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 2009 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VIVAX Vanguard Value Index Inv 15.00%
VISVX Vanguard Small Cap Value Index Inv 15.00%
EFV iShares MSCI EAFE Value ETF 13.00%
SCZ iShares MSCI EAFE Small-Cap ETF 13.00%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 4.00%
VIPSX Vanguard Inflation-Protected Secs Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 60.00%
VBTLX Vanguard Total Bond Market Index Adm 40.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTWNX Vanguard Target Retirement 2020 Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,967 7.68% 9.78%24.10%-8.06%-13.92% 0.771.250.93
Portfolio 2$10,000$24,472 9.36% 8.10%18.54%-2.67%-11.34% 1.101.840.98
Portfolio 3$10,000$22,663 8.53% 9.22%23.10%-4.24%-13.28% 0.891.490.97
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 1-8.41%-8.06%4.59%3.04%7.68%7.68%
Portfolio 2-7.89%-2.67%6.43%6.12%9.36%9.36%
Portfolio 3-6.50%-4.24%5.32%4.44%8.53%8.53%
Trailing returns are for full months ending in December 2018 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
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Value Index Inv (VIVAX)Vanguard Small Cap Value Index Inv (VISVX)iShares MSCI EAFE Value ETF (EFV)iShares MSCI EAFE Small-Cap ETF (SCZ)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Inflation-Protected Secs Inv (VIPSX)Vanguard 500 Index Admiral (VFIAX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Target Retirement 2020 Inv (VTWNX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20092.72%24.10%18.39%23.10%$12,410$11,839$12,31019.58%30.34%28.36%42.85%75.98%10.80%26.62%6.04%23.10%
20101.50%12.46%11.65%13.12%$13,957$13,218$13,92514.28%24.82%4.47%21.50%18.86%6.17%15.05%6.54%13.12%
20112.96%0.48%4.33%0.60%$14,024$13,789$14,0091.00%-4.16%-12.42%-15.14%-18.78%13.24%2.08%7.69%0.60%
20121.74%13.70%11.24%12.35%$15,947$15,339$15,73915.00%18.56%18.83%21.28%18.64%6.78%15.96%4.15%12.35%
20131.50%13.17%18.54%15.85%$18,047$18,183$18,23432.85%36.41%21.84%28.61%-5.19%-8.92%32.33%-2.15%15.85%
20140.76%3.39%10.54%7.11%$18,659$20,100$19,53113.05%10.39%-6.80%-6.07%0.42%3.83%13.64%5.89%7.11%
20150.73%-1.80%0.98%-0.68%$18,323$20,297$19,397-1.03%-4.78%-5.86%9.10%-15.47%-1.83%1.36%0.40%-0.68%
20162.07%9.48%8.19%6.95%$20,060$21,960$20,74516.75%24.65%5.05%2.63%11.50%4.52%11.93%2.60%6.95%
20172.11%13.69%14.49%14.08%$22,806$25,143$23,66616.99%11.67%21.25%32.73%31.15%2.81%21.79%3.56%14.08%
20181.91%-8.06%-2.67%-4.24%$20,967$24,472$22,663-5.55%-12.34%-14.66%-17.63%-14.71%-1.49%-4.43%-0.03%-4.24%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Value Index Inv (VIVAX)Vanguard Small Cap Value Index Inv (VISVX)iShares MSCI EAFE Value ETF (EFV)iShares MSCI EAFE Small-Cap ETF (SCZ)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Inflation-Protected Secs Inv (VIPSX)Vanguard 500 Index Admiral (VFIAX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Target Retirement 2020 Inv (VTWNX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20091-7.11%-5.32%-6.46%$9,289$9,468$9,354-11.44%-13.03%-15.31%-11.55%-8.19%0.95%-8.41%-0.69%-6.46%
20092-7.33%-6.35%-7.29%$8,608$8,866$8,672-13.34%-13.96%-11.50%-9.28%-6.07%-1.63%-10.64%-0.42%-7.29%
200938.02%5.53%6.75%$9,298$9,356$9,2588.93%9.39%8.98%9.69%16.03%5.99%8.78%1.49%6.75%
200947.43%5.61%7.69%$9,989$9,881$9,97010.30%19.76%16.67%13.79%16.03%-1.90%9.56%0.36%7.69%
200956.76%3.68%5.15%$10,664$10,245$10,4836.75%3.50%13.10%15.92%18.27%1.85%5.63%0.86%5.15%
20096-0.06%0.36%0.23%$10,658$10,282$10,507-0.88%-0.10%-1.40%1.72%-2.25%0.33%0.23%0.55%0.23%
200975.75%5.14%6.20%$11,271$10,810$11,1598.04%10.64%10.05%8.40%11.55%0.08%7.58%1.44%6.20%
200983.85%2.62%2.87%$11,705$11,093$11,4795.10%6.12%6.74%6.40%-0.63%1.07%3.61%1.02%2.87%
200993.68%2.77%3.36%$12,136$11,400$11,8653.37%5.52%3.33%4.91%9.29%1.87%3.73%1.20%3.36%
200910-1.80%-1.01%-1.48%$11,917$11,285$11,690-2.67%-6.32%-3.63%-2.51%-1.36%1.44%-1.86%0.42%-1.48%
2009113.37%4.26%4.03%$12,319$11,765$12,1616.00%3.67%3.71%0.96%5.90%2.76%6.00%1.37%4.03%
2009120.74%0.62%1.23%$12,410$11,839$12,3101.21%6.88%-0.44%1.55%3.60%-2.23%1.95%-1.67%1.23%
20101-1.40%-1.52%-2.10%$12,236$11,658$12,051-2.47%-3.06%-4.99%-2.15%-6.25%1.51%-3.59%1.58%-2.10%
201020.59%1.90%2.00%$12,309$11,880$12,2912.53%5.21%-0.23%-0.60%1.07%-1.18%3.09%0.20%2.00%
201034.20%3.56%4.21%$12,826$12,302$12,8096.16%8.00%6.14%7.38%8.15%0.04%6.03%-0.07%4.21%
201041.95%1.38%1.30%$13,076$12,473$12,9761.78%6.19%-2.90%0.61%0.26%2.47%1.59%1.07%1.30%
20105-5.88%-4.53%-5.51%$12,307$11,908$12,260-7.79%-7.99%-11.65%-12.46%-9.32%0.08%-8.00%0.88%-5.51%
20106-1.93%-2.41%-2.67%$12,069$11,621$11,933-5.10%-8.04%-3.04%-0.46%-0.04%1.32%-5.23%1.62%-2.67%
201075.10%4.40%5.48%$12,684$12,133$12,5876.54%7.43%12.64%10.39%9.25%-0.08%7.01%0.95%5.48%
20108-2.01%-2.02%-2.55%$12,428$11,887$12,267-4.26%-6.70%-3.81%-4.51%-2.24%1.93%-4.52%1.49%-2.55%
201095.93%5.09%6.44%$13,166$12,492$13,0567.55%10.42%8.93%11.96%11.18%0.70%8.93%-0.00%6.44%
2010103.21%2.40%2.69%$13,589$12,792$13,4072.69%3.57%4.23%4.51%2.97%2.56%3.81%0.37%2.69%
201011-1.79%-0.22%-0.46%$13,345$12,764$13,346-0.56%2.30%-6.66%-3.44%-2.71%-1.69%0.01%-0.56%-0.46%
2010124.58%3.56%4.34%$13,957$13,218$13,9257.89%7.55%8.71%11.42%7.30%-1.55%6.68%-1.14%4.34%
201111.03%1.46%1.22%$14,101$13,410$14,0952.84%0.62%4.12%0.69%-2.77%0.00%2.37%0.09%1.22%
201122.44%2.14%2.28%$14,445$13,697$14,4174.02%4.66%3.75%2.28%-0.85%0.92%3.42%0.17%2.28%
201130.31%0.02%0.13%$14,489$13,700$14,4360.04%1.50%-3.34%-0.30%5.57%0.91%0.03%0.00%0.13%
201143.46%2.33%2.88%$14,990$14,019$14,8522.94%2.40%6.02%5.88%3.47%2.43%2.96%1.33%2.88%
20115-1.33%-0.20%-0.68%$14,790$13,991$14,751-1.36%-2.11%-3.63%-2.44%-2.82%0.30%-1.14%1.31%-0.68%
20116-0.75%-1.16%-1.20%$14,680$13,828$14,574-2.15%-2.10%-1.01%-1.25%-1.51%0.65%-1.66%-0.38%-1.20%
20117-0.18%-0.62%-0.73%$14,653$13,743$14,467-3.52%-3.45%-3.32%-1.70%-0.82%3.87%-2.04%1.58%-0.73%
20118-4.21%-2.66%-3.83%$14,036$13,377$13,913-5.78%-8.08%-9.31%-8.23%-8.54%0.86%-5.43%1.47%-3.83%
20119-5.57%-3.72%-5.66%$13,254$12,879$13,125-7.07%-10.60%-9.61%-11.23%-16.19%0.06%-7.04%0.90%-5.66%
2011106.60%6.22%7.30%$14,129$13,680$14,08310.36%14.34%9.26%7.44%13.51%1.93%10.93%0.17%7.30%
201111-0.57%-0.25%-0.76%$14,048$13,646$13,976-0.49%-0.26%-2.03%-2.56%-3.41%0.42%-0.22%-0.29%-0.76%
201112-0.17%1.05%0.24%$14,024$13,789$14,0092.39%1.00%-2.24%-3.37%-3.32%0.20%1.03%1.09%0.24%
201214.65%3.04%4.01%$14,676$14,208$14,5713.42%6.85%4.89%8.83%11.12%2.20%4.47%0.88%4.01%
201222.41%2.62%2.88%$15,030$14,580$14,9913.92%2.49%5.07%5.26%5.56%-0.42%4.32%-0.04%2.88%
201230.35%1.81%1.08%$15,083$14,844$15,1532.89%2.35%-0.13%0.78%-2.86%-1.07%3.29%-0.57%1.08%
20124-0.14%0.03%-0.26%$15,062$14,849$15,114-0.93%-0.89%-3.30%-0.77%-1.75%2.05%-0.63%1.15%-0.26%
20125-4.75%-3.39%-4.66%$14,346$14,346$14,410-5.96%-6.29%-11.66%-11.45%-11.08%1.80%-6.01%0.96%-4.66%
201262.92%2.52%2.91%$14,764$14,707$14,8304.70%4.28%9.01%4.18%4.83%-0.62%4.12%0.04%2.91%
201270.67%1.38%1.05%$14,863$14,911$14,9851.19%-0.43%-0.38%-1.19%0.64%1.85%1.38%1.39%1.05%
201281.65%1.40%1.72%$15,109$15,120$15,2431.40%2.95%4.26%4.00%0.43%-0.20%2.25%0.04%1.72%
201292.25%1.65%1.86%$15,448$15,369$15,5273.05%2.87%2.97%4.20%5.32%0.49%2.58%0.12%1.86%
2012100.37%-1.12%-0.62%$15,506$15,198$15,430-0.52%-0.58%1.52%0.78%-0.42%0.67%-1.85%0.12%-0.62%
2012110.73%0.43%0.75%$15,619$15,264$15,547-0.53%0.82%1.97%1.46%1.33%0.47%0.58%0.20%0.75%
2012122.09%0.49%1.24%$15,947$15,339$15,7391.90%3.33%4.70%4.81%5.84%-0.57%0.91%-0.19%1.24%
201312.86%2.83%2.81%$16,402$15,773$16,1826.37%6.49%4.81%4.25%0.61%-0.69%5.18%-0.70%2.81%
201320.32%1.04%0.53%$16,454$15,938$16,2681.52%1.78%-2.67%1.32%-1.74%0.14%1.35%0.55%0.53%
201331.68%2.34%1.91%$16,730$16,311$16,5783.90%4.53%0.24%2.23%-1.54%0.21%3.75%0.09%1.91%
201341.95%1.55%1.75%$17,057$16,563$16,8692.19%-0.05%6.27%3.57%1.32%0.76%1.92%0.92%1.75%
20135-1.85%0.83%-0.16%$16,742$16,700$16,8422.45%3.05%-3.35%-4.00%-3.73%-4.26%2.33%-1.70%-0.16%
20136-2.77%-1.45%-1.80%$16,279$16,457$16,539-0.81%-1.13%-3.14%-2.75%-6.14%-3.94%-1.35%-1.64%-1.80%
201374.07%3.31%3.31%$16,942$17,002$17,0875.19%6.68%5.89%7.01%0.97%0.90%5.09%0.21%3.31%
20138-2.40%-2.10%-1.78%$16,536$16,646$16,783-3.60%-4.20%-1.85%-0.67%-3.18%-1.71%-2.90%-0.63%-1.78%
201394.42%2.36%3.35%$17,267$17,038$17,3442.13%5.31%8.21%8.82%7.15%1.68%3.13%0.97%3.35%
2013102.73%3.25%2.74%$17,738$17,592$17,8204.56%3.89%3.99%2.99%4.65%0.45%4.59%0.79%2.74%
2013110.75%1.88%1.19%$17,870$17,922$18,0313.20%2.99%0.44%0.30%-2.02%-1.04%3.04%-0.34%1.19%
2013120.99%1.46%1.12%$18,047$18,183$18,2342.05%2.68%1.95%3.09%-0.96%-1.60%2.53%-0.64%1.12%
20141-1.38%-1.45%-1.66%$17,797$17,919$17,931-3.59%-2.83%-4.86%-2.77%-7.27%2.16%-3.46%1.55%-1.66%
201423.17%2.89%3.23%$18,361$18,436$18,5103.94%5.03%6.17%6.39%3.42%0.30%4.57%0.49%3.23%
201430.36%0.44%0.29%$18,427$18,518$18,5642.58%1.32%-0.35%-1.02%3.86%-0.47%0.84%-0.14%0.29%
201440.79%0.75%0.54%$18,573$18,658$18,6650.89%-1.16%2.48%-0.34%0.51%1.36%0.74%0.78%0.54%
201451.71%1.83%1.66%$18,890$18,999$18,9741.43%1.59%1.19%1.13%3.72%2.01%2.34%1.06%1.66%
201461.53%1.29%1.49%$19,179$19,244$19,2561.88%4.29%1.11%1.71%3.00%0.31%2.06%0.12%1.49%
20147-1.58%-0.94%-1.15%$18,876$19,064$19,034-1.27%-4.71%-2.36%-3.31%1.46%0.00%-1.38%-0.25%-1.15%
201481.62%2.87%2.44%$19,183$19,611$19,4993.46%5.15%-0.35%0.20%3.57%0.51%4.00%1.14%2.44%
20149-3.55%-1.14%-2.04%$18,501$19,388$19,102-1.33%-5.65%-4.07%-5.40%-7.16%-2.49%-1.40%-0.71%-2.04%
2014101.35%1.86%1.51%$18,751$19,748$19,3911.90%4.94%-0.79%0.08%2.31%0.75%2.43%0.95%1.51%
2014110.37%1.91%1.28%$18,819$20,125$19,6402.39%1.04%-0.76%-1.34%-1.00%0.30%2.69%0.66%1.28%
201412-0.85%-0.12%-0.56%$18,659$20,100$19,5310.33%1.70%-3.92%-1.11%-4.97%-0.91%-0.26%0.10%-0.56%
201510.20%-0.87%-0.28%$18,696$19,925$19,476-4.04%-3.31%-0.04%0.28%0.67%3.11%-3.00%2.32%-0.28%
201522.89%2.93%3.00%$19,236$20,509$20,0595.25%5.71%6.43%6.96%3.53%-1.40%5.74%-1.07%3.00%
20153-0.72%-0.79%-0.51%$19,097$20,347$19,956-1.58%1.22%-1.86%-1.26%-2.08%-0.42%-1.59%0.42%-0.51%
201541.71%0.43%0.96%$19,425$20,434$20,1481.57%-1.26%3.94%4.29%7.79%0.67%0.95%-0.35%0.96%
201550.01%0.60%0.14%$19,427$20,556$20,1761.09%1.35%-0.22%1.71%-3.38%-1.04%1.28%-0.44%0.14%
20156-1.65%-1.56%-1.67%$19,106$20,235$19,840-2.17%-1.45%-3.23%-1.64%-2.39%-0.90%-1.92%-1.00%-1.67%
201570.20%1.57%0.83%$19,145$20,552$20,0040.95%-1.01%1.41%0.86%-6.81%0.46%2.09%0.77%0.83%
20158-3.95%-3.80%-3.98%$18,387$19,771$19,208-5.82%-4.81%-7.59%-4.66%-9.32%-0.91%-6.04%-0.35%-3.98%
20159-2.28%-1.16%-1.68%$17,968$19,542$18,886-2.49%-3.58%-5.61%-2.63%-3.25%-0.46%-2.48%0.76%-1.68%
2015103.80%4.94%4.32%$18,652$20,507$19,7027.57%6.59%6.24%4.92%5.57%0.23%8.43%0.02%4.32%
201511-0.04%0.08%-0.17%$18,644$20,523$19,6680.40%1.33%-1.71%0.68%-3.25%-0.15%0.30%-0.26%-0.17%
201512-1.72%-1.10%-1.38%$18,323$20,297$19,397-1.01%-4.90%-2.75%-0.16%-2.45%-0.95%-1.58%-0.37%-1.38%
20161-2.99%-2.40%-2.65%$17,776$19,809$18,883-4.75%-6.46%-6.75%-6.25%-6.05%1.56%-4.97%1.44%-2.65%
201620.00%0.20%-0.23%$17,776$19,848$18,8400.10%1.58%-3.55%-1.71%-0.87%1.07%-0.14%0.67%-0.23%
201635.46%4.35%4.74%$18,746$20,710$19,7336.55%8.91%7.22%8.19%13.04%1.90%6.78%0.95%4.74%
201641.18%0.39%0.87%$18,967$20,791$19,9051.53%2.05%3.23%1.18%0.78%0.15%0.39%0.39%0.87%
201650.07%1.07%0.47%$18,980$21,014$19,9981.13%1.44%-1.08%1.77%-3.40%-0.67%1.79%0.02%0.47%
201660.19%0.93%0.64%$19,016$21,210$20,1261.06%0.08%-4.02%-4.62%5.04%2.26%0.26%1.94%0.64%
201672.75%2.46%2.70%$19,538$21,731$20,6692.86%4.68%4.12%5.18%4.67%0.66%3.68%0.65%2.70%
201680.37%0.02%0.21%$19,611$21,735$20,7120.62%0.72%2.06%0.18%1.67%-0.44%0.14%-0.16%0.21%
201690.85%-0.02%0.34%$19,777$21,731$20,783-0.47%0.31%1.16%3.07%1.27%0.73%0.02%-0.08%0.34%
201610-1.18%-1.42%-1.55%$19,545$21,422$20,462-1.15%-3.01%0.13%-2.88%0.63%-0.51%-1.83%-0.80%-1.55%
2016111.09%1.18%0.14%$19,757$21,675$20,4905.96%10.26%-0.58%-2.53%-4.36%-2.04%3.70%-2.63%0.14%
2016121.53%1.32%1.24%$20,060$21,960$20,7452.64%2.82%3.87%1.96%-0.16%-0.16%1.98%0.25%1.24%
201711.66%1.26%1.52%$20,392$22,236$21,0610.61%0.66%2.86%3.83%4.94%1.00%1.89%0.30%1.52%
201721.45%2.66%1.88%$20,687$22,827$21,4573.62%2.06%0.35%2.03%3.28%0.38%3.97%0.67%1.88%
201730.58%0.04%0.65%$20,806$22,837$21,597-0.99%-0.78%3.14%2.54%2.25%0.01%0.11%-0.06%0.65%
201741.16%0.92%1.12%$21,048$23,048$21,839-0.03%0.44%2.17%4.21%1.39%0.46%1.02%0.77%1.12%
201750.47%1.12%1.28%$21,147$23,307$22,1180.11%-2.37%2.14%3.28%1.22%0.00%1.40%0.68%1.28%
201760.45%0.39%0.37%$21,242$23,398$22,1991.71%2.40%0.77%0.61%0.78%-0.95%0.62%0.02%0.37%
201771.72%1.42%1.52%$21,607$23,729$22,5361.54%0.95%3.08%3.41%5.35%0.54%2.05%0.40%1.52%
201780.24%0.52%0.55%$21,659$23,851$22,661-0.44%-1.44%-0.53%0.72%3.05%0.91%0.30%0.86%0.55%
201791.68%1.07%1.04%$22,022$24,107$22,8963.00%4.91%3.00%2.92%-0.78%-0.71%2.07%-0.53%1.04%
2017100.94%1.50%1.25%$22,229$24,469$23,1821.80%0.85%0.71%1.68%2.44%0.23%2.33%0.12%1.25%
2017111.27%1.87%1.14%$22,510$24,927$23,4473.50%3.14%0.75%0.92%0.21%0.08%3.07%-0.16%1.14%
2017121.31%0.87%0.94%$22,806$25,143$23,6661.49%0.50%1.08%2.59%3.49%0.86%1.11%0.45%0.94%
201812.39%3.00%2.52%$23,352$25,897$24,2624.76%1.98%5.71%5.19%8.39%-0.92%5.72%-1.09%2.52%
20182-3.17%-2.66%-2.52%$22,612$25,207$23,651-4.36%-4.78%-5.33%-3.82%-4.73%-0.93%-3.69%-1.02%-2.52%
20183-0.13%-1.30%-0.48%$22,583$24,879$23,538-2.53%0.82%-1.27%-0.11%-1.22%0.92%-2.55%0.63%-0.48%
201840.40%-0.10%0.06%$22,672$24,854$23,5530.45%0.35%2.35%0.66%-2.03%-0.08%0.38%-0.82%0.06%
201850.06%1.70%0.67%$22,686$25,276$23,7110.62%4.50%-4.12%-0.98%-2.86%0.23%2.40%0.62%0.67%
20186-0.31%0.39%-0.13%$22,617$25,374$23,6810.15%0.34%-1.42%-2.29%-4.50%0.69%0.61%0.04%-0.13%
201871.53%2.29%1.59%$22,962$25,954$24,0584.69%2.52%3.04%1.18%3.18%-0.54%3.72%0.04%1.59%
201880.15%2.21%0.82%$22,996$26,528$24,2551.93%2.40%-3.84%-1.18%-3.55%0.62%3.25%0.52%0.82%
20189-0.46%0.15%-0.06%$22,891$26,569$24,2390.56%-1.74%2.04%-0.72%-1.31%-0.95%0.57%-0.53%-0.06%
201810-5.17%-4.56%-4.39%$21,709$25,357$23,176-4.98%-9.01%-7.07%-9.68%-7.58%-1.42%-6.84%-0.72%-4.39%
2018111.27%1.45%1.14%$21,983$25,726$23,4403.36%2.37%0.44%-0.04%4.45%0.40%2.03%0.53%1.14%
201812-4.62%-4.87%-3.31%$20,967$24,472$22,663-9.34%-11.44%-5.38%-6.64%-2.97%0.50%-9.03%1.81%-3.31%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value13.13%26.08%16.50%
Large-cap Growth0.94%33.00%16.46%
Mid-cap Value14.40%0.00%1.82%
Mid-cap Growth2.19%0.60%5.79%
Small-cap Value0.45%0.00%2.08%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets25.82%0.00%14.88%
Emerging Markets7.01%0.68%5.22%
Corporate Bonds7.81%7.88%9.84%
Long-Term Treasuries0.00%0.26%0.00%
Intermediate-Term Treasuries17.79%11.32%9.47%
Short-Term Treasuries10.47%20.18%17.94%
R Squared97.65%99.84%99.11%
Style analysis is based on monthly returns from Jan 2009 to Dec 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VIVAXVanguard Value Index InvLarge Value15.00%0.17%18.91$2,78819.64%
VISVXVanguard Small Cap Value Index InvSmall Value15.00%0.19%16.54$2,84524.31%
EFViShares MSCI EAFE Value ETFForeign Large Value13.00%0.39%14.79$95022.26%
SCZiShares MSCI EAFE Small-Cap ETFForeign Small/Mid Blend13.00%0.40%16.61$2,08221.26%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts4.00%0.29%15.37$4526.91%
VIPSXVanguard Inflation-Protected Secs InvInflation-Protected Bond40.00%0.20%7.85$1,8505.62%
100.00%0.25%16.697.85$10,967100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend60.00%0.04%26.69$12,43699.05%
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond40.00%0.05%6.60$2,0360.95%
100.00%0.04%26.696.60$14,472100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTWNXVanguard Target Retirement 2020 InvTarget-Date 2020100.00%0.13%22.056.45$12,663100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.66%0.78%0.72%
Arithmetic Mean (annualized)8.19%9.72%8.98%
Geometric Mean (monthly)0.62%0.75%0.68%
Geometric Mean (annualized)7.68%9.36%8.53%
Volatility (monthly)2.82%2.34%2.66%
Volatility (annualized)9.78%8.10%9.22%
Downside Deviation (monthly)1.73%1.39%1.59%
Max. Drawdown-13.92%-11.34%-13.28%
US Market Correlation0.930.980.97
Beta(*)0.650.570.64
Alpha (annualized)-0.82%1.69%0.12%
R287.09%96.88%93.38%
Sharpe Ratio0.771.100.89
Sortino Ratio1.251.841.49
Treynor Ratio (%)11.5615.7012.99
Calmar Ratio0.450.820.81
Active Return-5.44%-3.76%-4.60%
Tracking Error6.01%6.19%5.62%
Information Ratio-0.91-0.61-0.82
Skewness-0.20-0.44-0.19
Excess Kurtosis0.800.631.03
Historical Value-at-Risk (5%)-4.75%-3.79%-4.37%
Analytical Value-at-Risk (5%)-4.06%-3.08%-3.66%
Conditional Value-at-Risk (5%)-5.97%-4.91%-5.66%
Upside Capture Ratio (%)59.4959.5260.72
Downside Capture Ratio (%)66.3354.9362.85
Safe Withdrawal Rate15.37%15.76%15.68%
Perpetual Withdrawal Rate5.47%6.92%6.20%
Positive Periods81 out of 120 (67.50%)84 out of 120 (70.00%)80 out of 120 (66.67%)
Gain/Loss Ratio0.911.001.03
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-13.92%
2May 2011Sep 20115 monthsFeb 20125 months10 months-11.58%
3Feb 2018Dec 201811 months-10.21%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-8.50%
5May 2010Jun 20102 monthsSep 20103 months5 months-7.70%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.88%
7May 2013Jun 20132 monthsSep 20133 months5 months-4.56%
8Sep 2014Sep 20141 monthFeb 20155 months6 months-3.55%
9Oct 2009Oct 20091 monthNov 20091 month2 months-1.80%
10Nov 2010Nov 20101 monthDec 20101 month2 months-1.79%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-11.34%
2May 2011Sep 20115 monthsJan 20124 months9 months-8.13%
3Oct 2018Dec 20183 months-7.89%
4May 2010Jun 20102 monthsSep 20103 months5 months-6.83%
5Jun 2015Sep 20154 monthsMar 20166 months10 months-4.93%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-4.02%
7May 2012May 20121 monthJul 20122 months3 months-3.39%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.10%
9Jan 2010Jan 20101 monthFeb 20101 month2 months-1.52%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.45%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-13.28%
2May 2011Sep 20115 monthsFeb 20125 months10 months-11.62%
3May 2010Jun 20102 monthsSep 20103 months5 months-8.03%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.62%
5Feb 2018Dec 201811 months-6.59%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.90%
7Jan 2010Jan 20101 monthMar 20102 months3 months-2.10%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
9May 2013Jun 20132 monthsJul 20131 month3 months-1.96%
10Aug 2013Aug 20131 monthSep 20131 month2 months-1.78%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIVAXVanguard Value Index Inv11.77%14.16%32.85%-5.55%-23.26%0.831.290.97
VISVXVanguard Small Cap Value Index Inv12.45%18.11%36.41%-12.34%-25.17%0.721.150.95
EFViShares MSCI EAFE Value ETF4.95%18.31%28.36%-14.66%-25.61%0.340.510.85
SCZiShares MSCI EAFE Small-Cap ETF10.20%17.34%42.85%-17.63%-22.85%0.631.020.85
VEIEXVanguard Emerging Mkts Stock Idx Inv7.30%19.78%75.98%-18.78%-31.41%0.430.740.76
VIPSXVanguard Inflation-Protected Secs Inv3.41%4.92%13.24%-8.92%-9.43%0.631.050.06
VFIAXVanguard 500 Index Admiral13.10%13.61%32.33%-4.43%-18.16%0.951.531.00
VBTLXVanguard Total Bond Market Index Adm3.42%2.93%7.69%-2.15%-3.73%1.031.78-0.08
VTWNXVanguard Target Retirement 2020 Inv8.53%9.22%23.10%-4.24%-13.28%0.891.490.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIVAXVISVXEFVSCZVEIEXVIPSXVFIAXVBTLXVTWNXPortfolio 1Portfolio 2Portfolio 3
VIVAXVanguard Value Index Inv1.000.920.860.820.740.030.98-0.090.940.920.960.94
VISVXVanguard Small Cap Value Index Inv0.921.000.790.790.700.010.92-0.100.910.890.910.91
EFViShares MSCI EAFE Value ETF0.860.791.000.940.830.100.85-0.000.920.930.850.92
SCZiShares MSCI EAFE Small-Cap ETF0.820.790.941.000.850.150.850.020.920.940.850.92
VEIEXVanguard Emerging Mkts Stock Idx Inv0.740.700.830.851.000.280.760.130.860.870.780.86
VIPSXVanguard Inflation-Protected Secs Inv0.030.010.100.150.281.000.070.770.200.280.170.20
VFIAXVanguard 500 Index Admiral0.980.920.850.850.760.071.00-0.070.970.930.990.97
VBTLXVanguard Total Bond Market Index Adm-0.09-0.10-0.000.020.130.77-0.071.000.090.120.070.09
VTWNXVanguard Target Retirement 2020 Inv0.940.910.920.920.860.200.970.091.000.980.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIVAXVanguard Value Index Inv$2,788
VISVXVanguard Small Cap Value Index Inv$2,845
EFViShares MSCI EAFE Value ETF$950
SCZiShares MSCI EAFE Small-Cap ETF$2,082
VEIEXVanguard Emerging Mkts Stock Idx Inv$452
VIPSXVanguard Inflation-Protected Secs Inv$1,850
VFIAXVanguard 500 Index Admiral$12,436
VBTLXVanguard Total Bond Market Index Adm$2,036
VTWNXVanguard Target Retirement 2020 Inv$12,663

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIVAXVanguard Value Index Inv19.64%
VISVXVanguard Small Cap Value Index Inv24.31%
EFViShares MSCI EAFE Value ETF22.26%
SCZiShares MSCI EAFE Small-Cap ETF21.26%
VEIEXVanguard Emerging Mkts Stock Idx Inv6.91%
VIPSXVanguard Inflation-Protected Secs Inv5.62%
VFIAXVanguard 500 Index Admiral99.05%
VBTLXVanguard Total Bond Market Index Adm0.95%
VTWNXVanguard Target Retirement 2020 Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.06%24.10%-8.06%9.57%18.54%-2.67%8.82%23.10%-4.24%
3 years7.43%11.93%3.59%9.42%13.38%6.43%8.14%11.89%4.39%
5 years7.42%12.53%3.04%9.85%12.70%6.12%8.40%12.77%4.44%
7 years7.33%9.04%5.91%9.51%10.64%8.54%8.16%9.93%7.11%
10 years7.68%7.68%7.68%9.36%9.36%9.36%8.53%8.53%8.53%
Result statistics are based on annualized rolling returns over full calendar year periods