Backtest Portfolio Asset Allocation

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

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

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2000 - May 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock Index Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$32,017 5.87% 15.51%33.35%-37.04%-50.89% 0.340.471.00
Portfolio 2$10,000$17,590 2.80% 17.38%40.34%-44.10%-58.50% 0.150.210.88
Portfolio 3$10,000$47,598 7.94% 10.92%29.28%-13.03%-16.68% 0.611.05-0.31
   
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 May
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20003.39%-10.57%-15.61%19.72%$8,943$8,439$11,972-10.57%-15.61%19.72%
20011.55%-10.97%-20.15%4.31%$7,962$6,738$12,488-10.97%-20.15%4.31%
20022.38%-20.96%-15.08%16.67%$6,293$5,722$14,570-20.96%-15.08%16.67%
20031.88%31.35%40.34%2.68%$8,266$8,030$14,96031.35%40.34%2.68%
20043.26%12.51%20.84%7.12%$9,301$9,703$16,02512.51%20.84%7.12%
20053.42%5.98%15.57%6.61%$9,857$11,214$17,0845.98%15.57%6.61%
20062.54%15.51%26.64%1.74%$11,386$14,201$17,38215.51%26.64%1.74%
20074.08%5.49%15.52%9.24%$12,011$16,405$18,9895.49%15.52%9.24%
20080.09%-37.04%-44.10%22.52%$7,562$9,170$23,265-37.04%-44.10%22.52%
20092.72%28.70%36.73%-12.05%$9,732$12,538$20,46128.70%36.73%-12.05%
20101.50%17.09%11.12%8.93%$11,396$13,933$22,28917.09%11.12%8.93%
20112.96%0.96%-14.56%29.28%$11,506$11,903$28,8140.96%-14.56%29.28%
20121.74%16.25%18.14%3.47%$13,376$14,063$29,81316.25%18.14%3.47%
20131.50%33.35%15.04%-13.03%$17,836$16,179$25,92933.35%15.04%-13.03%
20140.76%12.43%-4.24%25.28%$20,053$15,493$32,48412.43%-4.24%25.28%
20150.73%0.29%-4.37%-1.54%$20,112$14,815$31,9840.29%-4.37%-1.54%
20162.07%12.53%4.65%1.20%$22,633$15,505$32,36812.53%4.65%1.20%
20172.11%21.05%27.40%8.58%$27,398$19,752$35,14621.05%27.40%8.58%
20181.91%-5.26%-14.44%-1.90%$25,958$16,900$34,477-5.26%-14.44%-1.90%
20192.29%30.65%21.43%14.13%$33,913$20,521$39,34730.65%21.43%14.13%
2020-0.23%-5.59%-14.29%20.97%$32,017$17,590$47,598-5.59%-14.29%20.97%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20001-4.18%-6.22%1.25%$9,582$9,378$10,125-4.18%-6.22%1.25%
200022.54%2.83%2.96%$9,825$9,644$10,4252.54%2.83%2.96%
200035.69%3.48%3.14%$10,384$9,979$10,7525.69%3.48%3.14%
20004-5.21%-5.41%-0.66%$9,843$9,439$10,680-5.21%-5.41%-0.66%
20005-3.41%-2.67%-0.46%$9,508$9,187$10,632-3.41%-2.67%-0.46%
200064.42%4.27%2.30%$9,928$9,579$10,8764.42%4.27%2.30%
20007-1.95%-4.46%1.49%$9,734$9,152$11,038-1.95%-4.46%1.49%
200087.28%1.00%2.08%$10,443$9,243$11,2677.28%1.00%2.08%
20009-4.67%-5.00%-0.85%$9,955$8,781$11,171-4.67%-5.00%-0.85%
200010-2.04%-3.03%1.57%$9,752$8,514$11,346-2.04%-3.03%1.57%
200011-9.90%-4.44%2.99%$8,786$8,136$11,686-9.90%-4.44%2.99%
2000121.78%3.72%2.45%$8,943$8,439$11,9721.78%3.72%2.45%
200113.83%1.10%0.28%$9,285$8,531$12,0063.83%1.10%0.28%
20012-9.41%-7.61%1.80%$8,411$7,882$12,222-9.41%-7.61%1.80%
20013-6.72%-7.15%-0.60%$7,846$7,319$12,149-6.72%-7.15%-0.60%
200148.16%7.89%-2.56%$8,486$7,896$11,8378.16%7.89%-2.56%
200151.01%-3.52%0.21%$8,572$7,618$11,8611.01%-3.52%0.21%
20016-1.64%-3.84%0.76%$8,432$7,326$11,952-1.64%-3.84%0.76%
20017-1.71%-2.43%3.61%$8,287$7,147$12,383-1.71%-2.43%3.61%
20018-6.00%-2.30%2.02%$7,790$6,983$12,634-6.00%-2.30%2.02%
20019-9.00%-10.73%0.88%$7,089$6,234$12,745-9.00%-10.73%0.88%
2001102.52%2.97%5.12%$7,268$6,420$13,3982.52%2.97%5.12%
2001117.63%3.56%-5.07%$7,822$6,648$12,7197.63%3.56%-5.07%
2001121.78%1.35%-1.82%$7,962$6,738$12,4881.78%1.35%-1.82%
20021-1.24%-4.63%1.20%$7,863$6,426$12,638-1.24%-4.63%1.20%
20022-2.05%0.90%1.24%$7,702$6,484$12,795-2.05%0.90%1.24%
200234.38%5.71%-3.86%$8,039$6,854$12,3014.38%5.71%-3.86%
20024-4.90%0.42%3.73%$7,645$6,883$12,761-4.90%0.42%3.73%
20025-1.22%1.16%0.39%$7,552$6,963$12,811-1.22%1.16%0.39%
20026-7.06%-4.28%1.76%$7,019$6,665$13,036-7.06%-4.28%1.76%
20027-8.02%-9.80%2.93%$6,456$6,012$13,417-8.02%-9.80%2.93%
200280.53%-0.12%4.28%$6,490$6,005$13,9920.53%-0.12%4.28%
20029-10.07%-10.88%4.02%$5,837$5,351$14,554-10.07%-10.88%4.02%
2002107.65%5.70%-2.84%$6,283$5,656$14,1417.65%5.70%-2.84%
2002116.06%4.75%-0.98%$6,664$5,925$14,0036.06%4.75%-0.98%
200212-5.57%-3.43%4.05%$6,293$5,722$14,570-5.57%-3.43%4.05%
20031-2.54%-3.76%-0.45%$6,133$5,507$14,505-2.54%-3.76%-0.45%
20032-1.69%-2.42%3.03%$6,030$5,373$14,944-1.69%-2.42%3.03%
200331.09%-1.93%-1.13%$6,095$5,270$14,7751.09%-1.93%-1.13%
200348.21%9.70%0.91%$6,595$5,781$14,9098.21%9.70%0.91%
200356.11%6.15%5.67%$6,998$6,137$15,7556.11%6.15%5.67%
200361.43%2.66%-1.48%$7,099$6,300$15,5211.43%2.66%-1.48%
200372.36%3.18%-8.57%$7,266$6,500$14,1902.36%3.18%-8.57%
200382.39%2.51%1.43%$7,439$6,663$14,3932.39%2.51%1.43%
20039-1.15%2.78%5.07%$7,354$6,848$15,122-1.15%2.78%5.07%
2003106.12%6.49%-2.58%$7,804$7,293$14,7326.12%6.49%-2.58%
2003111.38%2.13%0.31%$7,912$7,449$14,7781.38%2.13%0.31%
2003124.48%7.80%1.23%$8,266$8,030$14,9604.48%7.80%1.23%
200412.23%1.60%1.74%$8,451$8,158$15,2212.23%1.60%1.74%
200421.43%2.50%1.96%$8,571$8,362$15,5201.43%2.50%1.96%
20043-1.07%0.45%1.45%$8,480$8,400$15,744-1.07%0.45%1.45%
20044-2.11%-3.14%-5.52%$8,301$8,135$14,875-2.11%-3.14%-5.52%
200451.35%0.46%-0.56%$8,413$8,173$14,7921.35%0.46%-0.56%
200462.09%2.40%0.87%$8,588$8,369$14,9212.09%2.40%0.87%
20047-3.80%-3.34%1.52%$8,262$8,090$15,147-3.80%-3.34%1.52%
200480.31%0.75%3.39%$8,287$8,151$15,6600.31%0.75%3.39%
200491.74%2.96%0.94%$8,432$8,392$15,8071.74%2.96%0.94%
2004101.68%3.24%1.46%$8,573$8,664$16,0371.68%3.24%1.46%
2004114.68%7.23%-2.25%$8,974$9,290$15,6774.68%7.23%-2.25%
2004123.63%4.44%2.22%$9,301$9,703$16,0253.63%4.44%2.22%
20051-2.68%-1.67%2.59%$9,052$9,541$16,441-2.68%-1.67%2.59%
200522.07%4.68%-1.24%$9,239$9,988$16,2372.07%4.68%-1.24%
20053-1.75%-2.93%-0.76%$9,078$9,695$16,114-1.75%-2.93%-0.76%
20054-2.32%-2.07%3.22%$8,867$9,495$16,634-2.32%-2.07%3.22%
200553.77%0.08%2.55%$9,201$9,503$17,0583.77%0.08%2.55%
200560.81%1.30%1.64%$9,276$9,626$17,3380.81%1.30%1.64%
200574.11%3.68%-2.58%$9,657$9,980$16,8914.11%3.68%-2.58%
20058-0.94%2.85%2.87%$9,565$10,265$17,376-0.94%2.85%2.87%
200590.86%4.73%-2.78%$9,647$10,750$16,8940.86%4.73%-2.78%
200510-1.86%-3.37%-1.74%$9,468$10,388$16,600-1.86%-3.37%-1.74%
2005113.97%2.67%0.57%$9,843$10,666$16,6953.97%2.67%0.57%
2005120.14%5.14%2.33%$9,857$11,214$17,0840.14%5.14%2.33%
200613.50%6.87%-0.90%$10,202$11,984$16,9313.50%6.87%-0.90%
200620.00%-0.72%0.81%$10,202$11,897$17,0670.00%-0.72%0.81%
200631.80%3.17%-3.39%$10,386$12,275$16,4881.80%3.17%-3.39%
200641.11%5.12%-1.96%$10,501$12,903$16,1651.11%5.12%-1.96%
20065-3.23%-4.45%-0.03%$10,161$12,330$16,161-3.23%-4.45%-0.03%
200660.17%-0.38%0.71%$10,179$12,282$16,2750.17%-0.38%0.71%
20067-0.13%1.15%1.84%$10,166$12,424$16,574-0.13%1.15%1.84%
200682.31%2.53%2.74%$10,401$12,738$17,0282.31%2.53%2.74%
200692.27%0.25%1.58%$10,636$12,770$17,2962.27%0.25%1.58%
2006103.53%4.00%0.77%$11,012$13,280$17,4293.53%4.00%0.77%
2006112.23%3.73%1.91%$11,258$13,776$17,7622.23%3.73%1.91%
2006121.13%3.09%-2.14%$11,386$14,201$17,3821.13%3.09%-2.14%
200711.88%0.96%-0.85%$11,599$14,337$17,2351.88%0.96%-0.85%
20072-1.61%0.06%2.93%$11,412$14,345$17,740-1.61%0.06%2.93%
200731.11%2.80%-1.13%$11,539$14,747$17,5391.11%2.80%-1.13%
200744.01%3.92%0.86%$12,002$15,326$17,6904.01%3.92%0.86%
200753.69%3.09%-1.93%$12,444$15,800$17,3483.69%3.09%-1.93%
20076-1.67%0.61%-0.88%$12,236$15,897$17,195-1.67%0.61%-0.88%
20077-3.41%-1.06%2.39%$11,819$15,728$17,605-3.41%-1.06%2.39%
200781.45%-0.72%1.97%$11,991$15,615$17,9531.45%-0.72%1.97%
200793.59%6.38%0.21%$12,422$16,612$17,9913.59%6.38%0.21%
2007101.85%5.90%1.40%$12,651$17,592$18,2421.85%5.90%1.40%
200711-4.49%-4.57%4.59%$12,084$16,789$19,080-4.49%-4.57%4.59%
200712-0.60%-2.28%-0.48%$12,011$16,405$18,989-0.60%-2.28%-0.48%
20081-6.08%-8.55%2.64%$11,280$15,003$19,491-6.08%-8.55%2.64%
20082-3.07%0.33%0.35%$10,934$15,052$19,559-3.07%0.33%0.35%
20083-0.58%-0.71%1.02%$10,870$14,945$19,759-0.58%-0.71%1.02%
200845.02%5.85%-1.84%$11,416$15,819$19,3955.02%5.85%-1.84%
200852.09%1.51%-2.13%$11,655$16,059$18,9832.09%1.51%-2.13%
20086-8.19%-8.99%1.80%$10,700$14,615$19,324-8.19%-8.99%1.80%
20087-0.77%-3.67%0.30%$10,618$14,079$19,381-0.77%-3.67%0.30%
200881.58%-5.10%1.80%$10,786$13,362$19,7311.58%-5.10%1.80%
20089-9.26%-13.09%0.28%$9,787$11,613$19,787-9.26%-13.09%0.28%
200810-17.63%-22.09%-3.63%$8,061$9,048$19,069-17.63%-22.09%-3.63%
200811-7.90%-6.29%12.07%$7,424$8,479$21,370-7.90%-6.29%12.07%
2008121.86%8.16%8.87%$7,562$9,170$23,2651.86%8.16%8.87%
20091-8.26%-11.96%-8.47%$6,938$8,074$21,294-8.26%-11.96%-8.47%
20092-10.45%-9.58%-1.01%$6,213$7,301$21,079-10.45%-9.58%-1.01%
200938.65%9.31%5.27%$6,750$7,980$22,1898.65%9.31%5.27%
2009410.61%12.78%-4.99%$7,466$9,000$21,08210.61%12.78%-4.99%
200955.38%14.35%-2.68%$7,868$10,292$20,5185.38%14.35%-2.68%
200960.34%-1.32%0.70%$7,895$10,156$20,6620.34%-1.32%0.70%
200977.82%9.96%0.80%$8,513$11,168$20,8277.82%9.96%0.80%
200983.63%3.50%1.68%$8,821$11,558$21,1783.63%3.50%1.68%
200994.23%5.15%1.98%$9,194$12,153$21,5984.23%5.15%1.98%
200910-2.57%-2.17%-1.45%$8,958$11,890$21,284-2.57%-2.17%-1.45%
2009115.63%3.86%1.91%$9,462$12,349$21,6895.63%3.86%1.91%
2009122.86%1.53%-5.66%$9,732$12,538$20,4612.86%1.53%-5.66%
20101-3.50%-5.07%2.66%$9,392$11,903$21,006-3.50%-5.07%2.66%
201023.36%0.22%-0.21%$9,708$11,929$20,9623.36%0.22%-0.21%
201036.27%6.71%-1.51%$10,316$12,730$20,6456.27%6.71%-1.51%
201042.17%-1.71%2.76%$10,541$12,512$21,2152.17%-1.71%2.76%
20105-8.00%-10.78%4.23%$9,697$11,163$22,113-8.00%-10.78%4.23%
20106-5.66%-1.17%4.67%$9,148$11,033$23,145-5.66%-1.17%4.67%
201076.99%10.33%-0.17%$9,788$12,173$23,1056.99%10.33%-0.17%
20108-4.75%-3.22%7.08%$9,323$11,781$24,741-4.75%-3.22%7.08%
201099.47%10.41%-1.82%$10,206$13,008$24,2909.47%10.41%-1.82%
2010103.94%3.55%-3.29%$10,608$13,469$23,4913.94%3.55%-3.29%
2010110.58%-4.52%-1.60%$10,670$12,860$23,1160.58%-4.52%-1.60%
2010126.81%8.34%-3.58%$11,396$13,933$22,2896.81%8.34%-3.58%
201112.19%0.70%-2.38%$11,645$14,030$21,7592.19%0.70%-2.38%
201123.60%2.71%1.24%$12,064$14,410$22,0283.60%2.71%1.24%
201130.45%-0.43%0.02%$12,118$14,348$22,0330.45%-0.43%0.02%
201142.99%5.24%2.04%$12,481$15,100$22,4822.99%5.24%2.04%
20115-1.16%-2.87%3.29%$12,336$14,666$23,222-1.16%-2.87%3.29%
20116-1.79%-1.51%-2.00%$12,115$14,445$22,759-1.79%-1.51%-2.00%
20117-2.28%-1.53%4.18%$11,839$14,224$23,710-2.28%-1.53%4.18%
20118-5.99%-8.45%8.68%$11,129$13,022$25,768-5.99%-8.45%8.68%
20119-7.75%-12.29%10.16%$10,266$11,422$28,387-7.75%-12.29%10.16%
20111011.51%10.22%-3.34%$11,447$12,589$27,44011.51%10.22%-3.34%
201111-0.29%-2.88%1.82%$11,415$12,226$27,939-0.29%-2.88%1.82%
2011120.80%-2.64%3.13%$11,506$11,903$28,8140.80%-2.64%3.13%
201215.08%7.27%0.08%$12,090$12,769$28,8375.08%7.27%0.08%
201224.26%5.14%-2.11%$12,605$13,426$28,2284.26%5.14%-2.11%
201233.07%-0.75%-3.77%$12,992$13,325$27,1643.07%-0.75%-3.77%
20124-0.65%-1.78%4.37%$12,907$13,088$28,351-0.65%-1.78%4.37%
20125-6.24%-11.14%7.79%$12,102$11,630$30,559-6.24%-11.14%7.79%
201263.91%6.03%-1.44%$12,575$12,332$30,1183.91%6.03%-1.44%
201271.03%0.44%3.32%$12,705$12,386$31,1191.03%0.44%3.32%
201282.48%2.72%-1.06%$13,020$12,724$30,7882.48%2.72%-1.06%
201292.58%3.62%-2.10%$13,356$13,184$30,1422.58%3.62%-2.10%
201210-1.76%0.56%-0.43%$13,121$13,259$30,012-1.76%0.56%-0.43%
2012110.74%1.82%1.35%$13,218$13,499$30,4170.74%1.82%1.35%
2012121.19%4.17%-1.99%$13,376$14,063$29,8131.19%4.17%-1.99%
201315.50%3.34%-3.27%$14,111$14,532$28,8365.50%3.34%-3.27%
201321.28%-1.23%1.26%$14,291$14,354$29,2001.28%-1.23%1.26%
201333.88%0.77%0.03%$14,846$14,464$29,2103.88%0.77%0.03%
201341.70%3.58%3.87%$15,099$14,981$30,3411.70%3.58%3.87%
201352.32%-2.95%-6.23%$15,449$14,539$28,4512.32%-2.95%-6.23%
20136-1.27%-3.75%-3.26%$15,253$13,994$27,524-1.27%-3.75%-3.26%
201375.49%4.56%-1.93%$16,089$14,633$26,9935.49%4.56%-1.93%
20138-2.82%-1.63%-1.28%$15,635$14,395$26,648-2.82%-1.63%-1.28%
201393.66%7.21%0.88%$16,208$15,433$26,8823.66%7.21%0.88%
2013104.22%3.41%1.32%$16,892$15,960$27,2384.22%3.41%1.32%
2013112.88%0.12%-2.49%$17,379$15,979$26,5602.88%0.12%-2.49%
2013122.63%1.25%-2.37%$17,836$16,179$25,9292.63%1.25%-2.37%
20141-3.11%-4.78%6.26%$17,282$15,406$27,552-3.11%-4.78%6.26%
201424.73%5.39%0.60%$18,100$16,237$27,7174.73%5.39%0.60%
201430.51%0.41%0.63%$18,193$16,303$27,8910.51%0.41%0.63%
201440.06%1.31%1.82%$18,205$16,517$28,3980.06%1.31%1.82%
201452.17%1.88%2.73%$18,600$16,828$29,1732.17%1.88%2.73%
201462.54%1.74%-0.16%$19,072$17,121$29,1272.54%1.74%-0.16%
20147-1.98%-1.61%0.59%$18,694$16,846$29,300-1.98%-1.61%0.59%
201484.18%1.05%4.23%$19,476$17,023$30,5394.18%1.05%4.23%
20149-2.14%-5.01%-1.99%$19,060$16,170$29,932-2.14%-5.01%-1.99%
2014102.74%-0.31%2.61%$19,582$16,120$30,7142.74%-0.31%2.61%
2014112.41%-0.25%2.86%$20,054$16,081$31,5942.41%-0.25%2.86%
201412-0.01%-3.65%2.82%$20,053$15,493$32,484-0.01%-3.65%2.82%
20151-2.77%0.13%8.97%$19,497$15,513$35,396-2.77%0.13%8.97%
201525.76%5.52%-5.66%$20,621$16,370$33,3935.76%5.52%-5.66%
20153-1.04%-1.54%1.13%$20,407$16,118$33,770-1.04%-1.54%1.13%
201540.42%5.08%-3.07%$20,493$16,937$32,7330.42%5.08%-3.07%
201551.39%-0.94%-2.16%$20,778$16,777$32,0261.39%-0.94%-2.16%
20156-1.71%-2.69%-3.73%$20,423$16,326$30,833-1.71%-2.69%-3.73%
201571.63%-0.80%4.21%$20,756$16,195$32,1301.63%-0.80%4.21%
20158-6.03%-7.29%-0.71%$19,505$15,013$31,901-6.03%-7.29%-0.71%
20159-2.93%-3.90%1.91%$18,933$14,428$32,510-2.93%-3.90%1.91%
2015107.84%6.26%-0.48%$20,418$15,331$32,3557.84%6.26%-0.48%
2015110.54%-1.32%-0.81%$20,529$15,128$32,0930.54%-1.32%-0.81%
201512-2.03%-2.07%-0.34%$20,112$14,815$31,984-2.03%-2.07%-0.34%
20161-5.67%-5.59%5.24%$18,972$13,987$33,659-5.67%-5.59%5.24%
20162-0.04%-2.27%2.86%$18,964$13,670$34,622-0.04%-2.27%2.86%
201637.01%8.19%0.05%$20,293$14,789$34,6407.01%8.19%0.05%
201640.63%2.22%-0.63%$20,420$15,118$34,4220.63%2.22%-0.63%
201651.79%-1.02%0.69%$20,786$14,964$34,6581.79%-1.02%0.69%
201660.23%-0.94%6.57%$20,833$14,822$36,9360.23%-0.94%6.57%
201673.95%4.41%2.01%$21,656$15,476$37,6783.95%4.41%2.01%
201680.26%0.74%-1.00%$21,712$15,590$37,3010.26%0.74%-1.00%
201690.15%1.37%-1.32%$21,745$15,804$36,8100.15%1.37%-1.32%
201610-2.21%-1.72%-4.23%$21,263$15,532$35,252-2.21%-1.72%-4.23%
2016114.44%-2.15%-7.86%$22,206$15,198$32,4824.44%-2.15%-7.86%
2016121.92%2.02%-0.35%$22,633$15,505$32,3681.92%2.02%-0.35%
201711.91%3.87%0.65%$23,065$16,105$32,5771.91%3.87%0.65%
201723.71%1.50%1.57%$23,921$16,347$33,0883.71%1.50%1.57%
201730.07%2.82%-0.59%$23,937$16,808$32,8930.07%2.82%-0.59%
201741.05%2.20%1.58%$24,188$17,178$33,4141.05%2.20%1.58%
201751.01%3.01%1.73%$24,431$17,695$33,9921.01%3.01%1.73%
201760.92%0.52%0.63%$24,656$17,788$34,2080.92%0.52%0.63%
201771.87%3.42%-0.59%$25,117$18,396$34,0051.87%3.42%-0.59%
201780.15%0.64%3.27%$25,153$18,513$35,1180.15%0.64%3.27%
201792.45%1.81%-2.27%$25,770$18,848$34,3212.45%1.81%-2.27%
2017102.16%1.94%-0.02%$26,326$19,213$34,3142.16%1.94%-0.02%
2017113.04%0.78%0.63%$27,128$19,363$34,5313.04%0.78%0.63%
2017120.99%2.01%1.78%$27,398$19,752$35,1460.99%2.01%1.78%
201815.31%5.59%-3.40%$28,852$20,857$33,9505.31%5.59%-3.40%
20182-3.72%-5.14%-2.89%$27,780$19,785$32,970-3.72%-5.14%-2.89%
20183-1.99%-0.64%2.75%$27,226$19,659$33,878-1.99%-0.64%2.75%
201840.38%0.83%-2.04%$27,329$19,822$33,1880.38%0.83%-2.04%
201852.79%-1.92%1.79%$28,092$19,442$33,7842.79%-1.92%1.79%
201860.68%-2.08%0.66%$28,282$19,037$34,0060.68%-2.08%0.66%
201873.34%2.48%-1.28%$29,226$19,509$33,5713.34%2.48%-1.28%
201883.44%-2.19%1.18%$30,232$19,081$33,9683.44%-2.19%1.18%
201890.16%0.30%-2.74%$30,280$19,139$33,0370.16%0.30%-2.74%
201810-7.40%-8.35%-2.82%$28,039$17,540$32,106-7.40%-8.35%-2.82%
2018112.06%1.26%1.78%$28,617$17,761$32,6792.06%1.26%1.78%
201812-9.29%-4.85%5.50%$25,958$16,900$34,477-9.29%-4.85%5.50%
201918.59%7.58%0.49%$28,186$18,181$34,6478.59%7.58%0.49%
201923.50%1.72%-1.31%$29,173$18,493$34,1953.50%1.72%-1.31%
201931.44%0.72%5.47%$29,592$18,627$36,0651.44%0.72%5.47%
201943.98%2.76%-1.88%$30,769$19,141$35,3883.98%2.76%-1.88%
20195-6.45%-5.55%6.65%$28,785$18,079$37,742-6.45%-5.55%6.65%
201966.97%5.83%1.01%$30,791$19,133$38,1226.97%5.83%1.01%
201971.44%-1.89%0.22%$31,234$18,771$38,2051.44%-1.89%0.22%
20198-2.03%-2.35%10.68%$30,601$18,330$42,285-2.03%-2.35%10.68%
201991.70%2.72%-2.62%$31,122$18,829$41,1771.70%2.72%-2.62%
2019102.10%3.38%-1.10%$31,775$19,466$40,7232.10%3.38%-1.10%
2019113.77%1.11%-0.39%$32,973$19,682$40,5623.77%1.11%-0.39%
2019122.85%4.27%-3.00%$33,913$20,521$39,3472.85%4.27%-3.00%
20201-0.08%-3.30%7.29%$33,888$19,844$42,216-0.08%-3.30%7.29%
20202-8.18%-6.72%6.58%$31,116$18,511$44,994-8.18%-6.72%6.58%
20203-13.78%-16.11%5.67%$26,829$15,528$47,545-13.78%-16.11%5.67%
2020413.25%8.09%1.81%$30,383$16,783$48,40813.25%8.09%1.81%
202055.38%4.80%-1.67%$32,017$17,590$47,5985.38%4.80%-1.67%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value37.25%0.00%0.00%
Large-cap Growth44.41%0.00%0.00%
Mid-cap Value4.43%3.39%0.00%
Mid-cap Growth8.20%0.00%0.00%
Small-cap Value2.21%0.00%0.00%
Small-cap Growth2.96%0.00%0.00%
Global ex-US Developed Markets0.12%73.20%0.00%
Emerging Markets0.42%21.93%0.89%
REITs0.00%0.00%0.48%
Corporate Bonds0.00%1.48%0.00%
Long-Term Treasuries0.00%0.00%75.47%
Intermediate-Term Treasuries0.00%0.00%23.15%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.88%99.45%98.16%
Style analysis is based on monthly returns from Apr 2005 to May 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/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%19.23$22,017100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend100.00%0.17%13.94$7,590100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government100.00%0.20%18.33$37,598100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (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)0.58%0.36%0.69%
Arithmetic Mean (annualized)7.16%4.39%8.57%
Geometric Mean (monthly)0.48%0.23%0.64%
Geometric Mean (annualized)5.87%2.80%7.94%
Volatility (monthly)4.48%5.02%3.15%
Volatility (annualized)15.51%17.38%10.92%
Downside Deviation (monthly)3.16%3.61%1.77%
Max. Drawdown-50.89%-58.50%-16.68%
US Market Correlation1.000.88-0.31
Beta(*)1.000.99-0.22
Alpha (annualized)0.00%-2.52%9.78%
R2100.00%77.30%9.86%
Sharpe Ratio0.340.150.61
Sortino Ratio0.470.211.05
Treynor Ratio (%)5.302.71-29.94
Calmar Ratio0.45-0.011.37
Active Return-0.00%-3.06%2.08%
Tracking Error0.00%8.28%21.59%
Information Ratio-0.00-0.370.10
Skewness-0.63-0.640.35
Excess Kurtosis1.231.761.29
Historical Value-at-Risk (5%)-8.13%-8.86%-3.76%
Analytical Value-at-Risk (5%)-6.79%-7.89%-4.50%
Conditional Value-at-Risk (5%)-10.29%-12.29%-5.82%
Upside Capture Ratio (%)100.0090.96-1.22
Downside Capture Ratio (%)100.00104.85-49.88
Safe Withdrawal Rate4.84%4.70%8.57%
Perpetual Withdrawal Rate3.65%0.72%5.54%
Positive Periods157 out of 245 (64.08%)143 out of 245 (58.37%)146 out of 245 (59.59%)
Gain/Loss Ratio0.770.861.21
* 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
Dotcom CrashMar 2000Oct 2002-44.11%-46.38%-8.18%
Subprime CrisisNov 2007Mar 2009-50.89%-58.50%-9.39%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (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%
3Jan 2020Mar 20203 months-20.89%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8May 2019May 20191 monthJun 20191 month2 months-6.45%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20178 years 3 months9 years 7 months-58.50%
2Jan 2000Mar 20033 years 3 monthsAug 20052 years 5 months5 years 8 months-47.30%
3Feb 2018Mar 20202 years 2 months-25.55%
4May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
5Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
6Jul 2007Aug 20072 monthsSep 20071 month3 months-1.77%
7Feb 2006Feb 20061 monthMar 20061 month2 months-0.72%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-14.79%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.05%
6Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
7Nov 2001Mar 20025 monthsJul 20024 months9 months-8.18%
8Sep 2005May 20069 monthsOct 20065 months1 year 2 months-7.00%
9Sep 2019Dec 20194 monthsFeb 20202 months6 months-6.95%
10Feb 2012Mar 20122 monthsMay 20122 months4 months-5.80%
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 Inv5.87%15.51%33.35%-37.04%-50.89%0.340.471.00
VGTSXVanguard Total Intl Stock Index Inv2.80%17.38%40.34%-44.10%-58.50%0.150.210.88
VUSTXVanguard Long-Term Treasury Inv7.94%10.92%29.28%-13.03%-16.68%0.611.05-0.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVUSTXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv1.000.88-0.311.000.88-0.31
VGTSXVanguard Total Intl Stock Index Inv0.881.00-0.250.881.00-0.25
VUSTXVanguard Long-Term Treasury Inv-0.31-0.251.00-0.31-0.251.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$22,017
VGTSXVanguard Total Intl Stock Index Inv$7,590
VUSTXVanguard Long-Term Treasury Inv$37,598

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VGTSXVanguard Total Intl Stock Index Inv100.00%
VUSTXVanguard Long-Term Treasury Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.97%33.35%-37.04%6.04%40.34%-44.10%7.65%29.28%-13.03%
3 years7.18%20.34%-14.31%5.22%25.14%-16.98%6.67%13.37%2.37%
5 years7.58%18.72%-1.76%5.46%23.45%-3.47%6.51%10.64%2.19%
7 years7.57%15.00%-0.73%5.21%11.86%-0.81%6.49%9.30%2.60%
10 years7.21%13.30%-0.27%4.70%9.41%0.88%6.63%8.72%4.01%
15 years7.46%10.30%4.75%5.22%8.61%2.96%6.57%8.17%5.72%
Result statistics are based on annualized rolling returns over full calendar year periods