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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Portfolio Analysis Results (Jan 1987 - Jun 2020)

Portfolio Allocations

S&P 500
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
60:40 portfolio
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
S&P 500$500,000$7,017,114 8.20% 10.20%10.62%15.06%37.45%-37.02%-50.97%
(-51.93%)
0.520.740.99
60:40 portfolio$500,000$3,983,384 6.39% 8.86%9.30%9.28%29.74%-20.19%-30.78%
(-32.55%)
0.630.930.97
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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 June
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted quarterly withdrawal of $5,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
S&P 50060:40 portfolioS&P 50060:40 portfolioAdjustment
19874.43%4.71%3.44%$505,672$498,247-$20,6334.71%1.54%
19884.42%16.22%12.67%$565,341$539,210-$21,48416.22%7.35%
19894.65%31.36%24.28%$718,057$645,841-$22,51131.36%13.64%
19906.11%-3.32%1.47%$670,267$630,958-$23,760-3.32%8.65%
19913.06%30.22%24.23%$845,894$757,110-$24,71030.22%15.25%
19922.90%7.42%7.31%$881,737$785,777-$25,4627.42%7.14%
19932.75%9.89%9.81%$941,950$835,968-$26,1959.89%9.68%
19942.67%1.18%-0.36%$925,469$805,649-$26,8911.18%-2.66%
19952.54%37.45%29.74%$1,241,245$1,015,063-$27,62937.45%18.18%
19963.32%22.88%15.16%$1,494,156$1,138,503-$28,45322.88%3.58%
19971.70%33.19%23.69%$1,957,858$1,376,688-$29,08633.19%9.44%
19981.61%28.62%20.60%$2,485,389$1,628,503-$29,53428.62%8.58%
19992.68%21.07%12.34%$2,975,957$1,797,446-$30,19921.07%-0.76%
20003.39%-9.06%-0.88%$2,677,315$1,751,035-$31,281-9.06%11.39%
20011.55%-12.02%-3.84%$2,322,933$1,651,154-$32,091-12.02%8.43%
20022.38%-22.15%-9.98%$1,777,867$1,454,393-$32,607-22.15%8.26%
20031.88%28.50%18.69%$2,246,233$1,689,749-$33,36728.50%3.97%
20043.26%10.74%8.14%$2,451,056$1,791,495-$34,26710.74%4.24%
20053.42%4.77%3.82%$2,531,327$1,823,635-$35,4484.77%2.40%
20062.54%15.64%11.09%$2,887,965$1,987,283-$36,53415.64%4.27%
20074.08%5.39%6.00%$3,005,879$2,068,346-$37,6585.39%6.92%
20080.09%-37.02%-20.19%$1,862,036$1,615,721-$38,976-37.02%5.05%
20092.72%26.49%18.27%$2,309,433$1,867,517-$38,92926.49%5.93%
20101.50%14.91%11.52%$2,610,105$2,040,441-$39,51214.91%6.42%
20112.96%1.97%4.20%$2,620,165$2,084,650-$40,8031.97%7.56%
20121.74%15.82%11.11%$2,992,306$2,273,960-$41,62415.82%4.05%
20131.50%32.18%18.40%$3,907,980$2,647,131-$42,23932.18%-2.26%
20140.76%13.51%10.41%$4,390,605$2,878,009-$42,87313.51%5.76%
20150.73%1.25%0.87%$4,401,666$2,859,646-$42,9521.25%0.30%
20162.07%11.82%8.09%$4,875,902$3,046,305-$43,53011.82%2.50%
20172.11%21.67%14.39%$5,884,333$3,437,679-$44,43921.67%3.46%
20181.91%-4.52%-2.77%$5,575,397$3,298,638-$45,485-4.52%-0.13%
20192.29%31.33%22.24%$7,271,563$3,982,967-$46,33931.33%8.61%
2020-0.23%-3.15%0.63%$7,017,114$3,983,384-$23,281-3.15%6.30%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
S&P 50060:40 portfolioS&P 50060:40 portfolio
1987113.27%8.48%$566,337$542,39113.27%1.29%
198723.97%2.69%$588,793$556,9663.97%0.54%
198732.86%1.58%$600,559$560,6842.86%-0.64%
19874-0.99%-1.78%$594,598$550,701-0.99%-3.20%
198751.04%0.53%$600,764$553,6351.04%-0.39%
198765.02%3.76%$625,795$569,3345.02%1.42%
198774.91%3.20%$656,551$587,5504.91%-0.11%
198783.84%2.32%$681,772$601,1583.84%-0.77%
19879-2.29%-2.28%$660,986$582,276-2.29%-2.25%
198710-21.73%-13.64%$517,373$502,846-21.73%3.50%
198711-8.19%-4.77%$475,026$478,842-8.19%0.69%
1987127.55%5.14%$505,672$498,2477.55%1.62%
198814.17%3.74%$526,782$516,8804.17%3.09%
198824.59%3.24%$550,961$533,6214.59%1.19%
19883-3.04%-2.30%$528,934$516,056-3.04%-1.15%
198841.01%0.39%$534,292$518,0891.01%-0.56%
198850.81%0.12%$538,619$518,7020.81%-0.96%
198864.56%3.83%$557,816$533,2444.56%2.68%
19887-0.37%-0.41%$555,762$531,056-0.37%-0.48%
19888-3.40%-2.03%$536,860$520,258-3.40%0.18%
198894.26%3.45%$554,285$532,7844.26%2.19%
1988102.73%2.24%$569,442$544,7332.73%1.46%
198811-1.47%-1.24%$561,044$537,977-1.47%-0.86%
1988121.74%1.24%$565,341$539,2101.74%0.45%
198917.32%4.74%$606,733$564,7757.32%0.87%
19892-2.47%-1.76%$591,757$554,862-2.47%-0.62%
198932.26%1.48%$599,596$557,5332.26%0.26%
198945.18%3.95%$630,682$579,5525.18%1.98%
198954.04%3.47%$656,134$599,6744.04%2.54%
19896-0.59%0.73%$646,674$598,443-0.59%2.93%
198979.01%6.40%$704,914$636,7279.01%2.19%
198981.86%0.59%$718,018$640,4641.86%-1.60%
19899-0.40%-0.09%$709,457$634,237-0.40%0.47%
198910-2.34%-0.60%$692,861$630,405-2.34%2.46%
1989112.04%1.56%$706,967$640,2162.04%0.75%
1989122.38%1.77%$718,057$645,8412.38%0.74%
19901-6.72%-4.79%$669,817$614,926-6.72%-1.89%
199021.27%1.06%$678,355$621,4371.27%0.75%
199032.61%1.57%$690,218$625,3522.61%0.08%
19904-2.50%-1.86%$672,952$613,752-2.50%-0.90%
199059.69%6.90%$738,179$656,1069.69%2.86%
19906-0.66%0.23%$727,432$651,724-0.66%1.60%
19907-0.35%0.29%$724,881$653,641-0.35%1.27%
19908-9.03%-5.88%$659,408$615,175-9.03%-1.21%
19909-4.89%-2.52%$621,155$593,675-4.89%0.72%
199010-0.41%0.42%$618,613$596,168-0.41%1.49%
1990116.44%4.58%$658,442$623,4786.44%2.23%
1990122.72%2.17%$670,267$630,9582.72%1.45%
199114.35%3.06%$699,446$650,2554.35%1.12%
199127.12%4.63%$749,222$680,3557.12%0.78%
199132.41%1.76%$761,135$686,2002.41%0.69%
199140.20%0.49%$762,635$689,5830.20%0.99%
199154.27%2.92%$795,215$709,7254.27%0.68%
19916-4.56%-2.91%$752,806$682,952-4.56%-0.06%
199174.63%3.38%$787,636$706,0024.63%1.32%
199182.33%2.23%$806,013$721,7232.33%2.05%
19919-1.67%-0.31%$786,358$713,303-1.67%2.01%
1991101.33%1.19%$796,797$721,7761.33%0.96%
199111-4.01%-2.21%$764,840$705,799-4.01%0.74%
19911211.41%8.15%$845,894$757,11011.41%3.04%
19921-1.88%-1.68%$829,974$744,365-1.88%-1.39%
199221.24%0.99%$840,301$751,7521.24%0.62%
19923-1.93%-1.36%$817,816$735,259-1.93%-0.50%
199242.91%2.02%$841,648$750,1472.91%0.71%
199250.48%1.03%$845,728$757,8410.48%1.84%
19926-1.49%-0.37%$826,769$748,722-1.49%1.31%
199274.04%3.17%$860,200$772,4914.04%1.91%
19928-2.07%-0.84%$842,413$766,009-2.07%0.98%
199291.17%1.21%$845,871$768,8641.17%1.26%
1992100.33%-0.31%$848,652$766,5040.33%-1.22%
1992113.40%2.01%$877,525$781,9003.40%-0.02%
1992121.21%1.32%$881,737$785,7771.21%1.48%
199310.81%1.20%$888,839$795,1890.81%1.79%
199321.36%1.60%$900,891$807,9201.36%1.96%
199332.11%1.40%$913,379$812,7722.11%0.37%
19934-2.42%-1.16%$891,238$803,363-2.42%0.74%
199352.65%1.63%$914,884$816,4512.65%0.14%
199360.27%0.88%$910,796$817,1180.27%1.80%
19937-0.42%-0.01%$906,934$817,074-0.42%0.61%
199383.79%2.93%$941,263$841,0203.79%1.69%
19939-0.79%-0.31%$927,220$831,817-0.79%0.40%
1993102.08%1.36%$946,493$843,1232.08%0.30%
199311-1.00%-0.98%$937,070$834,830-1.00%-0.97%
1993121.22%0.93%$941,950$835,9681.22%0.48%
199413.38%2.58%$973,757$857,5483.38%1.39%
19942-2.71%-2.35%$947,323$837,423-2.71%-1.78%
19943-4.39%-3.56%$899,090$800,983-4.39%-2.30%
199441.29%0.44%$910,689$804,4761.29%-0.83%
199451.60%0.97%$925,294$812,2591.60%0.00%
19946-2.45%-1.56%$895,957$792,926-2.45%-0.18%
199473.28%2.70%$925,315$814,3723.28%1.84%
199484.08%2.52%$963,031$834,8754.08%0.14%
19949-2.45%-2.06%$932,714$810,932-2.45%-1.44%
1994102.25%1.35%$953,670$821,8442.25%-0.07%
199411-3.65%-2.32%$918,816$802,760-3.65%-0.18%
1994121.46%1.20%$925,469$805,6491.46%0.80%
199512.58%2.31%$949,376$824,2512.58%1.90%
199523.88%3.20%$986,205$850,6243.88%2.17%
199532.95%2.05%$1,008,481$861,2512.95%0.67%
199542.94%2.31%$1,038,143$881,1192.94%1.31%
199553.95%3.95%$1,079,195$915,9573.95%3.95%
199562.31%1.67%$1,097,237$924,3822.31%0.66%
199573.30%1.95%$1,133,490$942,3753.30%-0.25%
199580.26%0.60%$1,136,493$948,0730.26%1.18%
199594.21%2.99%$1,177,424$969,4634.21%0.95%
199510-0.36%0.31%$1,173,142$972,460-0.36%1.47%
1995114.38%3.29%$1,224,529$1,004,4164.38%1.44%
1995121.93%1.75%$1,241,245$1,015,0631.93%1.44%
199613.39%2.28%$1,283,266$1,038,2363.39%0.63%
199620.92%-0.13%$1,295,119$1,036,8540.92%-1.76%
199630.98%0.30%$1,300,725$1,032,9250.98%-0.77%
199641.46%0.71%$1,319,667$1,040,2671.46%-0.49%
199652.54%1.52%$1,353,245$1,056,0372.54%-0.17%
199660.38%0.71%$1,351,336$1,056,4930.38%1.27%
19967-4.42%-2.67%$1,291,601$1,028,250-4.42%0.25%
199682.10%1.23%$1,318,675$1,040,8482.10%-0.16%
199695.61%4.12%$1,385,463$1,076,6125.61%1.70%
1996102.76%2.55%$1,423,644$1,104,0932.76%2.21%
1996117.56%5.42%$1,531,324$1,163,8857.56%1.76%
199612-1.96%-1.56%$1,494,156$1,138,503-1.96%-0.85%
199716.22%3.83%$1,587,041$1,182,0936.22%0.25%
199720.79%0.53%$1,599,570$1,188,3420.79%0.11%
19973-4.14%-2.92%$1,526,176$1,146,404-4.14%-0.97%
199745.96%4.20%$1,617,069$1,194,5895.96%1.49%
199756.09%4.09%$1,715,518$1,243,5056.09%0.87%
199764.45%3.24%$1,784,668$1,276,4874.45%1.16%
199777.97%6.09%$1,926,828$1,354,2537.97%2.80%
19978-5.61%-3.94%$1,818,752$1,300,936-5.61%-0.85%
199795.47%4.01%$1,910,924$1,345,8095.47%1.45%
199710-3.35%-1.65%$1,846,904$1,323,564-3.35%1.45%
1997114.60%3.04%$1,931,834$1,363,7934.60%0.33%
1997121.72%1.48%$1,957,858$1,376,6881.72%1.04%
199811.11%1.19%$1,979,596$1,393,1281.11%1.32%
199827.19%4.27%$2,121,973$1,452,6657.19%-0.10%
199835.10%3.27%$2,222,933$1,492,8415.10%0.33%
199841.01%0.82%$2,245,334$1,505,1171.01%0.51%
19985-1.74%-0.72%$2,206,187$1,494,332-1.74%1.02%
199864.07%2.84%$2,288,637$1,529,3574.07%0.81%
19987-1.05%-0.58%$2,264,512$1,520,487-1.05%0.23%
19988-14.47%-8.36%$1,936,757$1,393,442-14.47%1.90%
199896.41%4.56%$2,053,522$1,449,6116.41%1.96%
1998108.16%4.63%$2,221,174$1,516,7578.16%-0.55%
1998116.07%3.92%$2,356,034$1,576,2286.07%0.49%
1998125.81%3.79%$2,485,389$1,628,5035.81%0.38%
199914.20%2.84%$2,589,865$1,674,7394.20%0.79%
19992-3.12%-2.59%$2,508,945$1,631,325-3.12%-1.77%
199934.00%2.64%$2,601,748$1,666,8974.00%0.56%
199943.85%2.52%$2,701,967$1,708,8213.85%0.40%
19995-2.39%-1.82%$2,637,416$1,677,775-2.39%-0.88%
199965.56%3.24%$2,776,431$1,724,5815.56%-0.50%
19997-3.13%-2.12%$2,689,523$1,688,053-3.13%-0.39%
19998-0.50%-0.34%$2,676,170$1,682,324-0.50%-0.08%
19999-2.74%-1.23%$2,595,273$1,653,973-2.74%1.26%
1999106.33%4.01%$2,759,462$1,720,3336.33%0.33%
1999112.02%1.28%$2,815,286$1,742,3042.02%0.02%
1999125.98%3.60%$2,975,957$1,797,4465.98%-0.48%
20001-5.03%-3.09%$2,826,203$1,741,927-5.03%-0.17%
20002-1.91%-0.64%$2,772,326$1,730,843-1.91%1.18%
200039.76%6.25%$3,035,156$1,831,3419.76%1.40%
20004-3.01%-2.00%$2,943,935$1,794,752-3.01%-0.49%
20005-2.04%-1.28%$2,883,926$1,771,847-2.04%-0.16%
200062.49%2.35%$2,947,848$1,805,6502.49%2.15%
20007-1.49%-0.52%$2,903,900$1,796,299-1.49%0.88%
200086.19%4.20%$3,083,649$1,871,6746.19%1.40%
20009-5.29%-2.84%$2,912,683$1,810,664-5.29%0.76%
200010-0.43%-0.01%$2,900,161$1,810,458-0.43%0.57%
200011-7.88%-3.88%$2,671,698$1,740,174-7.88%1.58%
2000120.50%1.08%$2,677,315$1,751,0350.50%1.79%
200113.55%2.83%$2,772,228$1,800,6083.55%1.76%
20012-9.14%-5.16%$2,518,909$1,707,679-9.14%0.91%
20013-6.36%-3.45%$2,350,826$1,640,749-6.36%0.54%
200147.77%4.16%$2,533,500$1,708,9877.77%-0.46%
200150.65%0.68%$2,549,967$1,720,6930.65%0.73%
20016-2.45%-1.20%$2,479,554$1,691,991-2.45%0.52%
20017-1.00%0.38%$2,454,763$1,698,375-1.00%2.23%
20018-6.27%-3.07%$2,300,750$1,646,306-6.27%1.11%
20019-8.09%-4.02%$2,106,529$1,572,082-8.09%0.89%
2001101.90%1.88%$2,146,449$1,601,6211.90%1.86%
2001117.65%3.37%$2,310,734$1,655,6097.65%-1.34%
2001120.87%0.21%$2,322,933$1,651,1540.87%-0.58%
20021-1.47%-0.61%$2,288,711$1,641,107-1.47%0.69%
20022-1.94%-0.81%$2,244,398$1,627,877-1.94%0.85%
200233.74%1.60%$2,320,320$1,645,8233.74%-1.46%
20024-6.07%-2.97%$2,179,369$1,596,923-6.07%1.69%
20025-0.75%-0.10%$2,162,929$1,595,267-0.75%0.80%
20026-7.13%-4.00%$2,000,474$1,523,360-7.13%0.29%
20027-7.72%-4.10%$1,846,052$1,460,932-7.72%0.48%
200280.65%1.12%$1,858,099$1,477,2830.65%1.66%
20029-10.87%-5.11%$1,647,845$1,393,649-10.87%1.53%
2002108.78%4.11%$1,792,573$1,450,9098.78%-0.61%
2002115.88%3.10%$1,897,890$1,495,8325.88%0.02%
200212-5.89%-2.22%$1,777,867$1,454,393-5.89%2.07%
20031-2.62%-1.55%$1,731,202$1,431,788-2.62%0.05%
20032-1.52%-0.34%$1,704,912$1,426,892-1.52%1.38%
200330.96%0.51%$1,712,891$1,425,8170.96%-0.13%
200348.25%5.22%$1,854,264$1,500,2248.25%0.87%
200355.26%3.91%$1,951,868$1,558,8585.26%1.82%
200361.26%0.72%$1,968,148$1,561,7941.26%-0.13%
200371.74%-0.20%$2,002,474$1,558,6541.74%-3.34%
200381.93%1.44%$2,041,172$1,581,1401.93%0.61%
20039-1.07%0.32%$2,010,922$1,577,782-1.07%2.71%
2003105.64%3.16%$2,124,364$1,627,5865.64%-0.96%
2003110.86%0.65%$2,142,725$1,638,1600.86%0.27%
2003125.22%3.66%$2,246,233$1,689,7495.22%0.88%
200411.82%1.44%$2,287,145$1,714,0501.82%0.86%
200421.38%1.24%$2,318,650$1,735,2991.38%1.03%
20043-1.51%-0.60%$2,275,078$1,716,466-1.51%0.80%
20044-1.58%-1.99%$2,239,205$1,682,233-1.58%-2.61%
200451.36%0.64%$2,269,610$1,693,0681.36%-0.43%
200461.93%1.39%$2,304,819$1,707,9711.93%0.56%
20047-3.31%-1.63%$2,228,509$1,680,067-3.31%0.96%
200480.38%1.01%$2,237,037$1,697,0510.38%1.94%
200491.07%0.70%$2,252,316$1,700,3181.07%0.16%
2004101.51%1.24%$2,286,432$1,721,4851.51%0.85%
2004114.05%2.09%$2,378,939$1,757,5004.05%-0.81%
2004123.39%2.42%$2,451,056$1,791,4953.39%0.92%
20051-2.45%-1.21%$2,390,900$1,769,802-2.45%0.65%
200522.09%0.99%$2,440,957$1,787,2362.09%-0.63%
20053-1.76%-1.25%$2,389,249$1,756,118-1.76%-0.49%
20054-1.91%-0.59%$2,343,568$1,745,725-1.91%1.35%
200553.17%2.30%$2,417,799$1,785,8133.17%1.05%
200560.13%0.30%$2,412,074$1,782,3750.13%0.55%
200573.71%1.79%$2,501,475$1,814,2583.71%-0.99%
20058-0.91%-0.01%$2,478,630$1,814,031-0.91%1.36%
200590.79%0.03%$2,489,317$1,805,6140.79%-1.10%
200510-1.68%-1.33%$2,447,535$1,781,549-1.68%-0.81%
2005113.76%2.45%$2,539,675$1,825,2053.76%0.48%
2005120.02%0.40%$2,531,327$1,823,6350.02%0.99%
200612.65%1.54%$2,598,289$1,851,7972.65%-0.11%
200620.26%0.31%$2,605,117$1,857,4760.26%0.37%
200631.23%0.35%$2,628,136$1,854,9921.23%-1.00%
200641.33%0.73%$2,663,181$1,868,6241.33%-0.21%
20065-2.90%-1.82%$2,586,038$1,834,647-2.90%-0.09%
200660.13%0.12%$2,580,163$1,827,6400.13%0.10%
200670.61%0.90%$2,595,822$1,844,0270.61%1.35%
200682.36%2.08%$2,657,134$1,882,3642.36%1.64%
200692.56%1.88%$2,716,066$1,908,5222.56%0.81%
2006103.25%2.27%$2,804,365$1,951,8323.25%0.72%
2006111.89%1.59%$2,857,344$1,982,8911.89%1.11%
2006121.39%0.68%$2,887,965$1,987,2831.39%-0.48%
200711.49%0.86%$2,931,089$2,004,4361.49%-0.08%
20072-1.97%-0.59%$2,873,369$1,992,553-1.97%1.50%
200731.11%0.67%$2,896,018$1,996,6281.11%0.02%
200744.42%2.85%$3,023,962$2,053,4834.42%0.51%
200753.48%1.81%$3,129,107$2,090,5683.48%-0.78%
20076-1.68%-1.18%$3,067,227$2,056,411-1.68%-0.39%
20077-3.08%-1.57%$2,972,608$2,024,119-3.08%0.84%
200781.50%1.44%$3,017,148$2,053,1961.50%1.34%
200793.72%2.54%$3,120,071$2,095,8573.72%0.72%
2007101.58%1.33%$3,169,331$2,123,6421.58%0.93%
200711-4.19%-1.83%$3,036,638$2,084,775-4.19%1.91%
200712-0.70%-0.33%$3,005,879$2,068,346-0.70%0.22%
20081-6.02%-2.93%$2,825,059$2,007,667-6.02%1.69%
20082-3.25%-1.81%$2,733,203$1,971,338-3.25%0.19%
20083-0.44%-0.13%$2,711,502$1,959,205-0.44%0.30%
200844.85%2.64%$2,843,123$2,010,9394.85%-0.30%
200851.29%0.43%$2,879,871$2,019,4931.29%-0.79%
20086-8.44%-4.96%$2,626,961$1,909,349-8.44%-0.01%
20087-0.83%-0.47%$2,605,112$1,900,358-0.83%0.00%
200881.45%1.12%$2,642,790$1,921,6621.45%0.70%
20089-8.91%-5.52%$2,397,522$1,805,658-8.91%-1.10%
200810-16.79%-10.32%$1,994,920$1,619,346-16.79%-2.53%
200811-7.17%-1.84%$1,851,788$1,589,590-7.17%3.64%
2008121.07%2.24%$1,862,036$1,615,7211.07%3.32%
20091-8.41%-5.33%$1,705,391$1,529,665-8.41%-0.70%
20092-10.66%-6.36%$1,523,647$1,432,328-10.66%-0.42%
200938.76%5.51%$1,647,494$1,501,6548.76%1.48%
200949.56%5.61%$1,804,975$1,585,8979.56%0.36%
200955.62%3.67%$1,906,373$1,644,1495.62%0.85%
200960.22%0.35%$1,900,807$1,640,0870.22%0.54%
200977.58%5.13%$2,044,848$1,724,2827.58%1.43%
200983.60%2.61%$2,118,439$1,769,2493.60%1.01%
200993.72%2.76%$2,187,405$1,808,3473.72%1.19%
200910-1.87%-1.02%$2,146,552$1,789,895-1.87%0.41%
2009115.98%4.24%$2,274,946$1,865,7665.98%1.36%
2009121.95%0.62%$2,309,433$1,867,5171.95%-1.68%
20101-3.60%-1.53%$2,226,206$1,838,870-3.60%1.57%
201023.09%1.90%$2,295,037$1,873,7573.09%0.20%
201036.01%3.54%$2,423,203$1,930,2646.01%-0.08%
201041.58%1.38%$2,461,441$1,956,8131.58%1.06%
20105-8.01%-4.54%$2,264,400$1,867,972-8.01%0.87%
20106-5.24%-2.41%$2,135,895$1,813,010-5.24%1.61%
201077.00%4.39%$2,285,324$1,892,6677.00%0.94%
20108-4.53%-2.03%$2,181,804$1,854,172-4.53%1.48%
201098.92%5.08%$2,366,513$1,938,4338.92%-0.01%
2010103.79%2.39%$2,456,164$1,984,6733.79%0.36%
2010110.00%-0.23%$2,456,164$1,980,1530.00%-0.57%
2010126.67%3.55%$2,610,105$2,040,4416.67%-1.15%
201112.36%1.45%$2,671,628$2,069,9722.36%0.08%
201123.42%2.13%$2,762,898$2,114,1173.42%0.16%
201130.03%0.01%$2,753,494$2,104,2950.03%-0.01%
201142.95%2.32%$2,834,665$2,153,0422.95%1.32%
20115-1.15%-0.21%$2,802,197$2,148,594-1.15%1.30%
20116-1.67%-1.17%$2,745,123$2,113,182-1.67%-0.39%
20117-2.05%-0.63%$2,688,934$2,099,935-2.05%1.58%
20118-5.45%-2.68%$2,542,482$2,043,713-5.45%1.46%
20119-7.04%-3.73%$2,353,159$1,957,269-7.04%0.89%
20111010.91%6.21%$2,609,978$2,078,72510.91%0.16%
201111-0.23%-0.26%$2,603,880$2,073,261-0.23%-0.30%
2011121.02%1.04%$2,620,165$2,084,6501.02%1.08%
201214.46%3.03%$2,737,145$2,147,7734.46%0.87%
201224.31%2.60%$2,855,030$2,203,6634.31%-0.05%
201233.28%1.81%$2,938,337$2,233,1013.28%-0.58%
20124-0.64%0.02%$2,919,545$2,233,616-0.64%1.14%
20125-6.02%-3.39%$2,743,851$2,157,821-6.02%0.95%
201264.11%2.51%$2,846,211$2,201,5104.11%0.04%
201271.37%1.38%$2,885,203$2,231,8051.37%1.39%
201282.24%1.39%$2,949,813$2,262,8392.24%0.03%
201292.58%1.64%$3,015,345$2,289,4952.58%0.11%
201210-1.86%-1.12%$2,959,274$2,263,769-1.86%0.11%
2012110.56%0.42%$2,975,845$2,273,2970.56%0.19%
2012120.90%0.49%$2,992,306$2,273,9600.90%-0.20%
201315.18%2.82%$3,147,195$2,338,0995.18%-0.71%
201321.34%1.03%$3,189,334$2,362,2141.34%0.54%
201333.74%2.33%$3,298,039$2,406,8013.74%0.08%
201341.91%1.53%$3,360,985$2,443,7271.91%0.91%
201352.33%0.82%$3,439,211$2,463,7542.33%-1.71%
20136-1.35%-1.46%$3,382,196$2,417,192-1.35%-1.65%
201375.07%3.30%$3,553,750$2,496,9545.07%0.20%
20138-2.91%-2.11%$3,450,270$2,444,244-2.91%-0.64%
201393.12%2.35%$3,547,379$2,491,0473.12%0.96%
2013104.59%3.24%$3,710,080$2,571,7944.59%0.78%
2013113.03%1.86%$3,822,438$2,619,7383.03%-0.35%
2013122.51%1.45%$3,907,980$2,647,1312.51%-0.65%
20141-3.47%-1.46%$3,772,407$2,608,373-3.47%1.54%
201424.56%2.88%$3,944,454$2,683,4484.56%0.48%
201430.82%0.43%$3,966,256$2,684,3490.82%-0.15%
201440.72%0.74%$3,994,975$2,704,3000.72%0.77%
201452.33%1.82%$4,088,256$2,753,5072.33%1.05%
201462.05%1.28%$4,161,360$2,777,9722.05%0.11%
20147-1.39%-0.94%$4,103,598$2,751,754-1.39%-0.26%
201483.98%2.85%$4,266,987$2,830,2943.98%1.13%
20149-1.41%-1.14%$4,195,939$2,787,124-1.41%-0.72%
2014102.42%1.84%$4,297,616$2,838,5272.42%0.94%
2014112.68%1.90%$4,412,895$2,892,3692.68%0.65%
201412-0.26%-0.13%$4,390,605$2,878,009-0.26%0.09%
20151-3.02%-0.89%$4,258,117$2,852,507-3.02%2.31%
201525.74%2.92%$4,502,515$2,935,8845.74%-1.08%
20153-1.59%-0.80%$4,420,075$2,901,729-1.59%0.41%
201540.95%0.42%$4,462,026$2,913,9890.95%-0.36%
201551.27%0.59%$4,518,809$2,931,0691.27%-0.45%
20156-1.93%-1.57%$4,420,666$2,874,298-1.93%-1.01%
201572.08%1.56%$4,512,628$2,919,0512.08%0.76%
20158-6.04%-3.80%$4,239,994$2,808,017-6.04%-0.36%
20159-2.49%-1.17%$4,123,650$2,764,497-2.49%0.76%
2015108.42%4.93%$4,470,973$2,900,7278.42%0.01%
2015110.29%0.07%$4,483,777$2,902,6690.29%-0.27%
201512-1.59%-1.11%$4,401,666$2,859,646-1.59%-0.38%
20161-4.98%-2.41%$4,182,610$2,790,607-4.98%1.43%
20162-0.15%0.19%$4,176,538$2,795,899-0.15%0.66%
201636.78%4.34%$4,448,742$2,906,4516.78%0.94%
201640.37%0.38%$4,465,367$2,917,3620.37%0.38%
201651.78%1.07%$4,544,980$2,948,5271.78%0.01%
201660.25%0.92%$4,545,435$2,964,8860.25%1.94%
201673.68%2.45%$4,712,542$3,037,5373.68%0.64%
201680.13%0.01%$4,718,644$3,037,8850.13%-0.17%
201690.01%-0.03%$4,708,106$3,026,0770.01%-0.09%
201610-1.83%-1.43%$4,621,802$2,982,902-1.83%-0.81%
2016113.70%1.17%$4,792,763$3,017,8733.70%-2.64%
2016121.96%1.30%$4,875,902$3,046,3051.96%0.24%
201711.88%1.25%$4,967,722$3,084,3181.88%0.29%
201723.96%2.65%$5,164,580$3,166,1743.96%0.66%
201730.10%0.03%$5,158,715$3,156,1980.10%-0.07%
201741.02%0.92%$5,211,237$3,185,1971.02%0.76%
201751.39%1.11%$5,283,868$3,220,6621.39%0.67%
201760.61%0.38%$5,305,099$3,221,8530.61%0.01%
201772.04%1.41%$5,413,454$3,267,1702.04%0.39%
201780.29%0.51%$5,429,339$3,283,7250.29%0.85%
201792.06%1.07%$5,529,966$3,307,5942.06%-0.54%
2017102.32%1.49%$5,658,127$3,356,8382.32%0.11%
2017113.06%1.86%$5,831,229$3,419,3243.06%-0.17%
2017121.10%0.86%$5,884,333$3,437,6791.10%0.44%
201815.71%2.99%$6,220,485$3,540,4605.71%-1.09%
20182-3.69%-2.67%$5,990,662$3,445,938-3.69%-1.03%
20183-2.56%-1.31%$5,826,284$3,389,405-2.56%0.63%
201840.37%-0.11%$5,848,030$3,385,8060.37%-0.83%
201852.39%1.69%$5,988,066$3,442,9742.39%0.61%
201860.61%0.38%$6,012,895$3,444,6370.61%0.03%
201873.71%2.28%$6,235,931$3,523,0643.71%0.03%
201883.25%2.21%$6,438,366$3,600,7503.25%0.52%
201890.55%0.14%$6,462,634$3,594,4730.55%-0.54%
201810-6.85%-4.57%$6,020,008$3,430,197-6.85%-0.73%
2018112.03%1.45%$6,142,012$3,479,7972.03%0.53%
201812-9.04%-4.88%$5,575,397$3,298,638-9.04%1.80%
201918.00%5.20%$6,021,545$3,470,2998.00%1.01%
201923.20%1.95%$6,214,265$3,537,8843.20%-0.06%
201931.94%1.94%$6,323,111$3,595,1521.94%1.96%
201944.04%2.54%$6,578,636$3,686,3304.04%0.04%
20195-6.36%-3.35%$6,159,932$3,562,680-6.36%1.83%
201967.03%4.76%$6,581,565$3,720,5717.03%1.15%
201971.43%0.98%$6,675,411$3,756,9401.43%0.23%
20198-1.59%0.03%$6,569,198$3,758,120-1.59%2.78%
201991.86%0.92%$6,679,691$3,781,1891.86%-0.60%
2019102.15%1.43%$6,823,639$3,835,1002.15%0.21%
2019113.62%2.25%$7,070,683$3,921,5423.62%-0.06%
2019123.01%1.86%$7,271,563$3,982,9673.01%-0.15%
20201-0.05%0.82%$7,267,904$4,015,442-0.05%2.11%
20202-8.24%-4.21%$6,668,932$3,846,365-8.24%1.71%
20203-12.37%-7.30%$5,832,166$3,553,833-12.37%-0.59%
2020412.81%7.68%$6,579,491$3,826,89512.81%1.69%
202054.76%2.92%$6,892,404$3,938,5324.76%0.54%
202061.98%1.43%$7,017,114$3,983,3841.98%0.70%
* End-of-month balance includes the quarterly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryS&P 50060:40 portfolio
Large-cap Value46.63%26.33%
Large-cap Growth53.29%33.63%
Mid-cap Value0.00%0.90%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.67%
Corporate Bonds0.00%5.69%
Long-Term Treasuries0.01%0.96%
Intermediate-Term Treasuries0.08%12.17%
Short-Term Treasuries0.00%19.66%
R Squared99.92%99.73%
Style analysis is based on monthly returns from Apr 2005 to Jun 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 S&P 500

Holdings Based Style Analysis for S&P 500
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%22.30$7,657,894100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for 60:40 portfolio

Holdings Based Style Analysis for 60:40 portfolio
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend60.00%0.14%22.30$3,423,46796.05%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%0.15%6.21$1,200,6973.95%
100.00%0.14%22.306.21$4,624,164100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (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
MetricS&P 50060:40 portfolio
Arithmetic Mean (monthly)0.91%0.75%
Arithmetic Mean (annualized)11.46%9.33%
Geometric Mean (monthly)0.81%0.71%
Geometric Mean (annualized)10.20%8.86%
Volatility (monthly)4.35%2.68%
Volatility (annualized)15.06%9.28%
Downside Deviation (monthly)2.93%1.71%
Max. Drawdown-50.97%-30.78%
US Market Correlation0.990.97
Beta(*)0.970.59
Alpha (annualized)0.36%2.57%
R297.95%94.45%
Sharpe Ratio0.520.63
Sortino Ratio0.740.93
Treynor Ratio (%)8.039.97
Calmar Ratio0.540.78
Active Return0.13%-1.21%
Tracking Error2.19%6.66%
Information Ratio0.06-0.18
Skewness-0.81-0.77
Excess Kurtosis2.612.73
Historical Value-at-Risk (5%)-7.12%-3.99%
Analytical Value-at-Risk (5%)-6.24%-3.66%
Conditional Value-at-Risk (5%)-10.11%-5.89%
Upside Capture Ratio (%)97.6263.06
Downside Capture Ratio (%)96.2554.51
Safe Withdrawal Rate8.99%7.69%
Perpetual Withdrawal Rate7.05%5.89%
Positive Periods265 out of 402 (65.92%)271 out of 402 (67.41%)
Gain/Loss Ratio0.890.99
* 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 PeriodStartEndS&P 50060:40 portfolio
Black Monday PeriodSep 1987Nov 1987-29.78%-19.63%
Asian CrisisJul 1997Jan 1998-5.61%-3.94%
Russian Debt DefaultJul 1998Oct 1998-15.38%-8.89%
Dotcom CrashMar 2000Oct 2002-44.82%-22.16%
Subprime CrisisNov 2007Mar 2009-50.97%-30.78%

Drawdowns for S&P 500

Drawdowns for S&P 500 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jan 2020Mar 20203 months-19.63%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
8Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
10Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
Worst 10 drawdowns included above

Drawdowns for 60:40 portfolio

Drawdowns for 60:40 portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-30.78%
2Sep 2000Sep 20022 years 1 monthOct 20042 years 1 month4 years 2 months-22.16%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-19.63%
4Feb 2020Mar 20202 months-11.20%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-8.89%
6Aug 1990Sep 19902 monthsJan 19914 months6 months-8.26%
7May 2011Sep 20115 monthsJan 20124 months9 months-8.17%
8Oct 2018Dec 20183 monthsMar 20193 months6 months-7.91%
9Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.98%
10Jun 2015Sep 20154 monthsMar 20166 months10 months-4.96%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.20%15.06%37.45%-37.02%-50.97%0.520.740.99
VBMFXVanguard Total Bond Market Index Inv5.96%3.80%18.18%-2.66%-5.86%0.741.200.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVBMFXS&P 50060:40 portfolio
VFINXVanguard 500 Index Investor1.000.081.000.99
VBMFXVanguard Total Bond Market Index Inv0.081.000.080.24

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameS&P 50060:40 portfolio
VFINXVanguard 500 Index Investor$7,657,894$3,423,467
VBMFXVanguard Total Bond Market Index Inv$1,200,697

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameS&P 50060:40 portfolio
VFINXVanguard 500 Index Investor100.00%96.05%
VBMFXVanguard Total Bond Market Index Inv3.95%

Annual Asset Returns

Rolling returns summary
Roll PeriodS&P 50060:40 portfolio
AverageHighLowAverageHighLow
1 year11.88%37.45%-37.02%9.51%29.74%-20.19%
3 years10.80%31.03%-14.60%9.10%22.72%-4.98%
5 years10.31%28.49%-2.38%8.87%20.15%1.08%
7 years10.00%21.44%-1.64%8.73%15.48%1.73%
10 years9.49%19.04%-1.46%8.48%15.15%1.90%
15 years8.28%13.56%4.13%7.79%11.50%5.22%
Result statistics are based on annualized rolling returns over full calendar year periods