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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2014 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 44.00%
VXUS Vanguard Total International Stock ETF 36.00%
BND Vanguard Total Bond Market ETF 10.00%
BNDX Vanguard Total International Bond ETF 10.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 44.00%
VXUS Vanguard Total International Stock ETF 36.00%
VWOB Vanguard Emerging Mkts Govt Bd ETF 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 47.00%
VXUS Vanguard Total International Stock ETF 38.00%
BND Vanguard Total Bond Market ETF 7.50%
BNDX Vanguard Total International Bond ETF 7.50%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,809 9.33% 11.00%23.00%-7.22%-17.79% 0.801.220.97
Portfolio 2$10,000$20,159 9.58% 12.08%24.22%-8.07%-20.55% 0.761.140.96
Portfolio 3$10,000$20,289 9.67% 11.68%23.93%-7.73%-18.95% 0.791.200.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 13.58%12.69%23.99%12.49%12.29%9.33%14.69%11.81%
Portfolio 23.68%12.88%24.76%12.86%12.48%9.58%16.24%13.02%
Portfolio 33.71%13.57%25.57%12.95%12.87%9.67%15.61%12.54%
Trailing annualized return and volatility are for full months ending in August 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 August
  • 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 Total Stock Market ETF (VTI)Vanguard Total International Stock ETF (VXUS)Vanguard Total Bond Market ETF (BND)Vanguard Total International Bond ETF (BNDX)Vanguard Emerging Mkts Govt Bd ETF (VWOB)
ReturnBalanceReturnBalanceReturnBalance
20140.76%5.27%$10,5274.65%$10,4655.18%$10,51812.54%-4.74%5.82%8.74%4.17%
20150.73%-1.17%$10,403-1.03%$10,357-1.29%$10,3830.36%-4.19%0.56%1.19%1.59%
20162.07%8.09%$11,2459.35%$11,3258.39%$11,25412.83%4.81%2.52%4.61%9.86%
20172.11%19.81%$13,47220.90%$13,69120.85%$13,60021.21%27.45%3.57%2.40%8.41%
20181.91%-7.22%$12,500-8.07%$12,586-7.73%$12,548-5.21%-14.43%-0.12%2.81%-2.92%
20192.29%23.00%$15,37424.22%$15,63423.93%$15,55230.67%21.75%8.83%7.87%14.46%
20201.36%14.34%$17,57814.23%$17,85914.87%$17,86521.03%10.69%7.71%4.65%5.66%
20215.03%12.69%$19,80912.88%$20,15913.57%$20,28920.56%10.65%-0.82%-1.08%-0.01%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Market ETF (VTI)Vanguard Total International Stock ETF (VXUS)Vanguard Total Bond Market ETF (BND)Vanguard Total International Bond ETF (BNDX)Vanguard Emerging Mkts Govt Bd ETF (VWOB)
ReturnBalanceReturnBalanceReturnBalance
20141-3.04%$9,696-3.51%$9,649-3.32%$9,668-3.17%-5.40%1.55%1.43%-0.85%
201424.20%$10,1034.70%$10,1034.44%$10,0984.87%5.59%0.47%0.48%2.84%
201430.41%$10,1450.58%$10,1620.43%$10,1420.51%0.49%-0.17%0.32%0.90%
201440.62%$10,2080.64%$10,2260.61%$10,2030.06%1.26%0.80%0.60%0.79%
201451.80%$10,3912.30%$10,4611.85%$10,3932.10%1.93%1.05%0.74%3.37%
201461.91%$10,5891.85%$10,6552.00%$10,6012.62%1.89%0.08%0.61%0.13%
20147-1.49%$10,432-1.55%$10,490-1.58%$10,433-1.99%-1.73%-0.28%0.50%-0.25%
201482.50%$10,6932.47%$10,7482.59%$10,7034.15%1.16%1.14%1.37%1.11%
20149-2.78%$10,395-3.14%$10,411-2.92%$10,390-2.10%-5.01%-0.57%-0.13%-2.20%
2014101.35%$10,5361.54%$10,5711.40%$10,5362.75%-0.08%0.72%0.60%1.62%
2014111.14%$10,6560.86%$10,6621.16%$10,6582.48%-0.51%0.83%0.91%-0.51%
201412-1.21%$10,527-1.85%$10,465-1.31%$10,518-0.04%-3.87%0.06%0.98%-2.67%
20151-0.69%$10,454-0.99%$10,361-0.87%$10,427-2.74%0.27%2.40%1.79%0.59%
201524.42%$10,9164.89%$10,8684.75%$10,9235.74%5.78%-1.31%-0.18%1.49%
20153-0.95%$10,813-0.95%$10,765-1.04%$10,809-1.16%-1.49%0.55%0.49%0.53%
201541.89%$11,0172.38%$11,0212.04%$11,0300.62%4.81%-0.32%-1.03%1.77%
201550.12%$11,0300.19%$11,0420.16%$11,0471.30%-0.91%-0.50%-0.52%-0.12%
20156-1.98%$10,811-2.04%$10,817-2.03%$10,824-1.67%-2.73%-1.11%-1.35%-1.53%
201570.75%$10,8920.58%$10,8800.73%$10,9031.70%-0.56%0.88%1.28%0.25%
20158-5.49%$10,294-5.63%$10,267-5.79%$10,272-6.09%-7.43%-0.25%-0.70%-1.30%
20159-2.49%$10,038-2.94%$9,966-2.70%$9,994-2.92%-3.85%0.81%0.81%-1.40%
2015105.72%$10,6126.24%$10,5886.08%$10,6027.91%6.25%0.03%0.59%2.77%
201511-0.22%$10,588-0.16%$10,571-0.22%$10,5780.60%-1.32%-0.39%0.19%0.18%
201512-1.75%$10,403-2.02%$10,357-1.85%$10,383-2.13%-2.17%-0.18%-0.14%-1.54%
20161-4.23%$9,963-4.54%$9,886-4.57%$9,908-5.72%-5.45%1.20%1.30%-0.31%
20162-0.66%$9,898-0.48%$9,839-0.76%$9,832-0.01%-2.46%0.85%1.26%1.92%
201636.18%$10,5106.69%$10,4976.54%$10,4757.11%8.33%0.88%0.75%3.16%
201641.07%$10,6221.42%$10,6461.13%$10,5940.66%2.16%0.40%-0.26%1.74%
201650.48%$10,6740.33%$10,6800.50%$10,6471.73%-0.98%-0.01%0.75%-0.37%
201660.20%$10,6950.67%$10,7520.09%$10,6570.27%-0.90%2.02%1.95%4.21%
201673.49%$11,0693.52%$11,1313.67%$11,0483.98%4.52%0.60%0.82%0.97%
201680.23%$11,0940.58%$11,1950.25%$11,0760.21%0.45%-0.31%0.07%1.57%
201690.71%$11,1730.74%$11,2780.74%$11,1580.21%1.70%0.11%0.01%0.27%
201610-1.87%$10,963-1.92%$11,061-1.92%$10,943-2.19%-1.91%-0.94%-1.26%-1.37%
2016110.88%$11,0600.49%$11,1151.08%$11,0614.49%-2.01%-2.57%-1.25%-3.62%
2016121.67%$11,2451.88%$11,3251.74%$11,2541.98%1.96%0.33%0.43%1.52%
201712.20%$11,4922.57%$11,6152.36%$11,5201.86%4.08%0.19%-0.98%1.42%
201722.26%$11,7522.38%$11,8912.36%$11,7913.69%1.34%0.62%0.88%1.38%
201731.11%$11,8821.23%$12,0381.17%$11,9290.06%3.00%-0.04%-0.03%0.64%
201741.35%$12,0421.49%$12,2171.39%$12,0941.06%2.05%0.80%0.49%1.38%
201751.68%$12,2451.68%$12,4231.73%$12,3041.01%2.96%0.71%0.73%0.77%
201760.61%$12,3190.57%$12,4930.66%$12,3850.95%0.63%0.05%-0.54%-0.42%
201772.15%$12,5842.23%$12,7722.25%$12,6641.88%3.37%0.40%0.16%0.78%
201780.43%$12,6380.61%$12,8500.41%$12,7150.15%0.54%0.86%0.93%1.83%
201791.70%$12,8531.74%$13,0741.82%$12,9472.44%1.88%-0.47%-0.40%-0.12%
2017101.78%$13,0821.74%$13,3011.86%$13,1882.17%2.03%-0.03%0.62%0.14%
2017111.58%$13,2901.47%$13,4961.67%$13,4093.03%0.63%-0.11%0.23%-0.48%
2017121.38%$13,4721.44%$13,6911.43%$13,6001.16%2.07%0.54%0.27%0.82%
201814.18%$14,0364.27%$14,2764.50%$14,2125.23%5.72%-1.24%-0.57%-0.46%
20182-3.66%$13,522-3.90%$13,718-3.85%$13,665-3.76%-5.24%-1.04%0.26%-1.67%
20183-0.82%$13,410-0.91%$13,593-0.93%$13,537-1.95%-0.38%0.69%1.15%0.47%
201840.26%$13,4460.06%$13,6020.31%$13,5790.45%0.46%-0.85%-0.14%-1.51%
201850.65%$13,5330.49%$13,6690.69%$13,6722.72%-1.64%0.68%-0.23%-0.58%
20186-0.38%$13,481-0.61%$13,585-0.42%$13,6150.70%-2.14%-0.04%0.60%-0.89%
201872.40%$13,8052.79%$13,9652.55%$13,9623.32%2.55%-0.04%0.14%1.99%
201880.81%$13,9160.41%$14,0220.85%$14,0813.43%-2.40%0.67%0.06%-1.74%
201890.09%$13,9290.47%$14,0880.12%$14,0970.20%0.21%-0.55%-0.24%1.63%
201810-6.44%$13,031-6.66%$13,150-6.80%$13,138-7.41%-8.56%-0.86%0.07%-1.39%
2018111.61%$13,2411.46%$13,3421.68%$13,3582.01%1.68%0.64%0.52%-0.18%
201812-5.60%$12,500-5.67%$12,586-6.06%$12,548-9.16%-4.93%1.87%1.17%1.47%
201916.73%$13,3417.24%$13,4977.09%$13,4388.54%7.67%1.11%1.00%3.61%
201922.20%$13,6342.28%$13,8052.33%$13,7503.56%1.63%-0.09%0.21%0.56%
201931.26%$13,8061.20%$13,9701.23%$13,9201.42%0.77%1.94%1.76%1.49%
201942.79%$14,1912.82%$14,3642.95%$14,3313.93%2.77%-0.02%0.17%0.26%
20195-4.63%$13,535-4.80%$13,674-4.98%$13,617-6.45%-5.42%1.83%1.28%0.43%
201965.52%$14,2825.88%$14,4785.77%$14,4037.08%5.77%1.25%1.57%3.32%
201970.06%$14,2910.17%$14,5020.04%$14,4081.41%-1.99%0.15%1.25%1.20%
20198-1.27%$14,110-1.58%$14,273-1.48%$14,195-2.08%-2.17%2.77%2.11%0.68%
201991.67%$14,3451.66%$14,5101.80%$14,4501.78%2.73%-0.57%-0.42%-0.47%
2019102.15%$14,6542.26%$14,8372.28%$14,7792.11%3.43%0.31%-0.49%0.51%
2019112.04%$14,9531.97%$15,1302.19%$15,1023.79%0.99%-0.04%-0.48%-0.57%
2019122.81%$15,3743.33%$15,6342.98%$15,5522.80%4.38%-0.07%-0.31%2.68%
20201-0.86%$15,241-0.97%$15,482-1.03%$15,392-0.06%-3.39%1.98%1.89%1.40%
20202-5.62%$14,385-6.16%$14,529-6.06%$14,459-8.00%-6.60%1.67%0.67%-1.43%
20203-12.14%$12,639-14.50%$12,421-12.82%$12,605-13.91%-16.26%-1.43%-2.91%-12.85%
202048.65%$13,7338.99%$13,5389.16%$13,75913.13%7.60%2.76%1.91%2.87%
202054.15%$14,3025.42%$14,2724.41%$14,3665.40%5.01%0.67%0.41%6.16%
202062.56%$14,6682.98%$14,6972.69%$14,7532.29%4.24%0.67%0.54%2.44%
202074.21%$15,2864.79%$15,4014.43%$15,4065.74%4.15%1.45%0.95%3.76%
202084.52%$15,9764.92%$16,1584.88%$16,1577.10%4.43%-0.94%-0.76%0.86%
20209-2.17%$15,629-2.67%$15,727-2.34%$15,779-3.54%-1.82%-0.10%0.86%-2.07%
202010-1.69%$15,365-1.75%$15,452-1.79%$15,497-1.95%-2.30%-0.56%0.34%-0.34%
2020119.76%$16,86510.51%$17,07510.35%$17,10111.80%12.62%1.21%0.39%4.00%
2020124.23%$17,5784.59%$17,8594.46%$17,8654.68%5.86%0.15%0.36%2.08%
20211-0.21%$17,542-0.40%$17,788-0.17%$17,834-0.33%0.25%-0.86%-0.63%-1.70%
202121.89%$17,8741.68%$18,0862.11%$18,2113.14%2.30%-1.55%-1.66%-2.74%
202132.18%$18,2632.14%$18,4732.35%$18,6393.65%1.87%-1.27%-0.01%-0.90%
202143.34%$18,8733.67%$19,1523.52%$19,2955.04%2.78%0.87%-0.19%2.08%
202151.33%$19,1241.52%$19,4431.39%$19,5630.46%3.07%0.15%-0.00%1.14%
202161.12%$19,3381.14%$19,6651.15%$19,7892.48%-0.34%0.90%0.37%0.76%
202170.63%$19,4600.51%$19,7650.60%$19,9071.74%-1.13%1.17%1.49%0.64%
202181.79%$19,8091.99%$20,1591.92%$20,2892.86%1.46%-0.19%-0.43%0.80%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value12.16%9.36%13.04%
Large-cap Growth22.54%22.89%23.98%
Mid-cap Value4.23%9.25%4.36%
Mid-cap Growth3.48%0.35%3.51%
Small-cap Value1.66%0.00%1.96%
Small-cap Growth0.90%1.32%1.02%
Global ex-US Developed Markets25.45%29.86%27.13%
Emerging Markets9.04%11.93%9.71%
Corporate Bonds11.05%15.05%8.85%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries9.48%0.00%6.45%
R Squared99.80%99.45%99.81%
Style analysis is based on monthly returns from January 2014 to August 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend44.00%1.20%0.03%24.25$6,59554.94%
VXUSVanguard Total International Stock ETFForeign Large Blend36.00%2.43%0.08%15.90$2,50644.29%
BNDVanguard Total Bond Market ETFIntermediate Core Bond10.00%1.95%0.04%6.79$3430.37%
BNDXVanguard Total International Bond ETFWorld Bond-USD Hedged10.00%0.91%0.08%14.868.53$3630.40%
100.00%1.69%0.05%19.877.66$9,809100.00%

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
VTIVanguard Total Stock Market ETFLarge Blend44.00%1.20%0.03%24.25$6,65649.87%
VXUSVanguard Total International Stock ETFForeign Large Blend36.00%2.43%0.08%15.90$2,53140.83%
VWOBVanguard Emerging Mkts Govt Bd ETFEmerging Markets Bond20.00%4.00%0.25%8.16$9729.30%
100.00%2.20%0.09%20.498.16$10,159100.00%

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
VTIVanguard Total Stock Market ETFLarge Blend47.00%1.20%0.03%24.25$7,09455.42%
VXUSVanguard Total International Stock ETFForeign Large Blend38.00%2.43%0.08%15.90$2,66244.09%
BNDVanguard Total Bond Market ETFIntermediate Core Bond7.50%1.95%0.04%6.79$2590.23%
BNDXVanguard Total International Bond ETFWorld Bond-USD Hedged7.50%0.91%0.08%14.868.53$2740.26%
100.00%1.70%0.05%20.067.66$10,289100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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)0.80%0.83%0.83%
Arithmetic Mean (annualized)9.98%10.37%10.41%
Geometric Mean (monthly)0.75%0.76%0.77%
Geometric Mean (annualized)9.33%9.58%9.67%
Volatility (monthly)3.17%3.49%3.37%
Volatility (annualized)11.00%12.08%11.68%
Downside Deviation (monthly)2.04%2.29%2.18%
Max. Drawdown-17.79%-20.55%-18.95%
US Market Correlation0.970.960.97
Beta(*)0.750.820.80
Alpha (annualized)-1.23%-1.81%-1.52%
R294.49%92.58%94.72%
Sharpe Ratio0.800.760.79
Sortino Ratio1.221.141.20
Treynor Ratio (%)11.7411.2311.53
Calmar Ratio0.700.630.68
Active Return-4.88%-4.63%-4.54%
Tracking Error4.40%4.21%3.94%
Information Ratio-1.11-1.10-1.15
Skewness-0.63-0.79-0.62
Excess Kurtosis3.033.852.95
Historical Value-at-Risk (5%)-5.02%-5.17%-5.34%
Analytical Value-at-Risk (5%)-4.43%-4.88%-4.72%
Conditional Value-at-Risk (5%)-7.06%-7.72%-7.51%
Upside Capture Ratio (%)71.1476.6375.45
Downside Capture Ratio (%)81.7190.2187.37
Safe Withdrawal Rate17.08%17.19%17.16%
Perpetual Withdrawal Rate7.21%7.44%7.52%
Positive Periods65 out of 92 (70.65%)65 out of 92 (70.65%)65 out of 92 (70.65%)
Gain/Loss Ratio0.820.800.81
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
COVID-19 StartJan 2020Mar 2020-17.79%-20.55%-18.95%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-17.79%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-10.94%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-10.27%
4May 2019May 20191 monthJun 20191 month2 months-4.63%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-3.83%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.04%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-2.78%
8Oct 2016Oct 20161 monthDec 20162 months3 months-1.87%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.49%
10Aug 2019Aug 20191 monthSep 20191 month2 months-1.27%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-20.55%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-11.84%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-10.90%
4May 2019May 20191 monthJun 20191 month2 months-4.80%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.37%
6Sep 2014Jan 20155 monthsFeb 20151 month6 months-3.60%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.51%
8Oct 2016Oct 20161 monthDec 20162 months3 months-1.92%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.58%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.55%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-18.95%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-11.70%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-11.00%
4May 2019May 20191 monthJun 20191 month2 months-4.98%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.09%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.32%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-2.92%
8Oct 2016Oct 20161 monthDec 20162 months3 months-1.92%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.58%
10Aug 2019Aug 20191 monthSep 20191 month2 months-1.48%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF14.33%14.21%30.67%-5.21%-20.84%0.961.541.00
VXUSVanguard Total International Stock ETF5.93%14.20%27.45%-14.43%-25.54%0.420.620.87
BNDVanguard Total Bond Market ETF3.61%3.36%8.83%-0.82%-3.87%0.861.520.06
BNDXVanguard Total International Bond ETF4.02%3.00%8.74%-1.08%-3.03%1.091.840.11
VWOBVanguard Emerging Mkts Govt Bd ETF5.24%7.66%14.46%-2.92%-14.10%0.610.840.59

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVXUSBNDBNDXVWOBPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.000.870.050.110.590.970.960.97
VXUSVanguard Total International Stock ETF0.871.000.100.090.710.960.970.96
BNDVanguard Total Bond Market ETF0.050.101.000.810.500.120.130.11
BNDXVanguard Total International Bond ETF0.110.090.811.000.510.150.160.14
VWOBVanguard Emerging Mkts Govt Bd ETF0.590.710.500.511.000.690.730.68

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$6,595$6,656$7,094
VXUSVanguard Total International Stock ETF$2,506$2,531$2,662
BNDVanguard Total Bond Market ETF$343$259
BNDXVanguard Total International Bond ETF$363$274
VWOBVanguard Emerging Mkts Govt Bd ETF$972

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF54.94%49.87%55.42%
VXUSVanguard Total International Stock ETF44.29%40.83%44.09%
BNDVanguard Total Bond Market ETF0.37%0.23%
BNDXVanguard Total International Bond ETF0.40%0.26%
VWOBVanguard Emerging Mkts Govt Bd ETF9.30%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.99%44.50%-9.33%9.24%48.72%-11.09%9.36%47.87%-9.98%
3 years8.15%12.78%2.08%8.37%13.12%1.05%8.43%13.27%1.85%
5 years8.09%12.58%3.17%8.31%12.95%2.90%8.36%13.18%3.12%
7 years8.92%9.32%8.39%9.11%9.47%8.64%9.24%9.67%8.64%