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.
| Ticker | Name | Allocation |
|---|---|---|
| VSTCX | Vanguard Strategic Small-Cap Equity Inv | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VB | Vanguard Small-Cap ETF | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VBR | Vanguard Small-Cap Value ETF | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $27,800 | 7.22% | 20.50% | 41.91% | -36.13% | -57.28% | 0.39 | 0.56 | 0.95 |
| Portfolio 2 | $10,000 | $36,230 | 9.17% | 19.94% | 37.70% | -36.19% | -53.72% | 0.49 | 0.71 | 0.96 |
| Portfolio 3 | $10,000 | $28,957 | 7.52% | 20.27% | 36.55% | -32.20% | -55.89% | 0.41 | 0.58 | 0.94 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | 25.62% | 8.38% | 5.26% | 9.19% | 10.76% | 7.22% | 26.88% | 22.38% |
| Portfolio 2 | 27.16% | 19.16% | 11.22% | 13.63% | 12.00% | 9.17% | 24.62% | 20.30% |
| Portfolio 3 | 29.34% | 5.87% | 4.48% | 9.75% | 10.06% | 7.52% | 25.85% | 21.32% |
| Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Strategic Small-Cap Equity Inv (VSTCX) | Vanguard Small-Cap ETF (VB) | Vanguard Small-Cap Value ETF (VBR) | |||
|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | |||||
| 2006 | 0.15% | 3.65% | $10,365 | 3.04% | $10,304 | 7.40% | $10,740 | 3.65% | 3.04% | 7.40% |
| 2007 | 4.08% | -4.28% | $9,921 | 1.35% | $10,443 | -6.94% | $9,995 | -4.28% | 1.35% | -6.94% |
| 2008 | 0.09% | -36.13% | $6,337 | -36.19% | $6,664 | -32.20% | $6,776 | -36.13% | -36.19% | -32.20% |
| 2009 | 2.72% | 24.11% | $7,865 | 36.59% | $9,102 | 30.92% | $8,872 | 24.11% | 36.59% | 30.92% |
| 2010 | 1.50% | 27.24% | $10,008 | 28.11% | $11,660 | 25.10% | $11,099 | 27.24% | 28.11% | 25.10% |
| 2011 | 2.96% | 0.80% | $10,088 | -2.78% | $11,336 | -4.23% | $10,630 | 0.80% | -2.78% | -4.23% |
| 2012 | 1.74% | 17.30% | $11,833 | 18.29% | $13,409 | 18.98% | $12,647 | 17.30% | 18.29% | 18.98% |
| 2013 | 1.50% | 41.91% | $16,791 | 37.70% | $18,464 | 36.55% | $17,270 | 41.91% | 37.70% | 36.55% |
| 2014 | 0.76% | 10.09% | $18,486 | 7.63% | $19,872 | 10.55% | $19,092 | 10.09% | 7.63% | 10.55% |
| 2015 | 0.73% | -3.11% | $17,910 | -3.76% | $19,126 | -4.76% | $18,183 | -3.11% | -3.76% | -4.76% |
| 2016 | 2.07% | 20.64% | $21,607 | 18.44% | $22,653 | 24.90% | $22,712 | 20.64% | 18.44% | 24.90% |
| 2017 | 2.11% | 10.33% | $23,839 | 16.26% | $26,335 | 11.80% | $25,392 | 10.33% | 16.26% | 11.80% |
| 2018 | 1.91% | -11.92% | $20,999 | -9.33% | $23,879 | -12.26% | $22,280 | -11.92% | -9.33% | -12.26% |
| 2019 | 2.29% | 22.15% | $25,649 | 27.32% | $30,404 | 22.77% | $27,352 | 22.15% | 27.32% | 22.77% |
| 2020 | 1.36% | 8.38% | $27,800 | 19.16% | $36,230 | 5.87% | $28,957 | 8.38% | 19.16% | 5.87% |
| Annual return for 2006 is from 05/01/2006 to 12/31/2006 | ||||||||||
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Portfolio 3 Return | Vanguard Strategic Small-Cap Equity Inv (VSTCX) | Vanguard Small-Cap ETF (VB) | Vanguard Small-Cap Value ETF (VBR) |
|---|---|---|---|---|---|---|---|
| 2006 | 5 | -5.10% | -5.07% | -3.75% | -5.10% | -5.07% | -3.75% |
| 2006 | 6 | 1.63% | 0.03% | 1.00% | 1.63% | 0.03% | 1.00% |
| 2006 | 7 | -3.37% | -3.09% | -1.22% | -3.37% | -3.09% | -1.22% |
| 2006 | 8 | 1.18% | 2.31% | 2.13% | 1.18% | 2.31% | 2.13% |
| 2006 | 9 | 0.95% | 0.84% | 0.89% | 0.95% | 0.84% | 0.89% |
| 2006 | 10 | 5.83% | 5.12% | 4.64% | 5.83% | 5.12% | 4.64% |
| 2006 | 11 | 3.03% | 3.31% | 3.29% | 3.03% | 3.31% | 3.29% |
| 2006 | 12 | -0.14% | -0.07% | 0.42% | -0.14% | -0.07% | 0.42% |
| 2007 | 1 | 2.96% | 2.50% | 1.97% | 2.96% | 2.50% | 1.97% |
| 2007 | 2 | -0.90% | -0.07% | -0.59% | -0.90% | -0.07% | -0.59% |
| 2007 | 3 | 1.05% | 1.14% | 0.63% | 1.05% | 1.14% | 0.63% |
| 2007 | 4 | 2.78% | 2.65% | 1.72% | 2.78% | 2.65% | 1.72% |
| 2007 | 5 | 4.54% | 4.46% | 3.84% | 4.54% | 4.46% | 3.84% |
| 2007 | 6 | -2.15% | -1.38% | -2.29% | -2.15% | -1.38% | -2.29% |
| 2007 | 7 | -6.68% | -6.22% | -7.70% | -6.68% | -6.22% | -7.70% |
| 2007 | 8 | 0.38% | 1.53% | 1.66% | 0.38% | 1.53% | 1.66% |
| 2007 | 9 | 1.82% | 2.32% | 0.87% | 1.82% | 2.32% | 0.87% |
| 2007 | 10 | 0.70% | 2.50% | 1.60% | 0.70% | 2.50% | 1.60% |
| 2007 | 11 | -7.42% | -6.65% | -6.86% | -7.42% | -6.65% | -6.86% |
| 2007 | 12 | -0.71% | -0.77% | -1.31% | -0.71% | -0.77% | -1.31% |
| 2008 | 1 | -5.33% | -6.39% | -3.88% | -5.33% | -6.39% | -3.88% |
| 2008 | 2 | -2.02% | -2.39% | -2.62% | -2.02% | -2.39% | -2.62% |
| 2008 | 3 | -1.06% | -0.84% | -0.39% | -1.06% | -0.84% | -0.39% |
| 2008 | 4 | 4.57% | 5.68% | 4.68% | 4.57% | 5.68% | 4.68% |
| 2008 | 5 | 4.74% | 4.83% | 4.14% | 4.74% | 4.83% | 4.14% |
| 2008 | 6 | -8.29% | -8.45% | -11.36% | -8.29% | -8.45% | -11.36% |
| 2008 | 7 | 1.52% | 1.46% | 4.06% | 1.52% | 1.46% | 4.06% |
| 2008 | 8 | 1.44% | 3.22% | 3.60% | 1.44% | 3.22% | 3.60% |
| 2008 | 9 | -9.54% | -8.90% | -5.32% | -9.54% | -8.90% | -5.32% |
| 2008 | 10 | -20.24% | -21.86% | -21.96% | -20.24% | -21.86% | -21.96% |
| 2008 | 11 | -11.63% | -11.41% | -9.56% | -11.63% | -11.41% | -9.56% |
| 2008 | 12 | 5.53% | 5.15% | 4.46% | 5.53% | 5.15% | 4.46% |
| 2009 | 1 | -10.68% | -9.65% | -12.39% | -10.68% | -9.65% | -12.39% |
| 2009 | 2 | -13.34% | -12.01% | -14.01% | -13.34% | -12.01% | -14.01% |
| 2009 | 3 | 7.11% | 8.50% | 8.83% | 7.11% | 8.50% | 8.83% |
| 2009 | 4 | 15.66% | 18.66% | 19.56% | 15.66% | 18.66% | 19.56% |
| 2009 | 5 | 2.83% | 5.64% | 3.83% | 2.83% | 5.64% | 3.83% |
| 2009 | 6 | 0.75% | -0.31% | -0.09% | 0.75% | -0.31% | -0.09% |
| 2009 | 7 | 9.26% | 9.55% | 10.65% | 9.26% | 9.55% | 10.65% |
| 2009 | 8 | 2.65% | 4.27% | 6.18% | 2.65% | 4.27% | 6.18% |
| 2009 | 9 | 5.60% | 6.30% | 5.41% | 5.60% | 6.30% | 5.41% |
| 2009 | 10 | -5.87% | -6.35% | -6.09% | -5.87% | -6.35% | -6.09% |
| 2009 | 11 | 3.71% | 3.29% | 3.55% | 3.71% | 3.29% | 3.55% |
| 2009 | 12 | 8.04% | 7.90% | 6.92% | 8.04% | 7.90% | 6.92% |
| 2010 | 1 | -3.35% | -3.37% | -2.99% | -3.35% | -3.37% | -2.99% |
| 2010 | 2 | 4.71% | 4.82% | 5.01% | 4.71% | 4.82% | 5.01% |
| 2010 | 3 | 8.00% | 8.45% | 8.20% | 8.00% | 8.45% | 8.20% |
| 2010 | 4 | 5.08% | 5.59% | 6.23% | 5.08% | 5.59% | 6.23% |
| 2010 | 5 | -7.17% | -7.76% | -7.95% | -7.17% | -7.76% | -7.95% |
| 2010 | 6 | -7.85% | -7.74% | -8.16% | -7.85% | -7.74% | -8.16% |
| 2010 | 7 | 7.77% | 7.19% | 7.46% | 7.77% | 7.19% | 7.46% |
| 2010 | 8 | -6.57% | -6.64% | -6.66% | -6.57% | -6.64% | -6.66% |
| 2010 | 9 | 11.84% | 12.01% | 10.43% | 11.84% | 12.01% | 10.43% |
| 2010 | 10 | 4.72% | 4.08% | 3.60% | 4.72% | 4.08% | 3.60% |
| 2010 | 11 | 3.18% | 3.18% | 2.28% | 3.18% | 3.18% | 2.28% |
| 2010 | 12 | 6.44% | 7.83% | 7.69% | 6.44% | 7.83% | 7.69% |
| 2011 | 1 | 1.48% | 0.70% | 0.60% | 1.48% | 0.70% | 0.60% |
| 2011 | 2 | 5.69% | 5.52% | 4.70% | 5.69% | 5.52% | 4.70% |
| 2011 | 3 | 3.41% | 2.35% | 1.47% | 3.41% | 2.35% | 1.47% |
| 2011 | 4 | 3.44% | 2.94% | 2.34% | 3.44% | 2.94% | 2.34% |
| 2011 | 5 | -1.99% | -1.96% | -2.12% | -1.99% | -1.96% | -2.12% |
| 2011 | 6 | -1.13% | -2.09% | -2.08% | -1.13% | -2.09% | -2.08% |
| 2011 | 7 | -3.72% | -3.63% | -3.32% | -3.72% | -3.63% | -3.32% |
| 2011 | 8 | -8.32% | -8.35% | -8.19% | -8.32% | -8.35% | -8.19% |
| 2011 | 9 | -11.23% | -10.98% | -10.64% | -11.23% | -10.98% | -10.64% |
| 2011 | 10 | 17.09% | 15.28% | 14.43% | 17.09% | 15.28% | 14.43% |
| 2011 | 11 | -1.14% | -0.44% | -0.14% | -1.14% | -0.44% | -0.14% |
| 2011 | 12 | -0.05% | 0.23% | 0.82% | -0.05% | 0.23% | 0.82% |
| 2012 | 1 | 6.91% | 6.95% | 6.97% | 6.91% | 6.95% | 6.97% |
| 2012 | 2 | 3.28% | 3.27% | 2.55% | 3.28% | 3.27% | 2.55% |
| 2012 | 3 | 1.68% | 2.33% | 2.41% | 1.68% | 2.33% | 2.41% |
| 2012 | 4 | -1.47% | -1.02% | -0.99% | -1.47% | -1.02% | -0.99% |
| 2012 | 5 | -7.16% | -6.72% | -6.31% | -7.16% | -6.72% | -6.31% |
| 2012 | 6 | 3.93% | 4.62% | 4.47% | 3.93% | 4.62% | 4.47% |
| 2012 | 7 | 0.45% | -1.00% | -0.43% | 0.45% | -1.00% | -0.43% |
| 2012 | 8 | 4.06% | 3.56% | 2.99% | 4.06% | 3.56% | 2.99% |
| 2012 | 9 | 1.76% | 2.80% | 2.80% | 1.76% | 2.80% | 2.80% |
| 2012 | 10 | -1.26% | -1.43% | -0.70% | -1.26% | -1.43% | -0.70% |
| 2012 | 11 | 1.99% | 1.25% | 1.01% | 1.99% | 1.25% | 1.01% |
| 2012 | 12 | 2.58% | 3.02% | 3.34% | 2.58% | 3.02% | 3.34% |
| 2013 | 1 | 6.36% | 6.35% | 6.46% | 6.36% | 6.35% | 6.46% |
| 2013 | 2 | 1.65% | 1.26% | 1.62% | 1.65% | 1.26% | 1.62% |
| 2013 | 3 | 5.16% | 4.65% | 4.56% | 5.16% | 4.65% | 4.56% |
| 2013 | 4 | -0.08% | 0.30% | 0.09% | -0.08% | 0.30% | 0.09% |
| 2013 | 5 | 3.57% | 3.60% | 3.11% | 3.57% | 3.60% | 3.11% |
| 2013 | 6 | -0.86% | -1.06% | -1.27% | -0.86% | -1.06% | -1.27% |
| 2013 | 7 | 8.29% | 6.79% | 6.85% | 8.29% | 6.79% | 6.85% |
| 2013 | 8 | -4.08% | -3.24% | -4.17% | -4.08% | -3.24% | -4.17% |
| 2013 | 9 | 6.24% | 5.85% | 5.30% | 6.24% | 5.85% | 5.30% |
| 2013 | 10 | 3.83% | 3.18% | 3.92% | 3.83% | 3.18% | 3.92% |
| 2013 | 11 | 4.14% | 2.71% | 2.93% | 4.14% | 2.71% | 2.93% |
| 2013 | 12 | 1.98% | 2.54% | 2.74% | 1.98% | 2.54% | 2.74% |
| 2014 | 1 | -2.48% | -2.06% | -2.78% | -2.48% | -2.06% | -2.78% |
| 2014 | 2 | 5.48% | 5.08% | 4.97% | 5.48% | 5.08% | 4.97% |
| 2014 | 3 | 0.58% | -0.18% | 1.31% | 0.58% | -0.18% | 1.31% |
| 2014 | 4 | -1.82% | -2.44% | -1.13% | -1.82% | -2.44% | -1.13% |
| 2014 | 5 | 0.91% | 1.26% | 1.64% | 0.91% | 1.26% | 1.64% |
| 2014 | 6 | 4.57% | 4.97% | 4.32% | 4.57% | 4.97% | 4.32% |
| 2014 | 7 | -4.28% | -5.02% | -4.79% | -4.28% | -5.02% | -4.79% |
| 2014 | 8 | 5.18% | 5.06% | 5.12% | 5.18% | 5.06% | 5.12% |
| 2014 | 9 | -5.47% | -5.34% | -5.54% | -5.47% | -5.34% | -5.54% |
| 2014 | 10 | 5.44% | 4.52% | 4.85% | 5.44% | 4.52% | 4.85% |
| 2014 | 11 | 0.64% | 1.06% | 1.10% | 0.64% | 1.06% | 1.10% |
| 2014 | 12 | 1.70% | 1.26% | 1.79% | 1.70% | 1.26% | 1.79% |
| 2015 | 1 | -1.80% | -2.14% | -3.30% | -1.80% | -2.14% | -3.30% |
| 2015 | 2 | 4.59% | 5.80% | 5.66% | 4.59% | 5.80% | 5.66% |
| 2015 | 3 | 2.04% | 1.52% | 1.30% | 2.04% | 1.52% | 1.30% |
| 2015 | 4 | -2.37% | -2.04% | -1.30% | -2.37% | -2.04% | -1.30% |
| 2015 | 5 | 1.63% | 2.02% | 1.37% | 1.63% | 2.02% | 1.37% |
| 2015 | 6 | -0.44% | -0.82% | -1.51% | -0.44% | -0.82% | -1.51% |
| 2015 | 7 | 0.25% | -0.29% | -0.95% | 0.25% | -0.29% | -0.95% |
| 2015 | 8 | -5.82% | -5.83% | -4.84% | -5.82% | -5.83% | -4.84% |
| 2015 | 9 | -3.21% | -4.53% | -3.58% | -3.21% | -4.53% | -3.58% |
| 2015 | 10 | 5.53% | 5.68% | 6.63% | 5.53% | 5.68% | 6.63% |
| 2015 | 11 | 1.73% | 1.80% | 1.32% | 1.73% | 1.80% | 1.32% |
| 2015 | 12 | -4.61% | -4.19% | -4.90% | -4.61% | -4.19% | -4.90% |
| 2016 | 1 | -7.07% | -7.55% | -6.37% | -7.07% | -7.55% | -6.37% |
| 2016 | 2 | 0.78% | 0.77% | 1.50% | 0.78% | 0.77% | 1.50% |
| 2016 | 3 | 7.63% | 8.47% | 8.94% | 7.63% | 8.47% | 8.94% |
| 2016 | 4 | 0.21% | 1.77% | 2.10% | 0.21% | 1.77% | 2.10% |
| 2016 | 5 | 1.40% | 1.89% | 1.40% | 1.40% | 1.89% | 1.40% |
| 2016 | 6 | -0.67% | 0.34% | 0.15% | -0.67% | 0.34% | 0.15% |
| 2016 | 7 | 6.04% | 5.01% | 4.64% | 6.04% | 5.01% | 4.64% |
| 2016 | 8 | -0.38% | 0.68% | 0.73% | -0.38% | 0.68% | 0.73% |
| 2016 | 9 | 1.00% | 0.39% | 0.30% | 1.00% | 0.39% | 0.30% |
| 2016 | 10 | -4.01% | -4.06% | -2.92% | -4.01% | -4.06% | -2.92% |
| 2016 | 11 | 12.09% | 8.57% | 10.21% | 12.09% | 8.57% | 10.21% |
| 2016 | 12 | 3.31% | 1.92% | 2.86% | 3.31% | 1.92% | 2.86% |
| 2017 | 1 | 0.41% | 1.53% | 0.65% | 0.41% | 1.53% | 0.65% |
| 2017 | 2 | 1.73% | 2.32% | 2.01% | 1.73% | 2.32% | 2.01% |
| 2017 | 3 | -0.54% | -0.19% | -0.72% | -0.54% | -0.19% | -0.72% |
| 2017 | 4 | 1.23% | 0.86% | 0.40% | 1.23% | 0.86% | 0.40% |
| 2017 | 5 | -2.93% | -1.11% | -2.40% | -2.93% | -1.11% | -2.40% |
| 2017 | 6 | 2.58% | 2.16% | 2.44% | 2.58% | 2.16% | 2.44% |
| 2017 | 7 | 1.33% | 1.19% | 1.02% | 1.33% | 1.19% | 1.02% |
| 2017 | 8 | -2.46% | -0.93% | -1.46% | -2.46% | -0.93% | -1.46% |
| 2017 | 9 | 5.93% | 4.41% | 4.95% | 5.93% | 4.41% | 4.95% |
| 2017 | 10 | 0.76% | 1.56% | 0.86% | 0.76% | 1.56% | 0.86% |
| 2017 | 11 | 2.09% | 3.05% | 3.17% | 2.09% | 3.05% | 3.17% |
| 2017 | 12 | 0.04% | 0.45% | 0.50% | 0.04% | 0.45% | 0.50% |
| 2018 | 1 | 3.40% | 2.69% | 1.93% | 3.40% | 2.69% | 1.93% |
| 2018 | 2 | -3.96% | -3.96% | -4.74% | -3.96% | -3.96% | -4.74% |
| 2018 | 3 | 0.62% | 1.10% | 0.82% | 0.62% | 1.10% | 0.82% |
| 2018 | 4 | 0.37% | 0.37% | 0.40% | 0.37% | 0.37% | 0.40% |
| 2018 | 5 | 6.38% | 5.10% | 4.52% | 6.38% | 5.10% | 4.52% |
| 2018 | 6 | 0.95% | 0.68% | 0.36% | 0.95% | 0.68% | 0.36% |
| 2018 | 7 | 1.77% | 1.82% | 2.49% | 1.77% | 1.82% | 2.49% |
| 2018 | 8 | 5.25% | 4.52% | 2.41% | 5.25% | 4.52% | 2.41% |
| 2018 | 9 | -2.17% | -1.47% | -1.67% | -2.17% | -1.47% | -1.67% |
| 2018 | 10 | -11.24% | -10.12% | -9.05% | -11.24% | -10.12% | -9.05% |
| 2018 | 11 | -0.03% | 2.19% | 2.35% | -0.03% | 2.19% | 2.35% |
| 2018 | 12 | -12.04% | -11.10% | -11.41% | -12.04% | -11.10% | -11.41% |
| 2019 | 1 | 11.47% | 11.71% | 11.16% | 11.47% | 11.71% | 11.16% |
| 2019 | 2 | 3.92% | 4.86% | 3.99% | 3.92% | 4.86% | 3.99% |
| 2019 | 3 | -2.48% | -0.86% | -1.92% | -2.48% | -0.86% | -1.92% |
| 2019 | 4 | 3.08% | 3.59% | 3.91% | 3.08% | 3.59% | 3.91% |
| 2019 | 5 | -9.30% | -7.18% | -8.13% | -9.30% | -7.18% | -8.13% |
| 2019 | 6 | 6.42% | 6.96% | 6.84% | 6.42% | 6.96% | 6.84% |
| 2019 | 7 | 1.17% | 1.20% | 0.75% | 1.17% | 1.20% | 0.75% |
| 2019 | 8 | -4.09% | -3.97% | -5.44% | -4.09% | -3.97% | -5.44% |
| 2019 | 9 | 2.31% | 1.37% | 3.98% | 2.31% | 1.37% | 3.98% |
| 2019 | 10 | 1.75% | 1.65% | 1.75% | 1.75% | 1.65% | 1.75% |
| 2019 | 11 | 4.60% | 4.20% | 2.48% | 4.60% | 4.20% | 2.48% |
| 2019 | 12 | 2.85% | 2.17% | 2.78% | 2.85% | 2.17% | 2.78% |
| 2020 | 1 | -3.82% | -2.02% | -3.37% | -3.82% | -2.02% | -3.37% |
| 2020 | 2 | -9.13% | -8.53% | -10.18% | -9.13% | -8.53% | -10.18% |
| 2020 | 3 | -25.13% | -21.97% | -25.08% | -25.13% | -21.97% | -25.08% |
| 2020 | 4 | 15.42% | 14.55% | 13.11% | 15.42% | 14.55% | 13.11% |
| 2020 | 5 | 6.18% | 7.65% | 4.80% | 6.18% | 7.65% | 4.80% |
| 2020 | 6 | 2.76% | 2.59% | 2.05% | 2.76% | 2.59% | 2.05% |
| 2020 | 7 | 4.93% | 4.60% | 3.29% | 4.93% | 4.60% | 3.29% |
| 2020 | 8 | 4.34% | 3.96% | 4.63% | 4.34% | 3.96% | 4.63% |
| 2020 | 9 | -4.37% | -2.59% | -3.71% | -4.37% | -2.59% | -3.71% |
| 2020 | 10 | 0.14% | 2.15% | 3.14% | 0.14% | 2.15% | 3.14% |
| 2020 | 11 | 16.37% | 15.78% | 17.42% | 16.37% | 15.78% | 17.42% |
| 2020 | 12 | 7.80% | 7.51% | 6.80% | 7.80% | 7.51% | 6.80% |
| Style Category | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Large-cap Value | 0.00% | 0.00% | 9.89% |
| Large-cap Growth | 0.00% | 0.00% | 0.00% |
| Mid-cap Value | 7.40% | 15.50% | 37.57% |
| Mid-cap Growth | 26.08% | 31.18% | 0.00% |
| Small-cap Value | 45.27% | 29.99% | 47.91% |
| Small-cap Growth | 21.25% | 19.48% | 2.31% |
| Global ex-US Developed Markets | 0.00% | 0.57% | 1.65% |
| Emerging Markets | 0.00% | 3.27% | 0.67% |
| Corporate Bonds | 0.00% | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% | 0.00% |
| R Squared | 97.95% | 98.52% | 98.52% |
| Style analysis is based on monthly returns from May 2006 to December 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. | |||
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VSTCX | Vanguard Strategic Small-Cap Equity Inv | Small Blend | 100.00% | 1.04% | 0.26% | 14.75 | $17,800 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VB | Vanguard Small-Cap ETF | Small Blend | 100.00% | 1.20% | 0.05% | 23.52 | $26,230 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VBR | Vanguard Small-Cap Value ETF | Small Value | 100.00% | 1.84% | 0.07% | 18.52 | $18,957 | 100.00% |
Fund fundamentals data as of 01/26/2021. (c) 2021 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.
| Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Arithmetic Mean (monthly) | 0.76% | 0.90% | 0.78% |
| Arithmetic Mean (annualized) | 9.53% | 11.38% | 9.79% |
| Geometric Mean (monthly) | 0.58% | 0.73% | 0.61% |
| Geometric Mean (annualized) | 7.22% | 9.17% | 7.52% |
| Volatility (monthly) | 5.92% | 5.76% | 5.85% |
| Volatility (annualized) | 20.50% | 19.94% | 20.27% |
| Downside Deviation (monthly) | 4.15% | 3.95% | 4.13% |
| Max. Drawdown | -57.28% | -53.72% | -55.89% |
| US Market Correlation | 0.95 | 0.96 | 0.94 |
| Beta(*) | 1.22 | 1.20 | 1.21 |
| Alpha (annualized) | -3.82% | -1.92% | -3.40% |
| R2 | 89.41% | 91.62% | 88.92% |
| Sharpe Ratio | 0.39 | 0.49 | 0.41 |
| Sortino Ratio | 0.56 | 0.71 | 0.58 |
| Treynor Ratio (%) | 6.61 | 8.12 | 6.90 |
| Calmar Ratio | 0.13 | 0.37 | 0.13 |
| Active Return | -2.51% | -0.56% | -2.21% |
| Tracking Error | 7.55% | 6.62% | 7.50% |
| Information Ratio | -0.33 | -0.08 | -0.29 |
| Skewness | -0.67 | -0.61 | -0.74 |
| Excess Kurtosis | 2.69 | 2.56 | 3.38 |
| Historical Value-at-Risk (5%) | -9.36% | -8.63% | -9.18% |
| Analytical Value-at-Risk (5%) | -8.97% | -8.56% | -8.85% |
| Conditional Value-at-Risk (5%) | -13.90% | -13.11% | -14.07% |
| Upside Capture Ratio (%) | 111.08 | 114.32 | 109.00 |
| Downside Capture Ratio (%) | 126.03 | 120.25 | 122.10 |
| Safe Withdrawal Rate | 7.82% | 8.62% | 8.29% |
| Perpetual Withdrawal Rate | 4.98% | 6.64% | 5.23% |
| Positive Periods | 112 out of 176 (63.64%) | 113 out of 176 (64.20%) | 115 out of 176 (65.34%) |
| Gain/Loss Ratio | 0.81 | 0.85 | 0.77 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |||
| Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|
| Subprime Crisis | Nov 2007 | Mar 2009 | -54.55% | -53.01% | -53.06% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Nov 2012 | 3 years 9 months | 5 years 6 months | -57.28% |
| 2 | Sep 2018 | Mar 2020 | 1 year 7 months | Dec 2020 | 9 months | 2 years 4 months | -38.97% |
| 3 | Apr 2015 | Jan 2016 | 10 months | Sep 2016 | 8 months | 1 year 6 months | -14.09% |
| 4 | May 2006 | Jul 2006 | 3 months | Oct 2006 | 3 months | 6 months | -6.80% |
| 5 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -5.47% |
| 6 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -4.28% |
| 7 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -4.08% |
| 8 | Oct 2016 | Oct 2016 | 1 month | Nov 2016 | 1 month | 2 months | -4.01% |
| 9 | Feb 2018 | Feb 2018 | 1 month | May 2018 | 3 months | 4 months | -3.96% |
| 10 | May 2017 | May 2017 | 1 month | Jul 2017 | 2 months | 3 months | -2.93% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Dec 2010 | 1 year 10 months | 3 years 7 months | -53.72% |
| 2 | Jan 2020 | Mar 2020 | 3 months | Nov 2020 | 8 months | 11 months | -30.07% |
| 3 | May 2011 | Sep 2011 | 5 months | Dec 2012 | 1 year 3 months | 1 year 8 months | -24.52% |
| 4 | Sep 2018 | Dec 2018 | 4 months | Nov 2019 | 11 months | 1 year 3 months | -19.55% |
| 5 | Apr 2015 | Jan 2016 | 10 months | Jul 2016 | 6 months | 1 year 4 months | -15.34% |
| 6 | May 2006 | Jul 2006 | 3 months | Nov 2006 | 4 months | 7 months | -7.97% |
| 7 | Jul 2014 | Sep 2014 | 3 months | Dec 2014 | 3 months | 6 months | -5.54% |
| 8 | Oct 2016 | Oct 2016 | 1 month | Nov 2016 | 1 month | 2 months | -4.06% |
| 9 | Feb 2018 | Feb 2018 | 1 month | May 2018 | 3 months | 4 months | -3.96% |
| 10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -3.24% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 2 years | 3 years 9 months | -55.89% |
| 2 | Sep 2018 | Mar 2020 | 1 year 7 months | Dec 2020 | 9 months | 2 years 4 months | -35.27% |
| 3 | May 2011 | Sep 2011 | 5 months | Sep 2012 | 1 year | 1 year 5 months | -23.99% |
| 4 | Jun 2015 | Jan 2016 | 8 months | Jul 2016 | 6 months | 1 year 2 months | -13.89% |
| 5 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -5.54% |
| 6 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -4.79% |
| 7 | Feb 2018 | Feb 2018 | 1 month | May 2018 | 3 months | 4 months | -4.74% |
| 8 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -4.17% |
| 9 | May 2006 | Jul 2006 | 3 months | Oct 2006 | 3 months | 6 months | -3.97% |
| 10 | Jan 2015 | Jan 2015 | 1 month | Feb 2015 | 1 month | 2 months | -3.30% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VSTCX | Vanguard Strategic Small-Cap Equity Inv | 7.22% | 20.50% | 41.91% | -36.13% | -57.28% | 0.39 | 0.56 | 0.95 |
| VB | Vanguard Small-Cap ETF | 9.17% | 19.94% | 37.70% | -36.19% | -53.72% | 0.49 | 0.71 | 0.96 |
| VBR | Vanguard Small-Cap Value ETF | 7.52% | 20.27% | 36.55% | -32.20% | -55.89% | 0.41 | 0.58 | 0.94 |
| Ticker | Name | VSTCX | VB | VBR | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|---|---|
| VSTCX | Vanguard Strategic Small-Cap Equity Inv | 1.00 | 0.99 | 0.98 | 1.00 | 0.99 | 0.98 |
| VB | Vanguard Small-Cap ETF | 0.99 | 1.00 | 0.99 | 0.99 | 1.00 | 0.99 |
| VBR | Vanguard Small-Cap Value ETF | 0.98 | 0.99 | 1.00 | 0.98 | 0.99 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VSTCX | Vanguard Strategic Small-Cap Equity Inv | $17,800 | ||
| VB | Vanguard Small-Cap ETF | $26,230 | ||
| VBR | Vanguard Small-Cap Value ETF | $18,957 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VSTCX | Vanguard Strategic Small-Cap Equity Inv | 100.00% | ||
| VB | Vanguard Small-Cap ETF | 100.00% | ||
| VBR | Vanguard Small-Cap Value ETF | 100.00% |
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 8.01% | 63.62% | -46.70% | 9.66% | 74.05% | -44.49% | 7.89% | 77.06% | -45.43% |
| 3 years | 8.90% | 31.44% | -15.30% | 10.04% | 33.21% | -11.98% | 8.98% | 31.70% | -12.75% |
| 5 years | 10.38% | 28.63% | -2.83% | 10.96% | 29.11% | 0.36% | 10.20% | 28.12% | -2.09% |
| 7 years | 11.14% | 19.28% | 3.21% | 11.52% | 18.92% | 5.00% | 10.88% | 19.05% | 3.16% |
| 10 years | 10.18% | 17.37% | 6.11% | 10.90% | 18.10% | 7.00% | 10.07% | 17.57% | 6.16% |