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 4
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Asset 5
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Asset 6
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Asset 8
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Asset 9
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Asset 10
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Asset 11
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Asset 12
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Portfolio Analysis Results (Jan 2000 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VGTSX Vanguard Total Intl Stock Index Inv 15.00%
VBMFX Vanguard Total Bond Market Index Inv 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 25.00%
VFINX Vanguard 500 Index Investor 15.00%
DFLVX DFA US Large Cap Value I 15.00%
DFSCX DFA US Micro Cap I 15.00%
DFSVX DFA US Small Cap Value I 15.00%
DFALX DFA Large Cap International I 3.75%
DFIVX DFA International Value I 3.75%
DFISX DFA International Small Company I 3.75%
DISVX DFA International Small Cap Value I 3.75%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,464,252 28.32% 5.98%8.16%11.00%25.86%-27.57%-40.02%
(-29.74%)
0.430.610.99
Portfolio 2$10,000$1,463,655 28.31% 7.81%8.15%12.26%36.40%-27.94%-43.80%
(-32.60%)
0.540.780.95
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 16.87%23.76%11.27%8.35%9.78%5.98%
Portfolio 26.99%19.59%7.30%6.72%9.50%7.81%
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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual contribution of $25,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard 500 Index Investor (VFINX)DFA US Large Cap Value I (DFLVX)DFA US Micro Cap I (DFSCX)DFA US Small Cap Value I (DFSVX)DFA Large Cap International I (DFALX)DFA International Value I (DFIVX)DFA International Small Company I (DFISX)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20003.39%-5.84%2.98%$35,263$36,145$25,847-10.57%-15.61%11.39%-9.06%10.22%-3.60%9.01%-13.98%-0.16%-5.41%-3.08%
20011.55%-7.50%5.77%$58,867$64,480$26,248-10.97%-20.15%8.43%-12.02%3.84%22.77%22.65%-20.83%-15.26%-10.52%-4.59%
20022.38%-12.77%-7.45%$78,219$86,545$26,872-20.96%-15.08%8.26%-22.15%-14.92%-13.27%-9.27%-14.62%-8.52%1.91%5.79%
20031.88%25.86%36.40%$125,821$145,420$27,37731.35%40.34%3.97%28.50%34.42%60.72%59.40%36.70%49.93%58.78%66.48%
20043.26%11.69%16.22%$168,801$197,281$28,26812.51%20.84%4.24%10.74%18.25%18.39%25.39%18.81%28.80%30.92%34.80%
20053.42%6.52%7.64%$209,045$241,596$29,2345.98%15.57%2.40%4.77%10.24%5.69%7.79%13.47%15.27%21.96%23.23%
20062.54%14.37%16.31%$269,060$310,972$29,97615.51%26.64%4.27%15.64%20.18%16.16%21.55%24.86%34.15%24.88%28.39%
20074.08%7.35%0.90%$320,042$344,976$31,2005.49%15.52%6.92%5.39%-2.76%-5.22%-10.75%12.43%10.24%5.66%2.95%
20080.09%-27.57%-27.94%$263,020$279,833$31,228-37.04%-44.10%5.05%-37.02%-40.80%-36.72%-36.79%-41.44%-46.33%-43.87%-41.68%
20092.72%24.21%24.92%$358,779$381,648$32,07828.70%36.73%5.93%26.49%30.19%28.06%33.62%30.64%39.45%41.96%39.51%
20101.50%13.53%18.52%$439,878$484,871$32,55817.09%11.12%6.42%14.91%20.17%31.29%30.90%9.25%10.57%23.91%18.10%
20112.96%0.28%-2.23%$474,641$507,588$33,5220.96%-14.56%7.56%1.97%-3.14%-3.25%-7.55%-12.28%-16.85%-15.35%-17.46%
20121.74%13.49%15.52%$572,753$620,464$34,10616.25%18.14%4.05%15.82%22.05%18.24%21.72%17.75%16.61%18.86%22.26%
20131.50%21.70%27.31%$731,663$824,549$34,61833.35%15.04%-2.26%32.18%40.32%45.06%42.38%20.69%23.12%27.44%32.39%
20140.76%8.26%5.05%$826,989$901,103$34,88012.43%-4.24%5.76%13.51%10.07%2.92%3.48%-5.24%-6.99%-6.30%-4.99%
20150.73%-0.41%-1.95%$858,772$918,664$35,1340.29%-4.37%0.30%1.25%-3.49%-3.62%-7.81%-2.86%-6.31%5.91%3.99%
20162.07%8.84%14.27%$970,571$1,085,590$35,86312.53%4.65%2.50%11.82%18.89%25.63%28.26%3.16%8.41%5.80%8.00%
20172.11%17.61%13.83%$1,178,066$1,272,366$36,62021.05%27.40%3.46%21.67%18.97%11.18%7.21%25.37%26.09%30.24%27.98%
20181.91%-5.35%-9.25%$1,152,336$1,191,928$37,319-5.26%-14.44%-0.13%-4.52%-11.65%-11.60%-15.13%-14.14%-17.49%-19.42%-23.31%
20192.29%23.76%19.59%$1,464,252$1,463,655$38,17230.65%21.43%8.61%31.33%25.45%20.66%18.12%22.04%15.67%24.20%21.00%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard 500 Index Investor (VFINX)DFA US Large Cap Value I (DFLVX)DFA US Micro Cap I (DFSCX)DFA US Small Cap Value I (DFSVX)DFA Large Cap International I (DFALX)DFA International Value I (DFIVX)DFA International Small Company I (DFISX)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20001-3.49%-1.69%$9,651$9,831-4.18%-6.22%-0.17%-5.03%-7.05%5.95%-0.75%-6.78%-7.72%-0.22%-1.56%
200022.23%3.91%$9,867$10,2162.54%2.83%1.18%-1.91%-8.98%23.58%9.28%2.16%-2.49%1.20%-2.44%
200034.27%2.61%$10,288$10,4825.69%3.48%1.40%9.76%14.14%-7.51%0.30%4.04%5.48%2.92%3.87%
20004-4.06%-3.66%$9,870$10,099-5.21%-5.41%-0.49%-3.01%2.99%-12.51%-3.51%-5.14%-2.58%-8.10%-6.25%
20005-2.46%-2.24%$9,627$9,873-3.41%-2.67%-0.16%-2.04%-0.22%-8.08%-4.16%-2.10%1.85%0.34%1.54%
200063.80%3.66%$9,992$10,2344.42%4.27%2.15%2.49%-6.96%13.68%4.98%3.76%6.99%8.32%8.71%
20007-1.58%-0.50%$9,835$10,183-1.95%-4.46%0.88%-1.49%4.38%-3.22%-0.10%-4.03%-3.27%-4.21%-3.72%
200084.84%4.92%$10,310$10,6837.28%1.00%1.40%6.19%5.84%9.25%7.40%0.89%0.84%2.64%1.81%
20009-3.32%-1.95%$9,968$10,474-4.67%-5.00%0.76%-5.29%-1.61%-2.17%-1.85%-4.78%-2.89%-3.32%-3.20%
200010-1.47%-1.62%$9,822$10,305-2.04%-3.03%0.57%-0.43%3.94%-7.06%-3.78%-2.46%-0.79%-6.20%-5.26%
200011-6.04%-3.83%$9,228$9,911-9.90%-4.44%1.58%-7.88%-3.27%-11.10%-5.44%-3.19%-0.08%0.24%1.29%
2000122.04%3.91%$35,263$36,1451.78%3.72%1.79%0.50%9.23%1.89%7.73%3.47%5.51%1.94%3.10%
200112.90%5.48%$36,286$38,1263.83%1.10%1.76%3.55%4.91%13.80%10.31%-0.45%0.16%1.68%2.75%
20012-6.60%-2.93%$33,893$37,011-9.41%-7.61%0.91%-9.14%-0.06%-7.02%-1.92%-7.12%-3.05%-0.82%1.02%
20013-4.84%-3.20%$32,251$35,827-6.72%-7.15%0.54%-6.36%-3.09%-4.80%-2.46%-6.38%-6.05%-5.94%-5.18%
200145.69%4.85%$34,086$37,5668.16%7.89%-0.46%7.77%5.96%7.31%6.12%6.55%5.21%7.20%7.46%
200150.28%3.12%$34,181$38,7391.01%-3.52%0.73%0.65%2.87%9.60%6.16%-3.20%-0.76%0.71%0.50%
20016-1.37%0.56%$33,714$38,955-1.64%-3.84%0.52%-2.45%-1.18%3.59%3.74%-3.88%-1.93%-1.64%-0.86%
20017-0.74%-0.65%$33,465$38,702-1.71%-2.43%2.23%-1.00%-0.16%-2.54%-1.63%-1.92%-2.09%-3.21%-2.24%
20018-3.51%-1.82%$32,289$37,999-6.00%-2.30%1.11%-6.27%-4.42%-2.95%-1.34%-2.36%1.43%1.84%2.16%
20019-6.33%-8.56%$30,246$34,746-9.00%-10.73%0.89%-8.09%-11.14%-12.78%-14.56%-9.59%-12.74%-11.70%-10.96%
2001102.37%2.73%$30,964$35,6932.52%2.97%1.86%1.90%-0.06%6.45%3.93%2.67%0.61%3.83%2.80%
2001114.28%4.52%$32,289$37,3067.63%3.56%-1.34%7.65%9.41%6.74%7.81%3.35%3.62%0.92%0.54%
2001121.02%2.48%$58,867$64,4801.78%1.35%-0.58%0.87%2.34%6.72%7.02%0.42%0.42%-2.59%-1.50%
20021-1.27%0.14%$58,121$64,570-1.24%-4.63%0.69%-1.47%1.04%1.10%1.54%-5.24%-2.21%-1.23%-0.99%
20022-0.88%0.02%$57,609$64,582-2.05%0.90%0.85%-1.94%1.28%-2.77%-0.16%0.61%1.13%3.46%3.98%
200233.06%4.41%$59,372$67,4324.38%5.71%-1.46%3.74%4.16%8.84%9.86%5.65%6.21%4.95%4.79%
20024-2.46%0.91%$57,912$68,049-4.90%0.42%1.69%-6.07%-0.91%2.43%4.53%0.29%3.35%3.57%3.92%
20025-0.33%-0.10%$57,724$67,979-1.22%1.16%0.80%-0.75%0.62%-2.73%-3.15%1.51%3.34%5.78%6.28%
20026-4.70%-3.10%$55,011$65,872-7.06%-4.28%0.29%-7.13%-6.08%-3.56%-2.07%-3.69%-2.81%-2.56%-1.77%
20027-5.96%-8.39%$51,730$60,343-8.02%-9.80%0.48%-7.72%-11.10%-14.48%-15.60%-9.14%-10.25%-5.25%-5.29%
200280.76%0.44%$52,125$60,6100.53%-0.12%1.66%0.65%1.62%-0.57%-1.25%-0.24%-0.10%-0.88%-0.25%
20029-6.75%-6.02%$48,607$56,964-10.07%-10.88%1.53%-10.87%-11.13%-6.74%-7.28%-10.41%-11.89%-7.12%-6.62%
2002104.70%2.20%$50,891$58,2177.65%5.70%-0.61%8.78%3.92%2.57%1.62%5.27%2.85%-1.23%-0.95%
2002114.02%4.71%$52,936$60,9616.06%4.75%0.02%5.88%7.07%8.36%8.52%4.40%6.00%2.63%2.20%
200212-3.00%-2.11%$78,219$86,545-5.57%-3.43%2.07%-5.89%-4.55%-4.29%-3.58%-3.11%-2.57%0.67%1.23%
20031-2.08%-1.86%$76,596$84,938-2.54%-3.76%0.05%-2.62%-2.32%-2.23%-3.45%-4.00%-3.37%-0.27%0.27%
20032-1.01%-1.47%$75,820$83,690-1.69%-2.42%1.38%-1.52%-2.93%-2.88%-4.11%-2.44%-1.97%0.55%0.54%
200330.33%-0.04%$76,070$83,6561.09%-1.93%-0.13%0.96%-0.47%1.11%-0.21%-1.95%-2.46%-0.41%-0.94%
200346.51%7.13%$81,022$89,6188.21%9.70%0.87%8.25%9.20%9.28%10.56%9.46%10.95%8.21%9.52%
200355.06%6.99%$85,120$95,8826.11%6.15%1.82%5.26%6.69%11.51%11.72%5.96%7.57%9.23%10.06%
200361.24%2.21%$86,175$98,0011.43%2.66%-0.13%1.26%1.08%4.51%3.65%2.37%3.22%4.51%5.64%
200371.14%2.73%$87,154$100,6732.36%3.18%-3.34%1.74%2.52%7.38%7.04%2.31%4.50%3.43%4.06%
200382.01%3.20%$88,903$103,8992.39%2.51%0.61%1.93%3.55%4.73%5.14%2.26%2.59%5.14%5.54%
200390.31%0.72%$89,183$104,642-1.15%2.78%2.71%-1.07%-2.20%0.09%-0.78%3.05%3.84%5.70%5.64%
2003104.57%5.74%$93,254$110,6536.12%6.49%-0.96%5.64%6.69%8.94%10.00%5.99%7.85%5.39%5.71%
2003111.26%2.17%$94,430$113,0551.38%2.13%0.27%0.86%2.22%4.30%4.16%2.16%2.09%0.55%0.44%
2003124.25%4.41%$125,821$145,4204.48%7.80%0.88%5.22%6.83%2.77%5.33%7.40%7.47%5.66%6.27%
200411.79%2.92%$128,078$149,6732.23%1.60%0.86%1.82%1.69%5.78%4.89%1.29%2.53%5.59%6.10%
200421.49%1.56%$129,988$152,0081.43%2.50%1.03%1.38%2.58%0.50%1.41%2.23%2.99%2.98%3.07%
20043-0.38%0.48%$129,493$152,743-1.07%0.45%0.80%-1.51%-0.40%0.14%0.94%0.75%1.56%4.02%4.20%
20044-2.39%-2.72%$126,396$148,586-2.11%-3.14%-2.61%-1.58%-1.69%-4.09%-3.17%-3.10%-3.01%-3.01%-3.52%
200450.77%0.22%$127,370$148,9111.35%0.46%-0.43%1.36%0.57%0.00%0.38%0.77%0.96%-1.12%-0.99%
200461.76%3.18%$129,611$153,6532.09%2.40%0.56%1.93%2.99%4.41%6.69%2.78%4.14%4.66%4.55%
20047-2.57%-3.29%$126,276$148,595-3.80%-3.34%0.96%-3.31%-3.27%-7.47%-5.33%-3.75%-3.69%-3.65%-3.48%
200480.79%0.24%$127,269$148,9560.31%0.75%1.94%0.38%0.00%-1.52%-1.49%0.65%1.25%0.89%1.23%
200491.52%2.52%$129,206$152,7141.74%2.96%0.16%1.07%3.08%5.01%4.93%1.96%3.19%2.38%2.66%
2004101.71%1.56%$131,411$155,0951.68%3.24%0.85%1.51%1.17%1.84%0.96%3.37%3.83%3.21%3.26%
2004113.71%5.42%$136,286$163,5054.68%7.23%-0.81%4.05%6.55%8.97%10.00%6.33%7.37%7.21%8.75%
2004123.12%3.37%$168,801$197,2813.63%4.44%0.92%3.39%3.99%4.58%3.62%4.52%4.98%4.71%5.16%
20051-1.69%-1.64%$165,945$194,042-2.68%-1.67%0.65%-2.45%-2.49%-4.10%-3.57%-1.78%-1.04%2.37%2.79%
200521.77%1.77%$168,886$197,4772.07%4.68%-0.63%2.09%3.02%0.83%2.70%3.86%3.95%4.43%4.74%
20053-1.62%-1.48%$166,157$194,560-1.75%-2.93%-0.49%-1.76%-0.26%-3.23%-1.95%-2.36%-2.50%-1.76%-0.94%
20054-1.35%-2.79%$163,907$189,122-2.32%-2.07%1.35%-1.91%-3.44%-6.22%-7.28%-2.02%-3.05%-2.39%-1.95%
200552.51%3.02%$168,014$194,8313.77%0.08%1.05%3.17%4.28%6.03%6.65%-0.63%0.13%-1.70%-1.49%
200560.82%2.02%$169,387$198,7670.81%1.30%0.55%0.13%2.03%4.52%4.17%1.44%1.58%2.52%2.35%
200572.74%3.78%$174,029$206,2844.11%3.68%-0.99%3.71%4.96%7.63%7.11%3.04%4.45%3.61%3.80%
200580.19%0.18%$174,361$206,651-0.94%2.85%1.36%-0.91%-0.83%-1.39%-1.67%3.68%3.30%4.41%3.90%
200590.96%0.71%$176,041$208,1270.86%4.73%-1.10%0.79%1.54%0.61%0.80%3.31%2.79%2.39%2.34%
200510-1.85%-2.03%$172,791$203,900-1.86%-3.37%-0.81%-1.68%-2.68%-2.81%-2.92%-2.20%-1.53%-1.98%-2.32%
2005112.91%2.86%$177,812$209,7303.97%2.67%0.48%3.76%3.98%4.53%4.21%1.55%1.79%1.95%1.86%
2005121.12%1.25%$209,045$241,5960.14%5.14%0.99%0.02%0.13%0.18%0.34%5.22%4.86%6.65%6.44%
200613.10%4.78%$215,533$253,1533.50%6.87%-0.11%2.65%4.74%9.14%8.82%5.84%6.81%6.91%7.33%
20062-0.02%0.05%$215,486$253,2900.00%-0.72%0.37%0.26%-0.35%0.25%-0.35%-0.67%0.93%-0.63%0.21%
200631.33%2.52%$218,358$259,6801.80%3.17%-1.00%1.23%1.76%4.55%6.09%3.69%4.21%4.61%4.77%
200641.43%1.38%$221,477$263,2741.11%5.12%-0.21%1.33%2.82%-0.41%0.98%4.85%5.03%4.73%4.15%
20065-2.70%-3.05%$215,502$255,249-3.23%-4.45%-0.09%-2.90%-1.86%-5.89%-4.39%-3.62%-4.04%-5.04%-4.80%
200660.07%-0.14%$215,645$254,8790.17%-0.38%0.10%0.13%0.87%-0.89%0.05%-0.39%-0.69%-1.92%-1.86%
200670.43%-0.88%$216,570$252,628-0.13%1.15%1.35%0.61%-1.45%-3.45%-3.75%1.07%1.55%-1.08%-0.36%
200682.19%2.14%$221,302$258,0392.31%2.53%1.64%2.36%1.61%2.78%1.95%2.63%3.40%2.65%2.55%
200691.59%1.38%$224,823$261,6052.27%0.25%0.81%2.56%2.76%0.56%1.19%-0.04%1.40%0.74%0.95%
2006102.93%3.56%$231,416$270,9143.53%4.00%0.72%3.25%3.96%5.45%5.43%3.84%4.42%3.97%4.39%
2006112.21%2.26%$236,531$277,0302.23%3.73%1.11%1.89%1.89%2.25%3.03%2.96%3.27%4.52%4.83%
2006121.08%1.43%$269,060$310,9721.13%3.09%-0.48%1.39%2.01%1.61%1.38%2.64%3.89%3.64%3.75%
200711.25%1.46%$272,424$315,5181.88%0.96%-0.08%1.49%2.89%1.15%2.20%1.28%1.86%2.80%2.67%
20072-0.59%-0.13%$270,806$315,095-1.61%0.06%1.50%-1.97%-1.50%-0.50%-0.23%0.29%-0.08%1.41%1.81%
200731.09%1.12%$273,756$318,6261.11%2.80%0.02%1.11%0.66%1.02%1.09%2.77%3.21%3.74%4.35%
200743.13%2.48%$282,311$326,5434.01%3.92%0.51%4.42%4.24%1.50%1.81%3.53%5.02%3.31%2.97%
200752.51%2.38%$289,402$334,3153.69%3.09%-0.78%3.48%4.10%3.15%3.65%3.10%3.41%2.04%1.91%
20076-1.02%-0.94%$286,465$331,172-1.67%0.61%-0.39%-1.68%-1.62%-0.33%-1.55%-0.19%-0.73%-0.16%-0.42%
20077-2.03%-3.54%$280,637$319,457-3.41%-1.06%0.84%-3.08%-6.21%-6.51%-7.64%-1.89%-2.79%0.05%-0.25%
200781.08%-0.07%$283,668$319,2271.45%-0.72%1.34%1.50%-1.91%1.16%-0.76%-0.69%-1.16%-3.86%-4.10%
200793.33%1.90%$293,108$325,2983.59%6.38%0.72%3.72%2.58%1.48%-0.28%5.46%5.20%2.20%2.08%
2007102.28%1.72%$299,799$330,8801.85%5.90%0.93%1.58%0.54%1.70%1.11%4.46%4.82%5.40%3.94%
200711-3.00%-4.49%$290,811$316,034-4.49%-4.57%1.91%-4.19%-5.60%-8.42%-8.72%-3.57%-6.08%-7.31%-8.12%
200712-0.68%-0.71%$320,042$344,976-0.60%-2.28%0.22%-0.70%-0.32%-0.06%-1.20%-2.33%-2.18%-3.34%-3.12%
20081-4.51%-3.91%$305,615$331,473-6.08%-8.55%1.69%-6.02%-3.84%-7.65%-3.94%-7.57%-8.10%-7.61%-6.60%
20082-1.71%-1.65%$300,374$326,013-3.07%0.33%0.19%-3.25%-3.09%-3.14%-2.84%-0.08%-1.30%2.53%2.19%
20083-0.36%0.12%$299,284$326,396-0.58%-0.71%0.30%-0.44%-0.93%0.31%0.84%-0.35%1.20%0.13%0.93%
200843.69%2.57%$310,324$334,8015.02%5.85%-0.30%4.85%6.27%2.07%1.66%5.29%4.44%2.13%1.70%
200851.25%1.78%$314,201$340,7632.09%1.51%-0.79%1.29%2.38%3.98%4.14%2.10%0.04%2.64%2.20%
20086-6.20%-7.01%$294,707$316,859-8.19%-8.99%-0.01%-8.44%-10.96%-9.05%-10.10%-7.96%-9.93%-7.40%-8.74%
20087-0.98%0.07%$291,823$317,086-0.77%-3.67%0.00%-0.83%-1.12%4.48%2.07%-3.64%-2.83%-4.81%-4.44%
200880.39%1.25%$292,974$321,0401.58%-5.10%0.70%1.45%1.96%3.38%4.15%-4.27%-4.22%-3.94%-3.22%
20089-7.51%-6.84%$270,985$299,070-9.26%-13.09%-1.10%-8.91%-9.00%-7.37%-6.89%-12.16%-11.67%-15.16%-14.39%
200810-13.70%-15.63%$233,855$252,333-17.63%-22.09%-2.53%-16.79%-22.53%-20.71%-22.14%-21.08%-25.09%-23.42%-21.76%
200811-3.85%-5.35%$224,862$238,842-7.90%-6.29%3.64%-7.17%-9.81%-12.84%-12.99%-6.01%-6.14%-5.16%-5.55%
2008123.08%4.09%$263,020$279,8331.86%8.16%3.32%1.07%3.25%5.66%5.25%7.01%7.48%8.21%9.09%
20091-6.92%-8.69%$244,815$255,507-8.26%-11.96%-0.70%-8.41%-11.86%-11.91%-14.28%-11.23%-13.77%-7.90%-8.43%
20092-7.65%-9.00%$226,081$232,514-10.45%-9.58%-0.42%-10.66%-14.04%-13.11%-12.71%-10.06%-12.28%-9.11%-10.99%
200936.68%6.95%$241,190$248,6638.65%9.31%1.48%8.76%9.83%9.58%10.40%7.69%10.86%6.62%6.52%
200948.11%11.17%$260,753$276,43310.61%12.78%0.36%9.56%16.18%17.39%19.66%11.37%18.36%13.25%16.21%
200955.56%5.34%$275,254$291,1845.38%14.35%0.85%5.62%7.67%3.43%3.22%13.97%14.87%14.89%13.77%
200960.12%0.35%$275,591$292,2150.34%-1.32%0.54%0.22%-1.21%2.76%0.35%-1.39%-1.50%1.05%-0.33%
200976.60%7.86%$293,789$315,1957.82%9.96%1.43%7.58%9.43%9.82%13.44%9.60%11.83%7.50%9.31%
200983.00%4.02%$302,605$327,8503.63%3.50%1.01%3.60%6.80%2.73%5.14%3.91%5.68%6.35%8.66%
200993.69%4.16%$313,762$341,4954.23%5.15%1.19%3.72%4.35%5.76%6.33%4.26%5.14%5.32%4.71%
200910-1.84%-3.68%$307,988$328,943-2.57%-2.17%0.41%-1.87%-4.30%-7.27%-7.53%-2.59%-4.02%-1.82%-3.62%
2009114.36%3.16%$321,429$339,3305.63%3.86%1.36%5.98%5.63%1.78%3.11%3.72%2.92%1.36%0.54%
2009121.64%3.02%$358,779$381,6482.86%1.53%-1.68%1.95%2.70%8.69%7.92%1.19%1.17%0.97%1.17%
20101-2.47%-1.96%$349,933$374,185-3.50%-5.07%1.57%-3.60%-2.34%-2.94%-3.16%-5.17%-5.81%-1.55%-1.92%
201022.08%2.71%$357,203$384,3303.36%0.22%0.20%3.09%4.32%4.39%6.15%0.67%0.31%-0.14%-0.95%
201034.71%5.69%$374,032$406,1996.27%6.71%-0.08%6.01%7.80%8.08%8.86%6.30%7.97%7.14%8.12%
201041.33%3.35%$379,024$419,7992.17%-1.71%1.06%1.58%3.16%7.27%8.11%-1.95%-1.73%1.54%1.26%
20105-6.24%-6.80%$355,385$391,253-8.00%-10.78%0.87%-8.01%-8.56%-7.42%-9.90%-10.90%-11.77%-11.83%-13.46%
20106-3.15%-4.45%$344,177$373,848-5.66%-1.17%1.61%-5.24%-7.56%-7.24%-10.14%-1.63%-1.74%-0.23%-2.01%
201075.79%6.23%$364,108$397,1366.99%10.33%0.94%7.00%7.82%7.14%8.69%10.32%12.47%9.14%9.73%
20108-2.90%-4.28%$353,560$380,130-4.75%-3.22%1.48%-4.53%-6.11%-7.98%-8.38%-3.44%-4.94%-2.98%-4.67%
201097.01%7.96%$378,342$410,3869.47%10.41%-0.01%8.92%9.80%12.16%12.93%9.84%10.71%11.00%11.23%
2010102.97%3.02%$389,570$422,7993.94%3.55%0.36%3.79%3.68%4.34%4.17%3.63%3.55%3.93%3.13%
201011-0.47%0.56%$387,755$425,1740.58%-4.52%-0.57%0.00%-0.75%4.24%4.49%-4.38%-5.11%-2.79%-2.85%
2010125.05%6.38%$439,878$484,8716.81%8.34%-1.15%6.67%9.72%8.19%9.18%8.03%9.37%10.92%12.32%
201111.44%1.11%$446,200$490,2552.19%0.70%0.08%2.36%3.23%-1.09%0.31%2.26%4.24%1.22%2.09%
201122.62%3.68%$457,881$508,3043.60%2.71%0.16%3.42%5.39%5.87%6.28%3.93%3.29%3.05%2.90%
201130.21%0.69%$458,837$511,8260.45%-0.43%-0.01%0.03%0.45%3.25%2.05%-2.29%-2.76%-0.16%0.50%
201142.92%2.34%$472,242$523,8232.99%5.24%1.32%2.95%2.51%1.68%1.26%5.72%5.32%4.75%4.30%
20115-0.84%-1.34%$468,289$516,796-1.16%-2.87%1.30%-1.15%-1.42%-1.92%-3.12%-2.84%-3.61%-2.78%-3.43%
20116-1.41%-1.49%$461,697$509,089-1.79%-1.51%-0.39%-1.67%-1.82%-2.16%-1.81%-1.42%-1.40%-2.03%-2.18%
20117-1.23%-1.77%$456,020$500,060-2.28%-1.53%1.58%-2.05%-4.57%-2.69%-2.88%-2.04%-3.23%-0.96%-1.92%
20118-4.49%-5.98%$435,567$470,153-5.99%-8.45%1.46%-5.45%-8.46%-8.93%-10.58%-8.39%-10.72%-7.84%-9.51%
20119-6.09%-7.25%$409,042$436,080-7.75%-12.29%0.89%-7.04%-10.10%-10.58%-12.58%-11.01%-10.94%-11.82%-11.80%
2011108.09%9.10%$442,115$475,78411.51%10.22%0.16%10.91%13.81%15.43%15.82%9.68%9.56%7.64%7.61%
201111-0.64%-0.84%$439,279$471,773-0.29%-2.88%-0.30%-0.23%-0.83%-0.60%-0.68%-2.51%-3.29%-3.16%-3.23%
2011120.42%0.49%$474,641$507,5880.80%-2.64%1.08%1.02%0.79%0.86%1.01%-2.30%-2.67%-2.91%-2.66%
201214.36%4.96%$495,328$532,7835.08%7.27%0.87%4.46%4.96%6.96%7.43%6.04%6.72%8.53%10.01%
201223.35%3.09%$511,940$549,2354.26%5.14%-0.05%4.31%5.77%1.91%3.18%4.85%5.15%5.06%5.96%
201231.62%1.43%$520,208$557,0843.07%-0.75%-0.58%3.28%1.83%2.98%2.30%-0.17%-0.78%0.39%0.13%
20124-0.42%-0.99%$518,044$551,551-0.65%-1.78%1.14%-0.64%-2.09%-1.42%-1.60%-1.93%-3.60%-1.20%-2.78%
20125-5.31%-5.78%$490,542$519,670-6.24%-11.14%0.95%-6.02%-7.10%-6.97%-7.12%-11.07%-12.35%-11.64%-12.72%
201263.25%3.69%$506,494$538,8333.91%6.03%0.04%4.11%5.37%5.12%4.38%6.63%7.04%3.91%4.93%
201271.03%0.49%$511,718$541,4931.03%0.44%1.39%1.37%0.97%-0.91%-0.24%0.29%-0.41%-0.28%-0.29%
201281.93%2.60%$521,577$555,5722.48%2.72%0.03%2.24%3.95%3.12%4.21%3.38%4.08%3.47%3.67%
201292.15%2.70%$532,772$570,5852.58%3.62%0.11%2.58%3.65%4.19%3.31%2.98%3.55%4.17%4.67%
201210-0.98%-0.52%$527,542$567,595-1.76%0.56%0.11%-1.86%0.27%-2.05%-0.82%0.88%1.29%0.66%0.93%
2012110.77%0.81%$531,618$572,1920.74%1.82%0.19%0.56%0.22%0.94%1.84%2.02%1.53%0.85%1.39%
2012121.32%2.48%$572,753$620,4641.19%4.17%-0.20%0.90%3.03%3.80%3.72%3.81%4.92%4.91%6.24%
201313.62%4.16%$593,498$646,2755.50%3.34%-0.71%5.18%6.94%5.68%6.56%4.05%4.64%4.39%5.13%
201320.73%0.82%$597,808$651,5811.28%-1.23%0.54%1.34%1.27%1.10%1.75%-1.35%-2.99%-0.06%0.60%
201332.52%3.04%$612,855$671,3943.88%0.77%0.08%3.74%4.81%4.87%4.91%1.36%0.29%1.82%2.04%
201341.79%0.90%$623,810$677,4101.70%3.58%0.91%1.91%1.00%-0.79%-1.11%4.30%4.92%2.66%2.84%
201350.62%1.94%$627,648$690,5442.32%-2.95%-1.71%2.33%4.13%5.18%5.39%-2.64%-1.24%-2.19%-1.97%
20136-1.71%-1.24%$616,918$681,978-1.27%-3.75%-1.65%-1.35%-1.15%0.46%-0.70%-2.94%-3.53%-2.65%-3.04%
201374.16%5.10%$642,590$716,7385.49%4.56%0.20%5.07%6.00%7.41%7.34%5.52%6.83%6.62%7.46%
20138-2.18%-2.46%$628,566$699,089-2.82%-1.63%-0.64%-2.91%-2.99%-3.48%-4.17%-1.47%-0.74%-0.34%-1.23%
201393.56%4.34%$650,967$729,4303.66%7.21%0.96%3.12%2.95%7.05%5.24%7.06%7.54%8.24%9.69%
2013103.36%3.36%$672,861$753,9224.22%3.41%0.78%4.59%5.05%3.48%3.51%3.26%3.46%3.41%4.18%
2013111.80%2.88%$684,990$775,6352.88%0.12%-0.35%3.03%4.17%5.55%5.08%0.54%0.36%0.46%0.15%
2013121.76%1.84%$731,663$824,5492.63%1.25%-0.65%2.51%2.64%1.89%2.72%1.84%2.17%2.73%3.33%
20141-2.19%-2.59%$715,605$803,226-3.11%-4.78%1.54%-3.47%-3.95%-4.43%-5.14%-4.47%-3.68%-1.77%-1.38%
201423.72%3.64%$742,260$832,4714.73%5.39%0.48%4.56%3.36%4.21%5.45%5.89%5.71%6.25%6.88%
201430.33%0.73%$744,719$838,5790.51%0.41%-0.15%0.82%2.34%0.97%1.19%-0.28%-0.72%-0.15%0.65%
201440.43%-0.28%$747,893$836,1930.06%1.31%0.77%0.72%0.66%-3.41%-1.93%1.64%1.67%0.05%-0.42%
201451.85%1.23%$761,700$846,5112.17%1.88%1.05%2.33%2.17%0.10%0.83%1.39%1.10%0.65%0.79%
201461.81%2.25%$775,513$865,5882.54%1.74%0.11%2.05%2.72%4.34%4.44%1.38%1.21%1.85%1.57%
20147-1.50%-2.53%$763,865$843,727-1.98%-1.61%-0.26%-1.39%-0.74%-5.84%-5.76%-2.32%-2.23%-3.18%-3.51%
201482.96%2.94%$786,455$868,5414.18%1.05%1.13%3.98%3.17%4.54%5.83%0.44%0.00%0.66%0.66%
20149-2.21%-3.40%$769,039$839,043-2.14%-5.01%-0.72%-1.41%-2.49%-5.69%-6.98%-4.26%-4.38%-6.08%-5.82%
2014101.86%2.07%$783,348$856,3842.74%-0.31%0.94%2.42%0.78%6.52%4.61%-0.87%-1.70%-2.04%-2.20%
2014111.61%0.58%$795,949$861,3192.41%-0.25%0.65%2.68%1.16%-0.75%-0.28%0.28%0.00%-0.99%-0.72%
201412-0.48%0.57%$826,989$901,103-0.01%-3.65%0.09%-0.26%0.74%3.37%2.29%-3.70%-3.75%-1.26%-1.10%
20151-1.07%-2.18%$818,170$881,468-2.77%0.13%2.31%-3.02%-4.97%-4.90%-4.95%0.00%-0.68%-0.82%-0.65%
201523.96%4.37%$850,543$919,9915.76%5.52%-1.08%5.74%7.06%6.03%5.90%6.08%7.13%6.41%7.47%
20153-0.76%-0.11%$844,084$918,944-1.04%-1.54%0.41%-1.59%-1.92%2.29%1.78%-1.75%-2.13%-1.56%-1.96%
201540.94%0.64%$852,010$924,8550.42%5.08%-0.36%0.95%2.04%-1.95%-1.34%4.50%5.50%5.61%5.03%
201550.57%0.74%$856,842$931,7071.39%-0.94%-0.45%1.27%1.07%1.38%1.36%-0.36%0.05%1.18%1.56%
20156-1.69%-0.87%$842,333$923,581-1.71%-2.69%-1.01%-1.93%-1.62%1.63%0.05%-2.82%-2.91%-1.52%-1.39%
201571.04%-0.55%$851,098$918,5031.63%-0.80%0.76%2.08%-0.26%-2.44%-3.67%0.79%-0.97%-0.65%-1.23%
20158-4.83%-4.06%$809,954$881,172-6.03%-7.29%-0.36%-6.04%-6.08%-4.43%-4.04%-7.06%-7.48%-4.19%-4.27%
20159-2.13%-2.67%$792,680$857,644-2.93%-3.90%0.76%-2.49%-3.23%-4.31%-4.51%-4.68%-6.84%-3.32%-3.99%
2015105.55%5.00%$836,687$900,5147.84%6.26%0.01%8.42%8.16%6.03%5.28%6.54%7.63%5.02%5.25%
2015110.07%0.80%$837,233$907,6790.54%-1.32%-0.27%0.29%0.36%2.84%3.17%-0.93%-1.30%0.11%-0.77%
201512-1.62%-2.66%$858,772$918,664-2.03%-2.07%-0.38%-1.59%-3.13%-4.90%-6.20%-2.28%-3.19%0.13%-0.39%
20161-3.88%-4.53%$825,417$877,042-5.67%-5.59%1.43%-4.98%-6.81%-6.80%-7.18%-5.52%-7.86%-6.51%-7.39%
20162-0.18%0.24%$823,896$879,119-0.04%-2.27%0.66%-0.15%0.17%1.10%1.17%-2.81%-3.18%-0.62%-0.87%
201635.57%5.75%$869,756$929,7067.01%8.19%0.94%6.78%7.26%7.08%8.77%6.97%7.55%8.04%8.04%
201640.80%1.47%$876,707$943,3610.63%2.22%0.38%0.37%2.71%1.08%1.80%2.66%4.83%2.33%3.41%
201650.92%0.60%$884,779$949,0411.79%-1.02%0.01%1.78%1.33%1.07%0.47%-0.56%-1.87%0.57%-0.79%
201660.48%-0.27%$889,056$946,5130.23%-0.94%1.94%0.25%-0.10%-0.17%-1.16%-2.34%-3.67%-3.93%-5.61%
201673.17%3.49%$917,277$979,5133.95%4.41%0.64%3.68%3.44%5.02%4.85%4.20%4.50%5.77%7.20%
201680.22%0.78%$919,320$987,1840.26%0.74%-0.17%0.13%1.16%1.59%1.74%0.56%2.63%-0.06%0.37%
201690.27%0.65%$921,812$993,5580.15%1.37%-0.09%0.01%0.48%0.72%1.21%1.34%1.17%2.95%2.74%
201610-1.79%-1.91%$905,280$974,552-2.21%-1.72%-0.81%-1.83%-1.72%-3.53%-3.14%-1.96%1.24%-2.63%-0.82%
2016111.69%5.23%$920,578$1,025,5344.44%-2.15%-2.64%3.70%7.85%13.19%14.87%-1.38%0.49%-1.80%-0.57%
2016121.53%2.36%$970,571$1,085,5901.92%2.02%0.24%1.96%2.49%4.06%3.41%2.60%3.29%2.44%3.15%
201711.80%0.89%$988,035$1,095,2891.91%3.87%0.29%1.88%1.45%-1.44%-0.53%3.62%4.30%4.17%4.31%
201722.62%1.49%$1,013,936$1,111,5603.71%1.50%0.66%3.96%3.01%0.68%0.32%0.89%-0.69%1.61%1.31%
201730.45%0.07%$1,018,500$1,112,3840.07%2.82%-0.07%0.10%-0.93%0.17%-1.14%2.78%2.27%2.41%1.94%
201741.16%1.12%$1,030,303$1,124,8231.05%2.20%0.76%1.02%0.66%1.59%0.46%2.28%1.41%3.26%2.54%
201751.24%-0.19%$1,043,073$1,122,6851.01%3.01%0.67%1.39%-0.11%-2.99%-3.51%3.16%1.73%2.95%1.86%
201760.64%1.42%$1,049,771$1,138,5770.92%0.52%0.01%0.61%1.65%3.72%2.59%0.53%1.06%1.01%1.81%
201771.76%1.45%$1,068,286$1,155,0681.87%3.42%0.39%2.04%1.68%0.47%0.77%2.91%4.68%3.50%3.77%
201780.39%-0.51%$1,072,459$1,149,1950.15%0.64%0.85%0.29%-0.94%-2.16%-2.55%0.22%-0.11%0.53%0.49%
201791.65%3.55%$1,090,125$1,189,9512.45%1.81%-0.54%2.06%3.85%8.39%7.92%2.44%3.57%2.81%3.18%
2017101.65%1.13%$1,108,137$1,203,3452.16%1.94%0.11%2.32%1.44%1.11%0.96%1.60%1.79%1.03%0.86%
2017111.95%1.79%$1,129,736$1,224,8503.04%0.78%-0.17%3.06%3.55%2.64%2.12%0.85%0.95%0.79%0.09%
2017121.04%0.89%$1,178,066$1,272,3660.99%2.01%0.44%1.10%2.31%-1.03%0.03%1.60%2.60%2.73%2.86%
201813.75%2.64%$1,222,239$1,305,9175.31%5.59%-1.09%5.71%5.14%2.04%1.50%4.93%5.86%4.84%4.40%
20182-3.29%-3.68%$1,181,998$1,257,819-3.72%-5.14%-1.03%-3.69%-4.96%-4.31%-4.68%-5.10%-5.62%-4.30%-4.92%
20183-1.15%-0.35%$1,168,388$1,253,444-1.99%-0.64%0.63%-2.56%-2.28%1.71%0.93%-0.57%-1.23%-0.70%-1.54%
201840.15%0.46%$1,170,095$1,259,2270.38%0.83%-0.83%0.37%0.16%0.82%1.32%1.61%2.68%0.85%2.00%
201851.54%2.15%$1,188,127$1,286,3582.79%-1.92%0.61%2.39%0.92%5.94%6.29%-1.54%-3.62%-0.84%-2.88%
201860.12%-0.07%$1,189,506$1,285,4190.68%-2.08%0.03%0.61%-0.70%1.40%0.06%-1.41%-2.28%-1.96%-2.56%
201872.41%2.08%$1,218,178$1,312,1043.34%2.48%0.03%3.71%4.13%2.20%1.61%2.65%3.18%0.97%1.57%
201881.94%1.53%$1,241,795$1,332,1163.44%-2.19%0.52%3.25%1.44%3.77%2.84%-2.03%-3.53%-1.53%-2.95%
201890.01%-0.85%$1,241,974$1,320,8340.16%0.30%-0.54%0.55%0.07%-2.44%-3.19%0.82%1.76%-0.57%0.46%
201810-5.98%-6.60%$1,167,735$1,233,697-7.40%-8.35%-0.73%-6.85%-6.36%-10.40%-9.41%-8.35%-8.42%-9.51%-9.93%
2018111.58%0.91%$1,186,136$1,244,9252.06%1.26%0.53%2.03%2.33%0.55%0.91%0.19%-0.73%-1.03%-1.87%
201812-6.00%-7.25%$1,152,336$1,191,928-9.29%-4.85%1.80%-9.04%-11.00%-11.83%-12.79%-5.56%-6.10%-6.81%-7.13%
201916.54%7.22%$1,227,702$1,277,9918.59%7.58%1.01%8.00%8.65%10.11%12.00%7.50%7.85%7.91%7.51%
201922.39%2.49%$1,256,995$1,309,8413.50%1.72%-0.06%3.20%2.49%5.11%3.27%2.28%1.69%2.50%2.68%
201931.45%-0.58%$1,275,210$1,302,2471.44%0.72%1.96%1.94%-0.50%-3.56%-3.66%0.48%-1.10%-0.62%-1.58%
201942.88%2.80%$1,311,942$1,338,7193.98%2.76%0.04%4.04%3.44%3.40%4.04%3.18%3.25%3.48%3.32%
20195-4.44%-5.98%$1,253,675$1,258,659-6.45%-5.55%1.83%-6.36%-7.75%-9.11%-11.52%-5.64%-7.53%-6.13%-7.81%
201965.40%5.67%$1,321,366$1,330,0046.97%5.83%1.15%7.03%8.03%7.31%7.77%6.07%6.28%5.18%5.15%
201970.67%0.29%$1,330,153$1,333,8521.44%-1.89%0.23%1.43%1.05%0.72%0.39%-2.05%-3.27%-1.69%-1.56%
20198-0.97%-2.77%$1,317,316$1,296,908-2.03%-2.35%2.78%-1.59%-4.11%-6.23%-8.00%-1.96%-4.10%-2.46%-2.54%
201991.30%2.73%$1,334,431$1,332,3061.70%2.72%-0.60%1.86%3.94%4.14%5.96%3.11%5.08%2.73%3.65%
2019101.84%1.87%$1,358,979$1,357,2492.10%3.38%0.21%2.15%2.12%2.11%1.83%3.31%3.37%4.30%4.38%
2019112.50%2.34%$1,392,916$1,388,9843.77%1.11%-0.06%3.62%3.91%3.03%3.17%1.40%1.05%2.53%1.67%
2019122.38%2.63%$1,464,252$1,463,6552.85%4.27%-0.15%3.01%2.79%3.57%3.92%3.11%3.22%4.98%5.36%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value21.35%17.59%
Large-cap Growth28.05%4.12%
Mid-cap Value5.69%7.69%
Mid-cap Growth3.91%5.08%
Small-cap Value0.00%22.95%
Small-cap Growth1.56%3.63%
Global ex-US Developed Markets11.22%16.09%
Emerging Markets3.95%1.59%
Corporate Bonds4.73%3.90%
Long-Term Treasuries0.48%0.00%
Intermediate-Term Treasuries6.02%0.00%
Short-Term Treasuries13.05%17.36%
R Squared99.84%99.18%
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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%0.14%25.00$640,52078.93%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend15.00%0.17%17.46$87,45321.03%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond25.00%0.15%6.56$85,1580.04%
100.00%0.15%23.496.56$813,132100.00%

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
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond25.00%0.15%6.56$92,255-0.28%
VFINXVanguard 500 Index InvestorLarge Blend15.00%0.14%25.27$173,96616.15%
DFLVXDFA US Large Cap Value ILarge Value15.00%0.26%16.74$159,48519.31%
DFSCXDFA US Micro Cap ISmall Blend15.00%0.51%15.60$148,09322.94%
DFSVXDFA US Small Cap Value ISmall Value15.00%0.51%12.58$130,05223.66%
DFALXDFA Large Cap International IForeign Large Blend3.75%0.22%18.96$23,2974.36%
DFIVXDFA International Value IForeign Large Value3.75%0.39%13.67$21,2124.98%
DFISXDFA International Small Company IForeign Small/Mid Blend3.75%0.52%15.56$33,2614.33%
DISVXDFA International Small Cap Value IForeign Small/Mid Value3.75%0.64%11.74$30,9144.54%
100.00%0.32%17.036.56$812,535100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/27/2020. (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)0.54%0.69%
Arithmetic Mean (annualized)6.62%8.63%
Geometric Mean (monthly)0.49%0.63%
Geometric Mean (annualized)5.98%7.81%
Volatility (monthly)3.18%3.54%
Volatility (annualized)11.00%12.26%
Downside Deviation (monthly)2.18%2.39%
Max. Drawdown-40.02%-43.80%
US Market Correlation0.990.95
Beta(*)0.730.78
Alpha (annualized)1.15%2.65%
R297.64%89.99%
Sharpe Ratio0.430.54
Sortino Ratio0.610.78
Treynor Ratio (%)6.558.53
Calmar Ratio1.100.55
Active Return-0.32%1.52%
Tracking Error4.37%5.08%
Information Ratio-0.070.30
Skewness-0.70-0.71
Excess Kurtosis1.441.91
Historical Value-at-Risk (5%)-5.99%-6.01%
Analytical Value-at-Risk (5%)-4.78%-5.19%
Conditional Value-at-Risk (5%)-7.17%-8.17%
Upside Capture Ratio (%)74.5384.00
Downside Capture Ratio (%)71.9473.90
Safe Withdrawal Rate5.58%7.94%
Perpetual Withdrawal Rate3.62%5.26%
Positive Periods157 out of 240 (65.42%)156 out of 240 (65.00%)
Gain/Loss Ratio0.810.90
* 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 2002-30.24%-16.29%
Subprime CrisisNov 2007Mar 2009-40.02%-43.22%

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-40.02%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-30.24%
3May 2011Sep 20115 monthsFeb 20125 months10 months-13.38%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-10.22%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.78%
6Apr 2000May 20002 monthsAug 20003 months5 months-6.43%
7Apr 2012May 20122 monthsAug 20123 months5 months-5.70%
8May 2019May 20191 monthJun 20191 month2 months-4.44%
9Feb 2018Mar 20182 monthsAug 20185 months7 months-4.41%
10Jan 2000Jan 20001 monthMar 20002 months3 months-3.49%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-43.80%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-16.75%
3May 2002Sep 20025 monthsJul 200310 months1 year 3 months-16.29%
4Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-13.33%
5Jul 2001Sep 20013 monthsMar 20026 months9 months-10.81%
6Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-9.47%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-7.23%
8Feb 2001Mar 20012 monthsMay 20012 months4 months-6.03%
9Apr 2000May 20002 monthsAug 20003 months5 months-5.81%
10Mar 2005Apr 20052 monthsJun 20052 months4 months-4.23%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv6.30%14.91%33.35%-37.04%-50.89%0.370.521.00
VGTSXVanguard Total Intl Stock Index Inv3.66%16.96%40.34%-44.10%-58.50%0.200.280.87
VBMFXVanguard Total Bond Market Index Inv4.81%3.44%11.39%-2.26%-3.99%0.911.54-0.10
VFINXVanguard 500 Index Investor5.94%14.50%32.18%-37.02%-50.97%0.360.500.99
DFLVXDFA US Large Cap Value I8.49%17.39%40.32%-40.80%-60.60%0.460.660.90
DFSCXDFA US Micro Cap I9.31%20.71%60.72%-36.72%-56.88%0.450.680.84
DFSVXDFA US Small Cap Value I9.90%20.36%59.40%-36.79%-61.18%0.490.720.87
DFALXDFA Large Cap International I3.41%16.17%36.70%-41.44%-55.97%0.190.260.87
DFIVXDFA International Value I5.40%18.46%49.93%-46.33%-62.70%0.290.410.83
DFISXDFA International Small Company I8.38%16.61%58.78%-43.87%-57.90%0.470.680.79
DISVXDFA International Small Cap Value I9.20%17.43%66.48%-41.68%-57.69%0.500.740.77

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXVFINXDFLVXDFSCXDFSVXDFALXDFIVXDFISXDISVXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.87-0.100.990.900.840.870.870.830.790.770.990.95
VGTSXVanguard Total Intl Stock Index Inv0.871.000.020.860.820.720.770.990.960.930.910.930.89
VBMFXVanguard Total Bond Market Index Inv-0.100.021.00-0.10-0.12-0.13-0.150.01-0.010.060.030.01-0.04
VFINXVanguard 500 Index Investor0.990.86-0.101.000.920.770.820.870.830.760.750.980.92
DFLVXDFA US Large Cap Value I0.900.82-0.120.921.000.720.860.830.850.750.780.890.92
DFSCXDFA US Micro Cap I0.840.72-0.130.770.721.000.950.710.700.710.700.830.91
DFSVXDFA US Small Cap Value I0.870.77-0.150.820.860.951.000.770.780.750.760.860.96
DFALXDFA Large Cap International I0.870.990.010.870.830.710.771.000.970.930.920.920.89
DFIVXDFA International Value I0.830.96-0.010.830.850.700.780.971.000.930.940.880.89
DFISXDFA International Small Company I0.790.930.060.760.750.710.750.930.931.000.990.840.86
DISVXDFA International Small Cap Value I0.770.910.030.750.780.700.760.920.940.991.000.830.86

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$640,520
VGTSXVanguard Total Intl Stock Index Inv$87,453
VBMFXVanguard Total Bond Market Index Inv$85,158$92,255
VFINXVanguard 500 Index Investor$173,966
DFLVXDFA US Large Cap Value I$159,485
DFSCXDFA US Micro Cap I$148,093
DFSVXDFA US Small Cap Value I$130,052
DFALXDFA Large Cap International I$23,297
DFIVXDFA International Value I$21,212
DFISXDFA International Small Company I$33,261
DISVXDFA International Small Cap Value I$30,914

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv78.93%
VGTSXVanguard Total Intl Stock Index Inv21.03%
VBMFXVanguard Total Bond Market Index Inv0.04%-0.28%
VFINXVanguard 500 Index Investor16.15%
DFLVXDFA US Large Cap Value I19.31%
DFSCXDFA US Micro Cap I22.94%
DFSVXDFA US Small Cap Value I23.66%
DFALXDFA Large Cap International I4.36%
DFIVXDFA International Value I4.98%
DFISXDFA International Small Company I4.33%
DISVXDFA International Small Cap Value I4.54%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.90%25.86%-27.57%8.82%36.40%-27.94%
3 years6.52%14.41%-8.75%8.16%19.50%-5.43%
5 years6.83%14.33%1.13%8.25%16.31%1.03%
7 years6.86%11.23%2.16%8.05%11.87%4.02%
10 years6.65%9.82%2.31%7.74%9.98%6.16%
15 years6.81%8.89%5.20%8.06%9.89%6.95%
Result statistics are based on annualized rolling returns over full calendar year periods