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 10
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Portfolio Analysis Results (Jan 1999 - Mar 2020)

Portfolio Allocations

100% VEIEX
Ticker Name Allocation
VEIEX Vanguard Emerging Mkts Stock Idx Inv 100.00%
Save portfolio »
50/50 with annual rebalancing
Ticker Name Allocation
VEIEX Vanguard Emerging Mkts Stock Idx Inv 50.00%
VISVX Vanguard Small Cap Value Index Inv 50.00%
Save portfolio »
100% VISVX
Ticker Name Allocation
VISVX Vanguard Small Cap Value Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
100% VEIEX$10,000$42,947 7.10% 22.14%75.98%-52.81%-62.70% 0.340.500.80
50/50 with annual rebalancing$10,000$49,888 7.86% 19.14%53.16%-42.43%-57.45% 0.400.570.90
100% VISVX$10,000$42,947 7.10% 19.00%37.19%-34.89%-56.13% 0.360.510.88
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
100% VEIEX-24.59%-18.60%-2.94%-1.32%0.16%7.10%17.33%17.33%
50/50 with annual rebalancing-29.74%-24.07%-5.58%-1.56%3.37%7.86%18.53%16.68%
100% VISVX-34.89%-29.55%-8.47%-2.16%6.04%7.10%21.84%19.09%
Trailing annualized return and volatility are for full months ending in March 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 2020 are based on monthly returns from January to March
  • 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
Annual returns for the configured portfolios
YearInflation100% VEIEX50/50 with annual rebalancing100% VISVXVanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Small Cap Value Index Inv (VISVX)
ReturnBalanceReturnBalanceReturnBalance
19992.68%61.57%$16,15732.46%$13,2463.35%$10,33561.57%3.35%
20003.39%-27.56%$11,705-2.84%$12,87021.88%$12,596-27.56%21.88%
20011.55%-2.88%$11,3685.41%$13,56613.70%$14,321-2.88%13.70%
20022.38%-7.43%$10,523-10.81%$12,099-14.20%$12,288-7.43%-14.20%
20031.88%57.65%$16,59047.42%$17,83737.19%$16,85857.65%37.19%
20043.26%26.12%$20,92324.84%$22,26623.55%$20,82926.12%23.55%
20053.42%32.05%$27,62919.06%$26,5116.07%$22,09332.05%6.07%
20062.54%29.39%$35,75024.32%$32,95819.24%$26,34529.39%19.24%
20074.08%38.90%$49,65715.91%$38,203-7.07%$24,48238.90%-7.07%
20080.09%-52.81%$23,431-42.43%$21,992-32.05%$16,634-52.81%-32.05%
20092.72%75.98%$41,23353.16%$33,68230.34%$21,68075.98%30.34%
20101.50%18.86%$49,01021.84%$41,03724.82%$27,06118.86%24.82%
20112.96%-18.78%$39,808-11.47%$36,330-4.16%$25,934-18.78%-4.16%
20121.74%18.64%$47,22818.60%$43,08918.56%$30,74918.64%18.56%
20131.50%-5.19%$44,77615.61%$49,81436.41%$41,944-5.19%36.41%
20140.76%0.42%$44,9645.41%$52,50710.39%$46,3020.42%10.39%
20150.73%-15.47%$38,010-10.12%$47,192-4.78%$44,090-15.47%-4.78%
20162.07%11.50%$42,38018.07%$55,72124.65%$54,95811.50%24.65%
20172.11%31.15%$55,58321.41%$67,65311.67%$61,37231.15%11.67%
20181.91%-14.71%$47,405-13.53%$58,502-12.34%$53,799-14.71%-12.34%
20192.29%20.13%$56,94821.37%$71,00422.61%$65,96420.13%22.61%
20200.44%-24.59%$42,947-29.74%$49,888-34.89%$42,947-24.59%-34.89%
Annual return for 2020 is from 01/01/2020 to 03/31/2020
Monthly returns for the configured portfolios
YearMonth100% VEIEX50/50 with annual rebalancing100% VISVXVanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Small Cap Value Index Inv (VISVX)
ReturnBalanceReturnBalanceReturnBalance
19991-2.91%$9,709-2.03%$9,797-1.14%$9,886-2.91%-1.14%
199922.21%$9,924-2.99%$9,504-8.10%$9,0852.21%-8.10%
1999311.72%$11,0875.94%$10,069-0.38%$9,05011.72%-0.38%
1999415.39%$12,79412.42%$11,3198.77%$9,84415.39%8.77%
19995-4.15%$12,263-0.62%$11,2493.97%$10,235-4.15%3.97%
199967.94%$13,2367.14%$12,0526.18%$10,8677.94%6.18%
19997-3.44%$12,781-2.60%$11,738-1.59%$10,695-3.44%-1.59%
19998-0.99%$12,655-2.45%$11,451-4.19%$10,246-0.99%-4.19%
19999-0.50%$12,592-1.08%$11,327-1.80%$10,062-0.50%-1.80%
1999103.82%$13,0721.05%$11,446-2.40%$9,8213.82%-2.40%
1999118.12%$14,1345.64%$12,0922.34%$10,0518.12%2.34%
19991214.31%$16,1579.54%$13,2462.83%$10,33514.31%2.83%
20001-4.88%$15,369-5.04%$12,578-5.21%$9,797-4.88%-5.21%
200023.53%$15,9124.07%$13,0914.62%$10,2493.53%4.62%
20003-0.90%$15,7691.52%$13,2903.92%$10,651-0.90%3.92%
20004-7.47%$14,592-3.27%$12,8550.71%$10,727-7.47%0.71%
20005-5.32%$13,816-3.29%$12,432-1.53%$10,563-5.32%-1.53%
200066.27%$14,6824.42%$12,9812.86%$10,8656.27%2.86%
20007-5.20%$13,919-1.35%$12,8061.97%$11,079-5.20%1.97%
200081.49%$14,1263.94%$13,3105.91%$11,7341.49%5.91%
20009-6.14%$13,259-2.79%$12,939-0.21%$11,709-6.14%-0.21%
200010-7.61%$12,250-2.82%$12,5730.65%$11,784-7.61%0.65%
200011-9.82%$11,047-7.84%$11,588-6.52%$11,016-9.82%-6.52%
2000125.95%$11,70511.06%$12,87014.34%$12,5965.95%14.34%
2001111.76%$13,0829.87%$14,1407.98%$13,60111.76%7.98%
20012-8.70%$11,943-6.45%$13,228-4.13%$13,040-8.70%-4.13%
20013-10.42%$10,698-7.27%$12,267-4.16%$12,498-10.42%-4.16%
200149.29%$11,6927.59%$13,1986.02%$13,2519.29%6.02%
200151.47%$11,8652.04%$13,4672.58%$13,5931.47%2.58%
20016-2.12%$11,6131.10%$13,6164.13%$14,154-2.12%4.13%
20017-6.74%$10,831-3.77%$13,102-1.16%$13,990-6.74%-1.16%
20018-0.98%$10,725-1.30%$12,931-1.57%$13,771-0.98%-1.57%
20019-15.57%$9,054-14.89%$11,006-14.31%$11,800-15.57%-14.31%
2001106.59%$9,6515.52%$11,6144.64%$12,3476.59%4.64%
2001119.34%$10,5528.66%$12,6208.09%$13,3479.34%8.09%
2001127.73%$11,3687.50%$13,5667.30%$14,3217.73%7.30%
200212.87%$11,6942.36%$13,8861.85%$14,5862.87%1.85%
200222.67%$12,0061.20%$14,053-0.29%$14,5442.67%-0.29%
200234.52%$12,5506.58%$14,9788.72%$15,8134.52%8.72%
200240.32%$12,5902.19%$15,3064.06%$16,4550.32%4.06%
20025-0.43%$12,536-2.15%$14,976-3.82%$15,827-0.43%-3.82%
20026-8.23%$11,504-6.23%$14,043-4.24%$15,156-8.23%-4.24%
20027-8.50%$10,526-12.43%$12,297-16.20%$12,702-8.50%-16.20%
200281.42%$10,6750.67%$12,379-0.11%$12,6871.42%-0.11%
20029-10.69%$9,534-9.10%$11,252-7.42%$11,745-10.69%-7.42%
2002106.55%$10,1594.33%$11,7402.07%$11,9886.55%2.07%
2002117.09%$10,8796.25%$12,4735.36%$12,6307.09%5.36%
200212-3.27%$10,523-3.00%$12,099-2.71%$12,288-3.27%-2.71%
200310.13%$10,537-1.99%$11,859-4.11%$11,7830.13%-4.11%
20032-3.80%$10,137-3.74%$11,416-3.67%$11,351-3.80%-3.67%
20033-2.04%$9,930-1.23%$11,275-0.38%$11,307-2.04%-0.38%
200348.75%$10,7998.90%$12,2799.06%$12,3318.75%9.06%
200356.39%$11,4896.99%$13,1377.60%$13,2696.39%7.60%
200365.88%$12,1653.82%$13,6391.74%$13,5005.88%1.74%
200377.03%$13,0205.79%$14,4294.49%$14,1057.03%4.49%
200386.36%$13,8474.92%$15,1393.37%$14,5816.36%3.37%
200390.80%$13,9580.18%$15,167-0.49%$14,5090.80%-0.49%
2003109.09%$15,2268.13%$16,4007.06%$15,5339.09%7.06%
2003111.09%$15,3922.40%$16,7943.90%$16,1391.09%3.90%
2003127.78%$16,5906.21%$17,8374.46%$16,8587.78%4.46%
200413.12%$17,1082.91%$18,3562.70%$17,3133.12%2.70%
200424.17%$17,8223.36%$18,9722.54%$17,7534.17%2.54%
200430.39%$17,8921.06%$19,1731.74%$18,0610.39%1.74%
20044-7.90%$16,478-6.72%$17,885-5.52%$17,064-7.90%-5.52%
20045-0.85%$16,3380.45%$17,9651.72%$17,357-0.85%1.72%
20046-0.09%$16,3242.51%$18,4154.99%$18,223-0.09%4.99%
20047-1.80%$16,030-2.71%$17,916-3.54%$17,577-1.80%-3.54%
200484.10%$16,6882.71%$18,4021.42%$17,8264.10%1.42%
200495.62%$17,6264.47%$19,2243.37%$18,4285.62%3.37%
2004102.30%$18,0321.90%$19,5901.51%$18,7072.30%1.51%
20041110.17%$19,8669.11%$21,3758.08%$20,21810.17%8.08%
2004125.32%$20,9234.17%$22,2663.02%$20,8295.32%3.02%
20051-0.14%$20,895-1.93%$21,837-3.72%$20,053-0.14%-3.72%
200528.87%$22,7475.65%$23,0702.30%$20,5158.87%2.30%
20053-6.70%$21,222-4.41%$22,053-1.88%$20,131-6.70%-1.88%
20054-2.89%$20,609-3.36%$21,312-3.85%$19,355-2.89%-3.85%
200553.39%$21,3084.36%$22,2425.39%$20,3993.39%5.39%
200563.28%$22,0063.57%$23,0363.87%$21,1893.28%3.87%
200576.87%$23,5176.29%$24,4855.70%$22,3976.87%5.70%
200580.97%$23,745-0.55%$24,352-2.13%$21,9200.97%-2.13%
200598.64%$25,7974.75%$25,5070.54%$22,0398.64%0.54%
200510-6.57%$24,101-4.91%$24,254-2.98%$21,383-6.57%-2.98%
2005117.98%$26,0266.00%$25,7083.77%$22,1897.98%3.77%
2005126.16%$27,6293.12%$26,511-0.43%$22,0936.16%-0.43%
2006111.48%$30,8029.28%$28,9717.07%$23,65611.48%7.07%
20062-1.46%$30,353-0.68%$28,7740.13%$23,687-1.46%0.13%
200631.24%$30,7302.40%$29,4633.58%$24,5351.24%3.58%
200647.12%$32,9173.59%$30,5220.06%$24,5507.12%0.06%
20065-10.74%$29,382-7.41%$28,261-3.83%$23,609-10.74%-3.83%
20066-0.20%$29,3240.45%$28,3881.09%$23,867-0.20%1.09%
200671.19%$29,672-0.15%$28,346-1.46%$23,5181.19%-1.46%
200682.05%$30,2812.19%$28,9652.32%$24,0642.05%2.32%
200690.72%$30,4980.80%$29,1970.88%$24,2770.72%0.88%
2006104.75%$31,9474.78%$30,5944.82%$25,4464.75%4.82%
2006117.44%$34,3235.24%$32,1983.04%$26,2207.44%3.04%
2006124.16%$35,7502.36%$32,9580.48%$26,3454.16%0.48%
20071-0.58%$35,5440.71%$33,1911.99%$26,870-0.58%1.99%
20072-1.28%$35,087-0.93%$32,884-0.58%$26,716-1.28%-0.58%
200734.11%$36,5312.33%$33,6490.60%$26,8754.11%0.60%
200744.23%$38,0773.04%$34,6711.84%$27,3694.23%1.84%
200755.96%$40,3464.83%$36,3463.67%$28,3755.96%3.67%
200764.49%$42,1581.07%$36,736-2.51%$27,6634.49%-2.51%
200774.30%$43,969-1.12%$36,323-7.21%$25,6694.30%-7.21%
20078-0.94%$43,5570.12%$36,3651.45%$26,040-0.94%1.45%
2007910.75%$48,2416.34%$38,6700.89%$26,27210.75%0.89%
20071012.31%$54,1777.65%$41,6281.35%$26,62712.31%1.35%
200711-7.99%$49,847-7.49%$38,510-6.74%$24,834-7.99%-6.74%
200712-0.38%$49,657-0.80%$38,203-1.42%$24,482-0.38%-1.42%
20081-11.08%$44,155-7.35%$35,396-3.62%$23,597-11.08%-3.62%
200824.65%$46,2090.59%$35,606-3.15%$22,8544.65%-3.15%
20083-3.80%$44,455-1.83%$34,9560.14%$22,886-3.80%0.14%
200848.09%$48,0536.22%$37,1304.42%$23,8988.09%4.42%
200851.84%$48,9383.01%$38,2484.17%$24,8941.84%4.17%
20086-10.39%$43,855-10.98%$34,047-11.56%$22,016-10.39%-11.56%
20087-4.14%$42,041-0.02%$34,0404.02%$22,901-4.14%4.02%
20088-7.81%$38,757-1.68%$33,4683.87%$23,787-7.81%3.87%
20089-16.25%$32,460-10.59%$29,923-6.05%$22,348-16.25%-6.05%
200810-27.67%$23,479-23.83%$22,791-21.09%$17,635-27.67%-21.09%
200811-7.85%$21,635-9.45%$20,638-10.49%$15,784-7.85%-10.49%
2008128.30%$23,4316.56%$21,9925.38%$16,6348.30%5.38%
20091-8.19%$21,513-10.61%$19,659-13.03%$14,467-8.19%-13.03%
20092-6.07%$20,207-9.91%$17,711-13.96%$12,447-6.07%-13.96%
2009316.03%$23,44712.95%$20,0049.39%$13,61616.03%9.39%
2009416.03%$27,20517.71%$23,54619.76%$16,30616.03%19.76%
2009518.27%$32,17411.51%$26,2553.50%$16,87718.27%3.50%
20096-2.25%$31,451-1.33%$25,905-0.10%$16,861-2.25%-0.10%
2009711.55%$35,08411.16%$28,79610.64%$18,65511.55%10.64%
20098-0.63%$34,8642.26%$29,4476.12%$19,796-0.63%6.12%
200999.29%$38,1037.62%$31,6895.52%$20,8899.29%5.52%
200910-1.36%$37,584-3.52%$30,573-6.32%$19,568-1.36%-6.32%
2009115.90%$39,8014.95%$32,0873.67%$20,2855.90%3.67%
2009123.60%$41,2334.97%$33,6826.88%$21,6803.60%6.88%
20101-6.25%$38,654-4.66%$32,112-3.06%$21,016-6.25%-3.06%
201021.07%$39,0683.18%$33,1335.21%$22,1121.07%5.21%
201038.15%$42,2528.07%$35,8088.00%$23,8818.15%8.00%
201040.26%$42,3643.33%$37,0016.19%$25,3590.26%6.19%
20105-9.32%$38,415-8.61%$33,815-7.99%$23,333-9.32%-7.99%
20106-0.04%$38,399-4.33%$32,351-8.04%$21,457-0.04%-8.04%
201079.25%$41,9508.31%$35,0397.43%$23,0519.25%7.43%
20108-2.24%$41,010-4.52%$33,456-6.70%$21,507-2.24%-6.70%
2010911.18%$45,59510.80%$37,07010.42%$23,74911.18%10.42%
2010102.97%$46,9493.27%$38,2803.57%$24,5962.97%3.57%
201011-2.71%$45,675-0.21%$38,1992.30%$25,160-2.71%2.30%
2010127.30%$49,0107.43%$41,0377.55%$27,0617.30%7.55%
20111-2.77%$47,653-1.07%$40,5970.62%$27,230-2.77%0.62%
20112-0.85%$47,2491.95%$41,3894.66%$28,498-0.85%4.66%
201135.57%$49,8823.44%$42,8151.50%$28,9245.57%1.50%
201143.47%$51,6102.92%$44,0642.40%$29,6173.47%2.40%
20115-2.82%$50,157-2.46%$42,981-2.11%$28,991-2.82%-2.11%
20116-1.51%$49,397-1.81%$42,202-2.10%$28,383-1.51%-2.10%
20117-0.82%$48,994-2.16%$41,289-3.45%$27,402-0.82%-3.45%
20118-8.54%$44,810-8.31%$37,859-8.08%$25,188-8.54%-8.08%
20119-16.19%$37,557-13.37%$32,797-10.60%$22,517-16.19%-10.60%
20111013.51%$42,62913.94%$37,36914.34%$25,74613.51%14.34%
201111-3.41%$41,175-1.77%$36,709-0.26%$25,678-3.41%-0.26%
201112-3.32%$39,808-1.03%$36,3301.00%$25,934-3.32%1.00%
2012111.12%$44,2338.98%$39,5946.85%$27,71011.12%6.85%
201225.56%$46,6934.06%$41,1992.49%$28,4005.56%2.49%
20123-2.86%$45,355-0.35%$41,0572.35%$29,067-2.86%2.35%
20124-1.75%$44,563-1.32%$40,514-0.89%$28,809-1.75%-0.89%
20125-11.08%$39,626-8.69%$36,992-6.29%$26,997-11.08%-6.29%
201264.83%$41,5414.55%$38,6764.28%$28,1534.83%4.28%
201270.64%$41,8060.09%$38,712-0.43%$28,0320.64%-0.43%
201280.43%$41,9871.71%$39,3752.95%$28,8600.43%2.95%
201295.32%$44,2204.06%$40,9742.87%$29,6885.32%2.87%
201210-0.42%$44,037-0.50%$40,769-0.58%$29,516-0.42%-0.58%
2012111.33%$44,6211.07%$41,2050.82%$29,7571.33%0.82%
2012125.84%$47,2284.57%$43,0893.33%$30,7495.84%3.33%
201310.61%$47,5153.55%$44,6196.49%$32,7460.61%6.49%
20132-1.74%$46,6880.07%$44,6501.78%$33,329-1.74%1.78%
20133-1.54%$45,9711.64%$45,3814.53%$34,838-1.54%4.53%
201341.32%$46,5780.58%$45,645-0.05%$34,8201.32%-0.05%
20135-3.73%$44,840-0.11%$45,5953.05%$35,881-3.73%3.05%
20136-6.14%$42,087-3.38%$44,055-1.13%$35,474-6.14%-1.13%
201370.97%$42,4984.19%$45,9026.68%$37,8430.97%6.68%
20138-3.18%$41,147-3.77%$44,171-4.20%$36,252-3.18%-4.20%
201397.15%$44,0916.10%$46,8645.31%$38,1797.15%5.31%
2013104.65%$46,1414.22%$48,8393.89%$39,6644.65%3.89%
201311-2.02%$45,2110.83%$49,2452.99%$40,848-2.02%2.99%
201312-0.96%$44,7761.16%$49,8142.68%$41,944-0.96%2.68%
20141-7.27%$41,521-5.05%$47,299-2.83%$40,757-7.27%-2.83%
201423.42%$42,9414.24%$49,3065.03%$42,8073.42%5.03%
201433.86%$44,5992.55%$50,5631.32%$43,3713.86%1.32%
201440.51%$44,824-0.34%$50,390-1.16%$42,8680.51%-1.16%
201453.72%$46,4902.64%$51,7221.59%$43,5513.72%1.59%
201463.00%$47,8853.65%$53,6084.29%$45,4213.00%4.29%
201471.46%$48,585-1.64%$52,727-4.71%$43,2811.46%-4.71%
201483.57%$50,3194.34%$55,0165.15%$45,5113.57%5.15%
20149-7.16%$46,717-6.42%$51,485-5.65%$42,940-7.16%-5.65%
2014102.31%$47,7963.61%$53,3454.94%$45,0612.31%4.94%
201411-1.00%$47,3180.02%$53,3571.04%$45,529-1.00%1.04%
201412-4.97%$44,964-1.59%$52,5071.70%$46,302-4.97%1.70%
201510.67%$45,266-1.32%$51,813-3.31%$44,7670.67%-3.31%
201523.53%$46,8654.60%$54,1965.71%$47,3253.53%5.71%
20153-2.08%$45,891-0.44%$53,9561.22%$47,904-2.08%1.22%
201547.79%$49,4653.23%$55,701-1.26%$47,3007.79%-1.26%
20155-3.38%$47,794-1.10%$55,0881.35%$47,940-3.38%1.35%
20156-2.39%$46,654-1.92%$54,028-1.45%$47,246-2.39%-1.45%
20157-6.81%$43,479-3.93%$51,905-1.01%$46,770-6.81%-1.01%
20158-9.32%$39,425-7.02%$48,263-4.81%$44,521-9.32%-4.81%
20159-3.25%$38,146-3.42%$46,611-3.58%$42,926-3.25%-3.58%
2015105.57%$40,2726.10%$49,4566.59%$45,7535.57%6.59%
201511-3.25%$38,963-0.85%$49,0371.33%$46,363-3.25%1.33%
201512-2.45%$38,010-3.76%$47,192-4.90%$44,090-2.45%-4.90%
20161-6.05%$35,709-6.26%$44,240-6.46%$41,243-6.05%-6.46%
20162-0.87%$35,3990.35%$44,3961.58%$41,894-0.87%1.58%
2016313.04%$40,01610.95%$49,2598.91%$45,62513.04%8.91%
201640.78%$40,3271.41%$49,9522.05%$46,5590.78%2.05%
20165-3.40%$38,956-0.98%$49,4601.44%$47,231-3.40%1.44%
201665.04%$40,9212.51%$50,7000.08%$47,2675.04%0.08%
201674.67%$42,8344.67%$53,0704.68%$49,4774.67%4.68%
201681.67%$43,5511.20%$53,7050.72%$49,8331.67%0.72%
201691.27%$44,1040.79%$54,1310.31%$49,9861.27%0.31%
2016100.63%$44,383-1.17%$53,498-3.01%$48,4800.63%-3.01%
201611-4.36%$42,4482.73%$54,95710.26%$53,452-4.36%10.26%
201612-0.16%$42,3801.39%$55,7212.82%$54,958-0.16%2.82%
201714.94%$44,4722.80%$57,2790.66%$55,3184.94%0.66%
201723.28%$45,9302.68%$58,8142.06%$56,4553.28%2.06%
201732.25%$46,9650.78%$59,271-0.78%$56,0142.25%-0.78%
201741.39%$47,6200.94%$59,8260.44%$56,2611.39%0.44%
201751.22%$48,200-0.49%$59,533-2.37%$54,9291.22%-2.37%
201760.78%$48,5751.54%$60,4472.40%$56,2470.78%2.40%
201775.35%$51,1723.27%$62,4260.95%$56,7815.35%0.95%
201783.05%$52,7340.98%$63,037-1.44%$55,9613.05%-1.44%
20179-0.78%$52,3211.78%$64,1594.91%$58,710-0.78%4.91%
2017102.44%$53,5971.70%$65,2500.85%$59,2092.44%0.85%
2017110.21%$53,7111.56%$66,2683.14%$61,0680.21%3.14%
2017123.49%$55,5832.09%$67,6530.50%$61,3723.49%0.50%
201818.39%$60,2475.19%$71,1611.98%$62,5878.39%1.98%
20182-4.73%$57,399-4.75%$67,780-4.78%$59,598-4.73%-4.78%
20183-1.22%$56,697-0.23%$67,6220.82%$60,086-1.22%0.82%
20184-2.03%$55,549-0.86%$67,0400.35%$60,299-2.03%0.35%
20185-2.86%$53,9600.79%$67,5684.50%$63,010-2.86%4.50%
20186-4.50%$51,529-2.01%$66,2070.34%$63,225-4.50%0.34%
201873.18%$53,1662.83%$68,0812.52%$64,8183.18%2.52%
20188-3.55%$51,279-0.43%$67,7892.40%$66,373-3.55%2.40%
20189-1.31%$50,609-1.54%$66,747-1.74%$65,221-1.31%-1.74%
201810-7.58%$46,773-8.35%$61,172-9.01%$59,341-7.58%-9.01%
2018114.45%$48,8563.34%$63,2152.37%$60,7484.45%2.37%
201812-2.97%$47,405-7.46%$58,502-11.44%$53,799-2.97%-11.44%
201918.52%$51,4429.85%$64,26511.19%$59,8188.52%11.19%
201920.65%$51,7752.32%$65,7543.95%$62,1790.65%3.95%
201931.90%$52,761-0.08%$65,703-1.95%$60,9651.90%-1.95%
201942.08%$53,8613.01%$67,6813.92%$63,3552.08%3.92%
20195-6.45%$50,386-7.28%$62,755-8.08%$58,239-6.45%-8.08%
201965.42%$53,1206.10%$66,5816.76%$62,1745.42%6.76%
20197-1.19%$52,487-0.20%$66,4500.77%$62,650-1.19%0.77%
20198-3.76%$50,512-4.61%$63,384-5.42%$59,254-3.76%-5.42%
201991.33%$51,1832.64%$65,0593.91%$61,5721.33%3.91%
2019103.87%$53,1622.74%$66,8441.68%$62,6093.87%1.68%
2019110.15%$53,2421.35%$67,7502.52%$64,1840.15%2.52%
2019126.96%$56,9484.80%$71,0042.77%$65,9646.96%2.77%
20201-5.05%$54,074-4.23%$68,003-3.41%$63,716-5.05%-3.41%
20202-3.71%$52,071-6.98%$63,253-10.21%$57,212-3.71%-10.21%
20203-17.52%$42,947-21.13%$49,888-24.93%$42,947-17.52%-24.93%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category100% VEIEX50/50 with annual rebalancing100% VISVX
Large-cap Value0.00%6.92%11.66%
Large-cap Growth1.09%0.00%0.00%
Mid-cap Value0.00%16.56%32.26%
Mid-cap Growth0.00%1.93%0.57%
Small-cap Value0.00%24.42%53.73%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets1.90%2.16%1.55%
Emerging Markets96.28%48.01%0.23%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.74%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared98.64%99.12%98.46%
Style analysis is based on monthly returns from April 2005 to March 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 100% VEIEX

Holdings Based Style Analysis for 100% VEIEX
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts100.00%2.03%0.29%14.44$32,947100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 50/50 with annual rebalancing

Holdings Based Style Analysis for 50/50 with annual rebalancing
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts50.00%2.03%0.29%14.44$19,73354.48%
VISVXVanguard Small Cap Value Index InvSmall Value50.00%1.56%0.19%14.72$20,15545.52%
100.00%1.80%0.24%14.58$39,888100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 100% VISVX

Holdings Based Style Analysis for 100% VISVX
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VISVXVanguard Small Cap Value Index InvSmall Value100.00%1.56%0.19%14.72$32,947100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (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
Metric100% VEIEX50/50 with annual rebalancing100% VISVX
Arithmetic Mean (monthly)0.78%0.79%0.73%
Arithmetic Mean (annualized)9.77%9.87%9.09%
Geometric Mean (monthly)0.57%0.63%0.57%
Geometric Mean (annualized)7.10%7.86%7.10%
Volatility (monthly)6.39%5.52%5.48%
Volatility (annualized)22.14%19.14%19.00%
Downside Deviation (monthly)4.27%3.79%3.90%
Max. Drawdown-62.70%-57.45%-56.13%
US Market Correlation0.800.900.88
Beta(*)1.161.131.10
Alpha (annualized)1.43%1.72%1.22%
R263.61%80.85%77.57%
Sharpe Ratio0.340.400.36
Sortino Ratio0.500.570.51
Treynor Ratio (%)6.536.786.32
Calmar Ratio-0.10-0.19-0.24
Active Return1.29%2.04%1.29%
Tracking Error13.57%8.61%9.12%
Information Ratio0.090.240.14
Skewness-0.38-0.64-0.82
Excess Kurtosis1.352.183.02
Historical Value-at-Risk (5%)-9.32%-8.43%-8.09%
Analytical Value-at-Risk (5%)-9.73%-8.30%-8.29%
Conditional Value-at-Risk (5%)-13.60%-12.59%-13.46%
Upside Capture Ratio (%)121.21118.97112.34
Downside Capture Ratio (%)115.44109.90106.86
Safe Withdrawal Rate10.18%10.57%8.99%
Perpetual Withdrawal Rate4.67%5.34%4.67%
Positive Periods142 out of 255 (55.69%)150 out of 255 (58.82%)160 out of 255 (62.75%)
Gain/Loss Ratio1.091.020.85
* 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 PeriodStartEnd100% VEIEX50/50 with annual rebalancing100% VISVX
Dotcom CrashMar 2000Oct 2002-43.10%-26.49%-28.62%
Subprime CrisisNov 2007Mar 2009-62.70%-57.45%-53.25%
COVID-19 StartJan 2020Mar 2020-24.59%-29.74%-34.89%

Drawdowns for 100% VEIEX

Drawdowns for 100% VEIEX (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20178 years 10 months10 years 2 months-62.70%
2Jan 2000Sep 20011 year 9 monthsDec 20032 years 3 months4 years-43.96%
3Feb 2018Mar 20202 years 2 months-28.72%
4May 2006Jun 20062 monthsNov 20065 months7 months-10.92%
5Apr 2004Jul 20044 monthsOct 20043 months7 months-10.41%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-9.40%
7Oct 2005Oct 20051 monthNov 20051 month2 months-6.57%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-4.87%
9May 1999May 19991 monthJun 19991 month2 months-4.15%
10Jan 1999Jan 19991 monthMar 19992 months3 months-2.91%
Worst 10 drawdowns included above

Drawdowns for 50/50 with annual rebalancing

Drawdowns for 50/50 with annual rebalancing (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20112 years 1 month3 years 5 months-57.45%
2Feb 2018Mar 20202 years 2 months-29.89%
3May 2002Sep 20025 monthsOct 20031 year 1 month1 year 6 months-26.49%
4May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-25.57%
5Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-22.17%
6May 2015Jan 20169 monthsDec 201611 months1 year 8 months-20.58%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-12.94%
8Mar 2005Apr 20052 monthsJul 20053 months5 months-7.62%
9May 2006May 20061 monthOct 20065 months6 months-7.41%
10Apr 2004Apr 20041 monthSep 20045 months6 months-6.72%
Worst 10 drawdowns included above

Drawdowns for 100% VISVX

Drawdowns for 100% VISVX (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-56.13%
2Sep 2018Mar 20201 year 7 months-35.29%
3May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
4May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-16.63%
6Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
7Jul 1999Jan 20007 monthsJul 20006 months1 year 1 month-9.85%
8Jan 1999Mar 19993 monthsMay 19992 months5 months-9.50%
9Feb 2001Mar 20012 monthsJun 20013 months5 months-8.11%
10Jan 2005Apr 20054 monthsJun 20052 months6 months-7.07%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VEIEXVanguard Emerging Mkts Stock Idx Inv7.10%22.14%75.98%-52.81%-62.70%0.340.500.80
VISVXVanguard Small Cap Value Index Inv7.10%19.00%37.19%-34.89%-56.13%0.360.510.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameVEIEXVISVX100% VEIEX50/50 with annual rebalancing100% VISVX
VEIEXVanguard Emerging Mkts Stock Idx Inv1.000.721.000.940.72
VISVXVanguard Small Cap Value Index Inv0.721.000.720.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerName100% VEIEX50/50 with annual rebalancing100% VISVX
VEIEXVanguard Emerging Mkts Stock Idx Inv$32,947$19,733
VISVXVanguard Small Cap Value Index Inv$20,155$32,947

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName100% VEIEX50/50 with annual rebalancing100% VISVX
VEIEXVanguard Emerging Mkts Stock Idx Inv100.00%54.48%
VISVXVanguard Small Cap Value Index Inv45.52%100.00%

Annual Asset Returns

Rolling returns summary
Roll Period100% VEIEX50/50 with annual rebalancing100% VISVX
AverageHighLowAverageHighLowAverageHighLow
1 year10.86%93.34%-56.66%11.10%87.07%-50.26%10.87%77.65%-45.54%
3 years8.99%45.72%-14.29%9.95%37.74%-14.94%9.94%31.65%-19.30%
5 years9.23%39.76%-5.61%10.09%28.81%-1.56%9.86%28.02%-6.86%
7 years9.12%24.02%-1.77%9.96%18.72%1.36%9.55%18.93%-2.20%
10 years8.49%16.64%-0.11%9.30%14.94%3.37%8.70%17.45%3.20%
15 years8.93%12.33%4.81%9.96%12.69%5.59%9.60%11.78%5.18%