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 1990 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
MERFX Merger Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$56,534 5.80% 3.61%18.18%-2.66%-5.01% 0.851.400.07
Portfolio 2$10,000$59,285 5.96% 4.62%17.69%-5.67%-14.04% 0.710.940.48
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 10.59%6.92%6.93%5.20%4.09%3.48%5.80%
Portfolio 21.75%1.63%3.35%5.05%4.29%3.04%5.96%
Trailing returns are for full months ending in September 2020 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.
  • The annual results for 2020 are based on monthly returns from January to September
  • 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
YearInflationReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Merger Investor (MERFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19906.11%8.65%1.10%$10,865$10,1108.65%1.10%
19913.06%15.25%16.84%$12,522$11,81115.25%16.84%
19922.90%7.14%5.34%$13,416$12,4427.14%5.34%
19932.75%9.68%17.69%$14,715$14,6439.68%17.69%
19942.67%-2.66%7.13%$14,324$15,687-2.66%7.13%
19952.54%18.18%14.15%$16,928$17,90818.18%14.15%
19963.32%3.58%9.95%$17,535$19,6903.58%9.95%
19971.70%9.44%11.65%$19,190$21,9849.44%11.65%
19981.61%8.58%5.35%$20,837$23,1618.58%5.35%
19992.68%-0.76%17.39%$20,679$27,188-0.76%17.39%
20003.39%11.39%17.58%$23,035$31,96611.39%17.58%
20011.55%8.43%2.01%$24,976$32,6098.43%2.01%
20022.38%8.26%-5.67%$27,038$30,7608.26%-5.67%
20031.88%3.97%11.04%$28,113$34,1563.97%11.04%
20043.26%4.24%2.71%$29,304$35,0834.24%2.71%
20053.42%2.40%0.81%$30,006$35,3662.40%0.81%
20062.54%4.27%10.98%$31,287$39,2484.27%10.98%
20074.08%6.92%2.96%$33,452$40,4096.92%2.96%
20080.09%5.05%-2.26%$35,143$39,4975.05%-2.26%
20092.72%5.93%8.52%$37,228$42,8635.93%8.52%
20101.50%6.42%3.41%$39,619$44,3246.42%3.41%
20112.96%7.56%1.66%$42,613$45,0617.56%1.66%
20121.74%4.05%3.61%$44,338$46,6904.05%3.61%
20131.50%-2.26%3.61%$43,335$48,374-2.26%3.61%
20140.76%5.76%1.43%$45,830$49,0645.76%1.43%
20150.73%0.30%-0.82%$45,967$48,6620.30%-0.82%
20162.07%2.50%2.61%$47,115$49,9332.50%2.61%
20172.11%3.46%2.39%$48,746$51,1263.46%2.39%
20181.91%-0.13%7.68%$48,684$55,050-0.13%7.68%
20192.29%8.61%5.96%$52,873$58,3348.61%5.96%
20201.29%6.92%1.63%$56,534$59,2856.92%1.63%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Merger Investor (MERFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19901-1.89%-5.83%$9,811$9,417-1.89%-5.83%
199020.75%1.68%$9,885$9,5750.75%1.68%
199030.08%3.38%$9,892$9,8990.08%3.38%
19904-0.90%0.62%$9,803$9,960-0.90%0.62%
199052.86%2.63%$10,083$10,2222.86%2.63%
199061.60%0.51%$10,244$10,2751.60%0.51%
199071.27%-2.13%$10,374$10,0561.27%-2.13%
19908-1.21%-0.52%$10,248$10,004-1.21%-0.52%
199090.72%-7.60%$10,322$9,2430.72%-7.60%
1990101.49%3.12%$10,476$9,5311.49%3.12%
1990112.23%4.86%$10,709$9,9952.23%4.86%
1990121.45%1.15%$10,865$10,1101.45%1.15%
199111.12%0.46%$10,986$10,1561.12%0.46%
199120.78%0.28%$11,072$10,1840.78%0.28%
199130.69%2.93%$11,148$10,4830.69%2.93%
199140.99%2.76%$11,258$10,7720.99%2.76%
199150.68%0.61%$11,335$10,8380.68%0.61%
19916-0.06%1.55%$11,328$11,006-0.06%1.55%
199171.32%1.87%$11,477$11,2111.32%1.87%
199182.05%0.58%$11,712$11,2762.05%0.58%
199192.01%0.17%$11,947$11,2952.01%0.17%
1991100.96%0.83%$12,062$11,3880.96%0.83%
1991110.74%2.54%$12,152$11,6780.74%2.54%
1991123.04%1.14%$12,522$11,8113.04%1.14%
19921-1.39%1.67%$12,348$12,009-1.39%1.67%
199220.62%0.00%$12,424$12,0090.62%0.00%
19923-0.50%0.58%$12,362$12,078-0.50%0.58%
199240.71%-0.08%$12,450$12,0680.71%-0.08%
199251.84%-0.57%$12,679$11,9991.84%-0.57%
199261.31%-0.58%$12,846$11,9301.31%-0.58%
199271.91%3.07%$13,092$12,2961.91%3.07%
199280.98%1.13%$13,220$12,4340.98%1.13%
199291.26%0.79%$13,387$12,5331.26%0.79%
199210-1.22%0.79%$13,224$12,632-1.22%0.79%
199211-0.02%-3.44%$13,221$12,197-0.02%-3.44%
1992121.48%2.01%$13,416$12,4421.48%2.01%
199311.79%2.09%$13,655$12,7021.79%2.09%
199321.96%0.66%$13,924$12,7861.96%0.66%
199330.37%-0.49%$13,975$12,7230.37%-0.49%
199340.74%1.31%$14,079$12,8900.74%1.31%
199350.14%1.29%$14,099$13,0560.14%1.29%
199361.80%2.79%$14,352$13,4211.80%2.79%
199370.61%1.96%$14,440$13,6830.61%1.96%
199381.69%1.14%$14,683$13,8401.69%1.14%
199390.40%0.68%$14,742$13,9340.40%0.68%
1993100.30%1.50%$14,787$14,1430.30%1.50%
199311-0.97%1.11%$14,644$14,299-0.97%1.11%
1993120.48%2.40%$14,715$14,6430.48%2.40%
199411.39%1.16%$14,919$14,8121.39%1.16%
19942-1.78%-0.38%$14,653$14,756-1.78%-0.38%
19943-2.30%0.23%$14,317$14,790-2.30%0.23%
19944-0.83%1.07%$14,198$14,948-0.83%1.07%
199450.00%0.68%$14,198$15,0500.00%0.68%
19946-0.18%0.90%$14,172$15,185-0.18%0.90%
199471.84%0.97%$14,433$15,3321.84%0.97%
199480.14%1.69%$14,454$15,5920.14%1.69%
19949-1.44%0.58%$14,245$15,682-1.44%0.58%
199410-0.07%-0.43%$14,236$15,614-0.07%-0.43%
199411-0.18%-0.72%$14,210$15,501-0.18%-0.72%
1994120.80%1.20%$14,324$15,6870.80%1.20%
199511.90%1.90%$14,596$15,9851.90%1.90%
199522.17%1.19%$14,913$16,1762.17%1.19%
199530.67%0.66%$15,014$16,2830.67%0.66%
199541.31%-0.66%$15,210$16,1761.31%-0.66%
199553.95%0.66%$15,812$16,2833.95%0.66%
199560.66%1.68%$15,915$16,5570.66%1.68%
19957-0.25%1.94%$15,875$16,879-0.25%1.94%
199581.18%1.34%$16,061$17,1051.18%1.34%
199590.95%1.60%$16,214$17,3790.95%1.60%
1995101.47%0.27%$16,451$17,4271.47%0.27%
1995111.44%1.64%$16,688$17,7121.44%1.64%
1995121.44%1.10%$16,928$17,9081.44%1.10%
199610.63%1.13%$17,035$18,1100.63%1.13%
19962-1.76%1.47%$16,735$18,377-1.76%1.47%
19963-0.77%1.17%$16,606$18,592-0.77%1.17%
19964-0.49%0.75%$16,524$18,731-0.49%0.75%
19965-0.17%1.15%$16,496$18,947-0.17%1.15%
199661.27%0.47%$16,706$19,0361.27%0.47%
199670.25%-0.67%$16,747$18,9090.25%-0.67%
19968-0.16%1.27%$16,720$19,150-0.16%1.27%
199691.70%0.93%$17,005$19,3271.70%0.93%
1996102.21%0.00%$17,380$19,3272.21%0.00%
1996111.76%1.05%$17,686$19,5301.76%1.05%
199612-0.85%0.82%$17,535$19,690-0.85%0.82%
199710.25%0.64%$17,578$19,8150.25%0.64%
199720.11%0.00%$17,598$19,8150.11%0.00%
19973-0.97%0.49%$17,426$19,913-0.97%0.49%
199741.49%-0.14%$17,686$19,8851.49%-0.14%
199750.87%2.46%$17,840$20,3730.87%2.46%
199761.16%1.51%$18,048$20,6801.16%1.51%
199772.80%0.94%$18,553$20,8762.80%0.94%
19978-0.85%1.80%$18,395$21,252-0.85%1.80%
199791.45%0.79%$18,661$21,4201.45%0.79%
1997101.45%0.46%$18,931$21,5181.45%0.46%
1997110.33%1.49%$18,993$21,8380.33%1.49%
1997121.04%0.67%$19,190$21,9841.04%0.67%
199811.32%-0.71%$19,444$21,8281.32%-0.71%
19982-0.10%1.57%$19,425$22,170-0.10%1.57%
199830.33%0.07%$19,489$22,1860.33%0.07%
199840.51%1.61%$19,588$22,5430.51%1.61%
199851.02%-0.07%$19,788$22,5281.02%-0.07%
199860.81%2.00%$19,948$22,9780.81%2.00%
199870.23%-0.07%$19,993$22,9630.23%-0.07%
199881.90%-5.21%$20,372$21,7661.90%-5.21%
199891.96%-0.79%$20,772$21,5951.96%-0.79%
199810-0.55%2.45%$20,657$22,124-0.55%2.45%
1998110.49%2.46%$20,757$22,6670.49%2.46%
1998120.38%2.18%$20,837$23,1610.38%2.18%
199910.79%0.59%$21,002$23,2970.79%0.59%
19992-1.77%1.76%$20,631$23,707-1.77%1.76%
199930.56%1.15%$20,747$23,9790.56%1.15%
199940.40%1.56%$20,830$24,3550.40%1.56%
19995-0.88%1.54%$20,647$24,730-0.88%1.54%
19996-0.50%2.69%$20,544$25,395-0.50%2.69%
19997-0.39%1.54%$20,464$25,787-0.39%1.54%
19998-0.08%0.53%$20,448$25,924-0.08%0.53%
199991.26%1.05%$20,706$26,1971.26%1.05%
1999100.33%1.11%$20,775$26,4870.33%1.11%
1999110.02%2.77%$20,779$27,2200.02%2.77%
199912-0.48%-0.12%$20,679$27,188-0.48%-0.12%
20001-0.17%1.49%$20,643$27,594-0.17%1.49%
200021.18%1.81%$20,886$28,0931.18%1.81%
200031.40%1.64%$21,179$28,5551.40%1.64%
20004-0.49%1.55%$21,075$28,998-0.49%1.55%
20005-0.16%0.89%$21,041$29,257-0.16%0.89%
200062.15%1.70%$21,493$29,7552.15%1.70%
200070.88%1.43%$21,682$30,1800.88%1.43%
200081.40%1.77%$21,985$30,7161.40%1.77%
200090.76%1.62%$22,153$31,2140.76%1.62%
2000100.57%0.95%$22,278$31,5100.57%0.95%
2000111.58%1.47%$22,631$31,9721.58%1.47%
2000121.79%-0.02%$23,035$31,9661.79%-0.02%
200111.76%1.61%$23,440$32,4811.76%1.61%
200120.91%0.82%$23,653$32,7490.91%0.82%
200130.54%-1.32%$23,781$32,3160.54%-1.32%
20014-0.46%1.15%$23,670$32,687-0.46%1.15%
200150.73%1.64%$23,844$33,2230.73%1.64%
200160.52%-1.55%$23,969$32,7080.52%-1.55%
200172.23%1.89%$24,503$33,3262.23%1.89%
200181.11%0.80%$24,775$33,5931.11%0.80%
200190.89%-3.43%$24,996$32,4400.89%-3.43%
2001101.86%1.52%$25,462$32,9341.86%1.52%
200111-1.34%-0.75%$25,121$32,687-1.34%-0.75%
200112-0.58%-0.24%$24,976$32,609-0.58%-0.24%
200210.69%0.41%$25,148$32,7410.69%0.41%
200220.85%-1.89%$25,362$32,1230.85%-1.89%
20023-1.46%0.76%$24,992$32,366-1.46%0.76%
200241.69%-1.43%$25,415$31,9021.69%-1.43%
200250.80%0.83%$25,618$32,1670.80%0.83%
200260.29%-5.28%$25,692$30,4670.29%-5.28%
200270.48%-5.22%$25,816$28,8780.48%-5.22%
200281.66%2.75%$26,245$29,6721.66%2.75%
200291.53%0.15%$26,647$29,7171.53%0.15%
200210-0.61%0.74%$26,484$29,937-0.61%0.74%
2002110.02%2.58%$26,490$30,7100.02%2.58%
2002122.07%0.16%$27,038$30,7602.07%0.16%
200310.05%0.51%$27,052$30,9170.05%0.51%
200321.38%-0.14%$27,425$30,8721.38%-0.14%
20033-0.13%-0.07%$27,390$30,850-0.13%-0.07%
200340.87%1.60%$27,628$31,3430.87%1.60%
200351.82%1.64%$28,131$31,8581.82%1.64%
20036-0.13%1.76%$28,093$32,418-0.13%1.76%
20037-3.34%1.11%$27,156$32,777-3.34%1.11%
200380.61%0.75%$27,321$33,0230.61%0.75%
200392.71%0.68%$28,061$33,2472.71%0.68%
200310-0.96%0.88%$27,792$33,538-0.96%0.88%
2003110.27%0.80%$27,867$33,8070.27%0.80%
2003120.88%1.03%$28,113$34,1560.88%1.03%
200410.86%1.12%$28,355$34,5380.86%1.12%
200421.03%0.07%$28,648$34,5601.03%0.07%
200430.80%0.45%$28,876$34,7170.80%0.45%
20044-2.61%-0.45%$28,121$34,560-2.61%-0.45%
20045-0.43%0.13%$28,001$34,605-0.43%0.13%
200460.56%-0.65%$28,158$34,3810.56%-0.65%
200470.96%-1.89%$28,429$33,7290.96%-1.89%
200481.94%0.60%$28,981$33,9321.94%0.60%
200490.16%-0.07%$29,028$33,9090.16%-0.07%
2004100.85%0.33%$29,274$34,0210.85%0.33%
200411-0.81%1.19%$29,038$34,426-0.81%1.19%
2004120.92%1.91%$29,304$35,0830.92%1.91%
200510.65%-0.45%$29,496$34,9240.65%-0.45%
20052-0.63%0.07%$29,311$34,946-0.63%0.07%
20053-0.49%-0.07%$29,167$34,924-0.49%-0.07%
200541.35%-0.52%$29,562$34,7421.35%-0.52%
200551.05%1.31%$29,873$35,1971.05%1.31%
200560.55%0.13%$30,038$35,2420.55%0.13%
20057-0.99%1.42%$29,740$35,743-0.99%1.42%
200581.36%0.45%$30,143$35,9021.36%0.45%
20059-1.10%0.00%$29,812$35,902-1.10%0.00%
200510-0.81%-3.11%$29,570$34,787-0.81%-3.11%
2005110.48%0.78%$29,712$35,0600.48%0.78%
2005120.99%0.87%$30,006$35,3660.99%0.87%
20061-0.11%1.91%$29,974$36,041-0.11%1.91%
200620.37%1.40%$30,086$36,5470.37%1.40%
20063-1.00%0.73%$29,786$36,812-1.00%0.73%
20064-0.21%0.20%$29,724$36,884-0.21%0.20%
20065-0.09%0.39%$29,696$37,029-0.09%0.39%
200660.10%1.69%$29,727$37,6560.10%1.69%
200671.35%0.58%$30,127$37,8731.35%0.58%
200681.64%0.89%$30,622$38,2101.64%0.89%
200690.81%0.63%$30,870$38,4510.81%0.63%
2006100.72%0.69%$31,092$38,7170.72%0.69%
2006111.11%0.25%$31,437$38,8131.11%0.25%
200612-0.48%1.12%$31,287$39,248-0.48%1.12%
20071-0.08%1.02%$31,261$39,650-0.08%1.02%
200721.50%0.82%$31,731$39,9771.50%0.82%
200730.02%0.88%$31,739$40,3290.02%0.88%
200740.51%0.69%$31,901$40,6050.51%0.69%
20075-0.78%1.11%$31,653$41,057-0.78%1.11%
20076-0.39%0.18%$31,530$41,133-0.39%0.18%
200770.84%-0.61%$31,795$40,8820.84%-0.61%
200781.34%1.48%$32,222$41,4851.34%1.48%
200790.72%0.24%$32,454$41,5850.72%0.24%
2007100.93%1.21%$32,754$42,0880.93%1.21%
2007111.91%-2.99%$33,380$40,8311.91%-2.99%
2007120.22%-1.03%$33,452$40,4090.22%-1.03%
200811.69%-2.80%$34,017$39,2791.69%-2.80%
200820.19%0.89%$34,082$39,6290.19%0.89%
200830.30%-1.90%$34,183$38,8760.30%-1.90%
20084-0.30%2.08%$34,080$39,683-0.30%2.08%
20085-0.79%1.49%$33,812$40,275-0.79%1.49%
20086-0.01%-2.87%$33,810$39,118-0.01%-2.87%
200870.00%1.93%$33,810$39,8710.00%1.93%
200880.70%2.16%$34,047$40,7320.70%2.16%
20089-1.10%-2.31%$33,671$39,790-1.10%-2.31%
200810-2.53%-1.15%$32,818$39,333-2.53%-1.15%
2008113.64%-0.62%$34,012$39,0913.64%-0.62%
2008123.32%1.04%$35,143$39,4973.32%1.04%
20091-0.70%0.21%$34,898$39,580-0.70%0.21%
20092-0.42%-0.28%$34,750$39,470-0.42%-0.28%
200931.48%2.59%$35,265$40,4901.48%2.59%
200940.36%0.68%$35,390$40,7660.36%0.68%
200950.85%0.00%$35,691$40,7660.85%0.00%
200960.54%1.49%$35,883$41,3730.54%1.49%
200971.43%0.33%$36,396$41,5111.43%0.33%
200981.01%0.80%$36,765$41,8421.01%0.80%
200991.19%0.59%$37,201$42,0901.19%0.59%
2009100.41%0.79%$37,355$42,4210.41%0.79%
2009111.36%0.39%$37,863$42,5861.36%0.39%
200912-1.68%0.65%$37,228$42,863-1.68%0.65%
201011.57%0.77%$37,813$43,1941.57%0.77%
201020.20%0.45%$37,887$43,3870.20%0.45%
20103-0.08%0.51%$37,857$43,608-0.08%0.51%
201041.06%-0.44%$38,258$43,4151.06%-0.44%
201050.87%-1.40%$38,592$42,8080.87%-1.40%
201061.61%0.39%$39,213$42,9731.61%0.39%
201070.94%1.28%$39,581$43,5250.94%1.28%
201081.48%0.38%$40,167$43,6901.48%0.38%
20109-0.01%0.57%$40,162$43,939-0.01%0.57%
2010100.36%0.13%$40,307$43,9940.36%0.13%
201011-0.57%0.31%$40,078$44,132-0.57%0.31%
201012-1.15%0.44%$39,619$44,324-1.15%0.44%
201110.08%0.95%$39,651$44,7460.08%0.95%
201120.16%0.44%$39,716$44,9420.16%0.44%
20113-0.01%1.00%$39,714$45,392-0.01%1.00%
201141.32%0.56%$40,237$45,6451.32%0.56%
201151.30%0.18%$40,762$45,7291.30%0.18%
20116-0.39%-0.25%$40,604$45,616-0.39%-0.25%
201171.58%-1.23%$41,243$45,0551.58%-1.23%
201181.46%-2.00%$41,847$44,1561.46%-2.00%
201190.89%-0.83%$42,220$43,7910.89%-0.83%
2011100.16%1.80%$42,288$44,5770.16%1.80%
201111-0.30%0.76%$42,159$44,914-0.30%0.76%
2011121.08%0.33%$42,613$45,0611.08%0.33%
201210.87%0.06%$42,985$45,0900.87%0.06%
20122-0.05%0.83%$42,965$45,466-0.05%0.83%
20123-0.58%0.19%$42,715$45,552-0.58%0.19%
201241.14%0.32%$43,201$45,6971.14%0.32%
201250.95%-0.44%$43,611$45,4950.95%-0.44%
201260.04%0.19%$43,627$45,5810.04%0.19%
201271.39%0.25%$44,232$45,6971.39%0.25%
201280.03%1.08%$44,245$46,1880.03%1.08%
201290.11%-0.25%$44,293$46,0730.11%-0.25%
2012100.11%-1.00%$44,342$45,6100.11%-1.00%
2012110.19%0.95%$44,427$46,0440.19%0.95%
201212-0.20%1.40%$44,338$46,690-0.20%1.40%
20131-0.71%-0.63%$44,022$46,395-0.71%-0.63%
201320.54%0.19%$44,261$46,4830.54%0.19%
201330.08%0.70%$44,297$46,8080.08%0.70%
201340.91%0.25%$44,702$46,9260.91%0.25%
20135-1.71%0.13%$43,938$46,985-1.71%0.13%
20136-1.65%-0.31%$43,211$46,837-1.65%-0.31%
201370.20%0.94%$43,296$47,2800.20%0.94%
20138-0.64%0.06%$43,019$47,309-0.64%0.06%
201390.96%0.87%$43,432$47,7220.96%0.87%
2013100.78%0.56%$43,770$47,9880.78%0.56%
201311-0.35%0.12%$43,617$48,047-0.35%0.12%
201312-0.65%0.68%$43,335$48,374-0.65%0.68%
201411.54%-0.56%$44,004$48,1021.54%-0.56%
201420.48%1.07%$44,214$48,6160.48%1.07%
20143-0.15%0.00%$44,148$48,616-0.15%0.00%
201440.77%0.44%$44,489$48,8270.77%0.44%
201451.05%1.11%$44,955$49,3711.05%1.11%
201460.11%0.80%$45,005$49,7640.11%0.80%
20147-0.26%-0.49%$44,889$49,522-0.26%-0.49%
201481.13%0.85%$45,397$49,9451.13%0.85%
20149-0.72%-1.21%$45,068$49,341-0.72%-1.21%
2014100.94%-1.22%$45,492$48,7370.94%-1.22%
2014110.65%0.43%$45,789$48,9480.65%0.43%
2014120.09%0.24%$45,830$49,0640.09%0.24%
201512.31%-0.32%$46,889$48,9072.31%-0.32%
20152-1.08%1.80%$46,382$49,786-1.08%1.80%
201530.41%-0.06%$46,571$49,7550.41%-0.06%
20154-0.36%0.00%$46,402$49,755-0.36%0.00%
20155-0.45%0.50%$46,194$50,006-0.45%0.50%
20156-1.01%-1.19%$45,728$49,410-1.01%-1.19%
201570.76%-0.19%$46,076$49,3150.76%-0.19%
20158-0.36%-1.21%$45,912$48,719-0.36%-1.21%
201590.76%-1.35%$46,259$48,0600.76%-1.35%
2015100.01%1.50%$46,265$48,7820.01%1.50%
201511-0.27%-0.39%$46,142$48,593-0.27%-0.39%
201512-0.38%0.14%$45,967$48,662-0.38%0.14%
201611.43%-1.05%$46,624$48,1531.43%-1.05%
201620.66%0.40%$46,932$48,3440.66%0.40%
201630.94%1.64%$47,374$49,1390.94%1.64%
201640.38%-0.91%$47,553$48,6940.38%-0.91%
201650.01%1.17%$47,560$49,2660.01%1.17%
201661.94%-0.32%$48,482$49,1071.94%-0.32%
201670.64%0.32%$48,793$49,2660.64%0.32%
20168-0.17%0.13%$48,711$49,330-0.17%0.13%
20169-0.09%0.13%$48,669$49,393-0.09%0.13%
201610-0.81%-0.26%$48,276$49,266-0.81%-0.26%
201611-2.64%0.71%$47,000$49,616-2.64%0.71%
2016120.24%0.64%$47,115$49,9330.24%0.64%
201710.29%0.32%$47,254$50,0930.29%0.32%
201720.66%0.32%$47,565$50,2520.66%0.32%
20173-0.07%0.13%$47,531$50,316-0.07%0.13%
201740.76%0.70%$47,894$50,6670.76%0.70%
201750.67%0.50%$48,215$50,9220.67%0.50%
201760.01%0.13%$48,222$50,9860.01%0.13%
201770.39%0.13%$48,409$51,0490.39%0.13%
201780.85%0.00%$48,822$51,0490.85%0.00%
20179-0.54%0.19%$48,559$51,145-0.54%0.19%
2017100.11%0.56%$48,614$51,4320.11%0.56%
201711-0.17%-1.30%$48,530$50,762-0.17%-1.30%
2017120.44%0.72%$48,746$51,1260.44%0.72%
20181-1.09%1.57%$48,212$51,927-1.09%1.57%
20182-1.03%1.79%$47,717$52,858-1.03%1.79%
201830.63%-0.91%$48,016$52,3760.63%-0.91%
20184-0.83%-0.12%$47,617$52,312-0.83%-0.12%
201850.61%1.66%$47,907$53,1780.61%1.66%
201860.03%1.69%$47,920$54,0760.03%1.69%
201870.03%-1.30%$47,937$53,3710.03%-1.30%
201880.52%0.30%$48,184$53,5310.52%0.30%
20189-0.54%0.90%$47,923$54,012-0.54%0.90%
201810-0.73%-0.30%$47,573$53,852-0.73%-0.30%
2018110.53%1.67%$47,824$54,7500.53%1.67%
2018121.80%0.55%$48,684$55,0501.80%0.55%
201911.01%0.67%$49,174$55,4191.01%0.67%
20192-0.06%0.73%$49,143$55,822-0.06%0.73%
201931.96%0.66%$50,104$56,1901.96%0.66%
201940.04%0.30%$50,126$56,3580.04%0.30%
201951.83%-0.83%$51,044$55,8891.83%-0.83%
201961.15%0.90%$51,632$56,3911.15%0.90%
201970.23%0.89%$51,749$56,8940.23%0.89%
201982.78%0.41%$53,189$57,1292.78%0.41%
20199-0.60%0.41%$52,872$57,364-0.60%0.41%
2019100.21%0.47%$52,984$57,6320.21%0.47%
201911-0.06%0.47%$52,951$57,900-0.06%0.47%
201912-0.15%0.75%$52,873$58,334-0.15%0.75%
202012.11%0.41%$53,991$58,5722.11%0.41%
202021.71%-0.29%$54,913$58,4021.71%-0.29%
20203-0.59%-2.50%$54,591$56,941-0.59%-2.50%
202041.69%2.21%$55,516$58,1981.69%2.21%
202050.54%0.06%$55,813$58,2320.54%0.06%
202060.70%0.06%$56,203$58,2660.70%0.06%
202071.55%1.11%$57,076$58,9121.55%1.11%
20208-1.02%0.35%$56,491$59,116-1.02%0.35%
202090.08%0.29%$56,534$59,2850.08%0.29%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth1.48%
Mid-cap Value0.00%
Mid-cap Growth0.46%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets1.76%
Corporate Bonds15.70%
Long-Term Treasuries3.60%
Intermediate-Term Treasuries26.28%
Short-Term Treasuries50.71%
R Squared90.81%
Style analysis is based on monthly returns from Apr 2005 to Sep 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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%0.15%6.55$46,534100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
MERFXMerger InvestorMarket Neutral100.00%1.99%$49,285100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (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 2
Arithmetic Mean (monthly)0.48%0.49%
Arithmetic Mean (annualized)5.86%6.07%
Geometric Mean (monthly)0.47%0.48%
Geometric Mean (annualized)5.80%5.96%
Volatility (monthly)1.04%1.33%
Volatility (annualized)3.61%4.62%
Downside Deviation (monthly)0.53%0.90%
Max. Drawdown-5.01%-14.04%
US Market Correlation0.070.48
Beta(*)0.020.15
Alpha (annualized)5.54%4.34%
R20.44%23.35%
Sharpe Ratio0.850.71
Sortino Ratio1.400.94
Treynor Ratio (%)189.4521.61
Calmar Ratio2.161.81
Active Return-3.98%-3.81%
Tracking Error15.14%13.34%
Information Ratio-0.26-0.29
Skewness-0.17-1.70
Excess Kurtosis0.737.22
Historical Value-at-Risk (5%)-1.18%-1.72%
Analytical Value-at-Risk (5%)-1.24%-1.70%
Conditional Value-at-Risk (5%)-1.87%-3.47%
Upside Capture Ratio (%)13.8124.21
Downside Capture Ratio (%)-11.726.74
Safe Withdrawal Rate5.89%6.47%
Perpetual Withdrawal Rate3.31%3.46%
Positive Periods256 out of 369 (69.38%)276 out of 369 (74.80%)
Gain/Loss Ratio1.420.85
* 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
Asian CrisisJul 1997Jan 1998-0.85%-0.71%
Russian Debt DefaultJul 1998Oct 1998-0.55%-6.02%
Dotcom CrashMar 2000Oct 2002-1.91%-14.04%
Subprime CrisisNov 2007Mar 2009-3.99%-7.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
2Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
4Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
5Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
6Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
7Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
8Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
9Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
10Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2001Jul 200211 monthsNov 20031 year 4 months2 years 3 months-14.04%
2Jul 1990Sep 19903 monthsMar 19916 months9 months-10.04%
3Nov 2007Mar 20085 monthsSep 20091 year 6 months1 year 11 months-7.63%
4Jul 1998Sep 19983 monthsDec 19983 months6 months-6.02%
5Jan 1990Jan 19901 monthMay 19904 months5 months-5.83%
6Jun 2011Sep 20114 monthsAug 201211 months1 year 3 months-4.24%
7Jun 2015Sep 20154 monthsJan 20171 year 4 months1 year 8 months-3.89%
8Nov 1992Nov 19921 monthJan 19932 months3 months-3.44%
9Oct 2005Oct 20051 monthJan 20063 months4 months-3.11%
10Apr 2004Jul 20044 monthsDec 20045 months9 months-2.85%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBMFXVanguard Total Bond Market Index Inv5.80%3.61%18.18%-2.66%-5.01%0.851.400.07
MERFXMerger Investor5.96%4.62%17.69%-5.67%-14.04%0.710.940.48

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBMFXMERFXPortfolio 1Portfolio 2
VBMFXVanguard Total Bond Market Index Inv1.000.071.000.07
MERFXMerger Investor0.071.000.071.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBMFXVanguard Total Bond Market Index Inv$46,534
MERFXMerger Investor$49,285

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBMFXVanguard Total Bond Market Index Inv100.00%
MERFXMerger Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.81%18.18%-2.66%6.23%17.69%-5.67%
3 years5.56%10.64%1.21%6.11%13.29%1.06%
5 years5.48%9.27%1.91%6.01%12.29%1.83%
7 years5.53%8.47%1.92%5.96%11.81%2.06%
10 years5.58%7.80%3.31%5.86%12.20%2.38%
15 years5.53%7.43%3.73%5.60%8.73%2.84%
Result statistics are based on annualized rolling returns over full calendar year periods