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 number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
Trailing Returns
Trailing Returns
Name
Total Return
Annualized Return
Annualized Standard Deviation
3 Month
Year To Date
1 year
3 year
5 year
Full
3 year
5 year
Portfolio 1
1.68%
10.09%
10.09%
3.48%
10.06%
3.52%
11.22%
11.47%
Portfolio 2
0.15%
10.49%
10.49%
2.68%
8.19%
3.35%
11.26%
11.28%
Portfolio 3
4.12%
12.66%
12.66%
8.38%
14.62%
7.41%
11.02%
10.64%
Trailing return and volatility are as of last full calendar month ending December 2016
Notes on results:
IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
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. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
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.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
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
Year
Inflation
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard Total Stock Market ETF (VTI)
Vanguard Value ETF (VTV)
Vanguard Mid-Cap Value ETF (VOE)
Vanguard Small-Cap Value ETF (VBR)
Vanguard FTSE Developed Markets ETF (VEA)
Vanguard FTSE Emerging Markets ETF (VWO)
Vanguard Dividend Appreciation ETF (VIG)
Energy Select Sector SPDR ETF (XLE)
iShares National Muni Bond ETF (MUB)
Vanguard Total Stock Mkt Idx Adm (VTSAX)
Return
Balance
Cashflow
Return
Balance
Cashflow
Return
Balance
Cashflow
2008
0.09%
-40.05%
$575,560
-$23,982
-39.81%
$577,856
-$24,077
-36.99%
$604,913
-$25,205
-36.98%
-35.87%
-36.65%
-32.20%
-40.65%
-52.49%
-26.69%
-38.97%
1.16%
-36.99%
2009
2.72%
33.42%
$737,198
-$30,717
39.94%
$776,308
-$32,346
28.83%
$748,109
-$31,171
28.89%
19.86%
38.23%
30.92%
27.49%
76.28%
19.57%
21.79%
7.07%
28.83%
2010
1.50%
14.05%
$807,140
-$33,631
15.22%
$858,665
-$35,778
17.26%
$842,113
-$35,088
17.42%
14.54%
21.76%
25.10%
8.35%
19.47%
14.74%
21.78%
0.10%
17.26%
2011
2.96%
-7.34%
$717,970
-$29,915
-6.52%
$770,557
-$32,107
1.08%
$817,178
-$34,049
0.97%
1.11%
-0.40%
-4.23%
-12.30%
-18.76%
6.16%
2.84%
12.98%
1.08%
2012
1.74%
17.55%
$810,209
-$33,759
16.32%
$860,452
-$35,852
16.38%
$913,019
-$38,042
16.45%
15.19%
16.02%
18.98%
18.56%
19.20%
11.65%
5.20%
5.19%
16.38%
2013
1.50%
24.01%
$964,516
-$40,188
17.72%
$972,395
-$40,516
33.52%
$1,170,337
-$48,764
33.45%
33.10%
37.76%
36.55%
21.83%
-4.92%
28.87%
26.25%
-3.44%
33.52%
2014
0.76%
3.39%
$957,363
-$39,890
3.59%
$967,042
-$40,293
12.56%
$1,264,612
-$52,692
12.54%
13.17%
13.96%
10.55%
-5.98%
-0.07%
10.08%
-8.70%
9.35%
12.56%
2015
0.73%
-2.66%
$894,665
-$37,278
-5.41%
$878,137
-$36,589
0.39%
$1,218,733
-$50,781
0.36%
-0.98%
-1.89%
-4.76%
-0.38%
-15.81%
-1.95%
-21.47%
2.91%
0.39%
2016
2.07%
10.09%
$945,516
-$39,397
10.49%
$931,415
-$38,809
12.66%
$1,318,153
-$54,923
12.83%
17.12%
15.40%
24.90%
2.67%
12.21%
11.97%
28.02%
-0.17%
12.66%
Monthly returns for the configured portfolios
Year
Month
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard Total Stock Market ETF (VTI)
Vanguard Value ETF (VTV)
Vanguard Mid-Cap Value ETF (VOE)
Vanguard Small-Cap Value ETF (VBR)
Vanguard FTSE Developed Markets ETF (VEA)
Vanguard FTSE Emerging Markets ETF (VWO)
Vanguard Dividend Appreciation ETF (VIG)
Energy Select Sector SPDR ETF (XLE)
iShares National Muni Bond ETF (MUB)
Vanguard Total Stock Mkt Idx Adm (VTSAX)
Return
Balance
Return
Balance
Return
Balance
2008
1
-6.54%
$934,585
-7.17%
$928,258
-6.08%
$939,197
-6.17%
-4.73%
-3.69%
-3.88%
-7.39%
-9.02%
-5.27%
-12.29%
0.26%
-6.08%
2008
2
-1.55%
$920,129
-0.21%
$926,325
-3.04%
$910,633
-2.50%
-3.91%
-3.81%
-2.62%
-1.01%
2.88%
-1.55%
9.27%
-4.64%
-3.04%
2008
3
-0.63%
$914,309
-1.12%
$915,905
-0.59%
$905,240
-0.90%
-0.45%
-0.82%
-0.39%
0.38%
-3.68%
2.03%
-2.34%
3.13%
-0.59%
2008
4
5.44%
$964,073
5.95%
$970,427
5.02%
$950,701
4.89%
4.28%
5.27%
4.68%
5.38%
8.43%
2.57%
10.38%
1.55%
5.02%
2008
5
1.38%
$977,403
1.78%
$987,740
2.12%
$970,874
2.02%
-0.57%
3.68%
4.14%
1.21%
1.79%
0.33%
5.20%
0.59%
2.12%
2008
6
-9.07%
$888,710
-7.76%
$911,102
-8.20%
$891,270
-8.12%
-9.53%
-9.82%
-11.36%
-8.68%
-9.81%
-7.86%
3.16%
-1.73%
-8.20%
2008
7
-2.07%
$870,301
-3.16%
$882,282
-0.77%
$884,419
-0.62%
-0.18%
-1.54%
4.06%
-3.47%
-4.72%
1.06%
-15.91%
0.56%
-0.77%
2008
8
-1.73%
$855,234
-2.29%
$862,059
1.61%
$898,693
1.46%
1.63%
3.19%
3.60%
-4.01%
-7.92%
2.08%
0.34%
1.45%
1.61%
2008
9
-10.27%
$767,380
-11.20%
$765,550
-9.28%
$815,323
-9.24%
-6.85%
-9.16%
-5.32%
-11.59%
-15.59%
-6.72%
-14.95%
-3.38%
-9.28%
2008
10
-20.08%
$613,327
-19.33%
$617,544
-17.63%
$671,594
-17.48%
-16.23%
-22.16%
-21.96%
-20.56%
-27.26%
-14.11%
-18.80%
-0.97%
-17.63%
2008
11
-7.34%
$568,312
-6.64%
$576,533
-7.86%
$618,808
-8.01%
-6.65%
-7.71%
-9.56%
-6.62%
-8.65%
-2.55%
-2.18%
-0.54%
-7.86%
2008
12
5.50%
$575,560
4.41%
$577,856
1.83%
$604,913
1.78%
1.51%
5.66%
4.46%
8.97%
7.59%
0.88%
-4.50%
5.28%
1.83%
2009
1
-11.43%
$509,786
-8.86%
$526,630
-8.26%
$554,966
-8.05%
-11.10%
-9.14%
-12.39%
-14.02%
-8.91%
-7.62%
-1.78%
-0.01%
-8.26%
2009
2
-10.06%
$458,521
-7.64%
$486,377
-10.45%
$496,972
-10.53%
-13.56%
-12.07%
-14.01%
-10.08%
-2.38%
-10.52%
-12.34%
0.51%
-10.45%
2009
3
8.95%
$499,547
8.75%
$528,957
8.73%
$540,371
8.26%
8.20%
8.37%
8.83%
8.42%
12.40%
7.03%
3.79%
0.29%
8.73%
2009
4
12.97%
$564,346
12.32%
$594,127
10.60%
$597,650
10.99%
11.02%
16.54%
19.56%
11.82%
17.44%
7.29%
7.82%
2.32%
10.60%
2009
5
10.50%
$623,628
11.01%
$659,558
5.33%
$629,502
5.46%
7.10%
4.18%
3.83%
13.06%
17.89%
4.95%
12.89%
0.07%
5.33%
2009
6
-1.30%
$615,527
-1.44%
$650,030
0.37%
$631,803
0.36%
-1.08%
-0.87%
-0.09%
-1.82%
-2.45%
0.49%
-6.54%
-1.45%
0.37%
2009
7
9.71%
$675,311
8.95%
$708,206
7.87%
$681,504
7.74%
7.96%
10.78%
10.65%
10.57%
10.91%
6.56%
5.35%
1.79%
7.87%
2009
8
3.80%
$700,976
2.11%
$723,174
3.63%
$706,215
3.71%
5.22%
6.63%
6.18%
4.50%
-0.71%
2.41%
1.09%
1.89%
3.63%
2009
9
4.99%
$735,927
6.03%
$766,767
4.25%
$736,248
4.14%
3.23%
5.94%
5.41%
3.94%
9.96%
3.15%
5.84%
3.30%
4.25%
2009
10
-2.93%
$714,332
-2.27%
$749,361
-2.61%
$717,066
-2.63%
-2.65%
-4.81%
-6.09%
-2.77%
-2.41%
-0.43%
2.47%
-2.61%
-2.61%
2009
11
5.26%
$751,928
5.54%
$790,890
5.66%
$757,686
5.69%
6.06%
5.69%
3.55%
4.11%
7.18%
5.79%
2.84%
0.52%
5.66%
2009
12
2.13%
$737,198
2.25%
$776,308
2.85%
$748,109
2.86%
1.22%
5.37%
6.92%
0.79%
3.10%
0.73%
0.88%
0.38%
2.85%
2010
1
-4.45%
$704,384
-4.65%
$740,243
-3.46%
$722,218
-3.57%
-2.45%
-2.28%
-2.99%
-5.44%
-6.73%
-2.30%
-4.40%
0.38%
-3.46%
2010
2
2.14%
$719,484
2.21%
$756,637
3.36%
$746,474
3.44%
2.62%
4.75%
5.01%
0.74%
1.88%
2.42%
3.01%
0.84%
3.36%
2010
3
6.66%
$767,428
6.26%
$803,976
6.26%
$793,216
6.40%
6.15%
7.01%
8.20%
6.30%
8.19%
4.62%
2.82%
-0.06%
6.26%
2010
4
0.13%
$768,437
0.50%
$807,958
2.21%
$810,728
2.18%
1.78%
3.93%
6.23%
-2.77%
-0.21%
2.17%
4.16%
1.14%
2.21%
2010
5
-9.42%
$696,065
-8.72%
$737,522
-8.00%
$745,880
-7.88%
-7.77%
-7.45%
-7.95%
-11.53%
-9.18%
-7.24%
-11.45%
0.83%
-8.00%
2010
6
-3.66%
$670,562
-3.20%
$713,923
-5.67%
$703,570
-5.83%
-5.16%
-6.27%
-8.16%
-1.81%
-0.55%
-4.34%
-5.93%
-0.34%
-5.67%
2010
7
9.17%
$732,038
8.59%
$775,243
7.03%
$753,059
7.02%
6.63%
6.73%
7.46%
11.66%
10.21%
6.38%
8.37%
1.41%
7.03%
2010
8
-4.02%
$702,612
-3.44%
$748,553
-4.75%
$717,317
-4.71%
-4.24%
-5.13%
-6.66%
-3.58%
-2.56%
-3.44%
-4.90%
2.16%
-4.75%
2010
9
9.49%
$769,317
9.51%
$819,724
9.50%
$785,438
9.45%
7.56%
9.22%
10.43%
9.66%
11.42%
8.31%
10.00%
-0.04%
9.50%
2010
10
3.63%
$797,208
3.53%
$848,699
3.94%
$816,392
4.03%
2.73%
3.45%
3.60%
4.06%
3.10%
2.83%
5.67%
-0.81%
3.94%
2010
11
-2.22%
$779,506
-1.53%
$835,746
0.58%
$821,090
0.51%
-0.62%
0.36%
2.28%
-4.90%
-2.84%
0.30%
5.86%
-2.79%
0.58%
2010
12
7.86%
$807,140
7.02%
$858,665
6.83%
$842,113
6.96%
7.97%
7.38%
7.69%
8.44%
7.56%
5.34%
9.32%
-2.51%
6.83%
2011
1
1.47%
$818,980
0.65%
$864,225
2.19%
$860,519
2.05%
2.85%
2.38%
0.60%
2.16%
-3.45%
1.43%
7.18%
-0.18%
2.19%
2011
2
3.31%
$846,112
2.76%
$888,079
3.63%
$891,728
3.70%
4.03%
3.72%
4.70%
3.66%
-0.17%
3.41%
7.37%
2.30%
3.63%
2011
3
-0.17%
$844,647
1.11%
$897,967
0.45%
$895,708
0.42%
-0.03%
1.29%
1.47%
-2.50%
5.47%
1.06%
1.88%
-1.20%
0.45%
2011
4
4.27%
$880,742
3.65%
$930,780
2.99%
$922,494
2.90%
2.96%
2.91%
2.34%
6.19%
3.37%
3.49%
0.92%
2.77%
2.99%
2011
5
-2.06%
$862,640
-1.96%
$912,573
-1.16%
$911,779
-1.06%
-1.37%
-0.55%
-2.12%
-2.70%
-2.94%
-1.27%
-4.19%
2.33%
-1.16%
2011
6
-1.60%
$848,870
-1.32%
$900,483
-1.79%
$895,495
-1.79%
-2.12%
-3.02%
-2.08%
-1.22%
-1.00%
-0.77%
-1.92%
-0.13%
-1.79%
2011
7
-2.47%
$827,902
-1.57%
$886,340
-2.22%
$875,589
-2.27%
-3.50%
-3.89%
-3.32%
-2.39%
-0.62%
-3.46%
1.46%
0.55%
-2.22%
2011
8
-7.59%
$765,079
-7.04%
$823,923
-6.02%
$822,866
-6.09%
-5.90%
-6.56%
-8.19%
-8.58%
-9.09%
-3.20%
-10.22%
3.39%
-6.02%
2011
9
-10.54%
$684,466
-11.14%
$732,167
-7.75%
$759,086
-7.57%
-6.85%
-8.70%
-10.64%
-11.33%
-18.44%
-6.26%
-14.42%
-0.04%
-7.75%
2011
10
11.23%
$761,316
11.66%
$817,532
11.54%
$846,704
11.37%
10.27%
12.37%
14.43%
9.76%
15.91%
9.60%
19.14%
-0.53%
11.54%
2011
11
-1.21%
$752,107
-0.78%
$811,120
-0.29%
$844,270
-0.37%
-0.56%
0.15%
-0.14%
-2.09%
-1.71%
1.87%
1.66%
0.64%
-0.29%
2011
12
-0.56%
$717,970
-1.04%
$770,557
0.82%
$817,178
0.98%
2.53%
1.10%
0.82%
-2.12%
-4.17%
1.00%
-2.05%
2.50%
0.82%
2012
1
5.85%
$759,976
6.45%
$820,244
5.08%
$858,690
5.07%
3.47%
5.23%
6.97%
5.62%
10.78%
2.60%
2.26%
3.53%
5.08%
2012
2
4.48%
$794,050
4.47%
$856,929
4.26%
$895,241
4.22%
3.89%
3.62%
2.55%
4.88%
5.43%
2.76%
5.93%
-1.07%
4.26%
2012
3
1.04%
$802,289
0.24%
$858,967
3.07%
$922,710
3.06%
2.84%
2.00%
2.41%
0.33%
-2.60%
2.09%
-3.81%
-0.82%
3.07%
2012
4
-1.62%
$789,331
-1.36%
$847,321
-0.63%
$916,941
-0.64%
-0.92%
-0.77%
-0.99%
-2.38%
-2.09%
-0.34%
-0.71%
0.87%
-0.63%
2012
5
-8.79%
$719,985
-8.33%
$776,728
-6.23%
$859,780
-6.23%
-5.91%
-6.75%
-6.31%
-11.17%
-10.67%
-4.37%
-10.68%
1.20%
-6.23%
2012
6
5.45%
$759,255
4.63%
$812,700
3.94%
$893,649
4.05%
4.79%
3.37%
4.47%
6.98%
5.02%
2.18%
4.80%
-0.71%
3.94%
2012
7
0.52%
$763,236
0.85%
$819,632
1.03%
$902,873
0.88%
1.18%
0.78%
-0.43%
0.25%
0.20%
1.96%
4.94%
2.07%
1.03%
2012
8
2.40%
$781,558
1.97%
$835,778
2.51%
$925,537
2.70%
1.48%
2.51%
2.99%
3.29%
0.25%
1.90%
2.70%
-0.15%
2.51%
2012
9
2.97%
$804,766
3.19%
$862,464
2.58%
$949,376
2.49%
2.90%
2.03%
2.80%
2.64%
5.31%
1.87%
3.12%
0.57%
2.58%
2012
10
-0.10%
$804,000
-0.72%
$856,279
-1.76%
$932,692
-1.81%
-0.39%
-0.14%
-0.70%
1.06%
-0.55%
-1.26%
-2.03%
0.47%
-1.76%
2012
11
1.38%
$815,108
1.33%
$867,645
0.74%
$939,577
0.77%
-0.74%
1.23%
1.01%
2.71%
1.28%
1.44%
-1.22%
1.85%
0.74%
2012
12
3.54%
$810,209
3.30%
$860,452
1.22%
$913,019
1.29%
2.12%
2.36%
3.34%
4.24%
7.06%
0.47%
1.02%
-2.58%
1.22%
2013
1
4.39%
$845,742
3.51%
$890,655
5.50%
$963,216
5.42%
6.36%
7.26%
6.46%
3.83%
0.07%
5.93%
8.30%
0.81%
5.50%
2013
2
-0.13%
$844,640
-0.33%
$887,749
1.28%
$975,509
1.28%
1.31%
1.47%
1.62%
-1.15%
-2.36%
1.16%
0.44%
0.53%
1.28%
2013
3
2.30%
$864,082
1.60%
$901,943
3.91%
$1,013,660
3.95%
4.04%
5.00%
4.56%
1.19%
-1.27%
3.38%
2.54%
-1.31%
3.91%
2013
4
3.13%
$891,154
2.35%
$923,147
1.70%
$1,030,897
1.61%
2.21%
1.70%
0.09%
5.22%
2.00%
1.67%
-1.31%
1.75%
1.70%
2013
5
-0.61%
$885,744
-1.01%
$913,836
2.35%
$1,055,081
2.44%
2.58%
1.87%
3.11%
-2.97%
-5.07%
1.15%
2.85%
-3.05%
2.35%
2013
6
-2.30%
$865,341
-2.79%
$888,329
-1.24%
$1,041,963
-1.43%
-1.02%
-1.35%
-1.27%
-2.77%
-5.33%
-1.51%
-2.27%
-2.69%
-1.24%
2013
7
4.97%
$908,324
4.07%
$924,444
5.46%
$1,098,831
5.75%
5.38%
5.64%
6.85%
5.20%
0.70%
5.41%
5.26%
-0.80%
5.46%
2013
8
-2.69%
$883,895
-2.67%
$899,766
-2.80%
$1,068,071
-3.03%
-3.68%
-2.92%
-4.17%
-1.60%
-3.43%
-3.57%
-1.03%
-1.72%
-2.80%
2013
9
5.60%
$933,360
5.42%
$948,526
3.67%
$1,107,265
3.90%
2.29%
3.99%
5.30%
7.85%
7.27%
3.97%
2.12%
2.80%
3.67%
2013
10
3.90%
$969,729
3.90%
$985,496
4.25%
$1,154,277
4.27%
4.59%
4.53%
3.92%
3.21%
4.34%
4.17%
4.20%
1.21%
4.25%
2013
11
1.61%
$985,298
1.08%
$996,183
2.88%
$1,187,524
2.70%
3.18%
2.90%
2.93%
0.66%
-0.93%
2.32%
0.06%
-0.47%
2.88%
2013
12
1.97%
$964,516
1.68%
$972,395
2.66%
$1,170,337
2.73%
2.09%
2.83%
2.74%
1.90%
-0.28%
1.96%
2.87%
-0.41%
2.66%
2014
1
-4.73%
$918,852
-5.03%
$923,498
-3.11%
$1,133,991
-3.17%
-3.69%
-2.58%
-2.78%
-5.21%
-8.43%
-5.01%
-5.80%
2.56%
-3.11%
2014
2
4.97%
$964,545
4.47%
$964,800
4.75%
$1,187,883
4.87%
3.97%
5.39%
4.97%
5.95%
3.24%
4.90%
5.12%
1.05%
4.75%
2014
3
1.12%
$975,350
1.48%
$979,110
0.52%
$1,194,086
0.51%
2.69%
1.15%
1.31%
-0.37%
4.62%
0.79%
2.11%
0.08%
0.52%
2014
4
0.88%
$983,964
0.99%
$988,788
0.06%
$1,194,841
0.06%
0.86%
0.41%
-1.13%
1.57%
0.89%
1.01%
5.25%
1.24%
0.06%
2014
5
1.92%
$1,002,824
2.20%
$1,010,590
2.17%
$1,220,772
2.10%
1.38%
1.71%
1.64%
1.77%
3.10%
1.61%
1.67%
1.12%
2.17%
2014
6
2.01%
$1,023,026
2.38%
$1,034,659
2.57%
$1,252,119
2.62%
1.92%
2.78%
4.32%
1.04%
3.17%
1.49%
5.51%
-0.16%
2.57%
2014
7
-1.74%
$1,005,242
-1.16%
$1,022,671
-1.98%
$1,227,345
-1.99%
-1.20%
-2.60%
-4.79%
-2.37%
1.37%
-3.31%
-3.47%
0.45%
-1.98%
2014
8
2.45%
$1,029,895
2.96%
$1,052,938
4.18%
$1,278,663
4.15%
3.44%
3.86%
5.12%
0.26%
3.84%
3.65%
2.18%
1.26%
4.18%
2014
9
-3.69%
$991,861
-4.14%
$1,009,396
-2.11%
$1,251,730
-2.10%
-1.28%
-3.47%
-5.54%
-4.16%
-7.18%
-1.00%
-7.75%
-0.08%
-2.11%
2014
10
1.43%
$1,006,091
1.52%
$1,024,787
2.74%
$1,286,013
2.75%
1.80%
3.56%
4.85%
-0.35%
2.23%
2.65%
-3.53%
0.55%
2.74%
2014
11
0.99%
$1,016,087
0.35%
$1,028,371
2.43%
$1,317,249
2.48%
2.47%
2.72%
1.10%
0.00%
-1.10%
3.22%
-8.69%
0.12%
2.43%
2014
12
-1.85%
$957,363
-2.05%
$967,042
0.00%
$1,264,612
-0.04%
0.35%
0.65%
1.79%
-3.77%
-4.69%
0.11%
-0.23%
0.81%
0.00%
2015
1
-1.25%
$945,426
-1.17%
$955,691
-2.77%
$1,229,565
-2.74%
-4.10%
-2.37%
-3.30%
0.71%
-0.20%
-3.38%
-4.56%
1.60%
-2.77%
2015
2
5.67%
$999,076
5.11%
$1,004,555
5.76%
$1,300,393
5.74%
5.31%
5.35%
5.66%
6.16%
4.66%
5.59%
4.59%
-1.12%
5.76%
2015
3
-1.15%
$987,573
-1.41%
$990,387
-1.01%
$1,287,272
-1.16%
-1.32%
-0.05%
1.30%
-1.22%
-2.05%
-2.27%
-1.16%
0.22%
-1.01%
2015
4
2.83%
$1,015,527
3.44%
$1,024,418
0.42%
$1,292,689
0.62%
1.28%
-0.29%
-1.30%
3.87%
7.41%
-0.21%
6.57%
-0.71%
0.42%
2015
5
0.05%
$1,016,057
-0.84%
$1,015,810
1.39%
$1,310,664
1.30%
1.18%
1.20%
1.37%
-0.05%
-3.55%
0.96%
-5.19%
-0.49%
1.39%
2015
6
-2.43%
$991,329
-2.27%
$992,774
-1.70%
$1,288,350
-1.67%
-2.24%
-2.34%
-1.51%
-2.91%
-2.54%
-2.54%
-3.48%
-0.34%
-1.70%
2015
7
0.28%
$994,125
-1.04%
$982,422
1.65%
$1,309,617
1.70%
1.02%
0.94%
-0.95%
1.46%
-6.26%
2.16%
-7.69%
1.12%
1.65%
2015
8
-6.85%
$926,040
-6.98%
$913,861
-6.00%
$1,230,980
-6.09%
-5.84%
-4.41%
-4.84%
-7.23%
-9.86%
-5.87%
-4.25%
-0.11%
-6.00%
2015
9
-3.40%
$894,555
-3.12%
$885,360
-2.94%
$1,194,741
-2.92%
-2.54%
-3.40%
-3.58%
-4.08%
-2.88%
-1.84%
-7.18%
0.86%
-2.94%
2015
10
6.91%
$956,404
6.62%
$944,006
7.86%
$1,288,690
7.91%
7.65%
6.31%
6.63%
6.73%
5.29%
6.74%
11.16%
0.36%
7.86%
2015
11
-0.28%
$953,697
-0.51%
$939,231
0.56%
$1,295,898
0.60%
0.54%
0.62%
1.32%
-0.76%
-2.30%
0.27%
-0.01%
0.50%
0.56%
2015
12
-2.28%
$894,665
-2.61%
$878,137
-2.04%
$1,218,733
-2.13%
-1.15%
-2.87%
-4.90%
-2.14%
-3.44%
-0.87%
-10.50%
1.02%
-2.04%
2016
1
-5.56%
$844,899
-5.08%
$833,529
-5.65%
$1,149,866
-5.72%
-4.76%
-6.86%
-6.37%
-5.53%
-5.75%
-2.29%
-3.50%
0.77%
-5.65%
2016
2
-1.15%
$835,195
-0.85%
$826,427
-0.04%
$1,149,386
-0.01%
0.10%
1.36%
1.50%
-3.08%
-0.32%
1.13%
-2.80%
0.02%
-0.04%
2016
3
7.93%
$901,422
8.45%
$896,256
7.03%
$1,230,230
7.11%
6.70%
7.76%
8.94%
7.20%
12.72%
6.28%
10.16%
0.44%
7.03%
2016
4
1.61%
$915,974
1.49%
$909,575
0.65%
$1,238,185
0.66%
1.52%
0.99%
2.10%
2.31%
1.01%
-0.33%
9.06%
0.67%
0.65%
2016
5
0.09%
$916,781
-0.39%
$906,002
1.77%
$1,260,124
1.73%
1.06%
1.44%
1.40%
-0.30%
-3.24%
0.95%
-0.93%
0.28%
1.77%
2016
6
0.11%
$917,787
1.39%
$918,618
0.25%
$1,263,263
0.27%
1.13%
0.32%
0.15%
-2.04%
4.93%
2.37%
2.71%
1.61%
0.25%
2016
7
4.04%
$954,837
3.78%
$953,318
3.95%
$1,313,144
3.98%
2.81%
4.19%
4.64%
4.16%
5.14%
2.29%
-1.26%
-0.04%
3.95%
2016
8
0.52%
$959,758
0.48%
$957,901
0.28%
$1,316,776
0.21%
0.68%
0.93%
0.73%
0.41%
0.78%
0.01%
1.68%
0.13%
0.28%
2016
9
0.92%
$968,622
1.14%
$968,796
0.15%
$1,318,802
0.21%
-0.46%
0.43%
0.30%
1.65%
2.05%
-0.97%
3.69%
-0.56%
0.15%
2016
10
-1.77%
$951,450
-1.45%
$954,736
-2.21%
$1,289,603
-2.19%
-1.09%
-2.42%
-2.92%
-2.41%
0.32%
-1.93%
-2.82%
-0.96%
-2.21%
2016
11
1.55%
$966,210
0.40%
$958,522
4.45%
$1,347,027
4.49%
6.00%
5.94%
10.21%
-1.51%
-4.05%
2.98%
8.47%
-4.10%
4.45%
2016
12
1.94%
$945,516
1.22%
$931,415
1.93%
$1,318,153
1.98%
2.73%
1.10%
2.86%
2.45%
-0.74%
1.17%
1.73%
1.72%
1.93%
* End-of-month balance includes the annual contribution/withdrawal
Returns Based Style Analysis
Returns Based Style Analysis
Style Category
Portfolio 1
Portfolio 2
Portfolio 3
Large-cap Value
25.24%
12.08%
38.23%
Large-cap Growth
9.09%
20.74%
42.33%
Mid-cap Value
6.23%
8.25%
5.63%
Mid-cap Growth
0.63%
1.19%
7.90%
Small-cap Value
2.47%
0.00%
2.04%
Small-cap Growth
1.14%
0.00%
2.86%
Global ex-US Developed Markets
41.45%
22.62%
0.72%
Emerging Markets
13.41%
29.72%
0.28%
Corporate Bonds
0.20%
0.26%
0.00%
Long-Term Treasuries
0.15%
0.00%
0.00%
Intermediate-Term Treasuries
0.00%
0.00%
0.00%
Short-Term Treasuries
0.00%
5.14%
0.00%
R Squared
99.94%
99.85%
99.90%
Style analysis is based on monthly returns from January 2008 to December 2016 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
Ticker
Name
Category
Weight
Yield
Expense Ratio
P/E
Contribution
SEC
TTM
Net
Gross
Return
Risk
VTI
Vanguard Total Stock Market ETF
Large Blend
18.00%
1.37%
1.43%
0.03%
0.03%
19.44
$100,998
15.53%
VTV
Vanguard Value ETF
Large Value
18.00%
2.32%
2.30%
0.04%
0.04%
15.75
$93,526
15.18%
VOE
Vanguard Mid-Cap Value ETF
Mid-Cap Value
5.00%
2.03%
1.97%
0.07%
0.07%
15.52
$34,302
4.81%
VBR
Vanguard Small-Cap Value ETF
Small Value
5.00%
1.74%
1.89%
0.07%
0.07%
11.85
$35,914
5.15%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Blend
41.00%
3.27%
0.05%
0.05%
13.50
-$5,475
43.67%
VWO
Vanguard FTSE Emerging Markets ETF
Diversified Emerging Mkts
13.00%
3.13%
0.08%
0.08%
12.11
-$4,993
15.68%
100.00%
0.85%
2.61%
0.05%
0.05%
14.81
$254,272
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Holdings Based Style Analysis for Portfolio 2
Holdings Based Style Analysis for Portfolio 2
Ticker
Name
Category
Weight
Yield
Expense Ratio
P/E
Duration
Contribution
SEC
TTM
Net
Gross
Return
Risk
VTI
Vanguard Total Stock Market ETF
Large Blend
35.00%
1.37%
1.43%
0.03%
0.03%
19.44
$207,704
30.75%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Blend
22.00%
3.27%
0.05%
0.05%
13.50
$876
23.94%
VWO
Vanguard FTSE Emerging Markets ETF
Diversified Emerging Mkts
28.00%
3.13%
0.08%
0.08%
12.11
-$9,698
36.39%
VIG
Vanguard Dividend Appreciation ETF
Large Blend
5.00%
1.75%
1.85%
0.06%
0.06%
20.84
$26,799
3.53%
XLE
Energy Select Sector SPDR ETF
Equity Energy
5.00%
2.89%
3.35%
0.10%
0.10%
17.28
$7,472
5.13%
MUB
iShares National Muni Bond ETF
Muni National Interm
5.00%
2.58%
1.92%
0.07%
0.07%
5.37
$14,630
0.27%
100.00%
0.84%
2.45%
0.06%
0.06%
15.86
5.37
$247,783
100.00%
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
Ticker
Name
Category
Weight
Yield
Expense Ratio
P/E
Contribution
SEC
TTM
Net
Gross
Return
Risk
VTSAX
Vanguard Total Stock Mkt Idx Adm
Large Blend
100.00%
1.36%
1.42%
0.04%
0.04%
19.44
$688,869
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fund fundamentals data as of 05/18/2022. (c) 2022 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
Metric
Portfolio 1
Portfolio 2
Portfolio 3
Arithmetic Mean (monthly)
0.43%
0.40%
0.71%
Arithmetic Mean (annualized)
5.28%
4.96%
8.86%
Geometric Mean (monthly)
0.29%
0.27%
0.60%
Geometric Mean (annualized)
3.52%
3.35%
7.41%
Standard Deviation (monthly)
5.28%
5.07%
4.72%
Standard Deviation (annualized)
18.28%
17.57%
16.36%
Downside Deviation (monthly)
3.74%
3.55%
3.28%
Maximum Drawdown
-52.24%
-49.34%
-48.23%
Stock Market Correlation
0.97
0.95
1.00
Beta(*)
1.08
1.02
1.00
Alpha (annualized)
-3.92%
-3.74%
0.11%
R2
93.24%
90.31%
100.00%
Sharpe Ratio
0.27
0.26
0.50
Sortino Ratio
0.38
0.37
0.72
Treynor Ratio (%)
4.53
4.49
8.25
Calmar Ratio
0.24
0.17
0.95
Active Return
-3.77%
-3.95%
0.12%
Tracking Error
4.93%
5.48%
0.07%
Information Ratio
-0.77
-0.72
1.78
Skewness
-0.60
-0.51
-0.72
Excess Kurtosis
1.63
1.68
1.52
Historical Value-at-Risk (5%)
-9.30%
-8.13%
-7.95%
Analytical Value-at-Risk (5%)
-8.24%
-7.98%
-7.06%
Conditional Value-at-Risk (5%)
-11.96%
-11.26%
-10.30%
Upside Capture Ratio (%)
95.91
89.94
100.36
Downside Capture Ratio (%)
112.88
107.09
99.85
Safe Withdrawal Rate
10.00%
10.29%
11.47%
Perpetual Withdrawal Rate
1.90%
1.73%
5.45%
Positive Periods
61 out of 108 (56.48%)
59 out of 108 (54.63%)
70 out of 108 (64.81%)
Gain/Loss Ratio
0.96
1.03
0.80
* 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
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Jan 2008
Feb 2009
1 year 2 months
Jan 2013
3 years 11 months
5 years 1 month
-52.24%
2
Jun 2015
Feb 2016
9 months
Dec 2016
10 months
1 year 7 months
-14.38%
3
Jan 2014
Jan 2014
1 month
Feb 2014
1 month
2 months
-4.73%
4
Sep 2014
Jan 2015
5 months
Feb 2015
1 month
6 months
-4.38%
5
May 2013
Jun 2013
2 months
Jul 2013
1 month
3 months
-2.90%
6
Aug 2013
Aug 2013
1 month
Sep 2013
1 month
2 months
-2.69%
7
Jul 2014
Jul 2014
1 month
Aug 2014
1 month
2 months
-1.74%
8
Mar 2015
Mar 2015
1 month
Apr 2015
1 month
2 months
-1.15%
9
Feb 2013
Feb 2013
1 month
Mar 2013
1 month
2 months
-0.13%
Drawdowns for Portfolio 2
Drawdowns for Portfolio 2
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Jan 2008
Feb 2009
1 year 2 months
Feb 2011
2 years
3 years 2 months
-49.34%
2
May 2011
Sep 2011
5 months
Dec 2012
1 year 3 months
1 year 8 months
-21.34%
3
May 2015
Feb 2016
10 months
-15.97%
4
Sep 2014
Jan 2015
5 months
Apr 2015
3 months
8 months
-5.45%
5
Jan 2014
Jan 2014
1 month
Mar 2014
2 months
3 months
-5.03%
6
May 2013
Jun 2013
2 months
Jul 2013
1 month
3 months
-3.77%
7
Aug 2013
Aug 2013
1 month
Sep 2013
1 month
2 months
-2.67%
8
Jul 2014
Jul 2014
1 month
Aug 2014
1 month
2 months
-1.16%
9
Feb 2013
Feb 2013
1 month
Mar 2013
1 month
2 months
-0.33%
Drawdowns for Portfolio 3
Drawdowns for Portfolio 3 (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Jan 2008
Feb 2009
1 year 2 months
Feb 2011
2 years
3 years 2 months
-48.23%
2
May 2011
Sep 2011
5 months
Feb 2012
5 months
10 months
-17.71%
3
Jun 2015
Sep 2015
4 months
May 2016
8 months
1 year
-8.84%
4
Apr 2012
May 2012
2 months
Aug 2012
3 months
5 months
-6.82%
5
Jan 2014
Jan 2014
1 month
Feb 2014
1 month
2 months
-3.11%
6
Aug 2013
Aug 2013
1 month
Sep 2013
1 month
2 months
-2.80%
7
Jan 2015
Jan 2015
1 month
Feb 2015
1 month
2 months
-2.77%
8
Oct 2016
Oct 2016
1 month
Nov 2016
1 month
2 months
-2.21%
9
Sep 2014
Sep 2014
1 month
Oct 2014
1 month
2 months
-2.11%
10
Jul 2014
Jul 2014
1 month
Aug 2014
1 month
2 months
-1.98%
Worst 10 drawdowns included above
Portfolio Assets
Performance statistics for portfolio components
Ticker
Name
CAGR
Stdev
Best Year
Worst Year
Max Drawdown
Sharpe Ratio
Sortino Ratio
Market Correlation
VTI
Vanguard Total Stock Market ETF
7.44%
16.36%
33.45%
-36.98%
-48.15%
0.50
0.73
1.00
VTV
Vanguard Value ETF
6.69%
16.22%
33.10%
-35.87%
-50.72%
0.46
0.66
0.98
VOE
Vanguard Mid-Cap Value ETF
9.10%
18.55%
38.23%
-36.65%
-49.53%
0.55
0.80
0.98
VBR
Vanguard Small-Cap Value ETF
9.55%
20.62%
36.55%
-32.20%
-49.75%
0.53
0.78
0.95
VEA
Vanguard FTSE Developed Markets ETF
-0.02%
19.94%
27.49%
-40.65%
-54.11%
0.09
0.12
0.90
VWO
Vanguard FTSE Emerging Markets ETF
-1.54%
24.20%
76.28%
-52.49%
-57.75%
0.05
0.07
0.82
VIG
Vanguard Dividend Appreciation ETF
7.12%
13.67%
28.87%
-26.69%
-39.40%
0.55
0.79
0.97
XLE
Energy Select Sector SPDR ETF
1.42%
22.76%
28.02%
-38.97%
-53.13%
0.16
0.23
0.75
MUB
iShares National Muni Bond ETF
3.79%
5.59%
12.98%
-3.44%
-8.79%
0.64
1.00
0.12
VTSAX
Vanguard Total Stock Mkt Idx Adm
7.41%
16.36%
33.52%
-36.99%
-48.23%
0.50
0.72
1.00
Portfolio Asset Performance
Performance of portfolio assets
Name
Total Return
Annualized Return
Expense Ratio
3 Month
Year To Date
1 year
3 year
5 year
Net
Gross
Vanguard Total Stock Market ETF
4.23%
12.83%
12.83%
8.42%
14.64%
0.03%
0.03%
Vanguard Value ETF
7.70%
17.12%
17.12%
9.48%
15.01%
0.04%
0.04%
Vanguard Mid-Cap Value ETF
4.52%
15.40%
15.40%
8.86%
15.57%
0.07%
0.07%
Vanguard Small-Cap Value ETF
10.06%
24.90%
24.90%
9.56%
16.40%
0.07%
0.07%
Vanguard FTSE Developed Markets ETF
-1.52%
2.67%
2.67%
-1.29%
6.79%
0.05%
0.05%
Vanguard FTSE Emerging Markets ETF
-4.46%
12.21%
12.21%
-1.90%
1.36%
0.08%
0.08%
Vanguard Dividend Appreciation ETF
2.17%
11.97%
11.97%
6.52%
11.70%
0.06%
0.06%
Energy Select Sector SPDR ETF
7.23%
28.02%
28.02%
-2.82%
4.04%
0.10%
0.10%
iShares National Muni Bond ETF
-3.39%
-0.17%
-0.17%
3.96%
2.67%
0.07%
0.07%
Vanguard Total Stock Mkt Idx Adm
4.12%
12.66%
12.66%
8.38%
14.62%
0.04%
0.04%
Trailing returns as of last calendar month ending December 2016
Monthly Correlations
Correlations for the portfolio assets
Ticker
Name
VTI
VTV
VOE
VBR
VEA
VWO
VIG
XLE
MUB
VTSAX
Portfolio 1
Portfolio 2
Portfolio 3
VTI
Vanguard Total Stock Market ETF
1.00
0.98
0.98
0.95
0.90
0.82
0.96
0.75
0.12
1.00
0.97
0.95
1.00
VTV
Vanguard Value ETF
0.98
1.00
0.96
0.94
0.89
0.78
0.96
0.72
0.10
0.98
0.95
0.92
0.98
VOE
Vanguard Mid-Cap Value ETF
0.98
0.96
1.00
0.98
0.88
0.81
0.93
0.72
0.18
0.98
0.95
0.93
0.98
VBR
Vanguard Small-Cap Value ETF
0.95
0.94
0.98
1.00
0.83
0.77
0.91
0.69
0.11
0.95
0.91
0.89
0.95
VEA
Vanguard FTSE Developed Markets ETF
0.90
0.89
0.88
0.83
1.00
0.89
0.87
0.73
0.20
0.90
0.98
0.97
0.90
VWO
Vanguard FTSE Emerging Markets ETF
0.82
0.78
0.81
0.77
0.89
1.00
0.78
0.74
0.18
0.82
0.91
0.95
0.82
VIG
Vanguard Dividend Appreciation ETF
0.96
0.96
0.93
0.91
0.87
0.78
1.00
0.72
0.14
0.97
0.93
0.91
0.97
XLE
Energy Select Sector SPDR ETF
0.75
0.72
0.72
0.69
0.73
0.74
0.72
1.00
-0.09
0.75
0.76
0.80
0.75
MUB
iShares National Muni Bond ETF
0.12
0.10
0.18
0.11
0.20
0.18
0.14
-0.09
1.00
0.12
0.17
0.17
0.12
VTSAX
Vanguard Total Stock Mkt Idx Adm
1.00
0.98
0.98
0.95
0.90
0.82
0.97
0.75
0.12
1.00
0.97
0.95
1.00
Portfolio Return Decomposition
Portfolio return decomposition
Ticker
Name
Portfolio 1
Portfolio 2
Portfolio 3
VTI
Vanguard Total Stock Market ETF
$100,998
$207,704
VTV
Vanguard Value ETF
$93,526
VOE
Vanguard Mid-Cap Value ETF
$34,302
VBR
Vanguard Small-Cap Value ETF
$35,914
VEA
Vanguard FTSE Developed Markets ETF
-$5,475
$876
VWO
Vanguard FTSE Emerging Markets ETF
-$4,993
-$9,698
VIG
Vanguard Dividend Appreciation ETF
$26,799
XLE
Energy Select Sector SPDR ETF
$7,472
MUB
iShares National Muni Bond ETF
$14,630
VTSAX
Vanguard Total Stock Mkt Idx Adm
$688,869
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.
Portfolio Risk Decomposition
Portfolio risk decomposition
Ticker
Name
Portfolio 1
Portfolio 2
Portfolio 3
VTI
Vanguard Total Stock Market ETF
15.53%
30.75%
VTV
Vanguard Value ETF
15.18%
VOE
Vanguard Mid-Cap Value ETF
4.81%
VBR
Vanguard Small-Cap Value ETF
5.15%
VEA
Vanguard FTSE Developed Markets ETF
43.67%
23.94%
VWO
Vanguard FTSE Emerging Markets ETF
15.68%
36.39%
VIG
Vanguard Dividend Appreciation ETF
3.53%
XLE
Energy Select Sector SPDR ETF
5.13%
MUB
iShares National Muni Bond ETF
0.27%
VTSAX
Vanguard Total Stock Mkt Idx Adm
100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.