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 Analysis Results (Sep 2006 - Oct 2020)

Portfolio Allocations

Large/mid/small, each split into growth and value
Ticker Name Allocation
VIGRX Vanguard Growth Index Investor 27.28%
VIVAX Vanguard Value Index Inv 27.28%
VOT Vanguard Mid-Cap Growth ETF 11.36%
VMVIX Vanguard Mid-Cap Value Index Investor 11.36%
VISGX Vanguard Small Cap Growth Index Inv 11.36%
VISVX Vanguard Small Cap Value Index Inv 11.36%
Save portfolio »
Large/mid/small, not split
Ticker Name Allocation
VLACX Vanguard Large Cap Index Investor 54.56%
VIMSX Vanguard Mid Cap Index Investor 22.72%
NAESX Vanguard Small Cap Index Inv 22.72%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Large/mid/small, each split into growth and value$10,000$33,237 8.85% 16.66%34.12%-37.99%-51.75% 0.540.761.00
Large/mid/small, not split$10,000$32,855 8.76% 16.66%34.20%-37.93%-51.83% 0.530.751.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Large/mid/small, each split into growth and value1.43%1.77%8.35%8.82%10.54%12.18%8.85%
Large/mid/small, not split1.40%1.31%7.80%8.56%10.33%12.08%8.76%
Trailing returns are for full months ending in October 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 September to December
  • The annual results for 2020 are based on monthly returns from January to October
  • 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
YearInflationReturnBalanceVanguard Growth Index Investor (VIGRX)Vanguard Value Index Inv (VIVAX)Vanguard Mid-Cap Growth ETF (VOT)Vanguard Mid-Cap Value Index Investor (VMVIX)Vanguard Small Cap Growth Index Inv (VISGX)Vanguard Small Cap Value Index Inv (VISVX)Vanguard Large Cap Index Investor (VLACX)Vanguard Mid Cap Index Investor (VIMSX)Vanguard Small Cap Index Inv (NAESX)
Large/mid/small, each split into growth and valueLarge/mid/small, not splitLarge/mid/small, each split into growth and valueLarge/mid/small, not split
2006-1.03%9.39%9.37%$10,939$10,9378.86%10.08%7.66%10.58%9.46%9.48%9.45%9.14%9.40%
20074.08%5.19%5.06%$11,507$11,49012.56%0.09%17.16%-4.37%9.63%-7.07%6.29%6.02%1.16%
20080.09%-37.99%-37.93%$7,136$7,132-38.32%-35.97%-47.32%-36.64%-40.00%-32.05%-37.08%-41.82%-36.07%
20092.72%32.70%32.40%$9,469$9,44336.29%19.58%43.89%37.61%41.85%30.34%27.60%40.22%36.12%
20101.50%20.60%20.61%$11,419$11,38916.96%14.28%29.14%21.63%30.69%24.82%15.63%25.46%27.72%
20112.96%-0.41%-0.33%$11,372$11,3511.71%1.00%-3.92%-0.44%-1.58%-4.16%1.44%-2.11%-2.80%
20121.74%16.42%16.38%$13,240$13,21116.89%15.00%15.98%15.91%17.52%18.56%15.94%15.80%18.04%
20131.50%34.12%34.20%$17,757$17,72932.16%32.85%32.42%37.42%37.98%36.41%32.45%35.00%37.62%
20140.76%11.96%11.99%$19,880$19,85513.47%13.05%13.47%13.84%3.88%10.39%13.24%13.60%7.37%
20150.73%-0.60%-0.68%$19,762$19,7203.17%-1.03%-1.08%-1.91%-2.64%-4.78%0.93%-1.46%-3.78%
20162.07%12.71%12.92%$22,273$22,2685.99%16.75%6.87%15.11%10.61%24.65%11.50%11.07%18.17%
20172.11%20.37%19.95%$26,810$26,70927.65%16.99%21.80%16.91%21.78%11.67%21.89%19.12%16.10%
20181.91%-6.57%-6.77%$25,048$24,901-3.46%-5.55%-5.55%-12.53%-5.80%-12.34%-4.59%-9.34%-9.43%
20192.29%30.39%30.23%$32,659$32,42937.08%25.67%33.76%27.82%32.60%22.61%31.23%30.86%27.22%
20201.29%1.77%1.31%$33,237$32,85521.55%-12.60%13.19%-12.74%9.38%-15.78%4.28%-0.00%-4.50%
Annual returns for 2006 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Growth Index Investor (VIGRX)Vanguard Value Index Inv (VIVAX)Vanguard Mid-Cap Growth ETF (VOT)Vanguard Mid-Cap Value Index Investor (VMVIX)Vanguard Small Cap Growth Index Inv (VISGX)Vanguard Small Cap Value Index Inv (VISVX)Vanguard Large Cap Index Investor (VLACX)Vanguard Mid Cap Index Investor (VIMSX)Vanguard Small Cap Index Inv (NAESX)
Large/mid/small, each split into growth and valueLarge/mid/small, not splitLarge/mid/small, each split into growth and valueLarge/mid/small, not split
200691.90%1.90%$10,190$10,1902.84%2.09%1.68%1.43%0.89%0.88%2.44%1.63%0.86%
2006103.81%3.82%$10,578$10,5793.44%3.18%2.91%4.27%5.66%4.82%3.30%3.70%5.20%
2006112.72%2.72%$10,866$10,8672.19%2.03%3.66%3.95%3.13%3.04%2.10%3.83%3.10%
2006120.67%0.65%$10,939$10,9370.13%2.42%-0.75%0.58%-0.43%0.48%1.30%-0.26%0.01%
200712.34%2.34%$11,195$11,1922.69%0.94%3.81%3.40%2.73%1.99%1.77%3.64%2.39%
20072-1.00%-1.01%$11,083$11,079-2.00%-1.64%-0.12%0.17%0.37%-0.58%-1.82%0.00%-0.12%
200731.05%1.07%$11,200$11,1970.56%1.62%1.06%0.58%1.81%0.60%1.10%0.85%1.22%
200743.78%3.76%$11,623$11,6184.32%4.16%4.44%3.09%3.53%1.84%4.26%3.68%2.67%
200753.93%3.96%$12,080$12,0783.47%3.67%5.06%3.50%5.12%3.67%3.60%4.34%4.41%
20076-1.69%-1.74%$11,876$11,868-1.20%-2.12%-0.69%-3.06%-0.72%-2.51%-1.70%-1.97%-1.60%
20077-3.95%-3.90%$11,407$11,404-1.59%-4.49%-2.46%-6.27%-4.37%-7.21%-3.03%-4.11%-5.76%
200781.26%1.23%$11,550$11,5451.68%1.31%1.13%0.00%1.26%1.45%1.52%0.43%1.34%
200793.23%3.24%$11,923$11,9184.28%3.31%3.80%1.95%3.28%0.89%3.83%2.89%2.15%
2007101.95%1.91%$12,156$12,1463.21%0.22%2.93%0.35%3.80%1.35%1.71%1.70%2.62%
200711-4.90%-4.91%$11,560$11,549-3.34%-4.94%-4.30%-5.68%-6.86%-6.74%-4.10%-5.02%-6.79%
200712-0.46%-0.50%$11,507$11,4900.18%-1.45%1.75%-1.89%-0.03%-1.42%-0.60%-0.07%-0.72%
20081-6.23%-6.20%$10,791$10,778-7.94%-4.09%-9.88%-3.63%-8.80%-3.62%-6.05%-6.52%-6.23%
20082-2.74%-2.80%$10,495$10,476-1.41%-4.78%0.15%-3.91%-2.03%-3.15%-3.08%-2.27%-2.65%
20083-0.91%-0.90%$10,399$10,382-0.83%-0.38%-3.46%-0.73%-1.15%0.14%-0.59%-2.04%-0.50%
200845.48%5.49%$10,969$10,9525.83%4.14%8.47%5.09%6.51%4.42%5.01%6.70%5.48%
200853.08%3.09%$11,307$11,2903.67%-0.41%5.24%3.66%6.22%4.17%1.67%4.40%5.16%
20086-8.21%-8.18%$10,378$10,367-6.72%-9.53%-5.63%-9.78%-6.35%-11.56%-8.11%-7.61%-8.90%
20087-1.11%-1.12%$10,263$10,251-1.84%-0.32%-6.38%-1.43%-0.48%4.02%-1.11%-3.93%1.67%
200881.85%1.83%$10,453$10,4381.17%1.65%0.07%3.00%2.42%3.87%1.38%1.53%3.13%
20089-10.10%-10.12%$9,396$9,382-11.43%-6.95%-17.13%-8.96%-12.68%-6.05%-9.26%-12.91%-9.41%
200810-19.26%-19.24%$7,587$7,577-17.71%-16.55%-21.73%-22.08%-22.15%-21.09%-17.12%-21.93%-21.56%
200811-8.75%-8.73%$6,923$6,915-8.58%-6.28%-10.58%-8.00%-12.49%-10.49%-7.40%-9.18%-11.45%
2008123.07%3.13%$7,136$7,1321.19%1.73%3.28%5.83%5.76%5.38%1.49%4.88%5.58%
20091-8.21%-8.35%$6,550$6,537-4.58%-11.44%-3.89%-9.37%-7.48%-13.03%-8.10%-7.03%-10.25%
20092-10.46%-10.49%$5,865$5,851-7.33%-13.34%-7.31%-11.96%-10.08%-13.96%-10.28%-9.57%-11.96%
200938.76%8.88%$6,379$6,3708.30%8.93%8.20%8.79%9.52%9.39%8.64%8.86%9.48%
2009412.69%12.60%$7,188$7,1739.19%10.30%12.76%16.16%17.07%19.76%9.66%14.18%18.25%
200954.78%4.77%$7,532$7,5154.35%6.75%4.51%3.92%3.94%3.50%5.50%4.14%3.74%
200960.37%0.29%$7,559$7,5371.44%-0.88%-0.10%-0.74%2.43%-0.10%0.25%-0.47%1.16%
200978.34%8.41%$8,189$8,1707.08%8.04%7.51%10.51%8.66%10.64%7.60%9.01%9.68%
200984.00%4.08%$8,517$8,5041.97%5.10%3.05%6.81%2.79%6.12%3.53%4.96%4.46%
200995.07%5.06%$8,948$8,9344.53%3.37%6.57%5.87%7.16%5.52%3.97%6.23%6.34%
200910-3.66%-3.70%$8,621$8,603-1.38%-2.67%-3.94%-4.83%-6.86%-6.32%-2.06%-4.38%-6.64%
2009115.07%5.07%$9,058$9,0405.83%6.00%4.15%5.70%2.92%3.67%5.89%4.92%3.33%
2009124.54%4.46%$9,469$9,4433.37%1.21%7.35%5.23%8.88%6.88%2.27%6.17%7.88%
20101-3.46%-3.48%$9,141$9,114-4.58%-2.47%-4.60%-2.29%-3.62%-3.06%-3.52%-3.55%-3.35%
201023.98%4.02%$9,505$9,4803.76%2.53%5.23%4.87%4.69%5.21%3.14%5.20%4.97%
201036.73%6.74%$10,145$10,1205.90%6.16%7.07%7.02%8.13%8.00%6.04%7.06%8.08%
201043.00%3.02%$10,449$10,4251.54%1.78%3.20%3.92%4.90%6.19%1.67%3.60%5.54%
20105-7.79%-7.82%$9,635$9,610-8.27%-7.79%-7.01%-7.55%-7.53%-7.99%-8.04%-7.33%-7.80%
20106-6.10%-6.10%$9,047$9,024-5.70%-5.10%-6.22%-6.15%-7.13%-8.04%-5.41%-6.15%-7.57%
201077.01%7.02%$9,681$9,6577.43%6.54%7.21%6.61%6.89%7.43%7.02%6.87%7.16%
20108-4.99%-4.99%$9,198$9,175-4.72%-4.26%-3.98%-5.06%-6.50%-6.70%-4.49%-4.50%-6.61%
2010910.13%10.11%$10,130$10,10310.76%7.55%12.03%9.11%13.61%10.42%9.10%10.59%11.98%
2010103.98%3.98%$10,534$10,5055.13%2.69%4.64%3.52%4.53%3.57%3.90%4.04%4.08%
2010111.35%1.35%$10,676$10,6470.94%-0.56%3.99%0.35%3.87%2.30%0.23%2.18%3.07%
2010126.96%6.97%$11,419$11,3895.57%7.89%6.37%7.22%7.87%7.55%6.69%6.83%7.72%
201111.99%2.00%$11,646$11,6171.87%2.84%2.12%2.40%1.05%0.62%2.37%2.26%0.86%
201123.97%3.95%$12,108$12,0762.73%4.02%4.37%3.65%6.05%4.66%3.36%4.00%5.34%
201131.01%1.03%$12,231$12,2000.29%0.04%2.00%1.36%3.24%1.50%0.16%1.72%2.42%
201142.93%2.93%$12,589$12,5583.05%2.94%2.53%2.94%3.51%2.40%3.01%2.73%2.94%
20115-1.12%-1.13%$12,447$12,417-0.70%-1.36%-0.30%-0.52%-1.95%-2.11%-1.03%-0.44%-2.03%
20116-1.97%-1.98%$12,202$12,171-1.39%-2.15%-1.73%-3.05%-1.95%-2.10%-1.79%-2.40%-1.99%
20117-2.80%-2.75%$11,861$11,836-0.69%-3.52%-3.07%-4.00%-3.94%-3.45%-2.04%-3.47%-3.72%
20118-6.58%-6.60%$11,081$11,054-5.62%-5.78%-7.40%-6.50%-8.50%-8.08%-5.71%-7.04%-8.31%
20119-8.73%-8.72%$10,113$10,090-7.60%-7.07%-10.97%-8.75%-11.41%-10.60%-7.33%-9.86%-11.00%
20111012.46%12.45%$11,374$11,34611.79%10.36%14.06%12.34%16.18%14.34%11.08%13.13%15.26%
201111-0.45%-0.40%$11,322$11,300-0.16%-0.49%-1.58%0.05%-0.64%-0.26%-0.30%-0.65%-0.41%
2011120.44%0.45%$11,372$11,351-0.64%2.39%-1.90%1.25%-0.54%1.00%0.85%-0.30%0.22%
201215.74%5.69%$12,025$11,9976.26%3.42%8.11%5.21%7.12%6.85%4.79%6.56%6.95%
201224.12%4.10%$12,521$12,4894.88%3.92%5.10%3.64%3.87%2.49%4.41%4.30%3.19%
201232.67%2.68%$12,855$12,8243.38%2.89%1.89%1.99%2.26%2.35%3.14%1.98%2.30%
20124-0.68%-0.68%$12,768$12,737-0.30%-0.93%-0.52%-0.71%-0.94%-0.89%-0.61%-0.58%-0.93%
20125-6.55%-6.54%$11,932$11,904-6.40%-5.96%-7.53%-6.86%-7.27%-6.29%-6.15%-7.23%-6.78%
201263.66%3.68%$12,368$12,3422.95%4.70%1.53%3.39%4.72%4.28%3.82%2.48%4.51%
201270.48%0.49%$12,427$12,4021.29%1.19%-0.73%0.69%-1.28%-0.43%1.24%0.00%-0.82%
201282.79%2.76%$12,774$12,7453.33%1.40%3.74%2.48%4.01%2.95%2.36%3.04%3.47%
201292.48%2.46%$13,091$13,0582.03%3.05%2.20%2.02%2.61%2.87%2.51%2.07%2.73%
201210-1.62%-1.57%$12,878$12,853-3.09%-0.52%-2.44%-0.09%-2.34%-0.58%-1.77%-1.17%-1.46%
2012111.02%0.98%$13,010$12,9791.97%-0.53%2.06%1.14%1.53%0.82%0.69%1.51%1.16%
2012121.77%1.78%$13,240$13,2110.07%1.90%2.35%2.45%2.78%3.33%0.98%2.44%3.07%
201315.93%5.87%$14,024$13,9874.37%6.37%6.62%7.17%6.11%6.49%5.32%6.72%6.35%
201321.32%1.32%$14,210$14,1710.99%1.52%1.22%1.65%0.94%1.78%1.30%1.33%1.33%
201334.15%4.11%$14,800$14,7523.64%3.90%4.10%4.90%4.89%4.53%3.75%4.38%4.69%
201341.22%1.46%$14,980$14,9681.53%2.19%0.71%1.66%-0.50%-0.05%1.93%1.70%0.14%
201352.37%2.39%$15,334$15,3271.68%2.45%1.87%1.75%4.25%3.05%2.13%1.82%3.61%
20136-1.24%-1.21%$15,144$15,141-1.99%-0.81%-1.14%-1.21%-0.79%-1.13%-1.32%-1.18%-0.99%
201375.67%5.65%$16,003$15,9965.31%5.19%5.86%5.51%6.67%6.68%5.22%5.63%6.66%
20138-2.74%-2.81%$15,565$15,546-1.72%-3.60%-2.08%-2.94%-1.94%-4.20%-2.79%-2.52%-3.17%
201394.22%4.15%$16,223$16,1904.76%2.13%5.21%3.97%6.14%5.31%3.32%4.53%5.69%
2013103.87%3.91%$16,851$16,8234.25%4.56%2.14%4.52%2.52%3.89%4.42%3.37%3.27%
2013112.58%2.61%$17,286$17,2622.38%3.20%1.13%2.89%2.34%2.99%2.82%2.01%2.71%
2013122.72%2.71%$17,757$17,7293.34%2.05%3.16%2.78%2.44%2.68%2.65%2.98%2.57%
20141-2.78%-2.82%$17,264$17,230-2.99%-3.59%-2.12%-2.52%-1.16%-2.83%-3.33%-2.33%-2.07%
201425.11%5.07%$18,146$18,1035.53%3.94%6.61%5.43%5.12%5.03%4.68%6.00%5.06%
201430.08%0.22%$18,160$18,142-1.58%2.58%-1.66%1.04%-2.23%1.32%0.66%-0.31%-0.31%
20144-0.49%-0.44%$18,070$18,0620.08%0.89%-2.17%0.40%-3.75%-1.16%0.52%-0.84%-2.33%
201452.14%2.09%$18,457$18,4403.53%1.43%2.91%1.74%0.68%1.59%2.38%2.31%1.17%
201462.98%2.95%$19,008$18,9842.42%1.88%3.36%2.70%5.79%4.29%2.12%2.99%4.96%
20147-2.49%-2.49%$18,534$18,511-1.65%-1.27%-2.51%-2.55%-5.20%-4.71%-1.46%-2.53%-4.94%
201484.43%4.41%$19,355$19,3274.71%3.46%5.60%3.87%4.77%5.15%4.05%4.72%4.97%
20149-2.80%-2.79%$18,813$18,788-1.91%-1.33%-2.95%-3.47%-4.92%-5.65%-1.60%-3.21%-5.31%
2014103.12%3.09%$19,400$19,3683.04%1.90%3.40%3.50%3.93%4.94%2.41%3.44%4.48%
2014112.35%2.33%$19,855$19,8202.97%2.39%3.11%2.60%0.88%1.04%2.67%2.81%0.98%
2014120.13%0.17%$19,880$19,855-0.99%0.33%-0.25%0.70%0.73%1.70%-0.28%0.26%1.25%
20151-2.42%-2.50%$19,399$19,358-1.49%-4.04%-1.53%-2.39%-0.82%-3.31%-2.86%-1.99%-2.17%
201525.84%5.81%$20,532$20,4826.29%5.25%6.61%5.39%5.92%5.71%5.73%5.99%5.82%
20153-0.38%-0.42%$20,453$20,396-1.25%-1.58%1.28%-0.31%1.17%1.22%-1.41%0.33%1.18%
20154-0.15%-0.06%$20,424$20,383-0.07%1.57%-1.07%-0.08%-2.21%-1.26%0.78%-0.40%-1.69%
201551.41%1.38%$20,711$20,6631.45%1.09%0.97%1.19%2.77%1.35%1.26%1.03%2.00%
20156-1.62%-1.65%$20,375$20,323-1.60%-2.17%-1.23%-2.36%-0.24%-1.45%-1.90%-1.81%-0.87%
201571.35%1.29%$20,650$20,5853.17%0.95%1.45%0.95%0.53%-1.01%1.98%1.24%-0.29%
20158-5.82%-5.77%$19,449$19,397-6.26%-5.82%-5.85%-4.45%-7.01%-4.81%-6.01%-5.12%-5.85%
20159-3.35%-3.32%$18,798$18,753-2.86%-2.49%-4.03%-3.37%-5.54%-3.58%-2.67%-3.70%-4.50%
2015107.14%7.15%$20,139$20,0938.93%7.57%5.60%6.32%4.62%6.59%8.23%6.00%5.68%
2015110.62%0.62%$20,264$20,2180.14%0.40%-0.03%0.55%2.39%1.33%0.29%0.27%1.81%
201512-2.48%-2.46%$19,762$19,720-2.40%-1.01%-2.56%-2.76%-3.41%-4.90%-1.67%-2.66%-4.21%
20161-6.37%-6.33%$18,503$18,472-5.93%-4.75%-7.91%-6.97%-9.07%-6.46%-5.29%-7.47%-7.66%
201620.36%0.37%$18,570$18,541-0.45%0.10%1.05%1.30%0.10%1.58%-0.20%1.22%0.92%
201637.44%7.42%$19,951$19,9167.11%6.55%8.24%7.82%7.73%8.91%6.80%7.98%8.35%
201640.71%0.74%$20,092$20,063-0.77%1.53%0.01%0.99%1.28%2.05%0.42%0.51%1.72%
201651.84%1.82%$20,462$20,4282.45%1.13%2.30%1.44%2.54%1.44%1.76%1.86%1.93%
201660.15%0.16%$20,492$20,462-0.67%1.06%-0.52%0.27%0.47%0.08%0.24%-0.09%0.25%
201674.30%4.26%$21,374$21,3344.78%2.86%5.14%4.22%5.57%4.68%3.77%4.62%5.07%
201680.24%0.27%$21,425$21,392-0.35%0.62%-0.76%0.96%0.49%0.72%0.17%0.14%0.62%
201690.22%0.20%$21,472$21,4360.66%-0.47%0.28%0.39%0.53%0.31%0.05%0.37%0.39%
201610-2.70%-2.67%$20,892$20,863-2.66%-1.15%-3.69%-2.50%-5.42%-3.01%-1.87%-3.08%-4.12%
2016114.95%5.04%$21,926$21,9141.19%5.96%3.20%5.98%6.53%10.26%3.69%4.67%8.61%
2016121.58%1.61%$22,273$22,2681.07%2.64%0.24%1.02%0.62%2.82%1.90%0.65%1.86%
201712.22%2.14%$22,768$22,7453.65%0.61%3.79%2.20%2.73%0.66%2.03%2.98%1.57%
201723.42%3.38%$23,548$23,5144.34%3.62%2.79%3.38%2.76%2.06%3.94%3.08%2.34%
201730.07%-0.00%$23,564$23,5131.30%-0.99%0.36%-0.28%0.42%-0.78%0.09%0.01%-0.24%
201741.13%1.04%$23,830$23,7592.30%-0.03%2.09%0.40%1.36%0.44%1.08%1.16%0.85%
201750.84%0.72%$24,030$23,9302.81%0.11%1.83%0.12%0.32%-2.37%1.40%0.91%-1.15%
201760.93%0.99%$24,255$24,168-0.48%1.71%0.38%0.90%2.03%2.40%0.64%0.64%2.24%
201771.77%1.74%$24,683$24,5882.52%1.54%1.79%1.63%1.27%0.95%2.01%1.72%1.09%
20178-0.08%-0.16%$24,663$24,5491.19%-0.44%0.16%-1.21%-0.36%-1.44%0.33%-0.58%-0.94%
201792.53%2.61%$25,287$25,1891.04%3.00%1.72%2.68%3.79%4.91%2.05%2.25%4.40%
2017102.01%1.94%$25,794$25,6772.85%1.80%2.23%0.79%2.38%0.85%2.29%1.44%1.55%
2017113.03%3.07%$26,576$26,4662.50%3.50%2.82%3.44%3.00%3.14%3.04%3.14%3.08%
2017120.88%0.92%$26,810$26,7090.73%1.49%-0.00%1.81%0.27%0.50%1.13%0.94%0.37%
201814.83%4.76%$28,104$27,9816.85%4.76%4.96%3.76%3.89%1.98%5.74%4.33%2.84%
20182-3.79%-3.86%$27,039$26,902-2.91%-4.36%-3.27%-4.72%-3.21%-4.78%-3.69%-4.06%-4.07%
20183-1.15%-1.16%$26,728$26,591-2.51%-2.53%0.12%-0.29%1.50%0.82%-2.50%-0.11%1.12%
201840.21%0.23%$26,784$26,6510.27%0.45%-0.84%0.39%0.24%0.35%0.35%-0.17%0.33%
201852.98%2.84%$27,583$27,4084.36%0.62%3.74%0.05%5.80%4.50%2.36%1.76%5.07%
201860.76%0.73%$27,793$27,6091.18%0.15%0.98%0.91%1.19%0.34%0.66%0.93%0.72%
201872.89%2.97%$28,597$28,4292.49%4.69%1.82%3.24%0.99%2.52%3.63%2.56%1.82%
201883.51%3.36%$29,601$29,3844.69%1.93%4.65%0.51%7.01%2.40%3.24%2.52%4.48%
20189-0.20%-0.20%$29,543$29,3260.43%0.56%-0.33%-0.66%-1.34%-1.74%0.50%-0.48%-1.54%
201810-8.12%-7.99%$27,146$26,984-9.03%-4.98%-9.69%-7.08%-11.36%-9.01%-6.93%-8.41%-10.10%
2018112.10%2.16%$27,717$27,5670.65%3.36%2.49%2.30%1.91%2.37%2.07%2.39%2.16%
201812-9.63%-9.67%$25,048$24,901-8.62%-9.34%-9.00%-10.66%-10.70%-11.44%-9.01%-9.87%-11.11%
201919.53%9.52%$27,435$27,2739.31%7.02%11.06%9.87%12.56%11.19%8.13%10.55%11.83%
201923.87%3.84%$28,495$28,3193.64%2.89%4.88%3.57%5.83%3.95%3.25%4.22%4.81%
201931.11%1.08%$28,812$28,6253.15%0.56%2.57%-0.01%0.28%-1.95%1.86%1.30%-0.91%
201943.88%3.87%$29,929$29,7334.71%3.38%3.79%3.72%3.24%3.92%4.04%3.74%3.59%
20195-6.48%-6.49%$27,989$27,804-6.34%-6.33%-5.10%-7.17%-6.34%-8.08%-6.34%-6.06%-7.25%
201967.01%7.02%$29,951$29,7566.78%7.15%6.36%7.85%7.35%6.76%6.99%7.07%7.04%
201971.42%1.39%$30,376$30,1712.26%0.74%1.66%0.89%1.79%0.77%1.49%1.31%1.25%
20198-2.39%-2.46%$29,649$29,430-0.50%-2.91%-2.09%-3.32%-2.40%-5.42%-1.68%-2.72%-4.03%
201991.63%1.73%$30,132$29,9400.22%3.34%-0.14%4.41%-1.55%3.91%1.74%2.06%1.37%
2019101.80%1.79%$30,675$30,4772.49%1.86%1.84%0.36%1.48%1.68%2.18%1.07%1.60%
2019113.75%3.69%$31,827$31,6003.98%3.43%3.42%3.05%6.16%2.52%3.70%3.22%4.14%
2019122.62%2.62%$32,659$32,4293.10%2.72%2.07%2.73%1.48%2.77%2.90%2.40%2.18%
20201-0.34%-0.38%$32,550$32,3053.08%-2.52%1.21%-1.72%-0.38%-3.41%0.25%-0.25%-2.04%
20202-8.35%-8.40%$29,832$29,593-6.49%-9.85%-6.99%-10.55%-6.86%-10.21%-8.13%-8.76%-8.67%
20203-15.85%-15.94%$25,103$24,875-10.53%-14.66%-15.07%-21.93%-18.36%-24.93%-12.53%-18.41%-21.86%
2020413.72%13.67%$28,546$28,27615.10%10.69%15.80%12.73%16.46%12.95%13.04%14.41%14.65%
202056.16%6.07%$30,305$29,9936.97%2.80%9.71%4.16%10.76%4.73%5.06%7.10%7.73%
202062.25%2.21%$30,986$30,6574.77%-0.97%2.76%1.01%3.02%2.07%2.20%1.95%2.54%
202075.76%5.69%$32,770$32,4027.61%3.60%7.38%5.34%5.75%3.32%5.84%6.46%4.49%
202085.84%5.85%$34,682$34,29810.12%4.24%3.14%3.02%3.45%4.61%7.59%3.15%4.05%
20209-2.97%-3.06%$33,653$33,248-4.68%-2.23%-1.32%-1.82%-1.53%-3.77%-3.69%-1.73%-2.73%
202010-1.24%-1.18%$33,237$32,855-3.27%-2.06%-0.77%0.63%0.86%3.02%-2.75%-0.10%2.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryLarge/mid/small, each split into growth and valueLarge/mid/small, not split
Large-cap Value24.36%24.52%
Large-cap Growth31.39%31.77%
Mid-cap Value12.43%12.19%
Mid-cap Growth21.16%20.83%
Small-cap Value5.16%6.00%
Small-cap Growth2.99%2.23%
Global ex-US Developed Markets1.25%1.07%
Emerging Markets1.25%1.38%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.63%99.65%
Style analysis is based on monthly returns from Sep 2006 to Oct 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 Large/mid/small, each split into growth and value

Holdings Based Style Analysis for Large/mid/small, each split into growth and value
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VIGRXVanguard Growth Index InvestorLarge Growth27.28%0.17%36.18$9,32525.34%
VIVAXVanguard Value Index InvLarge Value27.28%0.17%18.60$4,31824.41%
VOTVanguard Mid-Cap Growth ETFMid-Cap Growth11.36%0.07%34.69$3,22811.95%
VMVIXVanguard Mid-Cap Value Index InvestorMid-Cap Value11.36%0.19%19.12$1,82812.01%
VISGXVanguard Small Cap Growth Index InvSmall Growth11.36%0.19%32.57$3,05813.18%
VISVXVanguard Small Cap Value Index InvSmall Value11.36%0.19%15.63$1,48013.10%
100.00%0.17%26.53$23,237100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Large/mid/small, not split

Holdings Based Style Analysis for Large/mid/small, not split
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VLACXVanguard Large Cap Index InvestorLarge Blend54.56%0.17%25.79$13,47049.77%
VIMSXVanguard Mid Cap Index InvestorMid-Cap Blend22.72%0.17%24.69$4,99123.95%
NAESXVanguard Small Cap Index InvSmall Blend22.72%0.17%20.30$4,39426.28%
100.00%0.17%24.29$22,855100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (c) 2020 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
MetricLarge/mid/small, each split into growth and valueLarge/mid/small, not split
Arithmetic Mean (monthly)0.83%0.82%
Arithmetic Mean (annualized)10.38%10.29%
Geometric Mean (monthly)0.71%0.70%
Geometric Mean (annualized)8.85%8.76%
Volatility (monthly)4.81%4.81%
Volatility (annualized)16.66%16.66%
Downside Deviation (monthly)3.35%3.35%
Max. Drawdown-51.75%-51.83%
US Market Correlation1.001.00
Beta(*)1.051.05
Alpha (annualized)-0.44%-0.53%
R299.09%99.11%
Sharpe Ratio0.540.53
Sortino Ratio0.760.75
Treynor Ratio (%)8.508.42
Calmar Ratio0.380.37
Active Return-0.09%-0.18%
Tracking Error1.79%1.77%
Information Ratio-0.05-0.10
Skewness-0.78-0.79
Excess Kurtosis2.232.23
Historical Value-at-Risk (5%)-8.28%-8.37%
Analytical Value-at-Risk (5%)-7.06%-7.07%
Conditional Value-at-Risk (5%)-11.39%-11.41%
Upside Capture Ratio (%)103.41103.20
Downside Capture Ratio (%)104.58104.76
Safe Withdrawal Rate9.26%9.24%
Perpetual Withdrawal Rate6.61%6.53%
Positive Periods113 out of 170 (66.47%)112 out of 170 (65.88%)
Gain/Loss Ratio0.800.81
* 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 PeriodStartEndLarge/mid/small, each split into growth and valueLarge/mid/small, not split
Subprime CrisisNov 2007Mar 2009-51.75%-51.83%

Drawdowns for Large/mid/small, each split into growth and value

Drawdowns for Large/mid/small, each split into growth and value (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20112 years 1 month3 years 5 months-51.75%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-23.14%
3May 2011Sep 20115 monthsMar 20126 months11 months-19.66%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-15.38%
5Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-10.66%
6Apr 2012May 20122 monthsSep 20124 months6 months-7.19%
7May 2019May 20191 monthJun 20191 month2 months-6.48%
8Jun 2007Jul 20072 monthsOct 20073 months5 months-5.57%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-4.90%
10Sep 2020Oct 20202 months-4.17%
Worst 10 drawdowns included above

Drawdowns for Large/mid/small, not split

Drawdowns for Large/mid/small, not split (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20112 years 1 month3 years 5 months-51.83%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-23.30%
3May 2011Sep 20115 monthsMar 20126 months11 months-19.65%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-15.26%
5Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-10.60%
6Apr 2012May 20122 monthsSep 20124 months6 months-7.17%
7May 2019May 20191 monthJun 20191 month2 months-6.49%
8Jun 2007Jul 20072 monthsOct 20073 months5 months-5.57%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-4.97%
10Sep 2020Oct 20202 months-4.21%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIGRXVanguard Growth Index Investor11.75%16.03%37.08%-38.32%-47.19%0.711.090.97
VIVAXVanguard Value Index Inv6.24%15.48%32.85%-35.97%-54.86%0.410.560.97
VOTVanguard Mid-Cap Growth ETF9.90%18.19%43.89%-47.32%-54.31%0.560.810.95
VMVIXVanguard Mid-Cap Value Index Investor7.00%18.01%37.61%-36.64%-56.51%0.410.570.96
VISGXVanguard Small Cap Growth Index Inv10.21%19.97%41.85%-40.00%-53.52%0.540.790.95
VISVXVanguard Small Cap Value Index Inv6.08%20.04%36.41%-32.05%-56.13%0.350.480.94
VLACXVanguard Large Cap Index Investor9.05%15.36%32.45%-37.08%-50.55%0.580.841.00
VIMSXVanguard Mid Cap Index Investor8.52%17.74%40.22%-41.82%-54.14%0.500.700.98
NAESXVanguard Small Cap Index Inv8.14%19.72%37.62%-36.07%-53.95%0.450.630.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIGRXVIVAXVOTVMVIXVISGXVISVXVLACXVIMSXNAESXLarge/mid/small, each split into growth and valueLarge/mid/small, not split
VIGRXVanguard Growth Index Investor1.000.900.950.900.920.870.970.950.910.960.96
VIVAXVanguard Value Index Inv0.901.000.870.960.890.930.970.940.920.960.96
VOTVanguard Mid-Cap Growth ETF0.950.871.000.920.970.890.940.980.940.960.96
VMVIXVanguard Mid-Cap Value Index Investor0.900.960.921.000.940.970.950.980.970.980.98
VISGXVanguard Small Cap Growth Index Inv0.920.890.970.941.000.940.930.970.980.970.97
VISVXVanguard Small Cap Value Index Inv0.870.930.890.970.941.000.920.950.990.960.96
VLACXVanguard Large Cap Index Investor0.970.970.940.950.930.921.000.970.940.990.99
VIMSXVanguard Mid Cap Index Investor0.950.940.980.980.970.950.971.000.970.990.99
NAESXVanguard Small Cap Index Inv0.910.920.940.970.980.990.940.971.000.980.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameLarge/mid/small, each split into growth and valueLarge/mid/small, not split
VIGRXVanguard Growth Index Investor$9,325
VIVAXVanguard Value Index Inv$4,318
VOTVanguard Mid-Cap Growth ETF$3,228
VMVIXVanguard Mid-Cap Value Index Investor$1,828
VISGXVanguard Small Cap Growth Index Inv$3,058
VISVXVanguard Small Cap Value Index Inv$1,480
VLACXVanguard Large Cap Index Investor$13,470
VIMSXVanguard Mid Cap Index Investor$4,991
NAESXVanguard Small Cap Index Inv$4,394

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameLarge/mid/small, each split into growth and valueLarge/mid/small, not split
VIGRXVanguard Growth Index Investor25.34%
VIVAXVanguard Value Index Inv24.41%
VOTVanguard Mid-Cap Growth ETF11.95%
VMVIXVanguard Mid-Cap Value Index Investor12.01%
VISGXVanguard Small Cap Growth Index Inv13.18%
VISVXVanguard Small Cap Value Index Inv13.10%
VLACXVanguard Large Cap Index Investor49.77%
VIMSXVanguard Mid Cap Index Investor23.95%
NAESXVanguard Small Cap Index Inv26.28%

Annual Asset Returns

Rolling returns summary
Roll PeriodLarge/mid/small, each split into growth and valueLarge/mid/small, not split
AverageHighLowAverageHighLow
1 year10.68%34.12%-37.99%10.62%34.20%-37.93%
3 years10.40%20.46%-4.70%10.36%20.49%-4.78%
5 years10.92%20.00%0.78%10.90%19.98%0.75%
7 years11.80%15.66%7.17%11.78%15.64%7.14%
10 years10.69%13.38%7.37%10.65%13.32%7.37%
Result statistics are based on annualized rolling returns over full calendar year periods