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 2005 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VITSX Vanguard Total Stock Market Idx I 20.00%
VBR Vanguard Small-Cap Value ETF 20.00%
SHY iShares 1-3 Year Treasury Bond ETF 20.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
GLD SPDR Gold Shares 20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
GLD SPDR Gold Shares 20.00%
VWINX Vanguard Wellesley Income Inv 80.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
GLD SPDR Gold Shares 25.00%
VWINX Vanguard Wellesley Income Inv 75.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$33,162 7.95% 7.55%17.79%-4.73%-15.30% 0.881.420.75
Portfolio 2$10,000$31,616 7.62% 6.61%17.63%-6.89%-15.02% 0.951.610.65
Portfolio 3$10,000$32,418 7.80% 7.02%18.03%-6.15%-15.78% 0.931.590.59
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 17.39%9.52%12.61%8.58%8.37%8.09%7.95%
Portfolio 25.73%8.62%11.08%8.31%8.33%7.22%7.62%
Portfolio 36.26%9.92%12.20%8.66%8.54%7.09%7.80%
Trailing returns are for full months ending in August 2020 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.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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 Stock Market Idx I (VITSX)Vanguard Small-Cap Value ETF (VBR)iShares 1-3 Year Treasury Bond ETF (SHY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Vanguard Wellesley Income Inv (VWINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20053.42%8.05%6.34%7.05%$10,805$10,634$10,7056.12%6.26%1.53%8.61%17.76%3.48%
20062.54%12.47%13.53%14.10%$12,153$12,073$12,21415.69%19.49%3.89%0.71%22.55%11.28%
20074.08%9.34%10.58%11.82%$13,288$13,350$13,6585.56%-6.94%7.35%10.29%30.45%5.61%
20080.09%-4.73%-6.89%-6.15%$12,659$12,430$12,818-36.94%-32.20%6.62%33.93%4.92%-9.84%
20092.72%12.47%17.63%18.03%$14,237$14,621$15,12828.83%30.92%0.35%-21.80%24.03%16.02%
20101.50%16.59%14.37%15.30%$16,598$16,722$17,44317.23%25.10%2.28%9.05%29.27%10.65%
20112.96%8.37%9.62%9.61%$17,987$18,330$19,1201.09%-4.23%1.44%33.96%9.57%9.63%
20121.74%8.98%9.36%9.19%$19,602$20,046$20,87716.42%18.98%0.28%2.63%6.60%10.06%
20131.50%5.71%1.68%-0.19%$20,722$20,384$20,83733.49%36.55%0.21%-13.37%-28.33%9.19%
20140.76%9.74%6.01%5.50%$22,739$21,610$21,98412.56%10.55%0.45%27.30%-2.19%8.07%
20150.73%-3.27%-1.11%-1.71%$21,994$21,369$21,6080.42%-4.76%0.43%-1.79%-10.67%1.28%
20162.07%9.52%8.07%8.07%$24,089$23,094$23,35112.67%24.90%0.82%1.18%8.03%8.08%
20172.11%11.05%10.72%10.85%$26,749$25,570$25,88521.17%11.80%0.26%9.18%12.81%10.20%
20181.91%-3.90%-2.45%-2.41%$25,706$24,944$25,260-5.16%-12.26%1.46%-1.61%-1.94%-2.57%
20192.29%17.79%16.68%16.76%$30,278$29,106$29,49330.81%22.77%3.38%14.12%17.86%16.39%
20200.83%9.52%8.62%9.92%$33,162$31,616$32,4189.40%-14.99%3.02%20.85%29.34%3.44%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market Idx I (VITSX)Vanguard Small-Cap Value ETF (VBR)iShares 1-3 Year Treasury Bond ETF (SHY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Vanguard Wellesley Income Inv (VWINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20051-1.27%-0.80%-0.97%$9,873$9,920$9,903-2.64%-3.65%-0.04%3.57%-3.61%-0.09%
200521.12%1.61%1.70%$9,983$10,080$10,0712.07%2.40%-0.26%-1.47%3.10%1.25%
20053-1.19%-1.46%-1.47%$9,865$9,933$9,924-1.75%-2.16%0.02%-0.45%-1.63%-1.41%
20054-0.29%1.00%1.01%$9,836$10,032$10,024-2.29%-5.03%0.52%3.86%1.24%0.94%
200552.05%0.08%-0.16%$10,038$10,041$10,0083.77%7.28%0.40%3.14%-3.92%1.07%
200562.19%1.52%1.69%$10,257$10,194$10,1760.81%3.56%0.25%2.16%4.30%0.87%
200570.81%-0.20%-0.28%$10,340$10,173$10,1484.14%5.46%-0.37%-3.38%-1.43%0.09%
200580.51%0.89%0.92%$10,393$10,264$10,241-0.91%-2.01%0.66%3.48%1.35%0.78%
200590.94%1.27%1.65%$10,491$10,394$10,4100.86%0.77%-0.30%-3.61%7.60%-0.25%
200510-1.62%-1.20%-1.16%$10,320$10,269$10,290-1.86%-3.22%-0.08%-2.24%-0.64%-1.34%
2005112.95%2.02%2.26%$10,625$10,476$10,5224.00%3.78%0.39%0.69%5.82%1.03%
2005121.70%1.50%1.74%$10,805$10,634$10,7050.10%-0.24%0.35%2.98%5.05%0.53%
200613.83%2.67%3.12%$11,219$10,918$11,0393.53%6.85%0.17%-1.34%9.93%0.85%
200620.09%0.39%0.29%$11,229$10,960$11,0720.00%0.51%0.03%1.11%-1.11%0.80%
200631.02%0.24%0.46%$11,344$10,987$11,1231.80%3.64%0.17%-4.57%3.62%-0.66%
200642.34%3.48%4.06%$11,610$11,369$11,5741.14%-0.04%0.22%-2.75%12.03%1.09%
20065-1.73%-0.81%-0.85%$11,409$11,276$11,475-3.23%-3.75%0.17%-0.19%-1.32%-0.66%
20066-0.61%-0.65%-0.94%$11,339$11,202$11,3670.18%1.00%0.24%1.18%-4.67%0.58%
200670.96%2.36%2.42%$11,448$11,467$11,642-0.10%-1.22%0.66%2.16%3.15%2.14%
200681.26%1.09%0.91%$11,592$11,592$11,7492.34%2.13%0.75%3.06%-1.38%1.81%
200690.04%-0.04%-0.35%$11,597$11,587$11,7072.23%0.89%0.44%1.91%-4.53%1.23%
2006102.19%1.57%1.55%$11,850$11,769$11,8893.56%4.64%0.42%0.85%1.29%1.64%
2006113.14%2.48%2.77%$12,222$12,061$12,2182.26%3.29%0.48%2.31%6.89%1.30%
200612-0.57%0.10%-0.03%$12,153$12,073$12,2141.14%0.42%0.07%-2.69%-1.83%0.65%
200711.12%0.77%0.88%$12,288$12,166$12,3221.88%1.97%0.16%-1.00%2.56%0.32%
200720.88%1.25%1.33%$12,396$12,317$12,486-1.61%-0.59%0.73%3.39%2.55%0.91%
20073-0.13%0.27%0.18%$12,380$12,351$12,5081.13%0.63%0.45%-1.70%-1.11%0.63%
200741.80%1.79%1.81%$12,603$12,572$12,7354.01%1.72%0.31%0.90%2.05%1.73%
200750.58%-0.12%-0.26%$12,676$12,558$12,7023.69%3.84%-0.07%-2.31%-2.31%0.45%
20076-1.30%-1.34%-1.38%$12,511$12,389$12,527-1.64%-2.29%0.48%-1.01%-1.94%-1.19%
20077-1.01%-0.11%0.04%$12,385$12,375$12,532-3.41%-7.70%0.90%3.32%2.37%-0.73%
200781.41%1.36%1.34%$12,559$12,543$12,7001.45%1.66%1.05%1.79%1.11%1.42%
200793.20%3.50%3.94%$12,961$12,982$13,2013.61%0.87%0.55%0.23%10.51%1.72%
2007102.64%2.24%2.56%$13,303$13,273$13,5381.85%1.60%0.48%1.81%6.95%0.94%
200711-1.18%-0.51%-0.59%$13,146$13,205$13,458-4.46%-6.86%1.79%5.35%-1.65%-0.18%
2007121.08%1.10%1.48%$13,288$13,350$13,658-0.64%-1.31%0.30%-0.64%6.65%-0.50%
200810.93%1.51%2.09%$13,412$13,551$13,943-6.05%-3.88%1.65%2.10%10.84%-0.82%
200820.20%0.13%0.48%$13,438$13,569$14,010-3.04%-2.62%1.03%-0.46%5.23%-1.29%
20083-1.08%-1.09%-1.43%$13,293$13,421$13,809-0.59%-0.39%0.25%2.14%-6.00%0.38%
200840.18%0.01%-0.27%$13,318$13,423$13,7725.02%4.68%-0.84%-2.48%-4.16%1.18%
200850.78%-0.25%-0.17%$13,422$13,390$13,7482.09%4.14%-0.35%-2.69%0.92%-0.56%
20086-2.34%-1.73%-1.32%$13,108$13,158$13,566-8.17%-11.36%0.24%2.65%4.52%-3.41%
200870.29%-0.21%-0.30%$13,146$13,130$13,526-0.77%4.06%0.43%-0.37%-1.44%0.15%
20088-0.43%-1.45%-1.99%$13,089$12,939$13,2561.58%3.60%0.47%2.74%-9.29%0.78%
20089-1.44%-1.92%-1.54%$12,901$12,691$13,053-9.24%-5.32%0.78%1.47%4.11%-3.47%
200810-10.72%-9.14%-9.61%$11,518$11,531$11,799-17.62%-21.96%1.10%-1.86%-16.14%-7.19%
2008113.38%2.78%3.40%$11,908$11,852$12,199-7.90%-9.56%1.10%14.34%12.57%0.33%
2008126.31%4.87%5.07%$12,659$12,430$12,8181.89%4.46%0.56%13.64%7.73%4.07%
20091-5.73%-2.59%-2.08%$11,933$12,108$12,551-8.30%-12.39%-0.44%-13.07%5.54%-4.62%
20092-4.62%-3.57%-3.23%$11,382$11,676$12,145-10.40%-14.01%-0.15%-1.54%1.45%-4.96%
200933.34%1.69%1.39%$11,763$11,873$12,3148.68%8.83%0.50%4.04%-2.54%2.94%
200943.37%2.04%1.67%$12,159$12,115$12,52010.60%19.56%-0.17%-6.95%-3.33%3.54%
200953.41%5.60%5.90%$12,574$12,793$13,2595.38%3.83%0.06%-3.69%10.23%4.39%
20096-1.01%-0.15%-0.49%$12,447$12,775$13,1940.37%-0.09%-0.09%0.76%-5.22%1.25%
200974.49%5.00%4.83%$13,006$13,414$13,8327.82%10.65%0.11%0.58%2.38%5.68%
200982.60%1.87%1.76%$13,344$13,665$14,0753.67%6.18%0.41%2.24%0.05%2.32%
200993.79%2.65%2.84%$13,850$14,026$14,4754.22%5.41%0.24%2.46%5.84%1.87%
200910-1.58%0.71%0.90%$13,631$14,126$14,606-2.57%-6.09%0.14%-2.62%3.72%-0.05%
2009115.13%5.20%5.70%$14,331$14,861$15,4385.62%3.55%0.60%1.21%12.79%3.20%
200912-0.65%-1.62%-2.01%$14,237$14,621$15,1282.88%6.92%-0.84%-6.34%-7.20%-0.01%
20101-0.85%-0.49%-0.54%$14,116$14,549$15,047-3.50%-2.99%0.80%2.69%-1.26%-0.29%
201022.25%1.52%1.63%$14,433$14,770$15,2923.36%5.01%0.16%-0.34%3.27%1.08%
201032.33%1.50%1.38%$14,770$14,992$15,5026.30%8.20%-0.27%-2.06%-0.44%1.99%
201043.62%2.36%2.58%$15,304$15,346$15,9022.17%6.23%0.30%3.32%5.88%1.49%
20105-1.66%-1.53%-1.23%$15,050$15,112$15,706-8.00%-7.95%0.45%5.11%3.05%-2.71%
20106-0.96%0.66%0.77%$14,905$15,211$15,827-5.63%-8.16%0.42%5.80%2.36%0.19%
201071.39%1.62%1.17%$15,113$15,457$16,0126.99%7.46%0.19%-0.95%-5.09%3.49%
201080.77%1.84%2.09%$15,230$15,742$16,346-4.75%-6.66%0.24%8.40%5.71%0.86%
201094.10%3.14%3.25%$15,854$16,237$16,8779.50%10.43%0.12%-2.51%4.78%2.70%
2010101.32%1.48%1.63%$16,063$16,477$17,1523.98%3.60%0.22%-4.47%3.68%0.88%
2010110.64%-0.25%-0.09%$16,166$16,436$17,1360.54%2.28%-0.20%-1.69%2.11%-0.92%
2010122.67%1.74%1.79%$16,598$16,722$17,4436.84%7.69%-0.16%-3.68%2.44%1.54%
20111-1.30%-0.76%-1.11%$16,382$16,595$17,2492.22%0.60%0.13%-3.08%-6.38%0.65%
201123.14%2.65%2.85%$16,897$17,035$17,7413.59%4.70%-0.12%1.65%6.00%1.88%
201130.69%0.43%0.50%$17,013$17,108$17,8290.45%1.47%-0.13%0.03%1.60%0.14%
201143.42%3.83%4.15%$17,595$17,764$18,5692.99%2.34%0.53%2.34%8.94%2.58%
20115-0.32%0.29%0.16%$17,538$17,816$18,599-1.13%-2.12%0.36%3.42%-1.79%0.84%
20116-1.75%-1.34%-1.41%$17,232$17,578$18,337-1.79%-2.08%-0.00%-2.33%-2.43%-1.06%
201171.50%1.72%2.14%$17,490$17,880$18,730-2.25%-3.32%0.29%4.42%8.42%0.04%
201181.92%2.41%3.06%$17,826$18,311$19,304-5.99%-8.19%0.34%9.66%12.27%-0.27%
20119-3.05%-3.71%-4.24%$17,283$17,632$18,485-7.75%-10.64%-0.10%13.20%-11.06%-1.46%
2011104.62%4.43%4.53%$18,081$18,413$19,32211.54%14.43%0.03%-3.84%5.87%4.03%
2011110.76%-0.05%0.07%$18,218$18,405$19,335-0.32%-0.14%0.04%1.98%1.67%-0.53%
201112-1.27%-0.41%-1.12%$17,987$18,330$19,1200.83%0.82%0.05%3.44%-10.66%2.53%
201214.64%3.78%4.26%$18,822$19,023$19,9335.08%6.97%0.08%-0.33%11.40%1.88%
201220.23%0.37%0.15%$18,865$19,093$19,9634.29%2.55%-0.14%-2.59%-2.96%1.28%
201230.08%0.09%-0.00%$18,879$19,111$19,9633.07%2.41%-0.08%-4.23%-1.32%0.46%
201240.52%0.71%0.66%$18,977$19,247$20,094-0.63%-0.99%0.20%4.83%-0.15%0.93%
20125-2.26%-2.42%-2.67%$18,548$18,780$19,557-6.23%-6.31%0.06%9.03%-6.34%-1.43%
201261.79%2.07%2.08%$18,880$19,168$19,9653.91%4.47%-0.10%-1.68%2.35%2.00%
201271.09%2.13%2.05%$19,086$19,576$20,3741.03%-0.43%0.22%3.82%0.84%2.44%
201281.82%1.38%1.60%$19,435$19,847$20,7002.51%2.99%0.01%-1.32%4.94%0.53%
201291.56%1.62%1.81%$19,737$20,169$21,0742.58%2.80%0.02%-2.53%4.67%0.86%
201210-1.23%-0.41%-0.57%$19,494$20,086$20,954-1.76%-0.70%-0.07%-0.48%-2.94%0.25%
2012110.55%0.13%0.10%$19,602$20,113$20,9740.77%1.01%0.05%1.38%-0.47%0.29%
2012120.00%-0.33%-0.46%$19,602$20,046$20,8771.22%3.34%0.02%-2.49%-2.43%0.19%
201311.65%1.06%0.96%$19,927$20,259$21,0785.50%6.46%0.01%-3.19%-0.51%1.45%
20132-0.14%-0.02%-0.33%$19,898$20,255$21,0091.28%1.62%0.06%1.24%-5.09%1.23%
201331.90%1.20%1.19%$20,275$20,499$21,2583.91%4.56%0.03%-0.42%0.95%1.26%
20134-0.11%0.19%-0.26%$20,252$20,538$21,2021.70%0.09%0.07%4.68%-7.56%1.97%
20135-1.23%-1.78%-2.02%$20,003$20,172$20,7732.32%3.11%-0.13%-6.76%-6.20%-0.87%
20136-2.99%-3.15%-3.56%$19,404$19,537$20,034-1.24%-1.27%-0.10%-3.27%-11.06%-1.59%
201373.57%2.85%3.07%$20,097$20,093$20,6495.48%6.85%0.16%-2.26%7.43%2.04%
20138-1.12%-0.76%-0.46%$19,873$19,941$20,554-2.82%-4.17%-0.10%-1.34%5.20%-1.87%
201391.46%0.56%0.28%$20,163$20,052$20,6113.69%5.30%0.22%0.66%-4.78%1.63%
2013102.16%1.71%1.61%$20,598$20,395$20,9424.24%3.92%0.07%1.43%-0.34%2.10%
2013110.14%-0.19%-0.45%$20,627$20,357$20,8482.88%2.93%0.09%-2.70%-5.51%0.79%
2013120.46%0.13%-0.05%$20,722$20,384$20,8372.64%2.74%-0.18%-1.87%-3.79%0.81%
201410.81%0.39%0.58%$20,890$20,464$20,959-3.08%-2.78%0.20%6.30%3.42%-0.36%
201423.27%2.93%3.14%$21,573$21,063$21,6174.73%4.97%0.04%0.52%6.27%2.06%
20143-0.17%0.06%-0.16%$21,536$21,075$21,5840.52%1.31%-0.11%0.73%-3.14%0.92%
201440.34%1.04%1.01%$21,609$21,295$21,8010.06%-1.13%0.11%2.10%0.49%1.19%
201450.78%0.34%0.12%$21,778$21,367$21,8282.19%1.64%0.18%2.95%-3.05%1.21%
201462.54%1.87%2.15%$22,331$21,768$22,2972.55%4.32%-0.08%-0.25%6.32%0.78%
20147-1.97%-1.55%-1.68%$21,891$21,431$21,922-1.96%-4.79%-0.08%0.67%-3.63%-1.00%
201482.96%1.66%1.58%$22,538$21,788$22,2694.18%5.12%0.19%4.72%0.38%1.99%
20149-3.21%-2.23%-2.48%$21,814$21,301$21,717-2.10%-5.54%-0.07%-2.11%-6.18%-1.25%
2014101.59%0.36%0.16%$22,161$21,378$21,7512.74%4.85%0.26%2.81%-3.05%1.17%
2014111.32%0.98%0.89%$22,453$21,587$21,9452.43%1.10%0.11%2.97%-0.49%1.31%
2014121.28%0.11%0.18%$22,739$21,610$21,984-0.01%1.79%-0.29%3.25%1.31%-0.16%
201512.61%2.18%2.58%$23,333$22,080$22,552-2.77%-3.30%0.63%9.82%8.69%0.55%
20152-0.46%-0.61%-0.96%$23,226$21,945$22,3345.78%5.66%-0.29%-6.14%-5.91%0.82%
20153-0.10%-0.51%-0.62%$23,202$21,832$22,196-1.01%1.30%0.25%1.10%-2.15%-0.10%
20154-0.91%0.37%0.34%$22,992$21,913$22,2720.42%-1.30%0.03%-3.43%-0.17%0.51%
201550.20%0.02%0.05%$23,039$21,917$22,2831.39%1.37%0.04%-2.37%0.56%-0.12%
20156-1.74%-1.95%-1.93%$22,638$21,489$21,853-1.70%-1.51%0.03%-4.07%-1.52%-2.06%
20157-0.30%-0.33%-0.72%$22,570$21,418$21,6961.65%-0.95%0.04%4.55%-6.62%1.23%
20158-1.70%-1.07%-0.79%$22,187$21,189$21,525-6.00%-4.84%-0.05%-0.69%3.71%-2.16%
20159-1.19%-0.26%-0.36%$21,922$21,134$21,448-2.94%-3.58%0.30%1.97%-1.80%0.11%
2015103.15%3.18%3.13%$22,612$21,807$22,1207.86%6.63%-0.14%-0.41%2.28%3.40%
201511-1.16%-1.29%-1.61%$22,351$21,526$21,7620.56%1.32%-0.26%-0.87%-6.75%0.00%
201512-1.59%-0.73%-0.71%$21,994$21,369$21,608-2.03%-4.90%-0.15%-0.30%-0.45%-0.79%
20161-0.08%0.92%1.20%$21,977$21,566$21,867-5.67%-6.37%0.65%5.57%5.41%-0.20%
201623.26%2.64%3.18%$22,693$22,135$22,562-0.02%1.50%0.11%3.09%10.93%0.45%
201632.75%2.53%2.30%$23,317$22,695$23,0807.03%8.94%0.14%-0.09%-0.84%3.52%
201641.50%1.83%2.05%$23,667$23,110$23,5530.63%2.10%0.04%-0.74%5.11%0.91%
20165-0.64%-0.93%-1.29%$23,517$22,895$23,2481.79%1.40%-0.12%0.81%-6.14%0.59%
201663.52%3.63%3.98%$24,344$23,726$24,1750.23%0.15%0.60%6.93%8.97%2.18%
201672.52%1.52%1.55%$24,958$24,087$24,5503.97%4.64%-0.05%2.10%1.98%1.38%
20168-0.79%-0.73%-0.91%$24,762$23,910$24,3260.28%0.73%-0.23%-1.01%-3.26%0.00%
20169-0.05%-0.10%-0.04%$24,749$23,887$24,3160.16%0.30%0.13%-1.51%0.69%-0.32%
201610-2.57%-1.61%-1.70%$24,113$23,503$23,903-2.21%-2.92%-0.05%-4.38%-2.94%-1.22%
201611-0.67%-2.40%-2.81%$23,952$22,939$23,2324.45%10.21%-0.47%-8.21%-8.36%-0.74%
2016120.57%0.68%0.51%$24,089$23,094$23,3511.94%2.86%0.07%-0.46%-1.91%1.35%
201711.78%1.30%1.56%$24,518$23,395$23,7151.91%0.65%0.11%0.81%5.42%0.27%
201722.13%2.21%2.28%$25,039$23,913$24,2553.73%2.01%0.04%1.59%3.18%1.96%
20173-0.33%-0.12%-0.14%$24,956$23,884$24,2210.08%-0.72%0.06%-0.65%-0.43%-0.04%
201741.00%0.91%0.97%$25,205$24,102$24,4551.05%0.40%0.19%1.57%1.73%0.70%
201750.10%0.88%0.82%$25,230$24,315$24,6551.02%-2.40%0.07%1.89%-0.12%1.15%
201760.35%-0.12%-0.26%$25,318$24,285$24,5920.93%2.44%-0.08%0.79%-2.16%0.41%
201770.96%1.17%1.24%$25,562$24,569$24,8971.87%1.02%0.19%-0.66%2.31%0.88%
201781.34%1.29%1.48%$25,904$24,886$25,2650.18%-1.46%0.20%3.41%4.20%0.53%
201790.22%-0.05%-0.27%$25,961$24,872$25,1962.45%4.95%-0.19%-2.32%-3.37%0.84%
2017100.45%0.56%0.48%$26,078$25,012$25,3162.17%0.86%-0.09%-0.04%-0.75%0.90%
2017111.46%0.93%0.89%$26,460$25,244$25,5423.04%3.17%-0.22%0.74%0.36%1.08%
2017121.09%1.29%1.34%$26,749$25,570$25,8851.00%0.50%-0.02%1.81%2.11%1.08%
201811.39%1.09%1.23%$27,121$25,849$26,2025.32%1.93%-0.29%-3.26%3.23%0.56%
20182-2.75%-2.60%-2.56%$26,376$25,178$25,530-3.71%-4.74%-0.10%-3.04%-2.08%-2.73%
201830.48%-0.09%-0.04%$26,502$25,156$25,520-1.98%0.82%0.25%2.86%0.63%-0.27%
20184-0.49%-0.59%-0.62%$26,371$25,007$25,3630.38%0.40%-0.23%-2.09%-0.95%-0.50%
201851.68%0.27%0.18%$26,814$25,075$25,4082.82%4.52%0.35%2.01%-1.20%0.65%
20186-0.37%-0.60%-0.80%$26,714$24,924$25,2060.68%0.36%0.04%0.65%-3.61%0.16%
201870.49%1.20%0.98%$26,844$25,221$25,4543.35%2.49%-0.06%-1.44%-2.24%2.04%
201881.16%0.05%-0.08%$27,156$25,234$25,4343.45%2.41%0.35%1.31%-2.14%0.57%
20189-1.02%-0.31%-0.33%$26,880$25,156$25,3500.16%-1.67%-0.14%-2.86%-0.66%-0.23%
201810-3.68%-1.46%-1.25%$25,892$24,790$25,033-7.39%-9.05%0.15%-2.93%2.12%-2.27%
2018111.39%1.38%1.32%$26,251$25,132$25,3632.06%2.35%0.38%1.79%0.34%1.63%
201812-2.08%-0.75%-0.41%$25,706$24,944$25,260-9.29%-11.41%0.76%5.85%4.94%-2.08%
201914.66%3.16%3.15%$26,903$25,734$26,0558.62%11.16%0.25%0.38%2.89%3.23%
201921.21%1.08%0.98%$27,228$26,013$26,3103.50%3.99%0.09%-1.38%-0.61%1.51%
201930.74%1.20%1.02%$27,430$26,324$26,5791.45%-1.92%0.63%5.57%-1.60%1.88%
201941.20%0.75%0.66%$27,760$26,521$26,7563.99%3.91%0.18%-1.99%-0.66%1.08%
20195-1.43%-0.20%-0.08%$27,362$26,469$26,734-6.44%-8.13%0.72%6.84%1.76%-0.65%
201964.66%4.08%4.31%$28,638$27,548$27,8876.99%6.84%0.46%0.95%8.00%3.14%
201970.51%0.39%0.37%$28,783$27,656$27,9891.45%0.75%-0.06%0.26%0.01%0.49%
201982.31%2.92%3.23%$29,449$28,462$28,892-2.02%-5.44%0.78%11.04%7.91%1.68%
20199-0.19%-0.24%-0.44%$29,394$28,395$28,7651.70%3.98%-0.13%-2.68%-3.39%0.59%
2019101.13%1.02%1.11%$29,727$28,683$29,0852.12%1.75%0.31%-1.11%2.56%0.63%
2019110.56%-0.16%-0.36%$29,892$28,637$28,9823.77%2.48%-0.05%-0.41%-3.21%0.62%
2019121.29%1.64%1.76%$30,278$29,106$29,4932.87%2.78%0.16%-3.20%3.66%1.14%
202011.87%1.92%2.09%$30,844$29,666$30,108-0.06%-3.37%0.58%7.69%4.50%1.28%
20202-2.09%-2.08%-1.99%$30,199$29,048$29,508-8.17%-10.18%0.88%6.63%-0.64%-2.46%
20203-5.22%-5.02%-4.71%$28,621$27,589$28,118-13.77%-25.08%1.24%6.38%-0.22%-6.28%
202045.99%6.04%6.12%$30,335$29,256$29,84013.26%13.11%0.27%1.22%7.26%5.70%
202051.79%2.22%2.24%$30,879$29,904$30,5095.39%4.80%-0.08%-1.76%2.59%2.11%
202061.43%0.97%1.10%$31,321$30,196$30,8432.29%2.05%0.02%0.34%2.74%0.47%
202075.06%4.61%5.05%$32,906$31,589$32,4005.64%3.29%0.09%4.44%10.79%2.81%
202080.78%0.09%0.06%$33,162$31,616$32,4187.19%4.63%-0.02%-5.05%-0.32%0.22%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value1.54%
Large-cap Growth7.17%
Mid-cap Value21.09%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth4.01%
Global ex-US Developed Markets0.00%
Emerging Markets9.70%
Corporate Bonds0.00%
Long-Term Treasuries14.02%
Intermediate-Term Treasuries32.82%
Short-Term Treasuries9.64%
R Squared85.51%
Style analysis is based on monthly returns from Apr 2005 to Aug 2020 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
VITSXVanguard Total Stock Market Idx ILarge Blend20.00%0.03%26.42$6,77029.51%
VBRVanguard Small-Cap Value ETFSmall Value20.00%0.07%16.54$4,48737.24%
SHYiShares 1-3 Year Treasury Bond ETFShort Government20.00%0.15%1.85$1,1310.09%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%0.15%18.93$5,1905.86%
GLDSPDR Gold SharesCommodities Focused20.00%0.40%$5,58527.29%
100.00%0.16%21.4810.39$23,162100.00%

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
GLDSPDR Gold SharesCommodities Focused20.00%0.40%$5,46537.35%
VWINXVanguard Wellesley Income Inv30% to 50% Equity80.00%0.23%16.508.03$16,15162.65%
100.00%0.26%16.508.03$21,616100.00%

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
GLDSPDR Gold SharesCommodities Focused25.00%0.40%$6,92348.76%
VWINXVanguard Wellesley Income Inv30% to 50% Equity75.00%0.23%16.508.03$15,49551.24%
100.00%0.27%16.508.03$22,418100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/29/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.66%0.63%0.65%
Arithmetic Mean (annualized)8.26%7.86%8.06%
Geometric Mean (monthly)0.64%0.61%0.63%
Geometric Mean (annualized)7.95%7.62%7.80%
Volatility (monthly)2.18%1.91%2.03%
Volatility (annualized)7.55%6.61%7.02%
Downside Deviation (monthly)1.32%1.10%1.15%
Max. Drawdown-15.30%-15.02%-15.78%
US Market Correlation0.750.650.59
Beta(*)0.370.280.27
Alpha (annualized)4.23%4.74%5.06%
R255.58%42.26%34.28%
Sharpe Ratio0.880.950.93
Sortino Ratio1.421.611.59
Treynor Ratio (%)17.9722.2523.96
Calmar Ratio1.191.191.31
Active Return-1.28%-1.60%-1.43%
Tracking Error10.76%11.95%12.41%
Information Ratio-0.12-0.13-0.12
Skewness-0.75-0.52-0.42
Excess Kurtosis3.683.613.25
Historical Value-at-Risk (5%)-2.67%-2.33%-2.30%
Analytical Value-at-Risk (5%)-2.99%-2.47%-2.64%
Conditional Value-at-Risk (5%)-4.66%-3.84%-3.99%
Upside Capture Ratio (%)43.6935.5534.70
Downside Capture Ratio (%)25.8814.4411.88
Safe Withdrawal Rate10.03%9.92%10.14%
Perpetual Withdrawal Rate5.76%5.46%5.62%
Positive Periods123 out of 188 (65.43%)120 out of 188 (63.83%)114 out of 188 (60.64%)
Gain/Loss Ratio1.191.421.56
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-15.30%-15.02%-15.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Feb 20091 yearSep 20097 months1 year 7 months-15.30%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-7.21%
3Feb 2015Sep 20158 monthsApr 20167 months1 year 3 months-6.05%
4Sep 2018Dec 20184 monthsFeb 20192 months6 months-5.34%
5Apr 2013Jun 20133 monthsOct 20134 months7 months-4.30%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.03%
7Sep 2014Sep 20141 monthDec 20143 months4 months-3.21%
8Sep 2011Sep 20111 monthOct 20111 month2 months-3.05%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-2.77%
10May 2010Jun 20102 monthsSep 20103 months5 months-2.61%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsAug 200910 months1 year 6 months-15.02%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-7.00%
3May 2013Jun 20132 monthsFeb 20148 months10 months-4.88%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-4.76%
5Feb 2015Sep 20158 monthsFeb 20165 months1 year 1 month-4.29%
6Feb 2018Oct 20189 monthsFeb 20194 months1 year 1 month-4.10%
7Sep 2011Sep 20111 monthOct 20111 month2 months-3.71%
8May 2012May 20121 monthJul 20122 months3 months-2.42%
9Sep 2014Sep 20141 monthJan 20154 months5 months-2.23%
10Dec 2009Jan 20102 monthsMar 20102 months4 months-2.10%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsAug 200910 months1 year 6 months-15.78%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-6.61%
3Apr 2013Jun 20133 monthsFeb 20148 months11 months-5.76%
4Aug 2016Nov 20164 monthsMay 20176 months10 months-5.37%
5Feb 2015Sep 20158 monthsFeb 20165 months1 year 1 month-4.89%
6Feb 2018Oct 20189 monthsFeb 20194 months1 year 1 month-4.46%
7Sep 2011Sep 20111 monthOct 20111 month2 months-4.24%
8May 2012May 20121 monthJul 20122 months3 months-2.67%
9Jul 2014Sep 20143 monthsJan 20154 months7 months-2.60%
10Dec 2009Jan 20102 monthsMar 20102 months4 months-2.53%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VITSXVanguard Total Stock Market Idx I9.36%15.14%33.49%-36.94%-50.81%0.580.841.00
VBRVanguard Small-Cap Value ETF6.67%19.41%36.55%-32.20%-55.89%0.370.510.94
SHYiShares 1-3 Year Treasury Bond ETF2.13%1.28%7.35%0.21%-1.18%0.711.38-0.38
TLTiShares 20+ Year Treasury Bond ETF7.43%13.28%33.96%-21.80%-21.80%0.510.90-0.34
GLDSPDR Gold Shares9.63%17.37%30.45%-28.33%-42.91%0.540.890.07
VWINXVanguard Wellesley Income Inv6.88%6.04%16.39%-9.84%-18.82%0.921.410.84

Monthly Correlations

Correlations for the portfolio assets
TickerNameVITSXVBRSHYTLTGLDVWINXPortfolio 1Portfolio 2Portfolio 3
VITSXVanguard Total Stock Market Idx I1.000.94-0.38-0.340.070.840.750.650.59
VBRVanguard Small-Cap Value ETF0.941.00-0.38-0.350.050.780.730.590.53
SHYiShares 1-3 Year Treasury Bond ETF-0.38-0.381.000.550.27-0.080.030.090.12
TLTiShares 20+ Year Treasury Bond ETF-0.34-0.350.551.000.200.090.170.170.18
GLDSPDR Gold Shares0.070.050.270.201.000.230.600.700.78
VWINXVanguard Wellesley Income Inv0.840.78-0.080.090.231.000.840.850.78

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VITSXVanguard Total Stock Market Idx I$6,770
VBRVanguard Small-Cap Value ETF$4,487
SHYiShares 1-3 Year Treasury Bond ETF$1,131
TLTiShares 20+ Year Treasury Bond ETF$5,190
GLDSPDR Gold Shares$5,585$5,465$6,923
VWINXVanguard Wellesley Income Inv$16,151$15,495

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VITSXVanguard Total Stock Market Idx I29.51%
VBRVanguard Small-Cap Value ETF37.24%
SHYiShares 1-3 Year Treasury Bond ETF0.09%
TLTiShares 20+ Year Treasury Bond ETF5.86%
GLDSPDR Gold Shares27.29%37.35%48.76%
VWINXVanguard Wellesley Income Inv62.65%51.24%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.88%17.79%-4.73%7.61%17.63%-6.89%7.72%18.03%-6.15%
3 years7.37%12.42%3.91%7.13%13.82%2.15%7.20%14.26%1.15%
5 years7.38%10.36%4.40%7.10%10.40%4.12%7.08%10.26%3.92%
7 years7.58%8.88%5.23%7.16%9.48%4.50%7.08%10.01%4.06%
10 years7.57%8.56%7.08%7.17%8.01%6.70%7.12%8.20%6.60%
15 years7.67%7.67%7.67%7.38%7.38%7.38%7.48%7.48%7.48%
Result statistics are based on annualized rolling returns over full calendar year periods