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 2001 - Aug 2021)

Portfolio Allocations

(36+24)/40 using Total Bond
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 36.00%
VGTSX Vanguard Total Intl Stock Index Inv 24.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
(36+24)/40 using Inflation-protected Securities
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 36.00%
VGTSX Vanguard Total Intl Stock Index Inv 24.00%
VIPSX Vanguard Inflation-Protected Secs Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
(36+24)/40 using Total Bond$10,000$38,433 6.73% 9.16%22.56%-21.90%-33.02% 0.610.900.96
(36+24)/40 using Inflation-protected Securities$10,000$40,680 7.03% 9.63%24.17%-25.06%-35.15% 0.610.890.94
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
(36+24)/40 using Total Bond3.42%9.52%17.68%11.06%10.17%8.81%6.73%10.98%8.87%
(36+24)/40 using Inflation-protected Securities3.85%11.44%19.93%11.68%10.70%8.82%7.03%11.50%9.23%
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
YearInflation(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected SecuritiesVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Inflation-Protected Secs Inv (VIPSX)
ReturnBalanceReturnBalance
20011.55%-5.41%$9,459-5.74%$9,426-10.97%-20.15%8.43%7.61%
20022.38%-7.86%$8,715-4.52%$9,000-20.96%-15.08%8.26%16.61%
20031.88%22.56%$10,68124.17%$11,17531.35%40.34%3.97%8.00%
20043.26%11.20%$11,87712.80%$12,60512.51%20.84%4.24%8.24%
20053.42%6.85%$12,6916.93%$13,4795.98%15.57%2.40%2.59%
20062.54%13.68%$14,42712.15%$15,11615.51%26.64%4.27%0.43%
20074.08%8.47%$15,64910.34%$16,6795.49%15.52%6.92%11.59%
20080.09%-21.90%$12,223-25.06%$12,500-37.04%-44.10%5.05%-2.85%
20092.72%21.52%$14,85323.47%$15,43328.70%36.73%5.93%10.80%
20101.50%11.39%$16,54511.29%$17,17517.09%11.12%6.42%6.17%
20112.96%-0.13%$16,5242.14%$17,5430.96%-14.56%7.56%13.24%
20121.74%11.82%$18,47812.92%$19,80916.25%18.14%4.05%6.78%
20131.50%14.71%$21,19612.05%$22,19633.35%15.04%-2.26%-8.92%
20140.76%5.76%$22,4174.99%$23,30312.43%-4.24%5.76%3.83%
20150.73%-0.82%$22,232-1.67%$22,9130.29%-4.37%0.30%-1.83%
20162.07%6.63%$23,7067.44%$24,61712.53%4.65%2.50%4.52%
20172.11%15.54%$27,38915.28%$28,37921.05%27.40%3.46%2.81%
20181.91%-5.41%$25,908-5.95%$26,689-5.26%-14.44%-0.13%-1.49%
20192.29%19.62%$30,99119.40%$31,86730.65%21.43%8.61%8.06%
20201.36%13.24%$35,09314.55%$36,50420.87%11.16%7.61%10.90%
20215.03%9.52%$38,43311.44%$40,68020.50%10.16%-0.75%4.06%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonth(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected SecuritiesVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Inflation-Protected Secs Inv (VIPSX)
ReturnBalanceReturnBalance
200112.35%$10,2352.41%$10,2413.83%1.10%1.76%1.93%
20012-4.88%$9,735-4.56%$9,775-9.41%-7.61%0.91%1.71%
20013-3.76%$9,369-3.57%$9,425-6.72%-7.15%0.54%0.93%
200144.30%$9,7724.73%$9,8718.16%7.89%-0.46%0.56%
20015-0.15%$9,7580.02%$9,8731.01%-3.52%0.73%1.11%
20016-1.21%$9,640-1.46%$9,729-1.64%-3.84%0.52%-0.10%
20017-0.17%$9,624-0.43%$9,688-1.71%-2.43%2.23%1.58%
20018-2.08%$9,424-2.43%$9,453-6.00%-2.30%1.11%0.28%
20019-4.85%$8,968-4.99%$8,981-9.00%-10.73%0.89%0.54%
2001102.29%$9,1732.50%$9,2062.52%2.97%1.86%2.30%
2001112.50%$9,4022.00%$9,3907.63%3.56%-1.34%-2.34%
2001120.60%$9,4590.38%$9,4261.78%1.35%-0.58%-1.05%
20021-1.28%$9,337-1.33%$9,300-1.24%-4.63%0.69%0.56%
20022-0.18%$9,3200.12%$9,312-2.05%0.90%0.85%1.59%
200232.28%$9,5332.61%$9,5554.38%5.71%-1.46%-0.64%
20024-0.99%$9,439-0.54%$9,503-4.90%0.42%1.69%2.79%
200250.19%$9,4570.50%$9,551-1.22%1.16%0.80%1.54%
20026-3.35%$9,139-2.87%$9,277-7.06%-4.28%0.29%1.34%
20027-4.84%$8,697-4.21%$8,887-8.02%-9.80%0.48%1.70%
200280.89%$8,7741.81%$9,0470.53%-0.12%1.66%3.60%
20029-5.00%$8,336-4.34%$8,655-10.07%-10.88%1.53%2.46%
2002103.23%$8,6051.99%$8,8277.65%5.70%-0.61%-2.75%
2002112.96%$8,8592.86%$9,0796.06%4.75%0.02%0.00%
200212-1.63%$8,715-0.88%$9,000-5.57%-3.43%2.07%3.45%
20031-1.80%$8,558-1.58%$8,857-2.54%-3.76%0.05%0.59%
20032-0.61%$8,5060.34%$8,888-1.69%-2.42%1.38%3.69%
20033-0.11%$8,496-0.74%$8,8211.09%-1.93%-0.13%-1.62%
200345.50%$8,9634.97%$9,2608.21%9.70%0.87%-0.33%
200354.42%$9,3595.57%$9,7766.11%6.15%1.82%4.73%
200361.12%$9,4640.81%$9,8551.43%2.66%-0.13%-0.88%
200370.38%$9,500-0.09%$9,8462.36%3.18%-3.34%-4.47%
200381.76%$9,6672.16%$10,0592.39%2.51%0.61%1.70%
200391.25%$9,7881.43%$10,203-1.15%2.78%2.71%3.18%
2003103.60%$10,1404.10%$10,6216.12%6.49%-0.96%0.49%
2003111.19%$10,2601.10%$10,7381.38%2.13%0.27%0.08%
2003124.10%$10,6814.06%$11,1754.48%7.80%0.88%0.90%
200411.53%$10,8451.68%$11,3622.23%1.60%0.86%1.23%
200421.53%$11,0101.99%$11,5881.43%2.50%1.03%2.18%
200430.04%$11,0140.32%$11,626-1.07%0.45%0.80%1.50%
20044-2.56%$10,732-3.40%$11,230-2.11%-3.14%-2.61%-4.69%
200450.43%$10,7781.28%$11,3741.35%0.46%-0.43%1.72%
200461.56%$10,9461.32%$11,5242.09%2.40%0.56%-0.02%
20047-1.83%$10,746-1.80%$11,317-3.80%-3.34%0.96%0.99%
200481.07%$10,8611.35%$11,4690.31%0.75%1.94%2.60%
200491.39%$11,0131.41%$11,6311.74%2.96%0.16%0.24%
2004101.72%$11,2021.73%$11,8321.68%3.24%0.85%0.88%
2004113.13%$11,5533.29%$12,2224.68%7.23%-0.81%-0.32%
2004122.80%$11,8773.14%$12,6053.63%4.44%0.92%1.83%
20051-1.10%$11,746-1.36%$12,434-2.68%-1.67%0.65%0.00%
200521.60%$11,9341.66%$12,6402.07%4.68%-0.63%-0.48%
20053-1.54%$11,750-1.29%$12,477-1.75%-2.93%-0.49%0.13%
20054-0.78%$11,659-0.58%$12,404-2.32%-2.07%1.35%1.84%
200551.77%$11,8651.63%$12,6063.77%0.08%1.05%0.71%
200560.82%$11,9620.73%$12,6980.81%1.30%0.55%0.33%
200571.93%$12,1931.52%$12,8914.11%3.68%-0.99%-1.99%
200580.88%$12,3001.21%$13,047-0.94%2.85%1.36%2.19%
200591.03%$12,4271.43%$13,2330.86%4.73%-1.10%-0.09%
200510-1.84%$12,199-2.02%$12,966-1.86%-3.37%-0.81%-1.28%
2005112.27%$12,4762.15%$13,2443.97%2.67%0.48%0.16%
2005121.72%$12,6911.77%$13,4790.14%5.14%0.99%1.11%
200612.87%$13,0542.97%$13,8793.50%6.87%-0.11%0.16%
20062-0.03%$13,050-0.24%$13,8460.00%-0.72%0.37%-0.16%
200631.05%$13,1870.61%$13,9301.80%3.17%-1.00%-2.14%
200641.62%$13,4001.68%$14,1631.11%5.12%-0.21%-0.08%
20065-2.37%$13,082-2.26%$13,844-3.23%-4.45%-0.09%0.25%
200660.00%$13,0830.08%$13,8550.17%-0.38%0.10%0.31%
200670.76%$13,1830.87%$13,976-0.13%1.15%1.35%1.62%
200682.11%$13,4612.13%$14,2732.31%2.53%1.64%1.68%
200691.19%$13,6210.95%$14,4082.27%0.25%0.81%0.18%
2006102.57%$13,9712.24%$14,7313.53%4.00%0.72%-0.17%
2006112.20%$14,2782.23%$15,0592.23%3.73%1.11%1.17%
2006121.05%$14,4270.38%$15,1161.13%3.09%-0.48%-2.32%
200710.87%$14,5530.97%$15,2631.88%0.96%-0.08%0.17%
200720.02%$14,5570.23%$15,299-1.61%0.06%1.50%2.03%
200731.08%$14,7141.14%$15,4731.11%2.80%0.02%0.18%
200742.60%$15,0962.69%$15,8894.01%3.92%0.51%0.75%
200751.80%$15,3681.61%$16,1443.69%3.09%-0.78%-1.24%
20076-0.61%$15,274-0.54%$16,057-1.67%0.61%-0.39%-0.20%
20077-1.20%$15,091-0.65%$15,953-3.41%-1.06%0.84%2.25%
200780.86%$15,2210.70%$16,0641.45%-0.72%1.34%0.93%
200793.17%$15,7033.36%$16,6053.59%6.38%0.72%1.26%
2007102.54%$16,1022.62%$17,0401.85%5.90%0.93%1.17%
200711-2.11%$15,763-1.28%$16,822-4.49%-4.57%1.91%3.97%
200712-0.72%$15,649-0.85%$16,679-0.60%-2.28%0.22%-0.15%
20081-3.56%$15,091-2.73%$16,223-6.08%-8.55%1.69%3.78%
20082-0.92%$14,952-0.40%$16,159-3.07%0.33%0.19%1.39%
20083-0.24%$14,917-0.32%$16,107-0.58%-0.71%0.30%0.09%
200842.93%$15,3542.11%$16,4475.02%5.85%-0.30%-2.08%
200850.76%$15,4701.11%$16,6302.09%1.51%-0.79%0.08%
20086-5.03%$14,692-4.20%$15,931-8.19%-8.99%-0.01%1.90%
20087-1.10%$14,530-1.32%$15,721-0.77%-3.67%0.00%-0.55%
20088-0.28%$14,489-0.33%$15,6681.58%-5.10%0.70%0.55%
20089-6.48%$13,550-7.65%$14,470-9.26%-13.09%-1.10%-3.88%
200810-11.48%$11,994-14.40%$12,386-17.63%-22.09%-2.53%-8.83%
200811-1.71%$11,788-3.60%$11,940-7.90%-6.29%3.64%0.18%
2008123.69%$12,2234.69%$12,5001.86%8.16%3.32%5.23%
20091-6.12%$11,475-5.46%$11,817-8.26%-11.96%-0.70%0.95%
20092-6.01%$10,785-6.49%$11,050-10.45%-9.58%-0.42%-1.63%
200935.58%$11,3877.60%$11,8908.65%9.31%1.48%5.99%
200946.68%$12,1475.55%$12,55010.61%12.78%0.36%-1.90%
200955.67%$12,8366.03%$13,3075.38%14.35%0.85%1.85%
20096-0.01%$12,835-0.08%$13,2960.34%-1.32%0.54%0.33%
200975.88%$13,5895.28%$13,9987.82%9.96%1.43%0.08%
200982.62%$13,9452.63%$14,3663.63%3.50%1.01%1.07%
200993.36%$14,4133.59%$14,8834.23%5.15%1.19%1.87%
200910-1.39%$14,212-1.00%$14,734-2.57%-2.17%0.41%1.44%
2009113.59%$14,7234.09%$15,3365.63%3.86%1.36%2.76%
2009120.88%$14,8530.63%$15,4332.86%1.53%-1.68%-2.23%
20101-1.85%$14,579-1.87%$15,144-3.50%-5.07%1.57%1.51%
201021.32%$14,7710.75%$15,2583.36%0.22%0.20%-1.18%
201033.77%$15,3283.84%$15,8456.27%6.71%-0.08%0.04%
201040.82%$15,4541.37%$16,0622.17%-1.71%1.06%2.47%
20105-5.13%$14,660-5.45%$15,187-8.00%-10.78%0.87%0.08%
20106-1.63%$14,421-1.77%$14,919-5.66%-1.17%1.61%1.32%
201075.09%$15,1554.67%$15,6166.99%10.33%0.94%-0.08%
20108-1.80%$14,882-1.65%$15,359-4.75%-3.22%1.48%1.93%
201095.60%$15,7155.94%$16,2719.47%10.41%-0.01%0.70%
2010102.39%$16,0903.29%$16,8063.94%3.55%0.36%2.56%
201011-1.09%$15,914-1.54%$16,5470.58%-4.52%-0.57%-1.69%
2010123.96%$16,5453.80%$17,1756.81%8.34%-1.15%-1.55%
201110.99%$16,7080.95%$17,3392.19%0.70%0.08%0.00%
201122.02%$17,0462.33%$17,7423.60%2.71%0.16%0.92%
201130.06%$17,0570.42%$17,8170.45%-0.43%-0.01%0.91%
201142.88%$17,5473.31%$18,4062.99%5.24%1.32%2.43%
20115-0.64%$17,436-1.01%$18,220-1.16%-2.87%1.30%0.30%
20116-1.17%$17,231-0.76%$18,082-1.79%-1.51%-0.39%0.65%
20117-0.58%$17,1310.36%$18,147-2.28%-1.53%1.58%3.87%
20118-3.58%$16,518-3.73%$17,471-5.99%-8.45%1.46%0.86%
20119-5.11%$15,673-5.36%$16,534-7.75%-12.29%0.89%0.06%
2011106.13%$16,6356.85%$17,66711.51%10.22%0.16%1.93%
201111-0.85%$16,493-0.52%$17,574-0.29%-2.88%-0.30%0.42%
2011120.19%$16,524-0.17%$17,5430.80%-2.64%1.08%0.20%
201213.92%$17,1724.45%$18,3255.08%7.27%0.87%2.20%
201222.81%$17,6542.65%$18,8104.26%5.14%-0.05%-0.42%
201230.72%$17,7820.53%$18,9103.07%-0.75%-0.58%-1.07%
20124-0.27%$17,7340.07%$18,924-0.65%-1.78%1.14%2.05%
20125-4.73%$16,896-4.38%$18,096-6.24%-11.14%0.95%1.80%
201262.85%$17,3772.56%$18,5583.91%6.03%0.04%-0.62%
201271.03%$17,5561.22%$18,7841.03%0.44%1.39%1.85%
201281.58%$17,8331.48%$19,0612.48%2.72%0.03%-0.20%
201291.88%$18,1682.01%$19,4452.58%3.62%0.11%0.49%
201210-0.49%$18,079-0.27%$19,392-1.76%0.56%0.11%0.67%
2012110.79%$18,2220.89%$19,5660.74%1.82%0.19%0.47%
2012121.40%$18,4781.24%$19,8091.19%4.17%-0.20%-0.57%
201312.50%$18,9392.51%$20,3055.50%3.34%-0.71%-0.69%
201320.39%$19,0120.23%$20,3521.28%-1.23%0.54%0.14%
201331.67%$19,3291.72%$20,7023.88%0.77%0.08%0.21%
201341.84%$19,6851.79%$21,0721.70%3.58%0.91%0.76%
20135-0.47%$19,593-1.43%$20,7702.32%-2.95%-1.71%-4.26%
20136-1.99%$19,202-2.84%$20,180-1.27%-3.75%-1.65%-3.94%
201373.29%$19,8333.61%$20,9085.49%4.56%0.20%0.90%
20138-1.75%$19,486-2.15%$20,459-2.82%-1.63%-0.64%-1.71%
201393.50%$20,1673.80%$21,2383.66%7.21%0.96%1.68%
2013102.79%$20,7302.71%$21,8144.22%3.41%0.78%0.45%
2013111.07%$20,9530.87%$22,0022.88%0.12%-0.35%-1.04%
2013121.16%$21,1960.88%$22,1962.63%1.25%-0.65%-1.60%
20141-1.65%$20,847-1.40%$21,885-3.11%-4.78%1.54%2.16%
201423.13%$21,4993.05%$22,5524.73%5.39%0.48%0.30%
201430.22%$21,5470.09%$22,5730.51%0.41%-0.15%-0.47%
201440.64%$21,6860.88%$22,7720.06%1.31%0.77%1.36%
201451.65%$22,0442.04%$23,2362.17%1.88%1.05%2.01%
201461.38%$22,3481.45%$23,5742.54%1.74%0.11%0.31%
20147-1.21%$22,077-1.10%$23,314-1.98%-1.61%-0.26%0.00%
201482.22%$22,5661.96%$23,7714.18%1.05%1.13%0.51%
20149-2.26%$22,056-2.95%$23,069-2.14%-5.01%-0.72%-2.49%
2014101.32%$22,3471.24%$23,3552.74%-0.31%0.94%0.75%
2014111.11%$22,5940.97%$23,5822.41%-0.25%0.65%0.30%
201412-0.78%$22,417-1.18%$23,303-0.01%-3.65%0.09%-0.91%
20151-0.04%$22,4080.28%$23,368-2.77%0.13%2.31%3.11%
201522.90%$23,0582.76%$24,0135.76%5.52%-1.08%-1.40%
20153-0.59%$22,921-0.92%$23,792-1.04%-1.54%0.41%-0.42%
201541.25%$23,2081.66%$24,1880.42%5.08%-0.36%0.67%
201550.08%$23,226-0.16%$24,1501.39%-0.94%-0.45%-1.04%
20156-1.68%$22,835-1.64%$23,754-1.71%-2.69%-1.01%-0.90%
201570.69%$22,9920.57%$23,8881.63%-0.80%0.76%0.46%
20158-4.11%$22,046-4.33%$22,854-6.03%-7.29%-0.36%-0.91%
20159-1.66%$21,681-2.16%$22,361-2.93%-3.90%0.76%-0.46%
2015104.21%$22,5934.33%$23,3297.84%6.26%0.01%0.23%
201511-0.22%$22,543-0.18%$23,2880.54%-1.32%-0.27%-0.15%
201512-1.38%$22,232-1.61%$22,913-2.03%-2.07%-0.38%-0.95%
20161-2.81%$21,607-2.76%$22,281-5.67%-5.59%1.43%1.56%
20162-0.27%$21,549-0.09%$22,260-0.04%-2.27%0.66%1.07%
201634.72%$22,5675.12%$23,3997.01%8.19%0.94%1.90%
201640.90%$22,7710.80%$23,5870.63%2.22%0.38%0.15%
201650.40%$22,8620.12%$23,6161.79%-1.02%0.01%-0.67%
201660.64%$23,0080.77%$23,7980.23%-0.94%1.94%2.26%
201672.71%$23,6322.71%$24,4433.95%4.41%0.64%0.66%
201680.20%$23,6790.09%$24,4650.26%0.74%-0.17%-0.44%
201690.34%$23,7610.67%$24,6290.15%1.37%-0.09%0.73%
201610-1.54%$23,395-1.41%$24,281-2.21%-1.72%-0.81%-0.51%
2016110.03%$23,4030.26%$24,3444.44%-2.15%-2.64%-2.04%
2016121.29%$23,7061.12%$24,6171.92%2.02%0.24%-0.16%
201711.73%$24,1172.02%$25,1141.91%3.87%0.29%1.00%
201721.97%$24,5911.85%$25,5793.71%1.50%0.66%0.38%
201730.68%$24,7590.71%$25,7620.07%2.82%-0.07%0.01%
201741.22%$25,0631.11%$26,0461.05%2.20%0.76%0.46%
201751.38%$25,4091.12%$26,3391.01%3.01%0.67%0.00%
201760.47%$25,5290.11%$26,3670.92%0.52%0.01%-0.95%
201771.70%$25,9641.76%$26,8321.87%3.42%0.39%0.54%
201780.54%$26,1040.56%$26,9820.15%0.64%0.85%0.91%
201791.16%$26,4061.10%$27,2802.45%1.81%-0.54%-0.71%
2017101.34%$26,7611.39%$27,6592.16%1.94%0.11%0.23%
2017111.27%$27,1011.37%$28,0383.04%0.78%-0.17%0.08%
2017121.06%$27,3891.22%$28,3790.99%2.01%0.44%0.86%
201812.81%$28,1602.88%$29,1975.31%5.59%-1.09%-0.92%
20182-3.03%$27,306-2.99%$28,323-3.72%-5.14%-1.03%-0.93%
20183-0.64%$27,132-0.52%$28,176-1.99%-0.64%0.63%0.92%
201840.01%$27,1340.30%$28,2620.38%0.83%-0.83%-0.08%
201850.79%$27,3470.64%$28,4422.79%-1.92%0.61%0.23%
20186-0.23%$27,2840.03%$28,4510.68%-2.08%0.03%0.69%
201871.83%$27,7851.59%$28,9043.34%2.48%0.03%-0.54%
201880.99%$28,0601.03%$29,2023.44%-2.19%0.52%0.62%
20189-0.08%$28,037-0.24%$29,1320.16%0.30%-0.54%-0.95%
201810-5.05%$26,620-5.31%$27,586-7.40%-8.35%-0.73%-1.42%
2018111.27%$26,9581.22%$27,9222.06%1.26%0.53%0.40%
201812-3.90%$25,908-4.42%$26,689-9.29%-4.85%1.80%0.50%
201915.31%$27,2845.49%$28,1548.59%7.58%1.01%1.44%
201921.70%$27,7471.66%$28,6203.50%1.72%-0.06%-0.16%
201931.46%$28,1511.44%$29,0311.44%0.72%1.96%1.90%
201942.19%$28,7682.26%$29,6873.98%2.76%0.04%0.23%
20195-3.16%$27,860-3.19%$28,739-6.45%-5.55%1.83%1.71%
201964.43%$29,0944.29%$29,9716.97%5.83%1.15%0.80%
201970.18%$29,1440.18%$30,0241.44%-1.89%0.23%0.23%
20198-0.28%$29,062-0.48%$29,881-2.03%-2.35%2.78%2.27%
201991.04%$29,3650.86%$30,1391.70%2.72%-0.60%-1.07%
2019101.68%$29,8571.54%$30,6042.10%3.38%0.21%-0.15%
2019111.68%$30,3601.80%$31,1563.77%1.11%-0.06%0.23%
2019122.08%$30,9912.28%$31,8672.85%4.27%-0.15%0.39%
202010.03%$30,9990.03%$31,876-0.08%-3.30%2.11%2.12%
20202-3.80%$29,820-4.11%$30,568-8.18%-6.72%1.71%0.97%
20203-8.61%$27,253-8.95%$27,833-13.78%-16.11%-0.59%-1.31%
202046.76%$29,0947.18%$29,83213.25%8.09%1.69%2.54%
202053.09%$29,9943.09%$30,7535.38%4.80%0.54%0.51%
202062.01%$30,5952.18%$31,4232.28%4.24%0.70%1.09%
202073.55%$31,6803.87%$32,6385.64%4.10%1.55%2.29%
202083.09%$32,6583.93%$33,9197.18%4.31%-1.02%0.98%
20209-1.74%$32,091-1.89%$33,279-3.57%-1.96%0.08%-0.33%
202010-1.53%$31,600-1.56%$32,761-2.16%-2.21%-0.61%-0.70%
2020117.73%$34,0447.71%$35,28812.19%12.93%1.11%1.19%
2020123.08%$35,0933.44%$36,5044.45%5.82%0.15%1.13%
20211-0.46%$34,9300.02%$36,511-0.34%-0.10%-0.80%0.42%
202121.11%$35,3171.01%$36,8793.19%2.32%-1.51%-1.73%
202131.15%$35,7241.65%$37,4873.47%1.69%-1.38%-0.08%
202142.98%$36,7873.11%$38,6525.14%2.78%0.95%1.34%
202151.02%$37,1621.34%$39,1710.43%3.14%0.24%1.11%
202161.13%$37,5841.05%$39,5832.53%-0.46%0.77%0.57%
202170.79%$37,8801.30%$40,0971.71%-1.28%1.21%2.55%
202181.46%$38,4331.45%$40,6802.86%1.73%-0.20%-0.13%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected Securities
Large-cap Value10.39%6.44%
Large-cap Growth19.72%21.42%
Mid-cap Value5.40%8.18%
Mid-cap Growth1.35%1.86%
Small-cap Value0.00%0.00%
Small-cap Growth0.62%0.00%
Global ex-US Developed Markets17.25%17.95%
Emerging Markets6.31%8.17%
Corporate Bonds8.59%6.59%
Long-Term Treasuries1.48%0.00%
Intermediate-Term Treasuries8.41%19.61%
Short-Term Treasuries20.48%9.79%
R Squared99.64%97.92%
Style analysis is based on monthly returns from April 2005 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 (36+24)/40 using Total Bond

Holdings Based Style Analysis for (36+24)/40 using Total Bond
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend36.00%1.11%0.14%24.25$15,96856.14%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend24.00%2.34%0.17%15.90$6,39542.28%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.83%0.15%6.79$6,0691.59%
100.00%1.69%0.15%20.916.79$28,433100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for (36+24)/40 using Inflation-protected Securities

Holdings Based Style Analysis for (36+24)/40 using Inflation-protected Securities
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend36.00%1.11%0.14%24.25$16,63052.32%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend24.00%2.34%0.17%15.90$6,66539.88%
VIPSXVanguard Inflation-Protected Secs InvInflation-Protected Bond40.00%2.39%0.20%7.19$7,3857.80%
100.00%1.92%0.17%20.917.19$30,680100.00%

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
Metric(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected Securities
Arithmetic Mean (monthly)0.58%0.61%
Arithmetic Mean (annualized)7.18%7.52%
Geometric Mean (monthly)0.54%0.57%
Geometric Mean (annualized)6.73%7.03%
Volatility (monthly)2.64%2.78%
Volatility (annualized)9.16%9.63%
Downside Deviation (monthly)1.76%1.87%
Max. Drawdown-33.02%-35.15%
US Market Correlation0.960.94
Beta(*)0.570.59
Alpha (annualized)1.53%1.70%
R291.78%87.82%
Sharpe Ratio0.610.61
Sortino Ratio0.900.89
Treynor Ratio (%)9.8310.11
Calmar Ratio0.910.92
Active Return-1.89%-1.60%
Tracking Error7.09%7.18%
Information Ratio-0.27-0.22
Skewness-0.72-0.92
Excess Kurtosis2.113.68
Historical Value-at-Risk (5%)-4.80%-4.34%
Analytical Value-at-Risk (5%)-3.91%-4.11%
Conditional Value-at-Risk (5%)-6.05%-6.29%
Upside Capture Ratio (%)58.6359.87
Downside Capture Ratio (%)55.0955.18
Safe Withdrawal Rate6.61%6.88%
Perpetual Withdrawal Rate4.37%4.64%
Positive Periods162 out of 248 (65.32%)167 out of 248 (67.34%)
Gain/Loss Ratio0.950.87
* 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 PeriodStartEnd(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected Securities
Subprime CrisisNov 2007Mar 2009-33.02%-35.15%
COVID-19 StartJan 2020Mar 2020-12.08%-12.68%

Drawdowns for (36+24)/40 using Total Bond

Drawdowns for (36+24)/40 using Total Bond (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-33.02%
2Feb 2001Sep 20021 year 8 monthsNov 20031 year 2 months2 years 10 months-18.55%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-12.08%
4May 2011Sep 20115 monthsFeb 20125 months10 months-10.68%
5Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.00%
6Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.22%
7Apr 2012May 20122 monthsAug 20123 months5 months-4.98%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-3.24%
9May 2019May 20191 monthJun 20191 month2 months-3.16%
10Apr 2004Apr 20041 monthOct 20046 months7 months-2.56%
Worst 10 drawdowns included above

Drawdowns for (36+24)/40 using Inflation-protected Securities

Drawdowns for (36+24)/40 using Inflation-protected Securities (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-35.15%
2Feb 2001Sep 20021 year 8 monthsOct 20031 year 1 month2 years 9 months-15.50%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-12.68%
4May 2011Sep 20115 monthsFeb 20125 months10 months-10.17%
5Sep 2018Dec 20184 monthsApr 20194 months8 months-8.61%
6May 2015Feb 201610 monthsJul 20165 months1 year 3 months-7.97%
7May 2012May 20121 monthAug 20123 months4 months-4.38%
8May 2013Jun 20132 monthsSep 20133 months5 months-4.23%
9Feb 2018Mar 20182 monthsAug 20185 months7 months-3.50%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.42%
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 Inv8.62%15.37%33.35%-37.04%-50.89%0.530.761.00
VGTSXVanguard Total Intl Stock Index Inv5.42%17.34%40.34%-44.10%-58.50%0.320.440.88
VBMFXVanguard Total Bond Market Index Inv4.43%3.46%8.61%-2.26%-3.99%0.891.50-0.09
VIPSXVanguard Inflation-Protected Secs Inv5.21%5.69%16.61%-8.92%-12.50%0.691.050.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXVIPSX(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected Securities
VTSMXVanguard Total Stock Mkt Idx Inv1.000.88-0.090.060.960.94
VGTSXVanguard Total Intl Stock Index Inv0.881.000.020.170.960.95
VBMFXVanguard Total Bond Market Index Inv-0.090.021.000.790.110.15
VIPSXVanguard Inflation-Protected Secs Inv0.060.170.791.000.220.34

Portfolio Return Decomposition

Portfolio return decomposition
TickerName(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected Securities
VTSMXVanguard Total Stock Mkt Idx Inv$15,968$16,630
VGTSXVanguard Total Intl Stock Index Inv$6,395$6,665
VBMFXVanguard Total Bond Market Index Inv$6,069
VIPSXVanguard Inflation-Protected Secs Inv$7,385

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected Securities
VTSMXVanguard Total Stock Mkt Idx Inv56.14%52.32%
VGTSXVanguard Total Intl Stock Index Inv42.28%39.88%
VBMFXVanguard Total Bond Market Index Inv1.59%
VIPSXVanguard Inflation-Protected Secs Inv7.80%

Annual Asset Returns

Rolling returns summary
Roll Period(36+24)/40 using Total Bond(36+24)/40 using Inflation-protected Securities
AverageHighLowAverageHighLow
1 year7.37%36.96%-27.87%7.66%38.08%-31.61%
3 years7.10%17.85%-6.16%7.21%19.40%-7.24%
5 years6.92%14.79%-0.41%6.94%15.34%-0.95%
7 years6.63%10.39%2.11%6.60%10.52%2.48%
10 years6.83%9.91%5.02%6.84%9.98%4.85%
15 years6.78%8.26%5.11%6.76%8.28%5.32%