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 5
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Asset 6
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Portfolio Analysis Results (Jan 2009 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VPGDX Vanguard Managed Allocation Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 45.00%
BND Vanguard Total Bond Market ETF 55.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VSCGX Vanguard LifeStrategy Cnsrv Gr Inv 50.00%
VSMGX Vanguard LifeStrategy Moderate Gr Inv 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$27,165 8.68% 10.05%23.51%-5.67%-16.02% 0.831.310.95
Portfolio 2$10,000$28,659 9.17% 7.11%18.72%-2.39%-9.49% 1.202.040.97
Portfolio 3$10,000$27,168 8.69% 8.11%18.69%-3.93%-11.16% 1.011.660.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 110.00%6.89%5.25%7.28%6.82%8.68%11.59%9.34%
Portfolio 27.01%13.69%9.63%9.48%8.41%9.17%9.27%7.50%
Portfolio 38.02%12.55%8.32%8.87%7.39%8.69%9.67%7.88%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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 2Portfolio 3Vanguard Managed Allocation Investor (VPGDX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market ETF (BND)Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)
ReturnBalanceReturnBalanceReturnBalance
20092.72%23.51%$12,35114.97%$11,49718.69%$11,86923.51%28.83%3.64%17.06%20.33%
20101.50%13.67%$14,04011.17%$12,78212.23%$13,32113.67%17.26%6.20%11.14%13.31%
20112.96%0.69%$14,1374.84%$13,4011.01%$13,4550.69%1.08%7.92%1.76%0.26%
20121.74%11.02%$15,6949.11%$14,62210.48%$14,86511.02%16.38%3.16%9.19%11.76%
20131.50%15.97%$18,20113.93%$16,65812.06%$16,65815.97%33.52%-2.10%9.08%15.04%
20140.76%5.82%$19,2618.85%$18,1337.01%$17,8265.82%12.56%5.82%6.95%7.07%
20150.73%-0.72%$19,1210.48%$18,220-0.37%$17,760-0.72%0.39%0.56%-0.17%-0.57%
20162.07%7.55%$20,5647.09%$19,5126.55%$18,9237.55%12.66%2.52%5.96%7.13%
20172.11%13.29%$23,29711.49%$21,75312.98%$21,37913.29%21.17%3.57%10.92%15.04%
20181.91%-5.67%$21,977-2.39%$21,233-3.93%$20,539-5.67%-5.17%-0.12%-2.95%-4.91%
20192.29%15.64%$25,41418.72%$25,20817.53%$24,13815.64%30.80%8.83%15.68%19.37%
20201.36%6.89%$27,16513.69%$28,65912.55%$27,1686.89%20.99%7.71%11.51%13.59%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard Managed Allocation Investor (VPGDX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market ETF (BND)Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)
20091-6.01%-4.86%-5.22%-6.01%-8.26%-2.08%-4.14%-6.30%
20092-6.82%-4.87%-6.27%-6.82%-10.45%-0.59%-5.33%-7.22%
200935.92%4.21%5.80%5.92%8.73%1.09%4.99%6.64%
200946.73%4.78%6.11%6.73%10.60%0.46%5.24%7.01%
200956.12%2.77%4.01%6.12%5.33%0.67%3.55%4.48%
200960.22%0.50%0.34%0.22%0.37%0.62%0.43%0.25%
200975.90%4.33%5.17%5.90%7.87%1.31%4.54%5.81%
200982.46%2.26%2.53%2.46%3.63%1.01%2.31%2.75%
200993.46%2.57%2.84%3.46%4.25%1.00%2.46%3.21%
200910-1.05%-1.14%-0.94%-1.05%-2.61%0.27%-0.60%-1.27%
2009114.14%3.41%3.57%4.14%5.66%1.30%3.11%4.02%
2009121.40%0.67%0.23%1.40%2.85%-1.45%-0.04%0.50%
20101-2.76%-0.85%-1.18%-2.76%-3.46%1.29%-0.66%-1.70%
201021.77%1.65%1.59%1.77%3.36%0.33%1.40%1.78%
201033.99%2.67%3.18%3.99%6.26%-0.22%2.58%3.79%
201041.19%1.59%1.29%1.19%2.21%1.07%1.22%1.36%
20105-5.68%-3.11%-3.80%-5.68%-8.00%1.13%-2.99%-4.62%
20106-2.35%-1.69%-1.86%-2.35%-5.67%1.45%-1.31%-2.42%
201076.48%3.47%4.48%6.48%7.03%0.86%3.80%5.18%
20108-2.39%-1.20%-1.59%-2.39%-4.75%1.56%-1.09%-2.10%
201096.66%4.00%5.03%6.66%9.50%-0.00%4.09%5.99%
2010103.20%1.93%2.14%3.20%3.94%0.32%1.82%2.45%
201011-1.23%-0.11%-0.51%-1.23%0.58%-0.68%-0.49%-0.52%
2010124.87%2.56%3.25%4.87%6.83%-1.02%2.50%3.99%
201111.48%1.03%1.02%1.48%2.19%0.09%0.92%1.12%
201122.61%1.81%1.92%2.61%3.63%0.29%1.57%2.27%
201130.55%0.13%0.14%0.55%0.45%-0.15%0.12%0.15%
201143.12%2.17%2.57%3.12%2.99%1.46%2.27%2.86%
20115-0.95%0.08%-0.40%-0.95%-1.16%1.18%-0.18%-0.62%
20116-1.40%-1.03%-1.09%-1.40%-1.79%-0.38%-0.96%-1.22%
20117-0.31%-0.14%-0.57%-0.31%-2.22%1.63%-0.30%-0.84%
20118-3.30%-1.79%-3.28%-3.30%-6.02%1.66%-2.63%-3.92%
20119-7.16%-2.96%-4.40%-7.16%-7.75%0.66%-3.54%-5.27%
2011107.85%4.79%5.64%7.85%11.54%0.11%4.66%6.66%
201111-1.15%-0.16%-0.63%-1.15%-0.29%-0.06%-0.55%-0.72%
2011120.10%1.02%0.46%0.10%0.82%1.18%0.60%0.31%
201213.95%2.63%3.29%3.95%5.08%0.63%2.77%3.81%
201222.77%1.98%2.23%2.77%4.26%0.04%1.80%2.66%
201231.17%1.18%0.65%1.17%3.07%-0.51%0.41%0.88%
20124-0.30%0.27%0.10%-0.30%-0.63%1.10%0.29%-0.10%
20125-5.19%-2.48%-3.41%-5.19%-6.23%0.93%-2.53%-4.28%
201263.29%1.84%2.23%3.29%3.94%0.07%1.77%2.69%
201271.79%1.14%1.14%1.79%1.03%1.23%1.19%1.10%
201281.30%1.26%1.35%1.30%2.51%0.16%1.12%1.58%
201291.23%1.31%1.49%1.23%2.58%0.18%1.18%1.80%
201210-1.05%-0.89%-0.49%-1.05%-1.76%-0.10%-0.35%-0.62%
2012110.68%0.49%0.65%0.68%0.74%0.27%0.58%0.72%
2012121.18%0.12%0.92%1.18%1.22%-0.88%0.68%1.16%
201313.36%2.09%2.10%3.36%5.50%-0.69%1.53%2.68%
201320.27%0.88%0.52%0.27%1.28%0.54%0.52%0.52%
201332.10%1.87%1.56%2.10%3.91%0.08%1.28%1.84%
201341.96%1.34%1.57%1.96%1.70%1.01%1.43%1.71%
20135-0.54%0.12%-0.50%-0.54%2.35%-1.93%-0.73%-0.27%
20136-2.06%-1.45%-1.76%-2.06%-1.24%-1.65%-1.74%-1.78%
201373.37%2.87%2.71%3.37%5.46%0.38%2.21%3.19%
20138-1.77%-1.83%-1.55%-1.77%-2.80%-0.86%-1.37%-1.73%
201393.29%2.38%2.84%3.29%3.67%1.11%2.49%3.19%
2013102.99%2.56%2.37%2.99%4.25%0.86%2.04%2.69%
2013110.99%1.33%0.91%0.99%2.88%-0.29%0.67%1.14%
2013121.15%1.08%0.80%1.15%2.66%-0.64%0.50%1.08%
20141-1.86%-0.55%-1.03%-1.86%-3.11%1.55%-0.50%-1.56%
201423.56%2.35%2.67%3.56%4.75%0.47%2.23%3.12%
201430.56%0.14%0.24%0.56%0.52%-0.17%0.18%0.30%
201440.78%0.47%0.58%0.78%0.06%0.80%0.60%0.55%
201451.52%1.55%1.56%1.52%2.17%1.05%1.47%1.65%
201461.23%1.21%1.23%1.23%2.57%0.08%1.02%1.44%
20147-1.02%-1.06%-0.93%-1.02%-1.98%-0.28%-0.75%-1.12%
201482.13%2.52%2.19%2.13%4.18%1.14%1.99%2.39%
20149-2.30%-1.28%-1.81%-2.30%-2.11%-0.57%-1.57%-2.04%
2014101.47%1.64%1.44%1.47%2.74%0.72%1.34%1.54%
2014110.97%1.57%1.21%0.97%2.43%0.83%1.11%1.32%
201412-1.22%0.03%-0.45%-1.22%0.00%0.06%-0.31%-0.59%
20151-0.11%0.07%0.15%-0.11%-2.77%2.40%0.54%-0.25%
201522.86%1.78%2.31%2.86%5.76%-1.31%1.67%2.96%
20153-0.47%-0.16%-0.32%-0.47%-1.01%0.55%-0.15%-0.49%
201541.24%0.01%0.66%1.24%0.42%-0.32%0.43%0.89%
201550.10%0.36%0.10%0.10%1.39%-0.50%0.00%0.20%
20156-1.41%-1.38%-1.55%-1.41%-1.70%-1.11%-1.49%-1.61%
201570.36%1.23%0.87%0.36%1.65%0.88%0.87%0.87%
20158-3.97%-2.88%-3.40%-3.97%-6.00%-0.25%-2.80%-4.01%
20159-1.11%-0.85%-1.27%-1.11%-2.94%0.81%-0.83%-1.70%
2015103.79%3.42%3.64%3.79%7.86%0.03%2.91%4.38%
201511-0.54%0.04%-0.14%-0.54%0.56%-0.39%-0.11%-0.17%
201512-1.24%-1.02%-1.24%-1.24%-2.04%-0.18%-1.10%-1.37%
20161-2.25%-1.88%-2.06%-2.25%-5.65%1.20%-1.35%-2.78%
20162-0.00%0.46%-0.02%-0.00%-0.04%0.85%0.17%-0.22%
201634.58%3.53%4.15%4.58%7.03%0.88%3.48%4.83%
201640.62%0.51%0.81%0.62%0.65%0.40%0.72%0.90%
201650.17%0.79%0.40%0.17%1.77%-0.01%0.33%0.46%
201661.31%1.22%0.86%1.31%0.25%2.02%1.08%0.64%
201672.25%2.09%2.45%2.25%3.95%0.60%2.11%2.79%
20168-0.06%-0.05%0.18%-0.06%0.28%-0.31%0.11%0.25%
201690.44%0.13%0.32%0.44%0.15%0.11%0.26%0.37%
201610-1.29%-1.52%-1.51%-1.29%-2.21%-0.94%-1.43%-1.59%
2016110.34%0.60%-0.17%0.34%4.45%-2.57%-0.54%0.21%
2016121.35%1.08%1.12%1.35%1.93%0.33%0.97%1.26%
201711.30%0.97%1.32%1.30%1.93%0.19%1.03%1.61%
201721.91%2.02%1.78%1.91%3.71%0.62%1.56%2.00%
201730.49%0.02%0.57%0.49%0.08%-0.04%0.45%0.68%
201740.88%0.91%1.10%0.88%1.05%0.80%1.00%1.19%
201750.99%0.85%1.20%0.99%1.02%0.71%1.10%1.29%
201760.32%0.46%0.32%0.32%0.93%0.05%0.20%0.44%
201771.75%1.08%1.44%1.75%1.87%0.40%1.25%1.63%
201780.64%0.53%0.60%0.64%0.16%0.86%0.67%0.54%
201790.80%0.90%0.86%0.80%2.46%-0.47%0.58%1.14%
2017101.49%1.02%1.14%1.49%2.17%-0.03%0.97%1.32%
2017110.90%1.41%1.06%0.90%3.04%-0.11%0.86%1.26%
2017121.09%0.77%0.88%1.09%1.01%0.54%0.76%1.00%
201812.98%1.71%2.24%2.98%5.32%-1.24%1.60%2.87%
20182-2.81%-2.28%-2.41%-2.81%-3.71%-1.04%-2.02%-2.79%
20183-0.48%-0.54%-0.40%-0.48%-1.98%0.69%-0.20%-0.59%
201840.20%-0.30%0.01%0.20%0.38%-0.85%-0.10%0.11%
201850.31%1.66%0.70%0.31%2.82%0.68%0.66%0.74%
20186-0.86%0.29%-0.12%-0.86%0.67%-0.04%-0.05%-0.18%
201871.45%1.53%1.52%1.45%3.35%-0.04%1.22%1.82%
20188-0.05%1.98%0.75%-0.05%3.45%0.67%0.65%0.84%
201890.16%-0.21%-0.11%0.16%0.16%-0.55%-0.18%-0.04%
201810-4.18%-4.00%-4.15%-4.18%-7.40%-0.86%-3.41%-4.89%
2018111.11%1.30%1.12%1.11%2.08%0.64%0.98%1.26%
201812-3.42%-3.33%-2.94%-3.42%-9.30%1.87%-2.02%-3.87%
201914.88%4.48%4.57%4.88%8.60%1.11%3.86%5.28%
201921.55%1.60%1.39%1.55%3.51%-0.09%1.08%1.69%
201930.99%1.70%1.58%0.99%1.45%1.94%1.69%1.47%
201941.58%1.88%1.74%1.58%3.98%-0.02%1.36%2.12%
20195-3.11%-2.18%-2.28%-3.11%-6.43%1.83%-1.49%-3.05%
201963.52%3.91%3.87%3.52%6.99%1.25%3.36%4.39%
20197-0.04%0.77%0.36%-0.04%1.44%0.15%0.39%0.33%
20198-0.51%0.47%0.24%-0.51%-2.01%2.77%0.73%-0.25%
201991.29%0.50%0.78%1.29%1.70%-0.57%0.51%1.05%
2019101.52%1.16%1.28%1.52%2.11%0.31%1.02%1.54%
2019110.79%1.79%1.30%0.79%3.78%-0.04%1.01%1.59%
2019122.37%1.36%1.59%2.37%2.86%-0.07%1.23%1.93%
20201-1.04%1.05%0.37%-1.04%-0.08%1.98%0.71%0.03%
20202-4.29%-2.71%-3.12%-4.29%-8.16%1.67%-2.22%-4.02%
20203-11.34%-6.61%-7.91%-11.34%-13.77%-1.43%-6.58%-9.27%
202045.77%6.83%6.33%5.77%13.26%2.76%5.40%7.32%
202052.59%2.60%2.78%2.59%5.37%0.67%2.32%3.26%
202061.84%1.35%1.93%1.84%2.29%0.67%1.70%2.16%
202073.48%3.24%3.21%3.48%5.65%1.45%2.85%3.58%
202082.99%2.60%2.50%2.99%7.17%-0.94%1.80%3.21%
20209-1.76%-1.67%-1.28%-1.76%-3.56%-0.10%-0.94%-1.62%
202010-1.17%-1.27%-1.24%-1.17%-2.15%-0.56%-1.06%-1.41%
2020117.67%6.08%6.59%7.67%12.20%1.21%5.44%7.76%
2020123.38%2.17%2.61%3.38%4.46%0.15%2.13%3.09%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value11.25%13.24%12.83%
Large-cap Growth13.58%23.20%15.40%
Mid-cap Value8.21%4.59%1.93%
Mid-cap Growth1.01%3.01%4.97%
Small-cap Value0.00%0.35%0.94%
Small-cap Growth0.00%1.42%0.00%
Global ex-US Developed Markets17.80%0.21%10.73%
Emerging Markets8.97%0.55%4.08%
Corporate Bonds11.71%13.73%14.28%
Long-Term Treasuries0.00%2.73%0.00%
Intermediate-Term Treasuries3.22%10.22%11.64%
Short-Term Treasuries24.26%26.76%23.21%
R Squared97.70%99.51%99.35%
Style analysis is based on monthly returns from January 2009 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VPGDXVanguard Managed Allocation Investor50% to 70% Equity100.00%1.60%0.30%21.497.17$17,165100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend45.00%1.37%0.04%27.11$14,13493.35%
BNDVanguard Total Bond Market ETFIntermediate Core Bond55.00%1.29%0.04%6.61$4,5256.65%
100.00%1.33%0.04%27.116.61$18,659100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSCGXVanguard LifeStrategy Cnsrv Gr Inv30% to 50% Equity50.00%1.55%0.12%23.507.18$7,73541.16%
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity50.00%1.57%0.13%23.537.18$9,43458.84%
100.00%1.56%0.13%23.527.18$17,168100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2021. (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 2Portfolio 3
Arithmetic Mean (monthly)0.74%0.75%0.72%
Arithmetic Mean (annualized)9.23%9.44%9.04%
Geometric Mean (monthly)0.70%0.73%0.70%
Geometric Mean (annualized)8.68%9.17%8.69%
Volatility (monthly)2.90%2.05%2.34%
Volatility (annualized)10.05%7.11%8.11%
Downside Deviation (monthly)1.82%1.19%1.40%
Max. Drawdown-16.02%-9.49%-11.16%
US Market Correlation0.950.970.96
Beta(*)0.620.450.51
Alpha (annualized)-0.67%2.18%0.90%
R290.55%94.17%92.76%
Sharpe Ratio0.831.201.01
Sortino Ratio1.312.041.66
Treynor Ratio (%)13.4419.0616.10
Calmar Ratio0.331.050.77
Active Return-6.44%-5.95%-6.44%
Tracking Error6.60%8.67%7.89%
Information Ratio-0.98-0.69-0.82
Skewness-0.55-0.40-0.39
Excess Kurtosis2.131.451.55
Historical Value-at-Risk (5%)-4.14%-2.85%-3.38%
Analytical Value-at-Risk (5%)-4.03%-2.66%-3.12%
Conditional Value-at-Risk (5%)-6.33%-4.08%-4.82%
Upside Capture Ratio (%)57.2946.8749.47
Downside Capture Ratio (%)63.9140.3748.73
Safe Withdrawal Rate13.61%12.88%12.81%
Perpetual Withdrawal Rate6.33%6.75%6.33%
Positive Periods95 out of 144 (65.97%)105 out of 144 (72.92%)100 out of 144 (69.44%)
Gain/Loss Ratio1.030.961.00
* 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
1Jan 2020Mar 20203 monthsNov 20208 months11 months-16.02%
2May 2011Sep 20115 monthsMar 20126 months11 months-12.60%
3Jan 2009Feb 20092 monthsMay 20093 months5 months-12.42%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.40%
5May 2010Jun 20102 monthsSep 20103 months5 months-7.89%
6Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.37%
7Apr 2012May 20122 monthsAug 20123 months5 months-5.48%
8May 2019May 20191 monthJun 20191 month2 months-3.11%
9Jan 2010Jan 20101 monthMar 20102 months3 months-2.76%
10May 2013Jun 20132 monthsJul 20131 month3 months-2.58%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-9.49%
2Feb 2020Mar 20202 monthsJun 20203 months5 months-9.14%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-6.18%
4Jun 2011Sep 20114 monthsJan 20124 months8 months-5.81%
5May 2010Jun 20102 monthsSep 20103 months5 months-4.74%
6Jun 2015Sep 20154 monthsMar 20166 months10 months-3.87%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.10%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-2.92%
9May 2012May 20121 monthJul 20122 months3 months-2.48%
10May 2019May 20191 monthJun 20191 month2 months-2.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-11.16%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-10.78%
3May 2011Sep 20115 monthsFeb 20125 months10 months-9.43%
4Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-6.03%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.60%
6Jun 2015Sep 20154 monthsJun 20169 months1 year 1 month-5.29%
7May 2012May 20121 monthAug 20123 months4 months-3.41%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-2.50%
9May 2019May 20191 monthJun 20191 month2 months-2.28%
10May 2013Jun 20132 monthsJul 20131 month3 months-2.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VPGDXVanguard Managed Allocation Investor8.68%10.05%23.51%-5.67%-16.02%0.831.310.95
VTSAXVanguard Total Stock Mkt Idx Adm15.25%15.40%33.52%-5.17%-20.87%0.971.571.00
BNDVanguard Total Bond Market ETF3.92%3.23%8.83%-2.10%-4.01%1.051.850.03
VSCGXVanguard LifeStrategy Cnsrv Gr Inv7.85%6.70%17.06%-2.95%-9.25%1.081.840.94
VSMGXVanguard LifeStrategy Moderate Gr Inv9.51%9.56%20.33%-4.91%-13.06%0.941.540.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameVPGDXVTSAXBNDVSCGXVSMGXPortfolio 1Portfolio 2Portfolio 3
VPGDXVanguard Managed Allocation Investor1.000.950.160.970.981.000.950.98
VTSAXVanguard Total Stock Mkt Idx Adm0.951.000.030.940.970.950.970.96
BNDVanguard Total Bond Market ETF0.160.031.000.310.190.160.270.24
VSCGXVanguard LifeStrategy Cnsrv Gr Inv0.970.940.311.000.990.970.981.00
VSMGXVanguard LifeStrategy Moderate Gr Inv0.980.970.190.991.000.980.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VPGDXVanguard Managed Allocation Investor$17,165
VTSAXVanguard Total Stock Mkt Idx Adm$14,134
BNDVanguard Total Bond Market ETF$4,525
VSCGXVanguard LifeStrategy Cnsrv Gr Inv$7,735
VSMGXVanguard LifeStrategy Moderate Gr Inv$9,434

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VPGDXVanguard Managed Allocation Investor100.00%
VTSAXVanguard Total Stock Mkt Idx Adm93.35%
BNDVanguard Total Bond Market ETF6.65%
VSCGXVanguard LifeStrategy Cnsrv Gr Inv41.16%
VSMGXVanguard LifeStrategy Moderate Gr Inv58.84%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.14%39.57%-9.72%8.87%28.03%-2.76%8.17%34.12%-4.79%
3 years7.50%19.92%0.01%8.15%15.72%4.81%7.35%16.94%3.28%
5 years7.37%16.13%1.62%7.96%13.38%4.65%7.16%13.76%3.49%
7 years7.32%11.44%3.65%7.93%10.28%6.05%7.13%10.07%4.87%
10 years7.59%10.33%5.32%8.31%9.55%6.88%7.52%9.38%5.81%