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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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 - Sep 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock Index Inv 50.00%
VTSAX Vanguard Total Stock Mkt Idx Adm 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock Index Inv 30.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
VTSAX Vanguard Total Stock Mkt Idx Adm 30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,119 2.37% 6.78%6.50%15.28%32.67%-40.66%-54.83%
(-57.48%)
0.430.600.96
Portfolio 2$10,000$12,732 1.65% 6.04%5.96%9.26%22.21%-24.01%-35.10%
(-38.79%)
0.540.780.94
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to September
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Inflation adjusted monthly withdrawal of $33.00 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20053.42%10.83%7.46%$10,643$10,318-$40615.57%6.09%2.40%
20062.54%21.37%14.85%$12,455$11,399-$41926.64%15.63%4.27%
20074.08%10.62%9.10%$13,337$11,991-$43115.52%5.57%6.92%
20080.09%-40.66%-24.01%$7,578$8,726-$448-44.10%-36.99%5.05%
20092.72%32.67%22.21%$9,504$10,152-$44636.73%28.83%5.93%
20101.50%14.18%11.08%$10,337$10,786-$45411.12%17.26%6.42%
20112.96%-6.55%-1.13%$9,220$10,207-$468-14.56%1.08%7.56%
20121.74%17.26%12.41%$10,303$10,973-$47818.14%16.38%4.05%
20131.50%24.22%13.38%$12,259$11,925-$48515.04%33.52%-2.26%
20140.76%4.23%4.85%$12,281$12,004-$493-4.24%12.56%5.76%
20150.73%-1.88%-1.01%$11,571$11,400-$493-4.37%0.39%0.30%
20162.07%8.95%6.19%$12,077$11,592-$4994.65%12.66%2.50%
20172.11%24.28%16.07%$14,449$12,910-$51027.40%21.17%3.46%
20181.91%-9.92%-5.94%$12,543$11,649-$523-14.44%-5.17%-0.13%
20192.12%15.82%12.82%$14,119$12,732-$39811.42%20.00%8.60%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20051-2.17%-1.04%$9,750$9,863-1.67%-2.68%0.65%
200523.40%1.76%$10,048$10,0034.68%2.11%-0.63%
20053-2.36%-1.62%$9,778$9,808-2.93%-1.76%-0.49%
20054-2.19%-0.77%$9,530$9,699-2.07%-2.32%1.35%
200551.90%1.55%$9,677$9,8160.08%3.77%1.05%
200561.07%0.86%$9,747$9,8661.30%0.84%0.55%
200573.91%1.91%$10,094$10,0213.68%4.14%-0.99%
200580.95%1.11%$10,155$10,0982.85%-0.94%1.36%
200592.81%1.26%$10,407$10,1914.73%0.85%-1.10%
200510-2.64%-1.93%$10,097$9,960-3.37%-1.86%-0.81%
2005113.32%2.21%$10,398$10,1462.67%4.01%0.48%
2005122.68%2.03%$10,643$10,3185.14%0.13%0.99%
200615.26%3.21%$11,168$10,6146.87%3.50%-0.11%
20062-0.37%-0.09%$11,093$10,570-0.72%0.03%0.37%
200632.52%1.22%$11,337$10,6643.17%1.79%-1.00%
200643.24%1.99%$11,670$10,8415.12%1.11%-0.21%
20065-3.89%-2.54%$11,181$10,530-4.45%-3.23%-0.09%
20066-0.11%-0.03%$11,133$10,492-0.38%0.20%0.10%
200670.57%0.85%$11,161$10,5461.15%-0.10%1.35%
200682.43%2.14%$11,397$10,7362.53%2.31%1.64%
200691.17%1.04%$11,496$10,8130.25%2.26%0.81%
2006103.80%2.68%$11,897$11,0684.00%3.56%0.72%
2006113.03%2.35%$12,223$11,2933.73%2.23%1.11%
2006122.18%1.25%$12,455$11,3993.09%1.13%-0.48%
200711.38%0.82%$12,592$11,4570.96%1.88%-0.08%
20072-0.71%0.12%$12,467$11,4360.06%-1.61%1.50%
200732.04%1.19%$12,686$11,5362.80%1.13%0.02%
200743.98%2.60%$13,156$11,8003.92%4.04%0.51%
200753.39%1.77%$13,566$11,9723.09%3.69%-0.78%
20076-0.54%-0.47%$13,457$11,8800.61%-1.68%-0.39%
20077-2.21%-1.05%$13,123$11,720-1.06%-3.38%0.84%
200780.35%0.72%$13,132$11,768-0.72%1.45%1.34%
200795.01%3.35%$13,754$12,1266.38%3.61%0.72%
2007103.91%2.79%$14,255$12,4295.90%1.82%0.93%
200711-4.52%-2.12%$13,575$12,128-4.57%-4.46%1.91%
200712-1.48%-0.83%$13,337$11,991-2.28%-0.61%0.22%
20081-7.35%-3.82%$12,319$11,497-8.55%-6.08%1.69%
20082-1.32%-0.68%$12,120$11,3820.33%-3.04%0.19%
20083-0.65%-0.26%$12,003$11,315-0.71%-0.59%0.30%
200845.45%3.04%$12,621$11,6215.85%5.02%-0.30%
200851.80%0.75%$12,811$11,6711.51%2.12%-0.79%
20086-8.61%-5.16%$11,670$11,030-8.99%-8.20%-0.01%
20087-2.27%-1.32%$11,367$10,846-3.67%-0.77%0.00%
20088-1.80%-0.75%$11,125$10,727-5.10%1.61%0.70%
20089-11.15%-6.80%$9,846$9,959-13.09%-9.28%-1.10%
200810-19.77%-12.93%$7,862$8,634-22.09%-17.63%-2.53%
200811-7.13%-2.29%$7,265$8,400-6.29%-7.86%3.64%
2008124.81%4.32%$7,578$8,7268.16%1.83%3.32%
20091-10.06%-6.41%$6,779$8,130-11.96%-8.26%-0.70%
20092-10.04%-5.98%$6,062$7,607-9.58%-10.45%-0.42%
200939.01%5.67%$6,571$8,0029.31%8.73%1.48%
2009411.65%6.85%$7,300$8,51312.78%10.60%0.36%
200959.70%6.30%$7,971$9,01314.35%5.33%0.85%
20096-0.49%-0.13%$7,895$8,964-1.32%0.37%0.54%
200978.91%6.08%$8,561$9,4719.96%7.87%1.43%
200983.56%2.63%$8,829$9,6833.50%3.63%1.01%
200994.70%3.45%$9,207$9,9805.15%4.25%1.19%
200910-2.38%-1.39%$8,950$9,804-2.17%-2.61%0.41%
2009114.75%3.50%$9,337$10,1093.86%5.66%1.36%
2009122.19%0.80%$9,504$10,1521.53%2.85%-1.68%
20101-4.27%-1.93%$9,061$9,919-5.07%-3.46%1.57%
201021.80%1.14%$9,186$9,9940.22%3.36%0.20%
201036.48%3.79%$9,744$10,3356.71%6.26%-0.08%
201040.29%0.60%$9,734$10,359-1.71%2.21%1.06%
20105-9.34%-5.28%$8,787$9,774-10.78%-8.00%0.87%
20106-3.54%-1.37%$8,438$9,602-1.17%-5.67%1.61%
201078.63%5.28%$9,129$10,07110.33%7.03%0.94%
20108-3.99%-1.71%$8,726$9,861-3.22%-4.75%1.48%
201099.95%5.66%$9,557$10,38110.41%9.50%-0.01%
2010103.74%2.36%$9,877$10,5893.55%3.94%0.36%
201011-1.96%-1.40%$9,645$10,403-4.52%0.58%-0.57%
2010127.56%4.05%$10,337$10,7868.34%6.83%-1.15%
201111.46%0.93%$10,449$10,8480.70%2.19%0.08%
201123.18%2.04%$10,744$11,0312.71%3.63%0.16%
201130.02%0.01%$10,707$10,994-0.43%0.45%-0.01%
201144.07%3.04%$11,104$11,2895.24%2.99%1.32%
20115-1.99%-0.78%$10,844$11,162-2.87%-1.16%1.30%
20116-1.65%-1.18%$10,626$10,991-1.51%-1.79%-0.39%
20117-1.89%-0.58%$10,386$10,888-1.53%-2.22%1.58%
20118-7.20%-3.86%$9,599$10,429-8.45%-6.02%1.46%
20119-9.91%-5.51%$8,608$9,814-12.29%-7.75%0.89%
20111010.93%6.25%$9,509$10,38810.22%11.54%0.16%
201111-1.48%-1.00%$9,329$10,245-2.88%-0.29%-0.30%
201112-0.75%0.00%$9,220$10,207-2.64%0.82%1.08%
201216.18%3.90%$9,750$10,5657.27%5.08%0.87%
201224.70%2.75%$10,169$10,8165.14%4.26%-0.05%
201231.13%0.59%$10,244$10,840-0.75%3.07%-0.58%
20124-1.20%-0.25%$10,082$10,773-1.78%-0.63%1.14%
20125-8.66%-4.71%$9,168$10,226-11.14%-6.23%0.95%
201264.95%3.01%$9,582$10,4946.03%3.94%0.04%
201270.75%0.99%$9,614$10,5580.44%1.03%1.39%
201282.61%1.61%$9,825$10,6872.72%2.51%0.03%
201293.08%1.95%$10,088$10,8563.62%2.58%0.11%
201210-0.63%-0.32%$9,985$10,7810.56%-1.76%0.11%
2012111.27%0.87%$10,072$10,8351.82%0.74%0.19%
2012122.69%1.64%$10,303$10,9734.17%1.22%-0.20%
201314.41%2.49%$10,717$11,2063.34%5.50%-0.71%
201320.03%0.18%$10,680$11,187-1.23%1.28%0.54%
201332.36%1.51%$10,892$11,3150.77%3.91%0.08%
201342.61%2.03%$11,136$11,5043.58%1.70%0.91%
20135-0.25%-0.82%$11,068$11,369-2.95%2.35%-1.71%
20136-2.43%-2.16%$10,758$11,084-3.75%-1.24%-1.65%
201375.04%3.08%$11,260$11,3844.56%5.46%0.20%
20138-2.25%-1.61%$10,965$11,161-1.63%-2.80%-0.64%
201395.34%3.66%$11,510$11,5297.21%3.67%0.96%
2013103.85%2.65%$11,912$11,7953.41%4.25%0.78%
2013111.56%0.80%$12,058$11,8490.12%2.88%-0.35%
2013122.00%0.99%$12,259$11,9251.25%2.66%-0.65%
20141-3.88%-1.92%$11,742$11,656-4.78%-3.11%1.54%
201425.05%3.32%$12,294$12,0035.39%4.75%0.48%
201430.47%0.24%$12,310$11,9900.41%0.52%-0.15%
201440.64%0.71%$12,348$12,0341.31%0.06%0.77%
201452.04%1.67%$12,559$12,1941.88%2.17%1.05%
201462.18%1.41%$12,791$12,3241.74%2.57%0.11%
20147-1.81%-1.24%$12,519$12,130-1.61%-1.98%-0.26%
201482.73%2.10%$12,819$12,3431.05%4.18%1.13%
20149-3.43%-2.50%$12,337$11,993-5.01%-2.11%-0.72%
2014101.22%1.17%$12,446$12,092-0.31%2.74%0.94%
2014111.11%0.99%$12,544$12,171-0.25%2.43%0.65%
201412-1.77%-1.03%$12,281$12,004-3.65%0.00%0.09%
20151-1.39%-0.07%$12,070$11,9560.13%-2.77%2.31%
201525.65%3.10%$12,710$12,2865.52%5.76%-1.08%
20153-1.27%-0.65%$12,508$12,165-1.54%-1.01%0.41%
201542.67%1.48%$12,801$12,3045.08%0.42%-0.36%
201550.24%0.03%$12,791$12,266-0.94%1.39%-0.45%
20156-2.18%-1.75%$12,470$12,011-2.69%-1.70%-1.01%
201570.46%0.61%$12,486$12,043-0.80%1.65%0.76%
20158-6.62%-4.33%$11,618$11,480-7.29%-6.00%-0.36%
20159-3.40%-1.81%$11,182$11,230-3.90%-2.94%0.76%
2015107.10%4.38%$11,935$11,6816.26%7.86%0.01%
201511-0.32%-0.34%$11,855$11,601-1.32%0.56%-0.27%
201512-2.05%-1.38%$11,571$11,400-2.07%-2.04%-0.38%
20161-5.62%-2.77%$10,879$11,043-5.59%-5.65%1.43%
20162-1.08%-0.38%$10,721$10,959-2.27%-0.04%0.66%
201637.56%4.76%$11,491$11,4408.19%7.03%0.94%
201641.37%0.99%$11,607$11,5122.22%0.65%0.38%
201650.47%0.24%$11,620$11,497-1.02%1.77%0.01%
20166-0.30%0.59%$11,544$11,524-0.94%0.25%1.94%
201674.16%2.72%$11,982$11,7954.41%3.95%0.64%
201680.49%0.23%$11,999$11,7800.74%0.28%-0.17%
201690.71%0.41%$12,042$11,7871.37%0.15%-0.09%
201610-1.99%-1.50%$11,761$11,568-1.72%-2.21%-0.81%
2016111.40%-0.35%$11,884$11,485-2.15%4.45%-2.64%
2016121.98%1.29%$12,077$11,5922.02%1.93%0.24%
201712.90%1.85%$12,385$11,7643.87%1.93%0.29%
201722.60%1.88%$12,664$11,9441.50%3.71%0.66%
201731.45%0.83%$12,805$12,0012.82%0.08%-0.07%
201741.63%1.29%$12,972$12,1132.20%1.05%0.76%
201752.04%1.50%$13,193$12,2513.01%1.02%0.67%
201760.72%0.46%$13,246$12,2660.52%0.93%0.01%
201772.66%1.80%$13,556$12,4443.42%1.87%0.39%
201780.41%0.56%$13,569$12,4720.64%0.16%0.85%
201792.12%1.16%$13,814$12,5731.81%2.46%-0.54%
2017102.05%1.36%$14,054$12,7011.94%2.17%0.11%
2017111.88%1.18%$14,275$12,8090.78%3.04%-0.17%
2017121.52%1.13%$14,449$12,9102.01%1.01%0.44%
201815.46%2.84%$15,195$13,2345.59%5.32%-1.09%
20182-4.45%-3.12%$14,477$12,778-5.14%-3.71%-1.03%
20183-1.30%-0.55%$14,246$12,664-0.64%-1.98%0.63%
201840.61%0.03%$14,289$12,6250.83%0.38%-0.83%
201850.38%0.51%$14,300$12,645-1.92%2.82%0.61%
20186-0.71%-0.40%$14,155$12,551-2.08%0.67%0.03%
201872.92%1.78%$14,524$12,7312.48%3.35%0.03%
201880.67%0.65%$14,578$12,771-2.19%3.45%0.52%
201890.23%-0.07%$14,567$12,7180.30%0.16%-0.54%
201810-7.86%-5.09%$13,379$12,026-8.35%-7.40%-0.73%
2018111.69%1.22%$13,561$12,1301.26%2.08%0.53%
201812-7.18%-3.60%$12,543$11,649-4.85%-9.30%1.80%
201918.10%5.10%$13,516$12,1997.58%8.60%1.01%
201922.64%1.55%$13,829$12,3451.72%3.51%-0.06%
201931.10%1.45%$13,937$12,4790.72%1.45%1.96%
201943.39%2.05%$14,366$12,6912.76%3.98%0.04%
20195-6.01%-2.91%$13,458$12,277-5.55%-6.43%1.83%
201966.43%4.25%$14,279$12,7545.83%6.99%1.15%
20197-0.14%0.03%$14,214$12,714-1.89%1.44%0.23%
20198-2.17%-0.17%$13,862$12,648-2.35%-2.01%2.78%
201992.18%1.02%$14,119$12,7322.72%1.70%-0.60%
* End-of-month balance includes the monthly contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value17.38%8.62%
Large-cap Growth23.01%16.19%
Mid-cap Value5.87%5.19%
Mid-cap Growth3.38%1.16%
Small-cap Value0.98%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets37.78%22.12%
Emerging Markets10.94%7.42%
Corporate Bonds0.66%7.69%
Long-Term Treasuries0.00%0.82%
Intermediate-Term Treasuries0.00%9.95%
Short-Term Treasuries0.00%20.84%
R Squared99.80%99.63%
Style analysis is based on monthly returns from Apr 2005 to Sep 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%50.00%$3,90954.82%
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%50.00%$7,16245.18%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%30.00%$2,64554.02%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.200.15%40.00%$2,5242.39%
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%30.00%$4,51543.59%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/03/2019. © 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.65%0.53%
Arithmetic Mean (annualized)8.04%6.50%
Geometric Mean (monthly)0.55%0.49%
Geometric Mean (annualized)6.78%6.04%
Volatility (monthly)4.41%2.67%
Volatility (annualized)15.28%9.26%
Downside Deviation (monthly)3.08%1.82%
Max. Drawdown-54.83%-35.10%
US Market Correlation0.960.94
Beta(*)1.030.61
Alpha (annualized)-1.73%0.68%
R292.73%88.72%
Sharpe Ratio0.430.54
Sortino Ratio0.600.78
Treynor Ratio (%)6.348.31
Calmar Ratio0.650.82
Active Return-1.76%-2.49%
Tracking Error4.14%6.43%
Information Ratio-0.43-0.39
Skewness-0.80-0.94
Excess Kurtosis2.583.51
Historical Value-at-Risk (5%)-7.93%-4.74%
Analytical Value-at-Risk (5%)-6.60%-3.89%
Conditional Value-at-Risk (5%)-10.94%-6.65%
Upside Capture Ratio (%)96.6059.98
Downside Capture Ratio (%)105.4659.72
Safe Withdrawal Rate9.07%9.07%
Perpetual Withdrawal Rate4.66%3.96%
Positive Periods111 out of 177 (62.71%)113 out of 177 (63.84%)
Gain/Loss Ratio0.880.96
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-54.83%-35.10%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20134 years 2 months5 years 6 months-54.83%
2Feb 2018Dec 201811 months-14.59%
3Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.46%
4Mar 2005Apr 20052 monthsJul 20053 months5 months-4.50%
5Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.27%
6May 2006Jun 20062 monthsSep 20063 months5 months-4.00%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.88%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-2.74%
9May 2013Jun 20132 monthsJul 20131 month3 months-2.67%
10Oct 2005Oct 20051 monthNov 20051 month2 months-2.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-35.10%
2May 2011Sep 20115 monthsMar 20126 months11 months-11.45%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.53%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.73%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.94%
6May 2013Jun 20132 monthsJul 20131 month3 months-2.96%
7May 2019May 20191 monthJun 20191 month2 months-2.91%
8May 2006Jun 20062 monthsAug 20062 months4 months-2.58%
9Sep 2014Sep 20141 monthFeb 20155 months6 months-2.50%
10Mar 2005Apr 20052 monthsJul 20053 months5 months-2.37%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGTSXVanguard Total Intl Stock Index Inv4.60%17.25%36.73%-44.10%-58.50%0.280.390.87
VTSAXVanguard Total Stock Mkt Idx Adm8.65%14.36%33.52%-36.99%-50.84%0.560.811.00
VBMFXVanguard Total Bond Market Index Inv4.08%3.27%8.60%-2.26%-3.99%0.851.50-0.04

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGTSXVTSAXVBMFXPortfolio 1Portfolio 2
VGTSXVanguard Total Intl Stock Index Inv-0.870.090.970.97
VTSAXVanguard Total Stock Mkt Idx Adm0.87--0.040.960.94
VBMFXVanguard Total Bond Market Index Inv0.09-0.04-0.030.17

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VGTSXVanguard Total Intl Stock Index Inv$3,909$2,645
VTSAXVanguard Total Stock Mkt Idx Adm$7,162$4,515
VBMFXVanguard Total Bond Market Index Inv$2,524

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VGTSXVanguard Total Intl Stock Index Inv54.82%54.02%
VTSAXVanguard Total Stock Mkt Idx Adm45.18%43.59%
VBMFXVanguard Total Bond Market Index Inv2.39%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.83%32.67%-40.66%6.11%22.21%-24.01%
3 years6.12%14.93%-7.30%5.57%10.42%-1.62%
5 years6.40%15.57%-1.46%5.81%11.33%2.16%
7 years6.63%11.25%3.24%5.98%8.55%4.52%
10 years6.29%9.91%4.19%5.78%7.49%4.57%
Result statistics are based on annualized rolling returns over full calendar year periods

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
103/31/2007Vanguard Total Intl Stock Index Inv (VGTSX): 55.00%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 45.00%
212/31/2011Vanguard Total Intl Stock Index Inv (VGTSX): 44.61%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 55.39%
309/30/2014Vanguard Total Intl Stock Index Inv (VGTSX): 44.97%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 55.03%
411/30/2016Vanguard Total Intl Stock Index Inv (VGTSX): 44.60%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 55.40%

Portfolio 2 Rebalancing Events

Rebalancing dates for portfolio 2
#DateAllocation
112/31/2006Vanguard Total Intl Stock Index Inv (VGTSX): 35.58%
Vanguard Total Bond Market Index Inv (VBMFX): 34.60%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 29.82%
209/30/2008Vanguard Total Intl Stock Index Inv (VGTSX): 26.27%
Vanguard Total Bond Market Index Inv (VBMFX): 46.09%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 27.65%
311/30/2008Vanguard Total Intl Stock Index Inv (VGTSX): 25.74%
Vanguard Total Bond Market Index Inv (VBMFX): 47.49%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 26.76%
412/31/2009Vanguard Total Intl Stock Index Inv (VGTSX): 34.79%
Vanguard Total Bond Market Index Inv (VBMFX): 34.34%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 30.87%
505/31/2012Vanguard Total Intl Stock Index Inv (VGTSX): 24.82%
Vanguard Total Bond Market Index Inv (VBMFX): 41.80%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 33.37%
605/31/2013Vanguard Total Intl Stock Index Inv (VGTSX): 32.29%
Vanguard Total Bond Market Index Inv (VBMFX): 34.70%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 33.02%
710/31/2015Vanguard Total Intl Stock Index Inv (VGTSX): 27.87%
Vanguard Total Bond Market Index Inv (VBMFX): 37.10%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 35.03%
812/31/2017Vanguard Total Intl Stock Index Inv (VGTSX): 31.91%
Vanguard Total Bond Market Index Inv (VBMFX): 34.79%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 33.30%