Backtest Portfolio Asset Allocation

This online 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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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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Asset 11
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Asset 12
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Asset 13
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Asset 14
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Asset 15
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Portfolio Analysis Results (Dec 2010 - Jun 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
Save portfolio »
VOO Vanguard S&P 500 ETF 11.30%
VONV Vanguard Russell 1000 Value ETF 11.20%
VIOO Vanguard S&P Small-Cap 600 ETF 11.20%
RZV Guggenheim S&P Smallcap 600 Pure Value ETF 11.30%
VNQ Vanguard REIT ETF 5.00%
VEA Vanguard FTSE Developed Markets ETF 9.00%
EFV iShares MSCI EAFE Value ETF 9.00%
VSS Vanguard FTSE All-World ex-US Small-Cap ETF 9.00%
DLS WisdomTree International SmallCap Fund 9.00%
VWO Vanguard FTSE Emerging Markets ETF 4.50%
EWX SPDR S&P Emerging Markets Small Cap ETF 4.50%
VNQI Vanguard Global ex-U.S. Real Estate ETF 5.00%
Portfolio 2
Ticker Name Allocation
Save portfolio »
VOO Vanguard S&P 500 ETF 11.00%
VONV Vanguard Russell 1000 Value ETF 11.00%
VIOO Vanguard S&P Small-Cap 600 ETF 11.00%
RZV Guggenheim S&P Smallcap 600 Pure Value ETF 12.00%
VNQ Vanguard REIT ETF 5.00%
VEA Vanguard FTSE Developed Markets ETF 15.00%
VSS Vanguard FTSE All-World ex-US Small-Cap ETF 20.00%
VWO Vanguard FTSE Emerging Markets ETF 10.00%
VNQI Vanguard Global ex-U.S. Real Estate ETF 5.00%
Portfolio 3
Ticker Name Allocation
Save portfolio »
VONV Vanguard Russell 1000 Value ETF 25.00%
RZV Guggenheim S&P Smallcap 600 Pure Value ETF 25.00%
EFV iShares MSCI EAFE Value ETF 20.00%
DLS WisdomTree International SmallCap Fund 20.00%
EWX SPDR S&P Emerging Markets Small Cap ETF 10.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$18,337 9.65% 13.16%24.96%-8.29%-22.24% 0.761.230.95
2$10,000$17,928 9.27% 13.38%23.47%-8.70%-22.96% 0.721.150.94
3$10,000$18,081 9.41% 13.89%29.33%-9.87%-22.59% 0.711.150.94
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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 2010 are based on full calendar months from December to December
  • The annual results for 2017 are based on full calendar months from January to June
  • 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 (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationVanguard S&P 500 ETF (VOO)Vanguard Russell 1000 Value ETF (VONV)Vanguard S&P Small-Cap 600 ETF (VIOO)Guggenheim S&P Smallcap 600 Pure Value ETF (RZV)Vanguard REIT ETF (VNQ)Vanguard FTSE Developed Markets ETF (VEA)iShares MSCI EAFE Value ETF (EFV)Vanguard FTSE All-World ex-US Small-Cap ETF (VSS)WisdomTree International SmallCap Fund (DLS)Vanguard FTSE Emerging Markets ETF (VWO)SPDR S&P Emerging Markets Small Cap ETF (EWX)Vanguard Global ex-U.S. Real Estate ETF (VNQI)PF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End BalancePF #3 ReturnPF #3 Inflation Adjusted ReturnPF #3 Year End Balance
Annual returns for 2010 and 2017 are based on partial years
20100.17%6.92%7.62%8.70%10.44%4.54%8.44%8.71%9.90%10.71%7.56%5.48%7.58%8.38%8.19%$10,8388.42%8.23%$10,8428.95%8.76%$10,895
20112.96%1.89%0.36%0.69%-7.99%8.62%-12.30%-12.42%-19.63%-12.32%-18.76%-30.14%-16.91%-8.29%-10.93%$9,940-8.70%-11.32%$9,899-9.87%-12.46%$9,819
20121.74%16.00%16.72%15.33%21.44%17.63%18.56%18.83%20.73%24.05%19.20%26.64%43.03%20.31%18.25%$11,95919.74%17.69%$11,85320.78%18.71%$11,860
20131.50%32.39%32.71%41.28%45.27%2.31%21.83%21.84%16.60%26.37%-4.92%1.95%2.32%24.96%23.11%$14,94323.47%21.64%$14,63429.33%27.42%$15,338
20140.76%13.55%12.43%5.40%2.72%30.36%-5.98%-6.80%-5.06%-8.99%-0.07%-1.87%2.22%2.96%2.19%$15,3863.49%2.72%$15,1460.44%-0.31%$15,406
20150.73%1.31%-3.82%-2.15%-12.77%2.42%-0.38%-5.86%-0.01%7.46%-15.81%-12.41%-1.84%-3.10%-3.80%$14,910-3.66%-4.35%$14,592-5.07%-5.76%$14,625
20162.07%12.17%17.09%26.77%33.95%8.60%2.67%5.05%4.26%6.78%12.21%7.94%2.01%13.25%10.95%$16,88513.24%10.94%$16,52415.92%13.56%$16,953
20171.46%9.15%4.52%2.65%-8.75%2.55%14.85%11.94%15.95%17.64%15.03%17.90%14.03%8.60%7.03%$18,3378.50%6.94%$17,9286.65%5.12%$18,081
Monthly returns for the configured portfolios
YearMonthVanguard S&P 500 ETF (VOO)Vanguard Russell 1000 Value ETF (VONV)Vanguard S&P Small-Cap 600 ETF (VIOO)Guggenheim S&P Smallcap 600 Pure Value ETF (RZV)Vanguard REIT ETF (VNQ)Vanguard FTSE Developed Markets ETF (VEA)iShares MSCI EAFE Value ETF (EFV)Vanguard FTSE All-World ex-US Small-Cap ETF (VSS)WisdomTree International SmallCap Fund (DLS)Vanguard FTSE Emerging Markets ETF (VWO)SPDR S&P Emerging Markets Small Cap ETF (EWX)Vanguard Global ex-U.S. Real Estate ETF (VNQI)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End BalancePF #3 ReturnPF #3 Month End Balance
2010126.92%7.62%8.70%10.44%4.54%8.44%8.71%9.90%10.71%7.56%5.48%7.58%8.38%$10,8388.42%$10,8428.95%$10,895
201112.22%1.80%-0.23%-2.51%3.25%2.16%4.12%-0.76%0.73%-3.45%-5.96%-1.03%0.39%$10,8810.05%$10,8470.20%$10,916
201123.47%3.84%3.89%4.92%4.71%3.66%3.75%1.74%2.19%-0.17%-3.06%1.14%3.01%$11,2083.01%$11,1743.10%$11,255
201130.00%0.64%2.95%1.46%-1.62%-2.50%-3.34%1.34%-0.21%5.47%3.64%-0.12%0.41%$11,2530.87%$11,2710.11%$11,267
201142.94%2.51%2.56%0.37%5.75%6.19%6.02%5.15%4.92%3.37%4.23%4.47%3.79%$11,6793.72%$11,6903.32%$11,641
20115-1.17%-1.50%-1.65%-0.42%1.37%-2.70%-3.63%-2.12%-2.77%-2.94%-1.66%-0.42%-1.71%$11,480-1.60%$11,503-1.95%$11,414
20116-1.68%-1.60%-1.08%-2.78%-3.30%-1.22%-1.01%-2.08%-1.46%-1.00%-1.24%-1.29%-1.66%$11,290-1.74%$11,303-1.71%$11,219
20117-2.06%-2.84%-3.23%-2.20%1.56%-2.39%-3.32%-1.41%-1.76%-0.62%-0.29%0.17%-1.92%$11,073-1.77%$11,102-2.33%$10,957
20118-5.52%-6.78%-7.74%-10.30%-5.62%-8.58%-9.31%-8.95%-5.34%-9.09%-10.43%-7.01%-7.79%$10,211-8.03%$10,211-8.21%$10,057
20119-6.79%-7.45%-10.12%-11.21%-10.85%-11.33%-9.61%-14.93%-9.65%-18.44%-20.01%-15.27%-11.05%$9,082-11.80%$9,006-10.40%$9,011
20111010.74%11.27%15.80%16.82%14.29%9.76%9.26%9.32%5.79%15.91%12.91%10.95%11.72%$10,14612.32%$10,11611.16%$10,017
201111-0.30%-0.51%-0.95%-1.20%-3.80%-2.09%-2.03%-2.83%-1.76%-1.71%-4.52%-3.08%-1.70%$9,974-1.70%$9,944-1.57%$9,860
2011121.12%2.31%2.75%1.49%4.85%-2.12%-2.24%-3.92%-2.76%-4.17%-5.15%-4.64%-0.34%$9,940-0.45%$9,899-0.41%$9,819
201214.47%3.62%5.71%9.89%6.38%5.62%4.89%9.01%8.00%10.78%14.05%9.48%7.06%$10,6417.22%$10,6147.36%$10,542
201224.28%3.70%3.18%1.92%-1.15%4.88%5.07%6.42%3.94%5.43%8.88%6.91%4.25%$11,0934.32%$11,0724.11%$10,976
201233.30%3.21%2.30%1.73%5.19%0.33%-0.13%-1.13%1.45%-2.60%-1.96%-1.32%1.16%$11,2220.86%$11,1671.25%$11,113
20124-0.64%-1.37%-1.61%-3.20%2.86%-2.38%-3.30%-1.37%-1.86%-2.09%-2.98%1.87%-1.56%$11,046-1.39%$11,013-2.48%$10,838
20125-6.00%-5.60%-6.10%-9.93%-4.51%-11.17%-11.66%-10.99%-10.01%-10.67%-9.92%-7.45%-8.57%$10,100-8.67%$10,058-9.21%$9,840
201264.14%4.33%3.70%6.21%5.52%6.98%9.01%4.19%3.63%5.02%4.77%7.85%5.29%$10,6345.13%$10,5735.58%$10,389
201271.20%1.55%-0.71%-2.30%2.00%0.25%-0.38%0.00%-0.79%0.20%-0.96%2.93%0.13%$10,6480.28%$10,603-0.51%$10,337
201282.51%2.41%3.98%7.30%-0.01%3.29%4.26%3.11%4.32%0.25%2.30%3.15%3.40%$11,0103.12%$10,9344.33%$10,784
201292.55%2.93%2.52%5.37%-1.86%2.64%2.97%5.11%3.59%5.31%5.26%2.79%3.29%$11,3723.49%$11,3153.92%$11,207
201210-1.96%-0.46%-2.45%-4.48%-0.91%1.06%1.52%-0.17%1.57%-0.55%-2.92%2.84%-0.77%$11,285-0.91%$11,212-0.97%$11,099
2012110.57%-0.13%1.08%5.19%-0.26%2.71%1.97%1.33%2.17%1.28%1.90%2.63%1.75%$11,4831.70%$11,4042.26%$11,350
2012121.02%1.82%3.36%3.70%3.72%4.24%4.70%4.97%6.98%7.06%7.70%5.74%4.15%$11,9593.94%$11,8534.49%$11,860
201315.17%6.87%5.86%5.90%3.74%3.83%4.81%3.03%4.24%0.07%2.53%1.62%4.49%$12,4964.13%$12,3435.26%$12,483
201321.33%1.14%1.26%1.33%1.22%-1.15%-2.67%-0.23%0.64%-2.36%-0.50%-0.09%0.20%$12,5220.19%$12,3660.17%$12,505
201333.61%3.97%4.22%2.64%2.87%1.19%0.24%1.10%1.79%-1.27%0.80%2.70%2.31%$12,8102.21%$12,6402.17%$12,776
201342.09%1.57%-0.38%-1.37%6.73%5.22%6.27%2.47%4.19%2.00%2.31%6.87%2.66%$13,1522.31%$12,9312.30%$13,070
201352.32%2.49%4.69%9.46%-5.98%-2.97%-3.35%-2.50%-3.76%-5.07%-1.69%-9.98%-0.07%$13,142-0.01%$12,9301.40%$13,252
20136-1.50%-0.93%-0.31%-0.96%-1.98%-2.77%-3.14%-4.53%-3.42%-5.33%-7.98%-3.07%-2.42%$12,824-2.41%$12,619-2.48%$12,923
201375.30%5.72%6.74%6.24%0.90%5.20%5.89%5.18%5.72%0.70%1.45%1.20%4.98%$13,4634.82%$13,2275.52%$13,636
20138-3.08%-4.18%-2.45%-4.00%-6.98%-1.60%-1.85%-1.00%0.49%-3.43%-4.05%-2.81%-2.76%$13,092-2.86%$12,849-2.79%$13,255
201393.39%2.65%6.25%7.74%3.49%7.85%8.21%7.32%8.86%7.27%6.19%8.21%6.29%$13,9166.16%$13,6416.59%$14,128
2013104.47%4.76%3.91%3.20%4.52%3.21%3.99%3.57%3.48%4.34%3.89%1.99%3.82%$14,4473.78%$14,1573.86%$14,674
2013113.00%2.73%4.06%7.04%-5.25%0.66%0.44%-0.52%-0.43%-0.93%-0.66%-2.68%1.66%$14,6861.68%$14,3942.54%$15,047
2013122.64%2.32%1.66%1.60%0.10%1.90%1.95%2.17%2.55%-0.28%0.41%-0.37%1.75%$14,9431.67%$14,6341.94%$15,338
20141-3.53%-3.62%-4.09%-4.82%4.28%-5.21%-4.86%-2.59%-2.29%-8.43%-6.12%-5.32%-3.86%$14,367-4.01%$14,048-4.15%$14,702
201424.57%4.23%4.48%5.04%5.07%5.95%6.17%7.17%5.42%3.24%5.46%3.97%5.14%$15,1055.18%$14,7765.18%$15,464
201430.88%2.57%0.70%1.32%0.49%-0.37%-0.35%-0.56%0.54%4.62%3.24%0.82%0.95%$15,2480.94%$14,9151.33%$15,669
201440.72%0.81%-2.81%-2.49%3.29%1.57%2.48%1.02%-0.80%0.89%-0.53%2.26%0.26%$15,2880.38%$14,971-0.14%$15,647
201452.29%1.50%0.32%0.07%2.40%1.77%1.19%1.33%1.44%3.10%3.62%4.67%1.65%$15,5411.67%$15,2211.29%$15,849
201462.09%2.49%4.59%3.99%1.13%1.04%1.11%2.31%0.51%3.17%3.50%0.93%2.30%$15,8982.49%$15,6002.27%$16,209
20147-1.38%-1.57%-5.48%-5.39%0.08%-2.37%-2.36%-3.02%-1.65%1.37%-1.09%1.03%-2.29%$15,534-2.31%$15,241-2.62%$15,784
201483.97%3.61%4.22%4.46%3.04%0.26%-0.35%1.46%0.08%3.84%2.69%0.26%2.41%$15,9072.70%$15,6522.21%$16,134
20149-1.38%-2.03%-5.08%-6.83%-6.04%-4.16%-4.07%-6.27%-6.63%-7.18%-6.11%-6.58%-4.84%$15,138-4.97%$14,874-4.92%$15,340
2014102.40%2.16%6.82%6.78%9.94%-0.35%-0.79%-1.49%-0.44%2.23%-1.52%4.43%2.53%$15,5212.66%$15,2701.79%$15,615
2014112.76%2.05%0.04%-0.14%2.00%0.00%-0.76%-1.89%-2.97%-1.10%-1.27%-1.13%0.05%$15,5290.14%$15,292-0.31%$15,566
201412-0.32%-0.11%2.50%1.78%1.88%-3.77%-3.92%-2.02%-2.14%-4.69%-2.96%-2.41%-0.92%$15,386-0.95%$15,146-1.03%$15,406
20151-2.87%-3.86%-3.60%-8.39%6.85%0.71%-0.04%-0.62%0.32%-0.20%-0.99%2.65%-1.65%$15,132-1.70%$14,887-3.10%$14,928
201525.58%4.78%6.16%9.29%-3.67%6.16%6.43%6.28%7.31%4.66%3.37%3.68%5.56%$15,9735.51%$15,7076.57%$15,908
20153-1.57%-1.39%1.71%0.82%1.74%-1.22%-1.86%-1.34%-0.71%-2.05%-1.39%-1.18%-0.65%$15,869-0.68%$15,601-0.81%$15,780
201541.00%0.89%-2.46%1.24%-5.85%3.87%3.94%5.58%5.30%7.41%5.99%5.08%2.34%$16,2402.50%$15,9903.02%$16,256
201551.25%1.45%1.50%-0.76%-0.30%-0.05%-0.22%0.18%0.69%-3.55%0.48%-2.33%0.15%$16,264-0.12%$15,9710.31%$16,307
20156-1.95%-2.30%1.14%0.00%-4.68%-2.91%-3.23%-2.27%-2.69%-2.54%-4.98%-3.30%-2.11%$15,921-1.90%$15,667-2.29%$15,933
201572.18%0.48%-0.94%-6.75%5.77%1.46%1.41%-2.92%-0.03%-6.26%-7.33%-0.65%-0.95%$15,770-1.39%$15,449-1.98%$15,617
20158-6.14%-5.81%-5.27%-3.47%-6.29%-7.23%-7.59%-5.68%-5.17%-9.86%-10.97%-7.44%-6.26%$14,782-6.22%$14,488-5.98%$14,682
20159-2.47%-3.20%-3.38%-6.81%3.05%-4.08%-5.61%-2.32%-2.99%-2.88%-0.51%0.43%-3.12%$14,320-2.99%$14,055-4.28%$14,054
2015108.45%7.60%5.94%7.79%5.76%6.73%6.24%4.70%5.38%5.29%6.17%5.06%6.46%$15,2456.36%$14,9486.74%$15,002
2015110.43%0.47%2.72%2.20%-0.63%-0.76%-1.71%0.21%0.36%-2.30%-0.89%-2.33%0.19%$15,2740.21%$14,9800.29%$15,045
201512-1.74%-2.24%-4.86%-6.92%1.82%-2.14%-2.75%-1.08%0.19%-3.44%-0.71%-0.76%-2.39%$14,910-2.59%$14,592-2.79%$14,625
20161-4.91%-5.34%-6.11%-9.94%-3.44%-5.53%-6.75%-6.70%-5.59%-5.75%-6.52%-4.77%-6.13%$13,995-6.15%$13,695-6.94%$13,610
20162-0.21%0.10%1.10%4.52%-0.36%-3.08%-3.55%0.46%-1.09%-0.32%0.99%0.95%0.00%$13,9960.25%$13,7290.28%$13,649
201636.87%7.25%8.50%12.00%10.48%7.20%7.22%7.30%8.70%12.72%9.27%9.10%8.61%$15,2018.73%$14,9278.94%$14,868
201640.35%1.84%0.91%4.68%-2.35%2.31%3.23%3.02%1.00%1.01%0.90%2.09%1.80%$15,4751.94%$15,2162.58%$15,251
201651.75%1.62%1.65%-5.60%2.25%-0.30%-1.08%-0.36%1.46%-3.24%-3.36%-1.70%-0.41%$15,411-0.59%$15,127-1.33%$15,048
201660.32%0.81%0.46%0.08%6.92%-2.04%-4.02%-2.04%-5.40%4.93%4.15%1.59%-0.16%$15,3860.41%$15,189-1.23%$14,863
201673.68%2.91%5.29%6.85%4.26%4.16%4.12%4.96%6.33%5.14%5.34%4.03%4.75%$16,1174.67%$15,8995.06%$15,615
201680.12%0.76%1.53%1.05%-3.76%0.41%2.06%-0.52%0.20%0.78%1.81%-0.55%0.46%$16,1910.20%$15,9311.07%$15,783
201690.04%-0.14%0.37%2.50%-1.82%1.65%1.16%2.90%3.31%2.05%2.25%1.12%1.27%$16,3961.31%$16,1401.71%$16,053
201610-1.79%-1.54%-4.48%-3.77%-5.74%-2.41%0.13%-2.95%-2.07%0.32%-0.37%-4.84%-2.52%$15,983-2.76%$15,695-1.80%$15,764
2016113.73%5.67%12.79%17.61%-1.68%-1.51%-0.58%-2.17%-1.36%-4.05%-4.26%-3.89%3.40%$16,5263.28%$16,2095.13%$16,572
2016122.07%2.50%3.34%2.58%4.82%2.45%3.87%1.07%2.07%-0.74%-1.49%-0.28%2.17%$16,8851.94%$16,5242.30%$16,953
201711.78%0.71%-0.64%-3.03%-0.19%3.67%2.86%4.80%4.48%5.76%6.62%3.35%2.00%$17,2242.08%$16,8681.55%$17,216
201723.88%3.49%1.67%-0.18%3.51%1.06%0.35%1.63%2.30%2.25%3.94%2.67%2.07%$17,5812.00%$17,2051.78%$17,522
201730.13%-1.04%-0.12%-2.75%-2.42%3.06%3.14%2.57%2.19%2.84%3.09%1.25%0.82%$17,7250.81%$17,3440.50%$17,611
201741.04%-0.17%0.88%-0.85%0.24%2.21%2.17%2.76%3.60%1.56%1.74%2.25%1.39%$17,9721.31%$17,5711.16%$17,815
201751.40%-0.10%-2.11%-5.83%-0.72%3.41%2.14%2.08%2.68%0.99%-0.26%3.64%0.50%$18,0620.54%$17,665-0.33%$17,757
201760.63%1.62%3.01%3.81%2.23%0.64%0.77%1.19%1.25%0.85%1.69%0.15%1.52%$18,3371.49%$17,9281.82%$18,081
Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2Portfolio #3
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.84%0.82%0.83%
Mean Return (annualized)10.58%10.24%10.45%
Compound Return (monthly)0.77%0.74%0.75%
Compound Return (annualized)9.65%9.27%9.41%
Volatility (monthly)3.78%3.84%3.98%
Volatility (annualized)13.16%13.38%13.89%
Max. Drawdown-22.24%-22.96%-22.59%
Market Correlation0.950.940.94
Beta(*)1.081.091.13
Alpha (annualized)-4.37%-4.87%-5.15%
R289.83%89.21%88.17%
Sharpe Ratio0.760.720.71
Sortino Ratio1.231.151.15
Treynor Ratio (%)9.308.898.79
Diversification Ratio1.141.131.13
Skewness-0.27-0.29-0.21
Excess Kurtosis1.381.720.68
Historical Value-at-Risk (95%)-6.26%-6.22%-6.94%
Delta Normal Value-at-Risk (95%)-6.23%-6.33%-6.58%
Conditional Value-at-Risk (95%)-9.14%-9.50%-9.27%
Positive Periods51 out of 79 (64.56%)51 out of 79 (64.56%)48 out of 79 (60.76%)
Gain/Loss Ratio1.000.981.11

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1May 2011Sep 20115 monthsDec 20121 year 8 months-22.24%
2Jun 2015Jan 20168 monthsSep 20161 year 4 months-13.95%
3Sep 2014Jan 20155 monthsFeb 20156 months-4.87%
4Jan 2014Jan 20141 monthFeb 20142 months-3.86%
5Aug 2013Aug 20131 monthSep 20132 months-2.76%
6Oct 2016Oct 20161 monthNov 20162 months-2.52%
7May 2013Jun 20132 monthsJul 20133 months-2.49%
8Jul 2014Jul 20141 monthAug 20142 months-2.29%
9Mar 2015Mar 20151 monthApr 20152 months-0.65%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1May 2011Sep 20115 monthsDec 20121 year 8 months-22.96%
2May 2015Jan 20169 monthsSep 20161 year 5 months-14.35%
3Sep 2014Sep 20141 monthFeb 20156 months-4.97%
4Jan 2014Jan 20141 monthFeb 20142 months-4.01%
5Aug 2013Aug 20131 monthSep 20132 months-2.86%
6Oct 2016Oct 20161 monthNov 20162 months-2.76%
7May 2013Jun 20132 monthsJul 20133 months-2.42%
8Jul 2014Jul 20141 monthAug 20142 months-2.31%
9Mar 2015Mar 20151 monthApr 20152 months-0.68%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1May 2011Sep 20115 monthsDec 20121 year 8 months-22.59%
2Jun 2015Jan 20168 monthsNov 20161 year 6 months-16.54%
3Jul 2014Jan 20157 monthsApr 201510 months-7.90%
4Jan 2014Jan 20141 monthFeb 20142 months-4.15%
5Aug 2013Aug 20131 monthSep 20132 months-2.79%
6Jun 2013Jun 20131 monthJul 20132 months-2.48%
7May 2017May 20171 monthJun 20172 months-0.33%
8Apr 2014Apr 20141 monthMay 20142 months-0.14%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdDevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VOOVanguard S&P 500 ETF13.91%11.18%32.39%1.31%-16.18%1.222.241.00
VONVVanguard Russell 1000 Value ETF12.83%11.77%32.71%-3.82%-18.75%1.081.920.98
VIOOVanguard S&P Small-Cap 600 ETF14.17%15.14%41.28%-2.15%-21.94%0.951.720.90
RZVGuggenheim S&P Smallcap 600 Pure Value ETF10.79%20.25%45.27%-12.77%-24.59%0.601.020.83
VNQVanguard REIT ETF11.37%15.38%30.36%2.31%-17.36%0.771.310.60
VEAVanguard FTSE Developed Markets ETF6.54%14.35%21.83%-12.30%-23.95%0.510.770.85
EFViShares MSCI EAFE Value ETF5.50%15.21%21.84%-12.42%-25.61%0.420.640.82
VSSVanguard FTSE All-World ex-US Small-Cap ETF5.55%15.08%20.73%-19.63%-26.81%0.430.640.82
DLSWisdomTree International SmallCap Fund9.97%13.87%26.37%-12.32%-19.50%0.751.250.77
VWOVanguard FTSE Emerging Markets ETF1.11%18.30%19.20%-18.76%-30.74%0.150.210.74
EWXSPDR S&P Emerging Markets Small Cap ETF0.61%18.56%26.64%-30.14%-31.68%0.120.170.74
VNQIVanguard Global ex-U.S. Real Estate ETF6.64%15.58%43.03%-16.91%-22.42%0.490.720.70

Monthly Correlations

Correlations for the portfolio assets
TickerNameVOOVONVVIOORZVVNQVEAEFVVSSDLSVWOEWXVNQIPF #1PF #2PF #3
VOOVanguard S&P 500 ETF-0.980.870.790.600.850.830.800.770.730.730.690.940.930.93
VONVVanguard Russell 1000 Value ETF0.98-0.900.840.580.810.800.770.720.710.700.650.930.920.93
VIOOVanguard S&P Small-Cap 600 ETF0.870.90-0.930.530.700.670.700.650.640.630.560.880.880.89
RZVGuggenheim S&P Smallcap 600 Pure Value ETF0.790.840.93-0.380.640.630.680.620.630.630.510.840.840.89
VNQVanguard REIT ETF0.600.580.530.38-0.560.500.510.480.540.510.670.620.620.53
VEAVanguard FTSE Developed Markets ETF0.850.810.700.640.56-0.980.940.930.830.810.870.930.930.91
EFViShares MSCI EAFE Value ETF0.830.800.670.630.500.98-0.900.910.780.760.810.910.890.90
VSSVanguard FTSE All-World ex-US Small-Cap ETF0.800.770.700.680.510.940.90-0.950.890.910.880.930.930.91
DLSWisdomTree International SmallCap Fund0.770.720.650.620.480.930.910.95-0.800.800.830.890.880.88
VWOVanguard FTSE Emerging Markets ETF0.730.710.640.630.540.830.780.890.80-0.950.890.870.880.83
EWXSPDR S&P Emerging Markets Small Cap ETF0.730.700.630.630.510.810.760.910.800.95-0.860.860.870.83
VNQIVanguard Global ex-U.S. Real Estate ETF0.690.650.560.510.670.870.810.880.830.890.86-0.840.840.78

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2PF #3
VOOVanguard S&P 500 ETF8.95%8.54%
VONVVanguard Russell 1000 Value ETF9.25%8.90%19.59%
VIOOVanguard S&P Small-Cap 600 ETF11.30%10.94%
RZVGuggenheim S&P Smallcap 600 Pure Value ETF14.59%15.31%32.15%
VNQVanguard REIT ETF3.59%3.54%
VEAVanguard FTSE Developed Markets ETF9.14%14.87%
EFViShares MSCI EAFE Value ETF9.41%19.63%
VSSVanguard FTSE All-World ex-US Small-Cap ETF9.58%21.00%
DLSWisdomTree International SmallCap Fund8.43%17.55%
VWOVanguard FTSE Emerging Markets ETF5.41%12.01%
EWXSPDR S&P Emerging Markets Small Cap ETF5.43%11.08%
VNQIVanguard Global ex-U.S. Real Estate ETF4.93%4.88%

Annual Asset Returns