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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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 1987 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 70.00%
VUSTX Vanguard Long-Term Treasury Inv 30.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 45.00%
VBMFX Vanguard Total Bond Market Index Inv 10.00%
VUSTX Vanguard Long-Term Treasury Inv 45.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 50.00%
VBMFX Vanguard Total Bond Market Index Inv 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$229,576 9.96% 10.42%35.29%-22.30%-35.80% 0.670.990.94
Portfolio 2$10,000$176,718 9.09% 7.78%32.19%-9.54%-21.29% 0.761.180.77
Portfolio 3$10,000$145,415 8.45% 7.76%27.53%-18.02%-27.11% 0.691.040.95
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 14.87%26.63%12.93%9.61%11.85%9.96%
Portfolio 21.94%21.72%10.55%7.62%9.89%9.09%
Portfolio 34.46%19.76%9.61%7.37%8.63%8.45%
Trailing returns are for full months ending in December 2019 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.
  • 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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19874.43%3.77%2.45%4.54%$10,377$10,245$10,4544.71%-2.92%1.54%
19884.42%14.10%12.15%11.76%$11,840$11,490$11,68416.22%9.15%7.35%
19894.65%27.43%23.62%22.41%$15,089$14,204$14,30331.36%17.93%13.64%
19906.11%-0.54%2.04%2.75%$15,007$14,494$14,697-3.32%5.78%8.65%
19913.06%26.46%23.05%22.80%$18,977$17,835$18,04830.22%17.43%15.25%
19922.90%7.47%7.45%7.34%$20,395$19,163$19,3737.42%7.41%7.14%
19932.75%11.98%12.99%9.83%$22,838$21,653$21,2789.89%16.79%9.68%
19942.67%-1.29%-2.90%-0.69%$22,542$21,025$21,1311.18%-7.04%-2.66%
19952.54%35.29%32.19%27.53%$30,497$27,791$26,94837.45%30.09%18.18%
19963.32%15.24%9.66%12.96%$35,144$30,475$30,44222.88%-1.26%3.58%
19971.70%27.31%21.99%21.04%$44,741$37,177$36,84733.19%13.90%9.44%
19981.61%24.62%20.29%18.98%$55,757$44,720$43,84128.62%13.05%8.58%
19992.68%11.49%4.81%9.85%$62,165$46,872$48,16021.07%-8.66%-0.76%
20003.39%-0.93%5.40%0.99%$61,584$49,405$48,638-9.06%19.72%11.39%
20011.55%-6.79%-2.27%-1.76%$57,405$48,285$47,783-12.02%4.31%8.43%
20022.38%-11.26%-2.45%-7.52%$50,944$47,103$44,190-22.15%16.67%8.26%
20031.88%20.54%14.16%15.85%$61,406$53,770$51,19528.50%2.68%3.97%
20043.26%9.76%8.57%7.52%$67,399$58,379$55,04810.74%7.12%4.24%
20053.42%5.48%5.53%3.68%$71,096$61,610$57,0724.77%6.61%2.40%
20062.54%11.37%8.14%9.86%$79,180$66,624$62,69815.64%1.74%4.27%
20074.08%6.75%7.50%6.30%$84,524$71,622$66,6495.39%9.24%6.92%
20080.09%-22.30%-9.54%-18.02%$65,678$64,792$54,639-37.02%22.52%5.05%
20092.72%14.03%6.20%16.36%$74,891$68,809$63,57626.49%-12.05%5.93%
20101.50%14.04%12.36%11.17%$85,409$77,312$70,67514.91%8.93%6.42%
20112.96%10.38%15.06%5.06%$94,275$88,958$74,2541.97%29.28%7.56%
20121.74%12.44%9.41%9.96%$106,003$97,328$81,64915.82%3.47%4.05%
20131.50%16.93%6.58%13.85%$123,947$103,735$92,95432.18%-13.03%-2.26%
20140.76%17.08%18.01%9.65%$145,112$122,414$101,92513.51%25.28%5.76%
20150.73%0.86%0.40%1.02%$146,365$122,902$102,9651.25%-1.54%0.30%
20162.07%8.92%6.41%7.23%$159,421$130,783$110,41411.82%1.20%2.50%
20172.11%17.65%13.81%12.25%$187,561$148,847$123,94021.67%8.58%3.46%
20181.91%-3.34%-2.47%-2.04%$181,290$145,178$121,418-4.52%-1.90%-0.13%
20192.29%26.63%21.72%19.76%$229,576$176,718$145,41531.33%14.13%8.61%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
198719.68%6.68%7.28%$10,968$10,668$10,72813.27%1.30%1.29%
198723.10%2.32%2.25%$11,308$10,916$10,9703.97%1.07%0.54%
198731.53%0.51%1.11%$11,480$10,972$11,0912.86%-1.58%-0.64%
19874-2.13%-2.93%-2.09%$11,235$10,651$10,859-0.99%-4.80%-3.20%
198750.28%-0.25%0.32%$11,266$10,625$10,8941.04%-1.50%-0.39%
198763.95%3.05%3.22%$11,711$10,949$11,2455.02%1.44%1.42%
198773.11%1.70%2.40%$12,075$11,135$11,5154.91%-1.11%-0.11%
198782.22%0.95%1.53%$12,343$11,241$11,6923.84%-1.56%-0.77%
19879-2.71%-2.93%-2.27%$12,008$10,912$11,426-2.29%-3.72%-2.25%
198710-13.46%-6.80%-9.12%$10,392$10,170$10,385-21.73%5.84%3.50%
198711-5.59%-3.40%-3.75%$9,811$9,824$9,996-8.19%0.47%0.69%
1987125.77%4.28%4.59%$10,377$10,245$10,4547.55%1.60%1.62%
198814.32%4.28%3.63%$10,825$10,683$10,8344.17%4.65%3.09%
198823.56%2.71%2.89%$11,211$10,972$11,1474.59%1.16%1.19%
19883-2.80%-2.49%-2.09%$10,897$10,699$10,914-3.04%-2.24%-1.15%
198840.37%-0.12%0.23%$10,936$10,687$10,9391.01%-1.14%-0.56%
198850.09%-0.45%-0.08%$10,946$10,639$10,9300.81%-1.59%-0.96%
198864.42%4.16%3.62%$11,430$11,081$11,3264.56%4.09%2.68%
19887-0.83%-1.07%-0.42%$11,335$10,963$11,278-0.37%-1.90%-0.48%
19888-2.26%-1.33%-1.61%$11,079$10,817$11,097-3.40%0.40%0.18%
198894.14%3.87%3.22%$11,537$11,236$11,4544.26%3.86%2.19%
1988102.65%2.48%2.10%$11,843$11,514$11,6942.73%2.45%1.46%
198811-1.60%-1.60%-1.17%$11,654$11,330$11,558-1.47%-1.88%-0.86%
1988121.60%1.41%1.09%$11,840$11,490$11,6841.74%1.29%0.45%
198915.74%4.30%4.10%$12,520$11,984$12,1637.32%2.05%0.87%
19892-2.24%-1.94%-1.54%$12,240$11,751$11,975-2.47%-1.71%-0.62%
198931.84%1.43%1.26%$12,465$11,919$12,1262.26%0.86%0.26%
198944.41%3.70%3.58%$13,014$12,360$12,5605.18%2.59%1.98%
198953.76%3.47%3.29%$13,503$12,788$12,9734.04%3.11%2.54%
198961.41%2.76%1.17%$13,693$13,142$13,125-0.59%6.07%2.93%
198976.92%5.20%5.60%$14,641$13,825$13,8609.01%2.06%2.19%
198980.43%-0.63%0.13%$14,704$13,738$13,8771.86%-2.90%-1.60%
19899-0.24%-0.07%0.03%$14,669$13,728$13,882-0.40%0.15%0.47%
198910-0.47%0.94%0.06%$14,600$13,857$13,891-2.34%3.88%2.46%
1989111.67%1.37%1.39%$14,844$14,046$14,0842.04%0.83%0.75%
1989121.65%1.12%1.56%$15,089$14,204$14,3032.38%-0.05%0.74%
19901-5.80%-4.86%-4.30%$14,213$13,513$13,688-6.72%-3.67%-1.89%
199020.80%0.50%1.01%$14,326$13,581$13,8261.27%-0.32%0.75%
199031.75%1.07%1.34%$14,577$13,726$14,0122.61%-0.26%0.08%
19904-2.60%-2.49%-1.70%$14,197$13,384$13,773-2.50%-2.84%-0.90%
199058.13%6.67%6.28%$15,352$14,276$14,6389.69%4.49%2.86%
199060.22%0.89%0.47%$15,386$14,404$14,706-0.66%2.28%1.60%
19907-0.04%0.28%0.46%$15,381$14,444$14,774-0.35%0.70%1.27%
19908-7.60%-6.10%-5.12%$14,212$13,563$14,017-9.03%-4.25%-1.21%
19909-3.08%-1.61%-2.08%$13,775$13,345$13,725-4.89%1.15%0.72%
1990100.36%0.93%0.54%$13,824$13,470$13,799-0.41%2.15%1.49%
1990115.89%5.19%4.33%$14,638$14,169$14,3976.44%4.60%2.23%
1990122.52%2.29%2.08%$15,007$14,494$14,6972.72%2.05%1.45%
199113.37%2.56%2.73%$15,513$14,864$15,0994.35%1.09%1.12%
199125.13%3.51%3.95%$16,309$15,386$15,6957.12%0.50%0.78%
199131.77%1.27%1.55%$16,597$15,582$15,9382.41%0.27%0.69%
199140.52%0.76%0.59%$16,684$15,701$16,0320.20%1.28%0.99%
199152.95%1.93%2.47%$17,176$16,003$16,4294.27%-0.14%0.68%
19916-3.43%-2.41%-2.31%$16,587$15,617$16,049-4.56%-0.78%-0.06%
199173.70%2.90%2.97%$17,200$16,071$16,5264.63%1.53%1.32%
199182.68%2.82%2.19%$17,661$16,525$16,8882.33%3.49%2.05%
19919-0.28%0.78%0.17%$17,611$16,653$16,917-1.67%2.95%2.01%
1991100.91%0.66%1.14%$17,771$16,763$17,1111.33%-0.08%0.96%
199111-2.80%-1.72%-1.63%$17,273$16,474$16,831-4.01%0.02%0.74%
1991129.87%8.26%7.23%$18,977$17,835$18,04811.41%6.26%3.04%
19921-2.28%-2.43%-1.63%$18,545$17,401$17,753-1.88%-3.21%-1.39%
199221.06%0.91%0.93%$18,742$17,559$17,9181.24%0.64%0.62%
19923-1.68%-1.41%-1.21%$18,427$17,311$17,701-1.93%-1.10%-0.50%
199242.02%1.35%1.81%$18,799$17,545$18,0212.91%-0.07%0.71%
199251.15%1.62%1.16%$19,015$17,829$18,2310.48%2.70%1.84%
19926-0.71%-0.04%-0.09%$18,880$17,822$18,215-1.49%1.12%1.31%
199274.04%3.82%2.98%$19,642$18,503$18,7584.04%4.02%1.91%
19928-1.24%-0.51%-0.54%$19,399$18,408$18,656-2.07%0.71%0.98%
199291.23%1.26%1.22%$19,637$18,640$18,8821.17%1.36%1.26%
199210-0.34%-0.82%-0.45%$19,571$18,487$18,7980.33%-1.89%-1.22%
1992112.53%1.75%1.69%$20,067$18,811$19,1163.40%0.50%-0.02%
1992121.64%1.88%1.34%$20,395$19,163$19,3731.21%2.63%1.48%
199311.42%1.82%1.30%$20,684$19,513$19,6240.81%2.85%1.79%
199321.91%2.25%1.66%$21,079$19,951$19,9501.36%3.20%1.96%
199331.53%1.07%1.24%$21,402$20,165$20,1972.11%0.19%0.37%
19934-1.47%-0.67%-0.84%$21,088$20,029$20,027-2.42%0.76%0.74%
199351.97%1.38%1.40%$21,504$20,305$20,3072.65%0.38%0.14%
199361.44%2.17%1.03%$21,813$20,747$20,5160.27%4.17%1.80%
199370.12%0.50%0.09%$21,839$20,850$20,535-0.42%1.39%0.61%
199383.85%3.67%2.74%$22,679$21,615$21,0973.79%3.99%1.69%
19939-0.46%-0.17%-0.20%$22,575$21,578$21,056-0.79%0.33%0.40%
1993101.64%1.24%1.19%$22,946$21,846$21,3072.08%0.62%0.30%
199311-1.44%-1.66%-0.98%$22,615$21,483$21,098-1.00%-2.48%-0.97%
1993120.98%0.79%0.85%$22,838$21,653$21,2781.22%0.42%0.48%
199413.03%2.66%2.38%$23,530$22,230$21,7853.38%2.23%1.39%
19942-3.10%-3.20%-2.25%$22,801$21,519$21,295-2.71%-3.99%-1.78%
19943-4.22%-3.92%-3.34%$21,839$20,675$20,583-4.39%-3.82%-2.30%
199440.52%-0.08%0.23%$21,952$20,658$20,6301.29%-1.29%-0.83%
199450.98%0.51%0.80%$22,168$20,763$20,7961.60%-0.47%0.00%
19946-1.96%-1.48%-1.32%$21,734$20,455$20,523-2.45%-0.81%-0.18%
199473.18%2.98%2.56%$22,424$21,065$21,0483.28%2.94%1.84%
199482.65%1.55%2.11%$23,019$21,391$21,4924.08%-0.67%0.14%
19949-2.61%-2.60%-1.94%$22,418$20,836$21,074-2.45%-3.00%-1.44%
1994101.47%0.84%1.09%$22,746$21,012$21,3042.25%-0.36%-0.07%
199411-2.37%-1.38%-1.92%$22,207$20,721$20,895-3.65%0.62%-0.18%
1994121.51%1.47%1.13%$22,542$21,025$21,1311.46%1.62%0.80%
199512.59%2.53%2.24%$23,127$21,557$21,6052.58%2.62%1.90%
199523.54%3.19%3.03%$23,944$22,245$22,2593.88%2.73%2.17%
199532.28%1.72%1.81%$24,491$22,628$22,6632.95%0.72%0.67%
199542.56%2.20%2.13%$25,117$23,126$23,1442.94%1.65%1.31%
199555.02%5.56%3.95%$26,379$24,411$24,0593.95%7.52%3.95%
199561.96%1.61%1.48%$26,895$24,805$24,4162.31%1.13%0.66%
199571.89%0.83%1.52%$27,404$25,012$24,7893.30%-1.40%-0.25%
199580.80%1.16%0.72%$27,624$25,302$24,9670.26%2.05%1.18%
199593.49%2.81%2.58%$28,589$26,012$25,6114.21%1.81%0.95%
1995100.63%1.32%0.55%$28,770$26,354$25,752-0.36%2.97%1.47%
1995113.76%3.15%2.91%$29,852$27,186$26,5024.38%2.31%1.44%
1995122.16%2.23%1.69%$30,497$27,791$26,9481.93%2.70%1.44%
199612.35%1.56%2.01%$31,215$28,226$27,4893.39%-0.05%0.63%
19962-0.83%-1.98%-0.42%$30,955$27,667$27,3740.92%-4.93%-1.76%
199630.09%-0.53%0.10%$30,984$27,522$27,4020.98%-1.98%-0.77%
199640.49%-0.19%0.48%$31,134$27,468$27,5351.46%-1.78%-0.49%
199651.64%0.92%1.19%$31,646$27,721$27,8612.54%-0.46%-0.17%
199660.91%1.26%0.83%$31,933$28,071$28,0920.38%2.14%1.27%
19967-3.11%-1.99%-2.09%$30,940$27,513$27,506-4.42%-0.05%0.25%
199681.08%0.34%0.97%$31,274$27,608$27,7722.10%-1.29%-0.16%
199694.76%3.95%3.65%$32,763$28,698$28,7875.61%2.79%1.70%
1996103.09%3.21%2.48%$33,777$29,618$29,5012.76%3.88%2.21%
1996116.27%5.04%4.66%$35,893$31,110$30,8767.56%3.24%1.76%
199612-2.09%-2.04%-1.41%$35,144$30,475$30,442-1.96%-2.38%-0.85%
199714.16%2.53%3.23%$36,605$31,246$31,4266.22%-0.65%0.25%
199720.52%0.32%0.45%$36,795$31,345$31,5680.79%-0.11%0.11%
19973-3.58%-2.99%-2.56%$35,476$30,408$30,761-4.14%-2.29%-0.97%
199744.87%3.89%3.72%$37,206$31,589$31,9065.96%2.35%1.49%
199754.56%3.27%3.48%$38,901$32,622$33,0166.09%0.98%0.87%
199763.65%2.92%2.81%$40,321$33,575$33,9444.45%1.78%1.16%
199777.18%6.27%5.38%$43,215$35,679$35,7717.97%5.34%2.80%
19978-4.70%-3.77%-3.23%$41,184$34,334$34,615-5.61%-2.57%-0.85%
199794.62%3.79%3.46%$43,086$35,636$35,8135.47%2.63%1.45%
199710-1.45%-0.02%-0.95%$42,462$35,629$35,472-3.35%2.99%1.45%
1997113.60%2.67%2.46%$43,991$36,582$36,3454.60%1.27%0.33%
1997121.70%1.63%1.38%$44,741$37,177$36,8471.72%1.66%1.04%
199811.35%1.49%1.22%$45,345$37,732$37,2951.11%1.91%1.32%
199824.81%2.89%3.55%$47,526$38,821$38,6197.19%-0.75%-0.10%
199833.62%2.39%2.72%$49,244$39,750$39,6675.10%0.14%0.33%
199840.83%0.69%0.76%$49,651$40,023$39,9681.01%0.40%0.51%
19985-0.67%0.14%-0.36%$49,318$40,080$39,824-1.74%1.83%1.02%
199863.56%2.97%2.44%$51,071$41,271$40,7954.07%2.35%0.81%
19987-0.89%-0.68%-0.41%$50,616$40,989$40,626-1.05%-0.51%0.23%
19988-8.68%-4.15%-6.29%$46,221$39,288$38,072-14.47%4.83%1.90%
199895.47%4.56%4.19%$48,751$41,079$39,6666.41%3.29%1.96%
1998105.21%2.86%3.80%$51,289$42,252$41,1758.16%-1.69%-0.55%
1998114.52%3.18%3.28%$53,605$43,596$42,5256.07%0.88%0.49%
1998124.02%2.58%3.09%$55,757$44,720$43,8415.81%-0.16%0.38%
199913.24%2.41%2.50%$57,562$45,799$44,9364.20%0.98%0.79%
19992-3.61%-3.72%-2.45%$55,482$44,094$43,837-3.12%-4.76%-1.77%
199932.69%1.70%2.28%$56,977$44,843$44,8364.00%-0.34%0.56%
199942.75%1.86%2.13%$58,546$45,677$45,7903.85%0.19%0.40%
19995-2.18%-1.92%-1.63%$57,272$44,800$45,041-2.39%-1.68%-0.88%
199963.57%1.98%2.53%$59,318$45,686$46,1815.56%-1.05%-0.50%
19997-2.36%-1.71%-1.76%$57,915$44,905$45,368-3.13%-0.58%-0.39%
19998-0.49%-0.45%-0.29%$57,629$44,703$45,238-0.50%-0.49%-0.08%
19999-1.65%-0.70%-0.74%$56,681$44,390$44,903-2.74%0.91%1.26%
1999104.46%2.93%3.33%$59,212$45,693$46,3986.33%0.12%0.33%
1999111.24%0.65%1.02%$59,945$45,988$46,8722.02%-0.59%0.02%
1999123.70%1.92%2.75%$62,165$46,872$48,1605.98%-1.60%-0.48%
20001-3.15%-1.72%-2.60%$60,210$46,067$46,907-5.03%1.25%-0.17%
20002-0.45%0.59%-0.37%$59,940$46,339$46,735-1.91%2.96%1.18%
200037.77%5.94%5.58%$64,599$49,093$49,3449.76%3.14%1.40%
20004-2.30%-1.70%-1.75%$63,112$48,259$48,482-3.01%-0.66%-0.49%
20005-1.56%-1.14%-1.10%$62,125$47,709$47,948-2.04%-0.46%-0.16%
200062.43%2.37%2.32%$63,635$48,839$49,0602.49%2.30%2.15%
20007-0.60%0.09%-0.31%$63,254$48,881$48,910-1.49%1.49%0.88%
200084.96%3.86%3.79%$66,389$50,768$50,7656.19%2.08%1.40%
20009-3.96%-2.69%-2.26%$63,761$49,403$49,616-5.29%-0.85%0.76%
2000100.17%0.57%0.07%$63,869$49,684$49,650-0.43%1.57%0.57%
200011-4.62%-2.04%-3.15%$60,921$48,670$48,087-7.88%2.99%1.58%
2000121.09%1.51%1.15%$61,584$49,405$48,6380.50%2.45%1.79%
200112.57%1.90%2.65%$63,165$50,343$49,9283.55%0.28%1.76%
20012-5.86%-3.21%-4.11%$59,466$48,727$47,874-9.14%1.80%0.91%
20013-4.63%-3.08%-2.91%$56,712$47,227$46,481-6.36%-0.60%0.54%
200144.67%2.30%3.65%$59,361$48,312$48,1797.77%-2.56%-0.46%
200150.52%0.46%0.69%$59,668$48,533$48,5120.65%0.21%0.73%
20016-1.48%-0.71%-0.96%$58,782$48,190$48,046-2.45%0.76%0.52%
200170.38%1.40%0.61%$59,008$48,864$48,341-1.00%3.61%2.23%
20018-3.78%-1.80%-2.58%$56,775$47,984$47,093-6.27%2.02%1.11%
20019-5.40%-3.16%-3.60%$53,709$46,470$45,399-8.09%0.88%0.89%
2001102.86%3.34%1.88%$55,247$48,024$46,2511.90%5.12%1.86%
2001113.84%1.03%3.16%$57,367$48,519$47,7127.65%-5.07%-1.34%
2001120.07%-0.48%0.15%$57,405$48,285$47,7830.87%-1.82%-0.58%
20021-0.67%-0.05%-0.39%$57,020$48,259$47,595-1.47%1.20%0.69%
20022-0.98%-0.23%-0.54%$56,459$48,149$47,337-1.94%1.24%0.85%
200231.46%-0.20%1.14%$57,286$48,054$47,8783.74%-3.86%-1.46%
20024-3.13%-0.88%-2.19%$55,492$47,630$46,828-6.07%3.73%1.69%
20025-0.41%-0.08%0.02%$55,264$47,590$46,839-0.75%0.39%0.80%
20026-4.47%-2.39%-3.42%$52,795$46,452$45,236-7.13%1.76%0.29%
20027-4.52%-2.11%-3.62%$50,406$45,473$43,599-7.72%2.93%0.48%
200281.74%2.39%1.16%$51,283$46,558$44,1040.65%4.28%1.66%
20029-6.41%-2.93%-4.67%$47,997$45,192$42,043-10.87%4.02%1.53%
2002105.30%2.61%4.09%$50,540$46,373$43,7618.78%-2.84%-0.61%
2002113.82%2.21%2.95%$52,470$47,397$45,0515.88%-0.98%0.02%
200212-2.91%-0.62%-1.91%$50,944$47,103$44,190-5.89%4.05%2.07%
20031-1.97%-1.38%-1.29%$49,940$46,454$43,622-2.62%-0.45%0.05%
20032-0.16%0.82%-0.07%$49,862$46,833$43,591-1.52%3.03%1.38%
200330.33%-0.09%0.42%$50,027$46,790$43,7720.96%-1.13%-0.13%
200346.05%4.21%4.56%$53,053$48,759$45,7688.25%0.91%0.87%
200355.39%5.10%3.54%$55,911$51,248$47,3905.26%5.67%1.82%
200360.44%-0.11%0.56%$56,155$51,189$47,6561.26%-1.48%-0.13%
20037-1.35%-3.41%-0.80%$55,396$49,446$47,2761.74%-8.57%-3.34%
200381.78%1.57%1.27%$56,383$50,223$47,8781.93%1.43%0.61%
200390.77%2.07%0.82%$56,817$51,262$48,269-1.07%5.07%2.71%
2003103.18%1.28%2.34%$58,621$51,919$49,3995.64%-2.58%-0.96%
2003110.70%0.56%0.57%$59,031$52,208$49,6790.86%0.31%0.27%
2003124.02%2.99%3.05%$61,406$53,770$51,1955.22%1.23%0.88%
200411.80%1.69%1.34%$62,510$54,680$51,8821.82%1.74%0.86%
200421.55%1.61%1.20%$63,481$55,557$52,5071.38%1.96%1.03%
20043-0.63%0.05%-0.36%$63,083$55,585$52,319-1.51%1.45%0.80%
20044-2.76%-3.45%-2.10%$61,343$53,664$51,223-1.58%-5.52%-2.61%
200450.78%0.32%0.47%$61,823$53,835$51,4611.36%-0.56%-0.43%
200461.61%1.32%1.24%$62,820$54,543$52,1011.93%0.87%0.56%
20047-1.86%-0.71%-1.17%$61,650$54,155$51,490-3.31%1.52%0.96%
200481.28%1.89%1.16%$62,441$55,179$52,0880.38%3.39%1.94%
200491.03%0.92%0.61%$63,083$55,685$52,4081.07%0.94%0.16%
2004101.50%1.42%1.18%$64,028$56,478$53,0271.51%1.46%0.85%
2004112.16%0.73%1.62%$65,409$56,889$53,8864.05%-2.25%-0.81%
2004123.04%2.62%2.16%$67,399$58,379$55,0483.39%2.22%0.92%
20051-0.94%0.13%-0.90%$66,766$58,454$54,552-2.45%2.59%0.65%
200521.09%0.32%0.73%$67,496$58,642$54,9522.09%-1.24%-0.63%
20053-1.46%-1.18%-1.13%$66,511$57,949$54,333-1.76%-0.76%-0.49%
20054-0.37%0.73%-0.28%$66,265$58,370$54,182-1.91%3.22%1.35%
200552.98%2.68%2.11%$68,241$59,933$55,3253.17%2.55%1.05%
200560.58%0.85%0.34%$68,638$60,443$55,5130.13%1.64%0.55%
200571.82%0.41%1.36%$69,887$60,690$56,2673.71%-2.58%-0.99%
200580.22%1.02%0.22%$70,043$61,307$56,391-0.91%2.87%1.36%
20059-0.28%-1.00%-0.15%$69,849$60,693$56,3050.79%-2.78%-1.10%
200510-1.70%-1.62%-1.24%$68,664$59,710$55,604-1.68%-1.74%-0.81%
2005112.81%2.00%2.12%$70,591$60,905$56,7843.76%0.57%0.48%
2005120.71%1.16%0.51%$71,096$61,610$57,0720.02%2.33%0.99%
200611.58%0.78%1.27%$72,220$62,088$57,7962.65%-0.90%-0.11%
200620.43%0.52%0.32%$72,528$62,410$57,9800.26%0.81%0.37%
20063-0.16%-1.07%0.12%$72,414$61,740$58,0471.23%-3.39%-1.00%
200640.35%-0.30%0.56%$72,665$61,553$58,3741.33%-1.96%-0.21%
20065-2.04%-1.33%-1.50%$71,185$60,737$57,501-2.90%-0.03%-0.09%
200660.30%0.39%0.12%$71,400$60,971$57,5680.13%0.71%0.10%
200670.98%1.24%0.98%$72,097$61,725$58,1300.61%1.84%1.35%
200682.47%2.46%2.00%$73,881$63,242$59,2942.36%2.74%1.64%
200692.27%1.94%1.69%$75,557$64,472$60,2952.56%1.58%0.81%
2006102.51%1.88%1.98%$77,450$65,685$61,4913.25%0.77%0.72%
2006111.89%1.82%1.50%$78,918$66,880$62,4131.89%1.91%1.11%
2006120.33%-0.38%0.46%$79,180$66,624$62,6981.39%-2.14%-0.48%
200710.79%0.28%0.71%$79,807$66,812$63,1411.49%-0.85%-0.08%
20072-0.50%0.58%-0.23%$79,408$67,201$62,994-1.97%2.93%1.50%
200730.44%-0.01%0.57%$79,757$67,197$63,3511.11%-1.13%0.02%
200743.35%2.42%2.46%$82,428$68,826$64,9124.42%0.86%0.51%
200751.86%0.62%1.35%$83,957$69,252$65,7893.48%-1.93%-0.78%
20076-1.44%-1.19%-1.03%$82,749$68,427$65,110-1.68%-0.88%-0.39%
20077-1.44%-0.23%-1.12%$81,555$68,269$64,379-3.08%2.39%0.84%
200781.64%1.70%1.42%$82,893$69,428$65,2931.50%1.97%1.34%
200792.67%1.84%2.22%$85,107$70,707$66,7443.72%0.21%0.72%
2007101.52%1.43%1.25%$86,404$71,720$67,5801.58%1.40%0.93%
200711-1.55%0.37%-1.14%$85,063$71,989$66,811-4.19%4.59%1.91%
200712-0.63%-0.51%-0.24%$84,524$71,622$66,649-0.70%-0.48%0.22%
20081-3.42%-1.35%-2.16%$81,634$70,656$65,207-6.02%2.64%1.69%
20082-2.17%-1.29%-1.53%$79,862$69,747$64,209-3.25%0.35%0.19%
20083-0.00%0.29%-0.07%$79,861$69,950$64,163-0.44%1.02%0.30%
200842.85%1.33%2.28%$82,134$70,878$65,6244.85%-1.84%-0.30%
200850.27%-0.45%0.25%$82,353$70,556$65,7901.29%-2.13%-0.79%
20086-5.37%-2.99%-4.22%$77,933$68,447$63,012-8.44%1.80%-0.01%
20087-0.49%-0.24%-0.42%$77,548$68,282$62,750-0.83%0.30%0.00%
200881.55%1.53%1.07%$78,753$69,329$63,4231.45%1.80%0.70%
20089-6.15%-3.99%-5.00%$73,910$66,562$60,249-8.91%0.28%-1.10%
200810-12.84%-9.44%-9.66%$64,418$60,277$54,427-16.79%-3.63%-2.53%
200811-1.40%2.57%-1.77%$63,514$61,824$53,465-7.17%12.07%3.64%
2008123.41%4.80%2.19%$65,678$64,792$54,6391.07%8.87%3.32%
20091-8.43%-7.67%-4.55%$60,142$59,825$52,150-8.41%-8.47%-0.70%
20092-7.76%-5.29%-5.54%$55,473$56,659$49,261-10.66%-1.01%-0.42%
200937.71%6.46%5.12%$59,751$60,319$51,7838.76%5.27%1.48%
200945.19%2.09%4.96%$62,855$61,581$54,3519.56%-4.99%0.36%
200953.13%1.41%3.23%$64,822$62,448$56,1085.62%-2.68%0.85%
200960.36%0.47%0.38%$65,058$62,741$56,3210.22%0.70%0.54%
200975.54%3.91%4.50%$68,665$65,196$58,8577.58%0.80%1.43%
200983.02%2.48%2.31%$70,742$66,811$60,2153.60%1.68%1.01%
200993.20%2.68%2.45%$73,003$68,604$61,6913.72%1.98%1.19%
200910-1.74%-1.45%-0.73%$71,730$67,607$61,242-1.87%-1.45%0.41%
2009114.76%3.69%3.67%$75,144$70,099$63,4905.98%1.91%1.36%
200912-0.34%-1.84%0.13%$74,891$68,809$63,5761.95%-5.66%-1.68%
20101-1.72%-0.27%-1.02%$73,600$68,626$62,930-3.60%2.66%1.57%
201022.10%1.32%1.64%$75,147$69,530$63,9643.09%-0.21%0.20%
201033.76%2.02%2.97%$77,969$70,933$65,8626.01%-1.51%-0.08%
201041.93%2.06%1.32%$79,476$72,392$66,7311.58%2.76%1.06%
20105-4.33%-1.61%-3.57%$76,031$71,226$64,351-8.01%4.23%0.87%
20106-2.27%-0.10%-1.81%$74,307$71,157$63,183-5.24%4.67%1.61%
201074.85%3.16%3.97%$77,908$73,409$65,6897.00%-0.17%0.94%
20108-1.05%1.30%-1.52%$77,092$74,360$64,688-4.53%7.08%1.48%
201095.70%3.19%4.45%$81,484$76,734$67,5698.92%-1.82%-0.01%
2010101.67%0.26%2.07%$82,841$76,934$68,9703.79%-3.29%0.36%
201011-0.48%-0.78%-0.28%$82,443$76,337$68,7750.00%-1.60%-0.57%
2010123.60%1.28%2.76%$85,409$77,312$70,6756.67%-3.58%-1.15%
201110.94%-0.00%1.22%$86,209$77,312$71,5372.36%-2.38%0.08%
201122.76%2.11%1.79%$88,590$78,943$72,8173.42%1.24%0.16%
201130.02%0.02%0.01%$88,612$78,959$72,8240.03%0.02%-0.01%
201142.68%2.38%2.13%$90,983$80,836$74,3772.95%2.04%1.32%
201150.19%1.10%0.08%$91,152$81,722$74,436-1.15%3.29%1.30%
20116-1.77%-1.69%-1.03%$89,539$80,341$73,670-1.67%-2.00%-0.39%
20117-0.18%1.12%-0.24%$89,379$81,239$73,496-2.05%4.18%1.58%
20118-1.21%1.60%-1.99%$88,299$82,540$72,032-5.45%8.68%1.46%
20119-1.88%1.49%-3.08%$86,638$83,773$69,817-7.04%10.16%0.89%
2011106.64%3.43%5.54%$92,390$86,643$73,68310.91%-3.34%0.16%
2011110.38%0.68%-0.27%$92,742$87,234$73,485-0.23%1.82%-0.30%
2011121.65%1.98%1.05%$94,275$88,958$74,2541.02%3.13%1.08%
201213.15%2.13%2.67%$97,243$90,854$76,2364.46%0.08%0.87%
201222.38%0.98%2.13%$99,559$91,747$77,8604.31%-2.11%-0.05%
201231.17%-0.28%1.35%$100,720$91,493$78,9103.28%-3.77%-0.58%
201240.86%1.79%0.25%$101,590$93,133$79,107-0.64%4.37%1.14%
20125-1.88%0.89%-2.53%$99,684$93,963$77,102-6.02%7.79%0.95%
201262.44%1.20%2.07%$102,119$95,093$78,7014.11%-1.44%0.04%
201271.96%2.25%1.38%$104,116$97,233$79,7851.37%3.32%1.39%
201281.25%0.53%1.13%$105,417$97,751$80,6902.24%-1.06%0.03%
201291.17%0.23%1.34%$106,655$97,972$81,7732.58%-2.10%0.11%
201210-1.43%-1.02%-0.87%$105,128$96,972$81,059-1.86%-0.43%0.11%
2012110.80%0.88%0.38%$105,966$97,824$81,3630.56%1.35%0.19%
2012120.04%-0.51%0.35%$106,003$97,328$81,6490.90%-1.99%-0.20%
201312.64%0.78%2.23%$108,803$98,091$83,4715.18%-3.27%-0.71%
201321.32%1.22%0.94%$110,235$99,292$84,2561.34%1.26%0.54%
201332.63%1.71%1.91%$113,131$100,986$85,8663.74%0.03%0.08%
201342.50%2.69%1.41%$115,956$103,705$87,0771.91%3.87%0.91%
20135-0.24%-1.93%0.31%$115,678$101,706$87,3472.33%-6.23%-1.71%
20136-1.92%-2.24%-1.50%$113,454$99,430$86,035-1.35%-3.26%-1.65%
201372.97%1.43%2.63%$116,826$100,856$88,3015.07%-1.93%0.20%
20138-2.42%-1.95%-1.78%$113,996$98,888$86,733-2.91%-1.28%-0.64%
201392.45%1.90%2.04%$116,787$100,764$88,5033.12%0.88%0.96%
2013103.61%2.74%2.68%$121,001$103,522$90,8774.59%1.32%0.78%
2013111.37%0.21%1.34%$122,662$103,737$92,0943.03%-2.49%-0.35%
2013121.05%-0.00%0.93%$123,947$103,735$92,9542.51%-2.37%-0.65%
20141-0.55%1.41%-0.96%$123,265$105,198$92,059-3.47%6.26%1.54%
201423.37%2.37%2.52%$127,421$107,690$94,3794.56%0.60%0.48%
201430.76%0.64%0.34%$128,396$108,377$94,6970.82%0.63%-0.15%
201441.05%1.22%0.75%$129,747$109,701$95,4050.72%1.82%0.77%
201452.45%2.38%1.69%$132,930$112,315$97,0192.33%2.73%1.05%
201461.39%0.86%1.08%$134,777$113,286$98,0672.05%-0.16%0.11%
20147-0.79%-0.38%-0.82%$133,707$112,852$97,261-1.39%0.59%-0.26%
201484.06%3.81%2.56%$139,130$117,149$99,7473.98%4.23%1.13%
20149-1.58%-1.60%-1.07%$136,925$115,272$98,682-1.41%-1.99%-0.72%
2014102.48%2.36%1.68%$140,320$117,992$100,3412.42%2.61%0.94%
2014112.74%2.56%1.67%$144,160$121,014$102,0152.68%2.86%0.65%
2014120.66%1.16%-0.09%$145,112$122,414$101,925-0.26%2.82%0.09%
201510.58%2.91%-0.35%$145,950$125,974$101,565-3.02%8.97%2.31%
201522.32%-0.07%2.33%$149,336$125,884$103,9315.74%-5.66%-1.08%
20153-0.78%-0.17%-0.59%$148,175$125,671$103,314-1.59%1.13%0.41%
20154-0.26%-0.99%0.29%$147,795$124,427$103,6180.95%-3.07%-0.36%
201550.24%-0.44%0.41%$148,154$123,874$104,0441.27%-2.16%-0.45%
20156-2.47%-2.65%-1.47%$144,493$120,594$102,513-1.93%-3.73%-1.01%
201572.72%2.91%1.42%$148,421$124,098$103,9702.08%4.21%0.76%
20158-4.44%-3.08%-3.20%$141,826$120,281$100,644-6.04%-0.71%-0.36%
20159-1.17%-0.18%-0.87%$140,167$120,059$99,772-2.49%1.91%0.76%
2015105.75%3.58%4.22%$148,230$124,352$103,9818.42%-0.48%0.01%
201511-0.04%-0.26%0.01%$148,168$124,028$103,9900.29%-0.81%-0.27%
201512-1.22%-0.91%-0.99%$146,365$122,902$102,965-1.59%-0.34%-0.38%
20161-1.91%0.26%-1.77%$143,566$123,221$101,139-4.98%5.24%1.43%
201620.76%1.29%0.26%$144,651$124,808$101,399-0.15%2.86%0.66%
201634.76%3.17%3.86%$151,535$128,760$105,3136.78%0.05%0.94%
201640.07%-0.08%0.38%$151,646$128,661$105,7090.37%-0.63%0.38%
201651.45%1.11%0.90%$153,850$130,093$106,6591.78%0.69%0.01%
201662.15%3.26%1.09%$157,153$134,339$107,8250.25%6.57%1.94%
201673.18%2.62%2.16%$162,144$137,861$110,1533.68%2.01%0.64%
20168-0.21%-0.41%-0.02%$161,805$137,298$110,1320.13%-1.00%-0.17%
20169-0.39%-0.60%-0.04%$161,175$136,478$110,0890.01%-1.32%-0.09%
201610-2.55%-2.81%-1.32%$157,060$132,643$108,636-1.83%-4.23%-0.81%
2016110.23%-2.14%0.53%$157,425$129,810$109,2093.70%-7.86%-2.64%
2016121.27%0.75%1.10%$159,421$130,783$110,4141.96%-0.35%0.24%
201711.51%1.17%1.09%$161,832$132,310$111,6171.88%0.65%0.29%
201723.24%2.56%2.31%$167,083$135,691$114,1963.96%1.57%0.66%
20173-0.11%-0.23%0.01%$166,905$135,383$114,2130.10%-0.59%-0.07%
201741.19%1.25%0.89%$168,887$137,070$115,2291.02%1.58%0.76%
201751.49%1.47%1.03%$171,410$139,088$116,4191.39%1.73%0.67%
201760.62%0.56%0.31%$172,471$139,870$116,7830.61%0.63%0.01%
201771.25%0.69%1.22%$174,630$140,838$118,2022.04%-0.59%0.39%
201781.19%1.69%0.57%$176,703$143,218$118,8800.29%3.27%0.85%
201790.76%-0.15%0.76%$178,047$143,005$119,7842.06%-2.27%-0.54%
2017101.62%1.05%1.21%$180,925$144,500$121,2392.32%-0.02%0.11%
2017112.33%1.64%1.44%$185,143$146,876$122,9893.06%0.63%-0.17%
2017121.31%1.34%0.77%$187,561$148,847$123,9401.10%1.78%0.44%
201812.98%0.93%2.31%$193,145$150,230$126,8025.71%-3.40%-1.09%
20182-3.45%-3.06%-2.36%$186,478$145,627$123,809-3.69%-2.89%-1.03%
20183-0.96%0.15%-0.96%$184,683$145,849$122,614-2.56%2.75%0.63%
20184-0.35%-0.83%-0.23%$184,037$144,636$122,3340.37%-2.04%-0.83%
201852.21%1.95%1.50%$188,113$147,450$124,1712.39%1.79%0.61%
201860.62%0.57%0.32%$189,282$148,293$124,5640.61%0.66%0.03%
201872.21%1.10%1.87%$193,469$149,919$126,8963.71%-1.28%0.03%
201882.63%2.05%1.88%$198,553$152,985$129,2833.25%1.18%0.52%
20189-0.43%-1.04%0.01%$197,690$151,396$129,2900.55%-2.74%-0.54%
201810-5.64%-4.42%-3.79%$186,540$144,699$124,391-6.85%-2.82%-0.73%
2018111.95%1.77%1.28%$190,185$147,257$125,9792.03%1.78%0.53%
201812-4.68%-1.41%-3.62%$181,290$145,178$121,418-9.04%5.50%1.80%
201915.75%3.92%4.50%$191,713$150,874$126,8878.00%0.49%1.01%
201921.85%0.85%1.57%$195,258$152,152$128,8783.20%-1.31%-0.06%
201933.00%3.53%1.95%$201,109$157,521$131,3861.94%5.47%1.96%
201942.26%0.98%2.04%$205,664$159,060$134,0704.04%-1.88%0.04%
20195-2.46%0.31%-2.27%$200,606$159,557$131,030-6.36%6.65%1.83%
201965.23%3.73%4.09%$211,088$165,514$136,3937.03%1.01%1.15%
201971.06%0.76%0.83%$213,333$166,776$137,5201.43%0.22%0.23%
201982.09%4.37%0.60%$217,790$174,059$138,339-1.59%10.68%2.78%
201990.52%-0.40%0.63%$218,913$173,360$139,2121.86%-2.62%-0.60%
2019101.18%0.49%1.18%$221,491$174,217$140,8602.15%-1.10%0.21%
2019112.42%1.45%1.78%$226,842$176,736$143,3663.62%-0.39%-0.06%
2019121.21%-0.01%1.43%$229,576$176,718$145,4153.01%-3.00%-0.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value31.49%19.09%21.70%
Large-cap Growth37.80%25.45%28.52%
Mid-cap Value0.00%0.00%0.61%
Mid-cap Growth0.45%0.88%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.43%0.85%0.97%
Corporate Bonds0.00%0.00%6.60%
Long-Term Treasuries22.24%32.67%1.24%
Intermediate-Term Treasuries7.59%18.58%15.25%
Short-Term Treasuries0.00%2.47%25.12%
R Squared99.64%98.80%99.46%
Style analysis is based on monthly returns from Apr 2005 to Dec 2019 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend70.00%0.14%26.69$171,56295.10%
VUSTXVanguard Long-Term Treasury InvLong Government30.00%0.20%18.41$48,0144.90%
100.00%0.16%26.6918.41$219,576100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend45.00%0.14%26.69$96,57667.77%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond10.00%0.15%6.60$9,0822.97%
VUSTXVanguard Long-Term Treasury InvLong Government45.00%0.20%18.41$61,06029.26%
100.00%0.17%26.6916.26$166,718100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend50.00%0.14%26.69$93,33892.19%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond50.00%0.15%6.60$42,0787.81%
100.00%0.15%26.696.60$135,415100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (c) 2020 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)0.84%0.75%0.70%
Arithmetic Mean (annualized)10.56%9.42%8.78%
Geometric Mean (monthly)0.79%0.73%0.68%
Geometric Mean (annualized)9.96%9.09%8.45%
Volatility (monthly)3.01%2.25%2.24%
Volatility (annualized)10.42%7.78%7.76%
Downside Deviation (monthly)1.90%1.33%1.37%
Max. Drawdown-35.80%-21.29%-27.11%
US Market Correlation0.940.770.95
Beta(*)0.660.400.50
Alpha (annualized)2.83%4.60%2.98%
R288.99%59.71%91.07%
Sharpe Ratio0.670.760.69
Sortino Ratio0.991.181.04
Treynor Ratio (%)10.5914.7310.76
Calmar Ratio1.491.951.58
Active Return-0.38%-1.25%-1.89%
Tracking Error6.18%10.21%7.89%
Information Ratio-0.06-0.12-0.24
Skewness-0.70-0.47-0.60
Excess Kurtosis2.401.701.96
Historical Value-at-Risk (5%)-4.48%-3.08%-3.25%
Analytical Value-at-Risk (5%)-4.10%-2.94%-2.98%
Conditional Value-at-Risk (5%)-6.74%-4.58%-4.81%
Upside Capture Ratio (%)70.7149.3354.58
Downside Capture Ratio (%)60.4831.4844.00
Safe Withdrawal Rate8.41%7.63%7.35%
Perpetual Withdrawal Rate6.70%5.96%5.40%
Positive Periods264 out of 396 (66.67%)261 out of 396 (65.91%)272 out of 396 (68.69%)
Gain/Loss Ratio1.031.221.02
* 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
Black Monday PeriodSep 1987Nov 1987-20.51%-12.60%-14.50%
Asian CrisisJul 1997Jan 1998-4.70%-3.77%-3.23%
Russian Debt DefaultJul 1998Oct 1998-9.50%-4.80%-6.68%
Dotcom CrashMar 2000Oct 2002-27.70%-10.98%-17.18%
Subprime CrisisNov 2007Mar 2009-35.80%-21.29%-27.11%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-35.80%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-27.70%
3Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-20.51%
4Jul 1990Sep 19903 monthsJan 19914 months7 months-10.47%
5Jul 1998Aug 19982 monthsOct 19982 months4 months-9.50%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.69%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.63%
8Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.14%
9Jan 1990Apr 19904 monthsMay 19901 month5 months-5.91%
10Jun 2011Sep 20114 monthsOct 20111 month5 months-4.95%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsApr 20101 year 2 months2 years 5 months-21.29%
2Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-12.60%
3Sep 2000Sep 20022 years 1 monthMay 20038 months2 years 9 months-10.98%
4Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.98%
5Aug 1990Sep 19902 monthsDec 19903 months5 months-7.61%
6Aug 2016Nov 20164 monthsMay 20176 months10 months-5.84%
7Jan 1990Apr 19904 monthsMay 19901 month5 months-5.77%
8Sep 2018Oct 20182 monthsMar 20195 months7 months-5.42%
9Jul 1998Aug 19982 monthsOct 19982 months4 months-4.80%
10Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-4.70%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-27.11%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-17.18%
3Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-14.50%
4Aug 1990Sep 19902 monthsJan 19914 months6 months-7.10%
5Jul 1998Aug 19982 monthsOct 19982 months4 months-6.68%
6Jun 2011Sep 20114 monthsJan 20124 months8 months-6.21%
7Oct 2018Dec 20183 monthsMar 20193 months6 months-6.09%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.79%
9Jan 1990Jan 19901 monthMay 19904 months5 months-4.30%
10Jun 2015Sep 20154 monthsMar 20166 months10 months-4.11%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.47%14.75%37.45%-37.02%-50.97%0.540.780.99
VUSTXVanguard Long-Term Treasury Inv7.47%9.81%30.09%-13.03%-16.68%0.470.77-0.13
VBMFXVanguard Total Bond Market Index Inv5.86%3.80%18.18%-2.66%-5.86%0.711.130.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVUSTXVBMFXPortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor1.00-0.110.080.960.790.97
VUSTXVanguard Long-Term Treasury Inv-0.111.000.870.170.520.11
VBMFXVanguard Total Bond Market Index Inv0.080.871.000.320.610.32

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor$171,562$96,576$93,338
VUSTXVanguard Long-Term Treasury Inv$48,014$61,060
VBMFXVanguard Total Bond Market Index Inv$9,082$42,078

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor95.10%67.77%92.19%
VUSTXVanguard Long-Term Treasury Inv4.90%29.26%
VBMFXVanguard Total Bond Market Index Inv2.97%7.81%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.65%35.29%-22.30%9.46%32.19%-9.54%8.86%27.53%-18.02%
3 years10.12%25.67%-6.42%9.19%20.92%0.16%8.52%20.36%-2.83%
5 years9.82%22.49%1.35%9.03%17.39%3.34%8.33%17.91%1.31%
7 years9.64%17.26%1.94%8.91%14.40%4.29%8.19%14.03%1.93%
10 years9.32%16.76%1.65%8.74%14.56%3.78%7.99%14.14%2.23%
15 years8.49%12.36%5.47%8.20%11.07%5.77%7.41%10.99%5.13%
Result statistics are based on annualized rolling returns over full calendar year periods