.88%-0.11%-23.90%
200810-18.20%$13,911-17.63%-21.56%-21.77%-18.40%-27.67%-3.17%-15.39%-8.83%-31.23%-39.92%
200811-6.50%$13,007-7.90%-11.45%-6.96%-4.03%-7.85%-0.30%-6.22%0.18%-23.39%-8.72%
2008126.16%$13,8091.86%5.58%7.47%9.57%8.30%1.15%8.46%5.23%17.39%15.50%
20091-6.53%$12,907-8.26%-10.25%-13.72%-10.98%-8.19%1.87%5.71%0.95%-17.39%-8.98%
20092-7.48%$11,941-10.45%-11.96%-10.56%-10.27%-6.07%-0.34%-2.89%-1.63%-20.76%-4.38%
200937.55%$12,8438.65%9.48%7.81%7.94%16.03%0.48%1.95%5.99%3.76%17.32%
2009410.51%$14,19310.61%18.25%13.19%9.48%16.03%2.10%7.83%-1.90%31.31%11.14%
200957.99%$15,3265.38%3.74%14.05%12.02%18.27%2.78%4.35%1.85%2.36%20.87%
20096-0.37%$15,2700.34%1.16%-2.14%1.04%-2.25%1.03%1.70%0.33%-3.25%-6.05%
200977.60%$16,4317.82%9.68%10.77%7.19%11.55%1.71%5.79%0.08%10.64%12.67%
200982.92%$16,9113.63%4.46%5.43%3.30%-0.63%1.38%0.29%1.07%13.99%2.47%
200994.83%$17,7284.23%6.34%5.11%1.96%9.29%0.96%4.17%1.87%6.69%7.47%
200910-2.06%$17,363-2.57%-6.64%-2.13%-2.83%-1.36%0.79%1.60%1.44%-4.64%-2.67%
2009114.16%$18,0865.63%3.33%4.00%1.66%5.90%0.86%0.65%2.76%6.85%14.18%
2009122.55%$18,5482.86%7.88%0.46%1.71%3.60%-0.36%2.76%-2.23%7.03%-0.71%
20101-2.74%$18,040-3.50%-3.35%-6.28%-1.45%-6.25%1.34%0.83%1.51%-5.32%-8.32%
201021.75%$18,3553.36%4.97%-1.07%1.99%1.07%0.27%0.05%-1.18%5.55%2.61%
201035.49%$19,3636.27%8.08%6.36%5.86%8.15%0.39%2.70%0.04%10.09%10.51%
201041.70%$19,6922.17%5.54%-2.89%-1.07%0.26%0.66%1.72%2.47%7.09%0.05%
20105-6.58%$18,395-8.00%-7.80%-12.24%-9.52%-9.32%-0.36%-3.42%0.08%-5.41%-9.55%
20106-2.38%$17,957-5.66%-7.57%-1.10%-2.28%-0.04%0.75%1.77%1.32%-5.24%-1.98%
201076.11%$19,0546.99%7.16%12.89%7.21%9.25%1.03%3.42%-0.08%9.73%6.48%
20108-2.26%$18,624-4.75%-6.61%-4.31%-2.38%-2.24%0.65%0.28%1.93%-1.24%1.84%
201097.34%$19,9929.47%11.98%11.38%7.74%11.18%0.45%2.76%0.70%4.37%13.66%
2010103.38%$20,6673.94%4.08%4.66%2.36%2.97%0.55%2.20%2.56%4.80%7.71%
201011-0.95%$20,4710.58%3.07%-7.99%0.29%-2.71%-0.39%-1.66%-1.69%-2.04%-0.40%
2010125.42%$21,5796.81%7.72%8.94%7.44%7.30%-0.24%1.32%-1.55%4.63%12.72%
201110.45%$21,6762.19%0.86%3.51%-0.18%-2.77%0.54%2.01%0.00%3.32%-9.72%
201122.87%$22,2983.60%5.34%3.39%3.96%-0.85%0.13%1.25%0.92%4.58%8.61%
201130.43%$22,3940.45%2.42%-0.93%-5.76%5.57%-0.04%0.28%0.91%-1.44%2.27%
201143.38%$23,1512.99%2.94%8.21%3.10%3.47%0.80%1.61%2.43%5.66%4.56%
20115-1.28%$22,854-1.16%-2.03%-3.03%-2.65%-2.82%0.42%0.59%0.30%1.36%-2.82%
20116-1.45%$22,523-1.79%-1.99%-2.06%0.56%-1.51%-0.24%-0.96%0.65%-3.35%-6.62%
20117-0.44%$22,424-2.28%-3.72%-3.71%1.30%-0.82%0.60%1.46%3.87%1.55%3.31%
20118-5.16%$21,267-5.99%-8.31%-10.08%-6.62%-8.54%-0.42%-3.19%0.86%-5.53%0.69%
20119-8.02%$19,562-7.75%-11.00%-11.49%-8.57%-16.19%-0.34%-1.91%0.06%-10.98%-20.82%
2011108.87%$21,29711.51%15.26%11.88%4.96%13.51%0.60%5.39%1.93%14.39%15.44%
201111-1.26%$21,028-0.29%-0.41%-3.31%-1.23%-3.41%-0.53%-2.05%0.42%-3.73%0.04%
201112-0.61%$20,9000.80%0.22%-2.16%-2.83%-3.32%0.41%2.75%0.20%4.61%-13.49%
201215.77%$22,1065.08%6.95%5.32%6.73%11.12%1.07%2.87%2.20%6.49%14.18%
201222.76%$22,7164.26%3.19%5.61%4.34%5.56%0.39%1.90%-0.42%-1.12%-1.26%
201230.20%$22,7603.07%2.30%0.16%0.30%-2.86%0.11%-0.47%-1.07%5.14%-9.04%
20124-0.57%$22,631-0.65%-0.93%-2.35%-2.08%-1.75%0.38%1.04%2.05%2.88%-3.37%
20125-6.27%$21,211-6.24%-6.78%-11.95%-9.79%-11.08%0.01%-0.99%1.80%-4.60%-16.49%
201263.63%$21,9803.91%4.51%7.72%6.60%4.83%0.28%2.08%-0.62%5.64%0.00%
201270.57%$22,1051.03%-0.82%0.70%-0.52%0.64%0.74%2.07%1.85%1.93%-2.89%
201281.64%$22,4682.48%3.47%4.47%0.95%0.43%0.46%0.86%-0.20%-0.14%1.06%
201292.53%$23,0372.58%2.73%3.26%1.96%5.32%0.45%1.17%0.49%-1.83%14.35%
201210-0.25%$22,979-1.76%-1.46%1.60%0.10%-0.42%0.26%1.01%0.67%-0.83%-0.63%
2012110.71%$23,1420.74%1.16%2.47%2.28%1.33%0.16%0.66%0.47%-0.37%-7.32%
2012122.44%$23,7071.19%3.07%3.49%4.73%5.84%0.12%1.34%-0.57%3.69%1.76%
201312.70%$24,3485.50%6.35%5.04%3.25%0.61%0.06%0.67%-0.69%3.71%-3.07%
20132-0.11%$24,3221.28%1.33%-3.19%2.10%-1.74%0.23%0.29%0.14%1.24%-7.50%
201331.57%$24,7053.88%4.69%0.33%3.19%-1.54%0.17%0.82%0.21%2.89%-5.68%
201341.69%$25,1231.70%0.14%4.32%5.81%1.32%0.32%1.61%0.76%6.70%-8.90%
20135-1.16%$24,8332.32%3.61%0.00%-7.55%-3.73%-0.41%-0.81%-4.26%-5.96%-2.44%
20136-2.76%$24,149-1.27%-0.99%-4.28%-0.70%-6.14%-0.89%-2.96%-3.94%-1.96%-13.36%
201373.51%$24,9965.49%6.66%7.42%2.17%0.97%0.43%1.85%0.90%0.83%1.64%
20138-2.09%$24,475-2.82%-3.17%-1.30%-1.57%-3.18%-0.22%-1.02%-1.71%-6.86%4.45%
201394.19%$25,5003.66%5.69%6.88%8.56%7.15%0.72%0.99%1.68%3.28%-2.99%
2013102.88%$26,2354.22%3.27%4.11%1.73%4.65%0.54%2.51%0.45%4.46%0.75%
2013110.41%$26,3432.88%2.71%1.12%-0.09%-2.02%0.25%0.30%-1.04%-5.23%-6.69%
2013121.11%$26,6352.63%2.57%2.60%0.09%-0.96%-0.22%0.32%-1.60%0.26%2.89%
20141-1.90%$26,129-3.11%-2.07%-4.04%-5.60%-7.27%0.54%0.66%2.16%4.19%0.39%
201423.85%$27,1354.73%5.06%7.19%3.28%3.42%0.34%1.92%0.30%4.96%10.21%
201430.13%$27,1700.51%-0.31%-0.67%-0.10%3.86%-0.09%0.14%-0.47%0.49%-3.15%
201440.33%$27,2590.06%-2.33%2.56%-0.27%0.51%0.35%0.61%1.36%3.37%-0.45%
201451.63%$27,7042.17%1.17%0.77%3.20%3.72%0.44%0.95%2.01%2.35%-1.63%
201462.22%$28,3182.54%4.96%-0.02%2.80%3.00%0.07%0.61%0.31%1.14%7.56%
20147-1.36%$27,933-1.98%-4.94%-4.10%0.67%1.46%-0.12%-1.17%0.00%0.04%0.00%
201482.16%$28,5374.18%4.97%0.62%-0.17%3.57%0.25%1.62%0.51%2.93%0.00%
20149-4.17%$27,345-2.14%-5.31%-3.99%-4.49%-7.16%-0.22%-1.84%-2.49%-5.96%-13.45%
2014101.54%$27,7682.74%4.48%-2.16%2.29%2.31%0.34%1.97%0.75%9.93%-13.66%
2014110.60%$27,9342.41%0.98%2.13%-3.36%-1.00%0.24%-0.54%0.30%1.98%4.59%
201412-1.00%$27,655-0.01%1.25%-4.50%-2.55%-4.97%-0.38%-0.37%-0.91%1.93%0.44%
201510.58%$27,815-2.77%-2.17%0.39%1.85%0.67%0.81%0.64%3.11%6.72%4.69%
201523.13%$28,6845.76%5.82%6.08%5.64%3.53%-0.14%1.93%-1.40%-3.59%1.25%
20153-0.84%$28,443-1.04%1.18%-2.45%0.40%-2.08%0.34%-0.55%-0.42%1.72%-9.13%
201541.75%$28,9420.42%-1.69%4.22%4.03%7.79%0.24%0.95%0.67%-5.92%9.45%
20155-0.04%$28,9301.39%2.00%0.16%-0.83%-3.38%-0.03%0.30%-1.04%-0.27%-0.53%
20156-2.09%$28,325-1.71%-0.87%-3.25%-2.08%-2.39%-0.31%-1.39%-0.90%-4.60%-8.68%
20157-0.75%$28,1141.63%-0.29%2.52%-0.94%-6.81%0.17%0.29%0.46%5.60%-16.22%
20158-4.80%$26,765-6.03%-5.85%-7.03%-7.51%-9.32%-0.20%-0.89%-0.91%-6.25%-1.24%
20159-2.59%$26,072-2.93%-4.50%-4.08%-4.27%-3.25%0.45%-2.12%-0.46%3.02%-5.60%
2015104.74%$27,3087.84%5.68%6.07%7.53%5.57%0.08%2.77%0.23%5.78%5.49%
201511-0.68%$27,1220.54%1.81%-1.29%-0.27%-3.25%-0.02%-1.44%-0.15%-0.64%-9.56%
201512-1.73%$26,653-2.03%-4.21%-2.42%-0.38%-2.45%-0.37%-1.76%-0.95%1.79%-1.09%
20161-3.93%$25,604-5.67%-7.66%-5.88%-5.74%-6.05%0.54%-0.99%1.56%-3.36%-2.20%
201620.77%$25,801-0.04%0.92%-2.81%-3.54%-0.87%0.16%0.46%1.07%-0.43%23.47%
201636.53%$27,4867.01%8.35%6.68%7.83%13.04%1.03%2.85%1.90%10.41%8.96%
201642.80%$28,2560.63%1.72%2.84%0.85%0.78%0.44%2.60%0.15%-2.41%28.75%
20165-0.61%$28,0841.79%1.93%-0.56%0.47%-3.40%-0.00%-0.05%-0.67%2.36%-10.50%
201662.12%$28,6790.23%0.25%-4.42%0.22%5.04%0.83%0.80%2.26%6.88%17.02%
201674.11%$29,8593.95%5.07%3.84%5.45%4.67%0.45%2.03%0.66%4.18%11.65%
20168-0.94%$29,5800.26%0.62%0.73%0.27%1.67%-0.02%1.66%-0.44%-3.68%-14.08%
201691.02%$29,8810.15%0.39%0.57%2.81%1.27%0.12%0.62%0.73%-1.83%5.74%
201610-2.12%$29,248-2.21%-4.12%-3.40%-1.04%0.63%-0.04%0.28%-0.51%-5.72%-6.68%
201611-0.11%$29,2174.44%8.61%-2.30%-1.40%-4.36%-0.87%-0.91%-2.04%-1.73%-9.73%
2016121.25%$29,5811.92%1.86%4.75%-0.39%-0.16%0.06%1.39%-0.16%4.66%-0.63%
201712.72%$30,3871.91%1.57%2.91%4.69%4.94%0.34%1.00%1.00%-0.04%14.26%
201721.66%$30,8923.71%2.34%0.64%2.16%3.28%0.34%1.44%0.38%3.43%-4.19%
201730.72%$31,1160.07%-0.24%4.20%1.69%2.25%0.12%-0.22%0.01%-2.36%1.00%
201740.92%$31,4031.05%0.85%4.12%0.83%1.39%0.37%1.29%0.46%0.15%-4.33%
201751.05%$31,7311.01%-1.15%4.79%2.23%1.22%0.26%0.96%0.00%-0.65%2.21%
201760.71%$31,9560.92%2.24%-0.77%1.76%0.78%0.08%0.27%-0.95%2.10%0.39%
201772.08%$32,6201.87%1.09%3.01%2.63%5.35%0.36%1.12%0.54%1.23%4.22%
201780.59%$32,8130.15%-0.94%0.13%0.16%3.05%0.35%0.11%0.91%-0.25%4.42%
201791.04%$33,1542.45%4.40%3.16%1.16%-0.78%-0.15%0.77%-0.71%-0.13%-6.13%
2017101.17%$33,5402.16%1.55%0.42%4.47%2.44%0.06%0.09%0.23%-1.01%-3.36%
2017111.23%$33,9523.04%3.08%0.13%2.06%0.21%-0.13%-0.27%0.08%2.64%-1.09%
2017121.35%$34,4100.99%0.37%1.45%1.51%3.49%-0.00%0.27%0.86%-0.23%7.33%
201812.71%$35,3415.31%2.84%5.51%4.69%8.39%-0.37%0.21%-0.92%-4.21%-1.12%
20182-3.68%$34,042-3.72%-4.07%-6.11%-3.58%-4.73%-0.29%-1.11%-0.93%-7.65%-8.70%
20183-0.12%$34,003-1.99%1.12%-0.36%-0.53%-1.22%0.12%-0.57%0.92%3.83%0.48%
201840.32%$34,1110.38%0.33%2.21%0.36%-2.03%-0.26%0.46%-0.08%0.84%2.51%
201850.69%$34,3462.79%5.07%-2.66%-1.00%-2.86%0.41%-0.40%0.23%3.60%-0.71%
20186-0.31%$34,2380.68%0.72%-1.01%-2.65%-4.50%0.03%0.28%0.69%4.13%-0.62%
201871.48%$34,7463.34%1.82%3.28%0.82%3.18%0.13%1.18%-0.54%0.74%-2.99%
201880.39%$34,8823.44%4.48%-2.70%-0.89%-3.55%0.52%0.99%0.62%2.46%-11.63%
20189-0.37%$34,7520.16%-1.54%0.09%1.82%-1.31%-0.06%0.45%-0.95%-2.63%-0.49%
201810-5.99%$32,672-7.40%-10.10%-7.90%-9.67%-7.58%-0.14%-1.58%-1.42%-2.98%-6.49%
2018111.32%$33,1042.06%2.16%-0.83%2.12%4.45%0.05%-0.72%0.40%4.73%-2.09%
201812-5.24%$31,370-9.29%-11.11%-4.67%-5.63%-2.97%0.73%-2.14%0.50%-7.97%-5.48%
201916.97%$33,5588.59%11.83%6.57%7.15%8.52%0.81%4.93%1.44%11.74%7.64%
201922.04%$34,2413.50%4.81%3.05%0.80%0.65%0.41%1.67%-0.16%0.72%1.45%
201930.97%$34,5721.44%-0.91%0.74%0.32%1.90%0.91%0.83%1.90%4.18%0.78%
201942.16%$35,3183.98%3.59%3.85%1.51%2.08%0.34%1.50%0.23%-0.10%0.64%
20195-4.09%$33,873-6.45%-7.25%-5.58%-5.18%-6.45%0.73%-1.08%1.71%0.10%-6.26%
201964.83%$35,5096.97%7.04%6.38%5.36%5.42%0.81%2.72%0.80%1.69%9.40%
20197-0.03%$35,4971.44%1.25%-2.78%-1.74%-1.19%0.14%0.45%0.23%1.58%-1.00%
20198-1.16%$35,084-2.03%-4.03%-1.67%-2.50%-3.76%0.88%0.95%2.27%3.76%-0.25%
201991.31%$35,5441.70%1.37%2.55%4.08%1.33%-0.05%0.43%-1.07%1.89%0.50%
2019101.91%$36,2212.10%1.60%3.68%3.58%3.87%0.32%0.61%-0.15%1.06%2.13%
2019111.49%$36,7613.77%4.14%1.47%0.85%0.15%0.04%0.59%0.23%-1.28%-0.25%
2019122.63%$37,7292.85%2.18%4.22%2.58%6.96%0.24%1.28%0.39%0.81%5.06%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value1.84%
Large-cap Growth5.14%
Mid-cap Value17.22%
Mid-cap Growth9.07%
Small-cap Value2.09%
Small-cap Growth0.00%
Global ex-US Developed Markets21.55%
Emerging Markets16.50%
Corporate Bonds13.31%
Long-Term Treasuries0.24%
Intermediate-Term Treasuries4.97%
Short-Term Treasuries8.08%
R Squared98.16%
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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend15.00%0.14%26.42$5,62516.73%
NAESXVanguard Small Cap Index InvSmall Blend15.00%0.17%21.42$5,91720.63%
VEURXVanguard European Stock Index InvestorEurope Stock10.00%0.23%19.71$2,32513.67%
VPACXVanguard Pacific Stock Index InvestorDiversified Pacific/Asia10.00%0.23%17.75$2,12911.26%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts10.00%0.29%15.37$3,50916.22%
VFSTXVanguard Short-Term Investment-Grade InvShort-Term Bond10.00%0.20%2.57$1,1850.68%
VWEHXVanguard High-Yield Corporate InvHigh Yield Bond10.00%0.23%3.89$2,3984.76%
VIPSXVanguard Inflation-Protected Secs InvInflation-Protected Bond10.00%0.20%7.85$1,5471.10%
VGSIXVanguard Real Estate Index InvestorReal Estate5.00%0.26%31.53$1,9956.22%
VGPMXVanguard Global Capital Cycles InvestorWorld Large Stock5.00%0.38%14.91$1,0998.73%
100.00%0.22%21.114.77$27,729100.00%

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 1
Arithmetic Mean (monthly)0.64%
Arithmetic Mean (annualized)8.02%
Geometric Mean (monthly)0.58%
Geometric Mean (annualized)7.24%
Volatility (monthly)3.46%
Volatility (annualized)12.00%
Downside Deviation (monthly)2.37%
Max. Drawdown-43.84%
US Market Correlation0.92
Beta(*)0.75
Alpha (annualized)1.64%
R284.72%
Sharpe Ratio0.52
Sortino Ratio0.75
Treynor Ratio (%)8.42
Calmar Ratio0.75
Active Return-0.03%
Tracking Error5.97%
Information Ratio-0.00
Skewness-0.90
Excess Kurtosis3.68
Historical Value-at-Risk (5%)-5.94%
Analytical Value-at-Risk (5%)-5.13%
Conditional Value-at-Risk (5%)-8.06%
Upside Capture Ratio (%)76.90
Downside Capture Ratio (%)71.67
Safe Withdrawal Rate8.13%
Perpetual Withdrawal Rate4.82%
Positive Periods144 out of 228 (63.16%)
Gain/Loss Ratio0.96
* 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 1
Subprime CrisisNov 2007Mar 2009-43.84%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-43.84%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-15.50%
3Feb 2001Sep 20021 year 8 monthsJul 200310 months2 years 6 months-15.13%
4May 2015Jan 20169 monthsJul 20166 months1 year 3 months-11.53%
5Feb 2018Dec 201811 monthsJun 20196 months1 year 5 months-11.24%
6Apr 2004Apr 20041 monthOct 20046 months7 months-4.86%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-4.17%
8Mar 2005Apr 20052 monthsJun 20052 months4 months-3.88%
9May 2013Jun 20132 monthsSep 20133 months5 months-3.88%
10May 2006May 20061 monthOct 20065 months6 months-3.61%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv7.27%14.74%33.35%-37.04%-50.89%0.450.641.00
NAESXVanguard Small Cap Index Inv9.05%18.38%45.63%-36.07%-53.95%0.490.710.94
VEURXVanguard European Stock Index Investor4.36%18.26%38.70%-44.73%-59.72%0.250.350.87
VPACXVanguard Pacific Stock Index Investor4.37%15.67%38.42%-34.36%-51.88%0.260.370.76
VEIEXVanguard Emerging Mkts Stock Idx Inv8.68%21.59%75.98%-52.81%-62.70%0.430.640.80
VFSTXVanguard Short-Term Investment-Grade Inv3.56%2.18%14.03%-4.74%-7.61%0.961.530.19
VWEHXVanguard High-Yield Corporate Inv6.46%7.56%39.09%-21.29%-28.90%0.670.970.67
VIPSXVanguard Inflation-Protected Secs Inv4.89%5.80%16.61%-8.92%-12.50%0.610.910.02
VGSIXVanguard Real Estate Index Investor10.36%20.80%35.65%-37.05%-68.28%0.510.740.64
VGPMXVanguard Global Capital Cycles Investor5.86%29.91%76.46%-56.02%-76.43%0.300.440.49

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXNAESXVEURXVPACXVEIEXVFSTXVWEHXVIPSXVGSIXVGPMXPortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv1.000.940.870.760.800.190.670.020.640.490.92
NAESXVanguard Small Cap Index Inv0.941.000.800.730.760.180.660.020.700.510.91
VEURXVanguard European Stock Index Investor0.870.801.000.800.840.290.670.100.590.580.91
VPACXVanguard Pacific Stock Index Investor0.760.730.801.000.810.290.610.200.590.590.87
VEIEXVanguard Emerging Mkts Stock Idx Inv0.800.760.840.811.000.350.670.190.550.690.91
VFSTXVanguard Short-Term Investment-Grade Inv0.190.180.290.290.351.000.610.680.360.400.38
VWEHXVanguard High-Yield Corporate Inv0.670.660.670.610.670.611.000.360.630.500.77
VIPSXVanguard Inflation-Protected Secs Inv0.020.020.100.200.190.680.361.000.270.360.23
VGSIXVanguard Real Estate Index Investor0.640.700.590.590.550.360.630.271.000.420.73
VGPMXVanguard Global Capital Cycles Investor0.490.510.580.590.690.400.500.360.421.000.71

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv$5,625
NAESXVanguard Small Cap Index Inv$5,917
VEURXVanguard European Stock Index Investor$2,325
VPACXVanguard Pacific Stock Index Investor$2,129
VEIEXVanguard Emerging Mkts Stock Idx Inv$3,509
VFSTXVanguard Short-Term Investment-Grade Inv$1,185
VWEHXVanguard High-Yield Corporate Inv$2,398
VIPSXVanguard Inflation-Protected Secs Inv$1,547
VGSIXVanguard Real Estate Index Investor$1,995
VGPMXVanguard Global Capital Cycles Investor$1,099

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv16.73%
NAESXVanguard Small Cap Index Inv20.63%
VEURXVanguard European Stock Index Investor13.67%
VPACXVanguard Pacific Stock Index Investor11.26%
VEIEXVanguard Emerging Mkts Stock Idx Inv16.22%
VFSTXVanguard Short-Term Investment-Grade Inv0.68%
VWEHXVanguard High-Yield Corporate Inv4.76%
VIPSXVanguard Inflation-Protected Secs Inv1.10%
VGSIXVanguard Real Estate Index Investor6.22%
VGPMXVanguard Global Capital Cycles Investor8.73%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.37%34.32%-31.70%
3 years7.93%19.64%-4.30%
5 years7.47%17.05%2.49%
7 years7.15%10.58%4.58%
10 years7.26%9.93%4.84%
15 years7.39%9.19%6.49%
Result statistics are based on annualized rolling returns over full calendar year periods