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 - Jun 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
VBMFX Vanguard Total Bond Market Index Inv 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$2,003,466 3.28% 7.49%5.94%15.54%33.35%-37.04%-50.89%
(-58.80%)
0.440.631.00
Portfolio 2$1,000,000$1,912,924 3.06% 7.26%6.03%12.23%26.24%-28.62%-41.22%
(-47.49%)
0.510.731.00
Portfolio 3$1,000,000$1,763,841 2.67% 6.85%5.98%9.09%21.83%-20.20%-30.72%
(-36.16%)
0.600.890.99
* The number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 18.25%15.19%44.18%18.63%17.78%14.57%7.49%19.40%15.63%
Portfolio 27.09%11.80%34.17%16.05%14.83%12.40%7.26%15.42%12.44%
Portfolio 35.89%8.42%24.73%13.42%11.87%10.19%6.85%11.57%9.36%
Trailing annualized return and volatility are for full months ending in June 2021 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 2021 are based on monthly returns from January to June
  • 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
  • Annual withdrawal of 4.00% of portfolio balance is reflected in the CAGR and maximum drawdown shown above
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceCashflowReturnBalanceCashflowReturnBalanceCashflow
20003.39%-10.57%$858,483-$35,770-6.18%$900,658-$37,527-1.79%$942,833-$39,285-10.57%11.39%
20011.55%-10.97%$733,769-$30,574-7.09%$803,353-$33,473-3.21%$876,079-$36,503-10.97%8.43%
20022.38%-20.96%$556,766-$23,199-15.12%$654,633-$27,276-9.27%$763,044-$31,793-20.96%8.26%
20031.88%31.35%$702,080-$29,25325.88%$791,076-$32,96220.40%$881,969-$36,74931.35%3.97%
20043.26%12.51%$758,343-$31,59810.86%$841,899-$35,0799.20%$924,615-$38,52612.51%4.24%
20053.42%5.98%$771,548-$32,1485.26%$850,764-$35,4484.55%$927,986-$38,6665.98%2.40%
20062.54%15.51%$855,573-$35,64913.26%$925,053-$38,54411.01%$988,988-$41,20815.51%4.27%
20074.08%5.49%$866,439-$36,1025.78%$939,343-$39,1396.06%$1,006,984-$41,9585.49%6.92%
20080.09%-37.04%$523,708-$21,821-28.62%$643,686-$26,820-20.20%$771,415-$32,142-37.04%5.05%
20092.72%28.70%$647,041-$26,96024.15%$767,142-$31,96419.59%$885,653-$36,90228.70%5.93%
20101.50%17.09%$727,339-$30,30614.96%$846,624-$35,27612.82%$959,267-$39,96917.09%6.42%
20112.96%0.96%$704,963-$29,3732.28%$831,300-$34,6373.60%$954,052-$39,7520.96%7.56%
20121.74%16.25%$786,759-$32,78213.81%$908,274-$37,84511.37%$1,020,035-$42,50116.25%4.05%
20131.50%33.35%$1,007,175-$41,96626.23%$1,100,630-$45,86019.10%$1,166,315-$48,59633.35%-2.26%
20140.76%12.43%$1,087,065-$45,29411.09%$1,173,835-$48,9109.76%$1,228,949-$51,20612.43%5.76%
20150.73%0.29%$1,046,647-$43,6100.29%$1,130,202-$47,0920.30%$1,183,279-$49,3030.29%0.30%
20162.07%12.53%$1,130,714-$47,11310.53%$1,199,202-$49,9678.52%$1,232,719-$51,36312.53%2.50%
20172.11%21.05%$1,313,996-$54,75017.53%$1,353,086-$56,37914.02%$1,349,272-$56,22021.05%3.46%
20181.91%-5.26%$1,195,133-$49,797-4.23%$1,244,012-$51,834-3.20%$1,253,792-$52,241-5.26%-0.13%
20192.29%30.65%$1,498,969-$62,45726.24%$1,507,625-$62,81821.83%$1,466,415-$61,10130.65%8.61%
20201.36%20.87%$1,739,330-$72,47218.22%$1,710,998-$71,29215.57%$1,626,902-$67,78820.87%7.61%
20214.31%15.19%$2,003,466$0.0011.80%$1,912,924$0.008.42%$1,763,841$0.0015.19%-1.74%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
20001-4.18%$958,158-3.38%$966,179-2.58%$974,200-4.18%-0.17%
200022.54%$982,5412.26%$988,0331.98%$993,5262.54%1.18%
200035.69%$1,038,4124.81%$1,035,5643.94%$1,032,7175.69%1.40%
20004-5.21%$984,331-4.27%$991,298-3.34%$998,265-5.21%-0.49%
20005-3.41%$950,795-2.74%$964,135-2.08%$977,476-3.41%-0.16%
200064.42%$992,8173.94%$1,002,1273.47%$1,011,4364.42%2.15%
20007-1.95%$973,434-1.36%$988,450-0.79%$1,003,466-1.95%0.88%
200087.28%$1,044,3066.03%$1,048,0804.82%$1,051,8547.28%1.40%
20009-4.67%$995,530-3.57%$1,010,676-2.47%$1,025,821-4.67%0.76%
200010-2.04%$975,182-1.49%$995,612-0.95%$1,016,041-2.04%0.57%
200011-9.90%$878,605-7.42%$921,759-5.03%$964,913-9.90%1.58%
2000121.78%$858,4831.78%$900,6581.78%$942,8331.78%1.79%
200113.83%$891,3443.41%$931,4093.00%$971,1253.83%1.76%
20012-9.41%$807,432-7.38%$862,647-5.33%$919,318-9.41%0.91%
20013-6.72%$753,171-5.16%$818,102-3.66%$885,648-6.72%0.54%
200148.16%$814,6606.20%$868,8464.37%$924,3598.16%-0.46%
200151.01%$822,8980.95%$877,1180.89%$932,6301.01%0.73%
20016-1.64%$809,440-1.18%$866,801-0.73%$925,810-1.64%0.52%
20017-1.71%$795,580-0.86%$859,345-0.04%$925,421-1.71%2.23%
20018-6.00%$747,810-4.42%$821,378-2.92%$898,395-6.00%1.11%
20019-9.00%$680,532-6.66%$766,645-4.53%$857,692-9.00%0.89%
2001102.52%$697,6942.35%$784,6872.21%$876,6172.52%1.86%
2001117.63%$750,9535.36%$826,7243.37%$906,1367.63%-1.34%
2001121.78%$733,7691.22%$803,3530.71%$876,0791.78%-0.58%
20021-1.24%$724,647-0.86%$796,470-0.47%$871,957-1.24%0.69%
20022-2.05%$709,823-1.46%$784,866-0.87%$864,346-2.05%0.85%
200234.38%$740,8963.16%$809,6991.97%$881,4094.38%-1.46%
20024-4.90%$704,594-3.59%$780,624-2.28%$861,337-4.90%1.69%
20025-1.22%$696,019-0.79%$774,420-0.38%$858,044-1.22%0.80%
20026-7.06%$646,854-5.50%$731,835-3.98%$823,865-7.06%0.29%
20027-8.02%$594,979-6.10%$687,200-4.30%$788,448-8.02%0.48%
200280.53%$598,1320.80%$692,7201.05%$796,7240.53%1.66%
20029-10.07%$537,921-7.24%$642,564-4.71%$759,221-10.07%1.53%
2002107.65%$579,0565.44%$677,5443.58%$786,4007.65%-0.61%
2002116.06%$614,1504.54%$708,3243.21%$811,6316.06%0.02%
200212-5.57%$556,766-3.73%$654,633-2.07%$763,044-5.57%2.07%
20031-2.54%$542,618-2.02%$641,393-1.50%$751,567-2.54%0.05%
20032-1.69%$533,463-1.06%$634,584-0.44%$748,241-1.69%1.38%
200331.09%$539,2570.83%$639,8660.58%$752,6131.09%-0.13%
200348.21%$583,5236.69%$682,6545.19%$791,6958.21%0.87%
200356.11%$619,1585.27%$718,6124.42%$826,6836.11%1.82%
200361.43%$628,0321.14%$726,7760.83%$833,5531.43%-0.13%
200372.36%$642,8331.29%$736,1570.19%$835,1382.36%-3.34%
200382.39%$658,1912.07%$751,4071.74%$849,6402.39%0.61%
20039-1.15%$650,653-0.47%$747,8960.25%$851,788-1.15%2.71%
2003106.12%$690,4434.83%$784,0203.48%$881,4686.12%-0.96%
2003111.38%$699,9701.19%$793,3450.98%$890,1511.38%0.27%
2003124.48%$702,0803.87%$791,0763.21%$881,9694.48%0.88%
200412.23%$717,7481.96%$806,5651.68%$896,8232.23%0.86%
200421.43%$728,0131.35%$817,4631.27%$908,2291.43%1.03%
20043-1.07%$720,210-0.70%$811,714-0.33%$905,211-1.07%0.80%
20044-2.11%$705,037-2.21%$793,788-2.31%$884,301-2.11%-2.61%
200451.35%$714,5200.99%$801,6610.64%$889,9431.35%-0.43%
200462.09%$729,4381.79%$815,9891.48%$903,1522.09%0.56%
20047-3.80%$701,707-2.88%$792,518-1.94%$885,651-3.80%0.96%
200480.31%$703,8820.64%$797,5860.97%$894,2200.31%1.94%
200491.74%$716,1301.42%$808,8891.10%$904,0371.74%0.16%
2004101.68%$728,1331.51%$821,0931.34%$916,1721.68%0.85%
2004114.68%$762,2353.58%$850,5062.48%$938,9174.68%-0.81%
2004123.63%$758,3433.11%$841,8992.58%$924,6153.63%0.92%
20051-2.68%$738,047-2.01%$824,975-1.34%$912,187-2.68%0.65%
200522.07%$753,3351.52%$837,4910.97%$921,0392.07%-0.63%
20053-1.75%$740,175-1.49%$824,973-1.24%$909,589-1.75%-0.49%
20054-2.32%$722,980-1.58%$811,972-0.83%$901,997-2.32%1.35%
200553.77%$750,2273.20%$837,9612.65%$925,8603.77%1.05%
200560.81%$756,3180.76%$844,3190.71%$932,3990.81%0.55%
200574.11%$787,3673.06%$870,1812.03%$951,3484.11%-0.99%
20058-0.94%$779,937-0.49%$865,899-0.04%$951,003-0.94%1.36%
200590.86%$786,6170.47%$869,9270.07%$951,7040.86%-1.10%
200510-1.86%$771,956-1.66%$855,519-1.45%$937,933-1.86%-0.81%
2005113.97%$802,6113.28%$883,5582.58%$962,1443.97%0.48%
2005120.14%$771,5480.30%$850,7640.47%$927,9860.14%0.99%
200613.50%$798,5522.78%$874,4032.06%$947,0763.50%-0.11%
200620.00%$798,5520.07%$875,0390.15%$948,4640.00%0.37%
200631.80%$812,9461.26%$886,0340.70%$955,1361.80%-1.00%
200641.11%$821,9820.86%$893,6540.60%$960,8921.11%-0.21%
20065-3.23%$795,391-2.64%$870,038-2.03%$941,356-3.23%-0.09%
200660.17%$796,7560.16%$871,4170.15%$942,7230.17%0.10%
20067-0.13%$795,7200.16%$872,7730.45%$946,928-0.13%1.35%
200682.31%$814,1222.18%$891,8132.05%$966,3292.31%1.64%
200692.27%$832,5741.98%$909,4991.70%$982,7192.27%0.81%
2006103.53%$861,9742.99%$936,6912.44%$1,006,6773.53%0.72%
2006112.23%$881,2282.02%$955,6291.80%$1,024,8342.23%1.11%
2006121.13%$855,5730.83%$925,0530.52%$988,9881.13%-0.48%
200711.88%$871,6361.49%$938,7951.09%$999,8041.88%-0.08%
20072-1.61%$857,581-1.00%$929,419-0.38%$996,002-1.61%1.50%
200731.11%$867,0840.89%$937,6800.67%$1,002,6821.11%0.02%
200744.01%$901,8583.31%$968,7182.61%$1,028,8524.01%0.51%
200753.69%$935,1202.82%$996,0251.94%$1,048,7903.69%-0.78%
20076-1.67%$919,498-1.43%$981,786-1.18%$1,036,403-1.67%-0.39%
20077-3.41%$888,140-2.60%$956,226-1.78%$1,017,999-3.41%0.84%
200781.45%$901,0371.43%$969,9051.41%$1,032,3391.45%1.34%
200793.59%$933,4113.03%$999,2802.46%$1,057,7273.59%0.72%
2007101.85%$950,6771.67%$1,015,9931.49%$1,073,5041.85%0.93%
200711-4.49%$908,019-3.27%$982,794-2.02%$1,051,828-4.49%1.91%
200712-0.60%$866,439-0.44%$939,343-0.27%$1,006,984-0.60%0.22%
20081-6.08%$813,756-4.53%$896,825-2.97%$977,051-6.08%1.69%
20082-3.07%$788,763-2.38%$875,509-1.70%$960,399-3.07%0.19%
20083-0.58%$784,166-0.39%$872,090-0.21%$958,410-0.58%0.30%
200845.02%$823,5473.85%$905,6682.74%$984,6325.02%-0.30%
200852.09%$840,7761.48%$919,1050.89%$993,4192.09%-0.79%
20086-8.19%$771,898-6.50%$859,355-4.84%$945,363-8.19%-0.01%
20087-0.77%$765,964-0.60%$854,209-0.44%$941,228-0.77%0.00%
200881.58%$778,0791.39%$866,0451.20%$952,5241.58%0.70%
20089-9.26%$706,003-7.46%$801,423-5.75%$897,740-9.26%-1.10%
200810-17.63%$581,546-14.07%$688,687-10.81%$800,678-17.63%-2.53%
200811-7.90%$535,589-4.81%$655,538-2.21%$783,018-7.90%3.64%
2008121.86%$523,7082.28%$643,6862.62%$771,4151.86%3.32%
20091-8.26%$480,466-6.74%$600,271-5.23%$731,049-8.26%-0.70%
20092-10.45%$430,257-8.31%$550,361-6.25%$685,378-10.45%-0.42%
200938.65%$467,4937.00%$588,8595.46%$722,8048.65%1.48%
2009410.61%$517,0728.36%$638,0696.22%$767,72710.61%0.36%
200955.38%$544,8854.46%$666,5183.55%$794,9465.38%0.85%
200960.34%$546,7520.38%$669,0580.42%$798,2850.34%0.54%
200977.82%$589,5206.57%$712,9875.30%$840,5817.82%1.43%
200983.63%$610,9043.14%$735,3662.63%$862,7223.63%1.01%
200994.23%$636,7233.67%$762,3543.09%$889,3764.23%1.19%
200910-2.57%$620,372-2.04%$746,837-1.47%$876,270-2.57%0.41%
2009115.63%$655,2714.84%$783,0144.03%$911,5745.63%1.36%
2009122.86%$647,0412.06%$767,1421.20%$885,6532.86%-1.68%
20101-3.50%$624,413-2.48%$748,088-1.47%$872,633-3.50%1.57%
201023.36%$645,3912.70%$768,2932.06%$890,5703.36%0.20%
201036.27%$685,8664.98%$806,5583.70%$923,5226.27%-0.08%
201042.17%$700,7711.96%$822,3491.74%$939,5832.17%1.06%
20105-8.00%$644,700-6.30%$770,542-4.56%$896,710-8.00%0.87%
20106-5.66%$608,195-4.16%$738,479-2.68%$872,643-5.66%1.61%
201076.99%$650,7385.67%$780,3434.40%$911,0756.99%0.94%
20108-4.75%$619,841-3.45%$753,453-2.17%$891,279-4.75%1.48%
201099.47%$678,5357.39%$809,1045.40%$939,4379.47%-0.01%
2010103.94%$705,2853.21%$835,0732.49%$962,7843.94%0.36%
2010110.58%$709,3450.35%$837,9820.12%$963,9410.58%-0.57%
2010126.81%$727,3395.24%$846,6243.66%$959,2676.81%-1.15%
201112.19%$743,2411.77%$861,5721.34%$972,1672.19%0.08%
201123.60%$769,9752.92%$886,7432.24%$993,9493.60%0.16%
201130.45%$773,4330.36%$889,9550.27%$996,6660.45%-0.01%
201142.99%$796,5692.67%$913,7332.34%$1,020,0372.99%1.32%
20115-1.16%$787,314-0.70%$907,359-0.22%$1,017,798-1.16%1.30%
20116-1.79%$773,242-1.52%$893,579-1.24%$1,005,131-1.79%-0.39%
20117-2.28%$755,589-1.53%$879,874-0.77%$997,356-2.28%1.58%
20118-5.99%$710,296-4.50%$840,277-3.01%$967,361-5.99%1.46%
20119-7.75%$655,225-5.91%$790,591-4.13%$927,399-7.75%0.89%
20111011.51%$730,6218.92%$861,0886.50%$987,71611.51%0.16%
201111-0.29%$728,520-0.29%$858,582-0.29%$984,807-0.29%-0.30%
2011120.80%$704,9630.86%$831,3000.91%$954,0520.80%1.08%
201215.08%$740,7864.24%$866,5463.40%$986,4725.08%0.87%
201224.26%$772,3283.42%$896,2242.58%$1,011,9084.26%-0.05%
201233.07%$796,0072.38%$917,5851.68%$1,028,8913.07%-0.58%
20124-0.65%$790,805-0.33%$914,5750.01%$1,029,023-0.65%1.14%
20125-6.24%$741,493-4.91%$869,655-3.53%$992,652-6.24%0.95%
201263.91%$770,4803.15%$897,0632.39%$1,016,3333.91%0.04%
201271.03%$778,4351.10%$906,9271.17%$1,028,2071.03%1.39%
201282.48%$797,7542.02%$925,2031.54%$1,044,0142.48%0.03%
201292.58%$818,3162.12%$944,7871.64%$1,061,1372.58%0.11%
201210-1.76%$803,931-1.42%$931,410-1.06%$1,049,899-1.76%0.11%
2012110.74%$809,8680.64%$937,3420.53%$1,055,4820.74%0.19%
2012121.19%$786,7590.94%$908,2740.67%$1,020,0351.19%-0.20%
201315.50%$830,0264.26%$946,9393.01%$1,050,7845.50%-0.71%
201321.28%$840,6221.14%$957,7040.99%$1,061,2261.28%0.54%
201333.88%$873,2603.16%$987,9972.42%$1,086,9523.88%0.08%
201341.70%$888,1141.56%$1,003,3721.41%$1,102,2271.70%0.91%
201352.32%$908,7311.59%$1,019,2850.82%$1,111,2382.32%-1.71%
20136-1.27%$897,158-1.34%$1,005,619-1.41%$1,095,548-1.27%-1.65%
201375.49%$946,3694.55%$1,051,4173.57%$1,134,6125.49%0.20%
20138-2.82%$919,648-2.46%$1,025,602-2.06%$1,111,273-2.82%-0.64%
201393.66%$953,3493.20%$1,058,4202.70%$1,141,2933.66%0.96%
2013104.22%$993,6123.64%$1,096,9893.02%$1,175,7204.22%0.78%
2013112.88%$1,022,2442.35%$1,122,8051.77%$1,196,5852.88%-0.35%
2013122.63%$1,007,1752.11%$1,100,6301.53%$1,166,3152.63%-0.65%
20141-3.11%$975,883-2.18%$1,076,671-1.25%$1,151,773-3.11%1.54%
201424.73%$1,022,0663.85%$1,118,1162.98%$1,186,1314.73%0.48%
201430.51%$1,027,3170.38%$1,122,3720.25%$1,189,0690.51%-0.15%
201440.06%$1,027,9670.20%$1,124,6720.35%$1,193,1900.06%0.77%
201452.17%$1,050,2861.95%$1,146,5511.72%$1,213,7152.17%1.05%
201462.54%$1,076,9402.05%$1,170,1041.57%$1,232,7652.54%0.11%
20147-1.98%$1,055,624-1.64%$1,150,880-1.30%$1,216,709-1.98%-0.26%
201484.18%$1,099,7803.58%$1,192,0622.97%$1,252,8544.18%1.13%
20149-2.14%$1,076,281-1.86%$1,169,849-1.59%$1,232,990-2.14%-0.72%
2014102.74%$1,105,7712.39%$1,197,7842.03%$1,258,0452.74%0.94%
2014112.41%$1,132,4212.07%$1,222,5911.73%$1,279,7582.41%0.65%
201412-0.01%$1,087,0650.01%$1,173,8350.03%$1,228,949-0.01%0.09%
20151-2.77%$1,056,927-1.76%$1,153,226-0.74%$1,219,867-2.77%2.31%
201525.76%$1,117,8354.34%$1,203,2422.94%$1,255,7395.76%-1.08%
20153-1.04%$1,106,237-0.75%$1,194,193-0.46%$1,249,901-1.04%0.41%
201540.42%$1,110,8940.26%$1,197,3520.11%$1,251,2530.42%-0.36%
201551.39%$1,126,3471.03%$1,209,6320.66%$1,259,4951.39%-0.45%
20156-1.71%$1,107,085-1.57%$1,190,605-1.43%$1,241,430-1.71%-1.01%
201571.63%$1,125,1501.46%$1,207,9941.29%$1,257,4171.63%0.76%
20158-6.03%$1,057,352-4.92%$1,148,587-3.80%$1,209,673-6.03%-0.36%
20159-2.93%$1,026,336-2.18%$1,123,573-1.43%$1,192,361-2.93%0.76%
2015107.84%$1,106,8466.19%$1,193,1544.59%$1,247,0387.84%0.01%
2015110.54%$1,112,8250.38%$1,197,6850.22%$1,249,7660.54%-0.27%
201512-2.03%$1,046,647-1.70%$1,130,202-1.37%$1,183,279-2.03%-0.38%
20161-5.67%$987,286-4.25%$1,082,153-2.83%$1,149,778-5.67%1.43%
20162-0.04%$986,8740.11%$1,083,3110.25%$1,152,668-0.04%0.66%
201637.01%$1,056,0635.72%$1,145,2594.47%$1,204,1617.01%0.94%
201640.63%$1,062,6880.58%$1,151,8620.53%$1,210,4980.63%0.38%
201651.79%$1,081,7351.43%$1,168,3501.07%$1,223,4891.79%0.01%
201660.23%$1,084,1790.57%$1,174,9920.91%$1,234,6340.23%1.94%
201673.95%$1,127,0063.28%$1,213,5172.61%$1,266,8853.95%0.64%
201680.26%$1,129,9160.17%$1,215,6280.09%$1,268,0150.26%-0.17%
201690.15%$1,131,6120.10%$1,216,8880.06%$1,268,7350.15%-0.09%
201610-2.21%$1,106,549-1.94%$1,193,306-1.66%$1,247,691-2.21%-0.81%
2016114.44%$1,155,6313.03%$1,229,4301.62%$1,267,8434.44%-2.64%
2016121.92%$1,130,7141.61%$1,199,2021.28%$1,232,7191.92%0.24%
201711.91%$1,152,2951.59%$1,218,2211.26%$1,248,2911.91%0.29%
201723.71%$1,195,0553.11%$1,256,0872.50%$1,279,5233.71%0.66%
201730.07%$1,195,8490.04%$1,256,5870.01%$1,279,6860.07%-0.07%
201741.05%$1,208,4070.99%$1,269,0870.94%$1,291,6931.05%0.76%
201751.01%$1,220,5600.94%$1,281,0320.88%$1,303,0031.01%0.67%
201760.92%$1,231,8030.75%$1,290,6070.57%$1,310,4290.92%0.01%
201771.87%$1,254,7911.59%$1,311,0641.30%$1,327,4261.87%0.39%
201780.15%$1,256,6220.28%$1,314,7220.42%$1,332,9490.15%0.85%
201792.45%$1,287,4531.89%$1,339,5411.31%$1,350,3632.45%-0.54%
2017102.16%$1,315,2331.78%$1,363,3891.39%$1,369,1052.16%0.11%
2017113.04%$1,355,2682.46%$1,396,9311.85%$1,394,4183.04%-0.17%
2017120.99%$1,313,9960.90%$1,353,0860.79%$1,349,2720.99%0.44%
201815.31%$1,383,7354.03%$1,407,5752.75%$1,386,3315.31%-1.09%
20182-3.72%$1,332,317-3.20%$1,362,469-2.68%$1,349,172-3.72%-1.03%
20183-1.99%$1,305,755-1.48%$1,342,244-0.97%$1,336,112-1.99%0.63%
201840.38%$1,310,6990.14%$1,344,103-0.10%$1,334,7430.38%-0.83%
201852.79%$1,347,2832.36%$1,375,8511.93%$1,360,4922.79%0.61%
201860.68%$1,356,4240.55%$1,383,4560.43%$1,366,2750.68%0.03%
201873.34%$1,401,6912.70%$1,420,8392.05%$1,394,3483.34%0.03%
201883.44%$1,449,9362.89%$1,461,9562.33%$1,426,8083.44%0.52%
201890.16%$1,452,2500.03%$1,462,410-0.10%$1,425,3380.16%-0.54%
201810-7.40%$1,344,757-6.19%$1,371,914-4.92%$1,355,236-7.40%-0.73%
2018112.06%$1,372,4781.77%$1,396,1451.47%$1,375,0952.06%0.53%
201812-9.29%$1,195,133-7.18%$1,244,012-5.02%$1,253,792-9.29%1.80%
201918.59%$1,297,7447.07%$1,331,9625.55%$1,323,4308.59%1.01%
201923.50%$1,343,1772.83%$1,369,6402.14%$1,351,7133.50%-0.06%
201931.44%$1,362,4621.53%$1,390,6101.63%$1,373,7531.44%1.96%
201943.98%$1,416,6433.25%$1,435,8402.50%$1,408,0843.98%0.04%
20195-6.45%$1,325,309-4.97%$1,364,472-3.41%$1,360,042-6.45%1.83%
201966.97%$1,417,6735.86%$1,444,3944.72%$1,424,2456.97%1.15%
201971.44%$1,438,0621.22%$1,461,9690.99%$1,438,2821.44%0.23%
20198-2.03%$1,408,935-1.16%$1,445,074-0.24%$1,434,783-2.03%2.78%
201991.70%$1,432,9371.27%$1,463,4390.83%$1,446,6231.70%-0.60%
2019102.10%$1,462,9681.75%$1,489,0221.39%$1,466,6842.10%0.21%
2019113.77%$1,518,1563.07%$1,534,8062.34%$1,501,0773.77%-0.06%
2019122.85%$1,498,9692.32%$1,507,6251.76%$1,466,4152.85%-0.15%
20201-0.08%$1,497,8400.36%$1,513,0900.80%$1,478,151-0.08%2.11%
20202-8.18%$1,375,341-6.17%$1,419,781-4.17%$1,416,473-8.18%1.71%
20203-13.78%$1,185,855-10.87%$1,265,483-8.10%$1,301,683-13.78%-0.59%
2020413.25%$1,342,94810.40%$1,397,1567.87%$1,404,15013.25%1.69%
202055.38%$1,415,1624.28%$1,456,9563.25%$1,449,8365.38%0.54%
202062.28%$1,447,4221.93%$1,485,1381.60%$1,473,0982.28%0.70%
202075.64%$1,529,0574.76%$1,555,7993.91%$1,530,6955.64%1.55%
202087.18%$1,638,7915.46%$1,640,7593.78%$1,588,6207.18%-1.02%
20209-3.57%$1,580,250-2.86%$1,593,903-2.13%$1,554,739-3.57%0.08%
202010-2.16%$1,546,137-1.85%$1,564,487-1.53%$1,530,887-2.16%-0.61%
20201112.19%$1,734,6169.92%$1,719,6997.68%$1,648,44112.19%1.11%
2020124.45%$1,739,3303.64%$1,710,9982.81%$1,626,9024.45%0.15%
20211-0.34%$1,733,453-0.43%$1,703,651-0.52%$1,618,427-0.34%-0.80%
202123.19%$1,788,7312.25%$1,742,0271.31%$1,639,7023.19%-1.51%
202133.47%$1,850,7522.54%$1,786,2371.59%$1,665,7643.47%-1.38%
202145.14%$1,945,8044.36%$1,864,1883.56%$1,725,0975.14%0.95%
202150.43%$1,954,0930.39%$1,871,5000.36%$1,731,2480.43%0.24%
202162.53%$2,003,4662.21%$1,912,9241.88%$1,763,8412.53%0.77%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value35.02%28.42%20.14%
Large-cap Growth46.90%38.80%30.20%
Mid-cap Value3.23%4.35%4.67%
Mid-cap Growth6.72%4.38%3.11%
Small-cap Value3.60%0.44%0.00%
Small-cap Growth3.48%4.22%2.79%
Global ex-US Developed Markets0.63%0.30%0.00%
Emerging Markets0.41%0.63%1.05%
Corporate Bonds0.00%3.65%6.70%
Long-Term Treasuries0.00%0.36%1.38%
Intermediate-Term Treasuries0.00%5.79%10.29%
Short-Term Treasuries0.00%8.65%19.66%
R Squared99.82%99.81%99.67%
Style analysis is based on monthly returns from April 2005 to June 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.01%0.14%25.59$1,816,459100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend80.00%1.01%0.14%25.59$1,598,020100.07%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond20.00%1.26%0.15%6.79$195,045-0.07%
100.00%1.06%0.14%25.596.79$1,793,065100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%1.01%0.14%25.59$1,282,49198.74%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.26%0.15%6.79$415,1241.26%
100.00%1.11%0.14%25.596.79$1,697,615100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/28/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.71%0.65%0.59%
Arithmetic Mean (annualized)8.80%8.06%7.29%
Geometric Mean (monthly)0.60%0.59%0.55%
Geometric Mean (annualized)7.49%7.26%6.85%
Volatility (monthly)4.49%3.53%2.62%
Volatility (annualized)15.54%12.23%9.09%
Downside Deviation (monthly)3.09%2.38%1.72%
Max. Drawdown-50.89%-41.22%-30.72%
US Market Correlation1.001.000.99
Beta(*)1.000.780.58
Alpha (annualized)0.00%1.13%2.18%
R2100.00%99.59%97.36%
Sharpe Ratio0.440.510.60
Sortino Ratio0.630.730.89
Treynor Ratio (%)6.907.929.54
Calmar Ratio0.890.981.12
Active Return-0.00%-0.23%-0.63%
Tracking Error0.00%3.43%6.74%
Information Ratio-0.00-0.07-0.09
Skewness-0.59-0.60-0.61
Excess Kurtosis1.261.311.53
Historical Value-at-Risk (5%)-8.00%-6.17%-4.33%
Analytical Value-at-Risk (5%)-6.68%-5.24%-3.84%
Conditional Value-at-Risk (5%)-10.11%-7.87%-5.78%
Upside Capture Ratio (%)100.0080.0961.04
Downside Capture Ratio (%)100.0077.3354.61
Safe Withdrawal Rate4.75%5.31%5.80%
Perpetual Withdrawal Rate4.98%4.77%4.40%
Positive Periods167 out of 258 (64.73%)172 out of 258 (66.67%)172 out of 258 (66.67%)
Gain/Loss Ratio0.810.800.89
* 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%-33.48%-21.68%
Subprime CrisisNov 2007Mar 2009-50.89%-41.22%-30.72%

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 monthsJul 20204 months7 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%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-5.65%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-41.22%
2Sep 2000Sep 20022 years 1 monthJul 20052 years 10 months4 years 11 months-33.48%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-16.36%
4May 2011Sep 20115 monthsFeb 20125 months10 months-13.48%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-11.39%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-7.11%
7Apr 2000May 20002 monthsAug 20003 months5 months-6.90%
8Apr 2012May 20122 monthsAug 20123 months5 months-5.22%
9May 2019May 20191 monthJun 20191 month2 months-4.97%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-4.65%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-11.94%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
6Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
7Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-3.63%
10May 2012May 20121 monthAug 20123 months4 months-3.53%
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 Inv7.49%15.54%33.35%-37.04%-50.89%0.440.631.00
VBMFXVanguard Total Bond Market Index Inv4.73%3.46%11.39%-2.26%-3.99%0.911.55-0.07

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv1.00-0.071.001.000.99
VBMFXVanguard Total Bond Market Index Inv-0.071.00-0.07-0.010.08

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$1,816,459$1,598,020$1,282,491
VBMFXVanguard Total Bond Market Index Inv$195,045$415,124

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv100.00%100.07%98.74%
VBMFXVanguard Total Bond Market Index Inv-0.07%1.26%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.69%62.57%-43.18%7.92%47.03%-34.52%7.15%35.35%-25.66%
3 years8.20%26.60%-16.27%7.66%22.55%-11.28%7.01%18.61%-6.52%
5 years8.41%23.85%-6.23%7.85%20.03%-3.76%7.15%16.24%-1.54%
7 years8.21%17.28%-3.02%7.74%14.75%-0.98%7.11%12.20%0.77%
10 years8.19%16.73%-1.13%7.78%14.11%0.78%7.19%11.49%2.46%
15 years8.13%10.87%4.25%7.69%9.77%4.80%7.08%8.61%5.14%