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 2000 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 15.00%
VIVAX Vanguard Value Index Inv 15.00%
VISVX Vanguard Small Cap Value Index Inv 30.00%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 10.00%
DEMSX DFA Emerging Markets Small Cap I 10.00%
VTMGX Vanguard Developed Markets Index Admiral 5.00%
VTRIX Vanguard International Value Inv 5.00%
DISVX DFA International Small Cap Value I 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$52,300 8.20% 16.99%43.99%-39.62%-55.47% 0.460.650.95
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 119.92%8.71%8.71%5.50%10.42%8.68%8.20%21.08%17.18%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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 500 Index Investor (VFINX)Vanguard Value Index Inv (VIVAX)Vanguard Small Cap Value Index Inv (VISVX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)DFA Emerging Markets Small Cap I (DEMSX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard International Value Inv (VTRIX)DFA International Small Cap Value I (DISVX)
20003.39%-1.22%$9,878-9.06%6.08%21.88%-27.56%-31.84%-14.29%-7.42%-3.08%
20011.55%-2.28%$9,653-12.02%-11.88%13.70%-2.88%-2.59%-21.94%-14.05%-4.59%
20022.38%-12.35%$8,461-22.15%-20.91%-14.20%-7.43%-0.18%-15.62%-13.35%5.79%
20031.88%43.99%$12,18328.50%32.25%37.19%57.65%72.80%38.67%41.90%66.48%
20043.26%21.95%$14,85710.74%15.28%23.55%26.12%28.88%20.25%19.77%34.80%
20053.42%13.28%$16,8314.77%7.09%6.07%32.05%25.75%13.60%17.96%23.23%
20062.54%23.63%$20,80815.64%22.15%19.24%29.39%37.31%26.27%27.37%28.39%
20074.08%7.88%$22,4475.39%0.09%-7.07%38.90%38.02%11.15%12.66%2.95%
20080.09%-39.62%$13,554-37.02%-35.97%-32.05%-52.81%-54.53%-41.27%-41.74%-41.68%
20092.72%40.63%$19,06226.49%19.58%30.34%75.98%99.74%28.27%33.77%39.51%
20101.50%19.32%$22,74514.91%14.28%24.82%18.86%30.18%8.36%7.31%18.10%
20112.96%-8.05%$20,9151.97%1.00%-4.16%-18.78%-22.62%-12.51%-14.58%-17.46%
20121.74%18.66%$24,81815.82%15.00%18.56%18.64%24.44%18.56%20.18%22.26%
20131.50%25.47%$31,13932.18%32.85%36.41%-5.19%-1.38%22.06%22.15%32.39%
20140.76%6.33%$33,10913.51%13.05%10.39%0.42%3.00%-5.66%-6.69%-4.99%
20150.73%-3.75%$31,8681.25%-1.03%-4.78%-15.47%-8.70%-0.18%-6.44%3.99%
20162.07%15.07%$36,67011.82%16.75%24.65%11.50%10.92%2.45%4.46%8.00%
20172.11%21.46%$44,53721.67%16.99%11.67%31.15%35.26%26.40%27.96%27.98%
20181.91%-12.22%$39,095-4.52%-5.55%-12.34%-14.71%-17.56%-14.46%-14.52%-23.31%
20192.29%23.06%$48,10931.33%25.67%22.61%20.13%14.89%22.05%20.39%21.00%
20201.36%8.71%$52,30018.25%2.18%5.72%15.05%13.80%10.26%8.99%0.81%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Value Index Inv (VIVAX)Vanguard Small Cap Value Index Inv (VISVX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)DFA Emerging Markets Small Cap I (DEMSX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard International Value Inv (VTRIX)DFA International Small Cap Value I (DISVX)
20001-3.96%$9,604-5.03%-3.19%-5.21%-4.88%1.91%-6.52%-7.80%-1.56%
20002-0.00%$9,603-1.91%-6.27%4.62%3.53%-1.28%2.86%-5.03%-2.44%
200034.91%$10,0759.75%10.39%3.92%-0.90%-0.30%3.83%7.67%3.87%
20004-2.72%$9,801-3.00%-0.67%0.71%-7.47%-7.30%-5.36%-0.95%-6.25%
20005-1.70%$9,635-2.04%0.31%-1.53%-5.32%-5.50%-2.39%0.56%1.54%
200062.59%$9,8842.49%-3.94%2.86%6.27%-0.23%3.90%6.75%8.71%
20007-0.83%$9,802-1.50%2.06%1.97%-5.20%-3.32%-4.19%-3.25%-3.72%
200084.10%$10,2046.19%6.64%5.91%1.49%-0.36%0.91%-1.86%1.81%
20009-2.70%$9,928-5.29%-0.03%-0.21%-6.14%-6.29%-4.87%-4.84%-3.20%
200010-1.45%$9,784-0.43%1.86%0.65%-7.61%-7.98%-2.37%-0.19%-5.26%
200011-5.67%$9,230-7.89%-5.08%-6.52%-9.82%-6.47%-3.69%-2.03%1.29%
2000127.03%$9,8780.51%5.19%14.34%5.95%0.08%3.44%4.53%3.10%
200115.71%$10,4433.55%4.24%7.98%11.76%5.60%-0.10%2.92%2.75%
20012-5.70%$9,848-9.14%-6.67%-4.13%-8.70%-6.27%-7.50%-6.23%1.02%
20013-5.94%$9,263-6.36%-3.97%-4.16%-10.42%-8.23%-6.62%-9.04%-5.18%
200146.69%$9,8827.77%6.81%6.02%9.29%2.62%7.66%7.88%7.46%
200151.10%$9,9910.65%1.01%2.58%1.47%1.09%-4.14%-1.34%0.50%
20016-0.13%$9,978-2.45%-3.22%4.13%-2.12%0.18%-4.10%-3.33%-0.86%
20017-1.96%$9,783-1.00%-1.74%-1.16%-6.74%-1.80%-1.85%-0.85%-2.24%
20018-2.36%$9,552-6.27%-5.80%-1.57%-0.98%-0.73%-2.47%-1.63%2.16%
20019-12.41%$8,367-8.09%-9.53%-14.31%-15.57%-15.31%-10.25%-12.57%-10.96%
2001103.41%$8,6521.90%0.00%4.64%6.59%5.01%2.55%2.64%2.80%
2001116.99%$9,2577.65%6.33%8.09%9.34%10.58%3.01%5.93%0.54%
2001124.28%$9,6530.87%1.47%7.30%7.73%7.64%0.71%2.62%-1.50%
200210.48%$9,700-1.47%-2.75%1.85%2.87%7.72%-5.26%-2.67%-0.99%
200220.19%$9,718-1.94%-0.87%-0.29%2.67%-0.98%0.68%1.91%3.98%
200236.08%$10,3093.74%5.11%8.72%4.52%6.25%5.92%5.39%4.79%
200240.50%$10,360-6.07%-5.03%4.06%0.32%2.79%0.13%1.60%3.92%
20025-0.58%$10,301-0.75%0.39%-3.82%-0.43%-0.90%1.78%2.01%6.28%
20026-5.32%$9,753-7.13%-6.32%-4.24%-8.23%-6.53%-3.99%-5.06%-1.77%
20027-10.45%$8,734-7.72%-10.78%-16.20%-8.50%-4.72%-9.87%-9.21%-5.29%
200280.29%$8,7590.65%0.73%-0.11%1.42%1.19%-0.29%-1.89%-0.25%
20029-9.49%$7,928-10.87%-11.48%-7.42%-10.69%-11.47%-10.98%-11.03%-6.62%
2002104.41%$8,2778.78%8.35%2.07%6.55%4.19%5.52%5.17%-0.95%
2002115.67%$8,7465.88%7.02%5.36%7.09%7.68%4.62%5.07%2.20%
200212-3.26%$8,461-5.89%-5.23%-2.71%-3.27%-3.40%-3.33%-3.81%1.23%
20031-2.24%$8,272-2.62%-2.80%-4.11%0.13%1.80%-4.20%-4.04%0.27%
20032-2.40%$8,073-1.52%-2.74%-3.67%-3.80%-1.06%-2.27%-2.60%0.54%
20033-0.64%$8,0210.96%-0.15%-0.38%-2.04%-0.89%-1.99%-3.18%-0.94%
200349.56%$8,7888.25%9.96%9.06%8.75%12.97%9.83%9.57%9.52%
200357.27%$9,4275.26%7.93%7.60%6.39%7.50%6.02%5.95%10.06%
200362.86%$9,6971.26%1.34%1.74%5.88%4.30%2.47%4.04%5.64%
200373.50%$10,0361.74%0.97%4.49%7.03%1.99%2.70%6.32%4.06%
200383.66%$10,4041.93%1.68%3.37%6.36%6.00%2.21%2.51%5.54%
200391.00%$10,507-1.07%-0.41%-0.49%0.80%3.82%2.98%1.29%5.64%
2003106.85%$11,2275.64%5.19%7.06%9.09%8.62%6.31%8.01%5.71%
2003112.02%$11,4530.86%1.31%3.90%1.09%1.98%2.22%2.00%0.44%
2003126.37%$12,1835.22%6.91%4.46%7.78%9.93%7.81%6.75%6.27%
200412.73%$12,5161.82%1.58%2.70%3.12%2.97%1.37%2.55%6.10%
200422.63%$12,8461.38%1.92%2.54%4.17%4.22%2.36%2.12%3.07%
200430.74%$12,942-1.51%-1.37%1.74%0.39%1.68%0.57%-0.51%4.20%
20044-4.20%$12,398-1.58%-2.03%-5.52%-7.90%-5.63%-2.74%-2.45%-3.52%
200450.29%$12,4341.36%0.95%1.72%-0.85%-4.22%0.67%0.37%-0.99%
200462.99%$12,8061.93%2.68%4.99%-0.09%0.83%2.68%2.17%4.55%
20047-2.60%$12,473-3.31%-1.39%-3.54%-1.80%0.64%-3.59%-2.96%-3.48%
200481.65%$12,6790.38%1.51%1.42%4.10%3.30%0.45%1.36%1.23%
200493.02%$13,0621.07%1.13%3.37%5.62%5.56%2.70%3.20%2.66%
2004101.98%$13,3201.51%1.43%1.51%2.30%2.45%3.28%2.16%3.26%
2004117.29%$14,2914.05%4.63%8.08%10.17%9.47%6.89%6.45%8.75%
2004123.96%$14,8573.39%3.46%3.02%5.32%5.30%4.38%4.10%5.16%
20051-1.39%$14,651-2.45%-1.97%-3.72%-0.14%2.78%-1.94%-1.13%2.79%
200524.00%$15,2372.09%3.25%2.30%8.87%6.33%4.24%5.40%4.74%
20053-2.87%$14,800-1.76%-1.61%-1.88%-6.70%-6.97%-2.44%-3.20%-0.94%
20054-2.70%$14,400-1.91%-1.37%-3.85%-2.89%-3.68%-1.94%-2.34%-1.95%
200552.73%$14,7933.17%2.11%5.39%3.39%1.95%-0.40%0.49%-1.49%
200562.25%$15,1250.13%0.99%3.87%3.28%2.53%1.09%1.05%2.35%
200574.72%$15,8393.71%2.99%5.70%6.87%5.48%3.24%4.27%3.80%
200580.04%$15,845-0.91%-0.36%-2.13%0.97%0.65%3.24%3.04%3.90%
200592.73%$16,2790.79%1.42%0.54%8.64%6.56%4.15%4.18%2.34%
200510-3.30%$15,741-1.68%-2.53%-2.98%-6.57%-4.88%-2.83%-3.84%-2.32%
2005114.22%$16,4063.76%3.48%3.77%7.98%7.13%1.82%3.63%1.86%
2005122.59%$16,8310.02%0.73%-0.43%6.16%6.55%5.04%5.73%6.44%
200616.56%$17,9352.65%3.23%7.07%11.48%9.65%6.18%8.01%7.33%
200620.07%$17,9480.26%0.65%0.13%-1.46%1.05%-0.66%-0.82%0.21%
200632.61%$18,4171.23%1.33%3.58%1.24%1.83%3.58%3.70%4.77%
200643.06%$18,9811.33%2.61%0.06%7.12%8.12%4.86%4.73%4.15%
20065-5.04%$18,023-2.90%-2.34%-3.83%-10.74%-10.53%-3.42%-4.30%-4.80%
20066-0.24%$17,9790.13%0.70%1.09%-0.20%-4.41%-0.31%-0.21%-1.86%
200670.47%$18,0650.61%2.69%-1.46%1.19%2.30%1.03%1.37%-0.36%
200682.35%$18,4902.36%1.70%2.32%2.05%3.47%2.66%2.14%2.55%
200691.44%$18,7562.56%2.09%0.88%0.72%2.77%0.23%0.65%0.95%
2006104.44%$19,5903.25%3.18%4.82%4.75%7.54%3.88%3.42%4.39%
2006113.84%$20,3411.89%2.03%3.04%7.44%7.61%3.07%3.31%4.83%
2006122.29%$20,8081.39%2.42%0.48%4.16%4.54%2.85%2.95%3.75%
200711.47%$21,1141.49%0.94%1.99%-0.58%1.88%1.27%0.87%2.67%
20072-0.55%$20,998-1.97%-1.64%-0.58%-1.28%0.89%0.28%0.12%1.81%
200732.13%$21,4461.11%1.62%0.60%4.11%4.43%2.68%2.23%4.35%
200743.71%$22,2424.42%4.16%1.84%4.23%7.64%3.86%3.67%2.97%
200754.09%$23,1523.48%3.67%3.67%5.96%7.93%2.54%3.68%1.91%
20076-0.51%$23,035-1.68%-2.12%-2.51%4.49%2.99%-0.13%0.78%-0.42%
20077-2.33%$22,499-3.08%-4.49%-7.21%4.30%4.86%-2.17%-1.33%-0.25%
20078-0.37%$22,4151.50%1.31%1.45%-0.94%-4.17%-0.65%-1.44%-4.10%
200794.07%$23,3263.72%3.31%0.89%10.75%6.87%5.31%5.61%2.08%
2007103.87%$24,2291.58%0.22%1.35%12.31%7.50%4.48%4.40%3.94%
200711-6.30%$22,702-4.19%-4.94%-6.74%-7.99%-8.02%-3.75%-4.09%-8.12%
200712-1.12%$22,447-0.70%-1.45%-1.42%-0.38%1.19%-2.64%-2.06%-3.12%
20081-6.36%$21,019-6.02%-4.09%-3.62%-11.08%-12.06%-7.79%-7.96%-6.60%
20082-1.27%$20,751-3.25%-4.78%-3.15%4.65%2.89%-0.70%0.49%2.19%
20083-0.87%$20,572-0.44%-0.38%0.14%-3.80%-4.74%0.11%-0.85%0.93%
200844.82%$21,5634.85%4.14%4.42%8.09%6.12%5.24%6.42%1.70%
200851.90%$21,9711.29%-0.41%4.17%1.84%-0.64%1.35%1.51%2.20%
20086-10.11%$19,750-8.44%-9.53%-11.56%-10.39%-11.52%-8.57%-8.82%-8.74%
20087-0.28%$19,695-0.83%-0.32%4.02%-4.14%-1.57%-3.49%-2.82%-4.44%
20088-0.38%$19,6211.45%1.65%3.87%-7.81%-6.04%-4.29%-4.80%-3.22%
20089-9.95%$17,669-8.91%-6.95%-6.05%-16.25%-18.06%-12.20%-12.29%-14.39%
200810-21.02%$13,955-16.79%-16.55%-21.09%-27.67%-30.34%-20.52%-20.83%-21.76%
200811-7.92%$12,850-7.17%-6.28%-10.49%-7.85%-6.12%-5.98%-6.28%-5.55%
2008125.48%$13,5541.07%1.73%5.38%8.30%14.08%8.40%7.13%9.09%
20091-10.50%$12,131-8.41%-11.44%-13.03%-8.19%-7.69%-12.81%-10.76%-8.43%
20092-11.06%$10,789-10.66%-13.34%-13.96%-6.07%-6.14%-10.50%-9.71%-10.99%
2009310.00%$11,8688.76%8.93%9.39%16.03%13.76%8.01%8.10%6.52%
2009415.35%$13,6899.56%10.30%19.76%16.03%20.25%11.96%11.66%16.21%
2009510.21%$15,0865.62%6.75%3.50%18.27%22.91%13.35%13.73%13.77%
20096-0.63%$14,9920.22%-0.88%-0.10%-2.25%-0.50%-1.18%-1.62%-0.33%
2009710.03%$16,4967.58%8.04%10.64%11.55%12.68%9.53%10.16%9.31%
200984.24%$17,1953.60%5.10%6.12%-0.63%1.19%4.65%4.02%8.66%
200995.64%$18,1653.72%3.37%5.52%9.29%8.34%4.06%5.37%4.71%
200910-3.18%$17,587-1.87%-2.67%-6.32%-1.36%-0.11%-2.36%-2.73%-3.62%
2009114.51%$18,3805.98%6.00%3.67%5.90%5.85%3.26%3.71%0.54%
2009123.71%$19,0621.95%1.21%6.88%3.60%5.51%0.91%0.91%1.17%
20101-3.58%$18,380-3.60%-2.47%-3.06%-6.25%-4.43%-4.75%-5.00%-1.92%
201022.59%$18,8553.09%2.53%5.21%1.07%1.72%0.00%-0.21%-0.95%
201037.37%$20,2466.01%6.16%8.00%8.15%8.54%6.26%7.06%8.12%
201042.50%$20,7521.58%1.78%6.19%0.26%1.61%-2.35%-2.57%1.26%
20105-9.14%$18,855-8.01%-7.79%-7.99%-9.32%-10.09%-11.18%-11.69%-13.46%
20106-4.29%$18,047-5.24%-5.10%-8.04%-0.04%2.65%-1.66%-2.32%-2.01%
201078.14%$19,5167.00%6.54%7.43%9.25%9.18%10.79%11.26%9.73%
20108-4.34%$18,669-4.53%-4.26%-6.70%-2.24%0.48%-3.63%-3.58%-4.67%
2010910.09%$20,5528.92%7.55%10.42%11.18%12.11%10.11%10.00%11.23%
2010103.43%$21,2573.79%2.69%3.57%2.97%3.99%3.87%3.60%3.13%
201011-0.69%$21,1100.00%-0.56%2.30%-2.71%-2.72%-5.11%-4.45%-2.85%
2010127.74%$22,7456.67%7.89%7.55%7.30%5.75%8.33%7.70%12.32%
201110.67%$22,8972.36%2.84%0.62%-2.77%-4.24%2.25%1.68%2.09%
201122.78%$23,5353.42%4.02%4.66%-0.85%-2.95%3.55%2.72%2.90%
201131.28%$23,8350.03%0.04%1.50%5.57%5.55%-2.59%-2.47%0.50%
201143.46%$24,6612.95%2.94%2.40%3.47%5.25%6.37%5.31%4.30%
20115-2.15%$24,129-1.15%-1.36%-2.11%-2.82%-2.29%-2.83%-3.04%-3.43%
20116-1.79%$23,696-1.67%-2.15%-2.10%-1.51%-0.81%-1.30%-1.38%-2.18%
20117-2.24%$23,165-2.05%-3.52%-3.45%-0.82%1.13%-1.97%-1.70%-1.92%
20118-7.77%$21,366-5.45%-5.78%-8.08%-8.54%-9.51%-8.96%-9.31%-9.51%
20119-10.87%$19,043-7.04%-7.07%-10.60%-16.19%-17.79%-10.40%-11.08%-11.80%
20111011.69%$21,26810.91%10.36%14.34%13.51%11.02%9.34%10.82%7.61%
201111-1.50%$20,949-0.23%-0.49%-0.26%-3.41%-4.89%-2.63%-2.52%-3.23%
201112-0.16%$20,9151.02%2.39%1.00%-3.32%-2.65%-2.33%-2.76%-2.66%
201217.13%$22,4064.46%3.42%6.85%11.12%11.27%5.82%7.21%10.01%
201224.50%$23,4134.31%3.92%2.49%5.56%8.17%5.12%5.29%5.96%
201231.00%$23,6473.28%2.89%2.35%-2.86%-2.61%0.22%-0.57%0.13%
20124-1.44%$23,307-0.64%-0.93%-0.89%-1.75%-2.39%-2.29%-2.41%-2.78%
20125-8.11%$21,416-6.02%-5.96%-6.29%-11.08%-9.17%-11.26%-11.18%-12.72%
201264.63%$22,4064.11%4.70%4.28%4.83%3.83%7.19%6.37%4.93%
201270.23%$22,4591.37%1.19%-0.43%0.64%-1.26%0.30%1.09%-0.29%
201282.38%$22,9922.24%1.40%2.95%0.43%2.60%3.15%2.40%3.67%
201293.59%$23,8182.58%3.05%2.87%5.32%5.85%2.82%3.58%4.67%
201210-0.43%$23,714-1.86%-0.52%-0.58%-0.42%-0.39%1.14%0.78%0.93%
2012110.95%$23,9390.56%-0.53%0.82%1.33%1.72%2.43%2.65%1.39%
2012123.67%$24,8180.90%1.90%3.33%5.84%6.15%3.85%4.69%6.24%
201314.86%$26,0235.18%6.37%6.49%0.61%1.84%4.44%3.91%5.13%
201320.82%$26,2371.34%1.52%1.78%-1.74%1.02%-1.36%-1.60%0.60%
201332.64%$26,9293.74%3.90%4.53%-1.54%-0.47%1.48%-0.09%2.04%
201341.68%$27,3811.91%2.19%-0.05%1.32%2.03%5.12%4.80%2.84%
201350.79%$27,5982.33%2.45%3.05%-3.73%-1.45%-3.00%-1.38%-1.97%
20136-2.61%$26,877-1.35%-0.81%-1.13%-6.14%-8.65%-2.88%-3.28%-3.04%
201375.14%$28,2575.07%5.19%6.68%0.97%0.46%5.34%5.62%7.46%
20138-3.26%$27,336-2.91%-3.60%-4.20%-3.18%-4.18%-1.41%-1.52%-1.23%
201395.42%$28,8173.12%2.13%5.31%7.15%7.30%7.52%7.49%9.69%
2013104.17%$30,0214.59%4.56%3.89%4.65%3.84%3.23%4.27%4.18%
2013111.72%$30,5383.03%3.20%2.99%-2.02%-1.42%0.69%0.59%0.15%
2013121.97%$31,1392.51%2.05%2.68%-0.96%-0.83%1.59%2.00%3.33%
20141-3.69%$29,991-3.47%-3.59%-2.83%-7.27%-4.28%-4.57%-5.19%-1.38%
201424.81%$31,4354.56%3.94%5.03%3.42%4.42%5.73%5.28%6.88%
201431.67%$31,9580.82%2.58%1.32%3.86%3.43%-0.42%0.11%0.65%
201440.10%$31,9890.72%0.89%-1.16%0.51%0.82%1.51%0.91%-0.42%
201452.02%$32,6362.33%1.43%1.59%3.72%3.39%1.63%2.26%0.79%
201462.73%$33,5262.05%1.88%4.29%3.00%2.57%1.06%1.79%1.57%
20147-2.22%$32,783-1.39%-1.27%-4.71%1.46%0.23%-2.27%-2.14%-3.51%
201483.41%$33,9003.98%3.46%5.15%3.57%3.06%0.30%0.03%0.66%
20149-4.30%$32,443-1.41%-1.33%-5.65%-7.16%-4.98%-4.19%-3.70%-5.82%
2014102.02%$33,0992.42%1.90%4.94%2.31%-0.88%-0.47%-0.30%-2.20%
2014110.80%$33,3652.68%2.39%1.04%-1.00%-1.17%0.08%-0.49%-0.72%
201412-0.77%$33,109-0.26%0.33%1.70%-4.97%-3.08%-3.73%-4.93%-1.10%
20151-1.89%$32,483-3.02%-4.04%-3.31%0.67%1.61%0.90%-0.94%-0.65%
201525.33%$34,2145.74%5.25%5.71%3.53%2.57%5.94%6.45%7.47%
20153-0.72%$33,966-1.59%-1.58%1.22%-2.08%-0.77%-1.26%-1.20%-1.96%
201542.45%$34,7970.95%1.57%-1.26%7.79%7.10%4.07%4.86%5.03%
201550.35%$34,9201.27%1.09%1.35%-3.38%-1.41%-0.15%-0.73%1.56%
20156-2.06%$34,202-1.93%-2.17%-1.45%-2.39%-3.43%-2.79%-2.77%-1.39%
20157-1.23%$33,7802.08%0.95%-1.01%-6.81%-6.11%1.25%-0.14%-1.23%
20158-6.28%$31,657-6.05%-5.82%-4.81%-9.32%-9.81%-7.28%-7.72%-4.27%
20159-3.10%$30,677-2.48%-2.49%-3.58%-3.25%-0.16%-4.08%-6.03%-3.99%
2015106.72%$32,7388.42%7.57%6.59%5.57%5.53%6.82%7.16%5.25%
201511-0.18%$32,6790.29%0.40%1.33%-3.25%-2.05%-0.90%-1.32%-0.77%
201512-2.48%$31,868-1.59%-1.01%-4.90%-2.45%-0.92%-1.81%-3.10%-0.39%
20161-5.90%$29,989-4.98%-4.75%-6.46%-6.05%-5.97%-5.75%-5.44%-7.39%
20162-0.01%$29,984-0.15%0.10%1.58%-0.87%-0.42%-2.96%-2.31%-0.87%
201638.74%$32,6066.78%6.55%8.91%13.04%12.31%7.13%7.69%8.04%
201641.81%$33,1960.37%1.53%2.05%0.78%2.50%2.43%2.52%3.41%
20165-0.09%$33,1661.78%1.13%1.44%-3.40%-4.18%-0.42%-1.70%-0.79%
201660.58%$33,3580.25%1.06%0.08%5.04%5.53%-2.25%-0.64%-5.61%
201674.54%$34,8733.68%2.86%4.68%4.67%5.81%4.41%3.65%7.20%
201680.66%$35,1020.13%0.62%0.72%1.67%0.60%0.51%0.65%0.37%
201690.73%$35,3580.01%-0.47%0.31%1.27%1.63%1.40%1.64%2.74%
201610-1.60%$34,792-1.83%-1.15%-3.01%0.63%-0.39%-2.33%-1.64%-0.82%
2016113.22%$35,9133.70%5.96%10.26%-4.36%-6.08%-1.53%-0.99%-0.57%
2016122.11%$36,6701.96%2.64%2.82%-0.16%0.57%2.49%1.55%3.15%
201712.46%$37,5711.88%0.61%0.66%4.94%5.82%3.66%3.97%4.31%
201722.83%$38,6353.96%3.62%2.06%3.28%5.25%0.99%0.82%1.31%
201730.70%$38,9050.10%-0.99%-0.78%2.25%3.10%3.00%3.09%1.94%
201741.07%$39,3201.02%-0.03%0.44%1.39%1.27%2.30%2.62%2.54%
201750.26%$39,4201.39%0.11%-2.37%1.22%0.37%3.41%3.38%1.86%
201761.36%$39,9570.61%1.71%2.40%0.78%0.62%0.57%-0.30%1.81%
201772.56%$40,9782.04%1.54%0.95%5.35%4.19%2.94%3.66%3.77%
201780.21%$41,0660.29%-0.44%-1.44%3.05%2.30%0.07%-0.05%0.49%
201792.56%$42,1172.06%3.00%4.91%-0.78%-0.49%2.40%3.01%3.18%
2017101.67%$42,8212.32%1.80%0.85%2.44%2.85%1.87%1.37%0.86%
2017112.16%$43,7453.06%3.50%3.14%0.21%1.53%0.85%1.55%0.09%
2017121.81%$44,5371.10%1.49%0.50%3.49%3.99%1.68%1.90%2.86%
201814.60%$46,5865.71%4.76%1.98%8.39%6.54%4.86%5.22%4.40%
20182-4.50%$44,488-3.69%-4.36%-4.78%-4.73%-4.25%-5.23%-4.31%-4.92%
20183-0.96%$44,061-2.56%-2.53%0.82%-1.22%-0.57%-0.47%-1.30%-1.54%
201840.22%$44,1600.37%0.45%0.35%-2.03%-0.99%1.55%0.61%2.00%
201850.78%$44,5062.39%0.62%4.50%-2.86%-2.21%-1.60%-2.41%-2.88%
20186-1.27%$43,9400.61%0.15%0.34%-4.50%-6.74%-1.53%-1.41%-2.56%
201872.91%$45,2173.71%4.69%2.52%3.18%1.60%2.32%2.50%1.57%
201880.48%$45,4343.25%1.93%2.40%-3.55%-2.93%-1.91%-2.06%-2.95%
20189-0.67%$45,1280.55%0.56%-1.74%-1.31%-3.22%0.73%0.60%0.46%
201810-7.92%$41,553-6.85%-4.98%-9.01%-7.58%-9.48%-8.49%-7.43%-9.93%
2018112.43%$42,5622.03%3.36%2.37%4.45%6.14%0.39%0.75%-1.87%
201812-8.14%$39,095-9.04%-9.34%-11.44%-2.97%-1.85%-5.37%-5.65%-7.13%
201918.66%$42,4818.00%7.02%11.19%8.52%7.36%7.36%6.88%7.51%
201922.68%$43,6213.20%2.89%3.95%0.65%0.30%2.18%2.04%2.68%
20193-0.07%$43,5921.94%0.56%-1.95%1.90%1.04%0.42%0.34%-1.58%
201943.24%$45,0044.04%3.38%3.92%2.08%0.93%2.90%3.19%3.32%
20195-6.83%$41,930-6.36%-6.33%-8.08%-6.45%-4.96%-5.26%-6.01%-7.81%
201966.31%$44,5757.03%7.15%6.76%5.42%5.04%5.93%5.61%5.15%
20197-0.12%$44,5191.43%0.74%0.77%-1.19%-2.44%-2.09%-1.78%-1.56%
20198-3.60%$42,916-1.59%-2.91%-5.42%-3.76%-4.20%-1.91%-3.11%-2.54%
201992.98%$44,1961.86%3.34%3.91%1.33%1.91%3.09%3.77%3.65%
2019102.60%$45,3452.15%1.86%1.68%3.87%3.83%3.26%3.10%4.38%
2019112.08%$46,2893.62%3.43%2.52%0.15%-0.90%1.40%1.26%1.67%
2019123.93%$48,1093.01%2.72%2.77%6.96%6.91%3.49%4.19%5.36%
20201-3.27%$46,534-0.05%-2.52%-3.41%-5.05%-5.18%-2.76%-3.57%-5.27%
20202-8.44%$42,605-8.24%-9.85%-10.21%-3.71%-5.97%-7.56%-7.43%-9.38%
20203-19.45%$34,318-12.37%-14.66%-24.93%-17.52%-23.24%-15.52%-17.43%-22.76%
2020411.55%$38,28112.81%10.69%12.95%9.29%13.95%7.67%7.34%11.22%
202054.01%$39,8154.76%2.80%4.73%2.33%2.58%5.56%4.04%4.98%
202062.83%$40,9431.98%-0.97%2.07%7.16%8.24%3.40%3.04%2.25%
202074.57%$42,8165.63%3.60%3.32%8.38%7.61%2.64%2.76%2.36%
202084.74%$44,8477.18%4.24%4.61%2.26%2.94%5.07%4.19%6.52%
20209-2.75%$43,611-3.81%-2.23%-3.77%-1.67%-0.66%-2.01%-2.88%-2.51%
202010-0.37%$43,450-2.67%-2.06%3.02%1.94%-0.15%-3.73%-1.87%-3.51%
20201113.86%$49,47210.94%12.83%17.69%8.22%12.20%14.78%17.30%15.72%
2020125.72%$52,3003.84%3.61%6.66%5.89%6.61%5.81%7.36%7.31%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value20.87%
Large-cap Growth6.75%
Mid-cap Value17.88%
Mid-cap Growth0.00%
Small-cap Value13.94%
Small-cap Growth0.00%
Global ex-US Developed Markets21.51%
Emerging Markets19.04%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.29%
Style analysis is based on monthly returns from April 2005 to December 2020 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
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VFINXVanguard 500 Index InvestorLarge Blend15.00%1.12%1.16%0.14%0.14%24.91$7,37412.51%
VIVAXVanguard Value Index InvLarge Value15.00%2.04%2.08%0.17%0.17%17.73$5,92912.73%
VISVXVanguard Small Cap Value Index InvSmall Value30.00%1.37%1.54%0.19%0.19%13.90$13,30932.34%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts10.00%2.08%0.29%0.29%13.20$4,11411.43%
DEMSXDFA Emerging Markets Small Cap IDiversified Emerging Mkts10.00%2.24%0.60%0.80%11.32$4,99911.52%
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend5.00%2.52%0.07%0.07%16.28$1,3914.72%
VTRIXVanguard International Value InvForeign Large Value5.00%1.53%0.35%0.35%19.25$1,4364.93%
DISVXDFA International Small Cap Value IForeign Small/Mid Value10.00%2.06%0.49%0.49%10.62$3,7479.82%
100.00%0.89%1.79%0.26%0.28%15.86$42,300100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/03/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.78%
Arithmetic Mean (annualized)9.79%
Geometric Mean (monthly)0.66%
Geometric Mean (annualized)8.20%
Standard Deviation (monthly)4.90%
Standard Deviation (annualized)16.99%
Downside Deviation (monthly)3.39%
Max. Drawdown-55.47%
US Market Correlation0.95
Beta(*)1.03
Alpha (annualized)1.17%
R289.96%
Sharpe Ratio0.46
Sortino Ratio0.65
Treynor Ratio (%)7.57
Calmar Ratio0.19
Active Return1.25%
Tracking Error5.40%
Information Ratio0.23
Skewness-0.75
Excess Kurtosis2.52
Historical Value-at-Risk (5%)-8.13%
Analytical Value-at-Risk (5%)-7.29%
Conditional Value-at-Risk (5%)-11.62%
Upside Capture Ratio (%)105.05
Downside Capture Ratio (%)99.68
Safe Withdrawal Rate7.53%
Perpetual Withdrawal Rate5.63%
Positive Periods155 out of 252 (61.51%)
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
Dotcom CrashMar 2000Oct 2002-24.09%
Subprime CrisisNov 2007Mar 2009-55.47%
COVID-19 StartJan 2020Mar 2020-28.67%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-55.47%
2Jan 2020Mar 20203 monthsNov 20208 months11 months-28.67%
3Feb 2001Sep 20021 year 8 monthsSep 20031 year2 years 8 months-24.09%
4May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-22.78%
5Feb 2018Dec 201811 monthsDec 20191 year1 year 11 months-16.08%
6Jun 2015Feb 20169 monthsAug 20166 months1 year 3 months-14.13%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-9.55%
8Mar 2005Apr 20052 monthsJul 20053 months5 months-5.50%
9May 2006Jun 20062 monthsOct 20064 months6 months-5.27%
10Apr 2000May 20002 monthsAug 20003 months5 months-4.37%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor6.50%15.18%32.18%-37.02%-50.97%0.390.550.99
VIVAXVanguard Value Index Inv6.42%15.47%32.85%-35.97%-54.86%0.380.530.94
VISVXVanguard Small Cap Value Index Inv9.52%19.47%37.19%-32.05%-56.13%0.490.690.90
VEIEXVanguard Emerging Mkts Stock Idx Inv6.89%21.80%75.98%-52.81%-62.70%0.340.500.80
DEMSXDFA Emerging Markets Small Cap I8.91%22.24%99.74%-54.53%-63.34%0.430.620.77
VTMGXVanguard Developed Markets Index Admiral3.78%17.14%38.67%-41.27%-57.06%0.210.290.88
VTRIXVanguard International Value Inv4.88%17.79%41.90%-41.74%-55.90%0.270.380.87
DISVXDFA International Small Cap Value I8.79%18.56%66.48%-41.68%-57.69%0.460.670.80

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
Vanguard 500 Index Investor12.12%18.25%18.25%14.03%15.07%13.72%0.14%0.14%
Vanguard Value Index Inv14.50%2.18%2.18%6.64%10.62%11.08%0.17%0.17%
Vanguard Small Cap Value Index Inv29.31%5.72%5.72%4.35%9.60%9.93%0.19%0.19%
Vanguard Emerging Mkts Stock Idx Inv16.81%15.05%15.05%5.64%11.51%2.95%0.29%0.29%
DFA Emerging Markets Small Cap I19.43%13.80%13.80%2.53%10.09%3.74%0.60%0.80%
Vanguard Developed Markets Index Admiral16.93%10.26%10.26%4.81%8.31%5.92%0.07%0.07%
Vanguard International Value Inv23.57%8.99%8.99%3.90%8.43%5.08%0.35%0.35%
DFA International Small Cap Value I19.81%0.81%0.81%-2.20%5.27%5.49%0.49%0.49%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVIVAXVISVXVEIEXDEMSXVTMGXVTRIXDISVXPortfolio 1
VFINXVanguard 500 Index Investor1.000.960.870.780.750.870.870.780.93
VIVAXVanguard Value Index Inv0.961.000.890.740.730.860.860.780.93
VISVXVanguard Small Cap Value Index Inv0.870.891.000.740.730.810.820.790.94
VEIEXVanguard Emerging Mkts Stock Idx Inv0.780.740.741.000.950.870.880.820.89
DEMSXDFA Emerging Markets Small Cap I0.750.730.730.951.000.850.860.840.88
VTMGXVanguard Developed Markets Index Admiral0.870.860.810.870.851.000.970.920.94
VTRIXVanguard International Value Inv0.870.860.820.880.860.971.000.920.94
DISVXDFA International Small Cap Value I0.780.780.790.820.840.920.921.000.90

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$7,374
VIVAXVanguard Value Index Inv$5,929
VISVXVanguard Small Cap Value Index Inv$13,309
VEIEXVanguard Emerging Mkts Stock Idx Inv$4,114
DEMSXDFA Emerging Markets Small Cap I$4,999
VTMGXVanguard Developed Markets Index Admiral$1,391
VTRIXVanguard International Value Inv$1,436
DISVXDFA International Small Cap Value I$3,747

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor12.51%
VIVAXVanguard Value Index Inv12.73%
VISVXVanguard Small Cap Value Index Inv32.34%
VEIEXVanguard Emerging Mkts Stock Idx Inv11.43%
DEMSXDFA Emerging Markets Small Cap I11.52%
VTMGXVanguard Developed Markets Index Admiral4.72%
VTRIXVanguard International Value Inv4.93%
DISVXDFA International Small Cap Value I9.82%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.34%74.76%-48.01%
3 years9.14%31.92%-15.60%
5 years9.23%24.09%-3.43%
7 years8.85%15.72%1.51%
10 years8.64%14.99%5.27%
15 years8.95%12.21%5.77%