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 1997 - Dec 2013)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 60.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 40.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 40.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$24,714 5.47% 3.52%11.39%-2.26%-3.99% 0.831.36-0.05
Portfolio 2$10,000$31,376 6.96% 6.63%18.06%-11.78%-19.36% 0.671.000.94
Portfolio 3$10,000$33,821 7.43% 9.68%22.37%-20.20%-30.72% 0.530.770.99
Vanguard 500 Index Investor$10,000$33,544 7.38% 15.97%33.19%-37.02%-50.97% 0.370.520.99
   
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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
19971.70%9.44%18.06%22.37%33.19%$10,944$11,806$12,237$13,3199.44%30.99%
19981.61%8.58%14.45%17.39%28.62%$11,884$13,513$14,366$17,1318.58%23.26%
19992.68%-0.76%9.07%13.98%21.07%$11,793$14,739$16,375$20,740-0.76%23.81%
20003.39%11.39%2.61%-1.79%-9.06%$13,137$15,122$16,082$18,86111.39%-10.57%
20011.55%8.43%0.67%-3.21%-12.02%$14,244$15,224$15,566$16,5948.43%-10.97%
20022.38%8.26%-3.43%-9.27%-22.15%$15,420$14,702$14,122$12,9198.26%-20.96%
20031.88%3.97%14.93%20.40%28.50%$16,033$16,896$17,003$16,6013.97%31.35%
20043.26%4.24%7.55%9.20%10.74%$16,712$18,171$18,568$18,3844.24%12.51%
20053.42%2.40%3.83%4.55%4.77%$17,113$18,867$19,413$19,2622.40%5.98%
20062.54%4.27%8.77%11.01%15.64%$17,843$20,521$21,551$22,2754.27%15.51%
20074.08%6.92%6.35%6.06%5.39%$19,078$21,824$22,857$23,4756.92%5.49%
20080.09%5.05%-11.78%-20.20%-37.02%$20,042$19,252$18,240$14,7845.05%-37.04%
20092.72%5.93%15.04%19.59%26.49%$21,231$22,148$21,813$18,7005.93%28.70%
20101.50%6.42%10.69%12.82%14.91%$22,595$24,515$24,611$21,4896.42%17.09%
20112.96%7.56%4.92%3.60%1.97%$24,302$25,721$25,497$21,9117.56%0.96%
20121.74%4.05%8.93%11.37%15.82%$25,286$28,018$28,396$25,3794.05%16.25%
20131.50%-2.26%11.98%19.10%32.18%$24,714$31,376$33,821$33,544-2.26%33.35%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
199710.25%2.33%3.37%6.22%$10,025$10,233$10,337$10,6220.25%5.46%
199720.11%0.02%-0.02%0.79%$10,036$10,236$10,335$10,7060.11%-0.11%
19973-0.97%-2.41%-3.10%-4.14%$9,938$9,989$10,015$10,263-0.97%-4.45%
199741.49%2.70%3.30%5.96%$10,086$10,259$10,345$10,8741.49%4.50%
199750.87%3.43%4.67%6.09%$10,174$10,610$10,829$11,5360.87%7.10%
199761.16%2.53%3.16%4.45%$10,293$10,878$11,171$12,0501.16%4.37%
199772.80%4.95%5.94%7.97%$10,581$11,417$11,835$13,0102.80%7.77%
19978-0.85%-2.12%-2.69%-5.61%$10,491$11,174$11,516$12,280-0.85%-3.72%
199791.45%3.34%4.19%5.47%$10,643$11,547$11,999$12,9511.45%5.77%
1997101.45%-0.72%-1.68%-3.35%$10,797$11,464$11,798$12,5181.45%-3.40%
1997110.33%1.63%2.23%4.60%$10,832$11,651$12,061$13,0930.33%3.33%
1997121.04%1.33%1.46%1.72%$10,944$11,806$12,237$13,3191.04%1.70%
199811.32%0.97%0.79%1.11%$11,089$11,921$12,334$13,4671.32%0.44%
19982-0.10%2.86%4.35%7.19%$11,078$12,262$12,871$14,435-0.10%7.34%
199830.33%2.29%3.24%5.10%$11,115$12,543$13,288$15,1720.33%5.06%
199840.51%0.76%0.88%1.01%$11,171$12,639$13,405$15,3250.51%1.10%
199851.02%-0.58%-1.32%-1.74%$11,285$12,566$13,228$15,0581.02%-2.71%
199860.81%1.95%2.50%4.07%$11,376$12,811$13,558$15,6710.81%3.54%
199870.23%-0.84%-1.34%-1.05%$11,402$12,704$13,377$15,5060.23%-2.27%
199881.90%-5.46%-8.96%-14.47%$11,619$12,011$12,178$13,2621.90%-15.65%
199891.96%3.72%4.67%6.41%$11,846$12,458$12,747$14,1121.96%6.68%
199810-0.55%2.55%4.16%8.16%$11,781$12,776$13,277$15,264-0.55%7.51%
1998110.49%2.78%3.91%6.07%$11,838$13,131$13,797$16,1910.49%6.17%
1998120.38%2.91%4.12%5.81%$11,884$13,513$14,366$17,1310.38%6.45%
199910.79%1.93%2.51%4.20%$11,978$13,774$14,726$17,8510.79%3.65%
19992-1.77%-2.57%-2.96%-3.12%$11,766$13,421$14,290$17,293-1.77%-3.73%
199930.56%1.92%2.59%4.00%$11,832$13,678$14,660$17,9840.56%3.93%
199940.40%2.15%3.01%3.85%$11,880$13,973$15,101$18,6770.40%4.68%
19995-0.88%-1.35%-1.57%-2.39%$11,775$13,784$14,864$18,231-0.88%-2.00%
19996-0.50%1.86%2.99%5.56%$11,716$14,041$15,309$19,243-0.50%5.16%
19997-0.39%-1.60%-2.16%-3.13%$11,671$13,817$14,978$18,641-0.39%-3.20%
19998-0.08%-0.43%-0.60%-0.50%$11,662$13,757$14,888$18,549-0.08%-0.92%
199991.26%-0.30%-1.04%-2.74%$11,808$13,715$14,734$18,0411.26%-2.44%
1999100.33%2.79%3.98%6.33%$11,848$14,098$15,320$19,1820.33%6.29%
1999110.02%1.47%2.15%2.02%$11,850$14,305$15,649$19,5700.02%3.42%
199912-0.48%3.03%4.63%5.98%$11,793$14,739$16,375$20,740-0.48%7.59%
20001-0.17%-1.78%-2.58%-5.03%$11,773$14,477$15,952$19,696-0.17%-4.18%
200021.18%1.71%1.98%-1.91%$11,911$14,724$16,269$19,3211.18%2.54%
200031.40%3.09%3.94%9.76%$12,078$15,179$16,910$21,2061.40%5.69%
20004-0.49%-2.39%-3.34%-3.01%$12,019$14,816$16,346$20,569-0.49%-5.21%
20005-0.16%-1.43%-2.08%-2.04%$12,000$14,603$16,006$20,150-0.16%-3.41%
200062.15%3.02%3.47%2.49%$12,258$15,044$16,562$20,6512.15%4.42%
200070.88%-0.22%-0.79%-1.49%$12,365$15,011$16,431$20,3430.88%-1.95%
200081.40%3.65%4.82%6.19%$12,538$15,558$17,224$21,6021.40%7.28%
200090.76%-1.39%-2.47%-5.29%$12,634$15,342$16,797$20,4590.76%-4.67%
2000100.57%-0.43%-0.95%-0.43%$12,705$15,276$16,637$20,3720.57%-2.04%
2000111.58%-2.74%-5.03%-7.88%$12,906$14,857$15,800$18,7671.58%-9.90%
2000121.79%1.78%1.78%0.50%$13,137$15,122$16,082$18,8611.79%1.78%
200111.76%2.59%3.00%3.55%$13,368$15,514$16,564$19,5301.76%3.83%
200120.91%-3.27%-5.33%-9.14%$13,489$15,006$15,681$17,7460.91%-9.41%
200130.54%-2.21%-3.66%-6.36%$13,562$14,674$15,106$16,6180.54%-6.72%
20014-0.46%2.66%4.37%7.77%$13,499$15,064$15,767$17,909-0.46%8.16%
200150.73%0.84%0.89%0.65%$13,598$15,190$15,908$18,0250.73%1.01%
200160.52%-0.30%-0.73%-2.45%$13,670$15,145$15,791$17,5840.52%-1.64%
200172.23%0.74%-0.04%-1.00%$13,974$15,258$15,785$17,4092.23%-1.71%
200181.11%-1.50%-2.92%-6.27%$14,129$15,028$15,324$16,3161.11%-6.00%
200190.89%-2.57%-4.53%-8.09%$14,256$14,641$14,629$14,9960.89%-9.00%
2001101.86%2.08%2.21%1.90%$14,521$14,946$14,952$15,2801.86%2.52%
200111-1.34%1.61%3.37%7.65%$14,327$15,187$15,456$16,450-1.34%7.63%
200112-0.58%0.24%0.71%0.87%$14,244$15,224$15,566$16,594-0.58%1.78%
200210.69%-0.08%-0.47%-1.47%$14,342$15,211$15,493$16,3490.69%-1.24%
200220.85%-0.29%-0.87%-1.94%$14,464$15,166$15,357$16,0330.85%-2.05%
20023-1.46%0.81%1.97%3.74%$14,253$15,289$15,660$16,633-1.46%4.38%
200241.69%-0.96%-2.28%-6.07%$14,494$15,142$15,304$15,6221.69%-4.90%
200250.80%0.02%-0.38%-0.75%$14,610$15,145$15,245$15,5050.80%-1.22%
200260.29%-2.51%-3.98%-7.13%$14,652$14,764$14,638$14,3980.29%-7.06%
200270.48%-2.61%-4.30%-7.72%$14,723$14,379$14,009$13,2870.48%-8.02%
200281.66%1.27%1.05%0.65%$14,968$14,562$14,156$13,3741.66%0.53%
200291.53%-2.42%-4.71%-10.87%$15,197$14,209$13,489$11,9191.53%-10.07%
200210-0.61%1.98%3.58%8.78%$15,104$14,491$13,972$12,966-0.61%7.65%
2002110.02%2.03%3.21%5.88%$15,107$14,785$14,421$13,7280.02%6.06%
2002122.07%-0.56%-2.07%-5.89%$15,420$14,702$14,122$12,9192.07%-5.57%
200310.05%-0.99%-1.50%-2.62%$15,428$14,557$13,910$12,5800.05%-2.54%
200321.38%0.17%-0.44%-1.52%$15,640$14,582$13,848$12,3891.38%-1.69%
20033-0.13%0.34%0.58%0.96%$15,621$14,631$13,929$12,507-0.13%1.09%
200340.87%3.73%5.19%8.25%$15,756$15,177$14,653$13,5400.87%8.21%
200351.82%3.56%4.42%5.26%$16,043$15,717$15,300$14,2521.82%6.11%
20036-0.13%0.52%0.83%1.26%$16,022$15,799$15,427$14,432-0.13%1.43%
20037-3.34%-0.95%0.19%1.74%$15,487$15,649$15,457$14,684-3.34%2.36%
200380.61%1.38%1.74%1.93%$15,582$15,865$15,725$14,9670.61%2.39%
200392.71%1.02%0.25%-1.07%$16,003$16,027$15,765$14,8072.71%-1.15%
200310-0.96%2.07%3.48%5.64%$15,850$16,359$16,314$15,642-0.96%6.12%
2003110.27%0.76%0.98%0.86%$15,893$16,485$16,475$15,7780.27%1.38%
2003120.88%2.50%3.21%5.22%$16,033$16,896$17,003$16,6010.88%4.48%
200410.86%1.41%1.68%1.82%$16,171$17,134$17,290$16,9040.86%2.23%
200421.03%1.19%1.27%1.38%$16,338$17,339$17,510$17,1361.03%1.43%
200430.80%0.04%-0.33%-1.51%$16,468$17,346$17,452$16,8770.80%-1.07%
20044-2.61%-2.41%-2.31%-1.58%$16,038$16,927$17,048$16,611-2.61%-2.11%
20045-0.43%0.28%0.64%1.36%$15,969$16,975$17,157$16,836-0.43%1.35%
200460.56%1.18%1.48%1.93%$16,058$17,176$17,412$17,1610.56%2.09%
200470.96%-0.99%-1.94%-3.31%$16,213$17,006$17,074$16,5930.96%-3.80%
200481.94%1.29%0.97%0.38%$16,528$17,226$17,240$16,6571.94%0.31%
200490.16%0.78%1.10%1.07%$16,555$17,361$17,429$16,8340.16%1.74%
2004100.85%1.18%1.34%1.51%$16,695$17,565$17,663$17,0890.85%1.68%
200411-0.81%1.38%2.48%4.05%$16,560$17,809$18,101$17,781-0.81%4.68%
2004120.92%2.04%2.58%3.39%$16,712$18,171$18,568$18,3840.92%3.63%
200510.65%-0.68%-1.34%-2.45%$16,822$18,048$18,319$17,9330.65%-2.68%
20052-0.63%0.43%0.97%2.09%$16,716$18,126$18,497$18,308-0.63%2.07%
20053-0.49%-0.99%-1.24%-1.76%$16,634$17,946$18,267$17,986-0.49%-1.75%
200541.35%-0.10%-0.83%-1.91%$16,859$17,928$18,114$17,6421.35%-2.32%
200551.05%2.10%2.65%3.17%$17,037$18,305$18,593$18,2011.05%3.77%
200560.55%0.65%0.71%0.13%$17,131$18,425$18,725$18,2240.55%0.81%
20057-0.99%1.01%2.03%3.71%$16,961$18,612$19,105$18,900-0.99%4.11%
200581.36%0.42%-0.04%-0.91%$17,191$18,691$19,098$18,7271.36%-0.94%
20059-1.10%-0.32%0.07%0.79%$17,002$18,631$19,112$18,876-1.10%0.86%
200510-0.81%-1.24%-1.45%-1.68%$16,864$18,401$18,836$18,559-0.81%-1.86%
2005110.48%1.88%2.58%3.76%$16,945$18,747$19,322$19,2580.48%3.97%
2005120.99%0.64%0.47%0.02%$17,113$18,867$19,413$19,2620.99%0.14%
20061-0.11%1.34%2.06%2.65%$17,094$19,119$19,812$19,771-0.11%3.50%
200620.37%0.22%0.15%0.26%$17,158$19,162$19,841$19,8230.37%0.00%
20063-1.00%0.14%0.70%1.23%$16,987$19,189$19,981$20,067-1.00%1.80%
20064-0.21%0.34%0.60%1.33%$16,952$19,254$20,101$20,335-0.21%1.11%
20065-0.09%-1.41%-2.03%-2.90%$16,936$18,983$19,692$19,746-0.09%-3.23%
200660.10%0.13%0.15%0.13%$16,953$19,008$19,721$19,7710.10%0.17%
200671.35%0.74%0.45%0.61%$17,182$19,149$19,809$19,8911.35%-0.13%
200681.64%1.91%2.05%2.36%$17,464$19,516$20,215$20,3611.64%2.31%
200690.81%1.41%1.70%2.56%$17,605$19,790$20,558$20,8830.81%2.27%
2006100.72%1.88%2.44%3.25%$17,732$20,161$21,059$21,5620.72%3.53%
2006111.11%1.58%1.80%1.89%$17,928$20,480$21,439$21,9691.11%2.23%
200612-0.48%0.20%0.52%1.39%$17,843$20,521$21,551$22,275-0.48%1.13%
20071-0.08%0.70%1.09%1.49%$17,828$20,665$21,786$22,607-0.08%1.88%
200721.50%0.24%-0.38%-1.97%$18,097$20,715$21,704$22,1621.50%-1.61%
200730.02%0.45%0.67%1.11%$18,101$20,809$21,849$22,4090.02%1.11%
200740.51%1.91%2.61%4.42%$18,193$21,207$22,419$23,3990.51%4.01%
20075-0.78%1.05%1.94%3.48%$18,052$21,428$22,854$24,212-0.78%3.69%
20076-0.39%-0.92%-1.18%-1.68%$17,982$21,230$22,584$23,806-0.39%-1.67%
200770.84%-0.93%-1.78%-3.08%$18,133$21,033$22,183$23,0720.84%-3.41%
200781.34%1.39%1.41%1.50%$18,376$21,325$22,495$23,4181.34%1.45%
200790.72%1.88%2.46%3.72%$18,508$21,727$23,049$24,2900.72%3.59%
2007100.93%1.31%1.49%1.58%$18,680$22,011$23,392$24,6730.93%1.85%
2007111.91%-0.74%-2.02%-4.19%$19,037$21,848$22,920$23,6401.91%-4.49%
2007120.22%-0.11%-0.27%-0.70%$19,078$21,824$22,857$23,4750.22%-0.60%
200811.69%-1.42%-2.97%-6.02%$19,400$21,514$22,178$22,0631.69%-6.08%
200820.19%-1.05%-1.70%-3.25%$19,437$21,288$21,800$21,3450.19%-3.07%
200830.30%-0.03%-0.21%-0.44%$19,495$21,281$21,755$21,2510.30%-0.58%
20084-0.30%1.68%2.74%4.85%$19,436$21,637$22,350$22,283-0.30%5.02%
20085-0.79%0.32%0.89%1.29%$19,283$21,706$22,549$22,571-0.79%2.09%
20086-0.01%-3.20%-4.84%-8.44%$19,282$21,011$21,458$20,666-0.01%-8.19%
200870.00%-0.28%-0.44%-0.83%$19,282$20,952$21,365$20,4940.00%-0.77%
200880.70%1.02%1.20%1.45%$19,417$21,166$21,621$20,7910.70%1.58%
20089-1.10%-4.13%-5.75%-8.91%$19,203$20,293$20,377$18,939-1.10%-9.26%
200810-2.53%-7.83%-10.81%-16.79%$18,716$18,705$18,174$15,759-2.53%-17.63%
2008113.64%0.02%-2.21%-7.17%$19,397$18,710$17,773$14,6283.64%-7.90%
2008123.32%2.90%2.62%1.07%$20,042$19,252$18,240$14,7843.32%1.86%
20091-0.70%-3.72%-5.23%-8.41%$19,902$18,536$17,285$13,540-0.70%-8.26%
20092-0.42%-4.24%-6.25%-10.66%$19,818$17,749$16,205$12,097-0.42%-10.45%
200931.48%4.04%5.46%8.76%$20,111$18,466$17,090$13,1571.48%8.65%
200940.36%4.17%6.22%9.56%$20,183$19,236$18,152$14,4150.36%10.61%
200950.85%2.64%3.55%5.62%$20,355$19,744$18,796$15,2250.85%5.38%
200960.54%0.46%0.42%0.22%$20,464$19,835$18,875$15,2580.54%0.34%
200971.43%4.02%5.30%7.58%$20,757$20,632$19,875$16,4141.43%7.82%
200981.01%2.11%2.63%3.60%$20,967$21,068$20,399$17,0051.01%3.63%
200991.19%2.48%3.09%3.72%$21,216$21,591$21,029$17,6371.19%4.23%
2009100.41%-0.88%-1.47%-1.87%$21,303$21,401$20,719$17,3080.41%-2.57%
2009111.36%3.18%4.03%5.98%$21,593$22,081$21,554$18,3431.36%5.63%
200912-1.68%0.30%1.20%1.95%$21,231$22,148$21,813$18,700-1.68%2.86%
201011.57%-0.46%-1.47%-3.60%$21,565$22,047$21,493$18,0261.57%-3.50%
201020.20%1.42%2.06%3.09%$21,607$22,360$21,934$18,5830.20%3.36%
20103-0.08%2.43%3.70%6.01%$21,590$22,904$22,746$19,701-0.08%6.27%
201041.06%1.52%1.74%1.58%$21,819$23,251$23,142$20,0121.06%2.17%
201050.87%-2.79%-4.56%-8.01%$22,009$22,603$22,086$18,4100.87%-8.00%
201061.61%-1.23%-2.68%-5.24%$22,364$22,325$21,493$17,4451.61%-5.66%
201070.94%3.20%4.40%7.00%$22,573$23,038$22,439$18,6660.94%6.99%
201081.48%-0.93%-2.17%-4.53%$22,907$22,824$21,952$17,8201.48%-4.75%
20109-0.01%3.51%5.40%8.92%$22,905$23,626$23,138$19,410-0.01%9.47%
2010100.36%1.77%2.49%3.79%$22,987$24,044$23,713$20,1450.36%3.94%
201011-0.57%-0.11%0.12%0.00%$22,857$24,018$23,741$20,145-0.57%0.58%
201012-1.15%2.07%3.66%6.67%$22,595$24,515$24,611$21,489-1.15%6.81%
201110.08%0.92%1.34%2.36%$22,613$24,742$24,942$21,9950.08%2.19%
201120.16%1.55%2.24%3.42%$22,650$25,126$25,501$22,7470.16%3.60%
20113-0.01%0.18%0.27%0.03%$22,649$25,172$25,570$22,753-0.01%0.45%
201141.32%2.01%2.34%2.95%$22,947$25,678$26,170$23,4231.32%2.99%
201151.30%0.27%-0.22%-1.15%$23,247$25,748$26,112$23,1551.30%-1.16%
20116-0.39%-0.96%-1.24%-1.67%$23,156$25,500$25,787$22,768-0.39%-1.79%
201171.58%-0.00%-0.77%-2.05%$23,521$25,499$25,588$22,3021.58%-2.28%
201181.46%-1.52%-3.01%-5.45%$23,865$25,113$24,818$21,0871.46%-5.99%
201190.89%-2.40%-4.13%-7.04%$24,078$24,509$23,793$19,6020.89%-7.75%
2011100.16%4.25%6.50%10.91%$24,117$25,551$25,341$21,7410.16%11.51%
201111-0.30%-0.30%-0.29%-0.23%$24,044$25,475$25,266$21,691-0.30%-0.29%
2011121.08%0.97%0.91%1.02%$24,302$25,721$25,497$21,9111.08%0.80%
201210.87%2.56%3.40%4.46%$24,515$26,379$26,363$22,8890.87%5.08%
20122-0.05%1.72%2.58%4.31%$24,503$26,832$27,043$23,875-0.05%4.26%
20123-0.58%0.95%1.68%3.28%$24,360$27,087$27,497$24,659-0.58%3.07%
201241.14%0.37%0.01%-0.64%$24,638$27,187$27,500$24,5011.14%-0.65%
201250.95%-2.10%-3.53%-6.02%$24,871$26,616$26,528$23,0270.95%-6.24%
201260.04%1.61%2.39%4.11%$24,881$27,045$27,161$23,9730.04%3.91%
201271.39%1.24%1.17%1.37%$25,225$27,380$27,479$24,3011.39%1.03%
201280.03%1.05%1.54%2.24%$25,233$27,667$27,901$24,8450.03%2.48%
201290.11%1.15%1.64%2.58%$25,260$27,984$28,359$25,4860.11%2.58%
2012100.11%-0.69%-1.06%-1.86%$25,288$27,792$28,058$25,0120.11%-1.76%
2012110.19%0.42%0.53%0.56%$25,337$27,910$28,208$25,1520.19%0.74%
201212-0.20%0.39%0.67%0.90%$25,286$28,018$28,396$25,379-0.20%1.19%
20131-0.71%1.77%3.01%5.18%$25,106$28,515$29,252$26,692-0.71%5.50%
201320.54%0.85%0.99%1.34%$25,242$28,756$29,543$27,0500.54%1.28%
201330.08%1.67%2.42%3.74%$25,263$29,235$30,259$28,0610.08%3.88%
201340.91%1.25%1.41%1.91%$25,494$29,600$30,684$28,5970.91%1.70%
20135-1.71%0.01%0.82%2.33%$25,058$29,604$30,935$29,262-1.71%2.32%
20136-1.65%-1.49%-1.41%-1.35%$24,644$29,164$30,498$28,867-1.65%-1.27%
201370.20%2.51%3.57%5.07%$24,692$29,897$31,586$30,3310.20%5.49%
20138-0.64%-1.62%-2.06%-2.91%$24,534$29,411$30,936$29,448-0.64%-2.82%
201390.96%2.17%2.70%3.12%$24,770$30,048$31,772$30,3670.96%3.66%
2013100.78%2.33%3.02%4.59%$24,962$30,750$32,730$31,7600.78%4.22%
201311-0.35%1.14%1.77%3.03%$24,875$31,100$33,311$32,722-0.35%2.88%
201312-0.65%0.89%1.53%2.51%$24,714$31,376$33,821$33,544-0.65%2.63%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value0.00%10.91%20.47%47.58%
Large-cap Growth2.62%22.11%29.00%51.96%
Mid-cap Value0.00%8.16%8.46%0.00%
Mid-cap Growth0.00%0.00%2.41%0.00%
Small-cap Value0.00%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.38%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%0.00%
Emerging Markets1.73%1.50%1.20%0.06%
Corporate Bonds12.77%7.82%5.21%0.00%
Long-Term Treasuries1.30%0.99%0.50%0.00%
Intermediate-Term Treasuries30.63%17.01%11.21%0.41%
Short-Term Treasuries50.94%31.50%21.17%0.00%
R Squared88.41%99.00%99.71%99.90%
Style analysis is based on monthly returns from Apr 2005 to Dec 2013 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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%0.15%6.21$14,714100.00%

Asset Allocation

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
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond60.00%0.15%6.21$9,5728.65%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend40.00%0.14%21.62$11,80391.35%
100.00%0.15%21.626.21$21,376100.00%

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
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%0.15%6.21$6,5301.45%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%0.14%21.62$17,29198.55%
100.00%0.14%21.626.21$23,821100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.45%0.58%0.64%0.70%
Arithmetic Mean (annualized)5.53%7.19%7.93%8.76%
Geometric Mean (monthly)0.44%0.56%0.60%0.60%
Geometric Mean (annualized)5.47%6.96%7.43%7.38%
Volatility (monthly)1.02%1.91%2.79%4.61%
Volatility (annualized)3.52%6.63%9.68%15.97%
Downside Deviation (monthly)0.53%1.19%1.84%3.17%
Max. Drawdown-3.99%-19.36%-30.72%-50.97%
US Market Correlation-0.050.940.990.99
Beta(*)-0.010.390.591.00
Alpha (annualized)5.48%3.70%2.67%-0.00%
R20.19%87.00%95.23%100.00%
Sharpe Ratio0.830.670.530.37
Sortino Ratio1.361.000.770.52
Treynor Ratio (%)-306.1511.558.745.94
Calmar Ratio0.811.781.230.98
Active Return-1.91%-0.42%0.05%N/A
Tracking Error16.50%10.08%6.86%N/A
Information Ratio-0.12-0.040.01N/A
Skewness-0.32-0.72-0.73-0.65
Excess Kurtosis1.161.431.130.85
Historical Value-at-Risk (5%)-1.14%-2.60%-4.55%-7.97%
Analytical Value-at-Risk (5%)-1.22%-2.65%-4.06%-6.88%
Conditional Value-at-Risk (5%)-1.92%-4.00%-6.15%-10.38%
Upside Capture Ratio (%)10.4645.8564.52100.00
Downside Capture Ratio (%)-14.0333.5656.89100.00
Safe Withdrawal Rate8.13%8.91%9.13%9.03%
Perpetual Withdrawal Rate3.01%4.37%4.79%4.74%
Positive Periods142 out of 204 (69.61%)136 out of 204 (66.67%)130 out of 204 (63.73%)127 out of 204 (62.25%)
Gain/Loss Ratio1.351.071.000.88
* Vanguard 500 Index Investor 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 3Vanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-0.85%-2.12%-2.69%-5.61%
Russian Debt DefaultJul 1998Oct 1998-0.55%-6.25%-10.18%-15.38%
Dotcom CrashMar 2000Oct 2002-1.91%-8.67%-21.68%-44.82%
Subprime CrisisNov 2007Mar 2009-3.99%-19.36%-30.72%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
2May 2013Aug 20134 months-3.76%
3Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
4Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
5Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
6Nov 2001Dec 20012 monthsMay 20025 months7 months-1.91%
7Sep 2005Oct 20052 monthsAug 200610 months1 year-1.90%
8Nov 2010Dec 20102 monthsMay 20115 months7 months-1.71%
9Dec 2009Dec 20091 monthFeb 20102 months3 months-1.68%
10May 2007Jun 20072 monthsAug 20072 months4 months-1.16%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-19.36%
2Sep 2000Sep 20022 years 1 monthMay 20038 months2 years 9 months-8.67%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-6.25%
4Jun 2011Sep 20114 monthsJan 20124 months8 months-4.81%
5May 2010Jun 20102 monthsSep 20103 months5 months-3.99%
6Apr 2000May 20002 monthsAug 20003 months5 months-3.79%
7Feb 1999Feb 19991 monthApr 19992 months3 months-2.57%
8Apr 2004Apr 20041 monthSep 20045 months6 months-2.41%
9Mar 1997Mar 19971 monthApr 19971 month2 months-2.41%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-2.32%
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-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-10.18%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
5Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
6Jul 1999Sep 19993 monthsOct 19991 month4 months-3.76%
7May 2012May 20121 monthAug 20123 months4 months-3.53%
8Feb 1997Mar 19972 monthsApr 19971 month3 months-3.12%
9Feb 1999Feb 19991 monthApr 19992 months3 months-2.96%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-2.94%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
5Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
6Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
9Mar 1997Mar 19971 monthApr 19971 month2 months-4.14%
10Feb 1999Feb 19991 monthMar 19991 month2 months-3.12%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBMFXVanguard Total Bond Market Index Inv5.47%3.52%11.39%-2.26%-3.99%0.831.36-0.05
VTSMXVanguard Total Stock Mkt Idx Inv7.77%16.41%33.35%-37.04%-50.89%0.390.541.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBMFXVTSMXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VBMFXVanguard Total Bond Market Index Inv1.00-0.051.000.280.10-0.04
VTSMXVanguard Total Stock Mkt Idx Inv-0.051.00-0.050.940.990.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBMFXVanguard Total Bond Market Index Inv$14,714$9,572$6,530
VTSMXVanguard Total Stock Mkt Idx Inv$11,803$17,291

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBMFXVanguard Total Bond Market Index Inv100.00%8.65%1.45%
VTSMXVanguard Total Stock Mkt Idx Inv91.35%98.55%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year5.52%11.39%-2.26%7.21%18.06%-11.78%8.06%22.37%-20.20%9.36%33.19%-37.02%
3 years5.62%9.35%3.03%6.13%13.80%-0.08%6.19%17.87%-4.81%5.35%27.53%-14.60%
5 years5.68%7.33%4.28%5.62%10.26%2.65%5.33%13.14%1.41%3.50%17.81%-2.38%
7 years5.53%6.98%4.67%5.57%7.78%3.41%5.32%7.88%2.29%3.48%7.51%-1.64%
10 years5.46%6.06%4.42%5.62%7.45%3.60%5.44%7.98%2.42%3.76%8.34%-1.46%
15 years5.61%6.10%5.00%6.07%6.50%5.78%6.03%6.44%5.77%4.78%5.37%4.39%
Result statistics are based on annualized rolling returns over full calendar year periods