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 |
|---|---|---|
| VSS | Vanguard FTSE All-Wld ex-US SmCp ETF | 20.00% |
| VOE | Vanguard Mid-Cap Value ETF | 20.00% |
| VWO | Vanguard FTSE Emerging Markets ETF | 20.00% |
| VDC | Vanguard Consumer Staples ETF | 20.00% |
| EZA | iShares MSCI South Africa ETF | 10.00% |
| EWD | iShares MSCI Sweden ETF | 10.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $17,947 | 6.71% | 13.72% | 23.99% | -14.50% | -22.10% | 0.51 | 0.81 | 0.89 |
| Vanguard 500 Index Investor | $10,000 | $26,778 | 11.57% | 12.37% | 32.18% | -4.52% | -16.31% | 0.92 | 1.49 | 1.00 |
| Year | Inflation | Return | Balance | Vanguard FTSE All-Wld ex-US SmCp ETF (VSS) | Vanguard Mid-Cap Value ETF (VOE) | Vanguard FTSE Emerging Markets ETF (VWO) | Vanguard Consumer Staples ETF (VDC) | iShares MSCI South Africa ETF (EZA) | iShares MSCI Sweden ETF (EWD) | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | Vanguard 500 Index Investor | Portfolio 1 | Vanguard 500 Index Investor | ||||||||
| 2010 | 1.50% | 23.57% | 14.91% | $12,357 | $11,491 | 25.60% | 21.76% | 19.47% | 14.62% | 36.94% | 35.89% |
| 2011 | 2.96% | -8.28% | 1.97% | $11,334 | $11,717 | -19.63% | -0.40% | -18.76% | 13.60% | -15.73% | -16.73% |
| 2012 | 1.74% | 17.96% | 15.82% | $13,369 | $13,572 | 20.73% | 16.02% | 19.20% | 11.02% | 21.06% | 24.57% |
| 2013 | 1.50% | 17.09% | 32.18% | $15,654 | $17,938 | 16.60% | 37.76% | -4.92% | 28.02% | -7.51% | 23.48% |
| 2014 | 0.76% | 4.39% | 13.51% | $16,341 | $20,361 | -5.06% | 13.96% | -0.07% | 15.96% | 2.75% | -8.41% |
| 2015 | 0.73% | -5.44% | 1.25% | $15,453 | $20,616 | -0.01% | -1.89% | -15.81% | 5.82% | -26.03% | -4.54% |
| 2016 | 2.07% | 9.55% | 11.82% | $16,928 | $23,052 | 4.26% | 15.40% | 12.21% | 6.30% | 16.75% | 2.37% |
| 2017 | 2.11% | 23.99% | 21.67% | $20,990 | $28,047 | 30.60% | 17.07% | 31.48% | 11.85% | 36.04% | 21.88% |
| 2018 | 1.91% | -14.50% | -4.52% | $17,947 | $26,778 | -18.47% | -12.45% | -14.77% | -7.79% | -25.23% | -12.76% |
| Year | Month | Return | Balance | Vanguard FTSE All-Wld ex-US SmCp ETF (VSS) | Vanguard Mid-Cap Value ETF (VOE) | Vanguard FTSE Emerging Markets ETF (VWO) | Vanguard Consumer Staples ETF (VDC) | iShares MSCI South Africa ETF (EZA) | iShares MSCI Sweden ETF (EWD) | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | Vanguard 500 Index Investor | Portfolio 1 | Vanguard 500 Index Investor | ||||||||
| 2010 | 1 | -3.55% | -3.60% | $9,645 | $9,640 | -3.14% | -2.28% | -6.73% | -0.96% | -5.97% | -3.32% |
| 2010 | 2 | 2.65% | 3.09% | $9,901 | $9,938 | 0.45% | 4.75% | 1.88% | 3.04% | 1.27% | 4.84% |
| 2010 | 3 | 7.31% | 6.01% | $10,625 | $10,535 | 7.55% | 7.01% | 8.19% | 4.10% | 13.38% | 6.59% |
| 2010 | 4 | 1.10% | 1.58% | $10,742 | $10,702 | 1.02% | 3.93% | -0.21% | -1.05% | -1.13% | 4.49% |
| 2010 | 5 | -8.71% | -8.01% | $9,806 | $9,845 | -12.02% | -7.45% | -9.18% | -4.97% | -5.79% | -13.95% |
| 2010 | 6 | -2.53% | -5.24% | $9,558 | $9,329 | -0.80% | -6.27% | -0.55% | -2.62% | -6.03% | 2.26% |
| 2010 | 7 | 9.64% | 7.00% | $10,479 | $9,982 | 10.40% | 6.73% | 10.21% | 6.29% | 15.19% | 14.24% |
| 2010 | 8 | -3.40% | -4.53% | $10,123 | $9,530 | -1.90% | -5.13% | -2.56% | -1.81% | -3.71% | -6.98% |
| 2010 | 9 | 11.29% | 8.92% | $11,266 | $10,379 | 12.33% | 9.22% | 11.42% | 5.97% | 15.10% | 19.41% |
| 2010 | 10 | 2.97% | 3.79% | $11,600 | $10,773 | 4.68% | 3.45% | 3.10% | 3.08% | 0.76% | 0.79% |
| 2010 | 11 | -1.69% | 0.00% | $11,405 | $10,773 | -2.72% | 0.36% | -2.84% | -0.95% | -1.49% | -2.84% |
| 2010 | 12 | 8.35% | 6.67% | $12,357 | $11,491 | 9.90% | 7.38% | 7.56% | 4.33% | 14.34% | 10.08% |
| 2011 | 1 | -1.59% | 2.36% | $12,161 | $11,762 | -0.76% | 2.38% | -3.45% | -1.61% | -12.17% | 3.20% |
| 2011 | 2 | 2.09% | 3.42% | $12,415 | $12,164 | 1.74% | 3.72% | -0.17% | 2.84% | 5.76% | -0.81% |
| 2011 | 3 | 2.69% | 0.03% | $12,749 | $12,167 | 1.34% | 1.29% | 5.47% | 1.79% | 5.13% | 2.56% |
| 2011 | 4 | 4.76% | 2.95% | $13,357 | $12,526 | 5.15% | 2.91% | 3.37% | 5.27% | 5.40% | 8.91% |
| 2011 | 5 | -1.31% | -1.15% | $13,182 | $12,382 | -2.12% | -0.55% | -2.94% | 2.70% | -5.19% | -2.38% |
| 2011 | 6 | -2.39% | -1.67% | $12,866 | $12,175 | -2.08% | -3.02% | -1.00% | -2.20% | -1.26% | -5.70% |
| 2011 | 7 | -2.23% | -2.05% | $12,578 | $11,926 | -1.41% | -3.89% | -0.62% | -1.44% | -1.77% | -5.66% |
| 2011 | 8 | -6.03% | -5.45% | $11,820 | $11,277 | -8.95% | -6.56% | -9.09% | 0.23% | -1.36% | -10.77% |
| 2011 | 9 | -11.97% | -7.04% | $10,404 | $10,482 | -14.93% | -8.70% | -18.44% | -3.45% | -17.89% | -14.06% |
| 2011 | 10 | 10.74% | 10.91% | $11,522 | $11,626 | 9.32% | 12.37% | 15.91% | 4.49% | 12.13% | 15.53% |
| 2011 | 11 | -0.51% | -0.23% | $11,464 | $11,599 | -2.83% | 0.15% | -1.71% | 2.03% | 2.18% | -3.95% |
| 2011 | 12 | -1.14% | 1.02% | $11,334 | $11,717 | -3.92% | 1.10% | -4.17% | 2.58% | -4.06% | -1.45% |
| 2012 | 1 | 6.37% | 4.46% | $12,055 | $12,240 | 9.01% | 5.23% | 10.78% | -1.06% | 8.94% | 6.80% |
| 2012 | 2 | 5.33% | 4.31% | $12,697 | $12,768 | 6.42% | 3.62% | 5.43% | 3.85% | 4.78% | 9.53% |
| 2012 | 3 | -0.08% | 3.28% | $12,687 | $13,187 | -1.13% | 2.00% | -2.60% | 3.07% | -1.15% | -1.36% |
| 2012 | 4 | -1.10% | -0.64% | $12,547 | $13,102 | -1.37% | -0.77% | -2.09% | 0.22% | -0.45% | -2.34% |
| 2012 | 5 | -8.34% | -6.02% | $11,501 | $12,314 | -10.99% | -6.75% | -10.67% | -1.56% | -9.23% | -13.38% |
| 2012 | 6 | 4.53% | 4.11% | $12,021 | $12,820 | 4.19% | 3.37% | 5.02% | 3.63% | 4.29% | 8.81% |
| 2012 | 7 | 1.37% | 1.37% | $12,186 | $12,995 | 0.00% | 0.78% | 0.20% | 2.47% | 0.89% | 5.79% |
| 2012 | 8 | 1.14% | 2.24% | $12,325 | $13,286 | 3.11% | 2.51% | 0.25% | -0.27% | 0.48% | -0.11% |
| 2012 | 9 | 3.47% | 2.58% | $12,753 | $13,629 | 5.11% | 2.03% | 5.31% | 1.59% | 3.04% | 3.86% |
| 2012 | 10 | -0.76% | -1.86% | $12,656 | $13,375 | -0.17% | -0.14% | -0.55% | -1.06% | -1.68% | -2.05% |
| 2012 | 11 | 1.35% | 0.56% | $12,827 | $13,450 | 1.33% | 1.23% | 1.28% | 1.90% | -1.45% | 3.36% |
| 2012 | 12 | 4.23% | 0.90% | $13,369 | $13,572 | 4.97% | 2.36% | 7.06% | -2.04% | 12.47% | 5.56% |
| 2013 | 1 | 3.12% | 5.18% | $13,786 | $14,274 | 3.03% | 7.26% | 0.07% | 5.89% | -7.46% | 6.16% |
| 2013 | 2 | 0.29% | 1.34% | $13,826 | $14,465 | -0.23% | 1.47% | -2.36% | 3.10% | -2.64% | 0.87% |
| 2013 | 3 | 2.05% | 3.74% | $14,109 | $15,006 | 1.10% | 5.00% | -1.27% | 4.96% | -0.99% | 0.53% |
| 2013 | 4 | 2.10% | 1.91% | $14,406 | $15,292 | 2.47% | 1.70% | 2.00% | 2.93% | 0.55% | 1.97% |
| 2013 | 5 | -2.18% | 2.33% | $14,091 | $15,648 | -2.50% | 1.87% | -5.07% | -1.65% | -8.19% | -1.21% |
| 2013 | 6 | -2.72% | -1.35% | $13,709 | $15,437 | -4.53% | -1.35% | -5.33% | 0.03% | 0.29% | -5.88% |
| 2013 | 7 | 4.69% | 5.07% | $14,352 | $16,220 | 5.18% | 5.64% | 0.70% | 4.53% | 2.02% | 11.04% |
| 2013 | 8 | -2.96% | -2.91% | $13,927 | $15,748 | -1.00% | -2.92% | -3.43% | -4.33% | -2.30% | -3.47% |
| 2013 | 9 | 5.36% | 3.12% | $14,674 | $16,239 | 7.32% | 3.99% | 7.27% | 1.63% | 8.55% | 7.20% |
| 2013 | 10 | 4.05% | 4.59% | $15,268 | $16,984 | 3.57% | 4.53% | 4.34% | 5.96% | 3.78% | -0.18% |
| 2013 | 11 | 0.65% | 3.03% | $15,367 | $17,498 | -0.52% | 2.90% | -0.93% | 1.67% | -2.19% | 0.61% |
| 2013 | 12 | 1.86% | 2.51% | $15,654 | $17,938 | 2.17% | 2.83% | -0.28% | 0.77% | 1.98% | 4.84% |
| 2014 | 1 | -5.32% | -3.47% | $14,821 | $17,316 | -2.59% | -2.58% | -8.43% | -5.32% | -10.53% | -4.77% |
| 2014 | 2 | 5.42% | 4.56% | $15,624 | $18,106 | 7.17% | 5.39% | 3.24% | 3.90% | 7.71% | 6.95% |
| 2014 | 3 | 2.12% | 0.82% | $15,955 | $18,255 | -0.56% | 1.15% | 4.62% | 2.32% | 6.53% | 0.36% |
| 2014 | 4 | 1.17% | 0.72% | $16,141 | $18,387 | 1.02% | 0.41% | 0.89% | 2.55% | 1.28% | 0.68% |
| 2014 | 5 | 1.75% | 2.33% | $16,424 | $18,816 | 1.33% | 1.71% | 3.10% | 2.05% | 0.88% | 0.33% |
| 2014 | 6 | 1.70% | 2.05% | $16,702 | $19,202 | 2.31% | 2.78% | 3.17% | -0.09% | 2.49% | -1.89% |
| 2014 | 7 | -1.81% | -1.39% | $16,400 | $18,936 | -3.02% | -2.60% | 1.37% | -3.46% | 0.64% | -3.32% |
| 2014 | 8 | 2.98% | 3.98% | $16,890 | $19,690 | 1.46% | 3.86% | 3.84% | 4.75% | 2.08% | -0.18% |
| 2014 | 9 | -4.57% | -1.41% | $16,118 | $19,412 | -6.27% | -3.47% | -7.18% | 0.31% | -9.14% | -2.82% |
| 2014 | 10 | 2.26% | 2.42% | $16,481 | $19,882 | -1.49% | 3.56% | 2.23% | 3.68% | 6.63% | -0.51% |
| 2014 | 11 | 1.19% | 2.68% | $16,678 | $20,415 | -1.89% | 2.72% | -1.10% | 5.14% | -0.45% | 1.85% |
| 2014 | 12 | -2.02% | -0.26% | $16,341 | $20,361 | -2.02% | 0.65% | -4.69% | -0.33% | -3.55% | -4.85% |
| 2015 | 1 | -0.26% | -3.02% | $16,300 | $19,747 | -0.62% | -2.37% | -0.20% | -1.44% | 4.26% | 2.43% |
| 2015 | 2 | 4.93% | 5.74% | $17,104 | $20,880 | 6.28% | 5.35% | 4.66% | 4.28% | 1.30% | 7.03% |
| 2015 | 3 | -1.54% | -1.59% | $16,841 | $20,548 | -1.34% | -0.05% | -2.05% | -1.34% | -2.10% | -3.57% |
| 2015 | 4 | 3.03% | 0.95% | $17,351 | $20,743 | 5.58% | -0.29% | 7.41% | -1.14% | 5.48% | 1.61% |
| 2015 | 5 | -1.09% | 1.27% | $17,162 | $21,007 | 0.18% | 1.20% | -3.55% | 1.17% | -8.04% | -0.18% |
| 2015 | 6 | -1.95% | -1.93% | $16,827 | $20,601 | -2.27% | -2.34% | -2.54% | -1.67% | 1.52% | -3.16% |
| 2015 | 7 | -1.13% | 2.08% | $16,638 | $21,029 | -2.92% | 0.94% | -6.26% | 4.89% | -4.83% | 0.85% |
| 2015 | 8 | -6.35% | -6.04% | $15,581 | $19,759 | -5.68% | -4.41% | -9.86% | -5.57% | -7.68% | -5.31% |
| 2015 | 9 | -2.78% | -2.49% | $15,147 | $19,267 | -2.32% | -3.40% | -2.88% | -0.04% | -6.64% | -4.32% |
| 2015 | 10 | 5.41% | 8.42% | $15,967 | $20,889 | 4.70% | 6.31% | 5.29% | 5.81% | 6.11% | 3.86% |
| 2015 | 11 | -0.97% | 0.29% | $15,812 | $20,949 | 0.21% | 0.62% | -2.30% | -0.91% | -6.27% | 0.40% |
| 2015 | 12 | -2.27% | -1.59% | $15,453 | $20,616 | -1.08% | -2.87% | -3.44% | 2.22% | -10.96% | -3.51% |
| 2016 | 1 | -4.67% | -4.98% | $14,731 | $19,590 | -6.70% | -6.86% | -5.75% | 0.00% | -1.88% | -6.20% |
| 2016 | 2 | 0.17% | -0.15% | $14,757 | $19,561 | 0.46% | 1.36% | -0.32% | 0.40% | -2.25% | 0.26% |
| 2016 | 3 | 9.07% | 6.78% | $16,095 | $20,887 | 7.30% | 7.76% | 12.72% | 4.91% | 18.33% | 7.33% |
| 2016 | 4 | 1.57% | 0.37% | $16,348 | $20,965 | 3.02% | 0.99% | 1.01% | -1.07% | 5.07% | 2.65% |
| 2016 | 5 | -1.60% | 1.78% | $16,086 | $21,338 | -0.36% | 1.44% | -3.24% | 0.84% | -9.77% | -2.25% |
| 2016 | 6 | 2.19% | 0.25% | $16,438 | $21,392 | -2.04% | 0.32% | 4.93% | 5.18% | 8.43% | -3.78% |
| 2016 | 7 | 3.98% | 3.68% | $17,093 | $22,178 | 4.96% | 4.19% | 5.14% | -0.35% | 9.23% | 2.49% |
| 2016 | 8 | -0.73% | 0.13% | $16,967 | $22,207 | -0.52% | 0.93% | 0.78% | -0.52% | -9.07% | 1.89% |
| 2016 | 9 | 1.63% | 0.01% | $17,244 | $22,209 | 2.90% | 0.43% | 2.05% | -1.61% | 6.74% | 1.79% |
| 2016 | 10 | -1.78% | -1.83% | $16,937 | $21,802 | -2.95% | -2.42% | 0.32% | -0.78% | -1.37% | -5.26% |
| 2016 | 11 | -1.77% | 3.70% | $16,638 | $22,608 | -2.17% | 5.94% | -4.05% | -3.76% | -8.07% | -0.18% |
| 2016 | 12 | 1.75% | 1.96% | $16,928 | $23,052 | 1.07% | 1.10% | -0.74% | 3.25% | 4.11% | 4.53% |
| 2017 | 1 | 3.90% | 1.88% | $17,589 | $23,486 | 4.80% | 2.17% | 5.76% | 1.31% | 4.77% | 6.16% |
| 2017 | 2 | 2.28% | 3.96% | $17,989 | $24,417 | 1.63% | 3.35% | 2.25% | 4.46% | 0.24% | -0.62% |
| 2017 | 3 | 1.45% | 0.10% | $18,249 | $24,441 | 2.57% | -0.25% | 2.84% | -0.23% | 0.36% | 4.16% |
| 2017 | 4 | 2.25% | 1.02% | $18,660 | $24,690 | 2.76% | 0.39% | 1.56% | 1.08% | 5.96% | 4.88% |
| 2017 | 5 | 1.54% | 1.39% | $18,947 | $25,034 | 2.08% | 0.09% | 0.99% | 2.20% | 1.69% | 2.84% |
| 2017 | 6 | -0.04% | 0.61% | $18,940 | $25,187 | 1.19% | 0.90% | 0.85% | -2.23% | -3.83% | 1.88% |
| 2017 | 7 | 2.95% | 2.04% | $19,499 | $25,701 | 3.62% | 1.69% | 5.34% | 0.62% | 6.05% | 0.68% |
| 2017 | 8 | 0.94% | 0.29% | $19,681 | $25,777 | 0.94% | -1.24% | 3.00% | -1.23% | 3.94% | 1.67% |
| 2017 | 9 | 0.45% | 2.06% | $19,770 | $26,308 | 2.05% | 2.73% | -0.49% | -0.59% | -6.03% | 3.34% |
| 2017 | 10 | 0.82% | 2.32% | $19,932 | $26,917 | 1.48% | 0.81% | 2.43% | -1.47% | 1.97% | -0.84% |
| 2017 | 11 | 2.02% | 3.06% | $20,334 | $27,741 | 0.87% | 3.41% | -0.34% | 5.57% | 6.86% | -3.65% |
| 2017 | 12 | 3.23% | 1.10% | $20,990 | $28,047 | 3.09% | 1.92% | 3.70% | 2.05% | 10.35% | -0.12% |
| 2018 | 1 | 4.61% | 5.71% | $21,957 | $29,649 | 4.43% | 3.67% | 8.56% | 1.71% | 3.07% | 6.25% |
| 2018 | 2 | -5.07% | -3.69% | $20,843 | $28,553 | -4.43% | -4.69% | -5.36% | -7.44% | -1.08% | -5.83% |
| 2018 | 3 | -0.68% | -2.56% | $20,700 | $27,824 | 0.24% | -0.29% | -0.21% | -0.61% | -3.73% | -1.30% |
| 2018 | 4 | -1.73% | 0.37% | $20,342 | $27,928 | 0.31% | 0.45% | -2.77% | -3.71% | -4.16% | -1.88% |
| 2018 | 5 | -1.38% | 2.39% | $20,063 | $28,596 | -0.13% | 0.04% | -2.34% | -1.11% | -5.48% | -1.34% |
| 2018 | 6 | -1.23% | 0.61% | $19,816 | $28,769 | -2.80% | 0.96% | -4.79% | 4.56% | -6.08% | -1.48% |
| 2018 | 7 | 3.49% | 3.71% | $20,508 | $29,836 | 0.96% | 3.20% | 3.98% | 3.45% | 6.31% | 5.97% |
| 2018 | 8 | -1.98% | 3.25% | $20,103 | $30,805 | -1.72% | 0.55% | -4.19% | 0.83% | -10.33% | -1.42% |
| 2018 | 9 | -0.51% | 0.55% | $20,001 | $30,976 | -1.74% | -0.68% | -1.35% | 0.63% | -2.22% | 2.98% |
| 2018 | 10 | -6.59% | -6.85% | $18,682 | $28,854 | -10.11% | -7.03% | -7.66% | 1.70% | -10.03% | -10.54% |
| 2018 | 11 | 2.73% | 2.03% | $19,193 | $29,439 | 1.13% | 2.28% | 4.83% | 1.94% | 9.47% | -0.68% |
| 2018 | 12 | -6.49% | -9.04% | $17,947 | $26,778 | -5.57% | -10.62% | -3.34% | -9.04% | -2.46% | -3.10% |
| Style Category | Portfolio 1 | Vanguard 500 Index Investor |
|---|---|---|
| Large-cap Value | 19.08% | 46.98% |
| Large-cap Growth | 2.94% | 52.67% |
| Mid-cap Value | 3.57% | 0.00% |
| Mid-cap Growth | 7.83% | 0.00% |
| Small-cap Value | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.32% |
| Global ex-US Developed Markets | 23.08% | 0.00% |
| Emerging Markets | 37.01% | 0.00% |
| REITs | 1.92% | 0.00% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 4.57% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.02% |
| R Squared | 97.30% | 99.96% |
| Style analysis is based on monthly returns from Jan 2010 to Dec 2018 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 | ER | Weight | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|
| VSS | Vanguard FTSE All-Wld ex-US SmCp ETF | Foreign Small/Mid Blend | 0.11% | 20.00% | $1,174 | 21.54% |
| VOE | Vanguard Mid-Cap Value ETF | Mid-Cap Value | 0.07% | 20.00% | $2,705 | 17.21% |
| VWO | Vanguard FTSE Emerging Markets ETF | Diversified Emerging Mkts | 0.10% | 20.00% | $534 | 24.60% |
| VDC | Vanguard Consumer Staples ETF | Consumer Defensive | 0.10% | 20.00% | $2,586 | 10.42% |
| EZA | iShares MSCI South Africa ETF | Miscellaneous Region | 0.59% | 10.00% | $270 | 13.75% |
| EWD | iShares MSCI Sweden ETF | Miscellaneous Region | 0.55% | 10.00% | $678 | 12.47% |
Fund fundamentals data as of 04/03/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Metric | Portfolio 1 | Vanguard 500 Index Investor |
|---|---|---|
| Arithmetic Mean (monthly) | 0.62% | 0.98% |
| Arithmetic Mean (annualized) | 7.71% | 12.41% |
| Geometric Mean (monthly) | 0.54% | 0.92% |
| Geometric Mean (annualized) | 6.71% | 11.57% |
| Volatility (monthly) | 3.96% | 3.57% |
| Volatility (annualized) | 13.72% | 12.37% |
| Downside Deviation (monthly) | 2.49% | 2.19% |
| Max. Drawdown | -22.10% | -16.31% |
| US Market Correlation | 0.89 | 1.00 |
| Beta(*) | 0.98 | 1.00 |
| Alpha (annualized) | -4.12% | 0.00% |
| R2 | 78.74% | 100.00% |
| Sharpe Ratio | 0.51 | 0.92 |
| Sortino Ratio | 0.81 | 1.49 |
| Treynor Ratio (%) | 7.17 | 11.37 |
| Calmar Ratio | 0.28 | 0.67 |
| Active Return | -4.85% | N/A |
| Tracking Error | 6.33% | N/A |
| Information Ratio | -0.77 | N/A |
| Skewness | -0.08 | -0.32 |
| Excess Kurtosis | 0.95 | 0.63 |
| Historical Value-at-Risk (5%) | -6.43% | -6.03% |
| Analytical Value-at-Risk (5%) | -5.90% | -4.90% |
| Conditional Value-at-Risk (5%) | -8.42% | -7.40% |
| Upside Capture Ratio (%) | 84.35 | 100.00 |
| Downside Capture Ratio (%) | 108.01 | 100.00 |
| Safe Withdrawal Rate | 15.49% | 18.01% |
| Perpetual Withdrawal Rate | 4.70% | 8.85% |
| Positive Periods | 60 out of 108 (55.56%) | 75 out of 108 (69.44%) |
| Gain/Loss Ratio | 1.20 | 0.86 |
| * Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Sep 2011 | 5 months | Dec 2012 | 1 year 3 months | 1 year 8 months | -22.10% |
| 2 | Feb 2018 | Dec 2018 | 11 months | -18.26% | |||
| 3 | May 2015 | Jan 2016 | 9 months | Jan 2017 | 1 year | 1 year 9 months | -15.10% |
| 4 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -11.02% |
| 5 | Jan 2014 | Jan 2014 | 1 month | Mar 2014 | 2 months | 3 months | -5.32% |
| 6 | May 2013 | Jun 2013 | 2 months | Sep 2013 | 3 months | 5 months | -4.84% |
| 7 | Sep 2014 | Sep 2014 | 1 month | Feb 2015 | 5 months | 6 months | -4.57% |
| 8 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -3.55% |
| 9 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -1.81% |
| 10 | Nov 2010 | Nov 2010 | 1 month | Dec 2010 | 1 month | 2 months | -1.69% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -16.31% |
| 2 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
| 3 | May 2010 | Jun 2010 | 2 months | Oct 2010 | 4 months | 6 months | -12.83% |
| 4 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.62% |
| 6 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
| 7 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -3.60% |
| 8 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
| 9 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.27% |
| 10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -2.91% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VSS | Vanguard FTSE All-Wld ex-US SmCp ETF | 4.59% | 15.72% | 30.60% | -19.63% | -26.81% | 0.34 | 0.50 | 0.83 |
| VOE | Vanguard Mid-Cap Value ETF | 11.02% | 13.39% | 37.76% | -12.45% | -20.91% | 0.82 | 1.29 | 0.97 |
| VWO | Vanguard FTSE Emerging Markets ETF | 1.70% | 18.21% | 31.48% | -18.76% | -30.74% | 0.16 | 0.24 | 0.74 |
| VDC | Vanguard Consumer Staples ETF | 10.66% | 10.62% | 28.02% | -7.79% | -12.40% | 0.97 | 1.64 | 0.69 |
| EZA | iShares MSCI South Africa ETF | 1.72% | 23.08% | 36.94% | -26.03% | -34.95% | 0.17 | 0.26 | 0.57 |
| EWD | iShares MSCI Sweden ETF | 5.77% | 19.37% | 35.89% | -16.73% | -33.41% | 0.37 | 0.58 | 0.80 |
| Ticker | Name | VSS | VOE | VWO | VDC | EZA | EWD | Portfolio 1 | Vanguard 500 Index Investor |
|---|---|---|---|---|---|---|---|---|---|
| VSS | Vanguard FTSE All-Wld ex-US SmCp ETF | 1.00 | 0.82 | 0.89 | 0.50 | 0.73 | 0.89 | 0.95 | 0.82 |
| VOE | Vanguard Mid-Cap Value ETF | 0.82 | 1.00 | 0.73 | 0.68 | 0.58 | 0.80 | 0.89 | 0.96 |
| VWO | Vanguard FTSE Emerging Markets ETF | 0.89 | 0.73 | 1.00 | 0.48 | 0.84 | 0.79 | 0.93 | 0.74 |
| VDC | Vanguard Consumer Staples ETF | 0.50 | 0.68 | 0.48 | 1.00 | 0.45 | 0.52 | 0.68 | 0.71 |
| EZA | iShares MSCI South Africa ETF | 0.73 | 0.58 | 0.84 | 0.45 | 1.00 | 0.62 | 0.82 | 0.57 |
| EWD | iShares MSCI Sweden ETF | 0.89 | 0.80 | 0.79 | 0.52 | 0.62 | 1.00 | 0.89 | 0.80 |
| Ticker | Name | Portfolio 1 |
|---|---|---|
| VSS | Vanguard FTSE All-Wld ex-US SmCp ETF | $1,174 |
| VOE | Vanguard Mid-Cap Value ETF | $2,705 |
| VWO | Vanguard FTSE Emerging Markets ETF | $534 |
| VDC | Vanguard Consumer Staples ETF | $2,586 |
| EZA | iShares MSCI South Africa ETF | $270 |
| EWD | iShares MSCI Sweden ETF | $678 |
| Ticker | Name | Portfolio 1 |
|---|---|---|
| VSS | Vanguard FTSE All-Wld ex-US SmCp ETF | 21.54% |
| VOE | Vanguard Mid-Cap Value ETF | 17.21% |
| VWO | Vanguard FTSE Emerging Markets ETF | 24.60% |
| VDC | Vanguard Consumer Staples ETF | 10.42% |
| EZA | iShares MSCI South Africa ETF | 13.75% |
| EWD | iShares MSCI Sweden ETF | 12.47% |
| Roll Period | Portfolio 1 | Vanguard 500 Index Investor | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 7.59% | 23.99% | -14.50% | 12.07% | 32.18% | -4.52% |
| 3 years | 7.53% | 12.97% | 2.64% | 13.00% | 20.22% | 8.72% |
| 5 years | 7.09% | 10.32% | 2.77% | 13.23% | 15.62% | 8.34% |
| 7 years | 7.49% | 7.86% | 6.79% | 12.93% | 13.59% | 12.53% |
| Result statistics are based on annualized rolling returns over full calendar year periods | ||||||