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 1999 - Dec 2019)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$25,375 4.53% 3.42%11.39%-2.26%-3.99% 0.791.31-0.09
Portfolio 2$10,000$41,989 7.07% 14.87%33.35%-37.04%-50.89% 0.410.581.00
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 10.00%8.61%3.92%2.90%3.57%4.53%
Portfolio 28.97%30.65%14.43%11.08%13.30%7.07%
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 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 1Portfolio 2
19992.68%-0.76%23.81%$9,924$12,381-0.76%23.81%
20003.39%11.39%-10.57%$11,055$11,07211.39%-10.57%
20011.55%8.43%-10.97%$11,986$9,8588.43%-10.97%
20022.38%8.26%-20.96%$12,976$7,7928.26%-20.96%
20031.88%3.97%31.35%$13,492$10,2353.97%31.35%
20043.26%4.24%12.51%$14,063$11,5154.24%12.51%
20053.42%2.40%5.98%$14,400$12,2042.40%5.98%
20062.54%4.27%15.51%$15,015$14,0974.27%15.51%
20074.08%6.92%5.49%$16,054$14,8716.92%5.49%
20080.09%5.05%-37.04%$16,865$9,3635.05%-37.04%
20092.72%5.93%28.70%$17,866$12,0505.93%28.70%
20101.50%6.42%17.09%$19,013$14,1106.42%17.09%
20112.96%7.56%0.96%$20,450$14,2467.56%0.96%
20121.74%4.05%16.25%$21,278$16,5614.05%16.25%
20131.50%-2.26%33.35%$20,797$22,084-2.26%33.35%
20140.76%5.76%12.43%$21,994$24,8295.76%12.43%
20150.73%0.30%0.29%$22,060$24,9020.30%0.29%
20162.07%2.50%12.53%$22,611$28,0232.50%12.53%
20172.11%3.46%21.05%$23,394$33,9223.46%21.05%
20181.91%-0.13%-5.26%$23,364$32,139-0.13%-5.26%
20192.29%8.61%30.65%$25,375$41,9898.61%30.65%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199910.79%3.65%$10,079$10,3650.79%3.65%
19992-1.77%-3.73%$9,901$9,978-1.77%-3.73%
199930.56%3.93%$9,957$10,3710.56%3.93%
199940.40%4.68%$9,997$10,8560.40%4.68%
19995-0.88%-2.00%$9,909$10,639-0.88%-2.00%
19996-0.50%5.16%$9,859$11,188-0.50%5.16%
19997-0.39%-3.20%$9,821$10,830-0.39%-3.20%
19998-0.08%-0.92%$9,813$10,731-0.08%-0.92%
199991.26%-2.44%$9,937$10,4691.26%-2.44%
1999100.33%6.29%$9,970$11,1270.33%6.29%
1999110.02%3.42%$9,972$11,5080.02%3.42%
199912-0.48%7.59%$9,924$12,381-0.48%7.59%
20001-0.17%-4.18%$9,907$11,863-0.17%-4.18%
200021.18%2.54%$10,023$12,1651.18%2.54%
200031.40%5.69%$10,164$12,8571.40%5.69%
20004-0.49%-5.21%$10,114$12,187-0.49%-5.21%
20005-0.16%-3.41%$10,098$11,772-0.16%-3.41%
200062.15%4.42%$10,315$12,2922.15%4.42%
200070.88%-1.95%$10,406$12,0520.88%-1.95%
200081.40%7.28%$10,551$12,9301.40%7.28%
200090.76%-4.67%$10,631$12,3260.76%-4.67%
2000100.57%-2.04%$10,692$12,0740.57%-2.04%
2000111.58%-9.90%$10,861$10,8781.58%-9.90%
2000121.79%1.78%$11,055$11,0721.79%1.78%
200111.76%3.83%$11,249$11,4961.76%3.83%
200120.91%-9.41%$11,351$10,4140.91%-9.41%
200130.54%-6.72%$11,413$9,7140.54%-6.72%
20014-0.46%8.16%$11,360$10,507-0.46%8.16%
200150.73%1.01%$11,443$10,6130.73%1.01%
200160.52%-1.64%$11,503$10,4400.52%-1.64%
200172.23%-1.71%$11,759$10,2612.23%-1.71%
200181.11%-6.00%$11,890$9,6451.11%-6.00%
200190.89%-9.00%$11,996$8,7770.89%-9.00%
2001101.86%2.52%$12,219$8,9981.86%2.52%
200111-1.34%7.63%$12,056$9,685-1.34%7.63%
200112-0.58%1.78%$11,986$9,858-0.58%1.78%
200210.69%-1.24%$12,069$9,7350.69%-1.24%
200220.85%-2.05%$12,172$9,5360.85%-2.05%
20023-1.46%4.38%$11,994$9,954-1.46%4.38%
200241.69%-4.90%$12,197$9,4661.69%-4.90%
200250.80%-1.22%$12,294$9,3510.80%-1.22%
200260.29%-7.06%$12,330$8,6900.29%-7.06%
200270.48%-8.02%$12,390$7,9930.48%-8.02%
200281.66%0.53%$12,595$8,0361.66%0.53%
200291.53%-10.07%$12,788$7,2271.53%-10.07%
200210-0.61%7.65%$12,710$7,779-0.61%7.65%
2002110.02%6.06%$12,713$8,2510.02%6.06%
2002122.07%-5.57%$12,976$7,7922.07%-5.57%
200310.05%-2.54%$12,983$7,5940.05%-2.54%
200321.38%-1.69%$13,161$7,4651.38%-1.69%
20033-0.13%1.09%$13,145$7,547-0.13%1.09%
200340.87%8.21%$13,259$8,1660.87%8.21%
200351.82%6.11%$13,500$8,6651.82%6.11%
20036-0.13%1.43%$13,482$8,789-0.13%1.43%
20037-3.34%2.36%$13,032$8,996-3.34%2.36%
200380.61%2.39%$13,112$9,2110.61%2.39%
200392.71%-1.15%$13,467$9,1052.71%-1.15%
200310-0.96%6.12%$13,338$9,662-0.96%6.12%
2003110.27%1.38%$13,374$9,7960.27%1.38%
2003120.88%4.48%$13,492$10,2350.88%4.48%
200410.86%2.23%$13,608$10,4630.86%2.23%
200421.03%1.43%$13,748$10,6131.03%1.43%
200430.80%-1.07%$13,858$10,4990.80%-1.07%
20044-2.61%-2.11%$13,496$10,278-2.61%-2.11%
20045-0.43%1.35%$13,438$10,416-0.43%1.35%
200460.56%2.09%$13,513$10,6330.56%2.09%
200470.96%-3.80%$13,643$10,2290.96%-3.80%
200481.94%0.31%$13,908$10,2611.94%0.31%
200490.16%1.74%$13,931$10,4390.16%1.74%
2004100.85%1.68%$14,049$10,6140.85%1.68%
200411-0.81%4.68%$13,936$11,111-0.81%4.68%
2004120.92%3.63%$14,063$11,5150.92%3.63%
200510.65%-2.68%$14,155$11,2070.65%-2.68%
20052-0.63%2.07%$14,067$11,439-0.63%2.07%
20053-0.49%-1.75%$13,997$11,239-0.49%-1.75%
200541.35%-2.32%$14,187$10,9781.35%-2.32%
200551.05%3.77%$14,336$11,3921.05%3.77%
200560.55%0.81%$14,416$11,4850.55%0.81%
20057-0.99%4.11%$14,272$11,956-0.99%4.11%
200581.36%-0.94%$14,466$11,8431.36%-0.94%
20059-1.10%0.86%$14,307$11,945-1.10%0.86%
200510-0.81%-1.86%$14,191$11,722-0.81%-1.86%
2005110.48%3.97%$14,259$12,1880.48%3.97%
2005120.99%0.14%$14,400$12,2040.99%0.14%
20061-0.11%3.50%$14,385$12,631-0.11%3.50%
200620.37%0.00%$14,439$12,6310.37%0.00%
20063-1.00%1.80%$14,294$12,859-1.00%1.80%
20064-0.21%1.11%$14,265$13,002-0.21%1.11%
20065-0.09%-3.23%$14,251$12,581-0.09%-3.23%
200660.10%0.17%$14,266$12,6030.10%0.17%
200671.35%-0.13%$14,458$12,5861.35%-0.13%
200681.64%2.31%$14,696$12,8771.64%2.31%
200690.81%2.27%$14,815$13,1690.81%2.27%
2006100.72%3.53%$14,921$13,6340.72%3.53%
2006111.11%2.23%$15,087$13,9391.11%2.23%
200612-0.48%1.13%$15,015$14,097-0.48%1.13%
20071-0.08%1.88%$15,003$14,362-0.08%1.88%
200721.50%-1.61%$15,228$14,1301.50%-1.61%
200730.02%1.11%$15,232$14,2870.02%1.11%
200740.51%4.01%$15,310$14,8600.51%4.01%
20075-0.78%3.69%$15,191$15,408-0.78%3.69%
20076-0.39%-1.67%$15,132$15,150-0.39%-1.67%
200770.84%-3.41%$15,259$14,6340.84%-3.41%
200781.34%1.45%$15,464$14,8461.34%1.45%
200790.72%3.59%$15,575$15,3790.72%3.59%
2007100.93%1.85%$15,719$15,6640.93%1.85%
2007111.91%-4.49%$16,019$14,9611.91%-4.49%
2007120.22%-0.60%$16,054$14,8710.22%-0.60%
200811.69%-6.08%$16,325$13,9671.69%-6.08%
200820.19%-3.07%$16,356$13,5380.19%-3.07%
200830.30%-0.58%$16,405$13,4590.30%-0.58%
20084-0.30%5.02%$16,355$14,135-0.30%5.02%
20085-0.79%2.09%$16,227$14,430-0.79%2.09%
20086-0.01%-8.19%$16,226$13,248-0.01%-8.19%
200870.00%-0.77%$16,226$13,1460.00%-0.77%
200880.70%1.58%$16,339$13,3540.70%1.58%
20089-1.10%-9.26%$16,159$12,117-1.10%-9.26%
200810-2.53%-17.63%$15,749$9,981-2.53%-17.63%
2008113.64%-7.90%$16,323$9,1923.64%-7.90%
2008123.32%1.86%$16,865$9,3633.32%1.86%
20091-0.70%-8.26%$16,748$8,590-0.70%-8.26%
20092-0.42%-10.45%$16,677$7,692-0.42%-10.45%
200931.48%8.65%$16,924$8,3581.48%8.65%
200940.36%10.61%$16,984$9,2440.36%10.61%
200950.85%5.38%$17,128$9,7420.85%5.38%
200960.54%0.34%$17,221$9,7750.54%0.34%
200971.43%7.82%$17,467$10,5401.43%7.82%
200981.01%3.63%$17,644$10,9221.01%3.63%
200991.19%4.23%$17,853$11,3841.19%4.23%
2009100.41%-2.57%$17,927$11,0910.41%-2.57%
2009111.36%5.63%$18,171$11,7151.36%5.63%
200912-1.68%2.86%$17,866$12,050-1.68%2.86%
201011.57%-3.50%$18,147$11,6291.57%-3.50%
201020.20%3.36%$18,182$12,0190.20%3.36%
20103-0.08%6.27%$18,168$12,773-0.08%6.27%
201041.06%2.17%$18,361$13,0511.06%2.17%
201050.87%-8.00%$18,521$12,0060.87%-8.00%
201061.61%-5.66%$18,819$11,3271.61%-5.66%
201070.94%6.99%$18,995$12,1190.94%6.99%
201081.48%-4.75%$19,276$11,5431.48%-4.75%
20109-0.01%9.47%$19,274$12,636-0.01%9.47%
2010100.36%3.94%$19,344$13,1350.36%3.94%
201011-0.57%0.58%$19,234$13,210-0.57%0.58%
201012-1.15%6.81%$19,013$14,110-1.15%6.81%
201110.08%2.19%$19,029$14,4180.08%2.19%
201120.16%3.60%$19,060$14,9370.16%3.60%
20113-0.01%0.45%$19,059$15,004-0.01%0.45%
201141.32%2.99%$19,310$15,4531.32%2.99%
201151.30%-1.16%$19,562$15,2731.30%-1.16%
20116-0.39%-1.79%$19,486$15,000-0.39%-1.79%
201171.58%-2.28%$19,793$14,6581.58%-2.28%
201181.46%-5.99%$20,083$13,7791.46%-5.99%
201190.89%-7.75%$20,262$12,7110.89%-7.75%
2011100.16%11.51%$20,294$14,1730.16%11.51%
201111-0.30%-0.29%$20,233$14,133-0.30%-0.29%
2011121.08%0.80%$20,450$14,2461.08%0.80%
201210.87%5.08%$20,629$14,9690.87%5.08%
20122-0.05%4.26%$20,619$15,607-0.05%4.26%
20123-0.58%3.07%$20,499$16,085-0.58%3.07%
201241.14%-0.65%$20,733$15,9801.14%-0.65%
201250.95%-6.24%$20,929$14,9840.95%-6.24%
201260.04%3.91%$20,937$15,5690.04%3.91%
201271.39%1.03%$21,227$15,7301.39%1.03%
201280.03%2.48%$21,234$16,1210.03%2.48%
201290.11%2.58%$21,257$16,5360.11%2.58%
2012100.11%-1.76%$21,280$16,2450.11%-1.76%
2012110.19%0.74%$21,321$16,3650.19%0.74%
201212-0.20%1.19%$21,278$16,561-0.20%1.19%
20131-0.71%5.50%$21,127$17,472-0.71%5.50%
201320.54%1.28%$21,241$17,6950.54%1.28%
201330.08%3.88%$21,259$18,3820.08%3.88%
201340.91%1.70%$21,453$18,6940.91%1.70%
20135-1.71%2.32%$21,086$19,128-1.71%2.32%
20136-1.65%-1.27%$20,738$18,885-1.65%-1.27%
201370.20%5.49%$20,778$19,9210.20%5.49%
20138-0.64%-2.82%$20,645$19,358-0.64%-2.82%
201390.96%3.66%$20,844$20,0670.96%3.66%
2013100.78%4.22%$21,006$20,9150.78%4.22%
201311-0.35%2.88%$20,932$21,518-0.35%2.88%
201312-0.65%2.63%$20,797$22,084-0.65%2.63%
201411.54%-3.11%$21,118$21,3981.54%-3.11%
201420.48%4.73%$21,219$22,4100.48%4.73%
20143-0.15%0.51%$21,187$22,525-0.15%0.51%
201440.77%0.06%$21,351$22,5400.77%0.06%
201451.05%2.17%$21,575$23,0291.05%2.17%
201460.11%2.54%$21,598$23,6140.11%2.54%
20147-0.26%-1.98%$21,543$23,146-0.26%-1.98%
201481.13%4.18%$21,786$24,1141.13%4.18%
20149-0.72%-2.14%$21,629$23,599-0.72%-2.14%
2014100.94%2.74%$21,832$24,2460.94%2.74%
2014110.65%2.41%$21,975$24,8300.65%2.41%
2014120.09%-0.01%$21,994$24,8290.09%-0.01%
201512.31%-2.77%$22,503$24,1402.31%-2.77%
20152-1.08%5.76%$22,259$25,531-1.08%5.76%
201530.41%-1.04%$22,350$25,2670.41%-1.04%
20154-0.36%0.42%$22,269$25,373-0.36%0.42%
20155-0.45%1.39%$22,169$25,726-0.45%1.39%
20156-1.01%-1.71%$21,945$25,286-1.01%-1.71%
201570.76%1.63%$22,112$25,6990.76%1.63%
20158-0.36%-6.03%$22,034$24,150-0.36%-6.03%
201590.76%-2.93%$22,200$23,4420.76%-2.93%
2015100.01%7.84%$22,203$25,2800.01%7.84%
201511-0.27%0.54%$22,144$25,417-0.27%0.54%
201512-0.38%-2.03%$22,060$24,902-0.38%-2.03%
201611.43%-5.67%$22,375$23,4891.43%-5.67%
201620.66%-0.04%$22,523$23,4790.66%-0.04%
201630.94%7.01%$22,735$25,1260.94%7.01%
201640.38%0.63%$22,821$25,2830.38%0.63%
201650.01%1.79%$22,825$25,7360.01%1.79%
201661.94%0.23%$23,267$25,7951.94%0.23%
201670.64%3.95%$23,416$26,8130.64%3.95%
20168-0.17%0.26%$23,377$26,883-0.17%0.26%
20169-0.09%0.15%$23,357$26,923-0.09%0.15%
201610-0.81%-2.21%$23,168$26,327-0.81%-2.21%
201611-2.64%4.44%$22,556$27,495-2.64%4.44%
2016120.24%1.92%$22,611$28,0230.24%1.92%
201710.29%1.91%$22,678$28,5570.29%1.91%
201720.66%3.71%$22,827$29,6170.66%3.71%
20173-0.07%0.07%$22,811$29,637-0.07%0.07%
201740.76%1.05%$22,985$29,9480.76%1.05%
201750.67%1.01%$23,139$30,2490.67%1.01%
201760.01%0.92%$23,142$30,5280.01%0.92%
201770.39%1.87%$23,232$31,0980.39%1.87%
201780.85%0.15%$23,430$31,1430.85%0.15%
20179-0.54%2.45%$23,304$31,907-0.54%2.45%
2017100.11%2.16%$23,330$32,5960.11%2.16%
201711-0.17%3.04%$23,290$33,588-0.17%3.04%
2017120.44%0.99%$23,394$33,9220.44%0.99%
20181-1.09%5.31%$23,138$35,722-1.09%5.31%
20182-1.03%-3.72%$22,900$34,395-1.03%-3.72%
201830.63%-1.99%$23,043$33,7090.63%-1.99%
20184-0.83%0.38%$22,852$33,837-0.83%0.38%
201850.61%2.79%$22,991$34,7810.61%2.79%
201860.03%0.68%$22,998$35,0170.03%0.68%
201870.03%3.34%$23,005$36,1860.03%3.34%
201880.52%3.44%$23,124$37,4310.52%3.44%
20189-0.54%0.16%$22,999$37,491-0.54%0.16%
201810-0.73%-7.40%$22,831$34,716-0.73%-7.40%
2018110.53%2.06%$22,951$35,4320.53%2.06%
2018121.80%-9.29%$23,364$32,1391.80%-9.29%
201911.01%8.59%$23,599$34,8981.01%8.59%
20192-0.06%3.50%$23,584$36,120-0.06%3.50%
201931.96%1.44%$24,046$36,6391.96%1.44%
201940.04%3.98%$24,056$38,0960.04%3.98%
201951.83%-6.45%$24,496$35,6391.83%-6.45%
201961.15%6.97%$24,779$38,1231.15%6.97%
201970.23%1.44%$24,835$38,6710.23%1.44%
201982.78%-2.03%$25,526$37,8882.78%-2.03%
20199-0.60%1.70%$25,374$38,534-0.60%1.70%
2019100.21%2.10%$25,428$39,3410.21%2.10%
201911-0.06%3.77%$25,412$40,825-0.06%3.77%
201912-0.15%2.85%$25,375$41,989-0.15%2.85%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%37.62%
Large-cap Growth2.08%43.57%
Mid-cap Value0.00%4.34%
Mid-cap Growth0.00%7.91%
Small-cap Value0.00%2.75%
Small-cap Growth0.00%2.83%
Global ex-US Developed Markets0.00%0.44%
Emerging Markets1.76%0.54%
Corporate Bonds13.68%0.00%
Long-Term Treasuries2.84%0.00%
Intermediate-Term Treasuries29.20%0.00%
Short-Term Treasuries50.45%0.00%
R Squared91.27%99.88%
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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%0.15%6.56$15,375100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%25.00$31,989100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2020. (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 2
Arithmetic Mean (monthly)0.38%0.66%
Arithmetic Mean (annualized)4.59%8.27%
Geometric Mean (monthly)0.37%0.57%
Geometric Mean (annualized)4.53%7.07%
Volatility (monthly)0.99%4.29%
Volatility (annualized)3.42%14.87%
Downside Deviation (monthly)0.53%2.97%
Max. Drawdown-3.99%-50.89%
US Market Correlation-0.091.00
Beta(*)-0.021.00
Alpha (annualized)4.67%0.00%
R20.83%100.00%
Sharpe Ratio0.790.41
Sortino Ratio1.310.58
Treynor Ratio (%)-129.136.17
Calmar Ratio1.531.01
Active Return-2.54%0.00%
Tracking Error15.56%0.00%
Information Ratio-0.160.01
Skewness-0.22-0.65
Excess Kurtosis1.211.09
Historical Value-at-Risk (5%)-1.10%-7.94%
Analytical Value-at-Risk (5%)-1.25%-6.39%
Conditional Value-at-Risk (5%)-1.92%-9.79%
Upside Capture Ratio (%)8.32100.00
Downside Capture Ratio (%)-14.15100.00
Safe Withdrawal Rate6.27%5.56%
Perpetual Withdrawal Rate2.27%4.58%
Positive Periods168 out of 252 (66.67%)162 out of 252 (64.29%)
Gain/Loss Ratio1.340.81
* 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
Dotcom CrashMar 2000Oct 2002-1.91%-44.11%
Subprime CrisisNov 2007Mar 2009-3.99%-50.89%

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 monthsMay 20149 months1 year 1 month-3.76%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
4Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
5Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
6Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
7Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
8Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
9Nov 2001Dec 20012 monthsMay 20025 months7 months-1.91%
10Sep 2005Oct 20052 monthsAug 200610 months1 year-1.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
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 Inv4.53%3.42%11.39%-2.26%-3.99%0.791.31-0.09
VTSMXVanguard Total Stock Mkt Idx Inv7.07%14.87%33.35%-37.04%-50.89%0.410.581.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBMFXVTSMXPortfolio 1Portfolio 2
VBMFXVanguard Total Bond Market Index Inv1.00-0.091.00-0.09
VTSMXVanguard Total Stock Mkt Idx Inv-0.091.00-0.091.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBMFXVanguard Total Bond Market Index Inv$15,375
VTSMXVanguard Total Stock Mkt Idx Inv$31,989

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBMFXVanguard Total Bond Market Index Inv100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.59%11.39%-2.26%8.72%33.35%-37.04%
3 years4.57%9.35%1.21%6.77%20.34%-14.31%
5 years4.46%7.22%1.91%7.16%18.72%-1.76%
7 years4.47%6.09%1.92%7.26%15.00%-0.73%
10 years4.65%6.06%3.31%6.55%13.30%-0.66%
15 years4.46%5.45%3.73%7.17%10.30%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods