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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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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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 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
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 PowerShares S&P SmCp 600 Pure Val ETF 11.30%
VNQ Vanguard Real Estate ETF 5.00%
VEA Vanguard FTSE Developed Markets ETF 9.00%
EFV iShares MSCI EAFE Value ETF 9.00%
VSS Vanguard FTSE All-Wld ex-US SmCp ETF 9.00%
DLS WisdomTree International SmallCp Div ETF 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-US Real Est ETF 5.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
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 PowerShares S&P SmCp 600 Pure Val ETF 12.00%
VNQ Vanguard Real Estate ETF 5.00%
VEA Vanguard FTSE Developed Markets ETF 15.00%
VSS Vanguard FTSE All-Wld ex-US SmCp ETF 20.00%
VWO Vanguard FTSE Emerging Markets ETF 10.00%
VNQI Vanguard Global ex-US Real Est ETF 5.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VONV Vanguard Russell 1000 Value ETF 25.00%
RZV PowerShares S&P SmCp 600 Pure Val ETF 25.00%
EFV iShares MSCI EAFE Value ETF 20.00%
DLS WisdomTree International SmallCp Div ETF 20.00%
EWX SPDR S&P Emerging Markets Small Cap ETF 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,287 10.50% 12.74%24.96%-8.29%-22.24% 0.841.360.95
Portfolio 2$10,000$19,896 10.20% 12.95%23.47%-8.70%-22.96% 0.811.290.94
Portfolio 3$10,000$19,997 10.28% 13.46%29.33%-9.87%-22.59% 0.781.280.94
   
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
  • 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 received dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard S&P 500 ETF (VOO)Vanguard Russell 1000 Value ETF (VONV)Vanguard S&P Small-Cap 600 ETF (VIOO)PowerShares S&P SmCp 600 Pure Val ETF (RZV)Vanguard Real Estate ETF (VNQ)Vanguard FTSE Developed Markets ETF (VEA)iShares MSCI EAFE Value ETF (EFV)Vanguard FTSE All-Wld ex-US SmCp ETF (VSS)WisdomTree International SmallCp Div ETF (DLS)Vanguard FTSE Emerging Markets ETF (VWO)SPDR S&P Emerging Markets Small Cap ETF (EWX)Vanguard Global ex-US Real Est ETF (VNQI)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20100.17%8.38%8.42%8.95%$10,838$10,842$10,8956.92%7.62%8.70%10.44%4.54%8.44%8.71%9.90%10.71%7.56%5.48%7.58%
20112.96%-8.29%-8.70%-9.87%$9,940$9,899$9,8191.89%0.36%0.69%-7.99%8.62%-12.30%-12.42%-19.63%-12.32%-18.76%-30.14%-16.91%
20121.74%20.31%19.74%20.78%$11,959$11,853$11,86016.00%16.72%15.33%21.44%17.63%18.56%18.83%20.73%24.05%19.20%26.64%43.03%
20131.50%24.96%23.47%29.33%$14,943$14,634$15,33832.39%32.71%41.28%45.27%2.31%21.83%21.84%16.60%26.37%-4.92%1.95%2.32%
20140.76%3.05%3.57%0.63%$15,399$15,158$15,43513.55%13.18%5.40%2.72%30.36%-5.98%-6.80%-5.06%-8.99%-0.07%-1.87%2.22%
20150.73%-3.10%-3.66%-5.07%$14,922$14,603$14,6521.31%-3.82%-2.15%-12.77%2.42%-0.38%-5.86%-0.01%7.46%-15.81%-12.41%-1.84%
20162.07%13.25%13.24%15.92%$16,899$16,537$16,98512.17%17.09%26.77%33.95%8.60%2.67%5.05%4.26%6.78%12.21%7.94%2.01%
20172.11%20.05%20.31%17.73%$20,287$19,896$19,99721.77%13.59%13.17%1.25%4.91%26.42%21.25%30.60%31.83%31.48%34.10%26.93%
Annual returns for 2010 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard S&P 500 ETF (VOO)Vanguard Russell 1000 Value ETF (VONV)Vanguard S&P Small-Cap 600 ETF (VIOO)PowerShares S&P SmCp 600 Pure Val ETF (RZV)Vanguard Real Estate ETF (VNQ)Vanguard FTSE Developed Markets ETF (VEA)iShares MSCI EAFE Value ETF (EFV)Vanguard FTSE All-Wld ex-US SmCp ETF (VSS)WisdomTree International SmallCp Div ETF (DLS)Vanguard FTSE Emerging Markets ETF (VWO)SPDR S&P Emerging Markets Small Cap ETF (EWX)Vanguard Global ex-US Real Est ETF (VNQI)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2010128.38%8.42%8.95%$10,838$10,842$10,8956.92%7.62%8.70%10.44%4.54%8.44%8.71%9.90%10.71%7.56%5.48%7.58%
201110.39%0.05%0.20%$10,881$10,847$10,9162.22%1.80%-0.23%-2.51%3.25%2.16%4.12%-0.76%0.73%-3.45%-5.96%-1.03%
201123.01%3.01%3.10%$11,208$11,174$11,2553.47%3.84%3.89%4.92%4.71%3.66%3.75%1.74%2.19%-0.17%-3.06%1.14%
201130.41%0.87%0.11%$11,253$11,271$11,2670.00%0.64%2.95%1.46%-1.62%-2.50%-3.34%1.34%-0.21%5.47%3.64%-0.12%
201143.79%3.72%3.32%$11,679$11,690$11,6412.94%2.51%2.56%0.37%5.75%6.19%6.02%5.15%4.92%3.37%4.23%4.47%
20115-1.71%-1.60%-1.95%$11,480$11,503$11,414-1.17%-1.50%-1.65%-0.42%1.37%-2.70%-3.63%-2.12%-2.77%-2.94%-1.66%-0.42%
20116-1.66%-1.74%-1.71%$11,290$11,303$11,219-1.68%-1.60%-1.08%-2.78%-3.30%-1.22%-1.01%-2.08%-1.46%-1.00%-1.24%-1.29%
20117-1.92%-1.77%-2.33%$11,073$11,102$10,957-2.06%-2.84%-3.23%-2.20%1.56%-2.39%-3.32%-1.41%-1.76%-0.62%-0.29%0.17%
20118-7.79%-8.03%-8.21%$10,211$10,211$10,057-5.52%-6.78%-7.74%-10.30%-5.62%-8.58%-9.31%-8.95%-5.34%-9.09%-10.43%-7.01%
20119-11.05%-11.80%-10.40%$9,082$9,006$9,011-6.79%-7.45%-10.12%-11.21%-10.85%-11.33%-9.61%-14.93%-9.65%-18.44%-20.01%-15.27%
20111011.72%12.32%11.16%$10,146$10,116$10,01710.74%11.27%15.80%16.82%14.29%9.76%9.26%9.32%5.79%15.91%12.91%10.95%
201111-1.70%-1.70%-1.57%$9,974$9,944$9,860-0.30%-0.51%-0.95%-1.20%-3.80%-2.09%-2.03%-2.83%-1.76%-1.71%-4.52%-3.08%
201112-0.34%-0.45%-0.41%$9,940$9,899$9,8191.12%2.31%2.75%1.49%4.85%-2.12%-2.24%-3.92%-2.76%-4.17%-5.15%-4.64%
201217.06%7.22%7.36%$10,641$10,614$10,5424.47%3.62%5.71%9.89%6.38%5.62%4.89%9.01%8.00%10.78%14.05%9.48%
201224.25%4.32%4.11%$11,093$11,072$10,9764.28%3.70%3.18%1.92%-1.15%4.88%5.07%6.42%3.94%5.43%8.88%6.91%
201231.16%0.86%1.25%$11,222$11,167$11,1133.30%3.21%2.30%1.73%5.19%0.33%-0.13%-1.13%1.45%-2.60%-1.96%-1.32%
20124-1.56%-1.39%-2.48%$11,046$11,013$10,838-0.64%-1.37%-1.61%-3.20%2.86%-2.38%-3.30%-1.37%-1.86%-2.09%-2.98%1.87%
20125-8.57%-8.67%-9.21%$10,100$10,058$9,840-6.00%-5.60%-6.10%-9.93%-4.51%-11.17%-11.66%-10.99%-10.01%-10.67%-9.92%-7.45%
201265.29%5.13%5.58%$10,634$10,573$10,3894.14%4.33%3.70%6.21%5.52%6.98%9.01%4.19%3.63%5.02%4.77%7.85%
201270.13%0.28%-0.51%$10,648$10,603$10,3371.20%1.55%-0.71%-2.30%2.00%0.25%-0.38%0.00%-0.79%0.20%-0.96%2.93%
201283.40%3.12%4.33%$11,010$10,934$10,7842.51%2.41%3.98%7.30%-0.01%3.29%4.26%3.11%4.32%0.25%2.30%3.15%
201293.29%3.49%3.92%$11,372$11,315$11,2072.55%2.93%2.52%5.37%-1.86%2.64%2.97%5.11%3.59%5.31%5.26%2.79%
201210-0.77%-0.91%-0.97%$11,285$11,212$11,099-1.96%-0.46%-2.45%-4.48%-0.91%1.06%1.52%-0.17%1.57%-0.55%-2.92%2.84%
2012111.75%1.70%2.26%$11,483$11,404$11,3500.57%-0.13%1.08%5.19%-0.26%2.71%1.97%1.33%2.17%1.28%1.90%2.63%
2012124.15%3.94%4.49%$11,959$11,853$11,8601.02%1.82%3.36%3.70%3.72%4.24%4.70%4.97%6.98%7.06%7.70%5.74%
201314.49%4.13%5.26%$12,496$12,343$12,4835.17%6.87%5.86%5.90%3.74%3.83%4.81%3.03%4.24%0.07%2.53%1.62%
201320.20%0.19%0.17%$12,522$12,366$12,5051.33%1.14%1.26%1.33%1.22%-1.15%-2.67%-0.23%0.64%-2.36%-0.50%-0.09%
201332.31%2.21%2.17%$12,810$12,640$12,7763.61%3.97%4.22%2.64%2.87%1.19%0.24%1.10%1.79%-1.27%0.80%2.70%
201342.66%2.31%2.30%$13,152$12,931$13,0702.09%1.57%-0.38%-1.37%6.73%5.22%6.27%2.47%4.19%2.00%2.31%6.87%
20135-0.07%-0.01%1.40%$13,142$12,930$13,2522.32%2.49%4.69%9.46%-5.98%-2.97%-3.35%-2.50%-3.76%-5.07%-1.69%-9.98%
20136-2.42%-2.41%-2.48%$12,824$12,619$12,923-1.50%-0.93%-0.31%-0.96%-1.98%-2.77%-3.14%-4.53%-3.42%-5.33%-7.98%-3.07%
201374.98%4.82%5.52%$13,463$13,227$13,6365.30%5.72%6.74%6.24%0.90%5.20%5.89%5.18%5.72%0.70%1.45%1.20%
20138-2.76%-2.86%-2.79%$13,092$12,849$13,255-3.08%-4.18%-2.45%-4.00%-6.98%-1.60%-1.85%-1.00%0.49%-3.43%-4.05%-2.81%
201396.29%6.16%6.59%$13,916$13,641$14,1283.39%2.65%6.25%7.74%3.49%7.85%8.21%7.32%8.86%7.27%6.19%8.21%
2013103.82%3.78%3.86%$14,447$14,157$14,6744.47%4.76%3.91%3.20%4.52%3.21%3.99%3.57%3.48%4.34%3.89%1.99%
2013111.66%1.68%2.54%$14,686$14,394$15,0473.00%2.73%4.06%7.04%-5.25%0.66%0.44%-0.52%-0.43%-0.93%-0.66%-2.68%
2013121.75%1.67%1.94%$14,943$14,634$15,3382.64%2.32%1.66%1.60%0.10%1.90%1.95%2.17%2.55%-0.28%0.41%-0.37%
20141-3.86%-4.01%-4.15%$14,367$14,048$14,702-3.53%-3.62%-4.09%-4.82%4.28%-5.21%-4.86%-2.59%-2.29%-8.43%-6.12%-5.32%
201425.14%5.18%5.18%$15,105$14,776$15,4644.57%4.23%4.48%5.04%5.07%5.95%6.17%7.17%5.42%3.24%5.46%3.97%
201430.95%0.94%1.33%$15,248$14,915$15,6690.88%2.57%0.70%1.32%0.49%-0.37%-0.35%-0.56%0.54%4.62%3.24%0.82%
201440.26%0.38%-0.14%$15,288$14,971$15,6470.72%0.81%-2.81%-2.49%3.29%1.57%2.48%1.02%-0.80%0.89%-0.53%2.26%
201451.65%1.67%1.29%$15,541$15,221$15,8492.29%1.50%0.32%0.07%2.40%1.77%1.19%1.33%1.44%3.10%3.62%4.67%
201462.30%2.49%2.27%$15,898$15,600$16,2092.09%2.49%4.59%3.99%1.13%1.04%1.11%2.31%0.51%3.17%3.50%0.93%
20147-2.29%-2.31%-2.62%$15,534$15,241$15,784-1.38%-1.57%-5.48%-5.39%0.08%-2.37%-2.36%-3.02%-1.65%1.37%-1.09%1.03%
201482.41%2.70%2.21%$15,907$15,652$16,1343.97%3.61%4.22%4.46%3.04%0.26%-0.35%1.46%0.08%3.84%2.69%0.26%
20149-4.84%-4.97%-4.92%$15,138$14,874$15,340-1.38%-2.03%-5.08%-6.83%-6.04%-4.16%-4.07%-6.27%-6.63%-7.18%-6.11%-6.58%
2014102.53%2.66%1.79%$15,521$15,270$15,6152.40%2.16%6.82%6.78%9.94%-0.35%-0.79%-1.49%-0.44%2.23%-1.52%4.43%
2014110.05%0.14%-0.31%$15,529$15,292$15,5662.76%2.05%0.04%-0.14%2.00%0.00%-0.76%-1.89%-2.97%-1.10%-1.27%-1.13%
201412-0.84%-0.88%-0.84%$15,399$15,158$15,435-0.32%0.55%2.50%1.78%1.88%-3.77%-3.92%-2.02%-2.14%-4.69%-2.96%-2.41%
20151-1.65%-1.70%-3.10%$15,144$14,899$14,956-2.87%-3.86%-3.60%-8.39%6.85%0.71%-0.04%-0.62%0.32%-0.20%-0.99%2.65%
201525.56%5.51%6.57%$15,986$15,720$15,9385.58%4.78%6.16%9.29%-3.67%6.16%6.43%6.28%7.31%4.66%3.37%3.68%
20153-0.65%-0.68%-0.81%$15,882$15,613$15,809-1.57%-1.39%1.71%0.82%1.74%-1.22%-1.86%-1.34%-0.71%-2.05%-1.39%-1.18%
201542.34%2.50%3.02%$16,254$16,003$16,2861.00%0.89%-2.46%1.24%-5.85%3.87%3.94%5.58%5.30%7.41%5.99%5.08%
201550.15%-0.12%0.31%$16,277$15,983$16,3371.25%1.45%1.50%-0.76%-0.30%-0.05%-0.22%0.18%0.69%-3.55%0.48%-2.33%
20156-2.11%-1.90%-2.29%$15,934$15,679$15,962-1.95%-2.30%1.14%0.00%-4.68%-2.91%-3.23%-2.27%-2.69%-2.54%-4.98%-3.30%
20157-0.95%-1.39%-1.98%$15,783$15,461$15,6462.18%0.48%-0.94%-6.75%5.77%1.46%1.41%-2.92%-0.03%-6.26%-7.33%-0.65%
20158-6.26%-6.22%-5.98%$14,794$14,500$14,710-6.14%-5.81%-5.27%-3.47%-6.29%-7.23%-7.59%-5.68%-5.17%-9.86%-10.97%-7.44%
20159-3.12%-2.99%-4.28%$14,332$14,066$14,081-2.47%-3.20%-3.38%-6.81%3.05%-4.08%-5.61%-2.32%-2.99%-2.88%-0.51%0.43%
2015106.46%6.36%6.74%$15,258$14,960$15,0308.45%7.60%5.94%7.79%5.76%6.73%6.24%4.70%5.38%5.29%6.17%5.06%
2015110.19%0.21%0.29%$15,287$14,991$15,0730.43%0.47%2.72%2.20%-0.63%-0.76%-1.71%0.21%0.36%-2.30%-0.89%-2.33%
201512-2.39%-2.59%-2.79%$14,922$14,603$14,652-1.74%-2.24%-4.86%-6.92%1.82%-2.14%-2.75%-1.08%0.19%-3.44%-0.71%-0.76%
20161-6.13%-6.15%-6.94%$14,007$13,706$13,635-4.91%-5.34%-6.11%-9.94%-3.44%-5.53%-6.75%-6.70%-5.59%-5.75%-6.52%-4.77%
201620.00%0.25%0.28%$14,007$13,740$13,674-0.21%0.10%1.10%4.52%-0.36%-3.08%-3.55%0.46%-1.09%-0.32%0.99%0.95%
201638.61%8.73%8.94%$15,213$14,939$14,8966.87%7.25%8.50%12.00%10.48%7.20%7.22%7.30%8.70%12.72%9.27%9.10%
201641.80%1.94%2.58%$15,487$15,228$15,2800.35%1.84%0.91%4.68%-2.35%2.31%3.23%3.02%1.00%1.01%0.90%2.09%
20165-0.41%-0.59%-1.33%$15,424$15,139$15,0761.75%1.62%1.65%-5.60%2.25%-0.30%-1.08%-0.36%1.46%-3.24%-3.36%-1.70%
20166-0.16%0.41%-1.23%$15,398$15,201$14,8910.32%0.81%0.46%0.08%6.92%-2.04%-4.02%-2.04%-5.40%4.93%4.15%1.59%
201674.75%4.67%5.06%$16,130$15,912$15,6443.68%2.91%5.29%6.85%4.26%4.16%4.12%4.96%6.33%5.14%5.34%4.03%
201680.46%0.20%1.07%$16,204$15,944$15,8120.12%0.76%1.53%1.05%-3.76%0.41%2.06%-0.52%0.20%0.78%1.81%-0.55%
201691.27%1.31%1.71%$16,409$16,153$16,0820.04%-0.14%0.37%2.50%-1.82%1.65%1.16%2.90%3.31%2.05%2.25%1.12%
201610-2.52%-2.76%-1.80%$15,996$15,707$15,793-1.79%-1.54%-4.48%-3.77%-5.74%-2.41%0.13%-2.95%-2.07%0.32%-0.37%-4.84%
2016113.40%3.28%5.13%$16,540$16,222$16,6033.73%5.67%12.79%17.61%-1.68%-1.51%-0.58%-2.17%-1.36%-4.05%-4.26%-3.89%
2016122.17%1.94%2.30%$16,899$16,537$16,9852.07%2.50%3.34%2.58%4.82%2.45%3.87%1.07%2.07%-0.74%-1.49%-0.28%
201712.00%2.08%1.55%$17,238$16,882$17,2481.78%0.71%-0.64%-3.03%-0.19%3.67%2.86%4.80%4.48%5.76%6.62%3.35%
201722.07%2.00%1.78%$17,595$17,219$17,5553.88%3.49%1.67%-0.18%3.51%1.06%0.35%1.63%2.30%2.25%3.94%2.67%
201730.82%0.81%0.50%$17,739$17,358$17,6440.13%-1.04%-0.12%-2.75%-2.42%3.06%3.14%2.57%2.19%2.84%3.09%1.25%
201741.39%1.31%1.16%$17,986$17,585$17,8481.04%-0.17%0.88%-0.85%0.24%2.21%2.17%2.76%3.60%1.56%1.74%2.25%
201750.50%0.54%-0.33%$18,077$17,679$17,7901.40%-0.10%-2.11%-5.83%-0.72%3.41%2.14%2.08%2.68%0.99%-0.26%3.64%
201761.52%1.49%1.82%$18,352$17,942$18,1140.63%1.62%3.01%3.81%2.23%0.64%0.77%1.19%1.25%0.85%1.69%0.15%
201772.23%2.31%1.69%$18,761$18,357$18,4202.06%1.32%0.97%-2.23%1.24%2.88%3.08%3.62%3.83%5.34%3.19%4.09%
20178-0.13%0.03%-0.43%$18,736$18,362$18,3420.29%-1.17%-2.61%-2.12%-0.26%0.02%-0.53%0.94%0.28%3.00%3.07%1.26%
201793.33%3.18%4.21%$19,360$18,946$19,1142.04%2.93%7.89%11.03%-0.11%2.52%3.00%2.05%2.88%-0.49%-0.18%0.50%
2017101.27%1.36%1.14%$19,605$19,204$19,3332.33%0.75%0.89%0.97%-1.07%1.77%0.71%1.48%1.35%2.43%2.70%0.42%
2017111.95%1.96%1.98%$19,986$19,580$19,7153.06%3.05%3.62%4.50%2.66%0.86%0.75%0.87%0.35%-0.34%0.43%1.39%
2017121.51%1.61%1.43%$20,287$19,896$19,9971.28%1.55%-0.60%-1.04%-0.14%1.65%1.08%3.09%2.86%3.70%3.86%3.19%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value9.41%6.96%13.15%
Large-cap Growth3.88%4.85%0.00%
Mid-cap Value7.61%8.64%0.00%
Mid-cap Growth0.32%1.06%0.00%
Small-cap Value25.28%25.76%38.12%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets36.71%31.27%38.15%
Emerging Markets14.00%18.88%10.58%
Intermediate Treasuries0.00%0.00%0.00%
Long Treasuries0.00%0.00%0.00%
Corporate Bonds2.79%2.58%0.00%
Cash0.00%0.00%0.00%
R Squared99.27%99.28%97.70%
Style analysis is based on monthly returns from Dec 2010 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VOOVanguard S&P 500 ETFLarge Blend11.30%$1,5928.93%Asset Allocation, Capitalization, Sector
VONVVanguard Russell 1000 Value ETFLarge Value11.20%$1,4119.24%Asset Allocation, Capitalization, Sector
VIOOVanguard S&P Small-Cap 600 ETFSmall Blend11.20%$1,57911.40%Asset Allocation, Capitalization, Sector
RZVPowerShares S&P SmCp 600 Pure Val ETFSmall Value11.30%$1,29214.70%Asset Allocation, Capitalization, Sector
VNQVanguard Real Estate ETFReal Estate5.00%$5223.55%Asset Allocation, Capitalization, Sector
VEAVanguard FTSE Developed Markets ETFForeign Large Blend9.00%$7099.12%Asset Allocation, Capitalization, Sector
EFViShares MSCI EAFE Value ETFForeign Large Value9.00%$5799.40%Asset Allocation, Capitalization, Sector
VSSVanguard FTSE All-Wld ex-US SmCp ETFForeign Small/Mid Blend9.00%$7169.56%Asset Allocation, Capitalization, Sector
DLSWisdomTree International SmallCp Div ETFForeign Small/Mid Value9.00%$1,0338.43%Asset Allocation, Capitalization, Sector
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts4.50%$2135.37%Asset Allocation, Capitalization, Sector
EWXSPDR S&P Emerging Markets Small Cap ETFDiversified Emerging Mkts4.50%$2215.39%Asset Allocation, Capitalization, Sector
VNQIVanguard Global ex-US Real Est ETFGlobal Real Estate5.00%$4194.91%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VOOVanguard S&P 500 ETFLarge Blend11.00%$1,5278.52%Asset Allocation, Capitalization, Sector
VONVVanguard Russell 1000 Value ETFLarge Value11.00%$1,3678.89%Asset Allocation, Capitalization, Sector
VIOOVanguard S&P Small-Cap 600 ETFSmall Blend11.00%$1,53011.02%Asset Allocation, Capitalization, Sector
RZVPowerShares S&P SmCp 600 Pure Val ETFSmall Value12.00%$1,35515.41%Asset Allocation, Capitalization, Sector
VNQVanguard Real Estate ETFReal Estate5.00%$5143.51%Asset Allocation, Capitalization, Sector
VEAVanguard FTSE Developed Markets ETFForeign Large Blend15.00%$1,16414.85%Asset Allocation, Capitalization, Sector
VSSVanguard FTSE All-Wld ex-US SmCp ETFForeign Small/Mid Blend20.00%$1,56520.98%Asset Allocation, Capitalization, Sector
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts10.00%$46211.95%Asset Allocation, Capitalization, Sector
VNQIVanguard Global ex-US Real Est ETFGlobal Real Estate5.00%$4134.86%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VONVVanguard Russell 1000 Value ETFLarge Value25.00%$3,14119.54%Asset Allocation, Capitalization, Sector
RZVPowerShares S&P SmCp 600 Pure Val ETFSmall Value25.00%$2,82032.48%Asset Allocation, Capitalization, Sector
EFViShares MSCI EAFE Value ETFForeign Large Value20.00%$1,27219.55%Asset Allocation, Capitalization, Sector
DLSWisdomTree International SmallCp Div ETFForeign Small/Mid Value20.00%$2,27817.48%Asset Allocation, Capitalization, Sector
EWXSPDR S&P Emerging Markets Small Cap ETFDiversified Emerging Mkts10.00%$48610.94%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/03/2018. © 2018 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)0.90%0.88%0.89%
Arithmetic Mean (annualized)11.39%11.11%11.26%
Geometric Mean (monthly)0.84%0.81%0.82%
Geometric Mean (annualized)10.50%10.20%10.28%
Volatility (monthly)3.68%3.74%3.89%
Volatility (annualized)12.74%12.95%13.46%
Downside Deviation (monthly)2.27%2.33%2.38%
Max. Drawdown-22.24%-22.96%-22.59%
US Market Correlation0.950.940.94
Beta(*)1.081.091.12
Alpha (annualized)-4.22%-4.66%-5.03%
R289.63%89.01%87.86%
Sharpe Ratio0.840.810.78
Sortino Ratio1.361.291.28
Treynor Ratio (%)9.939.589.39
Information Ratio-0.76-0.78-0.67
Diversification Ratio1.151.141.14
Skewness-0.32-0.34-0.26
Excess Kurtosis1.652.010.88
Historical Value-at-Risk (5%)-6.22%-6.20%-6.65%
Analytical Value-at-Risk (5%)-5.14%-5.26%-5.50%
Conditional Value-at-Risk (5%)-8.42%-8.68%-8.69%
Upside Capture Ratio (%)94.5594.1597.72
Downside Capture Ratio (%)122.84124.80131.40
Positive Periods56 out of 85 (65.88%)57 out of 85 (67.06%)53 out of 85 (62.35%)
Gain/Loss Ratio1.010.941.11
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-22.24%
2Jun 2015Jan 20168 monthsSep 20168 months1 year 4 months-13.95%
3Sep 2014Sep 20141 monthFeb 20155 months6 months-4.84%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-3.86%
5Aug 2013Aug 20131 monthSep 20131 month2 months-2.76%
6Oct 2016Oct 20161 monthNov 20161 month2 months-2.52%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.49%
8Jul 2014Jul 20141 monthAug 20141 month2 months-2.29%
9Mar 2015Mar 20151 monthApr 20151 month2 months-0.65%
10Aug 2017Aug 20171 monthSep 20171 month2 months-0.13%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-22.96%
2May 2015Jan 20169 monthsSep 20168 months1 year 5 months-14.35%
3Sep 2014Sep 20141 monthFeb 20155 months6 months-4.97%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-4.01%
5Aug 2013Aug 20131 monthSep 20131 month2 months-2.86%
6Oct 2016Oct 20161 monthNov 20161 month2 months-2.76%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.42%
8Jul 2014Jul 20141 monthAug 20141 month2 months-2.31%
9Mar 2015Mar 20151 monthApr 20151 month2 months-0.68%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-22.59%
2Jun 2015Jan 20168 monthsNov 201610 months1 year 6 months-16.54%
3Jul 2014Jan 20157 monthsApr 20153 months10 months-7.73%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-4.15%
5Aug 2013Aug 20131 monthSep 20131 month2 months-2.79%
6Jun 2013Jun 20131 monthJul 20131 month2 months-2.48%
7Aug 2017Aug 20171 monthSep 20171 month2 months-0.43%
8May 2017May 20171 monthJun 20171 month2 months-0.33%
9Apr 2014Apr 20141 monthMay 20141 month2 months-0.14%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VOOVanguard S&P 500 ETF14.62%10.82%32.39%1.31%-16.18%1.312.420.99
VONVVanguard Russell 1000 Value ETF13.30%11.41%32.71%-3.82%-18.75%1.142.030.98
VIOOVanguard S&P Small-Cap 600 ETF14.68%14.92%41.28%-2.15%-21.94%0.991.820.89
RZVPowerShares S&P SmCp 600 Pure Val ETF11.62%20.00%45.27%-12.77%-24.59%0.641.110.81
VNQVanguard Real Estate ETF10.88%14.87%30.36%2.31%-17.36%0.761.290.60
VEAVanguard FTSE Developed Markets ETF7.51%13.88%26.42%-12.30%-23.95%0.580.890.85
EFViShares MSCI EAFE Value ETF6.29%14.73%21.84%-12.42%-25.61%0.480.730.82
VSSVanguard FTSE All-Wld ex-US SmCp ETF6.93%14.62%30.60%-19.63%-26.81%0.520.780.81
DLSWisdomTree International SmallCp Div ETF11.00%13.46%31.83%-12.32%-19.50%0.831.400.77
VWOVanguard FTSE Emerging Markets ETF2.96%17.84%31.48%-18.76%-30.74%0.240.360.73
EWXSPDR S&P Emerging Markets Small Cap ETF2.41%18.03%34.10%-30.14%-31.68%0.210.300.73
VNQIVanguard Global ex-US Real Est ETF7.78%15.10%43.03%-16.91%-22.42%0.560.840.69

Monthly Correlations

Correlations for the portfolio assets
TickerNameVOOVONVVIOORZVVNQVEAEFVVSSDLSVWOEWXVNQIPortfolio 1Portfolio 2Portfolio 3
VOOVanguard S&P 500 ETF-0.970.860.780.600.850.820.800.760.720.720.690.930.930.92
VONVVanguard Russell 1000 Value ETF0.97-0.900.830.580.800.790.760.720.690.690.640.920.920.93
VIOOVanguard S&P Small-Cap 600 ETF0.860.90-0.930.520.690.670.690.640.610.600.540.870.870.88
RZVPowerShares S&P SmCp 600 Pure Val ETF0.780.830.93-0.370.630.630.660.600.590.590.490.830.830.88
VNQVanguard Real Estate ETF0.600.580.520.37-0.550.500.500.470.520.500.660.610.610.53
VEAVanguard FTSE Developed Markets ETF0.850.800.690.630.55-0.980.940.930.830.810.860.930.930.91
EFViShares MSCI EAFE Value ETF0.820.790.670.630.500.98-0.900.910.770.750.810.910.890.90
VSSVanguard FTSE All-Wld ex-US SmCp ETF0.800.760.690.660.500.940.90-0.950.890.900.880.930.930.91
DLSWisdomTree International SmallCp Div ETF0.760.720.640.600.470.930.910.95-0.800.800.830.890.880.88
VWOVanguard FTSE Emerging Markets ETF0.720.690.610.590.520.830.770.890.80-0.950.890.860.870.82
EWXSPDR S&P Emerging Markets Small Cap ETF0.720.690.600.590.500.810.750.900.800.95-0.860.850.860.82
VNQIVanguard Global ex-US Real Est ETF0.690.640.540.490.660.860.810.880.830.890.86-0.830.840.77

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VOOVanguard S&P 500 ETF$1,592$1,527
VONVVanguard Russell 1000 Value ETF$1,411$1,367$3,141
VIOOVanguard S&P Small-Cap 600 ETF$1,579$1,530
RZVPowerShares S&P SmCp 600 Pure Val ETF$1,292$1,355$2,820
VNQVanguard Real Estate ETF$522$514
VEAVanguard FTSE Developed Markets ETF$709$1,164
EFViShares MSCI EAFE Value ETF$579$1,272
VSSVanguard FTSE All-Wld ex-US SmCp ETF$716$1,565
DLSWisdomTree International SmallCp Div ETF$1,033$2,278
VWOVanguard FTSE Emerging Markets ETF$213$462
EWXSPDR S&P Emerging Markets Small Cap ETF$221$486
VNQIVanguard Global ex-US Real Est ETF$419$413

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VOOVanguard S&P 500 ETF8.93%8.52%
VONVVanguard Russell 1000 Value ETF9.24%8.89%19.54%
VIOOVanguard S&P Small-Cap 600 ETF11.40%11.02%
RZVPowerShares S&P SmCp 600 Pure Val ETF14.70%15.41%32.48%
VNQVanguard Real Estate ETF3.55%3.51%
VEAVanguard FTSE Developed Markets ETF9.12%14.85%
EFViShares MSCI EAFE Value ETF9.40%19.55%
VSSVanguard FTSE All-Wld ex-US SmCp ETF9.56%20.98%
DLSWisdomTree International SmallCp Div ETF8.43%17.48%
VWOVanguard FTSE Emerging Markets ETF5.37%11.95%
EWXSPDR S&P Emerging Markets Small Cap ETF5.39%10.94%
VNQIVanguard Global ex-US Real Est ETF4.91%4.86%

Annual Asset Returns