Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2001 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSMAX Vanguard Small Cap Index Adm 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VISVX Vanguard Small Cap Value Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$52,996 9.17% 18.39%45.76%-36.00%-53.84% 0.490.720.94
Portfolio 2$10,000$52,369 9.11% 18.20%37.19%-32.05%-56.13% 0.490.710.91
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 18.14%27.37%10.32%8.88%12.81%9.17%
Portfolio 27.13%22.61%6.27%7.34%11.77%9.11%
Trailing returns are for full months ending in December 2019 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Small Cap Index Adm (VSMAX)Vanguard Small Cap Value Index Inv (VISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20011.55%3.17%13.70%$10,317$11,3703.17%13.70%
20022.38%-19.95%-14.20%$8,259$9,755-19.95%-14.20%
20031.88%45.76%37.19%$12,038$13,38445.76%37.19%
20043.26%20.02%23.55%$14,448$16,53620.02%23.55%
20053.42%7.49%6.07%$15,531$17,5407.49%6.07%
20062.54%15.78%19.24%$17,982$20,91515.78%19.24%
20074.08%1.24%-7.07%$18,205$19,4361.24%-7.07%
20080.09%-36.00%-32.05%$11,651$13,206-36.00%-32.05%
20092.72%36.33%30.34%$15,884$17,21236.33%30.34%
20101.50%27.89%24.82%$20,313$21,48427.89%24.82%
20112.96%-2.69%-4.16%$19,767$20,589-2.69%-4.16%
20121.74%18.24%18.56%$23,372$24,41118.24%18.56%
20131.50%37.81%36.41%$32,210$33,29937.81%36.41%
20140.76%7.50%10.39%$34,627$36,7597.50%10.39%
20150.73%-3.64%-4.78%$33,366$35,003-3.64%-4.78%
20162.07%18.30%24.65%$39,473$43,63118.30%24.65%
20172.11%16.24%11.67%$45,882$48,72316.24%11.67%
20181.91%-9.31%-12.34%$41,609$42,711-9.31%-12.34%
20192.29%27.37%22.61%$52,996$52,36927.37%22.61%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Small Cap Index Adm (VSMAX)Vanguard Small Cap Value Index Inv (VISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200115.25%7.98%$10,525$10,7985.25%7.98%
20012-6.55%-4.13%$9,835$10,352-6.55%-4.13%
20013-4.92%-4.16%$9,352$9,922-4.92%-4.16%
200147.76%6.02%$10,077$10,5207.76%6.02%
200152.50%2.58%$10,329$10,7922.50%2.58%
200164.18%4.13%$10,761$11,2374.18%4.13%
20017-5.31%-1.16%$10,190$11,107-5.31%-1.16%
20018-3.23%-1.57%$9,861$10,933-3.23%-1.57%
20019-13.51%-14.31%$8,529$9,368-13.51%-14.31%
2001105.85%4.64%$9,028$9,8035.85%4.64%
2001117.75%8.09%$9,727$10,5967.75%8.09%
2001126.06%7.30%$10,317$11,3706.06%7.30%
20021-1.06%1.85%$10,208$11,580-1.06%1.85%
20022-2.70%-0.29%$9,932$11,547-2.70%-0.29%
200238.07%8.72%$10,734$12,5548.07%8.72%
200240.92%4.06%$10,832$13,0640.92%4.06%
20025-4.32%-3.82%$10,364$12,565-4.32%-3.82%
20026-4.57%-4.24%$9,890$12,033-4.57%-4.24%
20027-15.00%-16.20%$8,407$10,084-15.00%-16.20%
20028-0.25%-0.11%$8,386$10,072-0.25%-0.11%
20029-7.20%-7.42%$7,782$9,325-7.20%-7.42%
2002103.21%2.07%$8,032$9,5173.21%2.07%
2002118.94%5.36%$8,750$10,0278.94%5.36%
200212-5.61%-2.71%$8,259$9,755-5.61%-2.71%
20031-2.75%-4.11%$8,032$9,355-2.75%-4.11%
20032-3.02%-3.67%$7,790$9,011-3.02%-3.67%
200331.29%-0.38%$7,890$8,9771.29%-0.38%
200349.36%9.06%$8,628$9,7909.36%9.06%
200359.54%7.60%$9,451$10,5349.54%7.60%
200362.01%1.74%$9,641$10,7172.01%1.74%
200375.36%4.49%$10,158$11,1985.36%4.49%
200384.83%3.37%$10,648$11,5764.83%3.37%
20039-1.63%-0.49%$10,474$11,519-1.63%-0.49%
2003108.16%7.06%$11,329$12,3328.16%7.06%
2003113.77%3.90%$11,756$12,8133.77%3.90%
2003122.40%4.46%$12,038$13,3842.40%4.46%
200413.94%2.70%$12,512$13,7453.94%2.70%
200421.40%2.54%$12,688$14,0941.40%2.54%
200431.18%1.74%$12,837$14,3391.18%1.74%
20044-4.77%-5.52%$12,225$13,547-4.77%-5.52%
200451.92%1.72%$12,459$13,7801.92%1.72%
200464.10%4.99%$12,970$14,4674.10%4.99%
20047-5.91%-3.54%$12,203$13,954-5.91%-3.54%
20048-0.35%1.42%$12,161$14,152-0.35%1.42%
200494.25%3.37%$12,677$14,6304.25%3.37%
2004102.23%1.51%$12,960$14,8512.23%1.51%
2004117.56%8.08%$13,940$16,0517.56%8.08%
2004123.64%3.02%$14,448$16,5363.64%3.02%
20051-3.58%-3.72%$13,931$15,920-3.58%-3.72%
200522.13%2.30%$14,227$16,2872.13%2.30%
20053-2.26%-1.88%$13,906$15,982-2.26%-1.88%
20054-4.65%-3.85%$13,259$15,366-4.65%-3.85%
200556.21%5.39%$14,083$16,1956.21%5.39%
200563.52%3.87%$14,579$16,8223.52%3.87%
200576.28%5.70%$15,494$17,7816.28%5.70%
20058-1.67%-2.13%$15,236$17,402-1.67%-2.13%
200590.71%0.54%$15,344$17,4970.71%0.54%
200510-3.23%-2.98%$14,848$16,976-3.23%-2.98%
2005114.64%3.77%$15,537$17,6154.64%3.77%
200512-0.04%-0.43%$15,531$17,540-0.04%-0.43%
200617.85%7.07%$16,750$18,7817.85%7.07%
20062-0.16%0.13%$16,723$18,805-0.16%0.13%
200634.23%3.58%$17,430$19,4784.23%3.58%
200640.03%0.06%$17,436$19,4900.03%0.06%
20065-4.93%-3.83%$16,576$18,743-4.93%-3.83%
200660.20%1.09%$16,608$18,9480.20%1.09%
20067-3.31%-1.46%$16,058$18,671-3.31%-1.46%
200682.27%2.32%$16,423$19,1052.27%2.32%
200690.90%0.88%$16,570$19,2730.90%0.88%
2006105.19%4.82%$17,430$20,2015.19%4.82%
2006113.12%3.04%$17,975$20,8163.12%3.04%
2006120.04%0.48%$17,982$20,9150.04%0.48%
200712.36%1.99%$18,406$21,3322.36%1.99%
20072-0.09%-0.58%$18,390$21,210-0.09%-0.58%
200731.22%0.60%$18,614$21,3361.22%0.60%
200742.69%1.84%$19,115$21,7292.69%1.84%
200754.41%3.67%$19,958$22,5274.41%3.67%
20076-1.60%-2.51%$19,639$21,962-1.60%-2.51%
20077-5.75%-7.21%$18,509$20,378-5.75%-7.21%
200781.34%1.45%$18,757$20,6731.34%1.45%
200792.14%0.89%$19,159$20,8572.14%0.89%
2007102.65%1.35%$19,666$21,1392.65%1.35%
200711-6.78%-6.74%$18,333$19,715-6.78%-6.74%
200712-0.70%-1.42%$18,205$19,436-0.70%-1.42%
20081-6.23%-3.62%$17,071$18,733-6.23%-3.62%
20082-2.62%-3.15%$16,624$18,144-2.62%-3.15%
20083-0.50%0.14%$16,542$18,169-0.50%0.14%
200845.47%4.42%$17,447$18,9725.47%4.42%
200855.16%4.17%$18,347$19,7635.16%4.17%
20086-8.86%-11.56%$16,721$17,478-8.86%-11.56%
200871.67%4.02%$17,000$18,1811.67%4.02%
200883.12%3.87%$17,531$18,8853.12%3.87%
20089-9.40%-6.05%$15,882$17,742-9.40%-6.05%
200810-21.53%-21.09%$12,462$14,000-21.53%-21.09%
200811-11.43%-10.49%$11,037$12,531-11.43%-10.49%
2008125.56%5.38%$11,651$13,2065.56%5.38%
20091-10.25%-13.03%$10,457$11,486-10.25%-13.03%
20092-11.91%-13.96%$9,212$9,882-11.91%-13.96%
200939.42%9.39%$10,080$10,8109.42%9.39%
2009418.31%19.76%$11,926$12,94618.31%19.76%
200953.74%3.50%$12,372$13,3993.74%3.50%
200961.15%-0.10%$12,514$13,3861.15%-0.10%
200979.73%10.64%$13,732$14,8109.73%10.64%
200984.45%6.12%$14,343$15,7164.45%6.12%
200996.37%5.52%$15,257$16,5836.37%5.52%
200910-6.63%-6.32%$14,246$15,535-6.63%-6.32%
2009113.33%3.67%$14,720$16,1043.33%3.67%
2009127.90%6.88%$15,884$17,2127.90%6.88%
20101-3.35%-3.06%$15,352$16,685-3.35%-3.06%
201024.97%5.21%$16,115$17,5554.97%5.21%
201038.08%8.00%$17,417$18,9598.08%8.00%
201045.57%6.19%$18,388$20,1335.57%6.19%
20105-7.79%-7.99%$16,955$18,524-7.79%-7.99%
20106-7.56%-8.04%$15,673$17,034-7.56%-8.04%
201077.19%7.43%$16,799$18,3007.19%7.43%
20108-6.60%-6.70%$15,690$17,074-6.60%-6.70%
2010912.00%10.42%$17,573$18,85412.00%10.42%
2010104.11%3.57%$18,295$19,5264.11%3.57%
2010113.06%2.30%$18,856$19,9753.06%2.30%
2010127.73%7.55%$20,313$21,4847.73%7.55%
201110.86%0.62%$20,489$21,6180.86%0.62%
201125.36%4.66%$21,587$22,6245.36%4.66%
201132.42%1.50%$22,108$22,9622.42%1.50%
201142.96%2.40%$22,762$23,5132.96%2.40%
20115-2.00%-2.11%$22,307$23,016-2.00%-2.11%
20116-2.02%-2.10%$21,857$22,533-2.02%-2.10%
20117-3.69%-3.45%$21,051$21,755-3.69%-3.45%
20118-8.30%-8.08%$19,305$19,996-8.30%-8.08%
20119-10.98%-10.60%$17,184$17,876-10.98%-10.60%
20111015.23%14.34%$19,801$20,43915.23%14.34%
201111-0.38%-0.26%$19,725$20,386-0.38%-0.26%
2011120.21%1.00%$19,767$20,5890.21%1.00%
201217.01%6.85%$21,152$21,9997.01%6.85%
201223.19%2.49%$21,827$22,5473.19%2.49%
201232.30%2.35%$22,329$23,0772.30%2.35%
20124-0.90%-0.89%$22,128$22,871-0.90%-0.89%
20125-6.77%-6.29%$20,630$21,433-6.77%-6.29%
201264.51%4.28%$21,559$22,3514.51%4.28%
20127-0.80%-0.43%$21,387$22,255-0.80%-0.43%
201283.46%2.95%$22,128$22,9123.46%2.95%
201292.76%2.87%$22,738$23,5702.76%2.87%
201210-1.46%-0.58%$22,406$23,433-1.46%-0.58%
2012111.19%0.82%$22,672$23,6241.19%0.82%
2012123.09%3.33%$23,372$24,4113.09%3.33%
201316.35%6.49%$24,856$25,9976.35%6.49%
201321.36%1.78%$25,193$26,4601.36%1.78%
201334.69%4.53%$26,374$27,6584.69%4.53%
201340.16%-0.05%$26,416$27,6440.16%-0.05%
201353.63%3.05%$27,375$28,4863.63%3.05%
20136-0.99%-1.13%$27,104$28,163-0.99%-1.13%
201376.68%6.68%$28,913$30,0436.68%6.68%
20138-3.17%-4.20%$27,997$28,781-3.17%-4.20%
201395.71%5.31%$29,595$30,3105.71%5.31%
2013103.28%3.89%$30,566$31,4893.28%3.89%
2013112.72%2.99%$31,398$32,4292.72%2.99%
2013122.59%2.68%$32,210$33,2992.59%2.68%
20141-2.05%-2.83%$31,551$32,357-2.05%-2.83%
201425.07%5.03%$33,151$33,9845.07%5.03%
20143-0.32%1.32%$33,044$34,432-0.32%1.32%
20144-2.31%-1.16%$32,280$34,033-2.31%-1.16%
201451.17%1.59%$32,659$34,5751.17%1.59%
201465.00%4.29%$34,290$36,0605.00%4.29%
20147-4.94%-4.71%$32,598$34,361-4.94%-4.71%
201485.00%5.15%$34,229$36,1315.00%5.15%
20149-5.32%-5.65%$32,408$34,090-5.32%-5.65%
2014104.49%4.94%$33,863$35,7744.49%4.94%
2014110.99%1.04%$34,199$36,1450.99%1.04%
2014121.25%1.70%$34,627$36,7591.25%1.70%
20151-2.15%-3.31%$33,883$35,540-2.15%-3.31%
201525.84%5.71%$35,860$37,5715.84%5.71%
201531.20%1.22%$36,291$38,0311.20%1.22%
20154-1.69%-1.26%$35,677$37,552-1.69%-1.26%
201552.03%1.35%$36,402$38,0602.03%1.35%
20156-0.87%-1.45%$36,086$37,508-0.87%-1.45%
20157-0.29%-1.01%$35,981$37,131-0.29%-1.01%
20158-5.82%-4.81%$33,885$35,345-5.82%-4.81%
20159-4.50%-3.58%$32,359$34,079-4.50%-3.58%
2015105.70%6.59%$34,204$36,3235.70%6.59%
2015111.81%1.33%$34,823$36,8071.81%1.33%
201512-4.18%-4.90%$33,366$35,003-4.18%-4.90%
20161-7.65%-6.46%$30,812$32,743-7.65%-6.46%
201620.92%1.58%$31,095$33,2600.92%1.58%
201638.37%8.91%$33,699$36,2228.37%8.91%
201641.74%2.05%$34,286$36,9631.74%2.05%
201651.93%1.44%$34,948$37,4971.93%1.44%
201660.26%0.08%$35,040$37,5260.26%0.08%
201675.07%4.68%$36,817$39,2805.07%4.68%
201680.64%0.72%$37,051$39,5620.64%0.72%
201690.41%0.31%$37,202$39,6840.41%0.31%
201610-4.10%-3.01%$35,677$38,488-4.10%-3.01%
2016118.60%10.26%$38,746$42,4358.60%10.26%
2016121.88%2.82%$39,473$43,6311.88%2.82%
201711.57%0.66%$40,092$43,9171.57%0.66%
201722.37%2.06%$41,045$44,8202.37%2.06%
20173-0.24%-0.78%$40,947$44,469-0.24%-0.78%
201740.85%0.44%$41,293$44,6650.85%0.44%
20175-1.12%-2.37%$40,832$43,608-1.12%-2.37%
201762.24%2.40%$41,746$44,6552.24%2.40%
201771.11%0.95%$42,209$45,0791.11%0.95%
20178-0.94%-1.44%$41,810$44,427-0.94%-1.44%
201794.41%4.91%$43,655$46,6104.41%4.91%
2017101.55%0.85%$44,332$47,0061.55%0.85%
2017113.10%3.14%$45,706$48,4823.10%3.14%
2017120.38%0.50%$45,882$48,7230.38%0.50%
201812.85%1.98%$47,191$49,6882.85%1.98%
20182-4.07%-4.78%$45,273$47,315-4.07%-4.78%
201831.14%0.82%$45,786$47,7021.14%0.82%
201840.34%0.35%$45,942$47,8710.34%0.35%
201855.08%4.50%$48,277$50,0245.08%4.50%
201860.73%0.34%$48,627$50,1940.73%0.34%
201871.84%2.52%$49,520$51,4591.84%2.52%
201884.49%2.40%$51,743$52,6934.49%2.40%
20189-1.54%-1.74%$50,948$51,779-1.54%-1.74%
201810-10.08%-9.01%$45,811$47,111-10.08%-9.01%
2018112.17%2.37%$46,806$48,2282.17%2.37%
201812-11.10%-11.44%$41,609$42,711-11.10%-11.44%
2019111.85%11.19%$46,537$47,49011.85%11.19%
201924.82%3.95%$48,781$49,3644.82%3.95%
20193-0.90%-1.95%$48,342$48,400-0.90%-1.95%
201943.61%3.92%$50,085$50,2983.61%3.92%
20195-7.25%-8.08%$46,454$46,236-7.25%-8.08%
201967.05%6.76%$49,727$49,3597.05%6.76%
201971.27%0.77%$50,356$49,7381.27%0.77%
20198-4.01%-5.42%$48,337$47,041-4.01%-5.42%
201991.38%3.91%$49,006$48,8821.38%3.91%
2019101.61%1.68%$49,796$49,7051.61%1.68%
2019114.15%2.52%$51,862$50,9554.15%2.52%
2019122.19%2.77%$52,996$52,3692.19%2.77%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%13.02%
Large-cap Growth0.00%0.00%
Mid-cap Value13.88%28.90%
Mid-cap Growth28.95%1.34%
Small-cap Value37.14%54.85%
Small-cap Growth16.10%0.00%
Global ex-US Developed Markets0.69%1.33%
Emerging Markets3.23%0.56%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.55%98.30%
Style analysis is based on monthly returns from Apr 2005 to Dec 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.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VSMAXVanguard Small Cap Index AdmSmall Blend100.00%0.05%21.42$42,996100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VISVXVanguard Small Cap Value Index InvSmall Value100.00%0.19%16.54$42,369100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/28/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.88%0.87%
Arithmetic Mean (annualized)11.04%10.94%
Geometric Mean (monthly)0.73%0.73%
Geometric Mean (annualized)9.17%9.11%
Volatility (monthly)5.31%5.25%
Volatility (annualized)18.39%18.20%
Downside Deviation (monthly)3.61%3.61%
Max. Drawdown-53.84%-56.13%
US Market Correlation0.940.91
Beta(*)1.171.12
Alpha (annualized)1.01%1.28%
R287.71%82.97%
Sharpe Ratio0.490.49
Sortino Ratio0.720.71
Treynor Ratio (%)7.788.00
Calmar Ratio0.530.33
Active Return1.91%1.84%
Tracking Error6.91%7.73%
Information Ratio0.280.24
Skewness-0.55-0.63
Excess Kurtosis1.602.13
Historical Value-at-Risk (5%)-8.61%-8.08%
Analytical Value-at-Risk (5%)-7.85%-7.77%
Conditional Value-at-Risk (5%)-12.19%-12.71%
Upside Capture Ratio (%)122.56116.23
Downside Capture Ratio (%)115.66109.14
Safe Withdrawal Rate8.28%9.08%
Perpetual Withdrawal Rate6.50%6.44%
Positive Periods145 out of 228 (63.60%)147 out of 228 (64.47%)
Gain/Loss Ratio0.880.85
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-53.16%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.84%
2May 2002Sep 20025 monthsOct 20031 year 1 month1 year 6 months-28.16%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.51%
4Jul 2001Sep 20013 monthsApr 20027 months10 months-20.75%
5Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.59%
6Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-15.36%
7Feb 2001Mar 20012 monthsJun 20013 months5 months-11.14%
8Jan 2005Apr 20054 monthsJun 20052 months6 months-8.23%
9May 2006Jul 20063 monthsNov 20064 months7 months-7.90%
10Jul 2004Aug 20042 monthsNov 20043 months5 months-6.24%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-56.13%
2May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
4Sep 2018Dec 20184 months-18.94%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-16.63%
6Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
7Feb 2001Mar 20012 monthsJun 20013 months5 months-8.11%
8Jan 2005Apr 20054 monthsJun 20052 months6 months-7.07%
9Sep 2014Sep 20141 monthNov 20142 months3 months-5.65%
10Apr 2004Apr 20041 monthJun 20042 months3 months-5.52%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSMAXVanguard Small Cap Index Adm9.17%18.39%45.76%-36.00%-53.84%0.490.720.94
VISVXVanguard Small Cap Value Index Inv9.11%18.20%37.19%-32.05%-56.13%0.490.710.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSMAXVISVXPortfolio 1Portfolio 2
VSMAXVanguard Small Cap Index Adm1.000.981.000.98
VISVXVanguard Small Cap Value Index Inv0.981.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VSMAXVanguard Small Cap Index Adm$42,996
VISVXVanguard Small Cap Value Index Inv$42,369

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VSMAXVanguard Small Cap Index Adm100.00%
VISVXVanguard Small Cap Value Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.13%45.76%-36.00%10.77%37.19%-32.05%
3 years10.12%23.43%-9.14%9.72%21.60%-9.03%
5 years9.68%22.55%-0.65%9.27%20.32%-0.31%
7 years9.48%16.22%1.75%8.93%14.94%2.16%
10 years9.67%13.57%6.72%9.02%12.45%6.12%
15 years9.50%12.11%8.36%9.09%11.32%7.99%
Result statistics are based on annualized rolling returns over full calendar year periods