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 Analysis Results (Jan 2013 - Apr 2021)

Portfolio Allocations

American Funds PMC Active Core Portfolio - Moderate Growth
Ticker Name Allocation
AMRFX American Funds American Mutual F2 16.50%
AMCFX American Funds AMCAP F2 16.00%
NOSGX Northern Small Cap Value 3.00%
CRSOX Credit Suisse Commodity Return Strat I 2.50%
IGFFX American Funds Intl Gr and Inc F2 9.00%
AEPFX American Funds Europacific Growth F2 8.00%
NFFFX American Funds New World F2 3.00%
SMCFX American Funds SMALLCAP World F2 2.00%
ABNFX American Funds Bond Fund of Amer F2 9.00%
BAGIX Baird Aggregate Bond Inst 12.00%
CEPRX Columbia Income Opportunities Inst2 3.00%
BFWFX American Funds Capital World Bond F2 6.00%
RPIFX T. Rowe Price Instl Floating Rate 5.00%
JSHIX Janus Henderson Short-Term Bond I 3.00%
CASHX Cash 2.00%
Save portfolio »
Vanguard LifeStrategy Moderate Growth Fund
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
American Funds PMC Active Core Portfolio - Moderate Growth$10,000$19,305 8.21% 8.05%18.23%-4.33%-13.58% 0.931.480.96
Vanguard LifeStrategy Moderate Growth Fund$10,000$20,380 8.92% 8.25%19.37%-4.91%-12.92% 0.991.600.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
American Funds PMC Active Core Portfolio - Moderate Growth5.59%5.22%27.34%9.88%9.63%8.21%11.06%8.87%
Vanguard LifeStrategy Moderate Growth Fund5.17%4.71%27.23%10.70%10.15%8.92%11.27%9.08%
Trailing annualized return and volatility are for full months ending in April 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 April
  • 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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth FundAmerican Funds American Mutual F2 (AMRFX)American Funds AMCAP F2 (AMCFX)Northern Small Cap Value (NOSGX)Credit Suisse Commodity Return Strat I (CRSOX)American Funds Intl Gr and Inc F2 (IGFFX)American Funds Europacific Growth F2 (AEPFX)American Funds New World F2 (NFFFX)American Funds SMALLCAP World F2 (SMCFX)American Funds Bond Fund of Amer F2 (ABNFX)Baird Aggregate Bond Inst (BAGIX)Columbia Income Opportunities Inst2 (CEPRX)American Funds Capital World Bond F2 (BFWFX)T. Rowe Price Instl Floating Rate (RPIFX)Janus Henderson Short-Term Bond I (JSHIX)Cash (CASHX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)
ReturnBalanceReturnBalance
20131.50%14.77%$11,47715.04%$11,50428.14%37.10%36.44%-9.96%18.37%20.44%10.34%29.66%-1.75%-1.25%5.05%-2.64%5.13%1.57%0.05%15.04%
20140.76%4.97%$12,0487.07%$12,31812.81%12.34%7.07%-16.87%-3.05%-2.41%-3.38%2.07%5.82%6.89%4.09%1.90%1.73%0.73%0.03%7.07%
20150.73%-1.90%$11,819-0.57%$12,248-2.66%1.00%-4.62%-24.96%-8.07%-0.57%-5.73%2.88%0.47%0.55%-0.76%-3.92%1.50%0.38%0.05%-0.57%
20162.07%7.23%$12,6737.13%$13,12114.38%9.27%27.87%12.42%2.42%0.92%4.20%6.02%3.00%3.52%10.60%2.60%8.00%1.66%0.30%7.13%
20172.11%14.46%$14,50615.04%$15,09617.87%22.26%6.42%1.74%26.32%31.02%32.92%27.16%3.47%4.20%6.40%7.54%3.77%1.33%0.88%15.04%
20181.91%-4.33%$13,877-4.91%$14,354-1.88%-1.71%-13.68%-11.65%-14.19%-14.99%-12.05%-9.47%0.14%-0.30%-3.79%-1.19%0.38%0.95%1.90%-4.91%
20192.29%18.23%$16,40719.37%$17,13521.97%26.58%22.27%6.99%27.42%27.28%27.89%31.12%8.28%9.48%16.55%8.00%8.79%4.21%2.13%19.37%
20201.36%11.83%$18,34813.59%$19,4644.98%21.70%-2.30%-1.12%8.06%25.11%25.16%37.79%10.99%8.63%3.11%10.25%2.40%4.50%0.44%13.59%
20210.98%5.22%$19,3054.71%$20,38011.57%10.07%21.08%15.28%8.01%3.15%5.22%9.77%-2.12%-2.55%1.35%-3.36%2.03%0.29%0.02%4.71%
Annual return for 2021 is from 01/01/2021 to 04/30/2021
Monthly returns for the configured portfolios
YearMonthAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth FundAmerican Funds American Mutual F2 (AMRFX)American Funds AMCAP F2 (AMCFX)Northern Small Cap Value (NOSGX)Credit Suisse Commodity Return Strat I (CRSOX)American Funds Intl Gr and Inc F2 (IGFFX)American Funds Europacific Growth F2 (AEPFX)American Funds New World F2 (NFFFX)American Funds SMALLCAP World F2 (SMCFX)American Funds Bond Fund of Amer F2 (ABNFX)Baird Aggregate Bond Inst (BAGIX)Columbia Income Opportunities Inst2 (CEPRX)American Funds Capital World Bond F2 (BFWFX)T. Rowe Price Instl Floating Rate (RPIFX)Janus Henderson Short-Term Bond I (JSHIX)Cash (CASHX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)
ReturnBalanceReturnBalance
201312.48%$10,2482.68%$10,2684.23%5.34%6.03%2.37%3.22%3.77%1.97%5.09%-0.51%-0.43%0.87%-0.61%0.86%0.13%0.00%2.68%
201320.30%$10,2790.52%$10,3212.00%0.92%1.44%-4.14%-1.16%-1.38%-0.68%1.19%0.44%0.63%0.15%-0.76%0.25%0.15%0.01%0.52%
201331.68%$10,4511.84%$10,5114.08%3.85%4.42%0.38%0.60%0.52%0.24%2.64%0.12%0.25%0.76%-0.27%0.83%0.15%0.01%1.84%
201341.89%$10,6491.71%$10,6912.66%1.71%-0.38%-2.65%4.85%3.47%2.43%1.84%0.95%1.12%2.08%1.74%0.63%0.46%0.01%1.71%
20135-0.35%$10,611-0.27%$10,6620.00%2.95%3.21%-2.21%-2.36%-1.03%-1.08%2.50%-1.71%-1.76%-1.15%-2.90%-0.01%-0.49%0.00%-0.27%
20136-1.80%$10,421-1.78%$10,472-0.89%-1.43%-0.37%-5.18%-2.08%-3.07%-4.25%-3.06%-1.82%-1.87%-2.64%-2.37%-0.75%-0.53%0.00%-1.78%
201373.10%$10,7443.19%$10,8074.31%6.16%6.57%1.40%3.93%4.21%3.60%5.51%0.34%0.07%2.07%1.36%1.36%0.45%0.00%3.19%
20138-1.30%$10,604-1.73%$10,620-2.37%-1.05%-4.52%3.18%-2.22%-1.69%-2.85%-1.66%-0.73%-0.40%-1.17%-1.39%-0.10%0.13%0.00%-1.73%
201393.24%$10,9473.19%$10,9592.88%4.29%5.88%-2.28%6.89%6.90%6.95%7.19%1.26%1.05%1.06%2.32%0.21%0.45%0.00%3.19%
2013102.50%$11,2202.69%$11,2544.23%3.66%3.79%-1.23%3.18%3.67%3.05%1.55%0.95%1.02%2.59%1.35%0.93%0.46%0.00%2.69%
2013111.14%$11,3481.14%$11,3822.07%3.49%4.07%-0.69%0.36%1.99%0.35%2.31%-0.40%-0.41%0.07%-0.88%0.36%0.14%0.00%1.14%
2013121.13%$11,4771.08%$11,5042.11%2.38%1.91%0.98%2.27%1.85%0.65%1.59%-0.61%-0.48%0.37%-0.12%0.45%0.07%0.01%1.08%
20141-1.36%$11,321-1.56%$11,325-3.33%-1.31%-4.38%-0.69%-4.17%-4.04%-4.58%-1.50%1.60%1.65%0.64%0.50%0.47%0.13%0.01%-1.56%
201423.43%$11,7103.12%$11,6793.86%5.85%4.88%6.27%5.45%5.72%5.07%5.54%0.62%0.65%2.22%1.93%0.32%0.46%0.00%3.12%
201430.09%$11,7210.30%$11,7141.63%-1.36%1.34%0.52%0.73%-0.74%0.31%-2.58%-0.09%0.05%0.13%0.37%0.14%-0.18%0.00%0.30%
201440.45%$11,7730.55%$11,7780.68%-0.39%-2.08%2.48%2.05%-0.20%0.12%-2.86%0.83%0.92%0.51%1.22%0.16%0.12%0.00%0.55%
201451.76%$11,9811.65%$11,9722.11%3.56%0.58%-2.80%2.20%2.17%3.49%2.39%1.15%1.27%0.80%0.91%0.46%0.46%0.00%1.65%
201461.18%$12,1221.44%$12,1441.55%2.47%4.42%0.79%0.64%0.93%1.29%3.68%0.21%0.17%0.79%0.75%0.52%-0.18%0.00%1.44%
20147-1.55%$11,934-1.12%$12,009-2.07%-1.63%-5.66%-4.55%-2.41%-2.05%-1.79%-3.69%-0.28%-0.13%-1.54%-0.95%-0.04%-0.20%0.00%-1.12%
201481.82%$12,1512.39%$12,2953.54%3.74%4.54%-1.09%0.70%0.70%0.54%2.98%0.96%1.05%1.77%0.62%0.28%0.46%0.00%2.39%
20149-2.10%$11,896-2.04%$12,044-1.16%-2.31%-6.25%-6.19%-3.92%-2.92%-3.89%-4.23%-0.83%-0.67%-2.06%-2.38%-0.64%-0.53%0.00%-2.04%
2014101.52%$12,0771.54%$12,2303.50%2.30%7.96%-0.88%-0.35%0.35%0.95%1.70%0.90%0.87%2.21%0.12%0.50%0.47%0.00%1.54%
2014111.02%$12,1991.32%$12,3912.70%1.80%-0.18%-3.99%0.50%2.05%0.05%0.96%0.74%0.79%-0.58%-0.10%0.35%0.12%0.00%1.32%
201412-1.24%$12,048-0.59%$12,318-0.58%-0.64%2.82%-7.40%-4.03%-3.98%-4.49%0.20%-0.11%0.10%-0.76%-1.03%-0.80%-0.39%0.00%-0.59%
20151-0.23%$12,020-0.25%$12,287-2.50%-1.57%-3.60%-3.49%-0.38%1.04%0.26%-0.79%2.26%2.20%1.31%0.81%0.36%0.43%0.00%-0.25%
201522.63%$12,3362.96%$12,6504.09%5.36%4.32%2.59%4.63%4.63%3.59%5.19%-0.91%-0.87%1.99%-0.40%1.34%-0.22%0.00%2.96%
20153-0.64%$12,258-0.49%$12,589-1.31%-1.20%1.74%-5.04%-2.41%0.22%-0.88%1.05%0.32%0.47%-0.40%-0.93%0.56%0.11%0.00%-0.49%
201541.23%$12,4080.89%$12,7021.16%1.43%-2.31%5.31%3.88%2.77%2.31%1.79%-0.12%-0.37%0.88%0.86%0.85%0.12%0.00%0.89%
201550.19%$12,4310.20%$12,7270.37%1.92%1.23%-2.86%-0.96%0.20%-0.91%4.43%-0.42%-0.19%0.29%-1.81%0.17%0.45%0.00%0.20%
20156-1.36%$12,263-1.61%$12,522-2.60%-1.39%0.51%1.73%-2.37%-1.81%-1.49%-0.18%-1.09%-1.08%-1.49%-1.22%-0.14%-0.21%0.00%-1.61%
201570.24%$12,2930.87%$12,6301.29%1.09%-1.63%-10.54%0.16%0.12%-1.49%-0.51%0.82%0.66%0.40%0.21%0.39%0.13%0.00%0.87%
20158-3.68%$11,840-4.01%$12,124-5.51%-5.61%-5.02%-0.95%-7.15%-6.70%-7.73%-6.22%-0.37%-0.26%-1.30%-0.36%-0.64%-0.22%0.01%-4.01%
20159-1.96%$11,608-1.70%$11,917-2.65%-3.99%-2.09%-3.45%-3.40%-3.49%-3.31%-4.58%0.58%0.68%-2.65%0.05%-0.44%0.11%0.01%-1.70%
2015103.77%$12,0454.38%$12,4397.33%7.04%5.55%-0.20%4.11%5.77%6.49%3.46%0.19%0.10%3.49%0.49%0.16%0.11%0.00%4.38%
201511-0.35%$12,003-0.17%$12,4180.14%0.83%2.56%-7.17%-1.99%-0.33%0.00%1.68%-0.20%-0.27%-1.53%-1.51%-0.68%-0.22%0.01%-0.17%
201512-1.54%$11,819-1.37%$12,248-1.87%-2.20%-5.29%-3.22%-1.85%-2.34%-2.03%-1.84%-0.54%-0.48%-1.57%-0.13%-0.42%-0.21%0.02%-1.37%
20161-2.68%$11,502-2.78%$11,908-2.96%-6.06%-5.86%-1.33%-4.59%-6.08%-5.97%-9.21%1.15%1.19%-1.06%0.64%-0.20%0.10%0.01%-2.78%
20162-0.15%$11,484-0.22%$11,8810.37%0.41%1.10%-1.57%-2.44%-2.89%-1.47%-0.38%0.46%0.60%1.21%1.58%-0.36%0.11%0.03%-0.22%
201634.73%$12,0274.83%$12,4556.43%6.54%8.01%3.65%7.21%7.08%8.20%7.45%1.34%1.22%2.50%3.21%2.35%0.77%0.03%4.83%
201641.35%$12,1890.90%$12,5671.46%1.26%0.71%8.15%1.95%1.34%1.38%1.80%0.51%0.56%2.24%1.21%1.40%0.11%0.02%0.90%
201650.50%$12,2510.46%$12,6251.22%1.73%2.61%-0.20%-0.38%0.36%-0.30%1.72%-0.25%0.12%0.11%-1.65%0.67%0.10%0.02%0.46%
201660.51%$12,3130.64%$12,7062.05%-1.27%0.05%4.49%-1.78%-2.00%1.05%-0.90%1.87%1.86%0.20%2.81%-0.24%0.43%0.03%0.64%
201672.43%$12,6132.79%$13,0602.59%3.48%4.10%-4.88%4.49%5.54%4.56%5.55%0.56%0.82%2.09%1.14%1.37%0.10%0.02%2.79%
201680.30%$12,6500.25%$13,092-0.40%0.96%1.59%-1.85%-0.14%1.31%0.99%0.88%-0.22%0.02%2.05%-0.15%0.58%0.11%0.02%0.25%
201690.56%$12,7210.37%$13,140-0.12%0.51%0.28%3.35%1.78%1.19%0.74%2.16%0.20%-0.08%0.28%0.54%0.58%0.12%0.03%0.37%
201610-1.52%$12,528-1.59%$12,931-2.22%-2.40%-2.85%-0.61%-1.60%-2.10%-1.18%-3.58%-0.47%-0.71%-0.22%-2.14%0.45%-0.22%0.02%-1.59%
2016110.22%$12,5560.21%$12,9583.49%3.55%12.55%1.22%-2.80%-2.57%-3.80%1.02%-2.36%-2.26%-0.73%-4.56%0.16%-0.21%0.03%0.21%
2016120.94%$12,6731.26%$13,1211.95%0.75%3.76%2.01%1.28%0.47%0.62%0.33%0.23%0.20%1.53%0.19%0.99%0.13%0.04%1.26%
201711.86%$12,9091.61%$13,3331.44%3.36%-0.95%0.39%3.21%4.43%5.13%4.03%0.48%0.35%1.11%1.37%0.44%0.11%0.04%1.61%
201721.56%$13,1112.00%$13,6003.35%2.44%1.42%0.39%1.44%1.17%2.00%2.65%0.63%0.68%1.31%0.52%0.35%0.12%0.04%2.00%
201730.63%$13,1930.68%$13,692-0.22%0.07%-0.91%-2.54%3.25%3.49%3.18%1.61%0.04%0.01%-0.29%0.60%0.09%0.15%0.04%0.68%
201741.17%$13,3471.19%$13,8550.29%1.41%0.29%-1.41%2.46%3.15%3.22%2.64%0.80%0.87%1.22%1.09%0.34%0.14%0.06%1.19%
201751.22%$13,5111.29%$14,0341.25%1.16%-2.62%-1.63%2.85%3.39%2.13%1.78%0.71%0.86%0.81%1.59%0.46%0.45%0.07%1.29%
201760.41%$13,5650.44%$14,0960.58%0.37%2.82%-0.21%0.72%0.94%0.58%1.27%-0.06%-0.07%0.30%-0.02%-0.03%-0.19%0.08%0.44%
201771.84%$13,8151.63%$14,3261.82%2.62%0.75%2.28%2.78%4.28%3.82%1.82%0.48%0.49%1.10%1.88%0.74%0.47%0.08%1.63%
201780.37%$13,8660.54%$14,4030.18%-0.23%-2.55%0.41%0.73%0.93%1.74%0.81%0.79%0.95%-0.00%0.80%-0.13%0.14%0.09%0.54%
201791.53%$14,0771.14%$14,5672.90%3.22%7.06%-0.20%2.32%1.50%1.59%2.82%-0.38%-0.44%0.69%-0.93%0.37%-0.19%0.08%1.14%
2017101.17%$14,2421.32%$14,7590.81%2.83%0.95%2.02%1.30%3.05%2.59%1.65%0.03%0.13%0.30%-0.60%0.65%0.14%0.09%1.32%
2017111.10%$14,3981.26%$14,9463.17%2.16%2.42%-0.40%1.26%0.02%0.74%2.27%-0.34%-0.15%-0.31%0.76%0.04%-0.18%0.09%1.26%
2017120.75%$14,5061.00%$15,0961.07%0.95%-2.03%2.76%1.33%1.09%2.16%0.95%0.26%0.47%-0.01%0.28%0.38%0.18%0.10%1.00%
201813.14%$14,9612.87%$15,5294.22%7.20%1.24%1.79%5.92%6.14%5.81%4.85%-1.13%-1.12%0.29%1.71%0.79%-0.18%0.11%2.87%
20182-2.29%$14,619-2.79%$15,096-3.83%-2.00%-5.02%-1.76%-4.18%-4.07%-3.60%-3.46%-0.77%-0.90%-1.42%-0.64%0.05%-0.17%0.12%-2.79%
20183-0.61%$14,530-0.59%$15,007-2.34%-1.62%0.93%-0.60%-0.54%-0.79%-0.66%0.17%0.54%0.50%-0.83%1.03%0.19%-0.11%0.14%-0.59%
201840.14%$14,5500.11%$15,0230.65%1.01%0.31%2.40%0.00%0.26%-0.62%0.23%-0.74%-0.70%0.51%-1.78%0.48%0.17%0.14%0.11%
201850.73%$14,6570.74%$15,1341.35%2.90%5.66%1.76%-2.33%-0.76%-0.68%3.27%0.68%0.61%-0.43%-1.21%0.01%0.19%0.15%0.74%
20186-0.31%$14,611-0.18%$15,1070.74%0.99%0.33%-3.81%-1.95%-2.37%-2.61%-0.34%-0.03%-0.15%0.09%-0.63%0.01%-0.15%0.16%-0.18%
201871.48%$14,8271.82%$15,3823.42%1.73%1.78%-2.01%2.86%2.13%2.09%1.07%0.07%0.06%1.35%0.21%0.73%0.51%0.16%1.82%
201880.42%$14,8900.84%$15,5111.69%2.46%3.01%-1.84%-2.86%-2.38%-2.92%3.62%0.53%0.72%1.13%-0.57%0.50%0.22%0.17%0.84%
201890.15%$14,911-0.04%$15,5050.77%1.52%-2.96%1.72%0.32%-0.56%-0.84%-1.36%-0.58%-0.70%0.50%-0.43%0.58%0.18%0.17%-0.04%
201810-4.70%$14,211-4.89%$14,747-4.39%-9.39%-8.71%-2.26%-7.86%-9.20%-7.11%-10.56%-0.63%-0.81%-1.76%-1.36%0.02%-0.12%0.18%-4.89%
2018111.38%$14,4061.26%$14,9333.44%2.68%1.60%-1.05%0.52%1.44%2.63%1.48%0.60%0.44%-0.65%0.42%-0.74%0.22%0.19%1.26%
201812-3.67%$13,877-3.87%$14,354-6.93%-7.96%-11.37%-6.29%-4.37%-5.13%-3.63%-7.69%1.66%1.78%-2.56%2.13%-2.20%0.20%0.19%-3.87%
201914.91%$14,5585.28%$15,1134.80%8.01%10.43%5.47%7.29%8.17%8.10%9.04%1.17%1.15%4.93%1.87%2.33%0.87%0.20%5.28%
201921.73%$14,8101.69%$15,3672.77%2.47%4.47%1.08%2.46%2.53%2.65%4.56%-0.03%0.15%1.69%-0.46%1.44%0.20%0.20%1.69%
201931.30%$15,0021.47%$15,5931.23%1.87%-2.98%-0.29%1.17%2.05%2.59%1.36%1.81%1.99%0.95%1.10%-0.04%0.54%0.20%1.47%
201941.83%$15,2762.12%$15,9232.14%3.32%4.21%-0.65%3.31%3.01%2.35%3.09%0.23%0.08%1.46%0.05%1.48%0.21%0.20%2.12%
20195-2.82%$14,845-3.05%$15,437-3.97%-6.57%-8.04%-3.46%-5.66%-5.46%-4.95%-3.77%1.48%1.72%-1.10%1.22%-0.14%0.22%0.20%-3.05%
201964.21%$15,4704.39%$16,1145.14%6.85%6.62%2.76%6.63%6.65%6.73%5.09%1.30%1.34%2.82%2.64%0.40%0.87%0.19%4.39%
201970.17%$15,4970.33%$16,1670.60%0.46%1.16%-0.88%-0.42%-0.85%0.16%0.75%-0.02%0.32%0.63%-0.30%0.74%-0.14%0.17%0.33%
20198-0.44%$15,429-0.25%$16,126-0.02%-2.27%-5.27%-2.43%-2.08%-2.54%-2.57%-1.97%2.19%2.57%1.03%1.44%0.05%0.88%0.17%-0.25%
201990.74%$15,5431.05%$16,2951.97%-0.25%4.55%1.06%2.44%1.81%1.67%-0.81%-0.54%-0.47%0.52%-0.71%0.49%-0.15%0.16%1.05%
2019101.44%$15,7661.54%$16,5470.52%2.52%2.18%2.02%3.18%3.45%3.03%2.60%0.36%0.32%0.41%0.69%-0.09%0.18%0.15%1.54%
2019111.65%$16,0271.59%$16,8102.71%4.82%1.52%-2.42%1.50%2.03%1.77%5.39%-0.04%-0.05%0.71%-0.98%0.60%0.18%0.13%1.59%
2019122.37%$16,4071.93%$17,1352.45%3.44%2.87%4.95%5.40%4.29%4.01%2.75%0.11%0.04%1.50%1.22%1.21%0.27%0.13%1.93%
20201-0.69%$16,2940.03%$17,141-1.10%-0.50%-4.66%-7.11%-3.29%-3.05%-2.23%-0.92%1.95%1.96%-0.02%1.29%0.21%0.52%0.13%0.03%
20202-3.80%$15,674-4.02%$16,452-7.69%-5.74%-10.90%-5.10%-7.34%-6.17%-5.79%-5.40%1.82%1.71%-1.51%0.05%-1.37%0.51%0.13%-4.02%
20203-9.55%$14,178-9.27%$14,926-10.37%-11.73%-22.81%-11.58%-17.10%-14.77%-15.46%-17.34%0.03%-2.12%-12.18%-3.89%-10.23%-3.09%0.10%-9.27%
202046.93%$15,1607.32%$16,0189.11%13.47%11.78%-0.83%6.85%9.02%9.77%14.15%2.20%2.68%3.74%1.84%4.41%1.91%0.01%7.32%
202053.51%$15,6923.26%$16,5413.27%5.73%1.72%3.91%3.36%6.61%6.42%11.51%0.98%0.90%4.40%1.86%3.47%1.22%0.01%3.26%
202062.06%$16,0152.16%$16,8990.28%2.69%0.91%2.42%4.66%5.58%6.58%3.63%0.95%1.14%0.24%1.42%0.12%1.16%0.01%2.16%
202073.63%$16,5963.58%$17,5033.63%4.57%2.07%6.04%5.10%5.74%6.15%5.56%1.89%1.71%4.89%3.57%2.20%0.83%0.01%3.58%
202082.61%$17,0293.21%$18,0663.72%4.82%4.74%6.44%3.22%5.50%4.77%4.99%-0.69%-0.57%0.47%0.24%0.76%0.47%0.01%3.21%
20209-1.68%$16,742-1.62%$17,773-2.45%-3.07%-4.65%-2.56%-2.88%-1.72%-2.74%-0.43%-0.14%-0.07%-1.18%-0.82%0.25%-0.18%0.01%-1.62%
202010-1.17%$16,546-1.41%$17,521-3.09%-2.30%2.91%0.72%-2.88%-0.95%0.12%-1.08%-0.35%-0.34%0.39%0.05%0.16%0.15%0.01%-1.41%
2020117.49%$17,7857.76%$18,8809.57%9.97%15.94%3.55%15.81%13.42%11.89%13.07%1.49%1.11%3.34%2.62%1.81%0.46%0.01%7.76%
2020123.17%$18,3483.09%$19,4642.00%4.52%6.78%4.81%6.20%6.75%6.54%9.21%0.39%0.31%1.65%1.78%1.36%0.53%0.01%3.09%
20211-0.36%$18,282-0.44%$19,378-0.78%-0.46%2.43%2.18%-0.52%-1.55%0.14%0.80%-0.53%-0.63%0.02%-0.93%0.83%0.13%0.01%-0.44%
202121.51%$18,5581.08%$19,5872.15%3.21%10.24%6.41%2.78%2.22%1.89%3.50%-1.34%-1.38%0.23%-1.97%0.49%-0.18%0.01%1.08%
202131.20%$18,7821.29%$19,8396.44%1.97%5.30%-1.81%2.49%-1.09%-1.23%-0.99%-1.06%-1.42%-0.06%-1.74%0.14%-0.14%0.00%1.29%
202142.78%$19,3052.73%$20,3803.43%5.06%1.83%7.98%3.07%3.63%4.41%6.27%0.81%0.87%1.16%1.27%0.55%0.49%0.00%2.73%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth Fund
Large-cap Value5.14%11.50%
Large-cap Growth15.42%19.85%
Mid-cap Value6.65%3.52%
Mid-cap Growth4.61%1.68%
Small-cap Value0.50%0.72%
Small-cap Growth0.35%1.94%
Global ex-US Developed Markets17.40%14.91%
Emerging Markets6.02%4.85%
Corporate Bonds15.67%15.51%
Long-Term Treasuries0.00%1.36%
Intermediate-Term Treasuries0.00%3.09%
Short-Term Treasuries28.24%21.09%
R Squared98.92%99.64%
Style analysis is based on monthly returns from January 2013 to April 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 American Funds PMC Active Core Portfolio - Moderate Growth

Holdings Based Style Analysis for American Funds PMC Active Core Portfolio - Moderate Growth
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
AMRFXAmerican Funds American Mutual F2Large Value16.50%1.90%0.38%24.72$2,24921.09%
AMCFXAmerican Funds AMCAP F2Large Growth16.00%0.21%0.45%34.01$2,82525.04%
NOSGXNorthern Small Cap ValueSmall Value3.00%0.93%1.00%17.11$4005.66%
CRSOXCredit Suisse Commodity Return Strat ICommodities Broad Basket2.50%0.78%-$63.162.27%
IGFFXAmerican Funds Intl Gr and Inc F2Foreign Large Blend9.00%1.43%0.66%21.83$80714.99%
AEPFXAmerican Funds Europacific Growth F2Foreign Large Growth8.00%0.36%0.58%31.13$94113.33%
NFFFXAmerican Funds New World F2Diversified Emerging Mkts3.00%0.20%0.70%30.80$3454.90%
SMCFXAmerican Funds SMALLCAP World F2World Small/Mid Stock2.00%0.78%32.31$3613.56%
ABNFXAmerican Funds Bond Fund of Amer F2Intermediate Core Bond9.00%1.20%0.32%6.15$3430.80%
BAGIXBaird Aggregate Bond InstIntermediate Core Bond12.00%1.31%0.30%6.40$4601.47%
CEPRXColumbia Income Opportunities Inst2High Yield Bond3.00%3.26%0.61%54.914.05$1682.17%
BFWFXAmerican Funds Capital World Bond F2World Bond6.00%1.58%0.59%6.18$1602.06%
RPIFXT. Rowe Price Instl Floating RateBank Loan5.00%3.46%0.58%0.40$2262.23%
JSHIXJanus Henderson Short-Term Bond IShort-Term Bond3.00%0.44%0.56%2.18$65.150.43%
CASHXCashCash2.00%0.03%0.00$16.81-0.01%
100.00%1.18%0.50%29.274.75$9,305100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard LifeStrategy Moderate Growth Fund

Holdings Based Style Analysis for Vanguard LifeStrategy Moderate Growth Fund
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%1.59%0.13%24.357.12$10,380100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/11/2021. (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
MetricAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth Fund
Arithmetic Mean (monthly)0.69%0.74%
Arithmetic Mean (annualized)8.56%9.28%
Geometric Mean (monthly)0.66%0.71%
Geometric Mean (annualized)8.21%8.92%
Volatility (monthly)2.32%2.38%
Volatility (annualized)8.05%8.25%
Downside Deviation (monthly)1.44%1.46%
Max. Drawdown-13.58%-12.92%
US Market Correlation0.960.97
Beta(*)0.550.57
Alpha (annualized)-0.46%-0.10%
R291.33%93.42%
Sharpe Ratio0.930.99
Sortino Ratio1.481.60
Treynor Ratio (%)13.7514.46
Calmar Ratio0.730.83
Active Return-7.72%-7.01%
Tracking Error6.75%6.40%
Information Ratio-1.14-1.10
Skewness-0.64-0.56
Excess Kurtosis3.743.32
Historical Value-at-Risk (5%)-2.86%-3.09%
Analytical Value-at-Risk (5%)-3.12%-3.17%
Conditional Value-at-Risk (5%)-5.08%-5.21%
Upside Capture Ratio (%)51.7554.31
Downside Capture Ratio (%)58.5658.74
Safe Withdrawal Rate15.96%16.49%
Perpetual Withdrawal Rate6.31%6.95%
Positive Periods70 out of 100 (70.00%)70 out of 100 (70.00%)
Gain/Loss Ratio0.961.00
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for American Funds PMC Active Core Portfolio - Moderate Growth

Drawdowns for American Funds PMC Active Core Portfolio - Moderate Growth (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-13.58%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.62%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.24%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-2.84%
5May 2019May 20191 monthJun 20191 month2 months-2.82%
6May 2013Jun 20132 monthsJul 20131 month3 months-2.14%
7Sep 2014Sep 20141 monthNov 20142 months3 months-2.10%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.55%
9Oct 2016Oct 20161 monthJan 20173 months4 months-1.52%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.47%
Worst 10 drawdowns included above

Drawdowns for Vanguard LifeStrategy Moderate Growth Fund

Drawdowns for Vanguard LifeStrategy Moderate Growth Fund (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-12.92%
2Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.57%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.65%
4May 2019May 20191 monthJun 20191 month2 months-3.05%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-3.02%
6Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.04%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.73%
9Oct 2016Oct 20161 monthJan 20173 months4 months-1.59%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.56%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
AMRFXAmerican Funds American Mutual F212.45%11.10%28.14%-2.66%-18.18%1.051.710.96
AMCFXAmerican Funds AMCAP F216.08%13.23%37.10%-1.71%-17.21%1.141.910.97
NOSGXNorthern Small Cap Value10.90%18.37%36.44%-13.68%-36.05%0.620.910.88
CRSOXCredit Suisse Commodity Return Strat I-4.32%12.80%15.28%-24.96%-54.15%-0.33-0.430.50
IGFFXAmerican Funds Intl Gr and Inc F26.89%14.18%27.42%-14.19%-25.71%0.490.740.86
AEPFXAmerican Funds Europacific Growth F29.67%14.07%31.02%-14.99%-22.47%0.681.080.87
NFFFXAmerican Funds New World F29.07%13.86%32.92%-12.05%-22.13%0.651.020.85
SMCFXAmerican Funds SMALLCAP World F215.39%15.40%37.79%-9.47%-22.52%0.961.540.91
ABNFXAmerican Funds Bond Fund of Amer F23.31%3.16%10.99%-2.12%-3.88%0.831.460.05
BAGIXBaird Aggregate Bond Inst3.41%3.35%9.48%-2.55%-3.92%0.821.400.12
CEPRXColumbia Income Opportunities Inst24.96%6.83%16.55%-3.79%-13.52%0.640.880.77
BFWFXAmerican Funds Capital World Bond F22.17%5.04%10.25%-3.92%-7.46%0.310.460.34
RPIFXT. Rowe Price Instl Floating Rate4.01%4.73%8.79%0.38%-11.46%0.710.890.70
JSHIXJanus Henderson Short-Term Bond I1.86%1.73%4.50%0.29%-3.09%0.670.960.55
CASHXCash0.69%0.24%2.13%0.02%0.00%N/AN/A-0.15
VSMGXVanguard LifeStrategy Moderate Gr Inv8.92%8.25%19.37%-4.91%-12.92%0.991.600.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameAMRFXAMCFXNOSGXCRSOXIGFFXAEPFXNFFFXSMCFXABNFXBAGIXCEPRXBFWFXRPIFXJSHIXCASHXVSMGXAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth Fund
AMRFXAmerican Funds American Mutual F21.000.920.840.470.840.820.810.820.070.130.740.350.650.50-0.140.940.930.94
AMCFXAmerican Funds AMCAP F20.921.000.840.500.850.890.860.930.070.130.750.350.680.55-0.150.950.950.95
NOSGXNorthern Small Cap Value0.840.841.000.490.740.730.710.82-0.10-0.020.690.160.670.44-0.200.830.830.83
CRSOXCredit Suisse Commodity Return Strat I0.470.500.491.000.580.550.580.51-0.040.000.550.350.510.40-0.050.520.570.52
IGFFXAmerican Funds Intl Gr and Inc F20.840.850.740.581.000.960.950.850.170.230.790.570.700.59-0.110.930.950.93
AEPFXAmerican Funds Europacific Growth F20.820.890.730.550.961.000.980.900.200.250.780.560.700.62-0.140.940.950.94
NFFFXAmerican Funds New World F20.810.860.710.580.950.981.000.890.260.320.800.630.700.66-0.090.940.950.94
SMCFXAmerican Funds SMALLCAP World F20.820.930.820.510.850.900.891.000.160.230.790.430.750.64-0.150.920.930.92
ABNFXAmerican Funds Bond Fund of Amer F20.070.07-0.10-0.040.170.200.260.161.000.960.330.740.130.550.150.240.230.24
BAGIXBaird Aggregate Bond Inst0.130.13-0.020.000.230.250.320.230.961.000.440.750.300.680.130.310.290.31
CEPRXColumbia Income Opportunities Inst20.740.750.690.550.790.780.800.790.330.441.000.600.880.79-0.070.840.850.84
BFWFXAmerican Funds Capital World Bond F20.350.350.160.350.570.560.630.430.740.750.601.000.420.650.060.540.550.54
RPIFXT. Rowe Price Instl Floating Rate0.650.680.670.510.700.700.700.750.130.300.880.421.000.78-0.120.740.760.74
JSHIXJanus Henderson Short-Term Bond I0.500.550.440.400.590.620.660.640.550.680.790.650.781.000.020.660.670.66
CASHXCash-0.14-0.15-0.20-0.05-0.11-0.14-0.09-0.150.150.13-0.070.06-0.120.021.00-0.12-0.12-0.12
VSMGXVanguard LifeStrategy Moderate Gr Inv0.940.950.830.520.930.940.940.920.240.310.840.540.740.66-0.121.000.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth Fund
AMRFXAmerican Funds American Mutual F2$2,249
AMCFXAmerican Funds AMCAP F2$2,825
NOSGXNorthern Small Cap Value$400
CRSOXCredit Suisse Commodity Return Strat I-$63.16
IGFFXAmerican Funds Intl Gr and Inc F2$807
AEPFXAmerican Funds Europacific Growth F2$941
NFFFXAmerican Funds New World F2$345
SMCFXAmerican Funds SMALLCAP World F2$361
ABNFXAmerican Funds Bond Fund of Amer F2$343
BAGIXBaird Aggregate Bond Inst$460
CEPRXColumbia Income Opportunities Inst2$168
BFWFXAmerican Funds Capital World Bond F2$160
RPIFXT. Rowe Price Instl Floating Rate$226
JSHIXJanus Henderson Short-Term Bond I$65.15
CASHXCash$16.81
VSMGXVanguard LifeStrategy Moderate Gr Inv$10,380

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth Fund
AMRFXAmerican Funds American Mutual F221.09%
AMCFXAmerican Funds AMCAP F225.04%
NOSGXNorthern Small Cap Value5.66%
CRSOXCredit Suisse Commodity Return Strat I2.27%
IGFFXAmerican Funds Intl Gr and Inc F214.99%
AEPFXAmerican Funds Europacific Growth F213.33%
NFFFXAmerican Funds New World F24.90%
SMCFXAmerican Funds SMALLCAP World F23.56%
ABNFXAmerican Funds Bond Fund of Amer F20.80%
BAGIXBaird Aggregate Bond Inst1.47%
CEPRXColumbia Income Opportunities Inst22.17%
BFWFXAmerican Funds Capital World Bond F22.06%
RPIFXT. Rowe Price Instl Floating Rate2.23%
JSHIXJanus Henderson Short-Term Bond I0.43%
CASHXCash-0.01%
VSMGXVanguard LifeStrategy Moderate Gr Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodAmerican Funds PMC Active Core Portfolio - Moderate GrowthVanguard LifeStrategy Moderate Growth Fund
AverageHighLowAverageHighLow
1 year7.12%32.47%-6.91%7.87%32.92%-6.08%
3 years6.06%9.88%2.43%6.75%10.70%2.92%
5 years6.31%10.08%2.95%6.98%10.51%3.46%
7 years6.42%7.33%4.45%7.22%8.15%5.14%