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 1997 - Jun 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 30.00%
VGTSX Vanguard Total Intl Stock Index Inv 30.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$52,983 7.04% 9.42%23.10%-22.32%-33.59% 0.560.820.95
Portfolio 2$10,000$68,066 8.14% 9.35%22.37%-20.20%-30.72% 0.671.000.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.04%6.77%22.37%10.73%9.92%7.59%7.04%10.87%8.84%
Portfolio 25.89%8.42%24.73%13.42%11.87%10.19%8.14%11.57%9.36%
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 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
19971.70%12.84%$11,28422.37%$12,23730.99%-0.77%9.44%
19981.61%15.09%$12,98717.39%$14,36623.26%15.60%8.58%
19992.68%15.82%$15,04213.98%$16,37523.81%29.92%-0.76%
20003.39%-3.30%$14,545-1.79%$16,082-10.57%-15.61%11.39%
20011.55%-5.96%$13,678-3.21%$15,566-10.97%-20.15%8.43%
20022.38%-7.51%$12,650-9.27%$14,122-20.96%-15.08%8.26%
20031.88%23.10%$15,57220.40%$17,00331.35%40.34%3.97%
20043.26%11.70%$17,3949.20%$18,56812.51%20.84%4.24%
20053.42%7.42%$18,6864.55%$19,4135.98%15.57%2.40%
20062.54%14.35%$21,36711.01%$21,55115.51%26.64%4.27%
20074.08%9.07%$23,3066.06%$22,8575.49%15.52%6.92%
20080.09%-22.32%$18,104-20.20%$18,240-37.04%-44.10%5.05%
20092.72%22.00%$22,08719.59%$21,81328.70%36.73%5.93%
20101.50%11.03%$24,52412.82%$24,61117.09%11.12%6.42%
20112.96%-1.06%$24,2643.60%$25,4970.96%-14.56%7.56%
20121.74%11.94%$27,16111.37%$28,39616.25%18.14%4.05%
20131.50%13.61%$30,85819.10%$33,82133.35%15.04%-2.26%
20140.76%4.76%$32,3289.76%$37,12212.43%-4.24%5.76%
20150.73%-1.10%$31,9700.30%$37,2320.29%-4.37%0.30%
20162.07%6.15%$33,9388.52%$40,40412.53%4.65%2.50%
20172.11%15.92%$39,34114.02%$46,06721.05%27.40%3.46%
20181.91%-5.96%$36,996-3.20%$44,590-5.26%-14.44%-0.13%
20192.29%19.07%$44,05021.83%$54,32530.65%21.43%8.61%
20201.36%12.65%$49,62415.57%$62,78220.87%11.16%7.61%
20214.31%6.77%$52,9838.42%$68,06615.19%9.69%-1.74%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
199711.03%$10,1033.37%$10,3375.46%-2.37%0.25%
199720.54%$10,157-0.02%$10,335-0.11%1.82%0.11%
19973-1.80%$9,974-3.10%$10,015-4.45%-0.10%-0.97%
199742.01%$10,1753.30%$10,3454.50%0.20%1.49%
199754.47%$10,6304.67%$10,8297.10%6.54%0.87%
199763.45%$10,9963.16%$11,1714.37%5.40%1.16%
199774.03%$11,4395.94%$11,8357.77%1.59%2.80%
19978-4.11%$10,969-2.69%$11,516-3.72%-8.60%-0.85%
199794.04%$11,4124.19%$11,9995.77%5.51%1.45%
199710-3.23%$11,043-1.68%$11,798-3.40%-9.10%1.45%
1997110.94%$11,1472.23%$12,0613.33%-1.19%0.33%
1997121.24%$11,2841.46%$12,2371.70%0.92%1.04%
199811.57%$11,4620.79%$12,3340.44%3.04%1.32%
199824.24%$11,9474.35%$12,8717.34%6.88%-0.10%
199832.68%$12,2673.24%$13,2885.06%3.22%0.33%
199840.70%$12,3530.88%$13,4051.10%0.53%0.51%
19985-0.94%$12,237-1.32%$13,228-2.71%-1.51%1.02%
199861.32%$12,3982.50%$13,5583.54%-0.27%0.81%
19987-0.30%$12,360-1.34%$13,377-2.27%1.08%0.23%
19988-8.36%$11,328-8.96%$12,178-15.65%-13.66%1.90%
199892.12%$11,5684.67%$12,7476.68%-2.07%1.96%
1998105.02%$12,1494.16%$13,2777.51%10.77%-0.55%
1998113.65%$12,5923.91%$13,7976.17%5.34%0.49%
1998123.14%$12,9874.12%$14,3666.45%3.26%0.38%
199911.22%$13,1462.51%$14,7263.65%-0.63%0.79%
19992-2.49%$12,820-2.96%$14,290-3.73%-2.16%-1.77%
199932.89%$13,1892.59%$14,6603.93%4.97%0.56%
199943.12%$13,6013.01%$15,1014.68%5.08%0.40%
19995-2.49%$13,262-1.57%$14,864-2.00%-5.00%-0.88%
199962.73%$13,6252.99%$15,3095.16%4.39%-0.50%
19997-0.48%$13,560-2.16%$14,978-3.20%2.27%-0.39%
19998-0.21%$13,531-0.60%$14,888-0.92%0.33%-0.08%
19999-0.02%$13,528-1.04%$14,734-2.44%0.82%1.26%
1999103.21%$13,9623.98%$15,3206.29%3.74%0.33%
1999112.37%$14,2922.15%$15,6493.42%4.08%0.02%
1999125.24%$15,0424.63%$16,3757.59%9.37%-0.48%
20001-3.19%$14,562-2.58%$15,952-4.18%-6.22%-0.17%
200022.06%$14,8621.98%$16,2692.54%2.83%1.18%
200033.29%$15,3513.94%$16,9105.69%3.48%1.40%
20004-3.37%$14,833-3.34%$16,346-5.21%-5.41%-0.49%
20005-1.86%$14,558-2.08%$16,006-3.41%-2.67%-0.16%
200063.42%$15,0563.47%$16,5624.42%4.27%2.15%
20007-1.50%$14,831-0.79%$16,431-1.95%-4.46%0.88%
200083.03%$15,2804.82%$17,2247.28%1.00%1.40%
20009-2.49%$14,900-2.47%$16,797-4.67%-5.00%0.76%
200010-1.18%$14,724-0.95%$16,637-2.04%-3.03%0.57%
200011-3.42%$14,220-5.03%$15,800-9.90%-4.44%1.58%
2000122.28%$14,5451.78%$16,0821.78%3.72%1.79%
200112.18%$14,8633.00%$16,5643.83%1.10%1.76%
20012-4.77%$14,154-5.33%$15,681-9.41%-7.61%0.91%
20013-3.78%$13,619-3.66%$15,106-6.72%-7.15%0.54%
200144.28%$14,2034.37%$15,7678.16%7.89%-0.46%
20015-0.41%$14,1440.89%$15,9081.01%-3.52%0.73%
20016-1.33%$13,956-0.73%$15,791-1.64%-3.84%0.52%
20017-0.20%$13,929-0.04%$15,785-1.71%-2.43%2.23%
20018-1.86%$13,670-2.92%$15,324-6.00%-2.30%1.11%
20019-4.93%$12,996-4.53%$14,629-9.00%-10.73%0.89%
2001102.31%$13,2972.21%$14,9522.52%2.97%1.86%
2001112.28%$13,6003.37%$15,4567.63%3.56%-1.34%
2001120.57%$13,6780.71%$15,5661.78%1.35%-0.58%
20021-1.49%$13,474-0.47%$15,493-1.24%-4.63%0.69%
20022-0.00%$13,474-0.87%$15,357-2.05%0.90%0.85%
200232.36%$13,7921.97%$15,6604.38%5.71%-1.46%
20024-0.67%$13,699-2.28%$15,304-4.90%0.42%1.69%
200250.33%$13,744-0.38%$15,245-1.22%1.16%0.80%
20026-3.20%$13,304-3.98%$14,638-7.06%-4.28%0.29%
20027-4.97%$12,643-4.30%$14,009-8.02%-9.80%0.48%
200280.85%$12,7511.05%$14,1560.53%-0.12%1.66%
20029-5.07%$12,104-4.71%$13,489-10.07%-10.88%1.53%
2002103.14%$12,4843.58%$13,9727.65%5.70%-0.61%
2002112.89%$12,8453.21%$14,4216.06%4.75%0.02%
200212-1.52%$12,650-2.07%$14,122-5.57%-3.43%2.07%
20031-1.87%$12,414-1.50%$13,910-2.54%-3.76%0.05%
20032-0.65%$12,333-0.44%$13,848-1.69%-2.42%1.38%
20033-0.29%$12,2970.58%$13,9291.09%-1.93%-0.13%
200345.57%$12,9825.19%$14,6538.21%9.70%0.87%
200354.41%$13,5554.42%$15,3006.11%6.15%1.82%
200361.19%$13,7170.83%$15,4271.43%2.66%-0.13%
200370.42%$13,7750.19%$15,4572.36%3.18%-3.34%
200381.77%$14,0191.74%$15,7252.39%2.51%0.61%
200391.50%$14,2290.25%$15,765-1.15%2.78%2.71%
2003103.62%$14,7453.48%$16,3146.12%6.49%-0.96%
2003111.24%$14,9270.98%$16,4751.38%2.13%0.27%
2003124.32%$15,5723.21%$17,0034.48%7.80%0.88%
200411.49%$15,8051.68%$17,2902.23%1.60%0.86%
200421.59%$16,0571.27%$17,5101.43%2.50%1.03%
200430.13%$16,077-0.33%$17,452-1.07%0.45%0.80%
20044-2.62%$15,655-2.31%$17,048-2.11%-3.14%-2.61%
200450.37%$15,7140.64%$17,1571.35%0.46%-0.43%
200461.58%$15,9621.48%$17,4122.09%2.40%0.56%
20047-1.80%$15,675-1.94%$17,074-3.80%-3.34%0.96%
200481.10%$15,8470.97%$17,2400.31%0.75%1.94%
200491.47%$16,0791.10%$17,4291.74%2.96%0.16%
2004101.82%$16,3721.34%$17,6631.68%3.24%0.85%
2004113.29%$16,9112.48%$18,1014.68%7.23%-0.81%
2004122.86%$17,3942.58%$18,5683.63%4.44%0.92%
20051-1.04%$17,213-1.34%$18,319-2.68%-1.67%0.65%
200521.75%$17,5150.97%$18,4972.07%4.68%-0.63%
20053-1.61%$17,233-1.24%$18,267-1.75%-2.93%-0.49%
20054-0.77%$17,100-0.83%$18,114-2.32%-2.07%1.35%
200551.55%$17,3662.65%$18,5933.77%0.08%1.05%
200560.85%$17,5130.71%$18,7250.81%1.30%0.55%
200571.90%$17,8472.03%$19,1054.11%3.68%-0.99%
200581.11%$18,044-0.04%$19,098-0.94%2.85%1.36%
200591.26%$18,2730.07%$19,1120.86%4.73%-1.10%
200510-1.93%$17,920-1.45%$18,836-1.86%-3.37%-0.81%
2005112.20%$18,3132.58%$19,3223.97%2.67%0.48%
2005122.03%$18,6860.47%$19,4130.14%5.14%0.99%
200613.07%$19,2592.06%$19,8123.50%6.87%-0.11%
20062-0.08%$19,2440.15%$19,8410.00%-0.72%0.37%
200631.13%$19,4620.70%$19,9811.80%3.17%-1.00%
200641.87%$19,8260.60%$20,1011.11%5.12%-0.21%
20065-2.46%$19,339-2.03%$19,692-3.23%-4.45%-0.09%
20066-0.03%$19,3330.15%$19,7210.17%-0.38%0.10%
200670.84%$19,4960.45%$19,809-0.13%1.15%1.35%
200682.12%$19,9102.05%$20,2152.31%2.53%1.64%
200691.06%$20,1221.70%$20,5582.27%0.25%0.81%
2006102.60%$20,6462.44%$21,0593.53%4.00%0.72%
2006112.29%$21,1191.80%$21,4392.23%3.73%1.11%
2006121.17%$21,3670.52%$21,5511.13%3.09%-0.48%
200710.82%$21,5421.09%$21,7861.88%0.96%-0.08%
200720.12%$21,569-0.38%$21,704-1.61%0.06%1.50%
200731.18%$21,8240.67%$21,8491.11%2.80%0.02%
200742.59%$22,3902.61%$22,4194.01%3.92%0.51%
200751.77%$22,7851.94%$22,8543.69%3.09%-0.78%
20076-0.47%$22,678-1.18%$22,584-1.67%0.61%-0.39%
20077-1.05%$22,439-1.78%$22,183-3.41%-1.06%0.84%
200780.72%$22,6021.41%$22,4951.45%-0.72%1.34%
200793.34%$23,3582.46%$23,0493.59%6.38%0.72%
2007102.80%$24,0121.49%$23,3921.85%5.90%0.93%
200711-2.13%$23,500-2.02%$22,920-4.49%-4.57%1.91%
200712-0.83%$23,306-0.27%$22,857-0.60%-2.28%0.22%
20081-3.71%$22,441-2.97%$22,178-6.08%-8.55%1.69%
20082-0.72%$22,278-1.70%$21,800-3.07%0.33%0.19%
20083-0.25%$22,223-0.21%$21,755-0.58%-0.71%0.30%
200842.98%$22,8852.74%$22,3505.02%5.85%-0.30%
200850.73%$23,0510.89%$22,5492.09%1.51%-0.79%
20086-5.08%$21,880-4.84%$21,458-8.19%-8.99%-0.01%
20087-1.26%$21,603-0.44%$21,365-0.77%-3.67%0.00%
20088-0.66%$21,4611.20%$21,6211.58%-5.10%0.70%
20089-6.67%$20,030-5.75%$20,377-9.26%-13.09%-1.10%
200810-11.66%$17,694-10.81%$18,174-17.63%-22.09%-2.53%
200811-1.58%$17,414-2.21%$17,773-7.90%-6.29%3.64%
2008123.96%$18,1042.62%$18,2401.86%8.16%3.32%
20091-6.34%$16,956-5.23%$17,285-8.26%-11.96%-0.70%
20092-5.95%$15,946-6.25%$16,205-10.45%-9.58%-0.42%
200935.61%$16,8415.46%$17,0908.65%9.31%1.48%
200946.79%$17,9856.22%$18,15210.61%12.78%0.36%
200956.20%$19,1013.55%$18,7965.38%14.35%0.85%
20096-0.11%$19,0790.42%$18,8750.34%-1.32%0.54%
200976.02%$20,2275.30%$19,8757.82%9.96%1.43%
200982.62%$20,7572.63%$20,3993.63%3.50%1.01%
200993.42%$21,4673.09%$21,0294.23%5.15%1.19%
200910-1.37%$21,173-1.47%$20,719-2.57%-2.17%0.41%
2009113.49%$21,9114.03%$21,5545.63%3.86%1.36%
2009120.80%$22,0871.20%$21,8132.86%1.53%-1.68%
20101-1.94%$21,658-1.47%$21,493-3.50%-5.07%1.57%
201021.14%$21,9052.06%$21,9343.36%0.22%0.20%
201033.79%$22,7353.70%$22,7466.27%6.71%-0.08%
201040.58%$22,8681.74%$23,1422.17%-1.71%1.06%
20105-5.28%$21,660-4.56%$22,086-8.00%-10.78%0.87%
20106-1.36%$21,365-2.68%$21,493-5.66%-1.17%1.61%
201075.27%$22,4904.40%$22,4396.99%10.33%0.94%
20108-1.71%$22,106-2.17%$21,952-4.75%-3.22%1.48%
201095.65%$23,3545.40%$23,1389.47%10.41%-0.01%
2010102.36%$23,9062.49%$23,7133.94%3.55%0.36%
201011-1.40%$23,5710.12%$23,7410.58%-4.52%-0.57%
2010124.04%$24,5243.66%$24,6116.81%8.34%-1.15%
201110.90%$24,7441.34%$24,9422.19%0.70%0.08%
201121.97%$25,2312.24%$25,5013.60%2.71%0.16%
201130.01%$25,2330.27%$25,5700.45%-0.43%-0.01%
201143.01%$25,9932.34%$26,1702.99%5.24%1.32%
20115-0.74%$25,801-0.22%$26,112-1.16%-2.87%1.30%
20116-1.16%$25,503-1.24%$25,787-1.79%-1.51%-0.39%
20117-0.54%$25,366-0.77%$25,588-2.28%-1.53%1.58%
20118-3.72%$24,422-3.01%$24,818-5.99%-8.45%1.46%
20119-5.36%$23,113-4.13%$23,793-7.75%-12.29%0.89%
2011106.04%$24,5086.50%$25,34111.51%10.22%0.16%
201111-1.00%$24,264-0.29%$25,266-0.29%-2.88%-0.30%
2011120.00%$24,2640.91%$25,4970.80%-2.64%1.08%
201214.06%$25,2493.40%$26,3635.08%7.27%0.87%
201222.86%$25,9712.58%$27,0434.26%5.14%-0.05%
201230.49%$26,0971.68%$27,4973.07%-0.75%-0.58%
20124-0.34%$26,0090.01%$27,500-0.65%-1.78%1.14%
20125-5.03%$24,702-3.53%$26,528-6.24%-11.14%0.95%
201262.96%$25,4342.39%$27,1613.91%6.03%0.04%
201271.00%$25,6871.17%$27,4791.03%0.44%1.39%
201281.59%$26,0961.54%$27,9012.48%2.72%0.03%
201291.93%$26,6011.64%$28,3592.58%3.62%0.11%
201210-0.35%$26,509-1.06%$28,058-1.76%0.56%0.11%
2012110.86%$26,7370.53%$28,2080.74%1.82%0.19%
2012121.59%$27,1610.67%$28,3961.19%4.17%-0.20%
201312.37%$27,8043.01%$29,2525.50%3.34%-0.71%
201320.23%$27,8690.99%$29,5431.28%-1.23%0.54%
201331.47%$28,2792.42%$30,2593.88%0.77%0.08%
201341.95%$28,8321.41%$30,6841.70%3.58%0.91%
20135-0.80%$28,6020.82%$30,9352.32%-2.95%-1.71%
20136-2.14%$27,989-1.41%$30,498-1.27%-3.75%-1.65%
201373.22%$28,8893.57%$31,5865.49%4.56%0.20%
20138-1.67%$28,406-2.06%$30,936-2.82%-1.63%-0.64%
201393.70%$29,4592.70%$31,7723.66%7.21%0.96%
2013102.73%$30,2633.02%$32,7304.22%3.41%0.78%
2013110.89%$30,5331.77%$33,3112.88%0.12%-0.35%
2013121.06%$30,8581.53%$33,8212.63%1.25%-0.65%
20141-1.75%$30,319-1.25%$33,399-3.11%-4.78%1.54%
201423.17%$31,2792.98%$34,3964.73%5.39%0.48%
201430.22%$31,3460.25%$34,4810.51%0.41%-0.15%
201440.72%$31,5720.35%$34,6000.06%1.31%0.77%
201451.63%$32,0881.72%$35,1962.17%1.88%1.05%
201461.33%$32,5151.57%$35,7482.54%1.74%0.11%
20147-1.19%$32,128-1.30%$35,282-1.98%-1.61%-0.26%
201482.03%$32,7802.97%$36,3314.18%1.05%1.13%
20149-2.43%$31,982-1.59%$35,755-2.14%-5.01%-0.72%
2014101.14%$32,3462.03%$36,4812.74%-0.31%0.94%
2014110.95%$32,6531.73%$37,1112.41%-0.25%0.65%
201412-1.00%$32,3280.03%$37,122-0.01%-3.65%0.09%
201510.13%$32,370-0.74%$36,848-2.77%0.13%2.31%
201522.89%$33,3072.94%$37,9325.76%5.52%-1.08%
20153-0.62%$33,099-0.46%$37,755-1.04%-1.54%0.41%
201541.53%$33,6060.11%$37,7960.42%5.08%-0.36%
20155-0.06%$33,5840.66%$38,0451.39%-0.94%-0.45%
20156-1.74%$32,999-1.43%$37,499-1.71%-2.69%-1.01%
201570.54%$33,1761.29%$37,9821.63%-0.80%0.76%
20158-4.19%$31,785-3.80%$36,540-6.03%-7.29%-0.36%
20159-1.71%$31,240-1.43%$36,017-2.93%-3.90%0.76%
2015104.11%$32,5264.59%$37,6697.84%6.26%0.01%
201511-0.33%$32,4170.22%$37,7510.54%-1.32%-0.27%
201512-1.38%$31,970-1.37%$37,232-2.03%-2.07%-0.38%
20161-2.81%$31,073-2.83%$36,178-5.67%-5.59%1.43%
20162-0.40%$30,9500.25%$36,269-0.04%-2.27%0.66%
201634.79%$32,4314.47%$37,8897.01%8.19%0.94%
201641.00%$32,7540.53%$38,0880.63%2.22%0.38%
201650.23%$32,8311.07%$38,4971.79%-1.02%0.01%
201660.57%$33,0190.91%$38,8480.23%-0.94%1.94%
201672.73%$33,9212.61%$39,8633.95%4.41%0.64%
201680.23%$33,9990.09%$39,8980.26%0.74%-0.17%
201690.42%$34,1400.06%$39,9210.15%1.37%-0.09%
201610-1.51%$33,626-1.66%$39,259-2.21%-1.72%-0.81%
201611-0.36%$33,5041.62%$39,8934.44%-2.15%-2.64%
2016121.30%$33,9381.28%$40,4041.92%2.02%0.24%
201711.85%$34,5671.26%$40,9141.91%3.87%0.29%
201721.83%$35,2002.50%$41,9383.71%1.50%0.66%
201730.85%$35,5010.01%$41,9430.07%2.82%-0.07%
201741.30%$35,9610.94%$42,3371.05%2.20%0.76%
201751.51%$36,5020.88%$42,7071.01%3.01%0.67%
201760.45%$36,6670.57%$42,9510.92%0.52%0.01%
201771.80%$37,3271.30%$43,5081.87%3.42%0.39%
201780.57%$37,5400.42%$43,6890.15%0.64%0.85%
201791.12%$37,9611.31%$44,2602.45%1.81%-0.54%
2017101.33%$38,4661.39%$44,8742.16%1.94%0.11%
2017111.13%$38,9011.85%$45,7043.04%0.78%-0.17%
2017121.13%$39,3410.79%$46,0670.99%2.01%0.44%
201812.83%$40,4552.75%$47,3325.31%5.59%-1.09%
20182-3.12%$39,193-2.68%$46,063-3.72%-5.14%-1.03%
20183-0.55%$38,975-0.97%$45,617-1.99%-0.64%0.63%
201840.03%$38,988-0.10%$45,5710.38%0.83%-0.83%
201850.50%$39,1831.93%$46,4502.79%-1.92%0.61%
20186-0.40%$39,0280.43%$46,6470.68%-2.08%0.03%
201871.78%$39,7222.05%$47,6063.34%2.48%0.03%
201880.65%$39,9792.33%$48,7143.44%-2.19%0.52%
20189-0.07%$39,950-0.10%$48,6640.16%0.30%-0.54%
201810-5.09%$37,917-4.92%$46,270-7.40%-8.35%-0.73%
2018111.22%$38,3781.47%$46,9482.06%1.26%0.53%
201812-3.60%$36,996-5.02%$44,590-9.29%-4.85%1.80%
201915.25%$38,9395.55%$47,0678.59%7.58%1.01%
201921.59%$39,5572.14%$48,0733.50%1.72%-0.06%
201931.41%$40,1161.63%$48,8571.44%0.72%1.96%
201942.11%$40,9632.50%$50,0783.98%2.76%0.04%
20195-3.09%$39,697-3.41%$48,369-6.45%-5.55%1.83%
201964.35%$41,4254.72%$50,6526.97%5.83%1.15%
20197-0.03%$41,4130.99%$51,1521.44%-1.89%0.23%
20198-0.30%$41,290-0.24%$51,027-2.03%-2.35%2.78%
201991.10%$41,7450.83%$51,4481.70%2.72%-0.60%
2019101.75%$42,4761.39%$52,1622.10%3.38%0.21%
2019111.52%$43,1202.34%$53,3853.77%1.11%-0.06%
2019122.16%$44,0501.76%$54,3252.85%4.27%-0.15%
20201-0.17%$43,9760.80%$54,760-0.08%-3.30%2.11%
20202-3.71%$42,345-4.17%$52,475-8.18%-6.72%1.71%
20203-8.73%$38,646-8.10%$48,223-13.78%-16.11%-0.59%
202046.47%$41,1487.87%$52,01913.25%8.09%1.69%
202053.05%$42,4033.25%$53,7115.38%4.80%0.54%
202062.11%$43,2971.60%$54,5732.28%4.24%0.70%
202073.45%$44,7923.91%$56,7075.64%4.10%1.55%
202082.91%$46,0943.78%$58,8527.18%4.31%-1.02%
20209-1.63%$45,341-2.13%$57,597-3.57%-1.96%0.08%
202010-1.53%$44,648-1.53%$56,714-2.16%-2.21%-0.61%
2020117.75%$48,1087.68%$61,06912.19%12.93%1.11%
2020123.15%$49,6242.81%$62,7824.45%5.82%0.15%
20211-0.45%$49,401-0.52%$62,455-0.34%-0.10%-0.80%
202121.05%$49,9221.31%$63,2763.19%2.32%-1.51%
202131.04%$50,4431.59%$64,2823.47%1.69%-1.38%
202142.83%$51,8703.56%$66,5715.14%2.78%0.95%
202151.19%$52,4860.36%$66,8090.43%3.14%0.24%
202160.95%$52,9831.88%$68,0662.53%-0.46%0.77%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value7.83%20.14%
Large-cap Growth17.33%30.20%
Mid-cap Value5.68%4.67%
Mid-cap Growth0.79%3.11%
Small-cap Value0.00%0.00%
Small-cap Growth0.06%2.79%
Global ex-US Developed Markets21.64%0.00%
Emerging Markets7.55%1.05%
Corporate Bonds9.02%6.70%
Long-Term Treasuries1.50%1.38%
Intermediate-Term Treasuries8.03%10.29%
Short-Term Treasuries20.57%19.66%
R Squared99.61%99.67%
Style analysis is based on monthly returns from April 2005 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend30.00%1.01%0.14%25.59$20,53546.51%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend30.00%2.35%0.17%18.33$12,40751.64%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.26%0.15%6.79$10,0411.86%
100.00%1.51%0.15%21.966.79$42,983100.00%

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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%1.01%0.14%25.59$47,05298.51%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.26%0.15%6.79$11,0151.49%
100.00%1.11%0.14%25.596.79$58,066100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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 2
Arithmetic Mean (monthly)0.61%0.69%
Arithmetic Mean (annualized)7.52%8.61%
Geometric Mean (monthly)0.57%0.65%
Geometric Mean (annualized)7.04%8.14%
Volatility (monthly)2.72%2.70%
Volatility (annualized)9.42%9.35%
Downside Deviation (monthly)1.80%1.73%
Max. Drawdown-33.59%-30.72%
US Market Correlation0.950.99
Beta(*)0.560.58
Alpha (annualized)1.38%2.18%
R289.40%97.52%
Sharpe Ratio0.560.67
Sortino Ratio0.821.00
Treynor Ratio (%)9.4210.84
Calmar Ratio0.871.12
Active Return-2.55%-1.45%
Tracking Error7.56%6.74%
Information Ratio-0.34-0.22
Skewness-0.72-0.66
Excess Kurtosis1.731.40
Historical Value-at-Risk (5%)-4.39%-4.22%
Analytical Value-at-Risk (5%)-3.98%-3.83%
Conditional Value-at-Risk (5%)-6.22%-5.89%
Upside Capture Ratio (%)57.3461.39
Downside Capture Ratio (%)55.3155.46
Safe Withdrawal Rate6.88%7.47%
Perpetual Withdrawal Rate4.59%5.59%
Positive Periods186 out of 294 (63.27%)196 out of 294 (66.67%)
Gain/Loss Ratio1.030.96
* 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 2
Asian CrisisJul 1997Jan 1998-4.11%-2.69%
Russian Debt DefaultJul 1998Oct 1998-8.63%-10.18%
Dotcom CrashMar 2000Oct 2002-21.15%-21.68%
Subprime CrisisNov 2007Mar 2009-33.59%-30.72%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-33.59%
2Apr 2000Sep 20022 years 6 monthsDec 20031 year 3 months3 years 9 months-21.15%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-12.27%
4May 2011Sep 20115 monthsMar 20126 months11 months-11.08%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-8.63%
6Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.55%
7May 2015Feb 201610 monthsJul 20165 months1 year 3 months-7.90%
8Apr 2012May 20122 monthsSep 20124 months6 months-5.35%
9Aug 1997Aug 19971 monthJan 19985 months6 months-4.11%
10Jan 2000Jan 20001 monthMar 20002 months3 months-3.19%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-11.94%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-10.18%
5May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
7Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
8Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
9Jul 1999Sep 19993 monthsOct 19991 month4 months-3.76%
10Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.60%15.81%33.35%-37.04%-50.89%0.540.771.00
VGTSXVanguard Total Intl Stock Index Inv5.52%17.27%40.34%-44.10%-58.50%0.290.400.86
VBMFXVanguard Total Bond Market Index Inv4.85%3.43%11.39%-2.26%-3.99%0.831.39-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.86-0.050.950.99
VGTSXVanguard Total Intl Stock Index Inv0.861.000.020.960.86
VBMFXVanguard Total Bond Market Index Inv-0.050.021.000.130.10

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$20,535$47,052
VGTSXVanguard Total Intl Stock Index Inv$12,407
VBMFXVanguard Total Bond Market Index Inv$10,041$11,015

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv46.51%98.51%
VGTSXVanguard Total Intl Stock Index Inv51.64%
VBMFXVanguard Total Bond Market Index Inv1.86%1.49%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.17%37.36%-28.42%8.09%35.35%-25.66%
3 years6.24%17.65%-7.13%6.98%19.08%-6.52%
5 years6.07%14.42%-0.14%6.67%16.24%-1.54%
7 years6.30%9.94%2.44%6.83%12.20%0.77%
10 years6.26%9.51%2.21%6.72%11.49%1.27%
15 years6.29%8.19%5.00%6.75%8.61%5.14%