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 2008 - Jun 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VEDTX Vanguard Extended Duration Trs Idx Instl 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VEDTX Vanguard Extended Duration Trs Idx Instl 20.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$28,284 8.01% 21.42%55.79%-36.65%-37.63% 0.440.77-0.33
Portfolio 2$10,000$43,260 11.46% 12.14%28.35%-18.53%-33.99% 0.911.380.92
Portfolio 3$10,000$39,311 10.67% 16.32%33.35%-37.04%-48.27% 0.670.981.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 18.88%-10.72%-13.78%9.83%3.62%9.99%8.01%18.99%16.79%
Portfolio 28.35%10.00%29.84%17.02%14.90%14.20%11.46%14.07%11.57%
Portfolio 38.25%15.19%44.18%18.63%17.78%14.57%10.67%19.40%15.63%
Trailing annualized return and volatility are for full months ending in June 2021 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 2021 are based on monthly returns from January to June
  • 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 Extended Duration Trs Idx Instl (VEDTX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
ReturnBalanceReturnBalanceReturnBalance
20080.09%55.52%$15,552-18.53%$8,147-37.04%$6,29655.52%-37.04%
20092.72%-36.65%$9,85215.63%$9,42128.70%$8,103-36.65%28.70%
20101.50%10.28%$10,86515.73%$10,90317.09%$9,48810.28%17.09%
20112.96%55.79%$16,92711.93%$12,2030.96%$9,58055.79%0.96%
20121.74%3.25%$17,47713.65%$13,86916.25%$11,1363.25%16.25%
20131.50%-20.89%$13,82622.50%$16,99033.35%$14,850-20.89%33.35%
20140.76%45.66%$20,14019.08%$20,23112.43%$16,69645.66%12.43%
20150.73%-4.43%$19,247-0.65%$20,0990.29%$16,745-4.43%0.29%
20162.07%1.53%$19,54310.33%$22,17612.53%$18,8441.53%12.53%
20172.11%13.52%$22,18519.55%$26,51121.05%$22,81113.52%21.05%
20181.91%-3.49%$21,410-4.90%$25,211-5.26%$21,612-3.49%-5.26%
20192.29%19.16%$25,51328.35%$32,35830.65%$28,23619.16%30.65%
20201.36%24.18%$31,68121.53%$39,32620.87%$34,12924.18%20.87%
20214.31%-10.72%$28,28410.00%$43,26015.19%$39,311-10.72%15.19%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx Instl (VEDTX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
ReturnBalanceReturnBalanceReturnBalance
200810.71%$10,071-4.72%$9,528-6.08%$9,3920.71%-6.08%
20082-2.19%$9,851-2.88%$9,253-3.07%$9,104-2.19%-3.07%
200834.17%$10,2610.43%$9,293-0.58%$9,0504.17%-0.58%
20084-3.49%$9,9033.14%$9,5855.02%$9,505-3.49%5.02%
20085-4.69%$9,4390.69%$9,6512.09%$9,704-4.69%2.09%
200865.21%$9,931-5.57%$9,113-8.19%$8,9095.21%-8.19%
20087-1.84%$9,748-1.00%$9,022-0.77%$8,840-1.84%-0.77%
200884.35%$10,1722.18%$9,2191.58%$8,9804.35%1.58%
200892.96%$10,472-6.57%$8,613-9.26%$8,1482.96%-9.26%
200810-0.80%$10,389-13.54%$7,447-17.63%$6,712-0.80%-17.63%
20081122.32%$12,7080.53%$7,487-7.90%$6,18122.32%-7.90%
20081222.38%$15,5528.82%$8,1471.86%$6,29622.38%1.86%
20091-21.33%$12,235-10.87%$7,262-8.26%$5,776-21.33%-8.26%
20092-2.81%$11,891-9.10%$6,601-10.45%$5,173-2.81%-10.45%
200934.61%$12,4407.89%$7,1228.65%$5,6204.61%8.65%
20094-11.29%$11,0356.60%$7,59210.61%$6,216-11.29%10.61%
20095-5.77%$10,3983.68%$7,8715.38%$6,551-5.77%5.38%
200961.63%$10,5680.52%$7,9120.34%$6,5731.63%0.34%
200970.64%$10,6366.82%$8,4517.82%$7,0870.64%7.82%
200983.33%$10,9903.59%$8,7553.63%$7,3453.33%3.63%
200993.63%$11,3894.15%$9,1184.23%$7,6553.63%4.23%
200910-5.26%$10,790-2.92%$8,851-2.57%$7,458-5.26%-2.57%
2009110.44%$10,8374.96%$9,2915.63%$7,8780.44%5.63%
200912-9.08%$9,8521.40%$9,4212.86%$8,103-9.08%2.86%
201013.30%$10,178-2.14%$9,219-3.50%$7,8203.30%-3.50%
20102-1.11%$10,0652.42%$9,4423.36%$8,082-1.11%3.36%
20103-3.63%$9,7004.25%$9,8446.27%$8,589-3.63%6.27%
201045.52%$10,2352.80%$10,1202.17%$8,7765.52%2.17%
201058.45%$11,100-4.82%$9,632-8.00%$8,0748.45%-8.00%
201068.40%$12,033-2.56%$9,385-5.66%$7,6178.40%-5.66%
20107-2.55%$11,7264.65%$9,8226.99%$8,149-2.55%6.99%
2010813.26%$13,281-0.64%$9,760-4.75%$7,76213.26%-4.75%
20109-4.63%$12,6655.80%$10,3269.47%$8,498-4.63%9.47%
201010-8.62%$11,5731.00%$10,4283.94%$8,833-8.62%3.94%
201011-2.04%$11,3370.02%$10,4300.58%$8,883-2.04%0.58%
201012-4.16%$10,8654.53%$10,9036.81%$9,488-4.16%6.81%
20111-6.67%$10,1400.41%$10,9482.19%$9,696-6.67%2.19%
201123.40%$10,4853.56%$11,3383.60%$10,0443.40%3.60%
201130.18%$10,5040.40%$11,3830.45%$10,0900.18%0.45%
201143.07%$10,8263.01%$11,7252.99%$10,3913.07%2.99%
201155.09%$11,377-0.00%$11,725-1.16%$10,2715.09%-1.16%
20116-4.05%$10,916-2.23%$11,463-1.79%$10,087-4.05%-1.79%
201176.17%$11,589-0.67%$11,387-2.28%$9,8576.17%-2.28%
2011816.12%$13,457-1.48%$11,219-5.99%$9,26616.12%-5.99%
2011923.34%$16,598-0.27%$11,189-7.75%$8,54723.34%-7.75%
201110-5.74%$15,6466.37%$11,90211.51%$9,531-5.74%11.51%
2011113.27%$16,1580.65%$11,979-0.29%$9,5043.27%-0.29%
2011124.76%$16,9271.87%$12,2030.80%$9,5804.76%0.80%
20121-1.15%$16,7333.84%$12,6715.08%$10,066-1.15%5.08%
20122-3.59%$16,1322.76%$13,0214.26%$10,495-3.59%4.26%
20123-6.60%$15,0681.34%$13,1963.07%$10,817-6.60%3.07%
201246.93%$16,1120.59%$13,274-0.65%$10,7466.93%-0.65%
2012514.23%$18,405-2.65%$12,922-6.24%$10,07614.23%-6.24%
20126-2.42%$17,9602.61%$13,2593.91%$10,470-2.42%3.91%
201275.72%$18,9871.95%$13,5181.03%$10,5785.72%1.03%
20128-2.25%$18,5601.52%$13,7242.48%$10,840-2.25%2.48%
20129-3.94%$17,8301.31%$13,9032.58%$11,120-3.94%2.58%
201210-0.61%$17,721-1.55%$13,688-1.76%$10,924-0.61%-1.76%
2012111.63%$18,0100.90%$13,8120.74%$11,0051.63%0.74%
201212-2.96%$17,4770.41%$13,8691.19%$11,136-2.96%1.19%
20131-5.36%$16,5413.33%$14,3315.50%$11,749-5.36%5.50%
201321.45%$16,7801.31%$14,5181.28%$11,8991.45%1.28%
20133-0.58%$16,6833.06%$14,9633.88%$12,361-0.58%3.88%
201346.92%$17,8372.62%$15,3561.70%$12,5716.92%1.70%
20135-9.68%$16,1110.11%$15,3732.32%$12,863-9.68%2.32%
20136-4.31%$15,416-1.78%$15,099-1.27%$12,699-4.31%-1.27%
20137-3.74%$14,8393.99%$15,7015.49%$13,396-3.74%5.49%
20138-1.57%$14,606-2.64%$15,288-2.82%$13,017-1.57%-2.82%
20139-0.13%$14,5873.09%$15,7603.66%$13,495-0.13%3.66%
2013102.10%$14,8923.91%$16,3764.22%$14,0642.10%4.22%
201311-4.07%$14,2861.88%$16,6842.88%$14,470-4.07%2.88%
201312-3.22%$13,8261.84%$16,9902.63%$14,850-3.22%2.63%
2014110.39%$15,263-0.41%$16,921-3.11%$14,38910.39%-3.11%
201420.75%$15,3783.85%$17,5724.73%$15,0700.75%4.73%
201431.58%$15,6210.74%$17,7030.51%$15,1471.58%0.51%
201443.17%$16,1160.74%$17,8330.06%$15,1573.17%0.06%
201454.05%$16,7692.59%$18,2952.17%$15,4864.05%2.17%
20146-0.28%$16,7231.90%$18,6432.54%$15,879-0.28%2.54%
201471.33%$16,946-1.25%$18,411-1.98%$15,5651.33%-1.98%
201487.11%$18,1514.85%$19,3034.18%$16,2167.11%4.18%
20149-2.97%$17,612-2.33%$18,853-2.14%$15,869-2.97%-2.14%
2014104.04%$18,3243.04%$19,4262.74%$16,3044.04%2.74%
2014114.44%$19,1382.88%$19,9862.41%$16,6974.44%2.41%
2014125.23%$20,1401.23%$20,231-0.01%$16,6965.23%-0.01%
2015113.89%$22,9380.56%$20,345-2.77%$16,23313.89%-2.77%
20152-8.90%$20,8972.44%$20,8415.76%$17,169-8.90%5.76%
201531.52%$21,215-0.52%$20,733-1.04%$16,9911.52%-1.04%
20154-5.31%$20,088-0.76%$20,5750.42%$17,062-5.31%0.42%
20155-3.82%$19,3200.37%$20,6511.39%$17,300-3.82%1.39%
20156-6.05%$18,151-2.53%$20,130-1.71%$17,004-6.05%-1.71%
201576.71%$19,3692.55%$20,6431.63%$17,2816.71%1.63%
20158-0.77%$19,221-5.03%$19,604-6.03%$16,240-0.77%-6.03%
201592.34%$19,671-1.89%$19,233-2.93%$15,7642.34%-2.93%
201510-0.08%$19,6546.22%$20,4287.84%$17,000-0.08%7.84%
201511-1.46%$19,3670.15%$20,4590.54%$17,092-1.46%0.54%
201512-0.62%$19,247-1.76%$20,099-2.03%$16,745-0.62%-2.03%
201617.59%$20,708-3.02%$19,492-5.67%$15,7967.59%-5.67%
201624.11%$21,5600.88%$19,664-0.04%$15,7894.11%-0.04%
20163-0.28%$21,5005.34%$20,7147.01%$16,896-0.28%7.01%
20164-0.95%$21,2950.29%$20,7740.63%$17,002-0.95%0.63%
201651.36%$21,5851.70%$21,1271.79%$17,3071.36%1.79%
201669.68%$23,6732.24%$21,6000.23%$17,3469.68%0.23%
201673.28%$24,4503.80%$22,4203.95%$18,0313.28%3.95%
20168-1.47%$24,090-0.14%$22,3900.26%$18,078-1.47%0.26%
20169-2.30%$23,537-0.40%$22,3010.15%$18,105-2.30%0.15%
201610-6.27%$22,060-3.11%$21,607-2.21%$17,704-6.27%-2.21%
201611-11.07%$19,6181.13%$21,8514.44%$18,489-11.07%4.44%
201612-0.38%$19,5431.49%$22,1761.92%$18,844-0.38%1.92%
201710.76%$19,6911.68%$22,5491.91%$19,2040.76%1.91%
201722.23%$20,1303.42%$23,3193.71%$19,9162.23%3.71%
20173-1.17%$19,895-0.18%$23,2780.07%$19,930-1.17%0.07%
201741.89%$20,2711.21%$23,5611.05%$20,1391.89%1.05%
201752.83%$20,8441.36%$23,8811.01%$20,3412.83%1.01%
201761.84%$21,2271.10%$24,1450.92%$20,5291.84%0.92%
20177-1.30%$20,9511.23%$24,4431.87%$20,912-1.30%1.87%
201784.79%$21,9551.05%$24,6990.15%$20,9424.79%0.15%
20179-3.17%$21,2601.32%$25,0252.45%$21,456-3.17%2.45%
201710-0.03%$21,2531.74%$25,4602.16%$21,919-0.03%2.16%
2017111.45%$21,5622.74%$26,1583.04%$22,5861.45%3.04%
2017122.89%$22,1851.35%$26,5110.99%$22,8112.89%0.99%
20181-4.19%$21,2563.41%$27,4145.31%$24,022-4.19%5.31%
20182-4.40%$20,321-3.84%$26,361-3.72%$23,129-4.40%-3.72%
201834.02%$21,137-0.89%$26,127-1.99%$22,6684.02%-1.99%
20184-2.45%$20,619-0.17%$26,0830.38%$22,754-2.45%0.38%
201852.45%$21,1242.73%$26,7952.79%$23,3892.45%2.79%
201861.07%$21,3510.75%$26,9960.68%$23,5481.07%0.68%
20187-2.00%$20,9232.33%$27,6253.34%$24,333-2.00%3.34%
201881.54%$21,2463.10%$28,4803.44%$25,1711.54%3.44%
20189-3.90%$20,417-0.56%$28,3200.16%$25,211-3.90%0.16%
201810-4.68%$19,461-6.93%$26,356-7.40%$23,345-4.68%-7.40%
2018112.18%$19,8862.08%$26,9052.06%$23,8262.18%2.06%
2018127.66%$21,410-6.30%$25,211-9.29%$21,6127.66%-9.29%
201910.35%$21,4866.94%$26,9608.59%$23,4680.35%8.59%
20192-1.85%$21,0892.50%$27,6333.50%$24,289-1.85%3.50%
201937.82%$22,7392.58%$28,3471.44%$24,6387.82%1.44%
20194-2.90%$22,0792.68%$29,1063.98%$25,618-2.90%3.98%
201959.51%$24,179-3.60%$28,060-6.45%$23,9669.51%-6.45%
201960.89%$24,3945.74%$29,6696.97%$25,6360.89%6.97%
201970.31%$24,4711.22%$30,0311.44%$26,0050.31%1.44%
2019815.42%$28,2441.32%$30,428-2.03%$25,47815.42%-2.03%
20199-3.44%$27,2720.58%$30,6041.70%$25,912-3.44%1.70%
201910-1.86%$26,7641.27%$30,9922.10%$26,455-1.86%2.10%
201911-0.34%$26,6742.94%$31,9023.77%$27,453-0.34%3.77%
201912-4.36%$25,5131.43%$32,3582.85%$28,236-4.36%2.85%
2020110.26%$28,1301.99%$33,003-0.08%$28,21510.26%-0.08%
202028.82%$30,610-4.50%$31,516-8.18%$25,9078.82%-8.18%
202038.11%$33,093-8.38%$28,874-13.78%$22,3388.11%-13.78%
202041.27%$33,5139.76%$31,69313.25%$25,2971.27%13.25%
20205-2.70%$32,6083.21%$32,7115.38%$26,657-2.70%5.38%
202060.61%$32,8061.86%$33,3182.28%$27,2650.61%2.28%
202076.21%$34,8435.78%$35,2455.64%$28,8036.21%5.64%
20208-6.79%$32,4763.67%$36,5397.18%$30,870-6.79%7.18%
202091.14%$32,847-2.51%$35,623-3.57%$29,7671.14%-3.57%
202010-4.37%$31,411-2.68%$34,669-2.16%$29,124-4.37%-2.16%
2020112.32%$32,1399.92%$38,10912.19%$32,6752.32%12.19%
202012-1.43%$31,6813.19%$39,3264.45%$34,129-1.43%4.45%
20211-4.96%$30,111-1.26%$38,829-0.34%$34,013-4.96%-0.34%
20212-7.59%$27,8251.11%$39,2623.19%$35,098-7.59%3.19%
20213-6.64%$25,9771.69%$39,9253.47%$36,315-6.64%3.47%
202143.12%$26,7874.81%$41,8455.14%$38,1803.12%5.14%
20215-0.10%$26,7590.34%$41,9880.43%$38,343-0.10%0.43%
202165.70%$28,2843.03%$43,2602.53%$39,3115.70%2.53%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%23.75%35.14%
Large-cap Growth0.00%36.86%47.28%
Mid-cap Value0.00%3.14%3.66%
Mid-cap Growth0.00%4.54%6.11%
Small-cap Value0.00%5.50%2.84%
Small-cap Growth0.00%1.00%4.08%
Global ex-US Developed Markets0.00%0.74%0.49%
Emerging Markets0.00%0.00%0.40%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries100.00%24.46%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared87.13%99.09%99.84%
Style analysis is based on monthly returns from January 2008 to June 2021 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
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VEDTXVanguard Extended Duration Trs Idx InstlLong Government100.00%2.17%0.06%24.57$18,284100.00%

Asset Allocation

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
VEDTXVanguard Extended Duration Trs Idx InstlLong Government20.00%2.17%0.06%24.57$4,9591.45%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend80.00%1.01%0.14%25.59$28,30098.55%
100.00%1.24%0.12%25.5924.57$33,260100.00%

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/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.01%0.14%25.59$29,311100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/28/2021. (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)0.83%0.97%0.96%
Arithmetic Mean (annualized)10.41%12.28%12.16%
Geometric Mean (monthly)0.64%0.91%0.85%
Geometric Mean (annualized)8.01%11.46%10.67%
Volatility (monthly)6.18%3.50%4.71%
Volatility (annualized)21.42%12.14%16.32%
Downside Deviation (monthly)3.49%2.29%3.18%
Max. Drawdown-37.63%-33.99%-48.27%
US Market Correlation-0.330.921.00
Beta(*)-0.430.691.00
Alpha (annualized)14.94%3.72%0.00%
R210.89%85.40%100.00%
Sharpe Ratio0.440.910.67
Sortino Ratio0.771.380.98
Treynor Ratio (%)-21.6316.1010.96
Calmar Ratio0.391.360.89
Active Return-2.67%0.79%0.00%
Tracking Error30.92%6.90%0.00%
Information Ratio-0.090.110.28
Skewness0.72-0.82-0.68
Excess Kurtosis2.672.481.67
Historical Value-at-Risk (5%)-6.79%-5.02%-8.00%
Analytical Value-at-Risk (5%)-9.34%-4.90%-6.79%
Conditional Value-at-Risk (5%)-10.48%-8.03%-10.34%
Upside Capture Ratio (%)-12.5176.04100.00
Downside Capture Ratio (%)-79.5763.22100.00
Safe Withdrawal Rate11.91%11.31%9.41%
Perpetual Withdrawal Rate5.84%8.87%8.19%
Positive Periods83 out of 162 (51.23%)114 out of 162 (70.37%)111 out of 162 (68.52%)
Gain/Loss Ratio1.380.880.79
* 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 2009Mar 20101 year 3 monthsSep 20111 year 6 months2 years 9 months-37.63%
2Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-27.18%
3Aug 2020Mar 20218 months-25.44%
4Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-20.87%
5Aug 2016Oct 20182 years 3 monthsJul 20199 months3 years-20.41%
6Jan 2012Mar 20123 monthsMay 20122 months5 months-10.99%
7Sep 2019Dec 20194 monthsFeb 20202 months6 months-9.67%
8Apr 2008May 20082 monthsSep 20084 months6 months-8.02%
9Oct 2011Oct 20111 monthDec 20112 months3 months-5.74%
10May 2020May 20201 monthJul 20202 months3 months-2.70%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsApr 20101 year 2 months2 years 4 months-33.99%
2Feb 2020Mar 20202 monthsJun 20203 months5 months-12.51%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-11.48%
4Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-7.72%
5May 2010Jun 20102 monthsSep 20103 months5 months-7.26%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-5.12%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-4.86%
8May 2011Sep 20115 monthsOct 20111 month6 months-4.58%
9Aug 2016Oct 20163 monthsJan 20173 months6 months-3.63%
10May 2019May 20191 monthJun 20191 month2 months-3.60%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20112 years3 years 2 months-48.27%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
3May 2011Sep 20115 monthsFeb 20125 months10 months-17.74%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-5.65%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VEDTXVanguard Extended Duration Trs Idx Instl8.01%21.42%55.79%-36.65%-37.63%0.440.77-0.33
VTSMXVanguard Total Stock Mkt Idx Inv10.67%16.32%33.35%-37.04%-48.27%0.670.981.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVEDTXVTSMXPortfolio 1Portfolio 2Portfolio 3
VEDTXVanguard Extended Duration Trs Idx Instl1.00-0.331.000.04-0.33
VTSMXVanguard Total Stock Mkt Idx Inv-0.331.00-0.330.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VEDTXVanguard Extended Duration Trs Idx Instl$18,284$4,959
VTSMXVanguard Total Stock Mkt Idx Inv$28,300$29,311

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VEDTXVanguard Extended Duration Trs Idx Instl100.00%1.45%
VTSMXVanguard Total Stock Mkt Idx Inv98.55%100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.77%65.02%-36.65%12.89%43.05%-28.66%12.81%62.57%-43.18%
3 years8.93%21.31%-2.51%12.99%25.42%2.92%12.89%26.60%-1.74%
5 years8.38%17.65%-2.33%12.98%21.63%6.76%13.09%23.85%2.18%
7 years8.72%12.97%3.00%12.92%16.88%9.85%12.90%17.28%7.60%
10 years8.94%13.06%3.25%12.93%15.39%10.24%12.80%16.73%8.60%