This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.
The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.
| Ticker | Name | Allocation |
|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 50.00% |
| VISVX | Vanguard Small Cap Value Index Inv | 50.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VISVX | Vanguard Small Cap Value Index Inv | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| 100% VEIEX | $10,000 | $42,947 | 7.10% | 22.14% | 75.98% | -52.81% | -62.70% | 0.34 | 0.50 | 0.80 |
| 50/50 with annual rebalancing | $10,000 | $49,888 | 7.86% | 19.14% | 53.16% | -42.43% | -57.45% | 0.40 | 0.57 | 0.90 |
| 100% VISVX | $10,000 | $42,947 | 7.10% | 19.00% | 37.19% | -34.89% | -56.13% | 0.36 | 0.51 | 0.88 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 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. | ||||||||
| Year | Inflation | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX | Vanguard Emerging Mkts Stock Idx Inv (VEIEX) | Vanguard Small Cap Value Index Inv (VISVX) | |||
|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||
| 1999 | 2.68% | 61.57% | $16,157 | 32.46% | $13,246 | 3.35% | $10,335 | 61.57% | 3.35% |
| 2000 | 3.39% | -27.56% | $11,705 | -2.84% | $12,870 | 21.88% | $12,596 | -27.56% | 21.88% |
| 2001 | 1.55% | -2.88% | $11,368 | 5.41% | $13,566 | 13.70% | $14,321 | -2.88% | 13.70% |
| 2002 | 2.38% | -7.43% | $10,523 | -10.81% | $12,099 | -14.20% | $12,288 | -7.43% | -14.20% |
| 2003 | 1.88% | 57.65% | $16,590 | 47.42% | $17,837 | 37.19% | $16,858 | 57.65% | 37.19% |
| 2004 | 3.26% | 26.12% | $20,923 | 24.84% | $22,266 | 23.55% | $20,829 | 26.12% | 23.55% |
| 2005 | 3.42% | 32.05% | $27,629 | 19.06% | $26,511 | 6.07% | $22,093 | 32.05% | 6.07% |
| 2006 | 2.54% | 29.39% | $35,750 | 24.32% | $32,958 | 19.24% | $26,345 | 29.39% | 19.24% |
| 2007 | 4.08% | 38.90% | $49,657 | 15.91% | $38,203 | -7.07% | $24,482 | 38.90% | -7.07% |
| 2008 | 0.09% | -52.81% | $23,431 | -42.43% | $21,992 | -32.05% | $16,634 | -52.81% | -32.05% |
| 2009 | 2.72% | 75.98% | $41,233 | 53.16% | $33,682 | 30.34% | $21,680 | 75.98% | 30.34% |
| 2010 | 1.50% | 18.86% | $49,010 | 21.84% | $41,037 | 24.82% | $27,061 | 18.86% | 24.82% |
| 2011 | 2.96% | -18.78% | $39,808 | -11.47% | $36,330 | -4.16% | $25,934 | -18.78% | -4.16% |
| 2012 | 1.74% | 18.64% | $47,228 | 18.60% | $43,089 | 18.56% | $30,749 | 18.64% | 18.56% |
| 2013 | 1.50% | -5.19% | $44,776 | 15.61% | $49,814 | 36.41% | $41,944 | -5.19% | 36.41% |
| 2014 | 0.76% | 0.42% | $44,964 | 5.41% | $52,507 | 10.39% | $46,302 | 0.42% | 10.39% |
| 2015 | 0.73% | -15.47% | $38,010 | -10.12% | $47,192 | -4.78% | $44,090 | -15.47% | -4.78% |
| 2016 | 2.07% | 11.50% | $42,380 | 18.07% | $55,721 | 24.65% | $54,958 | 11.50% | 24.65% |
| 2017 | 2.11% | 31.15% | $55,583 | 21.41% | $67,653 | 11.67% | $61,372 | 31.15% | 11.67% |
| 2018 | 1.91% | -14.71% | $47,405 | -13.53% | $58,502 | -12.34% | $53,799 | -14.71% | -12.34% |
| 2019 | 2.29% | 20.13% | $56,948 | 21.37% | $71,004 | 22.61% | $65,964 | 20.13% | 22.61% |
| 2020 | 0.44% | -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 | |||||||||
| Year | Month | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX | Vanguard Emerging Mkts Stock Idx Inv (VEIEX) | Vanguard Small Cap Value Index Inv (VISVX) | |||
|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||
| 1999 | 1 | -2.91% | $9,709 | -2.03% | $9,797 | -1.14% | $9,886 | -2.91% | -1.14% |
| 1999 | 2 | 2.21% | $9,924 | -2.99% | $9,504 | -8.10% | $9,085 | 2.21% | -8.10% |
| 1999 | 3 | 11.72% | $11,087 | 5.94% | $10,069 | -0.38% | $9,050 | 11.72% | -0.38% |
| 1999 | 4 | 15.39% | $12,794 | 12.42% | $11,319 | 8.77% | $9,844 | 15.39% | 8.77% |
| 1999 | 5 | -4.15% | $12,263 | -0.62% | $11,249 | 3.97% | $10,235 | -4.15% | 3.97% |
| 1999 | 6 | 7.94% | $13,236 | 7.14% | $12,052 | 6.18% | $10,867 | 7.94% | 6.18% |
| 1999 | 7 | -3.44% | $12,781 | -2.60% | $11,738 | -1.59% | $10,695 | -3.44% | -1.59% |
| 1999 | 8 | -0.99% | $12,655 | -2.45% | $11,451 | -4.19% | $10,246 | -0.99% | -4.19% |
| 1999 | 9 | -0.50% | $12,592 | -1.08% | $11,327 | -1.80% | $10,062 | -0.50% | -1.80% |
| 1999 | 10 | 3.82% | $13,072 | 1.05% | $11,446 | -2.40% | $9,821 | 3.82% | -2.40% |
| 1999 | 11 | 8.12% | $14,134 | 5.64% | $12,092 | 2.34% | $10,051 | 8.12% | 2.34% |
| 1999 | 12 | 14.31% | $16,157 | 9.54% | $13,246 | 2.83% | $10,335 | 14.31% | 2.83% |
| 2000 | 1 | -4.88% | $15,369 | -5.04% | $12,578 | -5.21% | $9,797 | -4.88% | -5.21% |
| 2000 | 2 | 3.53% | $15,912 | 4.07% | $13,091 | 4.62% | $10,249 | 3.53% | 4.62% |
| 2000 | 3 | -0.90% | $15,769 | 1.52% | $13,290 | 3.92% | $10,651 | -0.90% | 3.92% |
| 2000 | 4 | -7.47% | $14,592 | -3.27% | $12,855 | 0.71% | $10,727 | -7.47% | 0.71% |
| 2000 | 5 | -5.32% | $13,816 | -3.29% | $12,432 | -1.53% | $10,563 | -5.32% | -1.53% |
| 2000 | 6 | 6.27% | $14,682 | 4.42% | $12,981 | 2.86% | $10,865 | 6.27% | 2.86% |
| 2000 | 7 | -5.20% | $13,919 | -1.35% | $12,806 | 1.97% | $11,079 | -5.20% | 1.97% |
| 2000 | 8 | 1.49% | $14,126 | 3.94% | $13,310 | 5.91% | $11,734 | 1.49% | 5.91% |
| 2000 | 9 | -6.14% | $13,259 | -2.79% | $12,939 | -0.21% | $11,709 | -6.14% | -0.21% |
| 2000 | 10 | -7.61% | $12,250 | -2.82% | $12,573 | 0.65% | $11,784 | -7.61% | 0.65% |
| 2000 | 11 | -9.82% | $11,047 | -7.84% | $11,588 | -6.52% | $11,016 | -9.82% | -6.52% |
| 2000 | 12 | 5.95% | $11,705 | 11.06% | $12,870 | 14.34% | $12,596 | 5.95% | 14.34% |
| 2001 | 1 | 11.76% | $13,082 | 9.87% | $14,140 | 7.98% | $13,601 | 11.76% | 7.98% |
| 2001 | 2 | -8.70% | $11,943 | -6.45% | $13,228 | -4.13% | $13,040 | -8.70% | -4.13% |
| 2001 | 3 | -10.42% | $10,698 | -7.27% | $12,267 | -4.16% | $12,498 | -10.42% | -4.16% |
| 2001 | 4 | 9.29% | $11,692 | 7.59% | $13,198 | 6.02% | $13,251 | 9.29% | 6.02% |
| 2001 | 5 | 1.47% | $11,865 | 2.04% | $13,467 | 2.58% | $13,593 | 1.47% | 2.58% |
| 2001 | 6 | -2.12% | $11,613 | 1.10% | $13,616 | 4.13% | $14,154 | -2.12% | 4.13% |
| 2001 | 7 | -6.74% | $10,831 | -3.77% | $13,102 | -1.16% | $13,990 | -6.74% | -1.16% |
| 2001 | 8 | -0.98% | $10,725 | -1.30% | $12,931 | -1.57% | $13,771 | -0.98% | -1.57% |
| 2001 | 9 | -15.57% | $9,054 | -14.89% | $11,006 | -14.31% | $11,800 | -15.57% | -14.31% |
| 2001 | 10 | 6.59% | $9,651 | 5.52% | $11,614 | 4.64% | $12,347 | 6.59% | 4.64% |
| 2001 | 11 | 9.34% | $10,552 | 8.66% | $12,620 | 8.09% | $13,347 | 9.34% | 8.09% |
| 2001 | 12 | 7.73% | $11,368 | 7.50% | $13,566 | 7.30% | $14,321 | 7.73% | 7.30% |
| 2002 | 1 | 2.87% | $11,694 | 2.36% | $13,886 | 1.85% | $14,586 | 2.87% | 1.85% |
| 2002 | 2 | 2.67% | $12,006 | 1.20% | $14,053 | -0.29% | $14,544 | 2.67% | -0.29% |
| 2002 | 3 | 4.52% | $12,550 | 6.58% | $14,978 | 8.72% | $15,813 | 4.52% | 8.72% |
| 2002 | 4 | 0.32% | $12,590 | 2.19% | $15,306 | 4.06% | $16,455 | 0.32% | 4.06% |
| 2002 | 5 | -0.43% | $12,536 | -2.15% | $14,976 | -3.82% | $15,827 | -0.43% | -3.82% |
| 2002 | 6 | -8.23% | $11,504 | -6.23% | $14,043 | -4.24% | $15,156 | -8.23% | -4.24% |
| 2002 | 7 | -8.50% | $10,526 | -12.43% | $12,297 | -16.20% | $12,702 | -8.50% | -16.20% |
| 2002 | 8 | 1.42% | $10,675 | 0.67% | $12,379 | -0.11% | $12,687 | 1.42% | -0.11% |
| 2002 | 9 | -10.69% | $9,534 | -9.10% | $11,252 | -7.42% | $11,745 | -10.69% | -7.42% |
| 2002 | 10 | 6.55% | $10,159 | 4.33% | $11,740 | 2.07% | $11,988 | 6.55% | 2.07% |
| 2002 | 11 | 7.09% | $10,879 | 6.25% | $12,473 | 5.36% | $12,630 | 7.09% | 5.36% |
| 2002 | 12 | -3.27% | $10,523 | -3.00% | $12,099 | -2.71% | $12,288 | -3.27% | -2.71% |
| 2003 | 1 | 0.13% | $10,537 | -1.99% | $11,859 | -4.11% | $11,783 | 0.13% | -4.11% |
| 2003 | 2 | -3.80% | $10,137 | -3.74% | $11,416 | -3.67% | $11,351 | -3.80% | -3.67% |
| 2003 | 3 | -2.04% | $9,930 | -1.23% | $11,275 | -0.38% | $11,307 | -2.04% | -0.38% |
| 2003 | 4 | 8.75% | $10,799 | 8.90% | $12,279 | 9.06% | $12,331 | 8.75% | 9.06% |
| 2003 | 5 | 6.39% | $11,489 | 6.99% | $13,137 | 7.60% | $13,269 | 6.39% | 7.60% |
| 2003 | 6 | 5.88% | $12,165 | 3.82% | $13,639 | 1.74% | $13,500 | 5.88% | 1.74% |
| 2003 | 7 | 7.03% | $13,020 | 5.79% | $14,429 | 4.49% | $14,105 | 7.03% | 4.49% |
| 2003 | 8 | 6.36% | $13,847 | 4.92% | $15,139 | 3.37% | $14,581 | 6.36% | 3.37% |
| 2003 | 9 | 0.80% | $13,958 | 0.18% | $15,167 | -0.49% | $14,509 | 0.80% | -0.49% |
| 2003 | 10 | 9.09% | $15,226 | 8.13% | $16,400 | 7.06% | $15,533 | 9.09% | 7.06% |
| 2003 | 11 | 1.09% | $15,392 | 2.40% | $16,794 | 3.90% | $16,139 | 1.09% | 3.90% |
| 2003 | 12 | 7.78% | $16,590 | 6.21% | $17,837 | 4.46% | $16,858 | 7.78% | 4.46% |
| 2004 | 1 | 3.12% | $17,108 | 2.91% | $18,356 | 2.70% | $17,313 | 3.12% | 2.70% |
| 2004 | 2 | 4.17% | $17,822 | 3.36% | $18,972 | 2.54% | $17,753 | 4.17% | 2.54% |
| 2004 | 3 | 0.39% | $17,892 | 1.06% | $19,173 | 1.74% | $18,061 | 0.39% | 1.74% |
| 2004 | 4 | -7.90% | $16,478 | -6.72% | $17,885 | -5.52% | $17,064 | -7.90% | -5.52% |
| 2004 | 5 | -0.85% | $16,338 | 0.45% | $17,965 | 1.72% | $17,357 | -0.85% | 1.72% |
| 2004 | 6 | -0.09% | $16,324 | 2.51% | $18,415 | 4.99% | $18,223 | -0.09% | 4.99% |
| 2004 | 7 | -1.80% | $16,030 | -2.71% | $17,916 | -3.54% | $17,577 | -1.80% | -3.54% |
| 2004 | 8 | 4.10% | $16,688 | 2.71% | $18,402 | 1.42% | $17,826 | 4.10% | 1.42% |
| 2004 | 9 | 5.62% | $17,626 | 4.47% | $19,224 | 3.37% | $18,428 | 5.62% | 3.37% |
| 2004 | 10 | 2.30% | $18,032 | 1.90% | $19,590 | 1.51% | $18,707 | 2.30% | 1.51% |
| 2004 | 11 | 10.17% | $19,866 | 9.11% | $21,375 | 8.08% | $20,218 | 10.17% | 8.08% |
| 2004 | 12 | 5.32% | $20,923 | 4.17% | $22,266 | 3.02% | $20,829 | 5.32% | 3.02% |
| 2005 | 1 | -0.14% | $20,895 | -1.93% | $21,837 | -3.72% | $20,053 | -0.14% | -3.72% |
| 2005 | 2 | 8.87% | $22,747 | 5.65% | $23,070 | 2.30% | $20,515 | 8.87% | 2.30% |
| 2005 | 3 | -6.70% | $21,222 | -4.41% | $22,053 | -1.88% | $20,131 | -6.70% | -1.88% |
| 2005 | 4 | -2.89% | $20,609 | -3.36% | $21,312 | -3.85% | $19,355 | -2.89% | -3.85% |
| 2005 | 5 | 3.39% | $21,308 | 4.36% | $22,242 | 5.39% | $20,399 | 3.39% | 5.39% |
| 2005 | 6 | 3.28% | $22,006 | 3.57% | $23,036 | 3.87% | $21,189 | 3.28% | 3.87% |
| 2005 | 7 | 6.87% | $23,517 | 6.29% | $24,485 | 5.70% | $22,397 | 6.87% | 5.70% |
| 2005 | 8 | 0.97% | $23,745 | -0.55% | $24,352 | -2.13% | $21,920 | 0.97% | -2.13% |
| 2005 | 9 | 8.64% | $25,797 | 4.75% | $25,507 | 0.54% | $22,039 | 8.64% | 0.54% |
| 2005 | 10 | -6.57% | $24,101 | -4.91% | $24,254 | -2.98% | $21,383 | -6.57% | -2.98% |
| 2005 | 11 | 7.98% | $26,026 | 6.00% | $25,708 | 3.77% | $22,189 | 7.98% | 3.77% |
| 2005 | 12 | 6.16% | $27,629 | 3.12% | $26,511 | -0.43% | $22,093 | 6.16% | -0.43% |
| 2006 | 1 | 11.48% | $30,802 | 9.28% | $28,971 | 7.07% | $23,656 | 11.48% | 7.07% |
| 2006 | 2 | -1.46% | $30,353 | -0.68% | $28,774 | 0.13% | $23,687 | -1.46% | 0.13% |
| 2006 | 3 | 1.24% | $30,730 | 2.40% | $29,463 | 3.58% | $24,535 | 1.24% | 3.58% |
| 2006 | 4 | 7.12% | $32,917 | 3.59% | $30,522 | 0.06% | $24,550 | 7.12% | 0.06% |
| 2006 | 5 | -10.74% | $29,382 | -7.41% | $28,261 | -3.83% | $23,609 | -10.74% | -3.83% |
| 2006 | 6 | -0.20% | $29,324 | 0.45% | $28,388 | 1.09% | $23,867 | -0.20% | 1.09% |
| 2006 | 7 | 1.19% | $29,672 | -0.15% | $28,346 | -1.46% | $23,518 | 1.19% | -1.46% |
| 2006 | 8 | 2.05% | $30,281 | 2.19% | $28,965 | 2.32% | $24,064 | 2.05% | 2.32% |
| 2006 | 9 | 0.72% | $30,498 | 0.80% | $29,197 | 0.88% | $24,277 | 0.72% | 0.88% |
| 2006 | 10 | 4.75% | $31,947 | 4.78% | $30,594 | 4.82% | $25,446 | 4.75% | 4.82% |
| 2006 | 11 | 7.44% | $34,323 | 5.24% | $32,198 | 3.04% | $26,220 | 7.44% | 3.04% |
| 2006 | 12 | 4.16% | $35,750 | 2.36% | $32,958 | 0.48% | $26,345 | 4.16% | 0.48% |
| 2007 | 1 | -0.58% | $35,544 | 0.71% | $33,191 | 1.99% | $26,870 | -0.58% | 1.99% |
| 2007 | 2 | -1.28% | $35,087 | -0.93% | $32,884 | -0.58% | $26,716 | -1.28% | -0.58% |
| 2007 | 3 | 4.11% | $36,531 | 2.33% | $33,649 | 0.60% | $26,875 | 4.11% | 0.60% |
| 2007 | 4 | 4.23% | $38,077 | 3.04% | $34,671 | 1.84% | $27,369 | 4.23% | 1.84% |
| 2007 | 5 | 5.96% | $40,346 | 4.83% | $36,346 | 3.67% | $28,375 | 5.96% | 3.67% |
| 2007 | 6 | 4.49% | $42,158 | 1.07% | $36,736 | -2.51% | $27,663 | 4.49% | -2.51% |
| 2007 | 7 | 4.30% | $43,969 | -1.12% | $36,323 | -7.21% | $25,669 | 4.30% | -7.21% |
| 2007 | 8 | -0.94% | $43,557 | 0.12% | $36,365 | 1.45% | $26,040 | -0.94% | 1.45% |
| 2007 | 9 | 10.75% | $48,241 | 6.34% | $38,670 | 0.89% | $26,272 | 10.75% | 0.89% |
| 2007 | 10 | 12.31% | $54,177 | 7.65% | $41,628 | 1.35% | $26,627 | 12.31% | 1.35% |
| 2007 | 11 | -7.99% | $49,847 | -7.49% | $38,510 | -6.74% | $24,834 | -7.99% | -6.74% |
| 2007 | 12 | -0.38% | $49,657 | -0.80% | $38,203 | -1.42% | $24,482 | -0.38% | -1.42% |
| 2008 | 1 | -11.08% | $44,155 | -7.35% | $35,396 | -3.62% | $23,597 | -11.08% | -3.62% |
| 2008 | 2 | 4.65% | $46,209 | 0.59% | $35,606 | -3.15% | $22,854 | 4.65% | -3.15% |
| 2008 | 3 | -3.80% | $44,455 | -1.83% | $34,956 | 0.14% | $22,886 | -3.80% | 0.14% |
| 2008 | 4 | 8.09% | $48,053 | 6.22% | $37,130 | 4.42% | $23,898 | 8.09% | 4.42% |
| 2008 | 5 | 1.84% | $48,938 | 3.01% | $38,248 | 4.17% | $24,894 | 1.84% | 4.17% |
| 2008 | 6 | -10.39% | $43,855 | -10.98% | $34,047 | -11.56% | $22,016 | -10.39% | -11.56% |
| 2008 | 7 | -4.14% | $42,041 | -0.02% | $34,040 | 4.02% | $22,901 | -4.14% | 4.02% |
| 2008 | 8 | -7.81% | $38,757 | -1.68% | $33,468 | 3.87% | $23,787 | -7.81% | 3.87% |
| 2008 | 9 | -16.25% | $32,460 | -10.59% | $29,923 | -6.05% | $22,348 | -16.25% | -6.05% |
| 2008 | 10 | -27.67% | $23,479 | -23.83% | $22,791 | -21.09% | $17,635 | -27.67% | -21.09% |
| 2008 | 11 | -7.85% | $21,635 | -9.45% | $20,638 | -10.49% | $15,784 | -7.85% | -10.49% |
| 2008 | 12 | 8.30% | $23,431 | 6.56% | $21,992 | 5.38% | $16,634 | 8.30% | 5.38% |
| 2009 | 1 | -8.19% | $21,513 | -10.61% | $19,659 | -13.03% | $14,467 | -8.19% | -13.03% |
| 2009 | 2 | -6.07% | $20,207 | -9.91% | $17,711 | -13.96% | $12,447 | -6.07% | -13.96% |
| 2009 | 3 | 16.03% | $23,447 | 12.95% | $20,004 | 9.39% | $13,616 | 16.03% | 9.39% |
| 2009 | 4 | 16.03% | $27,205 | 17.71% | $23,546 | 19.76% | $16,306 | 16.03% | 19.76% |
| 2009 | 5 | 18.27% | $32,174 | 11.51% | $26,255 | 3.50% | $16,877 | 18.27% | 3.50% |
| 2009 | 6 | -2.25% | $31,451 | -1.33% | $25,905 | -0.10% | $16,861 | -2.25% | -0.10% |
| 2009 | 7 | 11.55% | $35,084 | 11.16% | $28,796 | 10.64% | $18,655 | 11.55% | 10.64% |
| 2009 | 8 | -0.63% | $34,864 | 2.26% | $29,447 | 6.12% | $19,796 | -0.63% | 6.12% |
| 2009 | 9 | 9.29% | $38,103 | 7.62% | $31,689 | 5.52% | $20,889 | 9.29% | 5.52% |
| 2009 | 10 | -1.36% | $37,584 | -3.52% | $30,573 | -6.32% | $19,568 | -1.36% | -6.32% |
| 2009 | 11 | 5.90% | $39,801 | 4.95% | $32,087 | 3.67% | $20,285 | 5.90% | 3.67% |
| 2009 | 12 | 3.60% | $41,233 | 4.97% | $33,682 | 6.88% | $21,680 | 3.60% | 6.88% |
| 2010 | 1 | -6.25% | $38,654 | -4.66% | $32,112 | -3.06% | $21,016 | -6.25% | -3.06% |
| 2010 | 2 | 1.07% | $39,068 | 3.18% | $33,133 | 5.21% | $22,112 | 1.07% | 5.21% |
| 2010 | 3 | 8.15% | $42,252 | 8.07% | $35,808 | 8.00% | $23,881 | 8.15% | 8.00% |
| 2010 | 4 | 0.26% | $42,364 | 3.33% | $37,001 | 6.19% | $25,359 | 0.26% | 6.19% |
| 2010 | 5 | -9.32% | $38,415 | -8.61% | $33,815 | -7.99% | $23,333 | -9.32% | -7.99% |
| 2010 | 6 | -0.04% | $38,399 | -4.33% | $32,351 | -8.04% | $21,457 | -0.04% | -8.04% |
| 2010 | 7 | 9.25% | $41,950 | 8.31% | $35,039 | 7.43% | $23,051 | 9.25% | 7.43% |
| 2010 | 8 | -2.24% | $41,010 | -4.52% | $33,456 | -6.70% | $21,507 | -2.24% | -6.70% |
| 2010 | 9 | 11.18% | $45,595 | 10.80% | $37,070 | 10.42% | $23,749 | 11.18% | 10.42% |
| 2010 | 10 | 2.97% | $46,949 | 3.27% | $38,280 | 3.57% | $24,596 | 2.97% | 3.57% |
| 2010 | 11 | -2.71% | $45,675 | -0.21% | $38,199 | 2.30% | $25,160 | -2.71% | 2.30% |
| 2010 | 12 | 7.30% | $49,010 | 7.43% | $41,037 | 7.55% | $27,061 | 7.30% | 7.55% |
| 2011 | 1 | -2.77% | $47,653 | -1.07% | $40,597 | 0.62% | $27,230 | -2.77% | 0.62% |
| 2011 | 2 | -0.85% | $47,249 | 1.95% | $41,389 | 4.66% | $28,498 | -0.85% | 4.66% |
| 2011 | 3 | 5.57% | $49,882 | 3.44% | $42,815 | 1.50% | $28,924 | 5.57% | 1.50% |
| 2011 | 4 | 3.47% | $51,610 | 2.92% | $44,064 | 2.40% | $29,617 | 3.47% | 2.40% |
| 2011 | 5 | -2.82% | $50,157 | -2.46% | $42,981 | -2.11% | $28,991 | -2.82% | -2.11% |
| 2011 | 6 | -1.51% | $49,397 | -1.81% | $42,202 | -2.10% | $28,383 | -1.51% | -2.10% |
| 2011 | 7 | -0.82% | $48,994 | -2.16% | $41,289 | -3.45% | $27,402 | -0.82% | -3.45% |
| 2011 | 8 | -8.54% | $44,810 | -8.31% | $37,859 | -8.08% | $25,188 | -8.54% | -8.08% |
| 2011 | 9 | -16.19% | $37,557 | -13.37% | $32,797 | -10.60% | $22,517 | -16.19% | -10.60% |
| 2011 | 10 | 13.51% | $42,629 | 13.94% | $37,369 | 14.34% | $25,746 | 13.51% | 14.34% |
| 2011 | 11 | -3.41% | $41,175 | -1.77% | $36,709 | -0.26% | $25,678 | -3.41% | -0.26% |
| 2011 | 12 | -3.32% | $39,808 | -1.03% | $36,330 | 1.00% | $25,934 | -3.32% | 1.00% |
| 2012 | 1 | 11.12% | $44,233 | 8.98% | $39,594 | 6.85% | $27,710 | 11.12% | 6.85% |
| 2012 | 2 | 5.56% | $46,693 | 4.06% | $41,199 | 2.49% | $28,400 | 5.56% | 2.49% |
| 2012 | 3 | -2.86% | $45,355 | -0.35% | $41,057 | 2.35% | $29,067 | -2.86% | 2.35% |
| 2012 | 4 | -1.75% | $44,563 | -1.32% | $40,514 | -0.89% | $28,809 | -1.75% | -0.89% |
| 2012 | 5 | -11.08% | $39,626 | -8.69% | $36,992 | -6.29% | $26,997 | -11.08% | -6.29% |
| 2012 | 6 | 4.83% | $41,541 | 4.55% | $38,676 | 4.28% | $28,153 | 4.83% | 4.28% |
| 2012 | 7 | 0.64% | $41,806 | 0.09% | $38,712 | -0.43% | $28,032 | 0.64% | -0.43% |
| 2012 | 8 | 0.43% | $41,987 | 1.71% | $39,375 | 2.95% | $28,860 | 0.43% | 2.95% |
| 2012 | 9 | 5.32% | $44,220 | 4.06% | $40,974 | 2.87% | $29,688 | 5.32% | 2.87% |
| 2012 | 10 | -0.42% | $44,037 | -0.50% | $40,769 | -0.58% | $29,516 | -0.42% | -0.58% |
| 2012 | 11 | 1.33% | $44,621 | 1.07% | $41,205 | 0.82% | $29,757 | 1.33% | 0.82% |
| 2012 | 12 | 5.84% | $47,228 | 4.57% | $43,089 | 3.33% | $30,749 | 5.84% | 3.33% |
| 2013 | 1 | 0.61% | $47,515 | 3.55% | $44,619 | 6.49% | $32,746 | 0.61% | 6.49% |
| 2013 | 2 | -1.74% | $46,688 | 0.07% | $44,650 | 1.78% | $33,329 | -1.74% | 1.78% |
| 2013 | 3 | -1.54% | $45,971 | 1.64% | $45,381 | 4.53% | $34,838 | -1.54% | 4.53% |
| 2013 | 4 | 1.32% | $46,578 | 0.58% | $45,645 | -0.05% | $34,820 | 1.32% | -0.05% |
| 2013 | 5 | -3.73% | $44,840 | -0.11% | $45,595 | 3.05% | $35,881 | -3.73% | 3.05% |
| 2013 | 6 | -6.14% | $42,087 | -3.38% | $44,055 | -1.13% | $35,474 | -6.14% | -1.13% |
| 2013 | 7 | 0.97% | $42,498 | 4.19% | $45,902 | 6.68% | $37,843 | 0.97% | 6.68% |
| 2013 | 8 | -3.18% | $41,147 | -3.77% | $44,171 | -4.20% | $36,252 | -3.18% | -4.20% |
| 2013 | 9 | 7.15% | $44,091 | 6.10% | $46,864 | 5.31% | $38,179 | 7.15% | 5.31% |
| 2013 | 10 | 4.65% | $46,141 | 4.22% | $48,839 | 3.89% | $39,664 | 4.65% | 3.89% |
| 2013 | 11 | -2.02% | $45,211 | 0.83% | $49,245 | 2.99% | $40,848 | -2.02% | 2.99% |
| 2013 | 12 | -0.96% | $44,776 | 1.16% | $49,814 | 2.68% | $41,944 | -0.96% | 2.68% |
| 2014 | 1 | -7.27% | $41,521 | -5.05% | $47,299 | -2.83% | $40,757 | -7.27% | -2.83% |
| 2014 | 2 | 3.42% | $42,941 | 4.24% | $49,306 | 5.03% | $42,807 | 3.42% | 5.03% |
| 2014 | 3 | 3.86% | $44,599 | 2.55% | $50,563 | 1.32% | $43,371 | 3.86% | 1.32% |
| 2014 | 4 | 0.51% | $44,824 | -0.34% | $50,390 | -1.16% | $42,868 | 0.51% | -1.16% |
| 2014 | 5 | 3.72% | $46,490 | 2.64% | $51,722 | 1.59% | $43,551 | 3.72% | 1.59% |
| 2014 | 6 | 3.00% | $47,885 | 3.65% | $53,608 | 4.29% | $45,421 | 3.00% | 4.29% |
| 2014 | 7 | 1.46% | $48,585 | -1.64% | $52,727 | -4.71% | $43,281 | 1.46% | -4.71% |
| 2014 | 8 | 3.57% | $50,319 | 4.34% | $55,016 | 5.15% | $45,511 | 3.57% | 5.15% |
| 2014 | 9 | -7.16% | $46,717 | -6.42% | $51,485 | -5.65% | $42,940 | -7.16% | -5.65% |
| 2014 | 10 | 2.31% | $47,796 | 3.61% | $53,345 | 4.94% | $45,061 | 2.31% | 4.94% |
| 2014 | 11 | -1.00% | $47,318 | 0.02% | $53,357 | 1.04% | $45,529 | -1.00% | 1.04% |
| 2014 | 12 | -4.97% | $44,964 | -1.59% | $52,507 | 1.70% | $46,302 | -4.97% | 1.70% |
| 2015 | 1 | 0.67% | $45,266 | -1.32% | $51,813 | -3.31% | $44,767 | 0.67% | -3.31% |
| 2015 | 2 | 3.53% | $46,865 | 4.60% | $54,196 | 5.71% | $47,325 | 3.53% | 5.71% |
| 2015 | 3 | -2.08% | $45,891 | -0.44% | $53,956 | 1.22% | $47,904 | -2.08% | 1.22% |
| 2015 | 4 | 7.79% | $49,465 | 3.23% | $55,701 | -1.26% | $47,300 | 7.79% | -1.26% |
| 2015 | 5 | -3.38% | $47,794 | -1.10% | $55,088 | 1.35% | $47,940 | -3.38% | 1.35% |
| 2015 | 6 | -2.39% | $46,654 | -1.92% | $54,028 | -1.45% | $47,246 | -2.39% | -1.45% |
| 2015 | 7 | -6.81% | $43,479 | -3.93% | $51,905 | -1.01% | $46,770 | -6.81% | -1.01% |
| 2015 | 8 | -9.32% | $39,425 | -7.02% | $48,263 | -4.81% | $44,521 | -9.32% | -4.81% |
| 2015 | 9 | -3.25% | $38,146 | -3.42% | $46,611 | -3.58% | $42,926 | -3.25% | -3.58% |
| 2015 | 10 | 5.57% | $40,272 | 6.10% | $49,456 | 6.59% | $45,753 | 5.57% | 6.59% |
| 2015 | 11 | -3.25% | $38,963 | -0.85% | $49,037 | 1.33% | $46,363 | -3.25% | 1.33% |
| 2015 | 12 | -2.45% | $38,010 | -3.76% | $47,192 | -4.90% | $44,090 | -2.45% | -4.90% |
| 2016 | 1 | -6.05% | $35,709 | -6.26% | $44,240 | -6.46% | $41,243 | -6.05% | -6.46% |
| 2016 | 2 | -0.87% | $35,399 | 0.35% | $44,396 | 1.58% | $41,894 | -0.87% | 1.58% |
| 2016 | 3 | 13.04% | $40,016 | 10.95% | $49,259 | 8.91% | $45,625 | 13.04% | 8.91% |
| 2016 | 4 | 0.78% | $40,327 | 1.41% | $49,952 | 2.05% | $46,559 | 0.78% | 2.05% |
| 2016 | 5 | -3.40% | $38,956 | -0.98% | $49,460 | 1.44% | $47,231 | -3.40% | 1.44% |
| 2016 | 6 | 5.04% | $40,921 | 2.51% | $50,700 | 0.08% | $47,267 | 5.04% | 0.08% |
| 2016 | 7 | 4.67% | $42,834 | 4.67% | $53,070 | 4.68% | $49,477 | 4.67% | 4.68% |
| 2016 | 8 | 1.67% | $43,551 | 1.20% | $53,705 | 0.72% | $49,833 | 1.67% | 0.72% |
| 2016 | 9 | 1.27% | $44,104 | 0.79% | $54,131 | 0.31% | $49,986 | 1.27% | 0.31% |
| 2016 | 10 | 0.63% | $44,383 | -1.17% | $53,498 | -3.01% | $48,480 | 0.63% | -3.01% |
| 2016 | 11 | -4.36% | $42,448 | 2.73% | $54,957 | 10.26% | $53,452 | -4.36% | 10.26% |
| 2016 | 12 | -0.16% | $42,380 | 1.39% | $55,721 | 2.82% | $54,958 | -0.16% | 2.82% |
| 2017 | 1 | 4.94% | $44,472 | 2.80% | $57,279 | 0.66% | $55,318 | 4.94% | 0.66% |
| 2017 | 2 | 3.28% | $45,930 | 2.68% | $58,814 | 2.06% | $56,455 | 3.28% | 2.06% |
| 2017 | 3 | 2.25% | $46,965 | 0.78% | $59,271 | -0.78% | $56,014 | 2.25% | -0.78% |
| 2017 | 4 | 1.39% | $47,620 | 0.94% | $59,826 | 0.44% | $56,261 | 1.39% | 0.44% |
| 2017 | 5 | 1.22% | $48,200 | -0.49% | $59,533 | -2.37% | $54,929 | 1.22% | -2.37% |
| 2017 | 6 | 0.78% | $48,575 | 1.54% | $60,447 | 2.40% | $56,247 | 0.78% | 2.40% |
| 2017 | 7 | 5.35% | $51,172 | 3.27% | $62,426 | 0.95% | $56,781 | 5.35% | 0.95% |
| 2017 | 8 | 3.05% | $52,734 | 0.98% | $63,037 | -1.44% | $55,961 | 3.05% | -1.44% |
| 2017 | 9 | -0.78% | $52,321 | 1.78% | $64,159 | 4.91% | $58,710 | -0.78% | 4.91% |
| 2017 | 10 | 2.44% | $53,597 | 1.70% | $65,250 | 0.85% | $59,209 | 2.44% | 0.85% |
| 2017 | 11 | 0.21% | $53,711 | 1.56% | $66,268 | 3.14% | $61,068 | 0.21% | 3.14% |
| 2017 | 12 | 3.49% | $55,583 | 2.09% | $67,653 | 0.50% | $61,372 | 3.49% | 0.50% |
| 2018 | 1 | 8.39% | $60,247 | 5.19% | $71,161 | 1.98% | $62,587 | 8.39% | 1.98% |
| 2018 | 2 | -4.73% | $57,399 | -4.75% | $67,780 | -4.78% | $59,598 | -4.73% | -4.78% |
| 2018 | 3 | -1.22% | $56,697 | -0.23% | $67,622 | 0.82% | $60,086 | -1.22% | 0.82% |
| 2018 | 4 | -2.03% | $55,549 | -0.86% | $67,040 | 0.35% | $60,299 | -2.03% | 0.35% |
| 2018 | 5 | -2.86% | $53,960 | 0.79% | $67,568 | 4.50% | $63,010 | -2.86% | 4.50% |
| 2018 | 6 | -4.50% | $51,529 | -2.01% | $66,207 | 0.34% | $63,225 | -4.50% | 0.34% |
| 2018 | 7 | 3.18% | $53,166 | 2.83% | $68,081 | 2.52% | $64,818 | 3.18% | 2.52% |
| 2018 | 8 | -3.55% | $51,279 | -0.43% | $67,789 | 2.40% | $66,373 | -3.55% | 2.40% |
| 2018 | 9 | -1.31% | $50,609 | -1.54% | $66,747 | -1.74% | $65,221 | -1.31% | -1.74% |
| 2018 | 10 | -7.58% | $46,773 | -8.35% | $61,172 | -9.01% | $59,341 | -7.58% | -9.01% |
| 2018 | 11 | 4.45% | $48,856 | 3.34% | $63,215 | 2.37% | $60,748 | 4.45% | 2.37% |
| 2018 | 12 | -2.97% | $47,405 | -7.46% | $58,502 | -11.44% | $53,799 | -2.97% | -11.44% |
| 2019 | 1 | 8.52% | $51,442 | 9.85% | $64,265 | 11.19% | $59,818 | 8.52% | 11.19% |
| 2019 | 2 | 0.65% | $51,775 | 2.32% | $65,754 | 3.95% | $62,179 | 0.65% | 3.95% |
| 2019 | 3 | 1.90% | $52,761 | -0.08% | $65,703 | -1.95% | $60,965 | 1.90% | -1.95% |
| 2019 | 4 | 2.08% | $53,861 | 3.01% | $67,681 | 3.92% | $63,355 | 2.08% | 3.92% |
| 2019 | 5 | -6.45% | $50,386 | -7.28% | $62,755 | -8.08% | $58,239 | -6.45% | -8.08% |
| 2019 | 6 | 5.42% | $53,120 | 6.10% | $66,581 | 6.76% | $62,174 | 5.42% | 6.76% |
| 2019 | 7 | -1.19% | $52,487 | -0.20% | $66,450 | 0.77% | $62,650 | -1.19% | 0.77% |
| 2019 | 8 | -3.76% | $50,512 | -4.61% | $63,384 | -5.42% | $59,254 | -3.76% | -5.42% |
| 2019 | 9 | 1.33% | $51,183 | 2.64% | $65,059 | 3.91% | $61,572 | 1.33% | 3.91% |
| 2019 | 10 | 3.87% | $53,162 | 2.74% | $66,844 | 1.68% | $62,609 | 3.87% | 1.68% |
| 2019 | 11 | 0.15% | $53,242 | 1.35% | $67,750 | 2.52% | $64,184 | 0.15% | 2.52% |
| 2019 | 12 | 6.96% | $56,948 | 4.80% | $71,004 | 2.77% | $65,964 | 6.96% | 2.77% |
| 2020 | 1 | -5.05% | $54,074 | -4.23% | $68,003 | -3.41% | $63,716 | -5.05% | -3.41% |
| 2020 | 2 | -3.71% | $52,071 | -6.98% | $63,253 | -10.21% | $57,212 | -3.71% | -10.21% |
| 2020 | 3 | -17.52% | $42,947 | -21.13% | $49,888 | -24.93% | $42,947 | -17.52% | -24.93% |
| Style Category | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX |
|---|---|---|---|
| Large-cap Value | 0.00% | 6.92% | 11.66% |
| Large-cap Growth | 1.09% | 0.00% | 0.00% |
| Mid-cap Value | 0.00% | 16.56% | 32.26% |
| Mid-cap Growth | 0.00% | 1.93% | 0.57% |
| Small-cap Value | 0.00% | 24.42% | 53.73% |
| Small-cap Growth | 0.00% | 0.00% | 0.00% |
| Global ex-US Developed Markets | 1.90% | 2.16% | 1.55% |
| Emerging Markets | 96.28% | 48.01% | 0.23% |
| Corporate Bonds | 0.00% | 0.00% | 0.00% |
| Long-Term Treasuries | 0.74% | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% | 0.00% |
| R Squared | 98.64% | 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. | |||
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | Diversified Emerging Mkts | 100.00% | 2.03% | 0.29% | 14.44 | $32,947 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | Diversified Emerging Mkts | 50.00% | 2.03% | 0.29% | 14.44 | $19,733 | 54.48% |
| VISVX | Vanguard Small Cap Value Index Inv | Small Value | 50.00% | 1.56% | 0.19% | 14.72 | $20,155 | 45.52% |
| 100.00% | 1.80% | 0.24% | 14.58 | $39,888 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VISVX | Vanguard Small Cap Value Index Inv | Small Value | 100.00% | 1.56% | 0.19% | 14.72 | $32,947 | 100.00% |
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.
| Metric | 100% VEIEX | 50/50 with annual rebalancing | 100% 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 Correlation | 0.80 | 0.90 | 0.88 |
| Beta(*) | 1.16 | 1.13 | 1.10 |
| Alpha (annualized) | 1.43% | 1.72% | 1.22% |
| R2 | 63.61% | 80.85% | 77.57% |
| Sharpe Ratio | 0.34 | 0.40 | 0.36 |
| Sortino Ratio | 0.50 | 0.57 | 0.51 |
| Treynor Ratio (%) | 6.53 | 6.78 | 6.32 |
| Calmar Ratio | -0.10 | -0.19 | -0.24 |
| Active Return | 1.29% | 2.04% | 1.29% |
| Tracking Error | 13.57% | 8.61% | 9.12% |
| Information Ratio | 0.09 | 0.24 | 0.14 |
| Skewness | -0.38 | -0.64 | -0.82 |
| Excess Kurtosis | 1.35 | 2.18 | 3.02 |
| 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 (%) | 121.21 | 118.97 | 112.34 |
| Downside Capture Ratio (%) | 115.44 | 109.90 | 106.86 |
| Safe Withdrawal Rate | 10.18% | 10.57% | 8.99% |
| Perpetual Withdrawal Rate | 4.67% | 5.34% | 4.67% |
| Positive Periods | 142 out of 255 (55.69%) | 150 out of 255 (58.82%) | 160 out of 255 (62.75%) |
| Gain/Loss Ratio | 1.09 | 1.02 | 0.85 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |||
| Stress Period | Start | End | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX |
|---|---|---|---|---|---|
| Dotcom Crash | Mar 2000 | Oct 2002 | -43.10% | -26.49% | -28.62% |
| Subprime Crisis | Nov 2007 | Mar 2009 | -62.70% | -57.45% | -53.25% |
| COVID-19 Start | Jan 2020 | Mar 2020 | -24.59% | -29.74% | -34.89% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Dec 2017 | 8 years 10 months | 10 years 2 months | -62.70% |
| 2 | Jan 2000 | Sep 2001 | 1 year 9 months | Dec 2003 | 2 years 3 months | 4 years | -43.96% |
| 3 | Feb 2018 | Mar 2020 | 2 years 2 months | -28.72% | |||
| 4 | May 2006 | Jun 2006 | 2 months | Nov 2006 | 5 months | 7 months | -10.92% |
| 5 | Apr 2004 | Jul 2004 | 4 months | Oct 2004 | 3 months | 7 months | -10.41% |
| 6 | Mar 2005 | Apr 2005 | 2 months | Jul 2005 | 3 months | 5 months | -9.40% |
| 7 | Oct 2005 | Oct 2005 | 1 month | Nov 2005 | 1 month | 2 months | -6.57% |
| 8 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -4.87% |
| 9 | May 1999 | May 1999 | 1 month | Jun 1999 | 1 month | 2 months | -4.15% |
| 10 | Jan 1999 | Jan 1999 | 1 month | Mar 1999 | 2 months | 3 months | -2.91% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2011 | 2 years 1 month | 3 years 5 months | -57.45% |
| 2 | Feb 2018 | Mar 2020 | 2 years 2 months | -29.89% | |||
| 3 | May 2002 | Sep 2002 | 5 months | Oct 2003 | 1 year 1 month | 1 year 6 months | -26.49% |
| 4 | May 2011 | Sep 2011 | 5 months | Jan 2013 | 1 year 4 months | 1 year 9 months | -25.57% |
| 5 | Feb 2001 | Sep 2001 | 8 months | Mar 2002 | 6 months | 1 year 2 months | -22.17% |
| 6 | May 2015 | Jan 2016 | 9 months | Dec 2016 | 11 months | 1 year 8 months | -20.58% |
| 7 | Sep 2000 | Nov 2000 | 3 months | Jan 2001 | 2 months | 5 months | -12.94% |
| 8 | Mar 2005 | Apr 2005 | 2 months | Jul 2005 | 3 months | 5 months | -7.62% |
| 9 | May 2006 | May 2006 | 1 month | Oct 2006 | 5 months | 6 months | -7.41% |
| 10 | Apr 2004 | Apr 2004 | 1 month | Sep 2004 | 5 months | 6 months | -6.72% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 2 years | 3 years 9 months | -56.13% |
| 2 | Sep 2018 | Mar 2020 | 1 year 7 months | -35.29% | |||
| 3 | May 2002 | Mar 2003 | 11 months | Dec 2003 | 9 months | 1 year 8 months | -31.28% |
| 4 | May 2011 | Sep 2011 | 5 months | Sep 2012 | 1 year | 1 year 5 months | -23.97% |
| 5 | Jul 2001 | Sep 2001 | 3 months | Dec 2001 | 3 months | 6 months | -16.63% |
| 6 | Jun 2015 | Jan 2016 | 8 months | Jul 2016 | 6 months | 1 year 2 months | -13.97% |
| 7 | Jul 1999 | Jan 2000 | 7 months | Jul 2000 | 6 months | 1 year 1 month | -9.85% |
| 8 | Jan 1999 | Mar 1999 | 3 months | May 1999 | 2 months | 5 months | -9.50% |
| 9 | Feb 2001 | Mar 2001 | 2 months | Jun 2001 | 3 months | 5 months | -8.11% |
| 10 | Jan 2005 | Apr 2005 | 4 months | Jun 2005 | 2 months | 6 months | -7.07% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 7.10% | 22.14% | 75.98% | -52.81% | -62.70% | 0.34 | 0.50 | 0.80 |
| VISVX | Vanguard Small Cap Value Index Inv | 7.10% | 19.00% | 37.19% | -34.89% | -56.13% | 0.36 | 0.51 | 0.88 |
| Ticker | Name | VEIEX | VISVX | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX |
|---|---|---|---|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 1.00 | 0.72 | 1.00 | 0.94 | 0.72 |
| VISVX | Vanguard Small Cap Value Index Inv | 0.72 | 1.00 | 0.72 | 0.92 | 1.00 |
| Ticker | Name | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX |
|---|---|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | $32,947 | $19,733 | |
| VISVX | Vanguard Small Cap Value Index Inv | $20,155 | $32,947 |
| Ticker | Name | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX |
|---|---|---|---|---|
| VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 100.00% | 54.48% | |
| VISVX | Vanguard Small Cap Value Index Inv | 45.52% | 100.00% |
| Roll Period | 100% VEIEX | 50/50 with annual rebalancing | 100% VISVX | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 10.86% | 93.34% | -56.66% | 11.10% | 87.07% | -50.26% | 10.87% | 77.65% | -45.54% |
| 3 years | 8.99% | 45.72% | -14.29% | 9.95% | 37.74% | -14.94% | 9.94% | 31.65% | -19.30% |
| 5 years | 9.23% | 39.76% | -5.61% | 10.09% | 28.81% | -1.56% | 9.86% | 28.02% | -6.86% |
| 7 years | 9.12% | 24.02% | -1.77% | 9.96% | 18.72% | 1.36% | 9.55% | 18.93% | -2.20% |
| 10 years | 8.49% | 16.64% | -0.11% | 9.30% | 14.94% | 3.37% | 8.70% | 17.45% | 3.20% |
| 15 years | 8.93% | 12.33% | 4.81% | 9.96% | 12.69% | 5.59% | 9.60% | 11.78% | 5.18% |