Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1998 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 25.00%
VGTSX Vanguard Total Intl Stock Index Inv 25.00%
VBMFX Vanguard Total Bond Market Index Inv 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
CASHX Cash 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$30,737 5.49% 7.95%19.43%-20.14%-29.77% 0.470.670.93
Portfolio 2$10,000$14,973 1.94% 0.57%5.99%0.03%0.00%N/AN/A-0.06
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-5.81%-4.87%4.47%3.51%6.80%5.49%5.42%5.50%
Portfolio 20.57%1.90%1.02%0.63%0.36%1.94%0.20%0.21%
Trailing annualized return and volatility are for full months ending in December 2018 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
YearInflationPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Cash (CASHX)
ReturnBalanceReturnBalance
19981.61%14.69%$11,4694.97%$10,49723.26%15.60%8.58%4.97%
19992.68%12.50%$12,9034.77%$10,99823.81%29.92%-0.76%4.77%
20003.39%-1.30%$12,7355.99%$11,657-10.57%-15.61%11.39%5.99%
20011.55%-3.79%$12,2533.70%$12,088-10.97%-20.15%8.43%3.70%
20022.38%-5.20%$11,6161.65%$12,287-20.96%-15.08%8.26%1.65%
20031.88%19.18%$13,8441.04%$12,41531.35%40.34%3.97%1.04%
20043.26%10.38%$15,2821.32%$12,58012.51%20.84%4.24%1.32%
20053.42%6.63%$16,2953.14%$12,9755.98%15.57%2.40%3.14%
20062.54%12.45%$18,3234.82%$13,60015.51%26.64%4.27%4.82%
20074.08%8.84%$19,9424.56%$14,2205.49%15.52%6.92%4.56%
20080.09%-20.14%$15,9261.53%$14,438-37.04%-44.10%5.05%1.53%
20092.72%19.43%$19,0190.16%$14,46128.70%36.73%5.93%0.16%
20101.50%10.91%$21,0940.14%$14,48117.09%11.12%6.42%0.14%
20112.96%0.44%$21,1880.07%$14,4910.96%-14.56%7.56%0.07%
20121.74%10.76%$23,4670.08%$14,50216.25%18.14%4.05%0.08%
20131.50%10.22%$25,8650.05%$14,51033.35%15.04%-2.26%0.05%
20140.76%4.89%$27,1280.03%$14,51512.43%-4.24%5.76%0.03%
20150.73%-0.64%$26,9560.05%$14,5220.29%-4.37%0.30%0.05%
20162.07%5.69%$28,4880.30%$14,56512.53%4.65%2.50%0.30%
20172.11%13.42%$32,3120.88%$14,69421.05%27.40%3.46%0.88%
20181.91%-4.87%$30,7371.90%$14,973-5.26%-14.44%-0.13%1.90%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Cash (CASHX)
ReturnBalanceReturnBalance
199811.53%$10,1530.44%$10,0440.44%3.04%1.32%0.44%
199823.51%$10,5090.43%$10,0877.34%6.88%-0.10%0.43%
199832.23%$10,7440.44%$10,1315.06%3.22%0.33%0.44%
199840.66%$10,8150.42%$10,1731.10%0.53%0.51%0.42%
19985-0.54%$10,7560.41%$10,215-2.71%-1.51%1.02%0.41%
199861.22%$10,8880.41%$10,2573.54%-0.27%0.81%0.41%
19987-0.19%$10,8680.42%$10,300-2.27%1.08%0.23%0.42%
19988-6.38%$10,1740.42%$10,343-15.65%-13.66%1.90%0.42%
199892.13%$10,3920.40%$10,3846.68%-2.07%1.96%0.40%
1998104.29%$10,8380.36%$10,4217.51%10.77%-0.55%0.36%
1998113.12%$11,1760.36%$10,4586.17%5.34%0.49%0.36%
1998122.62%$11,4690.37%$10,4976.45%3.26%0.38%0.37%
199911.15%$11,6010.37%$10,5363.65%-0.63%0.79%0.37%
19992-2.36%$11,3280.37%$10,574-3.73%-2.16%-1.77%0.37%
199932.51%$11,6110.38%$10,6153.93%4.97%0.56%0.38%
199942.64%$11,9180.37%$10,6544.68%5.08%0.40%0.37%
19995-2.19%$11,6570.37%$10,693-2.00%-5.00%-0.88%0.37%
199962.14%$11,9060.38%$10,7345.16%4.39%-0.50%0.38%
19997-0.43%$11,8560.39%$10,776-3.20%2.27%-0.39%0.39%
19998-0.19%$11,8330.39%$10,818-0.92%0.33%-0.08%0.39%
199990.22%$11,8600.41%$10,862-2.44%0.82%1.26%0.41%
1999102.67%$12,1770.40%$10,9056.29%3.74%0.33%0.40%
1999111.88%$12,4060.42%$10,9503.42%4.08%0.02%0.42%
1999124.00%$12,9030.43%$10,9987.59%9.37%-0.48%0.43%
20001-2.69%$12,5560.43%$11,046-4.18%-6.22%-0.17%0.43%
200021.93%$12,7990.47%$11,0972.54%2.83%1.18%0.47%
200032.99%$13,1820.47%$11,1495.69%3.48%1.40%0.47%
20004-2.90%$12,8000.48%$11,203-5.21%-5.41%-0.49%0.48%
20005-1.60%$12,5950.48%$11,256-3.41%-2.67%-0.16%0.48%
200063.25%$13,0040.46%$11,3084.42%4.27%2.15%0.46%
20007-1.16%$12,8520.48%$11,363-1.95%-4.46%0.88%0.48%
200082.77%$13,2080.51%$11,4207.28%1.00%1.40%0.51%
20009-2.04%$12,9390.52%$11,479-4.67%-5.00%0.76%0.52%
200010-0.99%$12,8110.51%$11,538-2.04%-3.03%0.57%0.51%
200011-2.80%$12,4530.52%$11,598-9.90%-4.44%1.58%0.52%
2000122.27%$12,7350.51%$11,6571.78%3.72%1.79%0.51%
200112.11%$13,0040.48%$11,7133.83%1.10%1.76%0.48%
20012-3.80%$12,5100.41%$11,761-9.41%-7.61%0.91%0.41%
20013-3.20%$12,1100.40%$11,807-6.72%-7.15%0.54%0.40%
200143.78%$12,5680.35%$11,8498.16%7.89%-0.46%0.35%
20015-0.26%$12,5350.32%$11,8871.01%-3.52%0.73%0.32%
20016-1.11%$12,3970.30%$11,923-1.64%-3.84%0.52%0.30%
200170.08%$12,4060.30%$11,958-1.71%-2.43%2.23%0.30%
20018-1.52%$12,2180.29%$11,993-6.00%-2.30%1.11%0.29%
20019-4.48%$11,6700.28%$12,026-9.00%-10.73%0.89%0.28%
2001102.30%$11,9390.20%$12,0502.52%2.97%1.86%0.20%
2001112.13%$12,1930.17%$12,0707.63%3.56%-1.34%0.17%
2001120.49%$12,2530.15%$12,0881.78%1.35%-0.58%0.15%
20021-1.12%$12,1150.14%$12,105-1.24%-4.63%0.69%0.14%
200220.14%$12,1320.14%$12,123-2.05%0.90%0.85%0.14%
200231.79%$12,3500.15%$12,1404.38%5.71%-1.46%0.15%
20024-0.27%$12,3160.15%$12,158-4.90%0.42%1.69%0.15%
200250.39%$12,3640.15%$12,176-1.22%1.16%0.80%0.15%
20026-2.69%$12,0310.14%$12,193-7.06%-4.28%0.29%0.14%
20027-4.21%$11,5240.14%$12,210-8.02%-9.80%0.48%0.14%
200280.93%$11,6320.14%$12,2280.53%-0.12%1.66%0.14%
20029-4.47%$11,1110.14%$12,245-10.07%-10.88%1.53%0.14%
2002103.03%$11,4480.13%$12,2607.65%5.70%-0.61%0.13%
2002112.71%$11,7590.12%$12,2756.06%4.75%0.02%0.12%
200212-1.21%$11,6160.10%$12,287-5.57%-3.43%2.07%0.10%
20031-1.55%$11,4360.10%$12,299-2.54%-3.76%0.05%0.10%
20032-0.34%$11,3970.10%$12,311-1.69%-2.42%1.38%0.10%
20033-0.27%$11,3660.10%$12,3241.09%-1.93%-0.13%0.10%
200344.91%$11,9240.09%$12,3358.21%9.70%0.87%0.09%
200353.98%$12,3990.09%$12,3466.11%6.15%1.82%0.09%
200360.96%$12,5170.09%$12,3581.43%2.66%-0.13%0.09%
20037-0.29%$12,4810.07%$12,3672.36%3.18%-3.34%0.07%
200381.53%$12,6720.08%$12,3772.39%2.51%0.61%0.08%
200391.76%$12,8960.08%$12,386-1.15%2.78%2.71%0.08%
2003102.67%$13,2400.08%$12,3966.12%6.49%-0.96%0.08%
2003111.01%$13,3740.08%$12,4061.38%2.13%0.27%0.08%
2003123.51%$13,8440.08%$12,4154.48%7.80%0.88%0.08%
200411.39%$14,0360.08%$12,4252.23%1.60%0.86%0.08%
200421.50%$14,2470.08%$12,4341.43%2.50%1.03%0.08%
200430.24%$14,2810.08%$12,444-1.07%0.45%0.80%0.08%
20044-2.62%$13,9070.08%$12,454-2.11%-3.14%-2.61%0.08%
200450.24%$13,9400.08%$12,4641.35%0.46%-0.43%0.08%
200461.40%$14,1360.09%$12,4752.09%2.40%0.56%0.09%
20047-1.30%$13,9520.11%$12,488-3.80%-3.34%0.96%0.11%
200481.24%$14,1240.12%$12,5030.31%0.75%1.94%0.12%
200491.26%$14,3010.13%$12,5201.74%2.96%0.16%0.13%
2004101.65%$14,5380.14%$12,5371.68%3.24%0.85%0.14%
2004112.58%$14,9120.16%$12,5574.68%7.23%-0.81%0.16%
2004122.48%$15,2820.18%$12,5803.63%4.44%0.92%0.18%
20051-0.76%$15,1660.18%$12,603-2.68%-1.67%0.65%0.18%
200521.37%$15,3740.21%$12,6292.07%4.68%-0.63%0.21%
20053-1.42%$15,1570.23%$12,658-1.75%-2.93%-0.49%0.23%
20054-0.42%$15,0930.23%$12,686-2.32%-2.07%1.35%0.23%
200551.49%$15,3180.24%$12,7173.77%0.08%1.05%0.24%
200560.80%$15,4410.25%$12,7480.81%1.30%0.55%0.25%
200571.45%$15,6650.26%$12,7804.11%3.68%-0.99%0.26%
200581.16%$15,8460.28%$12,816-0.94%2.85%1.36%0.28%
200590.85%$15,9800.29%$12,8530.86%4.73%-1.10%0.29%
200510-1.71%$15,7060.29%$12,891-1.86%-3.37%-0.81%0.29%
2005111.90%$16,0040.33%$12,9333.97%2.67%0.48%0.33%
2005121.81%$16,2950.32%$12,9750.14%5.14%0.99%0.32%
200612.54%$16,7080.33%$13,0183.50%6.87%-0.11%0.33%
200620.01%$16,7090.37%$13,0660.00%-0.72%0.37%0.37%
200630.74%$16,8340.38%$13,1151.80%3.17%-1.00%0.38%
200641.45%$17,0790.38%$13,1651.11%5.12%-0.21%0.38%
20065-1.97%$16,7430.39%$13,216-3.23%-4.45%-0.09%0.39%
20066-0.00%$16,7420.40%$13,2690.17%-0.38%0.10%0.40%
200670.93%$16,8980.41%$13,323-0.13%1.15%1.35%0.41%
200682.03%$17,2410.42%$13,3792.31%2.53%1.64%0.42%
200691.03%$17,4200.41%$13,4342.27%0.25%0.81%0.41%
2006102.24%$17,8100.40%$13,4883.53%4.00%0.72%0.40%
2006112.04%$18,1740.42%$13,5442.23%3.73%1.11%0.42%
2006120.82%$18,3230.41%$13,6001.13%3.09%-0.48%0.41%
200710.67%$18,4450.41%$13,6561.88%0.96%-0.08%0.41%
200720.36%$18,5120.42%$13,713-1.61%0.06%1.50%0.42%
200730.99%$18,6950.42%$13,7711.11%2.80%0.02%0.42%
200742.24%$19,1140.41%$13,8284.01%3.92%0.51%0.41%
200751.31%$19,3640.40%$13,8833.69%3.09%-0.78%0.40%
20076-0.46%$19,2750.39%$13,937-1.67%0.61%-0.39%0.39%
20077-0.70%$19,1400.39%$13,992-3.41%-1.06%0.84%0.39%
200780.86%$19,3040.40%$14,0481.45%-0.72%1.34%0.40%
200792.85%$19,8550.33%$14,0943.59%6.38%0.72%0.33%
2007102.40%$20,3320.31%$14,1381.85%5.90%0.93%0.31%
200711-1.31%$20,0650.32%$14,184-4.49%-4.57%1.91%0.32%
200712-0.61%$19,9420.26%$14,220-0.60%-2.28%0.22%0.26%
20081-2.81%$19,3810.28%$14,260-6.08%-8.55%1.69%0.28%
20082-0.59%$19,2670.16%$14,282-3.07%0.33%0.19%0.16%
20083-0.18%$19,2330.15%$14,304-0.58%-0.71%0.30%0.15%
200842.57%$19,7270.11%$14,3205.02%5.85%-0.30%0.11%
200850.51%$19,8270.12%$14,3372.09%1.51%-0.79%0.12%
20086-4.30%$18,9750.15%$14,359-8.19%-8.99%-0.01%0.15%
20087-1.11%$18,7650.16%$14,382-0.77%-3.67%0.00%0.16%
20088-0.53%$18,6650.14%$14,4021.58%-5.10%0.70%0.14%
20089-6.14%$17,5190.14%$14,422-9.26%-13.09%-1.10%0.14%
200810-11.20%$15,5580.08%$14,433-17.63%-22.09%-2.53%0.08%
200811-1.73%$15,2890.04%$14,438-7.90%-6.29%3.64%0.04%
2008124.16%$15,9260.00%$14,4381.86%8.16%3.32%0.00%
20091-5.40%$15,0660.01%$14,440-8.26%-11.96%-0.70%0.01%
20092-5.22%$14,2790.02%$14,442-10.45%-9.58%-0.42%0.02%
200935.23%$15,0260.02%$14,4468.65%9.31%1.48%0.02%
200946.02%$15,9320.02%$14,44810.61%12.78%0.36%0.02%
200955.36%$16,7850.01%$14,4505.38%14.35%0.85%0.01%
200960.02%$16,7890.01%$14,4510.34%-1.32%0.54%0.01%
200975.16%$17,6560.02%$14,4547.82%9.96%1.43%0.02%
200982.29%$18,0600.02%$14,4563.63%3.50%1.01%0.02%
200992.94%$18,5900.01%$14,4584.23%5.15%1.19%0.01%
200910-0.98%$18,4080.01%$14,459-2.57%-2.17%0.41%0.01%
2009113.05%$18,9700.00%$14,4605.63%3.86%1.36%0.00%
2009120.26%$19,0190.01%$14,4612.86%1.53%-1.68%0.01%
20101-1.36%$18,7620.01%$14,461-3.50%-5.07%1.57%0.01%
201020.99%$18,9480.01%$14,4623.36%0.22%0.20%0.01%
201033.21%$19,5550.01%$14,4646.27%6.71%-0.08%0.01%
201040.65%$19,6820.01%$14,4662.17%-1.71%1.06%0.01%
20105-4.26%$18,8430.01%$14,468-8.00%-10.78%0.87%0.01%
20106-0.90%$18,6730.01%$14,470-5.66%-1.17%1.61%0.01%
201074.80%$19,5700.02%$14,4726.99%10.33%0.94%0.02%
20108-1.25%$19,3250.01%$14,474-4.75%-3.22%1.48%0.01%
201094.96%$20,2840.01%$14,4759.47%10.41%-0.01%0.01%
2010102.05%$20,7010.01%$14,4773.94%3.55%0.36%0.01%
201011-1.27%$20,4380.01%$14,4790.58%-4.52%-0.57%0.01%
2010123.21%$21,0940.01%$14,4816.81%8.34%-1.15%0.01%
201110.76%$21,2550.01%$14,4822.19%0.70%0.08%0.01%
201121.66%$21,6080.01%$14,4843.60%2.71%0.16%0.01%
201130.00%$21,6080.01%$14,4860.45%-0.43%-0.01%0.01%
201142.72%$22,1950.01%$14,4872.99%5.24%1.32%0.01%
20115-0.36%$22,1160.00%$14,488-1.16%-2.87%1.30%0.00%
20116-1.02%$21,8910.01%$14,488-1.79%-1.51%-0.39%0.01%
20117-0.17%$21,8550.00%$14,489-2.28%-1.53%1.58%0.00%
20118-2.88%$21,2250.01%$14,490-5.99%-8.45%1.46%0.01%
20119-4.56%$20,2570.00%$14,490-7.75%-12.29%0.89%0.00%
2011105.51%$21,3730.00%$14,49011.51%10.22%0.16%0.00%
201111-0.94%$21,1710.00%$14,490-0.29%-2.88%-0.30%0.00%
2011120.08%$21,1880.00%$14,4910.80%-2.64%1.08%0.00%
201213.53%$21,9350.00%$14,4915.08%7.27%0.87%0.00%
201222.33%$22,4450.01%$14,4924.26%5.14%-0.05%0.01%
201230.29%$22,5100.01%$14,4923.07%-0.75%-0.58%0.01%
20124-0.04%$22,5010.01%$14,493-0.65%-1.78%1.14%0.01%
20125-3.87%$21,6300.01%$14,495-6.24%-11.14%0.95%0.01%
201262.50%$22,1720.01%$14,4953.91%6.03%0.04%0.01%
201271.06%$22,4070.01%$14,4961.03%0.44%1.39%0.01%
201281.32%$22,7020.01%$14,4982.48%2.72%0.03%0.01%
201291.60%$23,0660.01%$14,4992.58%3.62%0.11%0.01%
201210-0.24%$23,0100.01%$14,500-1.76%0.56%0.11%0.01%
2012110.73%$23,1790.01%$14,5010.74%1.82%0.19%0.01%
2012121.24%$23,4670.01%$14,5021.19%4.17%-0.20%0.01%
201311.85%$23,9020.00%$14,5035.50%3.34%-0.71%0.00%
201320.28%$23,9690.01%$14,5041.28%-1.23%0.54%0.01%
201331.20%$24,2580.01%$14,5053.88%0.77%0.08%0.01%
201341.78%$24,6890.01%$14,5061.70%3.58%0.91%0.01%
20135-1.01%$24,4390.00%$14,5072.32%-2.95%-1.71%0.00%
20136-2.08%$23,9300.00%$14,507-1.27%-3.75%-1.65%0.00%
201372.61%$24,5550.00%$14,5085.49%4.56%0.20%0.00%
20138-1.43%$24,2030.00%$14,508-2.82%-1.63%-0.64%0.00%
201393.20%$24,9780.00%$14,5083.66%7.21%0.96%0.00%
2013102.30%$25,5510.00%$14,5094.22%3.41%0.78%0.00%
2013110.58%$25,6990.00%$14,5092.88%0.12%-0.35%0.00%
2013120.65%$25,8650.01%$14,5102.63%1.25%-0.65%0.01%
20141-1.20%$25,5540.01%$14,511-3.11%-4.78%1.54%0.01%
201422.77%$26,2630.00%$14,5114.73%5.39%0.48%0.00%
201430.16%$26,3030.00%$14,5120.51%0.41%-0.15%0.00%
201440.73%$26,4950.00%$14,5120.06%1.31%0.77%0.00%
201451.54%$26,9030.00%$14,5132.17%1.88%1.05%0.00%
201461.12%$27,2050.00%$14,5132.54%1.74%0.11%0.00%
20147-1.03%$26,9260.00%$14,514-1.98%-1.61%-0.26%0.00%
201481.87%$27,4310.00%$14,5144.18%1.05%1.13%0.00%
20149-2.15%$26,8420.00%$14,514-2.14%-5.01%-0.72%0.00%
2014101.08%$27,1310.00%$14,5142.74%-0.31%0.94%0.00%
2014110.87%$27,3670.00%$14,5152.41%-0.25%0.65%0.00%
201412-0.87%$27,1280.00%$14,515-0.01%-3.65%0.09%0.00%
201510.49%$27,2630.00%$14,515-2.77%0.13%2.31%0.00%
201522.28%$27,8840.00%$14,5165.76%5.52%-1.08%0.00%
20153-0.44%$27,7610.00%$14,516-1.04%-1.54%0.41%0.00%
201541.20%$28,0930.00%$14,5160.42%5.08%-0.36%0.00%
20155-0.11%$28,0610.00%$14,5161.39%-0.94%-0.45%0.00%
20156-1.60%$27,6110.00%$14,516-1.71%-2.69%-1.01%0.00%
201570.59%$27,7730.00%$14,5171.63%-0.80%0.76%0.00%
20158-3.51%$26,7990.01%$14,518-6.03%-7.29%-0.36%0.01%
20159-1.33%$26,4430.01%$14,518-2.93%-3.90%0.76%0.01%
2015103.53%$27,3770.00%$14,5197.84%6.26%0.01%0.00%
201511-0.33%$27,2870.01%$14,5200.54%-1.32%-0.27%0.01%
201512-1.21%$26,9560.02%$14,522-2.03%-2.07%-0.38%0.02%
20161-2.10%$26,3890.01%$14,524-5.67%-5.59%1.43%0.01%
20162-0.25%$26,3240.03%$14,528-0.04%-2.27%0.66%0.03%
201634.27%$27,4490.03%$14,5327.01%8.19%0.94%0.03%
201640.90%$27,6960.02%$14,5350.63%2.22%0.38%0.02%
201650.20%$27,7510.02%$14,5371.79%-1.02%0.01%0.02%
201660.79%$27,9700.03%$14,5410.23%-0.94%1.94%0.03%
201672.41%$28,6450.02%$14,5453.95%4.41%0.64%0.02%
201680.17%$28,6920.02%$14,5480.26%0.74%-0.17%0.02%
201690.34%$28,7890.03%$14,5520.15%1.37%-0.09%0.03%
201610-1.39%$28,3890.02%$14,555-2.21%-1.72%-0.81%0.02%
201611-0.75%$28,1760.03%$14,5594.44%-2.15%-2.64%0.03%
2016121.11%$28,4880.04%$14,5651.92%2.02%0.24%0.04%
201711.59%$28,9420.04%$14,5711.91%3.87%0.29%0.04%
201721.63%$29,4140.04%$14,5783.71%1.50%0.66%0.04%
201730.69%$29,6160.04%$14,5840.07%2.82%-0.07%0.04%
201741.19%$29,9700.06%$14,5931.05%2.20%0.76%0.06%
201751.34%$30,3710.07%$14,6031.01%3.01%0.67%0.07%
201760.37%$30,4830.08%$14,6140.92%0.52%0.01%0.08%
201771.52%$30,9450.08%$14,6271.87%3.42%0.39%0.08%
201780.62%$31,1380.09%$14,6400.15%0.64%0.85%0.09%
201790.80%$31,3860.08%$14,6522.45%1.81%-0.54%0.08%
2017101.08%$31,7240.09%$14,6642.16%1.94%0.11%0.09%
2017110.87%$32,0000.09%$14,6783.04%0.78%-0.17%0.09%
2017120.97%$32,3120.10%$14,6940.99%2.01%0.44%0.10%
201812.18%$33,0160.11%$14,7105.31%5.59%-1.09%0.11%
20182-2.73%$32,1150.12%$14,728-3.72%-5.14%-1.03%0.12%
20183-0.34%$32,0050.14%$14,748-1.99%-0.64%0.63%0.14%
20184-0.11%$31,9680.14%$14,7690.38%0.83%-0.83%0.14%
201850.52%$32,1360.15%$14,7922.79%-1.92%0.61%0.15%
20186-0.34%$32,0270.16%$14,8150.68%-2.08%0.03%0.16%
201871.47%$32,4990.16%$14,8393.34%2.48%0.03%0.16%
201880.57%$32,6840.17%$14,8633.44%-2.19%0.52%0.17%
20189-0.16%$32,6330.17%$14,8890.16%0.30%-0.54%0.17%
201810-4.30%$31,2280.18%$14,916-7.40%-8.35%-0.73%0.18%
2018111.09%$31,5700.19%$14,9442.06%1.26%0.53%0.19%
201812-2.64%$30,7370.19%$14,973-9.29%-4.85%1.80%0.19%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value6.18%
Large-cap Growth14.35%
Mid-cap Value5.37%
Mid-cap Growth0.28%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets18.44%
Emerging Markets6.54%
Corporate Bonds8.71%
Long-Term Treasuries0.92%
Intermediate-Term Treasuries13.18%
Short-Term Treasuries26.02%
R Squared99.42%
Style analysis is based on monthly returns from April 2005 to December 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend25.00%1.22%0.14%27.49$8,02344.79%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend25.00%2.05%0.17%19.73$4,90351.70%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond50.00%1.28%0.15%6.60$7,8123.50%
100.00%1.46%0.15%23.616.60$20,737100.00%

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
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
CASHXCashCash100.00%0.04%$4,973100.00%

Asset Allocation

Fund fundamentals data as of 04/14/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.47%0.16%
Arithmetic Mean (annualized)5.83%1.94%
Geometric Mean (monthly)0.45%0.16%
Geometric Mean (annualized)5.49%1.94%
Volatility (monthly)2.30%0.17%
Volatility (annualized)7.95%0.57%
Downside Deviation (monthly)1.54%0.00%
Max. Drawdown-29.77%0.00%
US Market Correlation0.93-0.06
Beta(*)0.48-0.00
Alpha (annualized)1.94%1.94%
R286.18%0.35%
Sharpe Ratio0.47N/A
Sortino Ratio0.67N/A
Treynor Ratio (%)7.80-0.00
Calmar Ratio0.65N/A
Active Return-1.28%-4.83%
Tracking Error8.50%15.40%
Information Ratio-0.15-0.31
Skewness-0.830.69
Excess Kurtosis2.57-1.03
Historical Value-at-Risk (5%)-3.83%0.00%
Analytical Value-at-Risk (5%)-3.30%-0.11%
Conditional Value-at-Risk (5%)-5.29%0.00%
Upside Capture Ratio (%)50.264.19
Downside Capture Ratio (%)44.99-4.71
Safe Withdrawal Rate6.82%4.97%
Perpetual Withdrawal Rate3.18%0.00%
Positive Periods159 out of 252 (63.10%)252 out of 252 (100.00%)
Gain/Loss Ratio1.00N/A
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Russian Debt DefaultJul 1998Oct 1998-6.55%0.00%
Dotcom CrashMar 2000Oct 2002-15.87%0.00%
Subprime CrisisNov 2007Mar 2009-29.77%0.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-29.77%
2Sep 2000Sep 20022 years 1 monthOct 20031 year 1 month3 years 2 months-15.87%
3May 2011Sep 20115 monthsFeb 20125 months10 months-8.73%
4Feb 2018Dec 201811 months-6.90%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-6.55%
6May 2015Feb 201610 monthsJul 20165 months1 year 3 months-6.30%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.45%
8Apr 2012May 20122 monthsAug 20123 months5 months-3.91%
9May 2013Jun 20132 monthsSep 20133 months5 months-3.07%
10Jan 2000Jan 20001 monthMar 20002 months3 months-2.69%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
--------

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv6.78%15.35%33.35%-37.04%-50.89%0.380.531.00
VGTSXVanguard Total Intl Stock Index Inv4.54%17.17%40.34%-44.10%-58.50%0.230.330.87
VBMFXVanguard Total Bond Market Index Inv4.53%3.38%11.39%-2.26%-3.99%0.761.24-0.10
CASHXCash1.94%0.57%5.99%0.03%0.00%N/AN/A-0.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXCASHXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.87-0.10-0.060.93-0.06
VGTSXVanguard Total Intl Stock Index Inv0.871.000.00-0.020.96-0.02
VBMFXVanguard Total Bond Market Index Inv-0.100.001.000.100.160.10
CASHXCash-0.06-0.020.101.00-0.021.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$8,023
VGTSXVanguard Total Intl Stock Index Inv$4,903
VBMFXVanguard Total Bond Market Index Inv$7,812
CASHXCash$4,973

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv44.79%
VGTSXVanguard Total Intl Stock Index Inv51.70%
VBMFXVanguard Total Bond Market Index Inv3.50%
CASHXCash100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.06%32.69%-25.89%1.88%6.04%0.02%
3 years5.45%16.27%-5.10%1.75%5.26%0.04%
5 years5.71%12.96%0.05%1.65%4.21%0.06%
7 years5.86%9.13%2.35%1.66%3.33%0.08%
10 years5.53%7.88%2.34%1.71%3.58%0.31%
15 years5.85%7.32%4.83%1.64%2.51%1.20%