Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Portfolio Analysis Results (May 2006 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSTCX Vanguard Strategic Small-Cap Equity Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VB Vanguard Small-Cap ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VBR Vanguard Small-Cap Value ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$27,800 7.22% 20.50%41.91%-36.13%-57.28% 0.390.560.95
Portfolio 2$10,000$36,230 9.17% 19.94%37.70%-36.19%-53.72% 0.490.710.96
Portfolio 3$10,000$28,957 7.52% 20.27%36.55%-32.20%-55.89% 0.410.580.94
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 125.62%8.38%5.26%9.19%10.76%7.22%26.88%22.38%
Portfolio 227.16%19.16%11.22%13.63%12.00%9.17%24.62%20.30%
Portfolio 329.34%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.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2006 are based on monthly returns from May 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard Strategic Small-Cap Equity Inv (VSTCX)Vanguard Small-Cap ETF (VB)Vanguard Small-Cap Value ETF (VBR)
ReturnBalanceReturnBalanceReturnBalance
20060.15%3.65%$10,3653.04%$10,3047.40%$10,7403.65%3.04%7.40%
20074.08%-4.28%$9,9211.35%$10,443-6.94%$9,995-4.28%1.35%-6.94%
20080.09%-36.13%$6,337-36.19%$6,664-32.20%$6,776-36.13%-36.19%-32.20%
20092.72%24.11%$7,86536.59%$9,10230.92%$8,87224.11%36.59%30.92%
20101.50%27.24%$10,00828.11%$11,66025.10%$11,09927.24%28.11%25.10%
20112.96%0.80%$10,088-2.78%$11,336-4.23%$10,6300.80%-2.78%-4.23%
20121.74%17.30%$11,83318.29%$13,40918.98%$12,64717.30%18.29%18.98%
20131.50%41.91%$16,79137.70%$18,46436.55%$17,27041.91%37.70%36.55%
20140.76%10.09%$18,4867.63%$19,87210.55%$19,09210.09%7.63%10.55%
20150.73%-3.11%$17,910-3.76%$19,126-4.76%$18,183-3.11%-3.76%-4.76%
20162.07%20.64%$21,60718.44%$22,65324.90%$22,71220.64%18.44%24.90%
20172.11%10.33%$23,83916.26%$26,33511.80%$25,39210.33%16.26%11.80%
20181.91%-11.92%$20,999-9.33%$23,879-12.26%$22,280-11.92%-9.33%-12.26%
20192.29%22.15%$25,64927.32%$30,40422.77%$27,35222.15%27.32%22.77%
20201.36%8.38%$27,80019.16%$36,2305.87%$28,9578.38%19.16%5.87%
Annual return for 2006 is from 05/01/2006 to 12/31/2006
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard Strategic Small-Cap Equity Inv (VSTCX)Vanguard Small-Cap ETF (VB)Vanguard Small-Cap Value ETF (VBR)
20065-5.10%-5.07%-3.75%-5.10%-5.07%-3.75%
200661.63%0.03%1.00%1.63%0.03%1.00%
20067-3.37%-3.09%-1.22%-3.37%-3.09%-1.22%
200681.18%2.31%2.13%1.18%2.31%2.13%
200690.95%0.84%0.89%0.95%0.84%0.89%
2006105.83%5.12%4.64%5.83%5.12%4.64%
2006113.03%3.31%3.29%3.03%3.31%3.29%
200612-0.14%-0.07%0.42%-0.14%-0.07%0.42%
200712.96%2.50%1.97%2.96%2.50%1.97%
20072-0.90%-0.07%-0.59%-0.90%-0.07%-0.59%
200731.05%1.14%0.63%1.05%1.14%0.63%
200742.78%2.65%1.72%2.78%2.65%1.72%
200754.54%4.46%3.84%4.54%4.46%3.84%
20076-2.15%-1.38%-2.29%-2.15%-1.38%-2.29%
20077-6.68%-6.22%-7.70%-6.68%-6.22%-7.70%
200780.38%1.53%1.66%0.38%1.53%1.66%
200791.82%2.32%0.87%1.82%2.32%0.87%
2007100.70%2.50%1.60%0.70%2.50%1.60%
200711-7.42%-6.65%-6.86%-7.42%-6.65%-6.86%
200712-0.71%-0.77%-1.31%-0.71%-0.77%-1.31%
20081-5.33%-6.39%-3.88%-5.33%-6.39%-3.88%
20082-2.02%-2.39%-2.62%-2.02%-2.39%-2.62%
20083-1.06%-0.84%-0.39%-1.06%-0.84%-0.39%
200844.57%5.68%4.68%4.57%5.68%4.68%
200854.74%4.83%4.14%4.74%4.83%4.14%
20086-8.29%-8.45%-11.36%-8.29%-8.45%-11.36%
200871.52%1.46%4.06%1.52%1.46%4.06%
200881.44%3.22%3.60%1.44%3.22%3.60%
20089-9.54%-8.90%-5.32%-9.54%-8.90%-5.32%
200810-20.24%-21.86%-21.96%-20.24%-21.86%-21.96%
200811-11.63%-11.41%-9.56%-11.63%-11.41%-9.56%
2008125.53%5.15%4.46%5.53%5.15%4.46%
20091-10.68%-9.65%-12.39%-10.68%-9.65%-12.39%
20092-13.34%-12.01%-14.01%-13.34%-12.01%-14.01%
200937.11%8.50%8.83%7.11%8.50%8.83%
2009415.66%18.66%19.56%15.66%18.66%19.56%
200952.83%5.64%3.83%2.83%5.64%3.83%
200960.75%-0.31%-0.09%0.75%-0.31%-0.09%
200979.26%9.55%10.65%9.26%9.55%10.65%
200982.65%4.27%6.18%2.65%4.27%6.18%
200995.60%6.30%5.41%5.60%6.30%5.41%
200910-5.87%-6.35%-6.09%-5.87%-6.35%-6.09%
2009113.71%3.29%3.55%3.71%3.29%3.55%
2009128.04%7.90%6.92%8.04%7.90%6.92%
20101-3.35%-3.37%-2.99%-3.35%-3.37%-2.99%
201024.71%4.82%5.01%4.71%4.82%5.01%
201038.00%8.45%8.20%8.00%8.45%8.20%
201045.08%5.59%6.23%5.08%5.59%6.23%
20105-7.17%-7.76%-7.95%-7.17%-7.76%-7.95%
20106-7.85%-7.74%-8.16%-7.85%-7.74%-8.16%
201077.77%7.19%7.46%7.77%7.19%7.46%
20108-6.57%-6.64%-6.66%-6.57%-6.64%-6.66%
2010911.84%12.01%10.43%11.84%12.01%10.43%
2010104.72%4.08%3.60%4.72%4.08%3.60%
2010113.18%3.18%2.28%3.18%3.18%2.28%
2010126.44%7.83%7.69%6.44%7.83%7.69%
201111.48%0.70%0.60%1.48%0.70%0.60%
201125.69%5.52%4.70%5.69%5.52%4.70%
201133.41%2.35%1.47%3.41%2.35%1.47%
201143.44%2.94%2.34%3.44%2.94%2.34%
20115-1.99%-1.96%-2.12%-1.99%-1.96%-2.12%
20116-1.13%-2.09%-2.08%-1.13%-2.09%-2.08%
20117-3.72%-3.63%-3.32%-3.72%-3.63%-3.32%
20118-8.32%-8.35%-8.19%-8.32%-8.35%-8.19%
20119-11.23%-10.98%-10.64%-11.23%-10.98%-10.64%
20111017.09%15.28%14.43%17.09%15.28%14.43%
201111-1.14%-0.44%-0.14%-1.14%-0.44%-0.14%
201112-0.05%0.23%0.82%-0.05%0.23%0.82%
201216.91%6.95%6.97%6.91%6.95%6.97%
201223.28%3.27%2.55%3.28%3.27%2.55%
201231.68%2.33%2.41%1.68%2.33%2.41%
20124-1.47%-1.02%-0.99%-1.47%-1.02%-0.99%
20125-7.16%-6.72%-6.31%-7.16%-6.72%-6.31%
201263.93%4.62%4.47%3.93%4.62%4.47%
201270.45%-1.00%-0.43%0.45%-1.00%-0.43%
201284.06%3.56%2.99%4.06%3.56%2.99%
201291.76%2.80%2.80%1.76%2.80%2.80%
201210-1.26%-1.43%-0.70%-1.26%-1.43%-0.70%
2012111.99%1.25%1.01%1.99%1.25%1.01%
2012122.58%3.02%3.34%2.58%3.02%3.34%
201316.36%6.35%6.46%6.36%6.35%6.46%
201321.65%1.26%1.62%1.65%1.26%1.62%
201335.16%4.65%4.56%5.16%4.65%4.56%
20134-0.08%0.30%0.09%-0.08%0.30%0.09%
201353.57%3.60%3.11%3.57%3.60%3.11%
20136-0.86%-1.06%-1.27%-0.86%-1.06%-1.27%
201378.29%6.79%6.85%8.29%6.79%6.85%
20138-4.08%-3.24%-4.17%-4.08%-3.24%-4.17%
201396.24%5.85%5.30%6.24%5.85%5.30%
2013103.83%3.18%3.92%3.83%3.18%3.92%
2013114.14%2.71%2.93%4.14%2.71%2.93%
2013121.98%2.54%2.74%1.98%2.54%2.74%
20141-2.48%-2.06%-2.78%-2.48%-2.06%-2.78%
201425.48%5.08%4.97%5.48%5.08%4.97%
201430.58%-0.18%1.31%0.58%-0.18%1.31%
20144-1.82%-2.44%-1.13%-1.82%-2.44%-1.13%
201450.91%1.26%1.64%0.91%1.26%1.64%
201464.57%4.97%4.32%4.57%4.97%4.32%
20147-4.28%-5.02%-4.79%-4.28%-5.02%-4.79%
201485.18%5.06%5.12%5.18%5.06%5.12%
20149-5.47%-5.34%-5.54%-5.47%-5.34%-5.54%
2014105.44%4.52%4.85%5.44%4.52%4.85%
2014110.64%1.06%1.10%0.64%1.06%1.10%
2014121.70%1.26%1.79%1.70%1.26%1.79%
20151-1.80%-2.14%-3.30%-1.80%-2.14%-3.30%
201524.59%5.80%5.66%4.59%5.80%5.66%
201532.04%1.52%1.30%2.04%1.52%1.30%
20154-2.37%-2.04%-1.30%-2.37%-2.04%-1.30%
201551.63%2.02%1.37%1.63%2.02%1.37%
20156-0.44%-0.82%-1.51%-0.44%-0.82%-1.51%
201570.25%-0.29%-0.95%0.25%-0.29%-0.95%
20158-5.82%-5.83%-4.84%-5.82%-5.83%-4.84%
20159-3.21%-4.53%-3.58%-3.21%-4.53%-3.58%
2015105.53%5.68%6.63%5.53%5.68%6.63%
2015111.73%1.80%1.32%1.73%1.80%1.32%
201512-4.61%-4.19%-4.90%-4.61%-4.19%-4.90%
20161-7.07%-7.55%-6.37%-7.07%-7.55%-6.37%
201620.78%0.77%1.50%0.78%0.77%1.50%
201637.63%8.47%8.94%7.63%8.47%8.94%
201640.21%1.77%2.10%0.21%1.77%2.10%
201651.40%1.89%1.40%1.40%1.89%1.40%
20166-0.67%0.34%0.15%-0.67%0.34%0.15%
201676.04%5.01%4.64%6.04%5.01%4.64%
20168-0.38%0.68%0.73%-0.38%0.68%0.73%
201691.00%0.39%0.30%1.00%0.39%0.30%
201610-4.01%-4.06%-2.92%-4.01%-4.06%-2.92%
20161112.09%8.57%10.21%12.09%8.57%10.21%
2016123.31%1.92%2.86%3.31%1.92%2.86%
201710.41%1.53%0.65%0.41%1.53%0.65%
201721.73%2.32%2.01%1.73%2.32%2.01%
20173-0.54%-0.19%-0.72%-0.54%-0.19%-0.72%
201741.23%0.86%0.40%1.23%0.86%0.40%
20175-2.93%-1.11%-2.40%-2.93%-1.11%-2.40%
201762.58%2.16%2.44%2.58%2.16%2.44%
201771.33%1.19%1.02%1.33%1.19%1.02%
20178-2.46%-0.93%-1.46%-2.46%-0.93%-1.46%
201795.93%4.41%4.95%5.93%4.41%4.95%
2017100.76%1.56%0.86%0.76%1.56%0.86%
2017112.09%3.05%3.17%2.09%3.05%3.17%
2017120.04%0.45%0.50%0.04%0.45%0.50%
201813.40%2.69%1.93%3.40%2.69%1.93%
20182-3.96%-3.96%-4.74%-3.96%-3.96%-4.74%
201830.62%1.10%0.82%0.62%1.10%0.82%
201840.37%0.37%0.40%0.37%0.37%0.40%
201856.38%5.10%4.52%6.38%5.10%4.52%
201860.95%0.68%0.36%0.95%0.68%0.36%
201871.77%1.82%2.49%1.77%1.82%2.49%
201885.25%4.52%2.41%5.25%4.52%2.41%
20189-2.17%-1.47%-1.67%-2.17%-1.47%-1.67%
201810-11.24%-10.12%-9.05%-11.24%-10.12%-9.05%
201811-0.03%2.19%2.35%-0.03%2.19%2.35%
201812-12.04%-11.10%-11.41%-12.04%-11.10%-11.41%
2019111.47%11.71%11.16%11.47%11.71%11.16%
201923.92%4.86%3.99%3.92%4.86%3.99%
20193-2.48%-0.86%-1.92%-2.48%-0.86%-1.92%
201943.08%3.59%3.91%3.08%3.59%3.91%
20195-9.30%-7.18%-8.13%-9.30%-7.18%-8.13%
201966.42%6.96%6.84%6.42%6.96%6.84%
201971.17%1.20%0.75%1.17%1.20%0.75%
20198-4.09%-3.97%-5.44%-4.09%-3.97%-5.44%
201992.31%1.37%3.98%2.31%1.37%3.98%
2019101.75%1.65%1.75%1.75%1.65%1.75%
2019114.60%4.20%2.48%4.60%4.20%2.48%
2019122.85%2.17%2.78%2.85%2.17%2.78%
20201-3.82%-2.02%-3.37%-3.82%-2.02%-3.37%
20202-9.13%-8.53%-10.18%-9.13%-8.53%-10.18%
20203-25.13%-21.97%-25.08%-25.13%-21.97%-25.08%
2020415.42%14.55%13.11%15.42%14.55%13.11%
202056.18%7.65%4.80%6.18%7.65%4.80%
202062.76%2.59%2.05%2.76%2.59%2.05%
202074.93%4.60%3.29%4.93%4.60%3.29%
202084.34%3.96%4.63%4.34%3.96%4.63%
20209-4.37%-2.59%-3.71%-4.37%-2.59%-3.71%
2020100.14%2.15%3.14%0.14%2.15%3.14%
20201116.37%15.78%17.42%16.37%15.78%17.42%
2020127.80%7.51%6.80%7.80%7.51%6.80%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%9.89%
Large-cap Growth0.00%0.00%0.00%
Mid-cap Value7.40%15.50%37.57%
Mid-cap Growth26.08%31.18%0.00%
Small-cap Value45.27%29.99%47.91%
Small-cap Growth21.25%19.48%2.31%
Global ex-US Developed Markets0.00%0.57%1.65%
Emerging Markets0.00%3.27%0.67%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared97.95%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.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VSTCXVanguard Strategic Small-Cap Equity InvSmall Blend100.00%1.04%0.26%14.75$17,800100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VBVanguard Small-Cap ETFSmall Blend100.00%1.20%0.05%23.52$26,230100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VBRVanguard Small-Cap Value ETFSmall Value100.00%1.84%0.07%18.52$18,957100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 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 Correlation0.950.960.94
Beta(*)1.221.201.21
Alpha (annualized)-3.82%-1.92%-3.40%
R289.41%91.62%88.92%
Sharpe Ratio0.390.490.41
Sortino Ratio0.560.710.58
Treynor Ratio (%)6.618.126.90
Calmar Ratio0.130.370.13
Active Return-2.51%-0.56%-2.21%
Tracking Error7.55%6.62%7.50%
Information Ratio-0.33-0.08-0.29
Skewness-0.67-0.61-0.74
Excess Kurtosis2.692.563.38
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 (%)111.08114.32109.00
Downside Capture Ratio (%)126.03120.25122.10
Safe Withdrawal Rate7.82%8.62%8.29%
Perpetual Withdrawal Rate4.98%6.64%5.23%
Positive Periods112 out of 176 (63.64%)113 out of 176 (64.20%)115 out of 176 (65.34%)
Gain/Loss Ratio0.810.850.77
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-54.55%-53.01%-53.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsNov 20123 years 9 months5 years 6 months-57.28%
2Sep 2018Mar 20201 year 7 monthsDec 20209 months2 years 4 months-38.97%
3Apr 2015Jan 201610 monthsSep 20168 months1 year 6 months-14.09%
4May 2006Jul 20063 monthsOct 20063 months6 months-6.80%
5Sep 2014Sep 20141 monthNov 20142 months3 months-5.47%
6Jul 2014Jul 20141 monthAug 20141 month2 months-4.28%
7Aug 2013Aug 20131 monthSep 20131 month2 months-4.08%
8Oct 2016Oct 20161 monthNov 20161 month2 months-4.01%
9Feb 2018Feb 20181 monthMay 20183 months4 months-3.96%
10May 2017May 20171 monthJul 20172 months3 months-2.93%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.72%
2Jan 2020Mar 20203 monthsNov 20208 months11 months-30.07%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.52%
4Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.55%
5Apr 2015Jan 201610 monthsJul 20166 months1 year 4 months-15.34%
6May 2006Jul 20063 monthsNov 20064 months7 months-7.97%
7Jul 2014Sep 20143 monthsDec 20143 months6 months-5.54%
8Oct 2016Oct 20161 monthNov 20161 month2 months-4.06%
9Feb 2018Feb 20181 monthMay 20183 months4 months-3.96%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.24%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.89%
2Sep 2018Mar 20201 year 7 monthsDec 20209 months2 years 4 months-35.27%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.99%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.89%
5Sep 2014Sep 20141 monthNov 20142 months3 months-5.54%
6Jul 2014Jul 20141 monthAug 20141 month2 months-4.79%
7Feb 2018Feb 20181 monthMay 20183 months4 months-4.74%
8Aug 2013Aug 20131 monthSep 20131 month2 months-4.17%
9May 2006Jul 20063 monthsOct 20063 months6 months-3.97%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-3.30%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSTCXVanguard Strategic Small-Cap Equity Inv7.22%20.50%41.91%-36.13%-57.28%0.390.560.95
VBVanguard Small-Cap ETF9.17%19.94%37.70%-36.19%-53.72%0.490.710.96
VBRVanguard Small-Cap Value ETF7.52%20.27%36.55%-32.20%-55.89%0.410.580.94

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSTCXVBVBRPortfolio 1Portfolio 2Portfolio 3
VSTCXVanguard Strategic Small-Cap Equity Inv1.000.990.981.000.990.98
VBVanguard Small-Cap ETF0.991.000.990.991.000.99
VBRVanguard Small-Cap Value ETF0.980.991.000.980.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSTCXVanguard Strategic Small-Cap Equity Inv$17,800
VBVanguard Small-Cap ETF$26,230
VBRVanguard Small-Cap Value ETF$18,957

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSTCXVanguard Strategic Small-Cap Equity Inv100.00%
VBVanguard Small-Cap ETF100.00%
VBRVanguard Small-Cap Value ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.01%63.62%-46.70%9.66%74.05%-44.49%7.89%77.06%-45.43%
3 years8.90%31.44%-15.30%10.04%33.21%-11.98%8.98%31.70%-12.75%
5 years10.38%28.63%-2.83%10.96%29.11%0.36%10.20%28.12%-2.09%
7 years11.14%19.28%3.21%11.52%18.92%5.00%10.88%19.05%3.16%
10 years10.18%17.37%6.11%10.90%18.10%7.00%10.07%17.57%6.16%