Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2011 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 23.15%
VTWO Vanguard Russell 2000 ETF 23.15%
VNQ Vanguard Real Estate ETF 10.50%
EWJ iShares MSCI Japan ETF 11.60%
VWO Vanguard FTSE Emerging Markets ETF 15.80%
VGK Vanguard FTSE Europe ETF 15.80%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,809 9.06% 14.38%25.69%-10.57%-24.00% 0.640.950.96
Portfolio 2$10,000$24,429 9.34% 14.33%26.82%-9.76%-22.15% 0.660.990.97
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 117.79%13.60%13.60%8.49%11.36%9.06%9.06%18.95%15.57%
Portfolio 215.50%16.61%16.61%10.09%12.51%9.34%9.34%18.64%15.29%
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 1Portfolio 2iShares Core S&P 500 ETF (IVV)Vanguard Russell 2000 ETF (VTWO)Vanguard Real Estate ETF (VNQ)iShares MSCI Japan ETF (EWJ)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard FTSE Europe ETF (VGK)Vanguard Total World Stock ETF (VT)
ReturnBalanceReturnBalance
20112.96%-6.20%$9,380-7.50%$9,2501.86%-4.40%8.62%-14.78%-18.76%-11.64%-7.50%
20121.74%16.85%$10,96017.12%$10,83316.06%16.27%17.63%9.22%19.20%21.57%17.12%
20131.50%22.78%$13,45722.95%$13,31932.30%38.76%2.31%25.97%-4.92%24.38%22.95%
20140.76%5.63%$14,2153.67%$13,80813.56%5.01%30.36%-6.24%-0.07%-7.10%3.67%
20150.73%-2.22%$13,900-1.86%$13,5511.30%-4.44%2.42%9.17%-15.81%-1.94%-1.86%
20162.07%10.86%$15,4098.51%$14,70512.16%21.37%8.60%2.78%12.21%-0.37%8.51%
20172.11%21.00%$18,64524.49%$18,30721.76%14.68%4.91%24.27%31.48%26.99%24.49%
20181.91%-10.57%$16,675-9.76%$16,520-4.47%-11.14%-6.02%-14.10%-14.77%-14.91%-9.76%
20192.29%25.69%$20,95926.82%$20,95031.25%25.81%28.87%19.33%20.76%24.86%26.82%
20201.36%13.60%$23,80916.61%$24,42918.40%20.20%-4.68%15.41%15.19%6.11%16.61%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2iShares Core S&P 500 ETF (IVV)Vanguard Russell 2000 ETF (VTWO)Vanguard Real Estate ETF (VNQ)iShares MSCI Japan ETF (EWJ)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard FTSE Europe ETF (VGK)Vanguard Total World Stock ETF (VT)
ReturnBalanceReturnBalance
201110.85%$10,0851.40%$10,1402.30%-0.36%3.25%0.18%-3.45%3.69%1.40%
201123.59%$10,4472.93%$10,4373.46%5.05%4.71%5.49%-0.17%3.12%2.93%
20113-0.08%$10,438-0.06%$10,431-0.00%2.98%-1.62%-10.49%5.47%-1.03%-0.06%
201143.99%$10,8554.35%$10,8852.95%2.60%5.75%2.03%3.37%8.32%4.35%
20115-1.76%$10,664-2.27%$10,638-1.19%-1.93%1.37%-2.47%-2.94%-2.84%-2.27%
20116-1.53%$10,500-1.34%$10,496-1.68%-2.24%-3.30%2.44%-1.00%-2.09%-1.34%
20117-1.67%$10,324-2.15%$10,270-1.97%-3.53%1.56%2.68%-0.62%-4.60%-2.15%
20118-7.88%$9,510-7.25%$9,525-5.52%-9.56%-5.62%-8.03%-9.09%-9.28%-7.25%
20119-10.39%$8,522-10.72%$8,504-6.80%-10.43%-10.85%-3.96%-18.44%-12.24%-10.72%
20111011.76%$9,52411.27%$9,46210.65%15.23%14.29%-0.63%15.91%12.42%11.27%
201111-1.34%$9,397-1.24%$9,345-0.32%-0.68%-3.80%0.32%-1.71%-2.87%-1.24%
201112-0.18%$9,380-1.02%$9,2501.06%0.79%4.85%-2.26%-4.17%-2.31%-1.02%
201216.50%$9,9905.47%$9,7554.61%7.07%6.38%4.83%10.78%5.45%5.47%
201223.73%$10,3624.77%$10,2204.21%2.70%-1.15%4.61%5.43%5.42%4.77%
201231.59%$10,5271.17%$10,3403.29%2.27%5.19%1.90%-2.60%0.07%1.17%
20124-1.44%$10,376-1.18%$10,218-0.66%-1.53%2.86%-4.32%-2.09%-2.50%-1.18%
20125-7.97%$9,548-8.93%$9,305-6.01%-6.68%-4.51%-8.73%-10.67%-11.97%-8.93%
201265.61%$10,0845.13%$9,7834.20%5.18%5.52%6.88%5.02%8.27%5.13%
20127-0.16%$10,0670.72%$9,8541.24%-1.10%2.00%-4.46%0.20%0.33%0.72%
201282.14%$10,2822.48%$10,0982.48%3.05%-0.01%0.78%0.25%4.68%2.48%
201292.48%$10,5373.11%$10,4122.34%3.13%-1.86%1.21%5.31%2.94%3.11%
201210-1.04%$10,427-0.60%$10,349-2.02%-2.24%-0.91%-1.20%-0.55%1.77%-0.60%
2012111.24%$10,5561.53%$10,5070.87%0.64%-0.26%2.98%1.28%2.48%1.53%
2012123.82%$10,9603.10%$10,8330.95%3.45%3.72%5.61%7.06%4.30%3.10%
201313.99%$11,3974.01%$11,2675.11%6.33%3.74%2.26%0.07%4.28%4.01%
201320.13%$11,412-0.31%$11,2321.36%1.29%1.22%2.41%-2.36%-3.40%-0.31%
201332.73%$11,7242.35%$11,4963.68%4.25%2.87%5.78%-1.27%0.33%2.35%
201343.07%$12,0842.68%$11,8041.96%-0.31%6.73%8.33%2.00%4.54%2.68%
20135-0.80%$11,987-0.56%$11,7382.40%3.95%-5.98%-7.35%-5.07%0.02%-0.56%
20136-1.57%$11,799-2.66%$11,426-1.59%-0.18%-1.98%3.94%-5.33%-4.42%-2.66%
201374.30%$12,3075.16%$12,0165.39%6.69%0.90%0.00%0.70%7.63%5.16%
20138-3.27%$11,905-2.46%$11,721-3.04%-3.10%-6.98%-3.12%-3.43%-1.47%-2.46%
201395.98%$12,6165.59%$12,3763.24%6.48%3.49%9.66%7.27%7.18%5.59%
2013103.35%$13,0393.71%$12,8354.61%2.39%4.52%-0.08%4.34%4.18%3.71%
2013111.42%$13,2241.54%$13,0332.98%3.92%-5.25%1.26%-0.93%1.02%1.54%
2013121.76%$13,4572.19%$13,3192.56%1.98%0.10%1.41%-0.28%2.94%2.19%
20141-3.82%$12,942-4.44%$12,727-3.49%-2.74%4.28%-6.67%-8.43%-4.57%-4.44%
201424.65%$13,5435.21%$13,3914.56%4.67%5.07%2.47%3.24%7.34%5.21%
201430.43%$13,6010.48%$13,4560.87%-0.63%0.49%-2.41%4.62%-0.65%0.48%
20144-0.03%$13,5970.74%$13,5550.74%-3.89%3.29%-2.21%0.89%2.65%0.74%
201452.12%$13,8862.05%$13,8322.28%0.98%2.40%4.51%3.10%0.78%2.05%
201462.75%$14,2682.21%$14,1382.09%5.17%1.13%4.68%3.17%-0.08%2.21%
20147-2.16%$13,960-1.75%$13,890-1.40%-5.98%0.08%-0.33%1.37%-4.32%-1.75%
201482.89%$14,3632.65%$14,2583.97%4.78%3.04%-1.67%3.84%0.73%2.65%
20149-4.18%$13,764-3.34%$13,782-1.38%-5.96%-6.04%-0.25%-7.18%-3.98%-3.34%
2014103.52%$14,2480.94%$13,9122.39%6.59%9.94%2.46%2.23%-1.90%0.94%
2014110.65%$14,3411.26%$14,0882.75%0.07%2.00%-3.65%-1.10%2.07%1.26%
201412-0.88%$14,215-1.99%$13,808-0.30%2.91%1.88%-2.70%-4.69%-4.69%-1.99%
20151-0.41%$14,156-1.63%$13,583-2.90%-3.33%6.85%2.22%-0.20%0.52%-1.63%
201524.81%$14,8365.95%$14,3925.65%6.00%-3.67%7.48%4.66%6.09%5.95%
20153-0.32%$14,789-1.21%$14,218-1.59%1.76%1.74%1.46%-2.05%-2.43%-1.21%
201541.18%$14,9632.55%$14,5800.97%-2.45%-5.85%2.63%7.41%4.24%2.55%
201550.39%$15,0210.33%$14,6291.30%2.14%-0.30%1.48%-3.55%0.28%0.33%
20156-1.80%$14,751-2.22%$14,304-1.98%0.93%-4.68%-1.34%-2.54%-3.28%-2.22%
201570.30%$14,7960.50%$14,3762.19%-1.29%5.77%0.94%-6.26%2.67%0.50%
20158-6.89%$13,776-6.63%$13,423-6.14%-6.26%-6.29%-6.26%-9.86%-7.02%-6.63%
20159-3.23%$13,331-3.71%$12,925-2.49%-4.87%3.05%-5.78%-2.88%-4.12%-3.71%
2015106.58%$14,2087.29%$13,8668.47%5.62%5.76%7.88%5.29%5.90%7.29%
2015110.27%$14,247-0.08%$13,8550.39%3.12%-0.63%0.49%-2.30%-1.25%-0.08%
201512-2.44%$13,900-2.19%$13,551-1.73%-4.95%1.82%-1.39%-3.44%-2.62%-2.19%
20161-5.86%$13,085-5.87%$12,757-5.00%-8.48%-3.44%-5.12%-5.75%-5.55%-5.87%
20162-1.32%$12,913-1.11%$12,615-0.06%-0.36%-0.36%-5.30%-0.32%-3.23%-1.11%
201638.24%$13,9777.98%$13,6226.82%8.02%10.48%4.78%12.72%7.03%7.98%
201640.78%$14,0861.01%$13,7590.39%1.54%-2.35%0.09%1.01%2.76%1.01%
201650.89%$14,2110.65%$13,8481.69%2.29%2.25%3.24%-3.24%-0.50%0.65%
201660.79%$14,324-0.18%$13,8230.25%0.00%6.92%-1.68%4.93%-4.04%-0.18%
201674.63%$14,9874.15%$14,3973.74%5.99%4.26%4.87%5.14%3.47%4.15%
201680.40%$15,0470.35%$14,4470.13%1.61%-3.76%1.82%0.78%0.68%0.35%
201690.76%$15,1610.79%$14,5610.01%1.11%-1.82%2.12%2.05%0.80%0.79%
201610-2.49%$14,783-1.97%$14,274-1.78%-4.60%-5.74%0.72%0.32%-3.53%-1.97%
2016112.04%$15,0841.19%$14,4443.67%11.04%-1.68%-1.25%-4.05%-2.34%1.19%
2016122.16%$15,4091.81%$14,7052.14%2.83%4.82%-0.92%-0.74%4.92%1.81%
201712.25%$15,7563.00%$15,1461.75%0.35%-0.19%3.50%5.76%2.96%3.00%
201722.33%$16,1222.69%$15,5543.98%1.93%3.51%1.31%2.25%0.59%2.69%
201731.02%$16,2861.48%$15,7830.12%0.10%-2.42%0.53%2.84%4.43%1.48%
201741.47%$16,5261.63%$16,0400.97%1.11%0.24%0.70%1.56%3.90%1.63%
201751.10%$16,7071.95%$16,3521.39%-1.99%-0.72%2.76%0.99%4.91%1.95%
201761.32%$16,9270.63%$16,4540.67%3.40%2.23%1.32%0.85%-0.51%0.63%
201772.38%$17,3302.65%$16,8912.07%0.80%1.24%2.07%5.34%2.83%2.65%
201780.28%$17,3790.42%$16,9610.27%-1.22%-0.26%-0.09%3.00%0.07%0.42%
201792.48%$17,8092.11%$17,3192.04%6.30%-0.11%1.83%-0.49%3.21%2.11%
2017101.69%$18,1112.11%$17,6832.32%0.74%-1.07%5.28%2.43%0.46%2.11%
2017111.81%$18,4391.90%$18,0193.12%3.00%2.66%2.15%-0.34%-0.05%1.90%
2017121.12%$18,6451.60%$18,3071.21%-0.48%-0.14%0.70%3.70%1.53%1.60%
201814.32%$19,4505.48%$19,3105.69%2.68%-4.25%5.02%8.56%5.63%5.48%
20182-4.72%$18,532-4.44%$18,452-3.80%-3.85%-7.68%-2.97%-5.36%-6.15%-4.44%
20183-0.13%$18,508-1.29%$18,215-2.47%1.14%3.88%-0.64%-0.21%-0.36%-1.29%
201840.29%$18,5620.42%$18,2910.35%1.06%0.82%-0.07%-2.77%2.15%0.42%
201851.41%$18,8240.57%$18,3952.41%6.09%3.68%-1.48%-2.34%-2.42%0.57%
20186-0.46%$18,737-0.60%$18,2850.59%0.71%4.20%-2.30%-4.79%-1.26%-0.60%
201872.56%$19,2162.88%$18,8113.75%1.57%0.60%1.07%3.98%3.40%2.88%
201881.00%$19,4080.86%$18,9733.23%4.37%2.58%-0.53%-4.19%-2.83%0.86%
20189-0.55%$19,3010.08%$18,9880.54%-2.39%-2.64%3.45%-1.35%0.07%0.08%
201810-7.95%$17,766-7.82%$17,503-6.82%-10.87%-2.93%-8.95%-7.66%-7.90%-7.82%
2018112.04%$18,1291.73%$17,8061.92%1.59%4.67%0.91%4.83%-0.68%1.73%
201812-8.02%$16,675-7.22%$16,520-8.86%-12.03%-7.96%-7.69%-3.34%-4.84%-7.22%
201919.14%$18,1987.99%$17,8407.92%11.46%11.85%7.08%9.66%6.68%7.99%
201922.48%$18,6492.82%$18,3423.23%5.15%0.70%0.15%-0.38%3.16%2.82%
201930.93%$18,8211.06%$18,5371.92%-2.11%4.21%0.66%2.31%0.76%1.06%
201942.81%$19,3503.47%$19,1814.00%3.45%-0.16%1.28%2.14%3.92%3.47%
20195-5.73%$18,242-5.97%$18,036-6.30%-7.78%0.14%-4.87%-6.38%-5.67%-5.97%
201965.72%$19,2856.37%$19,1846.95%6.89%1.54%4.47%5.37%6.36%6.37%
20197-0.01%$19,2830.00%$19,1841.52%0.78%1.70%-0.42%-1.81%-2.60%0.00%
20198-1.99%$18,899-2.10%$18,781-1.66%-4.99%3.75%-0.79%-3.26%-1.65%-2.10%
201992.29%$19,3312.28%$19,2091.95%2.12%1.93%5.23%0.93%2.55%2.28%
2019102.83%$19,8782.79%$19,7452.16%2.70%1.13%3.42%3.95%3.84%2.79%
2019112.07%$20,2902.56%$20,2513.64%4.07%-1.30%1.28%0.50%1.29%2.56%
2019123.30%$20,9593.45%$20,9502.92%2.89%0.76%0.86%7.07%4.51%3.45%
20201-2.27%$20,483-1.56%$20,6240.00%-3.22%1.23%-2.52%-5.53%-3.09%-1.56%
20202-7.41%$18,965-7.22%$19,134-8.46%-8.28%-7.03%-8.29%-3.55%-7.96%-7.22%
20203-16.01%$15,928-14.76%$16,310-12.14%-21.88%-19.42%-6.74%-17.04%-16.65%-14.76%
202049.80%$17,48910.37%$18,00112.68%13.83%8.96%4.80%7.81%6.45%10.37%
202055.06%$18,3755.21%$18,9394.82%6.55%1.73%7.05%3.29%5.84%5.21%
202063.05%$18,9363.07%$19,5201.89%3.48%2.41%-0.09%6.47%3.92%3.07%
202074.25%$19,7415.29%$20,5535.85%2.97%3.64%-1.07%8.58%3.66%5.29%
202084.90%$20,7096.01%$21,7877.00%5.54%0.44%6.79%2.74%4.31%6.01%
20209-2.39%$20,213-2.92%$21,150-3.75%-3.29%-2.68%1.81%-1.19%-3.10%-2.92%
202010-1.19%$19,972-2.05%$20,718-2.51%2.26%-3.00%-1.41%1.32%-5.42%-2.05%
20201112.84%$22,53612.37%$23,28010.90%18.36%9.67%10.56%8.56%16.39%12.37%
2020125.65%$23,8094.94%$24,4293.78%8.59%2.72%5.33%6.01%5.69%4.94%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value6.96%11.97%
Large-cap Growth13.18%28.06%
Mid-cap Value4.08%9.58%
Mid-cap Growth7.59%1.06%
Small-cap Value10.91%0.00%
Small-cap Growth7.96%1.03%
Global ex-US Developed Markets32.57%35.75%
Emerging Markets13.68%12.56%
Corporate Bonds0.00%0.00%
Long-Term Treasuries3.06%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.23%99.72%
Style analysis is based on monthly returns from January 2011 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
IVViShares Core S&P 500 ETFLarge Blend23.15%1.28%0.03%0.03%24.37$4,75020.62%
VTWOVanguard Russell 2000 ETFSmall Blend23.15%0.78%1.00%0.10%0.10%16.35$3,95228.12%
VNQVanguard Real Estate ETFReal Estate10.50%2.53%0.12%0.12%38.33$1,2458.65%
EWJiShares MSCI Japan ETFJapan Stock11.60%1.15%0.51%0.51%11.53$1,2358.56%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts15.80%2.29%0.10%0.10%13.20$1,19617.11%
VGKVanguard FTSE Europe ETFEurope Stock15.80%2.73%0.08%0.08%17.23$1,43016.94%
100.00%0.18%1.72%0.13%0.13%19.60$13,809100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
VTVanguard Total World Stock ETFWorld Large-Stock Blend100.00%1.65%0.08%0.08%19.50$14,429100.00%

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 1Portfolio 2
Arithmetic Mean (monthly)0.81%0.83%
Arithmetic Mean (annualized)10.19%10.46%
Geometric Mean (monthly)0.73%0.75%
Geometric Mean (annualized)9.06%9.34%
Standard Deviation (monthly)4.15%4.14%
Standard Deviation (annualized)14.38%14.33%
Downside Deviation (monthly)2.77%2.72%
Max. Drawdown-24.00%-22.15%
US Market Correlation0.960.97
Beta(*)0.980.98
Alpha (annualized)-3.83%-3.58%
R292.56%93.22%
Sharpe Ratio0.640.66
Sortino Ratio0.950.99
Treynor Ratio (%)9.359.60
Calmar Ratio0.350.46
Active Return-4.59%-4.31%
Tracking Error3.93%3.74%
Information Ratio-1.17-1.15
Skewness-0.59-0.52
Excess Kurtosis2.631.95
Historical Value-at-Risk (5%)-7.44%-7.22%
Analytical Value-at-Risk (5%)-5.99%-5.97%
Conditional Value-at-Risk (5%)-9.70%-9.45%
Upside Capture Ratio (%)87.2089.40
Downside Capture Ratio (%)108.94110.77
Safe Withdrawal Rate13.44%13.24%
Perpetual Withdrawal Rate6.71%6.95%
Positive Periods77 out of 120 (64.17%)77 out of 120 (64.17%)
Gain/Loss Ratio0.960.94
* 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 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-24.00%-22.15%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-24.00%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.49%
3Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.27%
4Jun 2015Feb 20169 monthsAug 20166 months1 year 3 months-14.04%
5Sep 2014Sep 20141 monthFeb 20155 months6 months-4.18%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.82%
7Aug 2013Aug 20131 monthSep 20131 month2 months-3.27%
8Oct 2016Oct 20161 monthDec 20162 months3 months-2.49%
9May 2013Jun 20132 monthsJul 20131 month3 months-2.36%
10Jul 2014Jul 20141 monthAug 20141 month2 months-2.16%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-22.15%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-21.87%
3Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.45%
4Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.91%
6Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.73%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-4.44%
8May 2013Jun 20132 monthsJul 20131 month3 months-3.20%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.46%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.75%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVViShares Core S&P 500 ETF13.81%13.49%32.30%-4.47%-19.56%0.991.611.00
VTWOVanguard Russell 2000 ETF11.22%18.85%38.76%-11.14%-32.17%0.630.950.93
VNQVanguard Real Estate ETF8.66%16.17%30.36%-6.02%-25.08%0.560.840.67
EWJiShares MSCI Japan ETF6.13%14.23%25.97%-14.78%-21.31%0.450.670.67
VWOVanguard FTSE Emerging Markets ETF3.09%18.31%31.48%-18.76%-30.74%0.230.330.74
VGKVanguard FTSE Europe ETF5.67%16.89%26.99%-14.91%-27.74%0.380.560.85
VTVanguard Total World Stock ETF9.34%14.33%26.82%-9.76%-22.15%0.660.990.97

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
iShares Core S&P 500 ETF12.20%18.40%18.40%14.08%15.18%13.81%0.03%0.03%
Vanguard Russell 2000 ETF31.43%20.20%20.20%10.35%13.34%11.22%0.10%0.10%
Vanguard Real Estate ETF9.28%-4.68%-4.68%4.90%5.64%8.66%0.12%0.12%
iShares MSCI Japan ETF14.82%15.41%15.41%5.76%8.61%6.13%0.51%0.51%
Vanguard FTSE Emerging Markets ETF16.60%15.19%15.19%5.84%11.83%3.09%0.10%0.10%
Vanguard FTSE Europe ETF16.35%6.11%6.11%4.08%7.36%5.67%0.08%0.08%
Vanguard Total World Stock ETF15.50%16.61%16.61%10.09%12.51%9.34%0.08%0.08%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVVVTWOVNQEWJVWOVGKVTPortfolio 1Portfolio 2
IVViShares Core S&P 500 ETF1.000.900.660.680.740.850.960.950.96
VTWOVanguard Russell 2000 ETF0.901.000.650.620.690.780.890.930.89
VNQVanguard Real Estate ETF0.660.651.000.430.570.600.670.730.67
EWJiShares MSCI Japan ETF0.680.620.431.000.590.690.740.750.74
VWOVanguard FTSE Emerging Markets ETF0.740.690.570.591.000.800.860.850.86
VGKVanguard FTSE Europe ETF0.850.780.600.690.801.000.940.910.94
VTVanguard Total World Stock ETF0.960.890.670.740.860.941.000.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IVViShares Core S&P 500 ETF$4,750
VTWOVanguard Russell 2000 ETF$3,952
VNQVanguard Real Estate ETF$1,245
EWJiShares MSCI Japan ETF$1,235
VWOVanguard FTSE Emerging Markets ETF$1,196
VGKVanguard FTSE Europe ETF$1,430
VTVanguard Total World Stock ETF$14,429

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
IVViShares Core S&P 500 ETF20.62%
VTWOVanguard Russell 2000 ETF28.12%
VNQVanguard Real Estate ETF8.65%
EWJiShares MSCI Japan ETF8.56%
VWOVanguard FTSE Emerging Markets ETF17.11%
VGKVanguard FTSE Europe ETF16.94%
VTVanguard Total World Stock ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.18%25.69%-15.37%8.58%27.49%-12.53%
3 years8.63%17.33%-0.74%8.84%17.46%1.10%
5 years8.06%12.21%1.50%8.15%12.51%2.78%
7 years8.59%12.39%4.48%8.79%12.16%5.12%