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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2011 - Jun 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VIOV Vanguard S&P Small-Cap 600 Value ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTWV Vanguard Russell 2000 Value ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VBR Vanguard Small-Cap Value ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,264 10.44% 16.74%39.50%-12.84%-23.04% 0.651.040.89
Portfolio 2$10,000$20,099 8.56% 16.32%34.90%-13.32%-24.65% 0.560.870.89
Portfolio 3$10,000$23,212 10.41% 15.05%36.55%-12.26%-23.99% 0.701.110.94
Vanguard 500 Index Investor$10,000$27,606 12.69% 11.83%32.18%-4.52%-16.31% 1.031.691.00
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to June
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard S&P Small-Cap 600 Value ETF (VIOV)Vanguard Russell 2000 Value ETF (VTWV)Vanguard Small-Cap Value ETF (VBR)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20112.96%-2.13%-4.91%-4.23%1.97%$9,787$9,509$9,577$10,197-2.13%-4.91%-4.23%
20121.74%17.61%16.22%18.98%15.82%$11,510$11,051$11,395$11,81017.61%16.22%18.98%
20131.50%39.50%34.90%36.55%32.18%$16,057$14,909$15,560$15,61039.50%34.90%36.55%
20140.76%7.42%4.18%10.55%13.51%$17,249$15,532$17,202$17,7197.42%4.18%10.55%
20150.73%-6.23%-7.55%-4.76%1.25%$16,174$14,360$16,383$17,940-6.23%-7.55%-4.76%
20162.07%30.05%31.59%24.90%11.82%$21,034$18,896$20,462$20,06030.05%31.59%24.90%
20172.11%11.53%8.05%11.80%21.67%$23,460$20,418$22,877$24,40711.53%8.05%11.80%
20181.91%-12.84%-13.32%-12.26%-4.52%$20,447$17,698$20,073$23,302-12.84%-13.32%-12.26%
20191.93%13.78%13.57%15.64%18.47%$23,264$20,099$23,212$27,60613.78%13.57%15.64%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard S&P Small-Cap 600 Value ETF (VIOV)Vanguard Russell 2000 Value ETF (VTWV)Vanguard Small-Cap Value ETF (VBR)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20111-1.75%0.10%0.60%2.36%$9,825$10,010$10,060$10,236-1.75%0.10%0.60%
201125.56%4.25%4.70%3.42%$10,370$10,436$10,532$10,5855.56%4.25%4.70%
201131.41%2.00%1.47%0.03%$10,517$10,645$10,688$10,5881.41%2.00%1.47%
201141.11%1.56%2.34%2.95%$10,634$10,810$10,938$10,9001.11%1.56%2.34%
20115-2.14%-2.12%-2.12%-1.15%$10,406$10,582$10,706$10,775-2.14%-2.12%-2.12%
20116-2.28%-2.04%-2.08%-1.67%$10,169$10,366$10,483$10,595-2.28%-2.04%-2.08%
20117-1.73%-3.26%-3.32%-2.05%$9,994$10,028$10,134$10,378-1.73%-3.26%-3.32%
20118-8.83%-9.48%-8.19%-5.45%$9,111$9,077$9,304$9,813-8.83%-9.48%-8.19%
20119-9.63%-10.26%-10.64%-7.04%$8,234$8,146$8,314$9,122-9.63%-10.26%-10.64%
20111015.92%15.95%14.43%10.91%$9,545$9,445$9,514$10,11815.92%15.95%14.43%
201111-0.66%-3.54%-0.14%-0.23%$9,482$9,110$9,500$10,094-0.66%-3.54%-0.14%
2011123.22%4.38%0.82%1.02%$9,787$9,509$9,577$10,1973.22%4.38%0.82%
201216.68%5.75%6.97%4.46%$10,441$10,057$10,245$10,6526.68%5.75%6.97%
201222.38%2.62%2.55%4.31%$10,689$10,320$10,507$11,1112.38%2.62%2.55%
201233.40%2.28%2.41%3.28%$11,052$10,555$10,760$11,4753.40%2.28%2.41%
20124-2.29%-1.81%-0.99%-0.64%$10,799$10,364$10,653$11,402-2.29%-1.81%-0.99%
20125-7.36%-6.61%-6.31%-6.02%$10,004$9,679$9,981$10,716-7.36%-6.61%-6.31%
201264.53%5.39%4.47%4.11%$10,457$10,201$10,427$11,1564.53%5.39%4.47%
20127-0.64%-1.14%-0.43%1.37%$10,390$10,085$10,383$11,309-0.64%-1.14%-0.43%
201284.00%3.14%2.99%2.24%$10,805$10,402$10,693$11,5624.00%3.14%2.99%
201293.68%3.24%2.80%2.58%$11,203$10,739$10,993$11,8603.68%3.24%2.80%
201210-2.61%-1.64%-0.70%-1.86%$10,910$10,563$10,916$11,639-2.61%-1.64%-0.70%
2012111.67%0.98%1.01%0.56%$11,093$10,667$11,026$11,7051.67%0.98%1.01%
2012123.76%3.60%3.34%0.90%$11,510$11,051$11,395$11,8103.76%3.60%3.34%
201315.15%6.58%6.46%5.18%$12,102$11,778$12,130$12,4225.15%6.58%6.46%
201321.79%1.00%1.62%1.34%$12,319$11,896$12,327$12,5881.79%1.00%1.62%
201334.15%4.04%4.56%3.74%$12,830$12,377$12,888$13,0584.15%4.04%4.56%
20134-0.09%0.00%0.09%1.91%$12,818$12,377$12,899$13,308-0.09%0.00%0.09%
201354.70%3.18%3.11%2.33%$13,420$12,770$13,301$13,6174.70%3.18%3.11%
20136-0.04%-0.84%-1.27%-1.35%$13,415$12,662$13,131$13,433-0.04%-0.84%-1.27%
201376.23%7.09%6.85%5.07%$14,251$13,560$14,030$14,1156.23%7.09%6.85%
20138-3.12%-4.79%-4.17%-2.91%$13,806$12,910$13,445$13,704-3.12%-4.79%-4.17%
201396.27%5.62%5.30%3.12%$14,672$13,636$14,157$14,1326.27%5.62%5.30%
2013103.49%3.65%3.92%4.59%$15,184$14,133$14,713$14,7803.49%3.65%3.92%
2013114.08%3.52%2.93%3.03%$15,803$14,631$15,144$15,2274.08%3.52%2.93%
2013121.60%1.90%2.74%2.51%$16,057$14,909$15,560$15,6101.60%1.90%2.74%
20141-3.72%-3.75%-2.78%-3.47%$15,459$14,350$15,126$15,069-3.72%-3.75%-2.78%
201425.19%4.65%4.97%4.56%$16,262$15,018$15,878$15,7565.19%4.65%4.97%
201430.87%1.03%1.31%0.82%$16,403$15,172$16,086$15,8860.87%1.03%1.31%
20144-2.46%-2.55%-1.13%0.72%$16,000$14,785$15,904$16,001-2.46%-2.55%-1.13%
201450.86%0.69%1.64%2.33%$16,137$14,888$16,164$16,3740.86%0.69%1.64%
201463.77%4.28%4.32%2.05%$16,745$15,524$16,863$16,7103.77%4.28%4.32%
20147-5.01%-6.02%-4.79%-1.39%$15,905$14,589$16,056$16,478-5.01%-6.02%-4.79%
201484.32%3.73%5.12%3.98%$16,592$15,134$16,877$17,1344.32%3.73%5.12%
20149-5.83%-6.09%-5.54%-1.41%$15,625$14,213$15,942$16,892-5.83%-6.09%-5.54%
2014106.95%6.38%4.85%2.42%$16,712$15,120$16,716$17,3026.95%6.38%4.85%
2014111.25%0.02%1.10%2.68%$16,920$15,124$16,899$17,7661.25%0.02%1.10%
2014121.94%2.70%1.79%-0.26%$17,249$15,532$17,202$17,7191.94%2.70%1.79%
20151-5.36%-4.38%-3.30%-3.02%$16,324$14,851$16,634$17,184-5.36%-4.38%-3.30%
201525.92%4.84%5.66%5.74%$17,290$15,569$17,576$18,1705.92%4.84%5.66%
201530.92%1.80%1.30%-1.59%$17,450$15,849$17,805$17,8810.92%1.80%1.30%
20154-1.64%-2.40%-1.30%0.95%$17,164$15,468$17,574$18,051-1.64%-2.40%-1.30%
201550.88%1.24%1.37%1.27%$17,315$15,661$17,814$18,2800.88%1.24%1.37%
201560.26%-0.30%-1.51%-1.93%$17,359$15,613$17,546$17,9270.26%-0.30%-1.51%
20157-2.99%-2.94%-0.95%2.08%$16,841$15,154$17,380$18,300-2.99%-2.94%-0.95%
20158-4.34%-4.66%-4.84%-6.04%$16,109$14,449$16,538$17,194-4.34%-4.66%-4.84%
20159-3.83%-3.53%-3.58%-2.49%$15,492$13,939$15,946$16,766-3.83%-3.53%-3.58%
2015106.35%5.74%6.63%8.42%$16,476$14,739$17,003$18,1786.35%5.74%6.63%
2015112.63%2.69%1.32%0.29%$16,908$15,136$17,227$18,2302.63%2.69%1.32%
201512-4.34%-5.13%-4.90%-1.59%$16,174$14,360$16,383$17,940-4.34%-5.13%-4.90%
20161-6.79%-7.81%-6.37%-4.98%$15,076$13,238$15,339$17,047-6.79%-7.81%-6.37%
201622.28%1.67%1.50%-0.15%$15,419$13,459$15,570$17,0232.28%1.67%1.50%
201639.40%8.56%8.94%6.78%$16,869$14,612$16,962$18,1769.40%8.56%8.94%
201642.25%1.69%2.10%0.37%$17,249$14,859$17,318$18,2442.25%1.69%2.10%
201650.35%1.69%1.40%1.78%$17,309$15,110$17,561$18,5690.35%1.69%1.40%
201660.56%0.12%0.15%0.25%$17,407$15,128$17,587$18,6150.56%0.12%0.15%
201675.28%5.54%4.64%3.68%$18,325$15,966$18,403$19,3005.28%5.54%4.64%
201681.20%3.10%0.73%0.13%$18,545$16,461$18,537$19,3251.20%3.10%0.73%
201691.15%0.44%0.30%0.01%$18,759$16,534$18,592$19,3261.15%0.44%0.30%
201610-4.41%-3.16%-2.92%-1.83%$17,931$16,011$18,050$18,972-4.41%-3.16%-2.92%
20161113.74%13.36%10.21%3.70%$20,395$18,151$19,893$19,67413.74%13.36%10.21%
2016123.13%4.10%2.86%1.96%$21,034$18,896$20,462$20,0603.13%4.10%2.86%
20171-1.16%-0.87%0.65%1.88%$20,790$18,731$20,596$20,438-1.16%-0.87%0.65%
201721.47%1.38%2.01%3.96%$21,095$18,989$21,010$21,2481.47%1.38%2.01%
20173-0.70%-0.82%-0.72%0.10%$20,948$18,833$20,859$21,269-0.70%-0.82%-0.72%
201740.57%0.39%0.40%1.02%$21,067$18,906$20,943$21,4850.57%0.39%0.40%
20175-2.30%-3.09%-2.40%1.39%$20,583$18,323$20,440$21,785-2.30%-3.09%-2.40%
201763.43%3.47%2.44%0.61%$21,289$18,959$20,939$21,9183.43%3.47%2.44%
201770.55%0.64%1.02%2.04%$21,407$19,080$21,152$22,3660.55%0.64%1.02%
20178-2.95%-2.42%-1.46%0.29%$20,775$18,619$20,843$22,431-2.95%-2.42%-1.46%
201798.61%7.15%4.95%2.06%$22,565$19,950$21,876$22,8938.61%7.15%4.95%
2017100.62%0.33%0.86%2.32%$22,705$20,017$22,064$23,4240.62%0.33%0.86%
2017113.57%2.65%3.17%3.06%$23,514$20,546$22,762$24,1413.57%2.65%3.17%
201712-0.23%-0.63%0.50%1.10%$23,460$20,418$22,877$24,407-0.23%-0.63%0.50%
201811.54%0.97%1.93%5.71%$23,822$20,615$23,318$25,8011.54%0.97%1.93%
20182-3.63%-5.13%-4.74%-3.69%$22,957$19,559$22,214$24,848-3.63%-5.13%-4.74%
201830.86%1.53%0.82%-2.56%$23,155$19,858$22,396$24,2130.86%1.53%0.82%
201841.81%1.51%0.40%0.37%$23,574$20,159$22,486$24,3031.81%1.51%0.40%
201855.71%5.86%4.52%2.39%$24,919$21,340$23,502$24,8855.71%5.86%4.52%
201860.86%0.45%0.36%0.61%$25,133$21,437$23,585$25,0360.86%0.45%0.36%
201872.58%1.62%2.49%3.71%$25,781$21,784$24,172$25,9642.58%1.62%2.49%
201883.05%2.66%2.41%3.25%$26,568$22,363$24,756$26,8073.05%2.66%2.41%
20189-3.07%-2.73%-1.67%0.55%$25,753$21,752$24,341$26,956-3.07%-2.73%-1.67%
201810-9.96%-8.85%-9.05%-6.85%$23,188$19,827$22,139$25,109-9.96%-8.85%-9.05%
2018110.72%1.65%2.35%2.03%$23,354$20,153$22,659$25,6180.72%1.65%2.35%
201812-12.45%-12.18%-11.41%-9.04%$20,447$17,698$20,073$23,302-12.45%-12.18%-11.41%
2019112.37%11.03%11.16%8.00%$22,977$19,649$22,314$25,16712.37%11.03%11.16%
201924.24%3.80%3.99%3.20%$23,953$20,396$23,204$25,9734.24%3.80%3.99%
20193-3.99%-2.82%-1.92%1.94%$22,998$19,822$22,759$26,476-3.99%-2.82%-1.92%
201944.39%3.66%3.91%4.04%$24,007$20,547$23,648$27,5454.39%3.66%3.91%
20195-10.01%-8.11%-8.13%-6.36%$21,605$18,880$21,725$25,792-10.01%-8.11%-8.13%
201967.68%6.46%6.84%7.03%$23,264$20,099$23,212$27,6067.68%6.46%6.84%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value0.00%0.00%6.00%46.88%
Large-cap Growth0.40%0.00%0.00%52.73%
Mid-cap Value0.00%14.08%42.54%0.00%
Mid-cap Growth0.00%0.00%9.01%0.00%
Small-cap Value99.60%70.65%30.96%0.00%
Small-cap Growth0.00%13.79%8.04%0.33%
Global ex-US Developed Markets0.00%0.00%2.67%0.00%
Emerging Markets0.00%0.00%0.78%0.05%
Corporate Bonds0.00%1.49%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%0.00%
R Squared99.12%96.88%99.22%99.96%
Style analysis is based on monthly returns from Jan 2011 to Jun 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VIOVVanguard S&P Small-Cap 600 Value ETFSmall Value0.20%100.00%$13,264100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTWVVanguard Russell 2000 Value ETFSmall Value0.20%100.00%$10,099100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VBRVanguard Small-Cap Value ETFSmall Value0.07%100.00%$13,212100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 2019 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 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.95%0.80%0.92%1.06%
Arithmetic Mean (annualized)11.96%9.98%11.65%13.46%
Geometric Mean (monthly)0.83%0.69%0.83%1.00%
Geometric Mean (annualized)10.44%8.56%10.41%12.69%
Volatility (monthly)4.83%4.71%4.34%3.42%
Volatility (annualized)16.74%16.32%15.05%11.83%
Downside Deviation (monthly)2.99%2.99%2.74%2.06%
Max. Drawdown-23.04%-24.65%-23.99%-16.31%
US Market Correlation0.890.890.941.00
Beta(*)1.221.181.161.00
Alpha (annualized)-4.13%-5.44%-3.68%-0.00%
R274.28%73.30%83.39%100.00%
Sharpe Ratio0.650.560.701.03
Sortino Ratio1.040.871.111.69
Treynor Ratio (%)8.927.689.1112.22
Calmar Ratio0.440.480.511.04
Active Return-2.25%-4.13%-2.28%N/A
Tracking Error8.88%8.70%6.42%N/A
Information Ratio-0.25-0.47-0.35N/A
Skewness-0.01-0.03-0.20-0.37
Excess Kurtosis1.071.051.160.92
Historical Value-at-Risk (5%)-8.61%-8.07%-7.87%-6.04%
Analytical Value-at-Risk (5%)-7.00%-6.95%-6.22%-4.56%
Conditional Value-at-Risk (5%)-10.17%-9.78%-9.49%-7.07%
Upside Capture Ratio (%)105.9999.65102.18100.00
Downside Capture Ratio (%)127.96131.72121.62100.00
Safe Withdrawal Rate18.26%16.76%17.98%18.92%
Perpetual Withdrawal Rate8.25%6.56%8.22%10.19%
Positive Periods65 out of 102 (63.73%)65 out of 102 (63.73%)68 out of 102 (66.67%)73 out of 102 (71.57%)
Gain/Loss Ratio0.950.860.870.88
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 months-23.04%
2May 2011Sep 20115 monthsFeb 20125 months10 months-22.57%
3Apr 2015Jan 201610 monthsJul 20166 months1 year 4 months-13.60%
4Apr 2012May 20122 monthsSep 20124 months6 months-9.48%
5Jul 2014Sep 20143 monthsNov 20142 months5 months-6.69%
6Jan 2015Jan 20151 monthFeb 20151 month2 months-5.36%
7Oct 2016Oct 20161 monthNov 20161 month2 months-4.41%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.72%
9Feb 2018Feb 20181 monthMay 20183 months4 months-3.63%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.12%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.65%
2Sep 2018Dec 20184 months-20.86%
3Apr 2015Jan 201610 monthsJul 20166 months1 year 4 months-16.48%
4Jul 2014Sep 20143 monthsDec 20143 months6 months-8.45%
5Feb 2018Feb 20181 monthMay 20183 months4 months-5.13%
6Aug 2013Aug 20131 monthSep 20131 month2 months-4.79%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-4.38%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.75%
9Mar 2017May 20173 monthsJul 20172 months5 months-3.51%
10Oct 2016Oct 20161 monthNov 20161 month2 months-3.16%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.99%
2Sep 2018Dec 20184 months-18.92%
3Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.89%
4Sep 2014Sep 20141 monthNov 20142 months3 months-5.54%
5Jul 2014Jul 20141 monthAug 20141 month2 months-4.79%
6Feb 2018Feb 20181 monthMay 20183 months4 months-4.74%
7Aug 2013Aug 20131 monthSep 20131 month2 months-4.17%
8Jan 2015Jan 20151 monthFeb 20151 month2 months-3.30%
9Oct 2016Oct 20161 monthNov 20161 month2 months-2.92%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.78%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
5May 2019May 20191 monthJun 20191 month2 months-6.36%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIOVVanguard S&P Small-Cap 600 Value ETF10.44%16.74%39.50%-12.84%-23.04%0.651.040.89
VTWVVanguard Russell 2000 Value ETF8.56%16.32%34.90%-13.32%-24.65%0.560.870.89
VBRVanguard Small-Cap Value ETF10.41%15.05%36.55%-12.26%-23.99%0.701.110.94

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIOVVTWVVBRPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VIOVVanguard S&P Small-Cap 600 Value ETF-0.980.981.000.980.980.86
VTWVVanguard Russell 2000 Value ETF0.98-0.980.981.000.980.86
VBRVanguard Small-Cap Value ETF0.980.98-0.980.981.000.91

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIOVVanguard S&P Small-Cap 600 Value ETF$13,264
VTWVVanguard Russell 2000 Value ETF$10,099
VBRVanguard Small-Cap Value ETF$13,212

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIOVVanguard S&P Small-Cap 600 Value ETF100.00%
VTWVVanguard Russell 2000 Value ETF100.00%
VBRVanguard Small-Cap Value ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year10.61%39.50%-12.84%8.65%34.90%-13.32%10.19%36.55%-12.26%11.71%32.18%-4.52%
3 years13.04%20.79%8.13%11.02%17.77%7.22%12.81%21.56%7.01%13.38%20.22%8.72%
5 years11.72%16.53%4.95%9.69%14.72%3.49%11.74%16.40%5.23%12.71%15.62%8.34%
7 years12.03%12.95%11.10%10.01%10.74%9.28%11.85%12.55%11.15%13.06%13.59%12.53%
Result statistics are based on annualized rolling returns over full calendar year periods