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 2002 - Dec 2012)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 50.00%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 50.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 40.00%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 40.00%
VUSTX Vanguard Long-Term Treasury Inv 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$43,645 14.33% 4.03%4.97%15.51%28.59%-36.97%-50.92%
(-45.73%)
0.230.311.00
Portfolio 2$10,000$60,265 17.74% 9.41%9.30%19.04%51.30%-44.89%-56.87%
(-53.88%)
0.480.700.94
Portfolio 3$10,000$64,876 18.53% 10.31%10.28%14.42%38.63%-31.41%-44.41%
(-40.55%)
0.640.960.91
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-0.39%15.96%10.85%1.68%7.09%4.03%15.31%19.04%
Portfolio 23.12%17.30%7.93%0.95%12.17%9.41%18.05%23.42%
Portfolio 32.33%14.53%9.43%4.50%12.38%10.31%12.13%17.67%
Trailing annualized return and volatility are for full months ending in December 2012 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 quarterly contribution of $400 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
YearInflationCashflowPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Admiral (VFIAX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
20022.38%$1,631-22.10%$9,324-14.76%$10,079-8.48%$10,744-22.10%-7.43%16.67%
20031.88%$1,66928.59%$13,91043.12%$16,47535.03%$16,48128.59%57.65%2.68%
20043.26%$1,71410.82%$17,23818.47%$21,42316.20%$21,02610.82%26.12%7.12%
20053.42%$1,7734.87%$19,91618.46%$27,32516.09%$26,3274.87%32.05%6.61%
20062.54%$1,82815.75%$25,02022.57%$35,51818.40%$33,17215.75%29.39%1.74%
20074.08%$1,8845.47%$28,27222.19%$45,41919.60%$41,6885.47%38.90%9.24%
20080.09%$1,950-36.97%$19,374-44.89%$26,484-31.41%$30,229-36.97%-52.81%22.52%
20092.72%$1,94826.62%$26,82251.30%$42,47638.63%$44,21626.62%75.98%-12.05%
20101.50%$1,97715.05%$33,04916.95%$51,88715.35%$53,15515.05%18.86%8.93%
20112.96%$2,0412.08%$35,803-8.35%$49,528-0.82%$54,7592.08%-18.78%29.28%
20121.74%$2,08215.96%$43,64517.30%$60,26514.53%$64,87615.96%18.64%3.47%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Admiral (VFIAX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
20021-1.46%$9,8540.70%$10,0700.80%$10,080-1.46%2.87%1.20%
20022-1.94%$9,6630.42%$10,1120.58%$10,139-1.94%2.67%1.24%
200233.75%$10,4304.15%$10,9372.53%$10,8013.75%4.52%-3.86%
20024-6.07%$9,796-2.72%$10,639-1.50%$10,639-6.07%0.32%3.73%
20025-0.74%$9,723-0.58%$10,578-0.38%$10,598-0.74%-0.43%0.39%
20026-7.13%$9,437-7.73%$10,168-5.82%$10,389-7.13%-8.23%1.76%
20027-7.72%$8,709-8.14%$9,340-5.73%$9,793-7.72%-8.50%2.93%
200280.66%$8,7671.07%$9,4401.83%$9,9720.66%1.42%4.28%
20029-10.87%$8,223-10.77%$8,833-7.18%$9,666-10.87%-10.69%4.02%
2002108.78%$8,9467.58%$9,5034.74%$10,1258.78%6.55%-2.84%
2002115.89%$9,4726.53%$10,1234.63%$10,5945.89%7.09%-0.98%
200212-5.89%$9,324-4.48%$10,079-2.44%$10,744-5.89%-3.27%4.05%
20031-2.62%$9,079-1.25%$9,953-1.09%$10,628-2.62%0.13%-0.45%
20032-1.51%$8,943-2.67%$9,687-1.52%$10,466-1.51%-3.80%3.03%
200330.96%$9,445-0.54%$10,052-0.67%$10,8130.96%-2.04%-1.13%
200348.27%$10,2268.51%$10,9076.91%$11,5608.27%8.75%0.91%
200355.26%$10,7645.82%$11,5415.79%$12,2305.26%6.39%5.67%
200361.26%$11,3163.56%$12,3682.56%$12,9591.26%5.88%-1.48%
200371.76%$11,5144.44%$12,9171.97%$13,2141.76%7.03%-8.57%
200381.93%$11,7374.24%$13,4643.76%$13,7111.93%6.36%1.43%
20039-1.07%$12,031-0.08%$13,8730.78%$14,237-1.07%0.80%5.07%
2003105.64%$12,7107.49%$14,9125.74%$15,0555.64%9.09%-2.58%
2003110.87%$12,8210.99%$15,0600.88%$15,1880.87%1.09%0.31%
2003125.24%$13,9106.62%$16,4755.77%$16,4815.24%7.78%1.23%
200411.82%$14,1632.47%$16,8822.33%$16,8641.82%3.12%1.74%
200421.39%$14,3602.79%$17,3532.62%$17,3071.39%4.17%1.96%
20043-1.52%$14,566-0.54%$17,683-0.15%$17,705-1.52%0.39%1.45%
20044-1.57%$14,338-4.83%$16,829-4.97%$16,826-1.57%-7.90%-5.52%
200451.37%$14,5340.26%$16,8730.10%$16,8421.37%-0.85%-0.56%
200461.93%$15,2440.94%$17,4610.92%$17,4271.93%-0.09%0.87%
20047-3.31%$14,739-2.57%$17,011-1.76%$17,120-3.31%-1.80%1.52%
200480.40%$14,7982.22%$17,3892.46%$17,5410.40%4.10%3.39%
200491.08%$15,3883.35%$18,4022.85%$18,4711.08%5.62%0.94%
2004101.52%$15,6221.92%$18,7561.83%$18,8091.52%2.30%1.46%
2004114.05%$16,2547.19%$20,1055.28%$19,8034.05%10.17%-2.25%
2004123.40%$17,2384.41%$21,4234.00%$21,0263.40%5.32%2.22%
20051-2.44%$16,818-1.29%$21,147-0.51%$20,919-2.44%-0.14%2.59%
200522.09%$17,1705.52%$22,3154.13%$21,7822.09%8.87%-1.24%
20053-1.76%$17,306-4.34%$21,784-3.64%$21,427-1.76%-6.70%-0.76%
20054-1.90%$16,977-2.40%$21,260-1.27%$21,155-1.90%-2.89%3.22%
200553.18%$17,5163.28%$21,9593.13%$21,8173.18%3.39%2.55%
200560.14%$17,9811.73%$22,7791.71%$22,6310.14%3.28%1.64%
200573.72%$18,6495.34%$23,9943.68%$23,4643.72%6.87%-2.58%
20058-0.91%$18,4780.07%$24,0110.62%$23,610-0.91%0.97%2.87%
200590.80%$19,0764.93%$25,6463.38%$24,8580.80%8.64%-2.78%
200510-1.67%$18,758-4.35%$24,531-3.85%$23,901-1.67%-6.57%-1.74%
2005113.77%$19,4666.02%$26,0074.96%$25,0873.77%7.98%0.57%
2005120.03%$19,9163.36%$27,3253.17%$26,3270.03%6.16%2.33%
200612.65%$20,4457.07%$29,2575.48%$27,7692.65%11.48%-0.90%
200620.27%$20,500-0.63%$29,073-0.36%$27,6690.27%-1.46%0.81%
200631.24%$21,2081.24%$29,8870.36%$28,2211.24%1.24%-3.39%
200641.34%$21,4924.32%$31,1793.17%$29,1171.34%7.12%-1.96%
20065-2.89%$20,872-7.05%$28,981-5.83%$27,420-2.89%-10.74%-0.03%
200660.14%$21,359-0.03%$29,4300.10%$27,9070.14%-0.20%0.71%
200670.61%$21,4890.90%$29,6961.08%$28,2070.61%1.19%1.84%
200682.37%$21,9982.21%$30,3512.31%$28,8582.37%2.05%2.74%
200692.58%$23,0251.63%$31,3051.62%$29,7852.58%0.72%1.58%
2006103.25%$23,7734.01%$32,5603.40%$30,7973.25%4.75%0.77%
2006111.90%$24,2244.71%$34,0944.20%$32,0901.90%7.44%1.91%
2006121.40%$25,0202.84%$35,5181.95%$33,1721.40%4.16%-2.14%
200711.51%$25,3970.47%$35,6830.20%$33,2391.51%-0.58%-0.85%
20072-1.97%$24,897-1.63%$35,101-0.73%$32,997-1.97%-1.28%2.93%
200731.12%$25,6422.61%$36,4821.84%$34,0691.12%4.11%-1.13%
200744.42%$26,7744.33%$38,0603.63%$35,3084.42%4.23%0.86%
200753.48%$27,7074.73%$39,8603.44%$36,5213.48%5.96%-1.93%
20076-1.66%$27,7181.47%$40,9181.04%$37,372-1.66%4.49%-0.88%
20077-3.08%$26,8650.79%$41,2411.08%$37,775-3.08%4.30%2.39%
200781.50%$27,2680.18%$41,3140.50%$37,9661.50%-0.94%1.97%
200793.74%$28,7587.50%$44,8856.15%$40,7733.74%10.75%0.21%
2007101.59%$29,2147.51%$48,2576.44%$43,4001.59%12.31%1.40%
200711-4.18%$27,994-6.38%$45,178-4.55%$41,424-4.18%-7.99%4.59%
200712-0.70%$28,272-0.52%$45,419-0.51%$41,688-0.70%-0.38%-0.48%
20081-6.01%$26,574-8.54%$41,538-6.31%$39,058-6.01%-11.08%2.64%
20082-3.24%$25,7120.59%$41,7850.54%$39,270-3.24%4.65%0.35%
20083-0.43%$26,083-2.13%$41,376-1.44%$39,186-0.43%-3.80%1.02%
200844.87%$27,3546.47%$44,0554.61%$40,9924.87%8.09%-1.84%
200851.29%$27,7071.57%$44,7460.79%$41,3171.29%1.84%-2.13%
20086-8.43%$25,866-9.42%$41,025-7.13%$38,866-8.43%-10.39%1.80%
20087-0.82%$25,653-2.48%$40,007-1.86%$38,143-0.82%-4.14%0.30%
200881.45%$26,024-3.11%$38,763-1.99%$37,3861.45%-7.81%1.80%
20089-8.90%$24,204-12.34%$34,475-9.34%$34,390-8.90%-16.25%0.28%
200810-16.78%$20,142-21.65%$27,010-16.91%$28,573-16.78%-27.67%-3.63%
200811-7.16%$18,699-7.45%$24,998-1.50%$28,145-7.16%-7.85%12.07%
2008121.06%$19,3744.04%$26,4845.71%$30,2291.06%8.30%8.87%
20091-8.41%$17,744-8.30%$24,286-8.33%$27,709-8.41%-8.19%-8.47%
20092-10.64%$15,855-8.35%$22,257-6.89%$25,801-10.64%-6.07%-1.01%
200938.78%$17,72912.50%$25,52110.96%$29,1128.78%16.03%5.27%
200949.56%$19,42412.98%$28,8359.36%$31,8389.56%16.03%-4.99%
200955.63%$20,51712.50%$32,4389.84%$34,9715.63%18.27%-2.68%
200960.23%$21,053-1.19%$32,542-0.89%$35,1470.23%-2.25%0.70%
200977.58%$22,6489.82%$35,7388.40%$38,1007.58%11.55%0.80%
200983.61%$23,4661.18%$36,1591.25%$38,5773.61%-0.63%1.68%
200993.73%$24,8296.86%$39,1306.15%$41,4373.73%9.29%1.98%
200910-1.86%$24,368-1.57%$38,515-1.56%$40,792-1.86%-1.36%-1.45%
2009116.00%$25,8305.94%$40,8045.37%$42,9836.00%5.90%1.91%
2009121.95%$26,8222.90%$42,4761.73%$44,2161.95%3.60%-5.66%
20101-3.59%$25,858-4.92%$40,385-3.41%$42,709-3.59%-6.25%2.66%
201023.09%$26,6582.10%$41,2311.61%$43,3953.09%1.07%-0.21%
201036.03%$28,7587.06%$44,6365.27%$46,1766.03%8.15%-1.51%
201041.59%$29,2140.93%$45,0541.29%$46,7731.59%0.26%2.76%
20105-8.00%$26,879-8.64%$41,159-6.09%$43,923-8.00%-9.32%4.23%
20106-5.23%$25,965-2.71%$40,537-1.09%$43,939-5.23%-0.04%4.67%
201077.01%$27,7858.12%$43,8316.19%$46,6607.01%9.25%-0.17%
20108-4.52%$26,529-3.37%$42,354-1.08%$46,155-4.52%-2.24%7.08%
201098.93%$29,39210.08%$47,1177.26%$50,0008.93%11.18%-1.82%
2010103.81%$30,5113.37%$48,7071.93%$50,9653.81%2.97%-3.29%
2010110.01%$30,513-1.39%$48,031-1.43%$50,2350.01%-2.71%-1.60%
2010126.68%$33,0497.00%$51,8874.83%$53,1556.68%7.30%-3.58%
201112.37%$33,831-0.20%$51,783-0.64%$52,8172.37%-2.77%-2.38%
201123.42%$34,9891.34%$52,4781.32%$53,5153.42%-0.85%1.24%
201130.03%$35,5052.67%$54,3862.15%$55,1720.03%5.57%0.02%
201142.96%$36,5583.21%$56,1312.98%$56,8192.96%3.47%2.04%
20115-1.14%$36,142-1.96%$55,030-0.96%$56,273-1.14%-2.82%3.29%
20116-1.66%$36,051-1.59%$54,665-1.67%$55,843-1.66%-1.51%-2.00%
20117-2.04%$35,316-1.44%$53,876-0.33%$55,659-2.04%-0.82%4.18%
20118-5.43%$33,399-6.95%$50,129-3.72%$53,589-5.43%-8.54%8.68%
20119-7.04%$31,562-11.45%$44,904-6.40%$50,673-7.04%-16.19%10.16%
20111010.93%$35,01212.11%$50,3407.86%$54,65610.93%13.51%-3.34%
201111-0.22%$34,934-1.70%$49,486-0.83%$54,202-0.22%-3.41%1.82%
2011121.03%$35,803-0.95%$49,5280.09%$54,7591.03%-3.32%3.13%
201214.47%$37,4047.79%$53,3886.25%$58,1824.47%11.12%0.08%
201224.32%$39,0214.96%$56,0373.63%$60,2934.32%5.56%-2.11%
201233.29%$40,8230.10%$56,612-0.59%$60,4573.29%-2.86%-3.77%
20124-0.63%$40,566-1.19%$55,936-0.23%$60,315-0.63%-1.75%4.37%
20125-6.01%$38,128-8.54%$51,157-5.60%$56,937-6.01%-11.08%7.79%
201264.12%$40,2204.47%$53,9633.25%$59,3084.12%4.83%-1.44%
201271.38%$40,7741.02%$54,5111.47%$60,1791.38%0.64%3.32%
201282.25%$41,6931.37%$55,2570.88%$60,7112.25%0.43%-1.06%
201292.58%$43,2943.90%$57,9362.72%$62,8882.58%5.32%-2.10%
201210-1.85%$42,492-1.15%$57,270-1.02%$62,249-1.85%-0.42%-0.43%
2012110.58%$42,7370.95%$57,8111.02%$62,8850.58%1.33%1.35%
2012120.91%$43,6453.35%$60,2652.34%$64,8760.91%5.84%-1.99%
* End-of-month balance includes the quarterly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value47.36%20.76%16.62%
Large-cap Growth52.13%28.42%25.77%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%2.55%0.24%
Emerging Markets0.13%47.74%38.75%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.52%17.32%
Intermediate-Term Treasuries0.38%0.00%1.30%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.90%99.43%99.31%
Style analysis is based on monthly returns from April 2005 to December 2012 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
VFIAXVanguard 500 Index AdmiralLarge Blend100.00%1.30%0.04%28.87$13,148100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend50.00%1.30%0.04%28.87$8,01938.03%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts50.00%1.66%0.29%17.86$21,74861.97%
100.00%1.48%0.17%23.36$29,767100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend40.00%1.30%0.04%28.87$7,77538.39%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts40.00%1.66%0.29%17.86$19,38463.81%
VUSTXVanguard Long-Term Treasury InvLong Government20.00%1.97%0.20%17.60$7,220-2.19%
100.00%1.58%0.17%23.3617.60$34,378100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/11/2021. (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)0.43%0.91%0.91%
Arithmetic Mean (annualized)5.30%11.42%11.46%
Geometric Mean (monthly)0.33%0.75%0.82%
Geometric Mean (annualized)4.03%9.41%10.31%
Volatility (monthly)4.48%5.50%4.16%
Volatility (annualized)15.51%19.04%14.42%
Downside Deviation (monthly)3.21%3.73%2.73%
Max. Drawdown-50.92%-56.87%-44.41%
US Market Correlation1.000.940.91
Beta(*)0.971.120.83
Alpha (annualized)-0.66%4.11%5.93%
R299.26%88.13%83.13%
Sharpe Ratio0.230.480.64
Sortino Ratio0.310.700.96
Treynor Ratio (%)3.628.1911.18
Calmar Ratio0.670.370.75
Active Return-0.80%4.58%5.48%
Tracking Error1.41%6.85%6.53%
Information Ratio-0.560.670.84
Skewness-0.66-0.66-0.71
Excess Kurtosis1.351.602.03
Historical Value-at-Risk (5%)-7.84%-8.54%-6.35%
Analytical Value-at-Risk (5%)-6.93%-8.11%-6.10%
Conditional Value-at-Risk (5%)-10.29%-11.83%-8.88%
Upside Capture Ratio (%)93.73124.4896.97
Downside Capture Ratio (%)97.38103.4071.67
Safe Withdrawal Rate8.99%13.50%13.97%
Perpetual Withdrawal Rate1.56%6.39%7.16%
Positive Periods83 out of 132 (62.88%)81 out of 132 (61.36%)83 out of 132 (62.88%)
Gain/Loss Ratio0.760.971.05
* 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 2009-50.92%-56.87%-44.41%

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-50.92%
2Apr 2002Sep 20026 monthsJan 20041 year 4 months1 year 10 months-28.32%
3Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-4.69%
5Jan 2005Apr 20054 monthsJul 20053 months7 months-4.01%
6Jan 2002Feb 20022 monthsMar 20021 month3 months-3.37%
7Jul 2004Jul 20041 monthNov 20044 months5 months-3.31%
8Mar 2004Apr 20042 monthsJun 20042 months4 months-3.06%
9May 2006May 20061 monthAug 20063 months4 months-2.89%
10Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-56.87%
2Apr 2002Sep 20026 monthsAug 200311 months1 year 5 months-26.07%
3May 2006Jun 20062 monthsOct 20064 months6 months-7.08%
4Mar 2004Jul 20045 monthsOct 20043 months8 months-6.67%
5Mar 2005Apr 20052 monthsJul 20053 months5 months-6.64%
6Oct 2005Oct 20051 monthNov 20051 month2 months-4.35%
7Feb 2007Feb 20071 monthMar 20071 month2 months-1.63%
8Jan 2005Jan 20051 monthFeb 20051 month2 months-1.29%
9Feb 2006Feb 20061 monthMar 20061 month2 months-0.63%
10Sep 2003Sep 20031 monthOct 20031 month2 months-0.08%

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-44.41%
2Apr 2002Sep 20026 monthsJul 200310 months1 year 4 months-17.66%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.53%
4Mar 2012May 20123 monthsSep 20124 months7 months-6.38%
5May 2006May 20061 monthOct 20065 months6 months-5.83%
6Mar 2004Jul 20045 monthsOct 20043 months8 months-5.83%
7Mar 2005Apr 20052 monthsJul 20053 months5 months-4.86%
8Oct 2005Oct 20051 monthNov 20051 month2 months-3.85%
9Nov 2010Nov 20101 monthDec 20101 month2 months-1.43%
10Oct 2012Oct 20121 monthDec 20122 months3 months-1.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFIAXVanguard 500 Index Admiral4.03%15.51%28.59%-36.97%-50.92%0.230.311.00
VEIEXVanguard Emerging Mkts Stock Idx Inv13.82%24.16%75.98%-52.81%-62.70%0.590.890.84
VUSTXVanguard Long-Term Treasury Inv8.23%11.13%29.28%-12.05%-12.05%0.621.07-0.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFIAXVEIEXVUSTXPortfolio 1Portfolio 2Portfolio 3
VFIAXVanguard 500 Index Admiral1.000.83-0.321.000.930.91
VEIEXVanguard Emerging Mkts Stock Idx Inv0.831.00-0.270.830.970.97
VUSTXVanguard Long-Term Treasury Inv-0.32-0.271.00-0.32-0.30-0.14

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFIAXVanguard 500 Index Admiral$13,148$8,019$7,775
VEIEXVanguard Emerging Mkts Stock Idx Inv$21,748$19,384
VUSTXVanguard Long-Term Treasury Inv$7,220

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFIAXVanguard 500 Index Admiral100.00%38.03%38.39%
VEIEXVanguard Emerging Mkts Stock Idx Inv61.97%63.81%
VUSTXVanguard Long-Term Treasury Inv-2.19%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.12%53.77%-43.28%13.31%74.75%-49.66%12.79%59.40%-37.85%
3 years5.12%25.58%-15.11%11.46%31.29%-13.29%11.76%26.95%-7.60%
5 years3.15%15.40%-6.65%9.53%26.88%-1.57%10.33%22.63%1.27%
7 years3.34%6.80%-3.87%9.54%15.41%2.32%10.45%14.75%4.53%
10 years5.38%8.00%2.91%10.47%12.84%8.65%11.24%12.88%9.89%