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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2010 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTWNX Vanguard Target Retirement 2020 Inv 90.00%
VTI Vanguard Total Stock Market ETF 10.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTWNX Vanguard Target Retirement 2020 Inv 90.00%
DFSVX DFA US Small Cap Value I 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$2,000,000$5,100,244 9.25% 8.35%8.33%8.94%18.90%-4.29%-12.22%
(-11.84%)
0.881.400.97
Portfolio 2$2,000,000$4,887,001 8.81% 7.92%7.88%9.40%18.33%-5.26%-13.59%
(-13.45%)
0.801.240.98
Vanguard Balanced Index Inv$2,000,000$5,680,498 10.37% 9.49%9.48%8.45%21.67%-2.97%-12.34%
(-12.26%)
1.051.720.99
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to July
  • 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 quarterly rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $2,000 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
YearInflationReturnBalanceVanguard Target Retirement 2020 Inv (VTWNX)Vanguard Total Stock Market ETF (VTI)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Vanguard Balanced Index InvPortfolio 1Portfolio 2Vanguard Balanced Index InvAdjustment
20101.50%13.58%14.90%13.13%$2,298,151$2,324,828$2,288,937$24,23413.12%17.42%30.90%
20112.96%0.67%-0.06%4.14%$2,338,210$2,347,912$2,408,827$24,9990.60%0.97%-7.55%
20121.74%12.76%13.28%11.33%$2,663,231$2,686,319$2,708,084$25,51612.35%16.45%21.72%
20131.50%17.53%18.33%17.91%$3,158,031$3,206,675$3,221,031$25,89015.85%33.45%42.38%
20140.76%7.65%6.77%9.84%$3,426,676$3,450,904$3,565,655$26,3107.11%12.54%3.48%
20150.73%-0.57%-1.39%0.37%$3,433,101$3,428,609$3,605,014$26,341-0.68%0.36%-7.81%
20162.07%7.53%9.02%8.63%$3,719,390$3,765,970$3,944,059$26,6746.95%12.83%28.26%
20172.11%14.78%13.40%13.75%$4,298,070$4,299,372$4,515,408$27,24214.08%21.21%7.21%
20181.91%-4.29%-5.26%-2.97%$4,140,228$4,099,593$4,408,197$27,907-4.24%-5.21%-15.13%
20192.29%18.90%17.71%21.67%$4,953,177$4,855,945$5,394,036$28,41317.63%30.67%18.12%
20200.32%2.61%0.28%4.98%$5,100,244$4,887,001$5,680,498$16,7002.55%2.09%-23.06%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Target Retirement 2020 Inv (VTWNX)Vanguard Total Stock Market ETF (VTI)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Vanguard Balanced Index InvPortfolio 1Portfolio 2Vanguard Balanced Index Inv
20101-2.25%-2.21%-1.50%$1,957,000$1,957,814$1,972,033-2.10%-3.57%-3.16%
201022.14%2.41%2.10%$2,000,855$2,006,961$2,015,4262.00%3.44%6.15%
201034.43%4.69%3.74%$2,091,563$2,103,137$2,092,8274.21%6.40%8.86%
201041.39%1.98%1.74%$2,122,615$2,146,809$2,131,3251.30%2.18%8.11%
20105-5.75%-5.98%-4.45%$2,002,540$2,020,489$2,038,412-5.51%-7.88%-9.90%
20106-2.98%-3.43%-2.75%$1,944,924$1,953,291$1,984,378-2.67%-5.83%-10.14%
201075.63%5.80%4.50%$2,056,487$2,068,583$2,075,7845.48%7.02%8.69%
20108-2.77%-3.15%-2.33%$2,001,607$2,005,515$2,029,384-2.55%-4.71%-8.38%
201096.73%7.07%5.59%$2,138,436$2,149,267$2,144,9026.44%9.45%12.93%
2010102.83%2.84%2.52%$2,200,890$2,212,334$2,201,0542.69%4.03%4.17%
201011-0.36%0.04%0.14%$2,194,954$2,215,279$2,206,267-0.46%0.51%4.49%
2010124.61%4.85%3.66%$2,298,151$2,324,828$2,288,9374.34%6.96%9.18%
201111.30%1.13%1.36%$2,330,167$2,353,157$2,322,0241.22%2.05%0.31%
201122.42%2.68%2.26%$2,388,669$2,418,184$2,376,5792.28%3.70%6.28%
201130.16%0.33%0.23%$2,394,567$2,428,199$2,384,1080.13%0.42%2.05%
201142.88%2.72%2.35%$2,465,670$2,496,294$2,442,2872.88%2.90%1.26%
20115-0.72%-0.92%-0.18%$2,450,083$2,475,425$2,440,061-0.68%-1.06%-3.12%
20116-1.26%-1.26%-1.21%$2,421,407$2,446,446$2,412,611-1.20%-1.79%-1.81%
20117-0.89%-0.95%-0.72%$2,401,995$2,425,319$2,397,307-0.73%-2.27%-2.88%
20118-4.06%-4.49%-2.81%$2,306,688$2,318,422$2,331,937-3.83%-6.09%-10.58%
20119-5.85%-6.30%-4.39%$2,173,942$2,174,552$2,231,579-5.66%-7.57%-12.58%
2011107.70%8.15%6.98%$2,343,519$2,353,864$2,389,3937.30%11.37%15.82%
201111-0.72%-0.75%-0.28%$2,328,727$2,338,256$2,384,903-0.76%-0.37%-0.68%
2011120.32%0.32%0.92%$2,338,210$2,347,912$2,408,8270.24%0.98%1.01%
201214.12%4.35%3.40%$2,436,572$2,452,206$2,492,7694.01%5.07%7.43%
201223.02%2.91%2.49%$2,512,171$2,525,710$2,556,8652.88%4.22%3.18%
201231.28%1.20%1.62%$2,546,445$2,558,223$2,600,3211.08%3.06%2.30%
20124-0.29%-0.39%0.04%$2,541,093$2,550,374$2,603,566-0.26%-0.64%-1.60%
20125-4.81%-4.90%-3.34%$2,420,885$2,427,499$2,518,760-4.66%-6.23%-7.12%
201263.03%3.06%2.28%$2,496,253$2,503,788$2,578,2932.91%4.05%4.38%
201271.03%0.92%1.17%$2,524,044$2,528,863$2,610,7081.05%0.88%-0.24%
201281.82%1.97%1.55%$2,572,160$2,580,821$2,653,2661.72%2.70%4.21%
201291.93%2.01%1.58%$2,623,886$2,634,863$2,697,4061.86%2.49%3.31%
201210-0.74%-0.64%-1.01%$2,606,555$2,620,045$2,672,428-0.62%-1.81%-0.82%
2012110.76%0.86%0.51%$2,628,380$2,644,771$2,688,1310.75%0.77%1.84%
2012121.25%1.49%0.66%$2,663,231$2,686,319$2,708,0841.24%1.29%3.72%
201313.07%3.19%3.03%$2,747,183$2,774,055$2,792,2802.81%5.42%6.56%
201320.61%0.66%0.98%$2,766,020$2,794,431$2,821,8050.53%1.28%1.75%
201332.12%2.22%2.36%$2,826,760$2,858,654$2,890,5391.91%3.95%4.91%
201341.74%1.47%1.39%$2,878,050$2,902,744$2,932,8391.75%1.61%-1.11%
201350.10%0.38%0.74%$2,883,173$2,916,057$2,956,806-0.16%2.44%5.39%
20136-1.77%-1.69%-1.41%$2,834,426$2,868,907$2,917,134-1.80%-1.43%-0.70%
201373.56%3.72%3.33%$2,937,432$2,977,701$3,016,3043.31%5.75%7.34%
20138-1.91%-2.03%-1.95%$2,883,608$2,919,540$2,959,531-1.78%-3.03%-4.17%
201393.40%3.54%2.56%$2,983,851$3,024,979$3,037,6113.35%3.90%5.24%
2013102.89%2.82%2.83%$3,072,376$3,112,413$3,125,7992.74%4.27%3.51%
2013111.34%1.58%1.60%$3,115,697$3,163,673$3,177,9791.19%2.70%5.08%
2013121.29%1.29%1.29%$3,158,031$3,206,675$3,221,0311.12%2.73%2.72%
20141-1.81%-2.01%-1.24%$3,103,010$3,144,455$3,183,403-1.66%-3.17%-5.14%
201423.39%3.44%3.02%$3,210,303$3,254,827$3,281,6183.23%4.87%5.45%
201430.31%0.38%0.21%$3,222,520$3,269,352$3,290,6900.29%0.51%1.19%
201440.50%0.30%0.36%$3,240,677$3,281,245$3,304,6680.54%0.06%-1.93%
201451.70%1.58%1.71%$3,298,033$3,335,169$3,363,4621.66%2.10%0.83%
201461.60%1.77%1.57%$3,353,085$3,396,573$3,418,4331.49%2.62%4.44%
20147-1.24%-1.61%-1.28%$3,313,820$3,343,975$3,376,783-1.15%-1.99%-5.76%
201482.61%2.76%2.95%$3,402,451$3,438,563$3,478,6172.44%4.15%5.83%
20149-2.04%-2.52%-1.57%$3,335,187$3,354,024$3,426,158-2.04%-2.10%-6.98%
2014101.64%1.82%2.09%$3,391,992$3,417,405$3,499,9351.51%2.75%4.61%
2014111.40%1.12%1.74%$3,441,815$3,457,964$3,563,0001.28%2.48%-0.28%
201412-0.50%-0.27%0.01%$3,426,676$3,450,904$3,565,655-0.56%-0.04%2.29%
20151-0.53%-0.75%-0.77%$3,410,796$3,427,266$3,540,188-0.28%-2.74%-4.95%
201523.26%3.27%2.95%$3,524,287$3,541,612$3,646,9443.00%5.74%5.90%
20153-0.58%-0.29%-0.44%$3,506,121$3,533,583$3,633,117-0.51%-1.16%1.78%
201540.93%0.73%0.10%$3,540,853$3,561,661$3,638,9360.96%0.62%-1.34%
201550.25%0.26%0.63%$3,551,978$3,572,978$3,664,1230.14%1.30%1.36%
20156-1.67%-1.50%-1.42%$3,494,960$3,521,713$3,614,310-1.67%-1.67%0.05%
201570.92%0.38%1.31%$3,529,227$3,537,328$3,663,9490.83%1.70%-3.67%
20158-4.19%-3.98%-3.72%$3,383,479$3,398,574$3,529,868-3.98%-6.09%-4.04%
20159-1.80%-1.95%-1.45%$3,324,715$3,334,488$3,480,930-1.68%-2.92%-4.51%
2015104.68%4.42%4.61%$3,482,609$3,484,076$3,643,5274.32%7.91%5.28%
201511-0.09%0.16%0.24%$3,481,524$3,491,969$3,654,301-0.17%0.60%3.17%
201512-1.45%-1.88%-1.41%$3,433,101$3,428,609$3,605,014-1.38%-2.13%-6.20%
20161-2.96%-3.11%-2.81%$3,333,706$3,324,345$3,506,040-2.65%-5.72%-7.18%
20162-0.21%-0.09%0.28%$3,329,036$3,323,430$3,518,112-0.23%-0.01%1.17%
201634.97%5.13%4.59%$3,496,730$3,496,153$3,681,7874.74%7.11%8.77%
201640.85%0.96%0.54%$3,528,593$3,532,011$3,703,8700.87%0.66%1.80%
201650.59%0.47%1.04%$3,551,749$3,550,744$3,744,6130.47%1.73%0.47%
201660.61%0.46%0.93%$3,575,499$3,569,362$3,781,6810.64%0.27%-1.16%
201672.83%2.91%2.64%$3,678,759$3,675,576$3,883,8882.70%3.98%4.85%
201680.21%0.36%0.06%$3,688,615$3,691,150$3,888,6190.21%0.21%1.74%
201690.33%0.43%0.08%$3,703,060$3,709,401$3,893,8250.34%0.21%1.21%
201610-1.61%-1.71%-1.68%$3,645,628$3,648,367$3,830,643-1.55%-2.19%-3.14%
2016110.57%1.59%1.61%$3,668,724$3,708,659$3,894,5610.14%4.49%14.87%
2016121.32%1.49%1.21%$3,719,390$3,765,970$3,944,0591.24%1.98%3.41%
201711.55%1.32%1.25%$3,779,476$3,817,776$3,995,7511.52%1.86%-0.53%
201722.06%1.73%2.48%$3,859,740$3,886,045$4,096,9501.88%3.69%0.32%
201730.59%0.48%0.02%$3,884,748$3,906,839$4,100,0210.65%0.06%-1.14%
201741.12%1.06%0.93%$3,930,360$3,950,346$4,140,5561.12%1.06%0.46%
201751.25%0.80%0.89%$3,981,785$3,984,271$4,179,8381.28%1.01%-3.51%
201760.42%0.58%0.55%$4,000,904$4,009,509$4,205,2830.37%0.95%2.59%
201771.56%1.45%1.28%$4,065,468$4,069,737$4,261,4471.52%1.88%0.77%
201780.51%0.25%0.42%$4,088,607$4,082,002$4,281,6970.55%0.15%-2.55%
201791.18%1.70%1.26%$4,139,010$4,153,724$4,337,9391.04%2.44%7.92%
2017101.34%1.22%1.31%$4,196,853$4,206,724$4,397,0631.25%2.17%0.96%
2017111.33%1.24%1.79%$4,254,978$4,261,094$4,478,1901.14%3.03%2.12%
2017120.96%0.84%0.78%$4,298,070$4,299,372$4,515,4080.94%1.16%0.03%
201812.79%2.42%2.71%$4,420,235$4,405,545$4,639,9532.52%5.23%1.50%
20182-2.64%-2.73%-2.61%$4,305,626$4,287,499$4,521,250-2.52%-3.76%-4.68%
20183-0.63%-0.34%-0.93%$4,280,916$4,275,167$4,481,346-0.48%-1.95%0.93%
201840.10%0.19%-0.09%$4,287,629$4,285,610$4,479,7400.06%0.45%1.32%
201850.88%1.24%1.93%$4,327,606$4,341,105$4,568,4960.67%2.72%6.29%
20186-0.04%-0.11%0.40%$4,328,105$4,338,790$4,589,052-0.13%0.70%0.06%
201871.76%1.59%2.01%$4,406,828$4,410,277$4,683,5881.59%3.32%1.61%
201881.08%1.02%2.31%$4,456,791$4,457,500$4,793,9860.82%3.43%2.84%
20189-0.04%-0.38%-0.13%$4,457,553$4,442,867$4,790,055-0.06%0.20%-3.19%
201810-4.69%-4.89%-4.76%$4,250,862$4,227,982$4,564,299-4.39%-7.41%-9.41%
2018111.22%1.12%1.48%$4,305,223$4,277,536$4,634,3021.14%2.01%0.91%
201812-3.89%-4.21%-4.93%$4,140,228$4,099,593$4,408,197-3.31%-9.16%-12.79%
201915.10%5.44%5.55%$4,353,621$4,325,097$4,655,0574.72%8.54%12.00%
201921.68%1.66%2.10%$4,429,261$4,399,213$4,754,9911.47%3.56%3.27%
201931.47%0.92%1.65%$4,496,847$4,442,247$4,835,7291.48%1.42%-3.66%
201942.05%2.07%2.39%$4,591,593$4,536,401$4,953,8731.85%3.93%4.04%
20195-2.89%-3.40%-3.21%$4,461,493$4,384,441$4,797,311-2.48%-6.45%-11.52%
201964.22%4.27%4.63%$4,652,330$4,574,181$5,021,9563.91%7.08%7.77%
201970.42%0.32%0.97%$4,674,420$4,591,281$5,073,1030.31%1.41%0.39%
20198-0.18%-0.77%-0.11%$4,668,280$4,558,209$5,070,0570.03%-2.08%-8.00%
201990.94%1.32%0.80%$4,714,411$4,620,704$5,112,8170.84%1.78%5.96%
2019101.44%1.41%1.39%$4,784,629$4,688,309$5,186,0981.36%2.11%1.83%
2019111.56%1.50%2.24%$4,861,872$4,761,117$5,304,4241.32%3.79%3.17%
2019121.83%1.94%1.64%$4,953,177$4,855,945$5,394,0361.72%2.80%3.92%
202010.19%-0.49%0.82%$4,964,857$4,834,322$5,440,4250.22%-0.06%-6.88%
20202-3.70%-3.93%-4.22%$4,783,677$4,646,773$5,213,098-3.22%-8.00%-10.79%
20203-8.55%-9.60%-8.48%$4,376,980$4,202,869$4,773,434-7.99%-13.91%-26.60%
202046.99%7.25%8.55%$4,685,164$4,510,126$5,183,7706.30%13.13%15.81%
202053.09%2.82%3.45%$4,832,390$4,639,777$5,365,2302.82%5.40%2.85%
202061.96%2.00%1.73%$4,929,613$4,735,003$5,460,4201.92%2.29%2.65%
202073.41%3.16%3.99%$5,100,244$4,887,001$5,680,4983.15%5.74%3.21%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Vanguard Balanced Index Inv
Large-cap Value14.65%11.35%19.97%
Large-cap Growth21.35%15.28%29.12%
Mid-cap Value0.00%0.00%3.39%
Mid-cap Growth5.52%7.36%3.85%
Small-cap Value3.26%11.24%0.96%
Small-cap Growth0.00%0.00%2.82%
Global ex-US Developed Markets14.34%13.98%0.00%
Emerging Markets4.93%5.12%0.35%
Corporate Bonds5.25%5.50%10.53%
Long-Term Treasuries0.00%0.00%0.59%
Intermediate-Term Treasuries9.39%6.24%9.49%
Short-Term Treasuries21.31%23.92%18.93%
R Squared99.09%99.04%99.81%
Style analysis is based on monthly returns from Jan 2010 to Jul 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTWNXVanguard Target Retirement 2020 InvTarget-Date 202090.00%0.13%18.726.14$2,367,35484.43%
VTIVanguard Total Stock Market ETFLarge Blend10.00%0.03%22.08$452,66315.57%
100.00%0.12%19.056.14$2,820,017100.00%

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
VTWNXVanguard Target Retirement 2020 InvTarget-Date 202090.00%0.13%18.726.14$2,354,91979.64%
DFSVXDFA US Small Cap Value ISmall Value10.00%0.51%11.25$251,85420.36%
100.00%0.17%17.976.14$2,606,774100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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 2Vanguard Balanced Index Inv
Arithmetic Mean (monthly)0.70%0.67%0.79%
Arithmetic Mean (annualized)8.78%8.39%9.88%
Geometric Mean (monthly)0.67%0.64%0.76%
Geometric Mean (annualized)8.35%7.92%9.49%
Volatility (monthly)2.58%2.71%2.44%
Volatility (annualized)8.94%9.40%8.45%
Downside Deviation (monthly)1.60%1.73%1.47%
Max. Drawdown-12.22%-13.59%-12.34%
US Market Correlation0.970.980.99
Beta(*)1.041.091.00
Alpha (annualized)-1.36%-2.20%0.00%
R296.18%95.72%100.00%
Sharpe Ratio0.880.801.05
Sortino Ratio1.401.241.72
Treynor Ratio (%)7.606.918.89
Calmar Ratio0.600.410.76
Active Return-1.14%-1.57%N/A
Tracking Error1.78%2.08%N/A
Information Ratio-0.64-0.76N/A
Skewness-0.42-0.48-0.41
Excess Kurtosis1.411.731.88
Historical Value-at-Risk (5%)-4.14%-4.38%-4.02%
Analytical Value-at-Risk (5%)-3.53%-3.79%-3.23%
Conditional Value-at-Risk (5%)-5.64%-6.03%-5.21%
Upside Capture Ratio (%)98.1499.81100.00
Downside Capture Ratio (%)110.11118.66100.00
Safe Withdrawal Rate14.23%14.29%14.77%
Perpetual Withdrawal Rate6.50%6.10%7.53%
Positive Periods87 out of 127 (68.50%)88 out of 127 (69.29%)92 out of 127 (72.44%)
Gain/Loss Ratio0.940.860.88
* Vanguard Balanced Index Inv 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
1May 2011Sep 20115 monthsFeb 20125 months10 months-12.22%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-11.93%
3May 2010Jun 20102 monthsSep 20103 months5 months-8.56%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-7.31%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.82%
6Apr 2012May 20122 monthsAug 20123 months5 months-5.09%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-3.26%
8May 2019May 20191 monthJun 20191 month2 months-2.89%
9Jan 2010Jan 20101 monthMar 20102 months3 months-2.25%
10Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-13.59%
2May 2011Sep 20115 monthsFeb 20125 months10 months-13.27%
3May 2010Jun 20102 monthsOct 20104 months6 months-9.20%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-8.23%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.52%
6Apr 2012May 20122 monthsAug 20123 months5 months-5.27%
7May 2019May 20191 monthJun 20191 month2 months-3.40%
8Feb 2018Mar 20182 monthsAug 20185 months7 months-3.06%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.52%
10Jan 2010Jan 20101 monthFeb 20101 month2 months-2.21%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
4May 2010Jun 20102 monthsSep 20103 months5 months-7.08%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
7May 2012May 20121 monthJul 20122 months3 months-3.34%
8May 2019May 20191 monthJun 20191 month2 months-3.21%
9Aug 2013Aug 20131 monthSep 20131 month2 months-1.95%
10Oct 2016Oct 20161 monthDec 20162 months3 months-1.68%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTWNXVanguard Target Retirement 2020 Inv7.83%8.40%17.63%-4.24%-11.62%0.871.390.96
VTIVanguard Total Stock Market ETF12.86%14.30%33.45%-5.21%-20.84%0.881.381.00
DFSVXDFA US Small Cap Value I7.37%21.12%42.38%-23.06%-44.41%0.420.590.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTWNXVTIDFSVXPortfolio 1Portfolio 2Vanguard Balanced Index Inv
VTWNXVanguard Target Retirement 2020 Inv1.000.960.861.000.990.97
VTIVanguard Total Stock Market ETF0.961.000.910.970.980.99
DFSVXDFA US Small Cap Value I0.860.911.000.870.910.89

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTWNXVanguard Target Retirement 2020 Inv$2,367,354$2,354,919
VTIVanguard Total Stock Market ETF$452,663
DFSVXDFA US Small Cap Value I$251,854

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTWNXVanguard Target Retirement 2020 Inv84.43%79.64%
VTIVanguard Total Stock Market ETF15.57%
DFSVXDFA US Small Cap Value I20.36%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard Balanced Index Inv
AverageHighLowAverageHighLowAverageHighLow
1 year8.85%18.90%-4.29%8.67%18.33%-5.26%9.78%21.67%-2.97%
3 years8.29%12.58%4.80%8.10%12.69%4.70%9.10%12.98%6.20%
5 years7.90%10.28%4.80%7.70%10.45%4.28%8.80%11.18%5.74%
7 years8.21%8.47%7.65%8.05%8.47%7.44%9.07%9.57%8.19%
10 years8.58%8.58%8.58%8.37%8.37%8.37%9.54%9.54%9.54%
Result statistics are based on annualized rolling returns over full calendar year periods