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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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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Portfolio Analysis Results (Feb 2004 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 75.00%
VBR Vanguard Small-Cap Value ETF 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 80.00%
SLYV SPDR S&P 600 Small Cap Value ETF 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 82.00%
DFSVX DFA US Small Cap Value I 18.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$39,013 8.51% 15.22%33.27%-35.75%-51.43% 0.530.751.00
Portfolio 2$10,000$39,136 8.53% 15.12%33.86%-36.37%-51.26% 0.530.761.00
Portfolio 3$10,000$38,201 8.37% 15.26%33.98%-36.90%-52.12% 0.520.741.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 17.69%-0.59%7.93%8.41%11.75%12.42%8.51%
Portfolio 27.55%-0.36%8.40%8.82%12.29%12.65%8.53%
Portfolio 37.90%0.23%9.31%8.60%11.85%12.46%8.37%
Trailing returns are for full months ending in September 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 2004 are based on monthly returns from February to December
  • The annual results for 2020 are based on monthly returns from January to September
  • 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 quarterly 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 500 Index Investor (VFINX)Vanguard Small-Cap Value ETF (VBR)SPDR S&P 600 Small Cap Value ETF (SLYV)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20042.75%11.63%9.99%10.66%$11,163$10,999$11,0668.76%20.49%14.91%19.55%
20053.42%5.16%4.41%5.32%$11,739$11,484$11,6544.77%6.26%2.81%7.79%
20062.54%16.66%16.52%16.81%$13,695$13,382$13,61415.64%19.49%19.80%21.55%
20074.08%2.24%3.37%2.40%$14,001$13,832$13,9415.39%-6.94%-4.60%-10.75%
20080.09%-35.75%-36.37%-36.90%$8,995$8,801$8,796-37.02%-32.20%-33.99%-36.79%
20092.72%27.78%28.67%27.93%$11,494$11,324$11,25326.49%30.92%37.04%33.62%
20101.50%17.42%16.82%17.72%$13,495$13,228$13,24714.91%25.10%24.58%30.90%
20112.96%0.46%1.29%0.33%$13,557$13,399$13,2901.97%-4.23%-1.73%-7.55%
20121.74%16.62%16.15%16.89%$15,811$15,562$15,53515.82%18.98%17.38%21.72%
20131.50%33.27%33.86%33.98%$21,071$20,831$20,81332.18%36.55%40.63%42.38%
20140.76%12.82%12.23%11.70%$23,773$23,380$23,24813.51%10.55%6.87%3.48%
20150.73%-0.26%-0.31%-0.40%$23,711$23,308$23,1541.25%-4.76%-6.41%-7.81%
20162.07%15.00%15.53%14.72%$27,269$26,928$26,56211.82%24.90%31.18%28.26%
20172.11%19.15%19.64%19.00%$32,491$32,218$31,60821.67%11.80%11.66%7.21%
20181.91%-6.48%-6.14%-6.44%$30,386$30,240$29,572-4.52%-12.26%-12.76%-15.13%
20192.29%29.15%29.89%28.89%$39,243$39,280$38,11531.33%22.77%24.26%18.12%
20201.29%-0.59%-0.36%0.23%$39,013$39,136$38,2015.47%-18.15%-22.62%-22.94%
Annual returns for 2004 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Small-Cap Value ETF (VBR)SPDR S&P 600 Small Cap Value ETF (SLYV)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200421.74%1.73%1.38%$10,174$10,173$10,1381.38%2.85%3.13%1.41%
20043-0.73%-1.06%-1.07%$10,101$10,065$10,030-1.51%1.60%0.70%0.94%
20044-2.60%-2.63%-1.86%$9,838$9,800$9,843-1.58%-5.66%-6.82%-3.17%
200451.53%1.51%1.18%$9,989$9,948$9,9591.36%2.06%2.15%0.38%
200462.63%2.27%2.77%$10,251$10,174$10,2351.93%4.79%3.71%6.69%
20047-3.36%-3.67%-3.67%$9,906$9,802$9,859-3.31%-3.51%-5.08%-5.33%
200480.60%0.46%0.05%$9,965$9,846$9,8640.38%1.24%0.77%-1.49%
200491.68%1.65%1.74%$10,132$10,009$10,0361.07%3.49%4.00%4.93%
2004101.51%1.57%1.42%$10,286$10,166$10,1781.51%1.51%1.78%0.96%
2004115.10%4.77%5.11%$10,810$10,650$10,6984.05%8.27%7.64%10.00%
2004123.26%3.28%3.44%$11,163$10,999$11,0663.39%2.87%2.84%3.62%
20051-2.75%-3.02%-2.66%$10,855$10,667$10,772-2.45%-3.65%-5.30%-3.57%
200522.17%2.05%2.20%$11,091$10,885$11,0092.09%2.40%1.87%2.70%
20053-1.86%-1.76%-1.79%$10,884$10,694$10,812-1.76%-2.16%-1.75%-1.95%
20054-2.69%-2.62%-2.88%$10,592$10,414$10,500-1.91%-5.03%-5.46%-7.28%
200554.17%3.84%3.77%$11,033$10,814$10,8963.17%7.28%6.64%6.65%
200560.99%0.80%0.84%$11,142$10,901$10,9880.13%3.56%3.53%4.17%
200574.14%4.19%4.32%$11,604$11,358$11,4623.71%5.46%6.13%7.11%
20058-1.19%-1.11%-1.05%$11,466$11,231$11,342-0.91%-2.01%-1.89%-1.67%
200590.79%0.86%0.79%$11,556$11,328$11,4320.79%0.77%1.11%0.80%
200510-2.06%-1.83%-1.90%$11,318$11,120$11,214-1.68%-3.22%-2.45%-2.92%
2005113.77%3.82%3.84%$11,744$11,545$11,6453.76%3.78%4.03%4.21%
200512-0.04%-0.52%0.08%$11,739$11,484$11,6540.02%-0.24%-2.72%0.34%
200613.70%3.58%3.76%$12,173$11,895$12,0922.65%6.85%7.32%8.82%
200620.33%0.21%0.15%$12,213$11,920$12,1100.26%0.51%0.02%-0.35%
200631.85%1.76%2.14%$12,439$12,130$12,3701.23%3.64%3.78%6.09%
200640.99%1.14%1.27%$12,562$12,268$12,5271.33%-0.04%0.37%0.98%
20065-3.11%-3.02%-3.16%$12,172$11,898$12,130-2.90%-3.75%-3.50%-4.39%
200660.34%0.25%0.11%$12,213$11,928$12,1440.13%1.00%0.77%0.05%
200670.15%0.19%-0.18%$12,232$11,951$12,1230.61%-1.22%-1.47%-3.75%
200682.30%2.40%2.29%$12,513$12,238$12,4002.36%2.13%2.56%1.95%
200692.15%2.10%2.33%$12,783$12,495$12,6892.56%0.89%0.20%1.19%
2006103.60%3.53%3.64%$13,243$12,935$13,1513.25%4.64%4.63%5.43%
2006112.24%2.22%2.10%$13,540$13,223$13,4271.89%3.29%3.55%3.03%
2006121.14%1.20%1.39%$13,695$13,382$13,6141.39%0.42%0.45%1.38%
200711.61%1.66%1.62%$13,916$13,604$13,8351.49%1.97%2.33%2.20%
20072-1.62%-1.66%-1.65%$13,690$13,377$13,606-1.97%-0.59%-0.46%-0.23%
200730.99%1.16%1.11%$13,825$13,532$13,7561.11%0.63%1.33%1.09%
200743.74%3.93%3.95%$14,343$14,064$14,2994.42%1.72%1.98%1.81%
200753.57%3.58%3.51%$14,854$14,568$14,8013.48%3.84%4.01%3.65%
20076-1.83%-1.78%-1.65%$14,583$14,309$14,556-1.68%-2.29%-2.18%-1.55%
20077-4.24%-3.89%-3.91%$13,965$13,753$13,988-3.08%-7.70%-7.09%-7.64%
200781.54%1.50%1.11%$14,180$13,959$14,1431.50%1.66%1.49%-0.76%
200793.04%3.23%3.04%$14,610$14,409$14,5733.72%0.87%1.15%-0.28%
2007101.58%1.48%1.50%$14,841$14,622$14,7911.58%1.60%1.08%1.11%
200711-4.86%-4.60%-5.00%$14,121$13,950$14,052-4.19%-6.86%-6.26%-8.72%
200712-0.85%-0.84%-0.79%$14,001$13,832$13,941-0.70%-1.31%-1.44%-1.20%
20081-5.48%-5.58%-5.64%$13,233$13,060$13,155-6.02%-3.88%-3.84%-3.94%
20082-3.09%-3.16%-3.18%$12,824$12,647$12,737-3.25%-2.62%-2.80%-2.84%
20083-0.43%-0.49%-0.20%$12,769$12,585$12,711-0.44%-0.39%-0.68%0.84%
200844.81%4.69%4.28%$13,384$13,176$13,2554.85%4.68%4.03%1.66%
200852.00%1.68%1.79%$13,652$13,397$13,4921.29%4.14%3.23%4.14%
20086-9.18%-8.92%-8.74%$12,398$12,202$12,313-8.44%-11.36%-10.81%-10.10%
200870.39%-0.09%-0.31%$12,447$12,192$12,275-0.83%4.06%2.90%2.07%
200882.00%1.91%1.94%$12,696$12,425$12,5141.45%3.60%3.72%4.15%
20089-7.96%-8.44%-8.53%$11,685$11,376$11,447-8.91%-5.32%-6.68%-6.89%
200810-18.08%-17.47%-17.75%$9,572$9,388$9,415-16.79%-21.96%-20.20%-22.14%
200811-7.74%-8.24%-8.17%$8,831$8,615$8,646-7.17%-9.56%-12.69%-12.99%
2008121.86%2.16%1.74%$8,995$8,801$8,7961.07%4.46%7.00%5.25%
20091-9.41%-8.94%-9.47%$8,149$8,014$7,964-8.41%-12.39%-11.04%-14.28%
20092-11.47%-11.07%-11.01%$7,214$7,127$7,087-10.66%-14.01%-12.78%-12.71%
200938.78%8.84%9.03%$7,847$7,756$7,7278.76%8.83%9.16%10.40%
2009412.06%11.60%11.38%$8,794$8,657$8,6069.56%19.56%19.79%19.66%
200955.14%5.19%5.15%$9,246$9,106$9,0505.62%3.83%3.64%3.22%
200960.14%0.09%0.25%$9,258$9,115$9,0720.22%-0.09%-0.38%0.35%
200978.35%8.56%8.63%$10,031$9,895$9,8557.58%10.65%12.48%13.44%
200984.26%4.16%3.89%$10,458$10,306$10,2393.60%6.18%6.29%5.14%
200994.16%3.99%4.21%$10,893$10,717$10,6703.72%5.41%5.00%6.33%
200910-2.92%-2.66%-2.89%$10,575$10,432$10,362-1.87%-6.09%-5.83%-7.53%
2009115.39%5.52%5.49%$11,145$11,007$10,9315.98%3.55%3.59%3.11%
2009123.13%2.88%2.95%$11,494$11,324$11,2531.95%6.92%6.84%7.92%
20101-3.45%-3.27%-3.52%$11,097$10,953$10,856-3.60%-2.99%-1.94%-3.16%
201023.57%3.41%3.65%$11,494$11,327$11,2523.09%5.01%4.65%6.15%
201036.57%6.38%6.54%$12,249$12,049$11,9886.01%8.20%7.78%8.86%
201042.74%2.58%2.75%$12,585$12,360$12,3181.58%6.23%6.57%8.11%
20105-7.99%-7.98%-8.36%$11,579$11,373$11,288-8.01%-7.95%-7.88%-9.90%
20106-6.00%-5.91%-6.15%$10,885$10,701$10,593-5.24%-8.16%-8.46%-10.14%
201077.11%7.16%7.30%$11,659$11,468$11,3677.00%7.46%7.84%8.69%
20108-5.07%-5.14%-5.23%$11,068$10,879$10,772-4.53%-6.66%-7.55%-8.38%
201099.29%9.28%9.63%$12,097$11,888$11,8098.92%10.43%10.73%12.93%
2010103.74%3.65%3.86%$12,549$12,321$12,2653.79%3.60%3.09%4.17%
2010110.57%0.48%0.81%$12,621$12,380$12,3640.00%2.28%2.41%4.49%
2010126.93%6.85%7.14%$13,495$13,228$13,2476.67%7.69%7.54%9.18%
201111.92%1.82%1.99%$13,754$13,469$13,5102.36%0.60%-0.32%0.31%
201123.73%3.53%3.92%$14,267$13,945$14,0403.42%4.70%4.00%6.28%
201130.39%0.48%0.39%$14,323$14,012$14,0950.03%1.47%2.35%2.05%
201142.80%2.65%2.64%$14,723$14,384$14,4682.95%2.34%1.48%1.26%
20115-1.39%-1.37%-1.50%$14,519$14,186$14,251-1.15%-2.12%-2.30%-3.12%
20116-1.77%-1.62%-1.70%$14,261$13,957$14,010-1.67%-2.08%-1.39%-1.81%
20117-2.37%-2.19%-2.20%$13,924$13,651$13,702-2.05%-3.32%-2.76%-2.88%
20118-6.13%-6.02%-6.36%$13,071$12,830$12,830-5.45%-8.19%-8.31%-10.58%
20119-7.91%-7.68%-7.99%$12,036$11,845$11,805-7.04%-10.64%-10.32%-12.58%
20111011.79%11.86%11.80%$13,456$13,249$13,19810.91%14.43%15.62%15.82%
201111-0.21%-0.11%-0.32%$13,427$13,235$13,156-0.23%-0.14%0.37%-0.68%
2011120.97%1.24%1.02%$13,557$13,399$13,2901.02%0.82%2.10%1.01%
201215.09%5.18%5.00%$14,247$14,092$13,9544.46%6.97%8.02%7.43%
201223.86%3.78%4.10%$14,797$14,625$14,5264.31%2.55%1.74%3.18%
201233.06%3.22%3.10%$15,251$15,096$14,9773.28%2.41%2.98%2.30%
20124-0.73%-0.88%-0.81%$15,140$14,963$14,855-0.64%-0.99%-1.87%-1.60%
20125-6.09%-6.38%-6.21%$14,217$14,008$13,932-6.02%-6.31%-7.86%-7.12%
201264.20%4.27%4.16%$14,814$14,605$14,5114.11%4.47%4.91%4.38%
201270.92%1.04%1.08%$14,951$14,757$14,6681.37%-0.43%-0.29%-0.24%
201282.42%2.53%2.59%$15,313$15,130$15,0482.24%2.99%3.71%4.21%
201292.63%2.75%2.71%$15,716$15,546$15,4552.58%2.80%3.44%3.31%
201210-1.57%-1.96%-1.67%$15,470$15,242$15,197-1.86%-0.70%-2.36%-0.82%
2012110.67%0.77%0.79%$15,574$15,359$15,3170.56%1.01%1.60%1.84%
2012121.52%1.33%1.42%$15,811$15,562$15,5350.90%3.34%3.02%3.72%
201315.50%5.37%5.43%$16,680$16,398$16,3785.18%6.46%6.13%6.56%
201321.41%1.36%1.41%$16,915$16,621$16,6091.34%1.62%1.47%1.75%
201333.95%3.79%3.95%$17,582$17,252$17,2663.74%4.56%4.01%4.91%
201341.45%1.56%1.37%$17,837$17,521$17,5011.91%0.09%0.16%-1.11%
201352.52%2.71%2.87%$18,287$17,996$18,0032.33%3.11%4.28%5.39%
20136-1.33%-1.24%-1.23%$18,044$17,772$17,781-1.35%-1.27%-0.82%-0.70%
201375.52%5.54%5.48%$19,039$18,758$18,7555.07%6.85%7.43%7.34%
20138-3.23%-3.01%-3.14%$18,424$18,193$18,166-2.91%-4.17%-3.38%-4.17%
201393.67%3.84%3.51%$19,099$18,893$18,8033.12%5.30%6.68%5.24%
2013104.42%4.39%4.39%$19,944$19,723$19,6294.59%3.92%3.63%3.51%
2013113.00%3.25%3.39%$20,543$20,364$20,2953.03%2.93%4.14%5.08%
2013122.57%2.29%2.55%$21,071$20,831$20,8132.51%2.74%1.42%2.72%
20141-3.30%-3.53%-3.77%$20,376$20,097$20,028-3.47%-2.78%-3.76%-5.14%
201424.66%4.56%4.72%$21,326$21,013$20,9734.56%4.97%4.55%5.45%
201430.95%0.90%0.89%$21,528$21,203$21,1590.82%1.31%1.23%1.19%
201440.26%0.12%0.25%$21,584$21,227$21,2120.72%-1.13%-2.31%-1.93%
201452.16%2.04%2.07%$22,051$21,660$21,6512.33%1.64%0.81%0.83%
201462.61%2.42%2.47%$22,626$22,184$22,1852.05%4.32%3.95%4.44%
20147-2.24%-2.14%-2.18%$22,120$21,710$21,702-1.39%-4.79%-5.13%-5.76%
201484.26%4.09%4.30%$23,062$22,597$22,6363.98%5.12%4.53%5.83%
20149-2.43%-2.32%-2.39%$22,502$22,072$22,094-1.41%-5.54%-6.08%-6.98%
2014103.03%3.39%2.82%$23,184$22,821$22,7172.42%4.85%7.27%4.61%
2014112.28%2.19%2.14%$23,713$23,322$23,2032.68%1.10%0.33%-0.28%
2014120.25%0.25%0.19%$23,773$23,380$23,248-0.26%1.79%2.25%2.29%
20151-3.09%-3.43%-3.36%$23,038$22,579$22,466-3.02%-3.30%-5.06%-4.95%
201525.72%5.80%5.77%$24,356$23,888$23,7615.74%5.66%6.05%5.90%
20153-0.87%-1.08%-1.00%$24,144$23,630$23,524-1.59%1.30%1.00%1.78%
201540.39%0.37%0.54%$24,237$23,718$23,6510.95%-1.30%-1.92%-1.34%
201551.30%1.20%1.29%$24,552$24,002$23,9551.27%1.37%0.89%1.36%
20156-1.83%-1.46%-1.58%$24,103$23,652$23,576-1.93%-1.51%0.50%0.05%
201571.32%1.07%1.05%$24,422$23,905$23,8232.08%-0.95%-2.97%-3.67%
20158-5.75%-5.71%-5.70%$23,018$22,541$22,466-6.04%-4.84%-4.30%-4.04%
20159-2.76%-2.75%-2.84%$22,383$21,922$21,827-2.49%-3.58%-3.81%-4.51%
2015107.97%8.01%7.86%$24,168$23,677$23,5428.42%6.63%6.35%5.28%
2015110.54%0.75%0.79%$24,298$23,855$23,7290.29%1.32%2.64%3.17%
201512-2.42%-2.29%-2.42%$23,711$23,308$23,154-1.59%-4.90%-5.08%-6.20%
20161-5.32%-5.14%-5.37%$22,449$22,110$21,910-4.98%-6.37%-5.80%-7.18%
201620.26%0.33%0.09%$22,508$22,182$21,929-0.15%1.50%2.23%1.17%
201637.32%7.32%7.13%$24,155$23,805$23,4936.78%8.94%9.45%8.77%
201640.81%0.70%0.63%$24,349$23,971$23,6410.37%2.10%1.99%1.80%
201651.69%1.52%1.54%$24,760$24,336$24,0061.78%1.40%0.49%0.47%
201660.22%0.30%-0.00%$24,815$24,408$24,0050.25%0.15%0.49%-1.16%
201673.92%4.02%3.89%$25,788$25,390$24,9383.68%4.64%5.41%4.85%
201680.28%0.35%0.42%$25,860$25,478$25,0430.13%0.73%1.19%1.74%
201690.08%0.18%0.23%$25,881$25,523$25,1010.01%0.30%0.83%1.21%
201610-2.10%-2.24%-2.07%$25,336$24,951$24,582-1.83%-2.92%-3.87%-3.14%
2016115.31%5.63%5.69%$26,682$26,355$25,9803.70%10.21%13.49%14.87%
2016122.20%2.18%2.24%$27,269$26,928$26,5621.96%2.86%2.97%3.41%
201711.58%1.29%1.45%$27,698$27,277$26,9471.88%0.65%-1.06%-0.53%
201723.48%3.45%3.32%$28,662$28,218$27,8423.96%2.01%1.33%0.32%
20173-0.10%-0.04%-0.11%$28,633$28,207$27,8110.10%-0.72%-0.63%-1.14%
201740.86%0.91%0.92%$28,880$28,464$28,0661.02%0.40%0.49%0.46%
201750.45%0.70%0.52%$29,010$28,663$28,2101.39%-2.40%-2.10%-3.51%
201761.05%1.09%0.95%$29,316$28,975$28,4790.61%2.44%3.07%2.59%
201771.79%1.78%1.81%$29,840$29,489$28,9952.04%1.02%0.71%0.77%
20178-0.14%-0.33%-0.21%$29,798$29,391$28,9330.29%-1.46%-2.88%-2.55%
201792.77%3.34%3.08%$30,622$30,373$29,8242.06%4.95%8.71%7.92%
2017101.95%1.97%2.07%$31,220$30,971$30,4422.32%0.86%0.58%0.96%
2017113.09%3.21%2.89%$32,184$31,965$31,3233.06%3.17%3.82%2.12%
2017120.95%0.79%0.91%$32,491$32,218$31,6081.10%0.50%-0.46%0.03%
201814.77%4.85%4.95%$34,039$33,783$33,1755.71%1.93%1.42%1.50%
20182-3.95%-3.79%-3.87%$32,696$32,502$31,892-3.69%-4.74%-4.19%-4.68%
20183-1.74%-1.79%-1.95%$32,126$31,920$31,269-2.56%0.82%1.42%0.93%
201840.38%0.64%0.54%$32,248$32,126$31,4390.37%0.40%1.72%1.32%
201852.93%3.09%3.10%$33,192$33,118$32,4142.39%4.52%5.83%6.29%
201860.54%0.66%0.50%$33,372$33,338$32,5770.61%0.36%0.89%0.06%
201873.40%3.49%3.33%$34,508$34,501$33,6633.71%2.49%2.61%1.61%
201883.04%3.22%3.17%$35,557$35,613$34,7313.25%2.41%3.14%2.84%
201890.01%-0.15%-0.11%$35,559$35,562$34,6940.55%-1.67%-2.98%-3.19%
201810-7.40%-7.50%-7.31%$32,928$32,895$32,158-6.85%-9.05%-10.09%-9.41%
2018112.11%1.77%1.83%$33,621$33,476$32,7472.03%2.35%0.68%0.91%
201812-9.62%-9.67%-9.69%$30,386$30,240$29,572-9.04%-11.41%-12.30%-12.79%
201918.79%8.84%8.72%$33,057$32,913$32,1528.00%11.16%12.19%12.00%
201923.40%3.40%3.21%$34,182$34,032$33,1853.20%3.99%4.17%3.27%
201930.95%0.74%0.90%$34,505$34,286$33,4831.94%-1.92%-3.80%-3.66%
201944.01%4.07%4.04%$35,888$35,682$34,8364.04%3.91%4.20%4.04%
20195-6.81%-7.08%-7.29%$33,445$33,157$32,296-6.36%-8.13%-9.92%-11.52%
201966.99%7.16%7.16%$35,782$35,532$34,6087.03%6.84%7.71%7.77%
201971.26%1.38%1.24%$36,232$36,022$35,0371.43%0.75%1.19%0.39%
20198-2.55%-2.30%-2.73%$35,309$35,194$34,079-1.59%-5.44%-5.13%-8.00%
201992.37%2.59%2.55%$36,146$36,104$34,9481.86%3.98%5.61%5.96%
2019102.05%2.12%2.10%$36,888$36,871$35,6812.15%1.75%1.99%1.83%
2019113.34%3.45%3.54%$38,118$38,142$36,9443.62%2.48%2.75%3.17%
2019122.95%2.98%3.17%$39,243$39,280$38,1153.01%2.78%2.89%3.92%
20201-0.88%-1.31%-1.28%$38,897$38,765$37,627-0.05%-3.37%-6.35%-6.88%
20202-8.71%-8.60%-8.67%$35,508$35,432$34,363-8.24%-10.18%-10.12%-10.79%
20203-15.42%-14.84%-14.73%$30,033$30,175$29,301-12.37%-25.08%-25.58%-26.60%
2020412.89%13.01%13.35%$33,903$34,100$33,21412.81%13.11%13.78%15.81%
202054.77%4.30%4.40%$35,519$35,568$34,6774.76%4.80%2.52%2.85%
202062.00%2.30%2.10%$36,228$36,387$35,4041.98%2.05%3.63%2.65%
202075.04%5.03%5.19%$38,055$38,218$37,2435.63%3.29%2.65%3.21%
202086.55%6.76%6.89%$40,548$40,803$39,8107.18%4.63%5.06%5.58%
20209-3.79%-4.08%-4.04%$39,013$39,136$38,201-3.81%-3.71%-5.23%-5.13%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value39.25%38.29%38.61%
Large-cap Growth38.56%42.15%40.56%
Mid-cap Value8.73%2.67%2.48%
Mid-cap Growth0.85%0.00%1.83%
Small-cap Value11.10%16.69%16.08%
Small-cap Growth1.38%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.14%0.21%0.44%
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 Squared99.82%99.88%99.79%
Style analysis is based on monthly returns from Apr 2005 to Sep 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend75.00%0.14%25.91$23,89669.90%
VBRVanguard Small-Cap Value ETFSmall Value25.00%0.07%15.57$5,11730.10%
100.00%0.12%23.32$29,013100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend80.00%0.14%25.91$25,24975.10%
SLYVSPDR S&P 600 Small Cap Value ETFSmall Value20.00%0.15%15.07$3,88824.90%
100.00%0.14%23.74$29,136100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend82.00%0.14%25.91$25,52176.26%
DFSVXDFA US Small Cap Value ISmall Value18.00%0.51%13.17$2,68023.74%
100.00%0.21%23.61$28,201100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (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
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.78%0.78%0.77%
Arithmetic Mean (annualized)9.78%9.79%9.65%
Geometric Mean (monthly)0.68%0.68%0.67%
Geometric Mean (annualized)8.51%8.53%8.37%
Volatility (monthly)4.39%4.36%4.40%
Volatility (annualized)15.22%15.12%15.26%
Downside Deviation (monthly)3.05%3.01%3.05%
Max. Drawdown-51.43%-51.26%-52.12%
US Market Correlation1.001.001.00
Beta(*)1.021.021.03
Alpha (annualized)-0.65%-0.58%-0.80%
R299.37%99.41%99.45%
Sharpe Ratio0.530.530.52
Sortino Ratio0.750.760.74
Treynor Ratio (%)7.927.977.78
Calmar Ratio0.360.380.37
Active Return-0.53%-0.51%-0.67%
Tracking Error1.25%1.19%1.20%
Information Ratio-0.42-0.43-0.56
Skewness-0.81-0.75-0.75
Excess Kurtosis2.462.202.18
Historical Value-at-Risk (5%)-7.91%-7.96%-8.16%
Analytical Value-at-Risk (5%)-6.43%-6.39%-6.47%
Conditional Value-at-Risk (5%)-10.58%-10.42%-10.51%
Upside Capture Ratio (%)100.1599.88100.39
Downside Capture Ratio (%)103.20102.71104.19
Safe Withdrawal Rate8.60%8.47%8.46%
Perpetual Withdrawal Rate6.18%6.20%6.06%
Positive Periods137 out of 200 (68.50%)135 out of 200 (67.50%)134 out of 200 (67.00%)
Gain/Loss Ratio0.740.770.78
* 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 2009-51.39%-51.26%-52.09%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20123 years 1 month4 years 10 months-51.43%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-23.47%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.55%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.83%
5May 2019May 20191 monthJul 20192 months3 months-6.81%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.78%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.62%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-5.11%
9Sep 2020Sep 20201 month-3.79%
10Jul 2004Jul 20041 monthOct 20043 months4 months-3.36%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-51.26%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-23.18%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-15.09%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.67%
5Apr 2012May 20122 monthsAug 20123 months5 months-7.21%
6May 2019May 20191 monthJul 20192 months3 months-7.08%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.59%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-5.51%
9Jan 2005Apr 20054 monthsJul 20053 months7 months-5.32%
10Sep 2020Sep 20201 month-4.08%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20123 years 1 month4 years 10 months-52.12%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-23.12%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-14.85%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5May 2019May 20191 monthJul 20192 months3 months-7.29%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.98%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.74%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-5.11%
9Sep 2020Sep 20201 month-4.04%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.77%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor8.84%14.30%32.18%-37.02%-50.97%0.580.831.00
VBRVanguard Small-Cap Value ETF7.21%19.09%36.55%-32.20%-55.89%0.400.550.94
SLYVSPDR S&P 600 Small Cap Value ETF6.88%20.00%40.63%-33.99%-55.37%0.370.520.92
DFSVXDFA US Small Cap Value I5.68%21.53%42.38%-36.79%-61.18%0.310.430.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVBRSLYVDFSVXPortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor1.000.920.900.890.990.990.99
VBRVanguard Small-Cap Value ETF0.921.000.990.980.960.960.95
SLYVSPDR S&P 600 Small Cap Value ETF0.900.991.000.980.940.940.94
DFSVXDFA US Small Cap Value I0.890.980.981.000.930.930.94

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor$23,896$25,249$25,521
VBRVanguard Small-Cap Value ETF$5,117
SLYVSPDR S&P 600 Small Cap Value ETF$3,888
DFSVXDFA US Small Cap Value I$2,680

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor69.90%75.10%76.26%
VBRVanguard Small-Cap Value ETF30.10%
SLYVSPDR S&P 600 Small Cap Value ETF24.90%
DFSVXDFA US Small Cap Value I23.74%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.22%33.27%-35.75%10.37%33.86%-36.37%10.13%33.98%-36.90%
3 years8.53%20.59%-8.49%8.66%20.39%-8.49%8.37%20.49%-8.95%
5 years9.13%18.56%-0.20%9.24%18.81%0.03%8.97%18.80%-0.48%
7 years9.87%14.85%2.82%9.97%14.93%2.86%9.73%14.83%2.65%
10 years9.51%13.07%7.13%9.60%13.24%7.24%9.35%12.98%6.91%
15 years8.74%8.74%8.74%8.86%8.86%8.86%8.59%8.59%8.59%
Result statistics are based on annualized rolling returns over full calendar year periods