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 |
---|---|---|
VTI | Vanguard Total Stock Market ETF | 15.00% |
VYM | Vanguard High Dividend Yield ETF | 5.00% |
IYR | iShares US Real Estate ETF | 10.00% |
VEU | Vanguard FTSE All-Wld ex-US ETF | 30.00% |
BND | Vanguard Total Bond Market ETF | 10.00% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 10.00% |
PFF | iShares Preferred&Income Securities ETF | 20.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VTI | Vanguard Total Stock Market ETF | 30.00% |
VEU | Vanguard FTSE All-Wld ex-US ETF | 30.00% |
BND | Vanguard Total Bond Market ETF | 40.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VTI | Vanguard Total Stock Market ETF | 30.00% |
VEU | Vanguard FTSE All-Wld ex-US ETF | 30.00% |
IEF | iShares 7-10 Year Treasury Bond ETF | 40.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | TWRR | MWRR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $1,000,000 | $967,456 | -0.27% | 5.33% | 4.55% | 12.88% | 28.46% | -28.03% | -46.91% (-52.22%) | 0.42 | 0.60 | 0.90 |
Portfolio 2 | $1,000,000 | $1,027,434 | 0.22% | 5.48% | 4.93% | 9.90% | 21.40% | -21.38% | -33.12% (-39.24%) | 0.52 | 0.76 | 0.94 |
Portfolio 3 | $1,000,000 | $1,146,354 | 1.12% | 6.04% | 5.63% | 9.27% | 18.96% | -16.97% | -29.63% (-35.83%) | 0.61 | 0.89 | 0.91 |
* The number in parentheses shows the calculated value taking into account the periodic withdrawals. |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 4.90% | 20.98% | 20.98% | 9.20% | 6.59% | 7.82% | 5.33% | 7.09% | 7.39% |
Portfolio 2 | 5.56% | 19.28% | 19.28% | 9.21% | 6.50% | 7.23% | 5.48% | 6.96% | 7.07% |
Portfolio 3 | 4.92% | 18.96% | 18.96% | 9.16% | 6.42% | 7.65% | 6.04% | 6.60% | 6.67% |
Trailing return and volatility are as of last full calendar month ending December 2019 |
Year | Inflation | Cashflow | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Total Stock Market ETF (VTI) | Vanguard High Dividend Yield ETF (VYM) | iShares US Real Estate ETF (IYR) | Vanguard FTSE All-Wld ex-US ETF (VEU) | Vanguard Total Bond Market ETF (BND) | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | iShares Preferred&Income Securities ETF (PFF) | iShares 7-10 Year Treasury Bond ETF (IEF) | |||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||||||||
2007 | 0.74% | -$40,297 | -3.74% | $922,254 | 0.17% | $961,408 | 0.75% | $967,212 | -3.49% | -5.69% | -13.07% | -0.96% | 3.76% | 1.17% | -9.18% | 5.21% |
2008 | 0.09% | -$40,333 | -28.03% | $623,439 | -21.38% | $715,484 | -16.97% | $762,785 | -36.98% | -31.91% | -39.88% | -43.45% | 6.86% | 2.40% | -23.94% | 17.91% |
2009 | 2.72% | -$41,431 | 28.46% | $759,439 | 21.40% | $827,170 | 17.31% | $853,392 | 28.89% | 17.16% | 30.46% | 37.59% | 3.64% | 8.46% | 38.67% | -6.59% |
2010 | 1.50% | -$42,051 | 13.84% | $822,507 | 11.25% | $878,180 | 12.52% | $918,181 | 17.42% | 14.22% | 26.58% | 11.81% | 6.20% | 9.33% | 13.81% | 9.37% |
2011 | 2.96% | -$43,296 | -1.62% | $765,915 | -0.75% | $828,321 | 2.34% | $896,371 | 0.97% | 10.54% | 5.52% | -14.02% | 7.92% | 9.73% | -2.00% | 15.64% |
2012 | 1.74% | -$44,050 | 15.61% | $841,399 | 11.87% | $882,576 | 12.07% | $960,517 | 16.45% | 12.69% | 18.21% | 18.90% | 3.16% | 10.58% | 18.20% | 3.66% |
2013 | 1.50% | -$44,712 | 10.28% | $883,217 | 13.45% | $956,549 | 11.85% | $1,029,668 | 33.45% | 30.08% | 1.16% | 14.18% | -2.10% | -2.00% | -0.98% | -6.09% |
2014 | 0.76% | -$45,050 | 8.09% | $909,601 | 4.73% | $956,731 | 6.03% | $1,046,683 | 12.54% | 13.52% | 26.69% | -4.54% | 5.82% | 8.21% | 14.11% | 9.07% |
2015 | 0.73% | -$45,379 | -0.42% | $860,412 | -1.10% | $900,801 | -0.72% | $993,736 | 0.36% | 0.28% | 1.63% | -4.78% | 0.56% | -1.25% | 4.27% | 1.51% |
2016 | 2.07% | -$46,320 | 6.09% | $866,467 | 6.33% | $911,515 | 5.72% | $1,004,295 | 12.83% | 17.05% | 7.03% | 4.91% | 2.52% | 6.21% | 1.30% | 1.00% |
2017 | 2.11% | -$47,297 | 15.84% | $956,382 | 16.01% | $1,010,137 | 15.60% | $1,113,700 | 21.21% | 16.42% | 9.34% | 27.39% | 3.57% | 7.06% | 8.10% | 2.55% |
2018 | 1.91% | -$48,200 | -7.08% | $840,465 | -5.87% | $902,676 | -5.42% | $1,005,083 | -5.21% | -5.91% | -4.30% | -14.19% | -0.12% | -3.79% | -4.63% | 0.99% |
2019 | 2.29% | -$49,302 | 20.98% | $967,456 | 19.28% | $1,027,434 | 18.96% | $1,146,354 | 30.67% | 24.07% | 28.19% | 21.83% | 8.83% | 17.37% | 15.92% | 8.03% |
Annual return for 2007 is from 10/01/2007 to 12/31/2007 |
Year | Month | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Total Stock Market ETF (VTI) | Vanguard High Dividend Yield ETF (VYM) | iShares US Real Estate ETF (IYR) | Vanguard FTSE All-Wld ex-US ETF (VEU) | Vanguard Total Bond Market ETF (BND) | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | iShares Preferred&Income Securities ETF (PFF) | iShares 7-10 Year Treasury Bond ETF (IEF) | |||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | ||||||||||
2007 | 10 | 2.79% | $1,027,889 | 2.82% | $1,028,153 | 2.88% | $1,028,782 | 1.79% | -0.31% | 0.76% | 6.37% | 0.92% | 0.97% | 1.81% | 1.08% |
2007 | 11 | -4.56% | $981,033 | -2.11% | $1,006,409 | -1.29% | $1,015,493 | -4.52% | -3.41% | -9.12% | -4.96% | 1.96% | 1.02% | -7.97% | 4.04% |
2007 | 12 | -1.88% | $922,254 | -0.47% | $961,408 | -0.79% | $967,212 | -0.70% | -2.05% | -5.07% | -2.03% | 0.84% | -0.81% | -3.06% | 0.05% |
2008 | 1 | -1.07% | $912,362 | -3.67% | $926,103 | -2.83% | $939,828 | -6.17% | -3.27% | 0.11% | -7.75% | 1.25% | 2.57% | 9.73% | 3.36% |
2008 | 2 | -1.17% | $901,729 | -0.76% | $919,101 | -0.26% | $937,388 | -2.50% | -4.79% | -4.20% | -0.22% | 0.09% | -0.71% | -0.11% | 1.24% |
2008 | 3 | -0.97% | $893,024 | -0.11% | $918,053 | 0.30% | $940,181 | -0.90% | 1.00% | 4.46% | -0.09% | 0.40% | -0.60% | -5.70% | 1.34% |
2008 | 4 | 4.52% | $933,409 | 2.96% | $945,191 | 1.99% | $958,922 | 4.89% | 2.20% | 5.81% | 5.92% | -0.34% | 1.25% | 6.32% | -2.41% |
2008 | 5 | 0.37% | $936,861 | 0.60% | $950,831 | 0.26% | $961,380 | 2.02% | -0.12% | 0.81% | 1.42% | -0.99% | -2.21% | -0.37% | -1.78% |
2008 | 6 | -7.47% | $866,874 | -4.88% | $904,401 | -4.41% | $919,012 | -8.12% | -10.32% | -11.57% | -8.38% | 0.04% | -1.29% | -9.47% | 1.14% |
2008 | 7 | -1.74% | $851,750 | -1.23% | $893,283 | -0.91% | $910,613 | -0.62% | 1.94% | 2.47% | -3.68% | 0.02% | 0.39% | -4.61% | 0.72% |
2008 | 8 | -0.83% | $844,670 | -0.66% | $887,404 | -0.34% | $907,559 | 1.46% | 1.74% | 1.81% | -5.11% | 0.84% | 0.15% | 0.13% | 1.53% |
2008 | 9 | -11.40% | $748,362 | -6.28% | $831,663 | -6.02% | $852,930 | -9.24% | -4.69% | -1.07% | -12.48% | -0.52% | -10.73% | -24.65% | -0.14% |
2008 | 10 | -13.08% | $650,450 | -12.03% | $731,589 | -10.87% | $760,222 | -17.48% | -14.85% | -31.32% | -22.76% | -2.95% | -1.95% | 4.31% | -0.87% |
2008 | 11 | -5.78% | $612,850 | -1.60% | $719,860 | 0.60% | $764,790 | -8.01% | -5.54% | -21.55% | -6.77% | 3.92% | 3.35% | -7.82% | 7.75% |
2008 | 12 | 8.31% | $623,439 | 5.00% | $715,484 | 5.01% | $762,785 | 1.78% | 0.57% | 14.41% | 8.45% | 5.13% | 13.80% | 10.89% | 5.15% |
2009 | 1 | -10.06% | $560,728 | -7.14% | $664,375 | -7.87% | $702,774 | -8.05% | -12.98% | -15.82% | -13.00% | -2.08% | -1.80% | -11.67% | -3.89% |
2009 | 2 | -12.42% | $491,092 | -5.96% | $624,757 | -6.07% | $660,127 | -10.53% | -13.65% | -19.78% | -9.21% | -0.59% | -5.20% | -25.40% | -0.74% |
2009 | 3 | 8.78% | $534,212 | 5.58% | $659,600 | 6.60% | $703,663 | 8.26% | 9.63% | 3.52% | 10.14% | 1.09% | 0.47% | 20.81% | 3.31% |
2009 | 4 | 12.43% | $600,639 | 7.13% | $706,628 | 5.75% | $744,146 | 10.99% | 10.26% | 29.62% | 13.23% | 0.46% | 2.78% | 18.43% | -2.75% |
2009 | 5 | 10.03% | $660,859 | 6.45% | $752,204 | 5.44% | $784,631 | 5.46% | 5.80% | 2.27% | 15.17% | 0.67% | 2.32% | 19.13% | -2.08% |
2009 | 6 | 0.11% | $661,602 | -0.33% | $749,741 | -0.78% | $778,536 | 0.36% | -0.29% | -2.51% | -2.07% | 0.62% | 2.89% | 2.97% | -0.55% |
2009 | 7 | 8.91% | $720,559 | 6.19% | $796,177 | 6.15% | $826,409 | 7.74% | 8.56% | 10.58% | 10.61% | 1.31% | 4.63% | 11.85% | 0.83% |
2009 | 8 | 2.62% | $739,437 | 2.46% | $815,799 | 2.42% | $846,398 | 3.71% | 4.90% | 13.19% | 2.92% | 1.01% | 1.31% | -1.90% | 0.77% |
2009 | 9 | 4.50% | $772,682 | 3.52% | $844,541 | 3.63% | $877,149 | 4.14% | 2.89% | 6.06% | 5.68% | 1.00% | 1.76% | 5.19% | 1.12% |
2009 | 10 | -2.78% | $751,172 | -1.80% | $829,376 | -1.99% | $859,709 | -2.63% | -2.70% | -4.97% | -3.17% | 0.27% | -0.49% | -3.47% | -0.14% |
2009 | 11 | 3.96% | $780,901 | 3.84% | $861,218 | 4.15% | $895,425 | 5.69% | 6.07% | 7.08% | 4.85% | 1.30% | 1.95% | 1.50% | 2.02% |
2009 | 12 | 2.56% | $759,439 | 0.86% | $827,170 | -0.07% | $853,392 | 2.86% | 1.11% | 6.89% | 1.39% | -1.45% | -2.07% | 6.02% | -4.40% |
2010 | 1 | -2.51% | $740,390 | -2.28% | $808,292 | -1.85% | $837,618 | -3.57% | -3.08% | -5.42% | -5.76% | 1.29% | 1.25% | 0.98% | 2.37% |
2010 | 2 | 2.39% | $758,101 | 1.53% | $820,687 | 1.53% | $850,445 | 3.44% | 2.44% | 5.46% | 1.31% | 0.33% | 0.51% | 3.68% | 0.33% |
2010 | 3 | 4.55% | $792,631 | 3.78% | $851,707 | 3.42% | $879,512 | 6.40% | 5.51% | 9.75% | 6.72% | -0.22% | 0.65% | 1.79% | -1.06% |
2010 | 4 | 0.87% | $799,562 | 0.58% | $856,604 | 0.81% | $886,596 | 2.18% | 1.69% | 6.39% | -1.76% | 1.07% | 1.91% | 0.05% | 1.65% |
2010 | 5 | -6.25% | $749,549 | -5.19% | $812,127 | -4.45% | $847,112 | -7.88% | -7.88% | -5.68% | -10.90% | 1.13% | -1.31% | -4.34% | 2.93% |
2010 | 6 | -1.10% | $741,329 | -1.53% | $799,683 | -0.82% | $840,203 | -5.83% | -4.30% | -4.65% | -1.34% | 1.45% | 3.28% | 1.88% | 3.05% |
2010 | 7 | 7.08% | $793,783 | 5.36% | $842,568 | 5.30% | $884,760 | 7.02% | 7.30% | 9.40% | 10.76% | 0.86% | 2.11% | 6.89% | 0.91% |
2010 | 8 | -1.00% | $785,840 | -1.73% | $827,958 | -0.91% | $876,717 | -4.71% | -3.33% | -1.30% | -3.43% | 1.56% | 2.86% | 2.30% | 3.36% |
2010 | 9 | 5.19% | $826,650 | 5.71% | $875,198 | 5.56% | $925,464 | 9.45% | 7.40% | 4.65% | 10.60% | -0.00% | 0.46% | 0.37% | -0.00% |
2010 | 10 | 2.23% | $845,113 | 2.39% | $896,101 | 2.20% | $945,827 | 4.03% | 3.29% | 3.93% | 3.59% | 0.32% | -0.26% | 0.15% | -0.01% |
2010 | 11 | -1.67% | $830,959 | -1.34% | $884,067 | -1.42% | $932,423 | 0.51% | -0.55% | -1.58% | -4.10% | -0.68% | -1.62% | -0.62% | -0.90% |
2010 | 12 | 4.04% | $822,507 | 4.09% | $878,180 | 2.98% | $918,181 | 6.96% | 6.28% | 4.57% | 8.12% | -1.02% | -0.75% | 0.27% | -3.43% |
2011 | 1 | 1.13% | $831,822 | 0.89% | $885,981 | 0.84% | $925,938 | 2.05% | 1.44% | 3.57% | 0.80% | 0.09% | 0.04% | 0.72% | -0.02% |
2011 | 2 | 2.48% | $852,470 | 2.06% | $904,241 | 1.86% | $943,189 | 3.70% | 3.50% | 4.52% | 2.74% | 0.29% | 1.08% | 1.65% | -0.21% |
2011 | 3 | 0.04% | $852,831 | 0.00% | $904,278 | 0.00% | $943,202 | 0.42% | 0.71% | -1.10% | -0.22% | -0.15% | -0.54% | 0.97% | -0.15% |
2011 | 4 | 3.46% | $882,356 | 3.11% | $932,386 | 3.26% | $973,938 | 2.90% | 4.02% | 4.66% | 5.45% | 1.46% | 2.50% | 1.58% | 1.84% |
2011 | 5 | -0.70% | $876,155 | -0.85% | $924,440 | -0.35% | $970,557 | -1.06% | -0.59% | 1.01% | -3.17% | 1.18% | 1.27% | 0.60% | 2.51% |
2011 | 6 | -1.21% | $865,575 | -1.03% | $914,926 | -1.08% | $960,100 | -1.79% | -1.10% | -3.11% | -1.09% | -0.38% | -0.80% | -0.55% | -0.51% |
2011 | 7 | -1.14% | $855,665 | -0.76% | $907,929 | -0.15% | $958,706 | -2.27% | -2.73% | 0.22% | -2.37% | 1.63% | 2.43% | -1.89% | 3.17% |
2011 | 8 | -4.27% | $819,086 | -3.67% | $874,601 | -2.39% | $935,748 | -6.09% | -2.83% | -5.31% | -8.47% | 1.66% | 0.34% | -1.87% | 4.65% |
2011 | 9 | -7.05% | $761,366 | -5.60% | $825,652 | -4.77% | $891,158 | -7.57% | -4.21% | -10.68% | -13.01% | 0.66% | 0.35% | -5.20% | 2.24% |
2011 | 10 | 7.85% | $821,132 | 6.29% | $877,616 | 5.44% | $939,650 | 11.37% | 8.07% | 13.19% | 11.49% | 0.11% | 2.51% | 5.38% | -1.29% |
2011 | 11 | -2.06% | $804,200 | -0.84% | $870,270 | -0.54% | $934,603 | -0.37% | 1.26% | -3.67% | -2.57% | -0.06% | -3.16% | -3.13% | 0.58% |
2011 | 12 | 0.62% | $765,915 | 0.15% | $828,321 | 0.54% | $896,371 | 0.98% | 3.19% | 4.09% | -2.43% | 1.18% | 3.49% | 0.12% | 1.99% |
2012 | 1 | 5.26% | $806,201 | 3.83% | $860,068 | 3.92% | $931,543 | 5.07% | 1.77% | 6.60% | 6.86% | 0.63% | 2.14% | 7.07% | 0.86% |
2012 | 2 | 3.11% | $831,291 | 2.94% | $885,320 | 2.49% | $954,747 | 4.22% | 3.15% | -0.69% | 5.31% | 0.04% | 1.63% | 3.04% | -1.10% |
2012 | 3 | 0.61% | $836,328 | 0.47% | $889,452 | 0.06% | $955,360 | 3.06% | 2.71% | 4.48% | -0.90% | -0.51% | -1.42% | 0.18% | -1.59% |
2012 | 4 | -0.14% | $835,120 | -0.35% | $886,315 | 0.15% | $956,832 | -0.64% | -0.02% | 2.58% | -1.81% | 1.10% | 1.08% | 0.22% | 2.51% |
2012 | 5 | -5.14% | $792,169 | -5.10% | $841,071 | -4.39% | $914,842 | -6.23% | -4.66% | -4.21% | -11.40% | 0.93% | 0.76% | -1.17% | 2.87% |
2012 | 6 | 3.87% | $822,846 | 3.16% | $867,617 | 2.95% | $941,786 | 4.05% | 4.98% | 5.36% | 6.52% | 0.07% | 0.87% | 2.42% | -0.42% |
2012 | 7 | 1.40% | $834,386 | 0.90% | $875,423 | 0.97% | $950,894 | 0.88% | 2.14% | 2.33% | 0.49% | 1.23% | 3.48% | 1.50% | 1.40% |
2012 | 8 | 1.56% | $847,395 | 1.69% | $890,219 | 1.57% | $965,869 | 2.70% | 0.77% | 0.31% | 2.65% | 0.16% | -0.05% | 1.48% | -0.12% |
2012 | 9 | 1.68% | $861,639 | 1.90% | $907,105 | 1.69% | $982,165 | 2.49% | 2.56% | -1.11% | 3.49% | 0.18% | 1.10% | 0.73% | -0.35% |
2012 | 10 | 0.17% | $863,078 | -0.38% | $903,648 | -0.49% | $977,324 | -1.81% | -0.99% | -0.59% | 0.77% | -0.10% | 1.35% | 1.01% | -0.40% |
2012 | 11 | 0.60% | $868,214 | 0.90% | $911,748 | 1.17% | $988,726 | 0.77% | -0.34% | -0.58% | 1.80% | 0.27% | -0.42% | 0.18% | 0.98% |
2012 | 12 | 1.99% | $841,399 | 1.63% | $882,576 | 1.60% | $960,517 | 1.29% | 0.27% | 2.89% | 5.06% | -0.88% | -0.33% | 0.39% | -0.94% |
2013 | 1 | 2.29% | $860,699 | 2.08% | $900,908 | 1.84% | $978,151 | 5.42% | 5.65% | 4.02% | 2.43% | -0.69% | -1.30% | 1.34% | -1.29% |
2013 | 2 | 0.28% | $863,089 | 0.19% | $902,602 | 0.42% | $982,247 | 1.28% | 2.07% | 1.26% | -1.39% | 0.54% | 1.08% | 0.53% | 1.13% |
2013 | 3 | 1.51% | $876,120 | 1.45% | $915,695 | 1.53% | $997,293 | 3.95% | 3.61% | 2.87% | 0.62% | 0.08% | -0.05% | 1.12% | 0.29% |
2013 | 4 | 2.63% | $899,139 | 2.01% | $934,094 | 2.21% | $1,019,285 | 1.61% | 3.01% | 5.73% | 3.75% | 1.01% | 2.17% | 1.05% | 1.52% |
2013 | 5 | -1.87% | $882,363 | -0.94% | $925,297 | -1.40% | $1,005,053 | 2.44% | 0.73% | -6.49% | -3.31% | -1.93% | -3.22% | -0.66% | -3.11% |
2013 | 6 | -2.43% | $860,916 | -2.14% | $905,488 | -2.48% | $980,127 | -1.43% | -0.13% | -2.40% | -3.58% | -1.65% | -3.27% | -2.20% | -2.55% |
2013 | 7 | 2.62% | $883,511 | 3.41% | $936,360 | 3.15% | $1,011,003 | 5.75% | 4.47% | 0.24% | 4.70% | 0.38% | 1.11% | -0.54% | -0.35% |
2013 | 8 | -2.57% | $860,780 | -1.93% | $918,323 | -2.14% | $989,370 | -3.03% | -3.91% | -6.53% | -1.99% | -0.86% | -1.00% | -2.19% | -1.42% |
2013 | 9 | 3.68% | $892,458 | 3.93% | $954,432 | 4.23% | $1,031,210 | 3.90% | 2.35% | 3.46% | 7.58% | 1.11% | 0.74% | 0.68% | 1.85% |
2013 | 10 | 2.79% | $917,396 | 2.75% | $980,683 | 2.74% | $1,059,421 | 4.27% | 4.75% | 3.73% | 3.33% | 0.86% | 1.81% | 0.93% | 0.78% |
2013 | 11 | 0.28% | $919,960 | 0.92% | $989,715 | 0.73% | $1,067,111 | 2.70% | 2.31% | -4.64% | 0.34% | -0.29% | -0.14% | 0.32% | -0.88% |
2013 | 12 | 0.87% | $883,217 | 1.17% | $956,549 | 0.68% | $1,029,668 | 2.73% | 2.03% | 0.90% | 1.47% | -0.64% | 0.22% | -1.29% | -2.09% |
2014 | 1 | -1.13% | $873,195 | -2.07% | $936,750 | -1.46% | $1,014,593 | -3.17% | -4.00% | 3.44% | -5.80% | 1.55% | 1.88% | 2.96% | 3.06% |
2014 | 2 | 3.64% | $904,956 | 3.26% | $967,312 | 3.20% | $1,047,042 | 4.87% | 3.61% | 4.75% | 5.63% | 0.47% | 1.14% | 2.28% | 0.36% |
2014 | 3 | 0.68% | $911,145 | 0.22% | $969,443 | 0.06% | $1,047,658 | 0.51% | 2.48% | 0.14% | 0.46% | -0.17% | -0.03% | 1.75% | -0.56% |
2014 | 4 | 1.45% | $924,384 | 0.78% | $976,971 | 0.76% | $1,055,608 | 0.06% | 2.11% | 3.03% | 1.47% | 0.80% | 1.33% | 1.84% | 0.76% |
2014 | 5 | 1.76% | $940,629 | 1.63% | $992,854 | 1.94% | $1,076,042 | 2.10% | 1.58% | 2.80% | 1.92% | 1.05% | 1.51% | 1.25% | 1.82% |
2014 | 6 | 1.22% | $952,103 | 1.33% | $1,006,019 | 1.20% | $1,088,914 | 2.62% | 2.02% | 1.01% | 1.68% | 0.08% | 0.01% | 0.61% | -0.22% |
2014 | 7 | -0.98% | $942,735 | -1.16% | $994,349 | -1.13% | $1,076,585 | -1.99% | -1.67% | -0.11% | -1.47% | -0.28% | -0.32% | -0.50% | -0.22% |
2014 | 8 | 2.15% | $962,993 | 2.01% | $1,014,360 | 2.30% | $1,101,392 | 4.15% | 3.76% | 3.47% | 1.01% | 1.14% | 2.00% | 1.79% | 1.88% |
2014 | 9 | -2.82% | $935,861 | -2.32% | $990,846 | -2.49% | $1,073,921 | -2.10% | -1.16% | -5.89% | -4.88% | -0.57% | -1.68% | -0.82% | -1.05% |
2014 | 10 | 1.91% | $953,728 | 1.20% | $1,002,728 | 1.53% | $1,090,310 | 2.75% | 2.47% | 8.35% | 0.20% | 0.72% | 1.23% | 1.07% | 1.53% |
2014 | 11 | 1.18% | $965,008 | 1.02% | $1,012,956 | 1.20% | $1,103,437 | 2.48% | 3.03% | 2.72% | -0.32% | 0.83% | 0.91% | 1.24% | 1.29% |
2014 | 12 | -1.07% | $909,601 | -1.10% | $956,731 | -1.06% | $1,046,683 | -0.04% | -1.14% | 0.81% | -3.96% | 0.06% | -0.02% | -0.12% | 0.13% |
2015 | 1 | 0.89% | $917,695 | 0.13% | $958,017 | 0.89% | $1,056,038 | -2.74% | -2.88% | 5.71% | -0.02% | 2.40% | 3.75% | 1.32% | 4.30% |
2015 | 2 | 2.45% | $940,174 | 2.89% | $985,709 | 2.38% | $1,081,142 | 5.74% | 4.90% | -2.60% | 5.85% | -1.31% | -1.42% | 0.97% | -2.47% |
2015 | 3 | -0.46% | $935,890 | -0.57% | $980,121 | -0.44% | $1,076,371 | -1.16% | -1.83% | 1.09% | -1.41% | 0.55% | 0.20% | 0.30% | 0.86% |
2015 | 4 | 0.98% | $945,074 | 1.50% | $994,851 | 1.37% | $1,091,143 | 0.62% | 1.70% | -4.82% | 4.74% | -0.32% | -1.19% | 0.02% | -0.63% |
2015 | 5 | -0.31% | $942,149 | -0.14% | $993,480 | -0.11% | $1,089,973 | 1.30% | 0.37% | -0.33% | -1.04% | -0.50% | -1.12% | -0.01% | -0.42% |
2015 | 6 | -2.17% | $921,704 | -1.81% | $975,499 | -2.01% | $1,068,063 | -1.67% | -2.65% | -4.39% | -2.81% | -1.11% | -1.88% | -1.01% | -1.63% |
2015 | 7 | 1.12% | $932,017 | 0.76% | $982,957 | 1.01% | $1,078,903 | 1.70% | 1.05% | 4.94% | -0.29% | 0.88% | 0.83% | 1.36% | 1.52% |
2015 | 8 | -4.39% | $891,064 | -4.31% | $940,591 | -4.17% | $1,033,926 | -6.09% | -5.66% | -5.80% | -7.75% | -0.25% | -0.83% | -0.75% | 0.08% |
2015 | 9 | -1.49% | $877,748 | -1.73% | $924,339 | -1.40% | $1,019,454 | -2.92% | -1.56% | 1.60% | -4.04% | 0.81% | 1.19% | -0.69% | 1.58% |
2015 | 10 | 4.63% | $918,352 | 4.26% | $963,704 | 3.94% | $1,059,647 | 7.91% | 8.41% | 6.23% | 6.69% | 0.03% | 0.57% | 2.16% | -0.64% |
2015 | 11 | -0.22% | $916,299 | -0.36% | $960,192 | -0.38% | $1,055,638 | 0.60% | 0.22% | -0.20% | -1.32% | -0.39% | -0.15% | 0.67% | -0.43% |
2015 | 12 | -1.15% | $860,412 | -1.46% | $900,801 | -1.57% | $993,736 | -2.13% | -1.05% | 1.10% | -2.52% | -0.18% | -1.08% | -0.10% | -0.45% |
2016 | 1 | -3.15% | $833,290 | -2.92% | $874,533 | -2.06% | $973,235 | -5.72% | -2.82% | -4.10% | -5.60% | 1.20% | 0.12% | -0.98% | 3.33% |
2016 | 2 | -0.55% | $828,682 | -0.36% | $871,386 | -0.08% | $972,444 | -0.01% | 0.51% | -0.75% | -2.44% | 0.85% | 1.05% | 0.06% | 1.49% |
2016 | 3 | 5.74% | $876,255 | 4.82% | $913,429 | 4.37% | $1,014,967 | 7.11% | 6.64% | 10.26% | 8.31% | 0.88% | 3.62% | 2.38% | -0.06% |
2016 | 4 | 0.96% | $884,661 | 0.98% | $922,404 | 0.75% | $1,022,570 | 0.66% | 0.72% | -1.67% | 2.11% | 0.40% | 1.55% | 0.88% | -0.16% |
2016 | 5 | 0.57% | $889,679 | 0.28% | $924,956 | 0.24% | $1,025,002 | 1.73% | 1.39% | 2.21% | -0.79% | -0.01% | -0.51% | 1.54% | -0.10% |
2016 | 6 | 1.34% | $901,566 | 0.68% | $931,286 | 1.12% | $1,036,516 | 0.27% | 2.18% | 6.24% | -0.72% | 2.02% | 3.09% | 1.18% | 3.09% |
2016 | 7 | 2.80% | $926,784 | 2.68% | $956,214 | 2.51% | $1,062,561 | 3.98% | 2.35% | 3.65% | 4.25% | 0.60% | 1.29% | 1.39% | 0.25% |
2016 | 8 | -0.15% | $925,384 | 0.14% | $957,579 | -0.14% | $1,061,047 | 0.21% | -0.30% | -3.35% | 0.69% | -0.31% | 0.18% | 0.02% | -1.01% |
2016 | 9 | 0.09% | $926,194 | 0.58% | $963,121 | 0.63% | $1,067,689 | 0.21% | -0.40% | -1.47% | 1.58% | 0.11% | -0.32% | -1.07% | 0.24% |
2016 | 10 | -1.85% | $909,055 | -1.55% | $948,226 | -1.77% | $1,048,844 | -2.19% | -1.28% | -4.96% | -1.69% | -0.94% | -1.53% | -0.97% | -1.49% |
2016 | 11 | -1.21% | $898,016 | -0.31% | $945,303 | -0.98% | $1,038,608 | 4.49% | 4.23% | -2.34% | -2.13% | -2.57% | -3.17% | -3.33% | -4.23% |
2016 | 12 | 1.64% | $866,467 | 1.33% | $911,515 | 1.16% | $1,004,295 | 1.98% | 2.97% | 4.25% | 1.93% | 0.33% | 0.84% | 0.31% | -0.12% |
2017 | 1 | 2.04% | $884,173 | 1.87% | $928,593 | 1.89% | $1,023,247 | 1.86% | -0.04% | 0.13% | 4.14% | 0.19% | 0.15% | 2.39% | 0.22% |
2017 | 2 | 2.15% | $903,206 | 1.74% | $944,728 | 1.78% | $1,041,455 | 3.69% | 3.58% | 4.37% | 1.26% | 0.62% | 1.32% | 2.09% | 0.72% |
2017 | 3 | 0.82% | $910,639 | 0.91% | $953,370 | 0.96% | $1,051,465 | 0.06% | -0.30% | -1.45% | 2.99% | -0.04% | -0.29% | 0.50% | 0.08% |
2017 | 4 | 1.31% | $922,565 | 1.28% | $965,574 | 1.40% | $1,066,189 | 1.06% | -0.08% | 0.56% | 2.09% | 0.80% | 1.19% | 1.30% | 1.11% |
2017 | 5 | 1.42% | $935,651 | 1.54% | $980,411 | 1.58% | $1,083,031 | 1.01% | 0.36% | -0.11% | 3.05% | 0.71% | 1.33% | 0.55% | 0.83% |
2017 | 6 | 0.77% | $942,820 | 0.47% | $984,978 | 0.25% | $1,085,743 | 0.95% | 1.13% | 2.09% | 0.51% | 0.05% | 0.48% | 0.80% | -0.51% |
2017 | 7 | 1.78% | $959,609 | 1.80% | $1,002,693 | 1.79% | $1,105,146 | 1.88% | 1.61% | 1.12% | 3.38% | 0.40% | 0.77% | 0.66% | 0.38% |
2017 | 8 | 0.42% | $963,597 | 0.57% | $1,008,428 | 0.80% | $1,113,950 | 0.15% | -0.18% | 0.67% | 0.64% | 0.86% | 0.68% | -0.06% | 1.46% |
2017 | 9 | 0.95% | $972,720 | 1.16% | $1,020,079 | 0.79% | $1,122,696 | 2.44% | 3.02% | -0.79% | 1.84% | -0.47% | -0.05% | -0.16% | -1.44% |
2017 | 10 | 1.00% | $982,431 | 1.29% | $1,033,233 | 1.23% | $1,136,520 | 2.17% | 1.74% | 0.05% | 1.95% | -0.03% | 0.19% | -0.37% | -0.19% |
2017 | 11 | 1.17% | $993,968 | 1.10% | $1,044,615 | 1.04% | $1,148,351 | 3.03% | 3.07% | 2.57% | 0.63% | -0.11% | -0.12% | 0.68% | -0.28% |
2017 | 12 | 0.98% | $956,382 | 1.23% | $1,010,137 | 1.10% | $1,113,700 | 1.16% | 1.49% | -0.10% | 2.05% | 0.54% | 1.22% | -0.52% | 0.18% |
2018 | 1 | 1.92% | $974,702 | 2.78% | $1,038,266 | 2.42% | $1,140,649 | 5.23% | 4.11% | -3.02% | 5.70% | -1.24% | -1.23% | -1.18% | -2.15% |
2018 | 2 | -3.37% | $941,818 | -3.19% | $1,005,142 | -3.16% | $1,104,624 | -3.76% | -4.72% | -6.66% | -5.31% | -1.04% | -2.24% | 0.27% | -0.93% |
2018 | 3 | 0.03% | $942,127 | -0.46% | $1,000,510 | -0.28% | $1,101,517 | -1.95% | -2.17% | 3.78% | -0.44% | 0.69% | 0.56% | 0.54% | 1.16% |
2018 | 4 | -0.11% | $941,062 | -0.03% | $1,000,193 | -0.20% | $1,099,329 | 0.45% | 0.13% | 0.23% | 0.57% | -0.85% | -1.57% | -0.70% | -1.28% |
2018 | 5 | 0.49% | $945,653 | 0.49% | $1,005,055 | 0.60% | $1,105,977 | 2.72% | 1.60% | 3.37% | -1.99% | 0.68% | 0.52% | 0.81% | 0.99% |
2018 | 6 | 0.16% | $947,177 | -0.43% | $1,000,706 | -0.34% | $1,102,237 | 0.70% | -0.29% | 4.06% | -2.14% | -0.04% | -0.49% | 1.76% | 0.20% |
2018 | 7 | 1.82% | $964,370 | 1.86% | $1,019,365 | 1.67% | $1,120,667 | 3.32% | 4.09% | 0.83% | 2.89% | -0.04% | 1.34% | 0.19% | -0.53% |
2018 | 8 | 0.50% | $969,217 | 0.66% | $1,026,083 | 0.79% | $1,129,551 | 3.43% | 1.11% | 2.38% | -2.34% | 0.67% | 0.02% | 1.41% | 1.01% |
2018 | 9 | -0.53% | $964,088 | -0.02% | $1,025,861 | -0.28% | $1,126,427 | 0.20% | 0.40% | -2.84% | 0.44% | -0.55% | -0.14% | -1.71% | -1.20% |
2018 | 10 | -4.81% | $917,678 | -5.13% | $973,229 | -4.93% | $1,070,861 | -7.41% | -4.40% | -2.39% | -8.30% | -0.86% | -2.05% | -2.24% | -0.30% |
2018 | 11 | 0.97% | $926,554 | 1.30% | $985,927 | 1.59% | $1,087,845 | 2.01% | 3.56% | 4.70% | 1.47% | 0.64% | -0.36% | -2.23% | 1.33% |
2018 | 12 | -4.09% | $840,465 | -3.56% | $902,676 | -3.18% | $1,005,083 | -9.16% | -8.64% | -7.80% | -4.94% | 1.87% | 1.86% | -1.53% | 2.80% |
2019 | 1 | 6.58% | $895,769 | 5.28% | $950,312 | 5.09% | $1,056,280 | 8.54% | 6.10% | 11.48% | 7.57% | 1.11% | 3.37% | 5.64% | 0.65% |
2019 | 2 | 1.39% | $908,211 | 1.57% | $965,199 | 1.40% | $1,071,098 | 3.56% | 3.77% | 0.73% | 1.63% | -0.09% | -0.20% | 0.58% | -0.52% |
2019 | 3 | 1.73% | $923,962 | 1.49% | $979,560 | 1.76% | $1,089,901 | 1.42% | 0.53% | 4.17% | 1.00% | 1.94% | 2.93% | 1.46% | 2.66% |
2019 | 4 | 1.78% | $940,427 | 2.10% | $1,000,115 | 1.91% | $1,110,750 | 3.93% | 2.84% | -0.05% | 2.85% | -0.02% | 0.44% | 0.68% | -0.52% |
2019 | 5 | -2.68% | $915,270 | -3.10% | $969,158 | -2.66% | $1,081,255 | -6.45% | -6.31% | -0.15% | -5.54% | 1.83% | 1.65% | 0.25% | 3.05% |
2019 | 6 | 3.99% | $951,761 | 4.44% | $1,012,219 | 4.42% | $1,129,100 | 7.08% | 6.65% | 1.27% | 5.89% | 1.25% | 3.25% | 1.31% | 1.22% |
2019 | 7 | 0.35% | $955,125 | -0.04% | $1,011,782 | -0.09% | $1,128,140 | 1.41% | 0.72% | 2.38% | -1.80% | 0.15% | 0.25% | 1.80% | 0.04% |
2019 | 8 | -0.03% | $954,870 | -0.35% | $1,008,256 | 0.11% | $1,129,329 | -2.08% | -2.10% | 3.43% | -2.44% | 2.77% | 3.88% | 0.60% | 3.95% |
2019 | 9 | 1.50% | $969,238 | 1.16% | $1,020,000 | 0.91% | $1,139,609 | 1.78% | 3.90% | 1.89% | 2.82% | -0.57% | -0.76% | 0.75% | -1.19% |
2019 | 10 | 1.63% | $985,016 | 1.81% | $1,038,503 | 1.76% | $1,159,680 | 2.11% | 1.05% | 0.77% | 3.45% | 0.31% | 0.44% | 0.43% | 0.19% |
2019 | 11 | 0.86% | $993,444 | 1.51% | $1,054,182 | 1.26% | $1,174,286 | 3.79% | 2.34% | -1.12% | 1.05% | -0.04% | 0.47% | -0.44% | -0.69% |
2019 | 12 | 2.35% | $967,456 | 2.14% | $1,027,434 | 1.82% | $1,146,354 | 2.80% | 2.97% | 0.85% | 4.17% | -0.07% | 0.53% | 1.92% | -0.93% |
* End-of-month balance includes the annual contribution/withdrawal |
Style Category | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Large-cap Value | 23.94% | 9.11% | 11.44% |
Large-cap Growth | 0.00% | 14.60% | 13.04% |
Mid-cap Value | 0.00% | 4.47% | 1.40% |
Mid-cap Growth | 5.05% | 0.09% | 1.96% |
Small-cap Value | 3.01% | 0.00% | 1.14% |
Small-cap Growth | 0.00% | 2.27% | 1.13% |
Global ex-US Developed Markets | 24.54% | 23.32% | 22.47% |
Emerging Markets | 10.18% | 8.39% | 7.76% |
Corporate Bonds | 32.77% | 5.93% | 0.46% |
Long-Term Treasuries | 0.52% | 2.47% | 0.00% |
Intermediate-Term Treasuries | 0.00% | 10.24% | 39.20% |
Short-Term Treasuries | 0.00% | 19.12% | 0.00% |
R Squared | 95.08% | 99.76% | 99.89% |
Style analysis is based on monthly returns from October 2007 to December 2019 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 | Expense Ratio | P/E | Duration | Contribution | |||
---|---|---|---|---|---|---|---|---|---|---|---|
SEC | TTM | Net | Gross | Return | Risk | ||||||
VTI | Vanguard Total Stock Market ETF | Large Blend | 15.00% | 1.55% | 1.58% | 0.03% | 0.03% | 20.09 | $145,214 | 15.89% | |
VYM | Vanguard High Dividend Yield ETF | Large Value | 5.00% | 3.11% | 3.09% | 0.06% | 0.06% | 14.61 | $42,875 | 4.81% | |
IYR | iShares US Real Estate ETF | Real Estate | 10.00% | 2.97% | 2.89% | 0.39% | 0.39% | 25.67 | $67,546 | 14.14% | |
VEU | Vanguard FTSE All-Wld ex-US ETF | Foreign Large Blend | 30.00% | 2.89% | 0.08% | 0.08% | 13.07 | $91,875 | 40.73% | ||
BND | Vanguard Total Bond Market ETF | Intermediate Core Bond | 10.00% | 4.02% | 2.60% | 0.03% | 0.03% | 6.56 | $42,454 | 0.66% | |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | Corporate Bond | 10.00% | 4.95% | 3.44% | 0.14% | 0.14% | 8.35 | $58,712 | 3.17% | |
PFF | iShares Preferred&Income Securities ETF | Preferred Stock | 20.00% | 6.36% | 6.46% | 0.45% | 0.45% | $96,497 | 20.59% | ||
100.00% | 2.85% | 3.44% | 0.18% | 0.18% | 17.05 | 7.46 | $545,174 | 100.00% |
Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Duration | Contribution | |||
---|---|---|---|---|---|---|---|---|---|---|---|
SEC | TTM | Net | Gross | Return | Risk | ||||||
VTI | Vanguard Total Stock Market ETF | Large Blend | 30.00% | 1.55% | 1.58% | 0.03% | 0.03% | 20.09 | $317,092 | 42.74% | |
VEU | Vanguard FTSE All-Wld ex-US ETF | Foreign Large Blend | 30.00% | 2.89% | 0.08% | 0.08% | 13.07 | $106,908 | 54.25% | ||
BND | Vanguard Total Bond Market ETF | Intermediate Core Bond | 40.00% | 4.02% | 2.60% | 0.03% | 0.03% | 6.56 | $181,152 | 3.02% | |
100.00% | 2.07% | 2.38% | 0.04% | 0.04% | 16.58 | 6.56 | $605,152 | 100.00% |
Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Duration | Contribution | |||
---|---|---|---|---|---|---|---|---|---|---|---|
SEC | TTM | Net | Gross | Return | Risk | ||||||
VTI | Vanguard Total Stock Market ETF | Large Blend | 30.00% | 1.55% | 1.58% | 0.03% | 0.03% | 20.09 | $353,348 | 43.65% | |
VEU | Vanguard FTSE All-Wld ex-US ETF | Foreign Large Blend | 30.00% | 2.89% | 0.08% | 0.08% | 13.07 | $126,911 | 56.17% | ||
IEF | iShares 7-10 Year Treasury Bond ETF | Long Government | 40.00% | 3.34% | 2.16% | 0.15% | 0.15% | 7.68 | $243,814 | 0.18% | |
100.00% | 1.80% | 2.21% | 0.09% | 0.09% | 16.58 | 7.68 | $724,072 | 100.00% |
Fund fundamentals data as of 05/31/2023. (c) 2023 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 | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Arithmetic Mean (monthly) | 0.50% | 0.49% | 0.53% |
Arithmetic Mean (annualized) | 6.21% | 6.00% | 6.49% |
Geometric Mean (monthly) | 0.43% | 0.45% | 0.49% |
Geometric Mean (annualized) | 5.33% | 5.48% | 6.04% |
Standard Deviation (monthly) | 3.72% | 2.86% | 2.68% |
Standard Deviation (annualized) | 12.88% | 9.90% | 9.27% |
Downside Deviation (monthly) | 2.56% | 1.94% | 1.80% |
Maximum Drawdown | -46.91% | -33.12% | -29.63% |
Stock Market Correlation | 0.90 | 0.94 | 0.91 |
Beta(*) | 0.76 | 0.61 | 0.55 |
Alpha (annualized) | -1.08% | 0.11% | 1.14% |
R2 | 81.18% | 88.76% | 82.37% |
Sharpe Ratio | 0.42 | 0.52 | 0.61 |
Sortino Ratio | 0.60 | 0.76 | 0.89 |
Treynor Ratio (%) | 7.11 | 8.51 | 10.29 |
Calmar Ratio | 1.04 | 1.09 | 1.20 |
Active Return | -3.21% | -3.07% | -2.51% |
Tracking Error | 6.73% | 6.88% | 7.95% |
Information Ratio | -0.48 | -0.45 | -0.32 |
Skewness | -0.56 | -0.73 | -0.76 |
Excess Kurtosis | 3.02 | 2.27 | 2.31 |
Historical Value-at-Risk (5%) | 5.59% | 5.04% | 4.40% |
Analytical Value-at-Risk (5%) | 5.67% | 4.34% | 4.05% |
Conditional Value-at-Risk (5%) | 9.19% | 6.56% | 6.17% |
Upside Capture Ratio (%) | 68.36 | 58.40 | 54.87 |
Downside Capture Ratio (%) | 76.25 | 61.54 | 53.29 |
Safe Withdrawal Rate | 8.20% | 8.60% | 9.07% |
Perpetual Withdrawal Rate | 3.23% | 3.36% | 3.84% |
Positive Periods | 94 out of 147 (63.95%) | 90 out of 147 (61.22%) | 92 out of 147 (62.59%) |
Gain/Loss Ratio | 0.83 | 1.00 | 1.02 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -46.91% | -33.12% | -29.63% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Feb 2011 | 2 years | 3 years 4 months | -46.91% |
2 | May 2011 | Sep 2011 | 5 months | Mar 2012 | 6 months | 11 months | -13.71% |
3 | Feb 2018 | Dec 2018 | 11 months | Mar 2019 | 3 months | 1 year 2 months | -8.83% |
4 | May 2015 | Feb 2016 | 10 months | Jun 2016 | 4 months | 1 year 2 months | -7.69% |
5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -5.28% |
6 | May 2013 | Aug 2013 | 4 months | Oct 2013 | 2 months | 6 months | -4.27% |
7 | Aug 2016 | Nov 2016 | 4 months | Jan 2017 | 2 months | 6 months | -3.10% |
8 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -2.82% |
9 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.68% |
10 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -1.13% |
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 | Oct 2010 | 1 year 8 months | 3 years | -33.12% |
2 | May 2011 | Sep 2011 | 5 months | Mar 2012 | 6 months | 11 months | -11.45% |
3 | Feb 2018 | Dec 2018 | 11 months | Apr 2019 | 4 months | 1 year 3 months | -8.42% |
4 | May 2015 | Feb 2016 | 10 months | Jul 2016 | 5 months | 1 year 3 months | -8.00% |
5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -5.44% |
6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -3.10% |
7 | May 2013 | Jun 2013 | 2 months | Jul 2013 | 1 month | 3 months | -3.06% |
8 | Sep 2014 | Sep 2014 | 1 month | Feb 2015 | 5 months | 6 months | -2.32% |
9 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -2.07% |
10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -1.93% |
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 | Sep 2010 | 1 year 7 months | 2 years 11 months | -29.63% |
2 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 4 months | 9 months | -8.50% |
3 | Feb 2018 | Dec 2018 | 11 months | Mar 2019 | 3 months | 1 year 2 months | -7.66% |
4 | May 2015 | Feb 2016 | 10 months | Jul 2016 | 5 months | 1 year 3 months | -6.81% |
5 | May 2012 | May 2012 | 1 month | Aug 2012 | 3 months | 4 months | -4.39% |
6 | May 2013 | Jun 2013 | 2 months | Sep 2013 | 3 months | 5 months | -3.84% |
7 | Oct 2016 | Nov 2016 | 2 months | Jan 2017 | 2 months | 4 months | -2.72% |
8 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.66% |
9 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -2.49% |
10 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -1.46% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
VTI | Vanguard Total Stock Market ETF | 8.65% | 15.35% | 33.45% | -36.98% | -50.84% | 0.58 | 0.83 | 1.00 |
VYM | Vanguard High Dividend Yield ETF | 7.84% | 14.27% | 30.08% | -31.91% | -51.74% | 0.56 | 0.79 | 0.95 |
IYR | iShares US Real Estate ETF | 5.88% | 22.30% | 30.46% | -39.88% | -64.97% | 0.34 | 0.48 | 0.75 |
VEU | Vanguard FTSE All-Wld ex-US ETF | 2.02% | 18.83% | 37.59% | -43.45% | -58.41% | 0.17 | 0.23 | 0.89 |
BND | Vanguard Total Bond Market ETF | 4.09% | 3.63% | 8.83% | -2.10% | -4.01% | 0.94 | 1.73 | -0.01 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 5.84% | 7.55% | 17.37% | -3.79% | -15.11% | 0.70 | 1.17 | 0.28 |
PFF | iShares Preferred&Income Securities ETF | 4.92% | 17.40% | 38.67% | -23.94% | -55.29% | 0.33 | 0.47 | 0.54 |
IEF | iShares 7-10 Year Treasury Bond ETF | 4.84% | 6.41% | 17.91% | -6.59% | -7.60% | 0.67 | 1.20 | -0.32 |
Name | Total Return | Annualized Return | Expense Ratio | |||||
---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Net | Gross | |
Vanguard Total Stock Market ETF | 8.95% | 30.67% | 30.67% | 14.51% | 11.20% | 13.43% | 0.03% | 0.03% |
Vanguard High Dividend Yield ETF | 6.49% | 24.07% | 24.07% | 10.77% | 9.79% | 12.86% | 0.06% | 0.06% |
iShares US Real Estate ETF | 0.48% | 28.19% | 28.19% | 10.28% | 7.85% | 11.43% | 0.39% | 0.39% |
Vanguard FTSE All-Wld ex-US ETF | 8.88% | 21.83% | 21.83% | 10.02% | 5.88% | 5.18% | 0.08% | 0.08% |
Vanguard Total Bond Market ETF | 0.20% | 8.83% | 8.83% | 4.03% | 3.03% | 3.58% | 0.03% | 0.03% |
iShares iBoxx $ Invmt Grade Corp Bd ETF | 1.45% | 17.37% | 17.37% | 6.53% | 4.86% | 5.96% | 0.14% | 0.14% |
iShares Preferred&Income Securities ETF | 1.90% | 15.92% | 15.92% | 6.12% | 4.77% | 6.52% | 0.45% | 0.45% |
iShares 7-10 Year Treasury Bond ETF | -1.42% | 8.03% | 8.03% | 3.81% | 2.78% | 4.42% | 0.15% | 0.15% |
Trailing returns as of last calendar month ending December 2019 |
Ticker | Name | VTI | VYM | IYR | VEU | BND | LQD | PFF | IEF | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
VTI | Vanguard Total Stock Market ETF | 1.00 | 0.95 | 0.75 | 0.89 | -0.01 | 0.28 | 0.54 | -0.32 | 0.90 | 0.94 | 0.91 |
VYM | Vanguard High Dividend Yield ETF | 0.95 | 1.00 | 0.76 | 0.84 | 0.05 | 0.28 | 0.55 | -0.22 | 0.88 | 0.90 | 0.89 |
IYR | iShares US Real Estate ETF | 0.75 | 0.76 | 1.00 | 0.71 | 0.29 | 0.43 | 0.54 | -0.02 | 0.83 | 0.76 | 0.75 |
VEU | Vanguard FTSE All-Wld ex-US ETF | 0.89 | 0.84 | 0.71 | 1.00 | 0.13 | 0.40 | 0.59 | -0.21 | 0.94 | 0.97 | 0.95 |
BND | Vanguard Total Bond Market ETF | -0.01 | 0.05 | 0.29 | 0.13 | 1.00 | 0.76 | 0.20 | 0.88 | 0.24 | 0.21 | 0.32 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 0.28 | 0.28 | 0.43 | 0.40 | 0.76 | 1.00 | 0.57 | 0.53 | 0.55 | 0.46 | 0.52 |
PFF | iShares Preferred&Income Securities ETF | 0.54 | 0.55 | 0.54 | 0.59 | 0.20 | 0.57 | 1.00 | 0.01 | 0.77 | 0.59 | 0.60 |
IEF | iShares 7-10 Year Treasury Bond ETF | -0.32 | -0.22 | -0.02 | -0.21 | 0.88 | 0.53 | 0.01 | 1.00 | -0.10 | -0.13 | 0.01 |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
VTI | Vanguard Total Stock Market ETF | $145,214 | $317,092 | $353,348 |
VYM | Vanguard High Dividend Yield ETF | $42,875 | ||
IYR | iShares US Real Estate ETF | $67,546 | ||
VEU | Vanguard FTSE All-Wld ex-US ETF | $91,875 | $106,908 | $126,911 |
BND | Vanguard Total Bond Market ETF | $42,454 | $181,152 | |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | $58,712 | ||
PFF | iShares Preferred&Income Securities ETF | $96,497 | ||
IEF | iShares 7-10 Year Treasury Bond ETF | $243,814 | ||
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
VTI | Vanguard Total Stock Market ETF | 15.89% | 42.74% | 43.65% |
VYM | Vanguard High Dividend Yield ETF | 4.81% | ||
IYR | iShares US Real Estate ETF | 14.14% | ||
VEU | Vanguard FTSE All-Wld ex-US ETF | 40.73% | 54.25% | 56.17% |
BND | Vanguard Total Bond Market ETF | 0.66% | 3.02% | |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 3.17% | ||
PFF | iShares Preferred&Income Securities ETF | 20.59% | ||
IEF | iShares 7-10 Year Treasury Bond ETF | 0.18% | ||
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 6.73% | 62.79% | -42.02% | 6.15% | 37.94% | -28.19% | 6.55% | 35.09% | -25.85% |
3 years | 7.77% | 25.62% | -1.23% | 7.07% | 17.95% | 0.24% | 7.47% | 18.47% | 1.83% |
5 years | 7.64% | 19.00% | 1.79% | 6.95% | 14.53% | 2.29% | 7.36% | 14.75% | 3.67% |
7 years | 7.65% | 13.42% | 4.21% | 6.98% | 10.03% | 4.56% | 7.38% | 10.53% | 5.54% |
10 years | 7.65% | 11.95% | 4.82% | 6.98% | 9.62% | 4.99% | 7.36% | 9.76% | 5.66% |