Backtest Portfolio Asset Allocation

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

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

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Portfolio Analysis Results (Jan 2012 - Oct 2020)

Portfolio Allocations

Advisor portfolio
Ticker Name Allocation
VIGAX Vanguard Growth Index Admiral 12.00%
VVIAX Vanguard Value Index Adm 12.00%
VMGRX Vanguard Mid Cap Growth Inv 5.00%
VMVAX Vanguard Mid-Cap Value Index Admiral 5.00%
VSGAX Vanguard Small Cap Growth Index Admiral 5.00%
VSIAX Vanguard Small Cap Value Index Admiral 5.00%
BND Vanguard Total Bond Market ETF 56.00%
Save portfolio »
Simpler portfolio
Ticker Name Allocation
BND Vanguard Total Bond Market ETF 56.00%
VTI Vanguard Total Stock Market ETF 24.00%
VIMAX Vanguard Mid Cap Index Admiral 10.00%
VSMAX Vanguard Small Cap Index Adm 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Advisor portfolio$10,000$19,175 7.65% 6.40%18.29%-2.80%-9.84% 1.081.700.96
Simpler portfolio$10,000$19,061 7.58% 6.48%18.15%-3.17%-10.13% 1.061.650.95
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
Advisor portfolio-0.26%4.26%7.37%6.97%7.03%7.65%
Simpler portfolio-0.21%3.89%6.95%6.67%6.91%7.58%
Trailing returns are for full months ending in October 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 October
  • 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 Growth Index Admiral (VIGAX)Vanguard Value Index Adm (VVIAX)Vanguard Mid Cap Growth Inv (VMGRX)Vanguard Mid-Cap Value Index Admiral (VMVAX)Vanguard Small Cap Growth Index Admiral (VSGAX)Vanguard Small Cap Value Index Admiral (VSIAX)Vanguard Total Bond Market ETF (BND)Vanguard Total Stock Market ETF (VTI)Vanguard Mid Cap Index Admiral (VIMAX)Vanguard Small Cap Index Adm (VSMAX)
Advisor portfolioSimpler portfolioAdvisor portfolioSimpler portfolio
20121.74%9.00%9.14%$10,900$10,91417.01%15.18%14.84%16.02%17.66%18.77%3.16%16.45%15.99%18.24%
20131.50%14.01%14.15%$12,426$12,45832.40%33.05%34.15%37.66%38.22%36.58%-2.10%33.45%35.15%37.81%
20140.76%8.45%8.40%$13,476$13,50413.63%13.18%10.86%13.98%4.02%10.55%5.82%12.54%13.76%7.50%
20150.73%0.17%-0.10%$13,498$13,4913.30%-0.86%0.21%-1.80%-2.52%-4.65%0.56%0.36%-1.34%-3.64%
20162.07%6.73%7.44%$14,407$14,4956.12%16.86%0.44%15.26%10.73%24.78%2.52%12.83%11.22%18.30%
20172.11%11.03%10.64%$15,996$16,03727.80%17.13%22.01%17.04%21.92%11.80%3.57%21.21%19.25%16.24%
20181.91%-2.80%-3.17%$15,548$15,528-3.34%-5.43%-3.29%-12.42%-5.68%-12.23%-0.12%-5.21%-9.23%-9.31%
20192.29%18.29%18.15%$18,392$18,34637.23%25.82%32.07%27.99%32.76%22.76%8.83%30.67%31.03%27.37%
20201.29%4.26%3.89%$19,175$19,06121.69%-12.51%11.86%-12.64%9.50%-15.68%6.26%3.41%0.10%-4.40%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Growth Index Admiral (VIGAX)Vanguard Value Index Adm (VVIAX)Vanguard Mid Cap Growth Inv (VMGRX)Vanguard Mid-Cap Value Index Admiral (VMVAX)Vanguard Small Cap Growth Index Admiral (VSGAX)Vanguard Small Cap Value Index Admiral (VSIAX)Vanguard Total Bond Market ETF (BND)Vanguard Total Stock Market ETF (VTI)Vanguard Mid Cap Index Admiral (VIMAX)Vanguard Small Cap Index Adm (VSMAX)
Advisor portfolioSimpler portfolioAdvisor portfolioSimpler portfolio
201212.80%2.93%$10,280$10,2936.26%3.42%6.43%5.19%7.14%6.86%0.63%5.07%6.57%7.01%
201221.92%1.84%$10,477$10,4824.88%3.92%5.84%3.62%3.85%2.53%0.04%4.22%4.35%3.19%
201230.97%0.95%$10,579$10,5813.41%2.88%1.93%2.03%2.28%2.35%-0.51%3.06%1.98%2.30%
201240.36%0.26%$10,617$10,609-0.30%-0.89%1.06%-0.71%-0.95%-0.89%1.10%-0.64%-0.60%-0.90%
20125-2.56%-2.56%$10,345$10,337-6.37%-5.96%-7.78%-6.80%-7.23%-6.31%0.93%-6.23%-7.21%-6.77%
201261.72%1.73%$10,522$10,5172.96%4.70%2.43%3.38%4.70%4.31%0.07%4.05%2.50%4.51%
201270.85%0.81%$10,612$10,6021.29%1.24%-1.60%0.70%-1.22%-0.38%1.23%0.88%0.01%-0.80%
201281.37%1.43%$10,758$10,7533.36%1.45%3.94%2.51%3.99%2.95%0.16%2.70%3.07%3.46%
201291.21%1.23%$10,888$10,8852.03%3.04%1.61%2.01%2.65%2.90%0.18%2.49%2.07%2.76%
201210-0.80%-0.79%$10,801$10,799-3.09%-0.52%-2.33%-0.07%-2.32%-0.62%-0.10%-1.81%-1.15%-1.46%
2012110.62%0.62%$10,868$10,8661.99%-0.53%1.96%1.17%1.52%0.88%0.27%0.77%1.53%1.19%
2012120.29%0.44%$10,900$10,9140.05%1.94%1.23%2.43%2.78%3.34%-0.88%1.29%2.46%3.09%
201312.19%2.22%$11,139$11,1564.39%6.37%5.94%7.19%6.13%6.51%-0.69%5.42%6.70%6.35%
201320.91%0.89%$11,240$11,2551.02%1.52%1.39%1.68%0.93%1.75%0.54%1.28%1.35%1.36%
201331.93%1.97%$11,456$11,4783.64%3.93%3.70%4.91%4.90%4.55%0.08%3.95%4.38%4.69%
201341.07%1.15%$11,579$11,6091.53%2.19%-0.04%1.67%-0.48%-0.06%1.01%1.61%1.73%0.16%
201350.20%0.18%$11,602$11,6301.70%2.49%3.70%1.78%4.31%3.11%-1.93%2.44%1.82%3.63%
20136-1.45%-1.47%$11,433$11,460-1.98%-0.81%-1.11%-1.19%-0.79%-1.15%-1.65%-1.43%-1.17%-0.99%
201372.95%3.05%$11,770$11,8095.31%5.19%6.28%5.50%6.68%6.69%0.38%5.75%5.64%6.68%
20138-1.80%-1.89%$11,559$11,587-1.70%-3.60%-2.35%-2.95%-1.92%-4.22%-0.86%-3.03%-2.49%-3.17%
201392.60%2.75%$11,860$11,9054.75%2.16%4.52%4.03%6.15%5.33%1.11%3.90%4.53%5.71%
2013102.35%2.34%$12,138$12,1844.27%4.56%1.94%4.53%2.54%3.92%0.86%4.27%3.39%3.28%
2013111.24%1.14%$12,289$12,3232.38%3.23%2.60%2.85%2.35%3.00%-0.29%2.70%2.01%2.72%
2013121.11%1.10%$12,426$12,4583.38%2.06%3.55%2.83%2.46%2.70%-0.64%2.73%2.98%2.59%
20141-0.39%-0.33%$12,377$12,417-2.99%-3.59%-2.91%-2.52%-1.16%-2.80%1.55%-3.17%-2.31%-2.05%
201422.44%2.49%$12,679$12,7265.56%3.94%6.12%5.44%5.13%5.02%0.47%4.87%6.01%5.07%
20143-0.04%-0.03%$12,674$12,722-1.59%2.62%-1.45%1.06%-2.23%1.34%-0.17%0.51%-0.28%-0.32%
201440.20%0.15%$12,699$12,7400.10%0.89%-2.83%0.40%-3.71%-1.16%0.80%0.06%-0.84%-2.31%
201451.50%1.44%$12,890$12,9243.55%1.43%2.21%1.76%0.67%1.61%1.05%2.10%2.31%1.17%
201461.37%1.47%$13,066$13,1142.41%1.91%3.49%2.72%5.81%4.30%0.08%2.62%3.01%5.00%
20147-1.27%-1.40%$12,901$12,931-1.63%-1.27%-2.60%-2.53%-5.20%-4.70%-0.28%-1.99%-2.52%-4.94%
201482.54%2.61%$13,228$13,2694.71%3.50%4.42%3.85%4.81%5.14%1.14%4.15%4.75%5.00%
20149-1.58%-1.69%$13,019$13,044-1.89%-1.35%-3.12%-3.42%-4.92%-5.62%-0.57%-2.10%-3.20%-5.32%
2014101.81%1.86%$13,255$13,2863.06%1.90%3.81%3.50%3.97%4.95%0.72%2.75%3.44%4.49%
2014111.55%1.46%$13,460$13,4812.97%2.42%3.79%2.61%0.89%1.07%0.83%2.48%2.82%0.99%
2014120.11%0.17%$13,476$13,504-0.96%0.33%0.06%0.72%0.75%1.69%0.06%-0.04%0.27%1.25%
201510.28%0.28%$13,513$13,541-1.49%-4.01%-1.65%-2.35%-0.84%-3.30%2.40%-2.74%-1.97%-2.15%
201521.78%1.75%$13,754$13,7786.29%5.25%7.14%5.37%5.97%5.74%-1.31%5.74%6.02%5.84%
201530.15%0.18%$13,774$13,803-1.21%-1.58%1.45%-0.31%1.16%1.23%0.55%-1.16%0.34%1.20%
20154-0.27%-0.25%$13,737$13,768-0.07%1.60%-1.62%-0.04%-2.19%-1.26%-0.32%0.62%-0.41%-1.69%
201550.42%0.35%$13,796$13,8171.46%1.12%2.36%1.18%2.78%1.34%-0.50%1.30%1.06%2.03%
20156-1.33%-1.29%$13,612$13,638-1.60%-2.17%-1.04%-2.35%-0.23%-1.43%-1.11%-1.67%-1.81%-0.87%
201571.11%1.00%$13,763$13,7733.19%0.95%1.67%0.98%0.55%-1.01%0.88%1.70%1.25%-0.29%
20158-2.77%-2.74%$13,382$13,396-6.26%-5.82%-6.25%-4.44%-7.00%-4.77%-0.25%-6.09%-5.12%-5.82%
20159-0.98%-1.04%$13,251$13,257-2.85%-2.48%-3.70%-3.36%-5.56%-3.59%0.81%-2.92%-3.66%-4.50%
2015103.03%2.97%$13,652$13,6508.95%7.61%5.07%6.33%4.63%6.61%0.03%7.91%5.97%5.70%
2015110.07%0.13%$13,663$13,6680.16%0.40%0.36%0.52%2.40%1.35%-0.39%0.60%0.28%1.81%
201512-1.20%-1.30%$13,498$13,491-2.40%-0.98%-2.80%-2.76%-3.37%-4.89%-0.18%-2.13%-2.66%-4.18%
20161-2.18%-2.21%$13,203$13,192-5.92%-4.75%-9.09%-6.96%-9.06%-6.45%1.20%-5.72%-7.44%-7.65%
201620.59%0.69%$13,282$13,284-0.45%0.10%-0.10%1.35%0.10%1.59%0.85%-0.01%1.23%0.92%
201633.59%3.70%$13,758$13,7757.13%6.59%7.16%7.82%7.72%8.90%0.88%7.11%7.97%8.37%
201640.52%0.61%$13,830$13,859-0.75%1.53%-0.41%1.00%1.29%2.08%0.40%0.66%0.54%1.74%
201650.79%0.78%$13,939$13,9682.46%1.13%2.21%1.45%2.55%1.43%-0.01%1.73%1.85%1.93%
201661.08%1.21%$14,090$14,138-0.67%1.09%-3.06%0.29%0.50%0.11%2.02%0.27%-0.07%0.26%
201672.15%2.25%$14,393$14,4554.78%2.83%4.04%4.23%5.56%4.69%0.60%3.98%4.64%5.07%
20168-0.04%-0.04%$14,388$14,449-0.31%0.65%-0.40%0.96%0.50%0.72%-0.31%0.21%0.16%0.64%
201690.16%0.19%$14,411$14,4770.65%-0.44%0.22%0.41%0.54%0.31%0.11%0.21%0.36%0.41%
201610-1.68%-1.79%$14,169$14,218-2.65%-1.15%-2.86%-2.48%-5.42%-3.01%-0.94%-2.19%-3.08%-4.10%
2016110.78%0.99%$14,279$14,3591.19%5.96%3.82%5.99%6.55%10.28%-2.57%4.49%4.69%8.60%
2016120.89%0.95%$14,407$14,4951.08%2.64%-0.14%1.03%0.63%2.83%0.33%1.98%0.66%1.88%
201711.03%1.00%$14,555$14,6403.65%0.63%2.63%2.23%2.74%0.67%0.19%1.86%2.98%1.57%
201721.87%1.79%$14,828$14,9034.36%3.62%2.91%3.36%2.75%2.06%0.62%3.69%3.09%2.37%
201730.02%-0.03%$14,831$14,8981.32%-0.98%0.46%-0.25%0.45%-0.75%-0.04%0.06%0.02%-0.24%
201740.93%0.91%$14,969$15,0332.32%0.00%1.60%0.40%1.37%0.42%0.80%1.06%1.18%0.85%
201750.79%0.62%$15,086$15,1272.81%0.11%2.15%0.13%0.34%-2.34%0.71%1.01%0.91%-1.12%
201760.45%0.55%$15,154$15,210-0.46%1.71%0.28%0.90%2.03%2.42%0.05%0.95%0.66%2.24%
201770.98%0.98%$15,302$15,3602.54%1.57%0.73%1.65%1.29%0.95%0.40%1.88%1.73%1.11%
201780.48%0.35%$15,376$15,4131.19%-0.44%1.24%-1.22%-0.37%-1.42%0.86%0.15%-0.57%-0.94%
201790.93%1.03%$15,520$15,5721.05%3.01%2.22%2.71%3.81%4.90%-0.47%2.44%2.26%4.41%
2017100.95%0.85%$15,666$15,7042.85%1.80%2.79%0.79%2.37%0.87%-0.03%2.17%1.44%1.55%
2017111.39%1.38%$15,885$15,9212.53%3.53%3.21%3.44%3.02%3.16%-0.11%3.03%3.17%3.10%
2017120.70%0.73%$15,996$16,0370.73%1.49%-0.11%1.81%0.27%0.47%0.54%1.16%0.94%0.38%
201811.49%1.28%$16,234$16,2436.87%4.78%6.02%3.78%3.91%1.98%-1.24%5.23%4.36%2.85%
20182-2.22%-2.33%$15,873$15,863-2.90%-4.36%-2.14%-4.69%-3.22%-4.75%-1.04%-3.76%-4.06%-4.07%
20183-0.12%0.00%$15,853$15,864-2.51%-2.53%0.29%-0.28%1.51%0.81%0.69%-1.95%-0.11%1.14%
20184-0.32%-0.35%$15,803$15,8090.29%0.47%0.29%0.39%0.26%0.40%-0.85%0.45%-0.15%0.34%
201851.74%1.74%$16,077$16,0834.36%0.62%4.17%0.05%5.81%4.50%0.68%2.72%1.78%5.08%
201860.29%0.32%$16,124$16,1341.19%0.18%0.24%0.93%1.18%0.35%-0.04%0.70%0.92%0.73%
201871.30%1.25%$16,333$16,3362.49%4.67%1.95%3.25%1.00%2.52%-0.04%3.32%2.58%1.84%
201882.03%1.96%$16,665$16,6564.71%1.96%5.45%0.51%7.02%2.43%0.67%3.43%2.51%4.49%
20189-0.32%-0.46%$16,611$16,5800.44%0.57%0.65%-0.65%-1.33%-1.73%-0.55%0.20%-0.47%-1.54%
201810-4.28%-4.31%$15,900$15,865-9.03%-4.98%-9.83%-7.05%-11.34%-9.01%-0.86%-7.41%-8.39%-10.08%
2018111.22%1.31%$16,094$16,0730.66%3.39%0.85%2.30%1.92%2.39%0.64%2.01%2.41%2.17%
201812-3.39%-3.39%$15,548$15,528-8.61%-9.33%-9.81%-10.66%-10.70%-11.44%1.87%-9.16%-9.88%-11.10%
201914.90%4.91%$16,310$16,2919.31%7.02%12.70%9.89%12.58%11.22%1.11%8.54%10.56%11.85%
201921.79%1.80%$16,602$16,5843.65%2.91%5.87%3.58%5.84%3.94%-0.09%3.56%4.23%4.82%
201931.48%1.43%$16,847$16,8213.16%0.57%1.20%-0.01%0.30%-1.95%1.94%1.42%1.32%-0.90%
201941.85%1.77%$17,159$17,1194.72%3.38%4.55%3.74%3.26%3.92%-0.02%3.93%3.75%3.61%
20195-2.14%-2.17%$16,791$16,748-6.33%-6.33%-5.21%-7.16%-6.33%-8.07%1.83%-6.45%-6.06%-7.25%
201963.90%3.90%$17,445$17,4016.79%7.17%6.69%7.84%7.34%6.77%1.25%7.08%7.07%7.05%
201970.72%0.72%$17,571$17,5262.27%0.76%1.12%0.90%1.80%0.78%0.15%1.41%1.32%1.27%
201980.31%0.20%$17,625$17,561-0.50%-2.91%-2.42%-3.31%-2.40%-5.43%2.77%-2.08%-2.72%-4.01%
201990.37%0.50%$17,690$17,6480.24%3.38%-1.67%4.43%-1.52%3.95%-0.57%1.78%2.07%1.38%
2019100.95%0.99%$17,858$17,8222.50%1.86%0.79%0.38%1.48%1.70%0.31%2.11%1.10%1.61%
2019111.78%1.73%$18,176$18,1303.98%3.43%4.15%3.06%6.17%2.52%-0.04%3.79%3.22%4.15%
2019121.19%1.19%$18,392$18,3463.11%2.73%1.56%2.74%1.49%2.78%-0.07%2.80%2.42%2.19%
202010.95%0.87%$18,567$18,5053.09%-2.52%1.01%-1.72%-0.36%-3.40%1.98%-0.06%-0.24%-2.03%
20202-2.64%-2.67%$18,077$18,012-6.48%-9.83%-6.30%-10.54%-6.87%-10.20%1.67%-8.00%-8.75%-8.67%
20203-7.39%-7.67%$16,740$16,631-10.52%-14.64%-16.41%-21.94%-18.34%-24.93%-1.43%-13.91%-18.39%-21.84%
202046.75%6.80%$17,871$17,76315.12%10.70%14.10%12.74%16.47%12.93%2.76%13.13%14.40%14.64%
202052.92%2.87%$18,394$18,2736.98%2.83%11.57%4.18%10.77%4.77%0.67%5.40%7.13%7.74%
202061.31%1.32%$18,634$18,5144.77%-0.97%2.64%1.02%3.03%2.08%0.67%2.29%1.96%2.54%
202073.18%3.17%$19,226$19,1007.63%3.60%6.37%5.35%5.75%3.31%1.45%5.74%6.47%4.51%
202081.97%1.79%$19,606$19,44110.13%4.24%4.12%3.05%3.46%4.64%-0.94%7.10%3.15%4.07%
20209-1.34%-1.35%$19,343$19,180-4.66%-2.20%-1.18%-1.82%-1.52%-3.76%-0.10%-3.54%-1.71%-2.72%
202010-0.87%-0.62%$19,175$19,061-3.27%-2.06%-1.12%0.65%0.89%3.03%-0.56%-1.95%-0.09%2.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryAdvisor portfolioSimpler portfolio
Large-cap Value7.97%6.98%
Large-cap Growth17.81%16.03%
Mid-cap Value7.14%8.37%
Mid-cap Growth8.38%8.38%
Small-cap Value0.00%0.94%
Small-cap Growth2.52%3.03%
Global ex-US Developed Markets0.38%0.68%
Emerging Markets0.00%0.00%
Corporate Bonds21.05%21.41%
Long-Term Treasuries0.75%1.05%
Intermediate-Term Treasuries9.22%9.88%
Short-Term Treasuries24.77%23.26%
R Squared99.20%99.18%
Style analysis is based on monthly returns from Jan 2012 to Oct 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 Advisor portfolio

Holdings Based Style Analysis for Advisor portfolio
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VIGAXVanguard Growth Index AdmiralLarge Growth12.00%0.05%36.18$2,57324.77%
VVIAXVanguard Value Index AdmLarge Value12.00%0.05%18.60$1,46821.34%
VMGRXVanguard Mid Cap Growth InvMid-Cap Growth5.00%0.36%35.30$82311.00%
VMVAXVanguard Mid-Cap Value Index AdmiralMid-Cap Value5.00%0.07%19.12$58810.79%
VSGAXVanguard Small Cap Growth Index AdmiralSmall Growth5.00%0.07%32.57$83111.94%
VSIAXVanguard Small Cap Value Index AdmiralSmall Value5.00%0.07%15.63$51511.79%
BNDVanguard Total Bond Market ETFIntermediate Core Bond56.00%0.04%6.56$2,3788.37%
100.00%0.06%26.606.56$9,175100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Simpler portfolio

Holdings Based Style Analysis for Simpler portfolio
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond56.00%0.04%6.56$2,3788.22%
VTIVanguard Total Stock Market ETFLarge Blend24.00%0.03%25.00$3,90446.79%
VIMAXVanguard Mid Cap Index AdmiralMid-Cap Blend10.00%0.05%24.69$1,46321.45%
VSMAXVanguard Small Cap Index AdmSmall Blend10.00%0.05%20.30$1,31623.54%
100.00%0.04%23.866.56$9,061100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (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
MetricAdvisor portfolioSimpler portfolio
Arithmetic Mean (monthly)0.63%0.63%
Arithmetic Mean (annualized)7.87%7.80%
Geometric Mean (monthly)0.62%0.61%
Geometric Mean (annualized)7.65%7.58%
Volatility (monthly)1.85%1.87%
Volatility (annualized)6.40%6.48%
Downside Deviation (monthly)1.15%1.18%
Max. Drawdown-9.84%-10.13%
US Market Correlation0.960.95
Beta(*)0.460.46
Alpha (annualized)1.40%1.28%
R291.51%90.88%
Sharpe Ratio1.081.06
Sortino Ratio1.701.65
Treynor Ratio (%)15.1814.90
Calmar Ratio0.710.66
Active Return-5.77%-5.84%
Tracking Error7.51%7.47%
Information Ratio-0.77-0.78
Skewness-0.73-0.77
Excess Kurtosis3.733.97
Historical Value-at-Risk (5%)-2.62%-2.63%
Analytical Value-at-Risk (5%)-2.43%-2.48%
Conditional Value-at-Risk (5%)-4.09%-4.15%
Upside Capture Ratio (%)46.3046.36
Downside Capture Ratio (%)41.2441.93
Safe Withdrawal Rate16.46%16.49%
Perpetual Withdrawal Rate6.16%6.09%
Positive Periods79 out of 106 (74.53%)79 out of 106 (74.53%)
Gain/Loss Ratio0.850.83
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Advisor portfolio

Drawdowns for Advisor portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-9.84%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.70%
3Jun 2015Jan 20168 monthsApr 20163 months11 months-4.29%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-2.66%
5May 2012May 20121 monthAug 20123 months4 months-2.56%
6Sep 2020Oct 20202 months-2.20%
7May 2019May 20191 monthJun 20191 month2 months-2.14%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.80%
9Oct 2016Oct 20161 monthJan 20173 months4 months-1.68%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.58%
Worst 10 drawdowns included above

Drawdowns for Simpler portfolio

Drawdowns for Simpler portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-10.13%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.77%
3Jun 2015Jan 20168 monthsApr 20163 months11 months-4.52%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-2.67%
5May 2012May 20121 monthAug 20123 months4 months-2.56%
6May 2019May 20191 monthJun 20191 month2 months-2.17%
7Sep 2020Oct 20202 months-1.96%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.89%
9Oct 2016Oct 20161 monthDec 20162 months3 months-1.79%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.69%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIGAXVanguard Growth Index Admiral16.93%14.17%37.23%-3.34%-16.32%1.131.970.96
VVIAXVanguard Value Index Adm10.68%12.86%33.05%-12.51%-24.97%0.801.170.96
VMGRXVanguard Mid Cap Growth Inv13.23%15.26%34.15%-3.29%-21.67%0.851.330.94
VMVAXVanguard Mid-Cap Value Index Admiral10.22%15.02%37.66%-12.64%-31.36%0.680.940.95
VSGAXVanguard Small Cap Growth Index Admiral13.47%16.61%38.22%-5.68%-24.22%0.811.230.93
VSIAXVanguard Small Cap Value Index Admiral9.15%16.98%36.58%-15.68%-35.18%0.570.770.92
BNDVanguard Total Bond Market ETF3.18%3.28%8.83%-2.10%-4.01%0.781.340.03
VTIVanguard Total Stock Market ETF13.56%13.42%33.45%-5.21%-20.84%0.971.501.00
VIMAXVanguard Mid Cap Index Admiral12.26%14.63%35.15%-9.23%-25.72%0.821.220.97
VSMAXVanguard Small Cap Index Adm11.24%16.52%37.81%-9.31%-30.07%0.690.990.94

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIGAXVVIAXVMGRXVMVAXVSGAXVSIAXBNDVTIVIMAXVSMAXAdvisor portfolioSimpler portfolio
VIGAXVanguard Growth Index Admiral1.000.860.930.870.890.820.120.960.920.870.940.93
VVIAXVanguard Value Index Adm0.861.000.860.960.850.92-0.070.960.930.910.890.89
VMGRXVanguard Mid Cap Growth Inv0.930.861.000.910.970.890.050.940.960.940.930.93
VMVAXVanguard Mid-Cap Value Index Admiral0.870.960.911.000.910.970.020.960.980.960.930.93
VSGAXVanguard Small Cap Growth Index Admiral0.890.850.970.911.000.930.070.930.960.980.930.93
VSIAXVanguard Small Cap Value Index Admiral0.820.920.890.970.931.00-0.030.930.950.980.900.91
BNDVanguard Total Bond Market ETF0.12-0.070.050.020.07-0.031.000.030.070.020.290.29
VTIVanguard Total Stock Market ETF0.960.960.940.960.930.930.031.000.970.940.960.95
VIMAXVanguard Mid Cap Index Admiral0.920.930.960.980.960.950.070.971.000.970.960.96
VSMAXVanguard Small Cap Index Adm0.870.910.940.960.980.980.020.940.971.000.930.94

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameAdvisor portfolioSimpler portfolio
VIGAXVanguard Growth Index Admiral$2,573
VVIAXVanguard Value Index Adm$1,468
VMGRXVanguard Mid Cap Growth Inv$823
VMVAXVanguard Mid-Cap Value Index Admiral$588
VSGAXVanguard Small Cap Growth Index Admiral$831
VSIAXVanguard Small Cap Value Index Admiral$515
BNDVanguard Total Bond Market ETF$2,378$2,378
VTIVanguard Total Stock Market ETF$3,904
VIMAXVanguard Mid Cap Index Admiral$1,463
VSMAXVanguard Small Cap Index Adm$1,316

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameAdvisor portfolioSimpler portfolio
VIGAXVanguard Growth Index Admiral24.77%
VVIAXVanguard Value Index Adm21.34%
VMGRXVanguard Mid Cap Growth Inv11.00%
VMVAXVanguard Mid-Cap Value Index Admiral10.79%
VSGAXVanguard Small Cap Growth Index Admiral11.94%
VSIAXVanguard Small Cap Value Index Admiral11.79%
BNDVanguard Total Bond Market ETF8.37%8.22%
VTIVanguard Total Stock Market ETF46.79%
VIMAXVanguard Mid Cap Index Admiral21.45%
VSMAXVanguard Small Cap Index Adm23.54%

Annual Asset Returns

Rolling returns summary
Roll PeriodAdvisor portfolioSimpler portfolio
AverageHighLowAverageHighLow
1 year8.11%18.29%-2.80%8.08%18.15%-3.17%
3 years7.01%10.45%4.83%6.98%10.53%4.80%
5 years6.64%7.97%4.58%6.63%8.00%4.50%
7 years7.13%7.76%6.51%7.10%7.70%6.49%
Result statistics are based on annualized rolling returns over full calendar year periods