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 2011 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWENX Vanguard Wellington Admiral 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 65.00%
AGG iShares Core US Aggregate Bond ETF 35.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VVIAX Vanguard Value Index Adm 30.00%
VFIDX Vanguard Interm-Term Investment-Grde Adm 40.00%
VTIAX Vanguard Total Intl Stock Index Admiral 30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,333 9.87% 7.40%22.61%-3.35%-10.37% 1.232.110.97
Portfolio 2$10,000$23,168 9.79% 7.72%22.98%-3.24%-10.20% 1.171.970.99
Portfolio 3$10,000$18,466 7.05% 7.43%18.39%-6.15%-12.08% 0.871.400.92
   
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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Wellington Admiral (VWENX)Vanguard Total Stock Mkt Idx Adm (VTSAX)iShares Core US Aggregate Bond ETF (AGG)Vanguard Value Index Adm (VVIAX)Vanguard Interm-Term Investment-Grde Adm (VFIDX)Vanguard Total Intl Stock Index Admiral (VTIAX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20112.96%3.95%3.40%-0.96%$10,395$10,340$9,9043.95%1.08%7.69%1.14%7.63%-14.52%
20121.74%12.67%11.96%13.71%$11,712$11,577$11,26212.67%16.38%3.76%15.18%9.25%18.21%
20131.50%19.76%21.10%13.95%$14,026$14,019$12,83319.76%33.52%-1.98%33.05%-1.27%15.14%
20140.76%9.90%10.26%5.07%$15,414$15,458$13,4839.90%12.56%6.00%13.18%5.91%-4.17%
20150.73%0.14%0.42%-0.88%$15,436$15,523$13,3640.14%0.39%0.48%-0.86%1.63%-4.26%
20162.07%11.09%9.08%8.03%$17,148$16,932$14,43711.09%12.66%2.42%16.86%3.93%4.67%
20172.11%14.82%14.99%15.11%$19,689$19,470$16,61914.82%21.17%3.52%17.13%4.26%27.55%
20181.91%-3.35%-3.24%-6.15%$19,030$18,838$15,597-3.35%-5.17%0.33%-5.43%-0.47%-14.43%
20192.29%22.61%22.98%18.39%$23,333$23,168$18,46622.61%30.80%8.45%25.82%10.49%21.51%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellington Admiral (VWENX)Vanguard Total Stock Mkt Idx Adm (VTSAX)iShares Core US Aggregate Bond ETF (AGG)Vanguard Value Index Adm (VVIAX)Vanguard Interm-Term Investment-Grde Adm (VFIDX)Vanguard Total Intl Stock Index Admiral (VTIAX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201112.01%1.39%1.36%$10,201$10,139$10,1362.01%2.19%-0.09%2.89%0.69%0.72%
201122.32%2.48%2.16%$10,438$10,390$10,3552.32%3.63%0.29%3.97%0.35%2.71%
20113-0.19%0.22%-0.13%$10,417$10,413$10,342-0.19%0.45%-0.22%0.07%-0.07%-0.40%
201142.82%2.51%3.22%$10,712$10,675$10,6752.82%2.99%1.57%2.94%1.91%5.23%
20115-0.52%-0.36%-0.80%$10,655$10,636$10,590-0.52%-1.16%1.24%-1.36%1.29%-2.87%
20116-1.33%-1.33%-1.42%$10,514$10,494$10,439-1.33%-1.79%-0.45%-2.11%-0.83%-1.48%
20117-1.28%-0.89%-0.62%$10,380$10,401$10,374-1.28%-2.22%1.69%-3.48%2.29%-1.57%
20118-3.51%-3.38%-4.10%$10,015$10,049$9,949-3.51%-6.02%1.52%-5.78%0.27%-8.44%
20119-4.14%-4.62%-5.67%$9,601$9,586$9,385-4.14%-7.75%0.77%-7.08%-0.34%-12.26%
2011107.16%7.10%6.29%$10,288$10,267$9,9767.16%11.54%0.13%10.36%1.46%10.13%
201111-0.65%-0.30%-1.56%$10,222$10,235$9,820-0.65%-0.29%-0.33%-0.44%-1.52%-2.86%
2011121.69%1.02%0.86%$10,395$10,340$9,9041.69%0.82%1.36%2.38%1.96%-2.63%
201213.29%3.56%4.13%$10,737$10,707$10,3123.29%5.08%0.73%3.42%2.25%7.33%
201222.59%2.80%2.99%$11,015$11,007$10,6212.59%4.26%-0.01%3.92%0.61%5.12%
201231.52%1.86%0.47%$11,183$11,212$10,6701.52%3.07%-0.57%2.88%-0.44%-0.73%
20124-0.10%-0.13%-0.38%$11,171$11,198$10,629-0.10%-0.63%0.91%-0.89%1.22%-1.84%
20125-3.96%-3.85%-5.03%$10,728$10,767$10,095-3.96%-6.23%1.08%-5.96%0.52%-11.08%
201263.21%2.58%3.35%$11,073$11,045$10,4333.21%3.94%-0.02%4.70%0.50%6.00%
201271.50%1.14%1.33%$11,239$11,171$10,5721.50%1.03%1.36%1.24%2.07%0.44%
201281.21%1.67%1.40%$11,375$11,357$10,7201.21%2.51%0.00%1.45%0.39%2.73%
201291.95%1.81%2.35%$11,597$11,564$10,9721.95%2.58%0.27%3.04%0.86%3.63%
2012100.00%-1.20%0.31%$11,597$11,425$11,0070.00%-1.76%-0.05%-0.52%0.76%0.59%
2012110.20%0.58%0.45%$11,620$11,491$11,0560.20%0.74%0.27%-0.53%0.18%1.80%
2012120.78%0.74%1.86%$11,712$11,577$11,2620.78%1.22%-0.25%1.94%-0.02%4.19%
201313.49%3.36%2.72%$12,120$11,965$11,5683.49%5.50%-0.62%6.37%-0.50%3.35%
201320.89%1.05%0.40%$12,229$12,090$11,6130.89%1.28%0.59%1.52%0.74%-1.20%
201332.53%2.63%1.51%$12,538$12,409$11,7892.53%3.91%0.10%3.93%0.13%0.77%
201342.28%1.46%2.24%$12,824$12,590$12,0532.28%1.70%0.97%2.19%1.24%3.58%
201350.68%0.93%-0.79%$12,911$12,707$11,9580.68%2.35%-2.00%2.49%-1.87%-2.93%
20136-1.36%-1.35%-2.35%$12,735$12,536$11,676-1.36%-1.24%-1.57%-0.81%-2.62%-3.77%
201373.57%3.82%3.37%$13,189$13,016$12,0703.57%5.46%0.27%5.19%0.79%4.60%
20138-2.23%-2.20%-2.07%$12,895$12,730$11,821-2.23%-2.80%-0.83%-3.60%-0.94%-1.67%
201392.28%2.88%3.32%$13,189$13,097$12,2142.28%3.67%1.12%2.16%1.30%7.22%
2013102.79%3.21%2.98%$13,557$13,517$12,5782.79%4.25%0.83%4.56%1.10%3.49%
2013111.93%1.95%1.11%$13,818$13,781$12,7171.93%2.88%-0.25%3.23%-0.03%0.07%
2013121.50%1.73%0.91%$14,026$14,019$12,8331.50%2.66%-0.56%2.06%-0.53%1.27%
20141-1.53%-1.48%-1.81%$13,812$13,812$12,601-1.53%-3.11%1.54%-3.59%1.74%-4.75%
201422.99%3.17%3.01%$14,225$14,250$12,9802.99%4.75%0.38%3.94%0.67%5.40%
201430.94%0.29%0.88%$14,358$14,291$13,0940.94%0.52%-0.15%2.62%-0.04%0.41%
201441.10%0.33%1.01%$14,515$14,338$13,2271.10%0.06%0.82%0.89%0.88%1.32%
201451.45%1.82%1.47%$14,726$14,599$13,4221.45%2.17%1.18%1.43%1.19%1.90%
201461.40%1.65%1.12%$14,933$14,840$13,5731.40%2.57%-0.06%1.91%0.06%1.75%
20147-1.00%-1.39%-0.91%$14,783$14,635$13,449-1.00%-1.98%-0.25%-1.27%-0.14%-1.58%
201482.46%3.13%1.80%$15,147$15,093$13,6912.46%4.18%1.15%3.50%1.08%1.05%
20149-1.37%-1.60%-2.28%$14,940$14,851$13,379-1.37%-2.11%-0.61%-1.35%-0.94%-5.03%
2014101.56%2.16%0.87%$15,174$15,172$13,4951.56%2.74%1.06%1.90%0.88%-0.26%
2014111.83%1.83%0.94%$15,451$15,450$13,6221.83%2.43%0.66%2.42%0.66%-0.29%
201412-0.24%0.05%-1.02%$15,414$15,458$13,483-0.24%0.00%0.15%0.33%-0.25%-3.66%
20151-1.38%-1.08%-0.10%$15,202$15,290$13,469-1.38%-2.77%2.05%-4.01%2.60%0.19%
201523.28%3.36%2.85%$15,701$15,804$13,8533.28%5.76%-0.89%5.25%-0.76%5.49%
20153-0.99%-0.53%-0.75%$15,546$15,720$13,749-0.99%-1.01%0.38%-1.58%0.46%-1.52%
201541.11%0.16%1.99%$15,718$15,745$14,0221.11%0.42%-0.32%1.60%-0.05%5.04%
201550.35%0.76%-0.10%$15,773$15,864$14,0080.35%1.39%-0.44%1.12%-0.34%-0.92%
20156-1.94%-1.49%-1.94%$15,467$15,628$13,737-1.94%-1.70%-1.08%-2.17%-1.16%-2.69%
201571.78%1.38%0.25%$15,742$15,844$13,7721.78%1.65%0.86%0.95%0.57%-0.81%
20158-4.49%-4.06%-4.13%$15,035$15,201$13,203-4.49%-6.00%-0.34%-5.82%-0.44%-7.27%
20159-1.34%-1.61%-1.47%$14,834$14,957$13,009-1.34%-2.94%0.81%-2.48%0.99%-3.89%
2015105.42%5.02%4.17%$15,638$15,707$13,5515.42%7.86%0.07%7.61%0.37%6.27%
2015110.09%0.23%-0.28%$15,652$15,743$13,5120.09%0.56%-0.39%0.40%-0.05%-1.31%
201512-1.38%-1.40%-1.10%$15,436$15,523$13,364-1.38%-2.04%-0.19%-0.98%-0.51%-2.04%
20161-2.77%-3.24%-2.69%$15,008$15,020$13,005-2.77%-5.65%1.24%-4.75%1.08%-5.65%
20162-0.24%0.30%-0.35%$14,972$15,065$12,960-0.24%-0.04%0.89%0.10%0.65%-2.23%
201635.08%4.77%5.04%$15,732$15,783$13,6135.08%7.03%0.88%6.59%1.79%8.22%
201641.45%0.51%1.42%$15,960$15,863$13,8061.45%0.65%0.26%1.53%0.75%2.24%
201650.81%1.15%-0.02%$16,089$16,045$13,8030.81%1.77%0.01%1.13%-0.15%-1.01%
201660.79%0.84%0.81%$16,216$16,180$13,9150.79%0.25%1.94%1.09%1.86%-0.93%
201672.38%2.74%2.49%$16,603$16,624$14,2612.38%3.95%0.54%2.83%0.85%4.44%
201680.22%0.11%0.38%$16,640$16,642$14,3150.22%0.28%-0.21%0.65%-0.05%0.68%
20169-0.13%0.12%0.34%$16,619$16,661$14,363-0.13%0.15%0.05%-0.44%0.13%1.43%
201610-1.16%-1.73%-1.09%$16,425$16,373$14,206-1.16%-2.21%-0.82%-1.15%-0.56%-1.74%
2016112.22%2.01%0.13%$16,790$16,702$14,2252.22%4.45%-2.57%5.96%-2.57%-2.17%
2016122.13%1.38%1.49%$17,148$16,932$14,4372.13%1.93%0.25%2.64%0.16%2.01%
201710.93%1.33%1.55%$17,308$17,156$14,6610.93%1.93%0.21%0.63%0.44%3.94%
201722.67%2.65%1.87%$17,771$17,611$14,9342.67%3.71%0.65%3.62%0.84%1.48%
20173-0.18%0.03%0.59%$17,739$17,617$15,022-0.18%0.08%-0.05%-0.98%0.05%2.83%
201740.76%1.00%1.07%$17,875$17,793$15,1830.76%1.05%0.91%0.00%0.97%2.22%
201751.19%0.91%1.27%$18,087$17,955$15,3751.19%1.02%0.69%0.11%0.76%2.98%
201760.69%0.61%0.61%$18,211$18,064$15,4690.69%0.93%-0.02%1.71%-0.16%0.54%
201771.22%1.35%1.90%$18,432$18,308$15,7621.22%1.87%0.33%1.57%0.86%3.44%
201780.14%0.42%0.36%$18,458$18,385$15,8190.14%0.16%0.94%-0.44%0.75%0.62%
201792.04%1.45%1.27%$18,835$18,651$16,0202.04%2.46%-0.57%3.01%-0.49%1.79%
2017101.38%1.49%1.26%$19,095$18,930$16,2211.38%2.17%0.10%1.80%0.23%1.94%
2017111.83%2.01%1.18%$19,444$19,310$16,4121.83%3.04%-0.15%3.53%-0.37%0.80%
2017121.26%0.83%1.26%$19,689$19,470$16,6191.26%1.01%0.44%1.49%0.33%2.07%
201812.88%3.06%2.63%$20,256$20,067$17,0562.88%5.32%-1.13%4.78%-1.18%5.57%
20182-3.56%-2.81%-3.26%$19,535$19,504$16,499-3.56%-3.71%-1.01%-4.36%-0.91%-5.12%
20183-1.11%-1.08%-0.85%$19,318$19,294$16,359-1.11%-1.98%0.67%-2.53%0.27%-0.63%
201840.30%-0.08%0.07%$19,376$19,278$16,3700.30%0.38%-0.94%0.47%-0.79%0.79%
201850.61%2.08%-0.16%$19,493$19,679$16,3440.61%2.82%0.66%0.62%0.59%-1.90%
20186-0.13%0.48%-0.63%$19,467$19,773$16,240-0.13%0.67%0.10%0.18%-0.16%-2.08%
201873.39%2.21%2.32%$20,127$20,209$16,6163.39%3.35%-0.03%4.67%0.38%2.52%
201881.12%2.50%0.23%$20,352$20,714$16,6541.12%3.45%0.57%1.96%0.70%-2.22%
201890.28%-0.09%0.08%$20,408$20,695$16,6670.28%0.16%-0.62%0.57%-0.47%0.29%
201810-3.92%-5.21%-4.22%$19,609$19,616$15,964-3.92%-7.40%-0.64%-4.98%-0.56%-8.34%
2018112.02%1.55%1.49%$20,004$19,920$16,2022.02%2.08%0.52%3.39%0.19%1.24%
201812-4.87%-5.43%-3.73%$19,030$18,838$15,597-4.87%-9.30%2.22%-9.33%1.50%-4.83%
201914.43%5.91%5.07%$19,874$19,952$16,3884.43%8.60%0.91%7.02%1.67%7.65%
201922.45%2.30%1.51%$20,360$20,411$16,6352.45%3.51%-0.11%2.91%0.26%1.68%
201931.56%1.67%1.15%$20,678$20,752$16,8261.56%1.45%2.12%0.57%1.97%0.71%
201942.44%2.61%2.04%$21,183$21,293$17,1692.44%3.98%-0.20%3.38%0.38%2.76%
20195-2.82%-3.78%-3.10%$20,585$20,489$16,636-2.82%-6.43%1.91%-6.33%1.52%-5.51%
201964.38%5.01%4.59%$21,487$21,514$17,4004.38%6.99%1.10%7.17%1.70%5.82%
201971.15%1.03%-0.28%$21,734$21,736$17,3511.15%1.44%0.18%0.76%0.17%-1.91%
201980.37%-0.47%-0.73%$21,815$21,634$17,2250.37%-2.01%2.78%-2.91%2.27%-2.34%
201991.64%0.93%1.62%$22,174$21,836$17,5041.64%1.70%-0.61%3.38%-0.54%2.72%
2019101.43%1.49%1.82%$22,492$22,160$17,8221.43%2.11%0.21%1.86%0.55%3.43%
2019111.68%2.55%1.38%$22,870$22,726$18,0681.68%3.78%-0.03%3.43%-0.06%1.12%
2019122.02%1.95%2.20%$23,333$23,168$18,4662.02%2.86%-0.05%2.73%0.15%4.23%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value41.01%23.25%25.46%
Large-cap Growth15.63%30.63%4.65%
Mid-cap Value0.00%3.07%0.20%
Mid-cap Growth0.00%3.51%0.00%
Small-cap Value0.00%0.55%0.00%
Small-cap Growth0.00%3.40%0.00%
Global ex-US Developed Markets7.29%0.68%21.84%
Emerging Markets0.00%0.44%7.04%
REITs0.00%0.28%0.00%
Corporate Bonds12.38%8.54%18.66%
Long-Term Treasuries4.29%0.65%0.00%
Intermediate-Term Treasuries0.00%8.41%5.16%
Short-Term Treasuries19.39%16.60%17.00%
R Squared97.74%99.81%99.22%
Style analysis is based on monthly returns from Jan 2011 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
VWENXVanguard Wellington Admiral50% to 70% Equity7.440.17%100.00%$13,333100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%65.00%$11,603100.71%
AGGiShares Core US Aggregate Bond ETFIntermediate Core Bond5.650.05%35.00%$1,565-0.71%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VVIAXVanguard Value Index AdmLarge Value0.05%30.00%$4,43042.07%
VFIDXVanguard Interm-Term Investment-Grde AdmCorporate Bond5.410.10%40.00%$2,0855.72%
VTIAXVanguard Total Intl Stock Index AdmiralForeign Large Blend0.11%30.00%$1,95252.21%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/04/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)0.81%0.81%0.59%
Arithmetic Mean (annualized)10.17%10.11%7.34%
Geometric Mean (monthly)0.79%0.78%0.57%
Geometric Mean (annualized)9.87%9.79%7.05%
Volatility (monthly)2.14%2.23%2.14%
Volatility (annualized)7.40%7.72%7.43%
Downside Deviation (monthly)1.22%1.30%1.32%
Max. Drawdown-10.37%-10.20%-12.08%
US Market Correlation0.970.990.92
Beta(*)0.600.640.57
Alpha (annualized)2.02%1.44%-0.27%
R293.41%98.19%85.15%
Sharpe Ratio1.231.170.87
Sortino Ratio2.111.971.40
Treynor Ratio (%)15.2614.1911.36
Calmar Ratio1.601.221.00
Active Return-3.01%-3.10%-5.83%
Tracking Error5.18%4.45%5.87%
Information Ratio-0.58-0.70-0.99
Skewness-0.36-0.41-0.39
Excess Kurtosis0.740.900.74
Historical Value-at-Risk (5%)-3.76%-3.82%-3.93%
Analytical Value-at-Risk (5%)-2.70%-2.82%-2.94%
Conditional Value-at-Risk (5%)-4.28%-4.63%-4.63%
Upside Capture Ratio (%)65.5966.7056.17
Downside Capture Ratio (%)58.6461.6363.27
Safe Withdrawal Rate15.73%15.65%13.87%
Perpetual Withdrawal Rate7.36%7.29%4.92%
Positive Periods75 out of 108 (69.44%)78 out of 108 (72.22%)71 out of 108 (65.74%)
Gain/Loss Ratio1.100.961.06
* 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
1May 2011Sep 20115 monthsJan 20124 months9 months-10.37%
2Oct 2018Dec 20183 monthsMar 20193 months6 months-6.75%
3Jun 2015Sep 20154 monthsApr 20167 months11 months-5.95%
4Feb 2018Mar 20182 monthsAug 20185 months7 months-4.63%
5Apr 2012May 20122 monthsJul 20122 months4 months-4.06%
6May 2019May 20191 monthJun 20191 month2 months-2.82%
7Aug 2013Aug 20131 monthOct 20132 months3 months-2.23%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.61%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-1.53%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsJan 20124 months9 months-10.20%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-9.05%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-5.72%
4Apr 2012May 20122 monthsAug 20123 months5 months-3.97%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-3.93%
6May 2019May 20191 monthJun 20191 month2 months-3.78%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.20%
8Oct 2016Oct 20161 monthNov 20161 month2 months-1.73%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.60%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.48%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsAug 201211 months1 year 4 months-12.08%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.55%
3May 2015Feb 201610 monthsJul 20165 months1 year 3 months-7.58%
4May 2013Jun 20132 monthsJul 20131 month3 months-3.12%
5May 2019May 20191 monthJun 20191 month2 months-3.10%
6Sep 2014Sep 20141 monthFeb 20155 months6 months-2.28%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.07%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-1.81%
9Oct 2016Oct 20161 monthDec 20162 months3 months-1.09%
10Jul 2019Aug 20192 monthsSep 20191 month3 months-1.01%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWENXVanguard Wellington Admiral9.87%7.40%22.61%-3.35%-10.37%1.232.110.97
VTSAXVanguard Total Stock Mkt Idx Adm13.01%11.98%33.52%-5.17%-17.71%1.031.681.00
AGGiShares Core US Aggregate Bond ETF3.36%3.05%8.45%-1.98%-4.07%0.911.61-0.18
VVIAXVanguard Value Index Adm12.26%11.55%33.05%-5.43%-18.40%1.011.640.97
VFIDXVanguard Interm-Term Investment-Grde Adm4.52%3.37%10.49%-1.27%-4.59%1.152.070.08
VTIAXVanguard Total Intl Stock Index Admiral4.47%13.54%27.55%-14.52%-24.33%0.350.500.84

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWENXVTSAXAGGVVIAXVFIDXVTIAXPortfolio 1Portfolio 2Portfolio 3
VWENXVanguard Wellington Admiral1.000.97-0.060.970.210.861.000.970.96
VTSAXVanguard Total Stock Mkt Idx Adm0.971.00-0.180.970.090.840.970.990.92
AGGiShares Core US Aggregate Bond ETF-0.06-0.181.00-0.250.90-0.05-0.06-0.050.02
VVIAXVanguard Value Index Adm0.970.97-0.251.000.010.810.970.950.91
VFIDXVanguard Interm-Term Investment-Grde Adm0.210.090.900.011.000.250.210.200.32
VTIAXVanguard Total Intl Stock Index Admiral0.860.84-0.050.810.251.000.860.840.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWENXVanguard Wellington Admiral$13,333
VTSAXVanguard Total Stock Mkt Idx Adm$11,603
AGGiShares Core US Aggregate Bond ETF$1,565
VVIAXVanguard Value Index Adm$4,430
VFIDXVanguard Interm-Term Investment-Grde Adm$2,085
VTIAXVanguard Total Intl Stock Index Admiral$1,952

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWENXVanguard Wellington Admiral100.00%
VTSAXVanguard Total Stock Mkt Idx Adm100.71%
AGGiShares Core US Aggregate Bond ETF-0.71%
VVIAXVanguard Value Index Adm42.07%
VFIDXVanguard Interm-Term Investment-Grde Adm5.72%
VTIAXVanguard Total Intl Stock Index Admiral52.21%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.18%22.61%-3.35%10.11%22.98%-3.24%7.36%18.39%-6.15%
3 years9.87%14.03%6.93%9.82%14.34%6.49%7.20%10.83%4.01%
5 years9.10%10.95%6.29%9.01%10.96%6.09%6.47%8.09%3.98%
7 years9.84%10.35%9.02%9.78%10.42%8.95%7.18%7.53%6.70%
Result statistics are based on annualized rolling returns over full calendar year periods