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 |
|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| SCHD | Schwab US Dividend Equity ETF | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Vanguard High Dividend Yield ETF | $10,000 | $26,543 | 12.98% | 10.19% | 30.08% | -5.91% | -9.63% | 1.19 | 1.98 | 0.94 |
| Schwab US Dividend Equity ETF | $10,000 | $27,876 | 13.67% | 10.52% | 32.89% | -5.56% | -10.65% | 1.21 | 2.00 | 0.93 |
| Vanguard 500 Index Investor | $10,000 | $30,012 | 14.73% | 10.99% | 32.18% | -4.52% | -13.55% | 1.25 | 2.05 | 1.00 |
| Name | Total Return | Annualized Return | Annualized Standard Deviation | |||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | YTD | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
| Vanguard High Dividend Yield ETF | 6.49% | 24.07% | 24.07% | 10.77% | 9.79% | 12.98% | 11.14% | 11.02% |
| Schwab US Dividend Equity ETF | 6.59% | 27.28% | 27.28% | 13.25% | 11.01% | 13.67% | 12.14% | 11.64% |
| Vanguard 500 Index Investor | 9.03% | 31.33% | 31.33% | 15.12% | 11.55% | 14.73% | 12.10% | 11.98% |
| Trailing return and volatility are as of last full calendar quarter ending December 2019 | ||||||||
| Year | Inflation | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF | Vanguard 500 Index Investor | Vanguard High Dividend Yield ETF (VYM) | Schwab US Dividend Equity ETF (SCHD) | |||
|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||
| 2012 | 1.74% | 12.69% | $11,269 | 11.39% | $11,139 | 15.82% | $11,582 | 12.69% | 11.39% |
| 2013 | 1.50% | 30.08% | $14,659 | 32.89% | $14,803 | 32.18% | $15,309 | 30.08% | 32.89% |
| 2014 | 0.76% | 13.52% | $16,641 | 11.68% | $16,533 | 13.51% | $17,377 | 13.52% | 11.68% |
| 2015 | 0.73% | 0.28% | $16,687 | -0.31% | $16,481 | 1.25% | $17,594 | 0.28% | -0.31% |
| 2016 | 2.07% | 17.05% | $19,532 | 16.44% | $19,190 | 11.82% | $19,673 | 17.05% | 16.44% |
| 2017 | 2.11% | 16.42% | $22,738 | 20.84% | $23,189 | 21.67% | $23,936 | 16.42% | 20.84% |
| 2018 | 1.91% | -5.91% | $21,393 | -5.56% | $21,901 | -4.52% | $22,853 | -5.91% | -5.56% |
| 2019 | 2.29% | 24.07% | $26,543 | 27.28% | $27,876 | 31.33% | $30,012 | 24.07% | 27.28% |
| Year | Month | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF | Vanguard 500 Index Investor | Vanguard High Dividend Yield ETF (VYM) | Schwab US Dividend Equity ETF (SCHD) | |||
|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||
| 2012 | 1 | 1.77% | $10,177 | 1.64% | $10,164 | 4.46% | $10,446 | 1.77% | 1.64% |
| 2012 | 2 | 3.15% | $10,497 | 2.86% | $10,455 | 4.31% | $10,896 | 3.15% | 2.86% |
| 2012 | 3 | 2.71% | $10,782 | 2.41% | $10,706 | 3.28% | $11,254 | 2.71% | 2.41% |
| 2012 | 4 | -0.02% | $10,779 | -0.11% | $10,695 | -0.64% | $11,182 | -0.02% | -0.11% |
| 2012 | 5 | -4.66% | $10,277 | -3.80% | $10,288 | -6.02% | $10,509 | -4.66% | -3.80% |
| 2012 | 6 | 4.98% | $10,789 | 4.36% | $10,736 | 4.11% | $10,941 | 4.98% | 4.36% |
| 2012 | 7 | 2.14% | $11,020 | 2.45% | $10,999 | 1.37% | $11,091 | 2.14% | 2.45% |
| 2012 | 8 | 0.77% | $11,105 | 0.60% | $11,065 | 2.24% | $11,339 | 0.77% | 0.60% |
| 2012 | 9 | 2.56% | $11,390 | 1.21% | $11,199 | 2.58% | $11,631 | 2.56% | 1.21% |
| 2012 | 10 | -0.99% | $11,277 | -0.94% | $11,094 | -1.86% | $11,415 | -0.99% | -0.94% |
| 2012 | 11 | -0.34% | $11,238 | 0.46% | $11,144 | 0.56% | $11,479 | -0.34% | 0.46% |
| 2012 | 12 | 0.27% | $11,269 | -0.05% | $11,139 | 0.90% | $11,582 | 0.27% | -0.05% |
| 2013 | 1 | 5.65% | $11,906 | 5.54% | $11,756 | 5.18% | $12,182 | 5.65% | 5.54% |
| 2013 | 2 | 2.07% | $12,152 | 2.11% | $12,004 | 1.34% | $12,345 | 2.07% | 2.11% |
| 2013 | 3 | 3.61% | $12,591 | 4.76% | $12,576 | 3.74% | $12,807 | 3.61% | 4.76% |
| 2013 | 4 | 3.01% | $12,970 | 2.99% | $12,951 | 1.91% | $13,051 | 3.01% | 2.99% |
| 2013 | 5 | 0.73% | $13,064 | 1.41% | $13,133 | 2.33% | $13,355 | 0.73% | 1.41% |
| 2013 | 6 | -0.13% | $13,047 | -0.82% | $13,026 | -1.35% | $13,174 | -0.13% | -0.82% |
| 2013 | 7 | 4.47% | $13,631 | 4.59% | $13,623 | 5.07% | $13,843 | 4.47% | 4.59% |
| 2013 | 8 | -3.91% | $13,098 | -3.54% | $13,141 | -2.91% | $13,440 | -3.91% | -3.54% |
| 2013 | 9 | 2.35% | $13,406 | 2.69% | $13,495 | 3.12% | $13,859 | 2.35% | 2.69% |
| 2013 | 10 | 4.75% | $14,043 | 4.99% | $14,169 | 4.59% | $14,495 | 4.75% | 4.99% |
| 2013 | 11 | 2.31% | $14,367 | 2.55% | $14,530 | 3.03% | $14,934 | 2.31% | 2.55% |
| 2013 | 12 | 2.03% | $14,659 | 1.88% | $14,803 | 2.51% | $15,309 | 2.03% | 1.88% |
| 2014 | 1 | -4.00% | $14,073 | -4.45% | $14,145 | -3.47% | $14,778 | -4.00% | -4.45% |
| 2014 | 2 | 3.61% | $14,581 | 3.88% | $14,694 | 4.56% | $15,452 | 3.61% | 3.88% |
| 2014 | 3 | 2.48% | $14,943 | 1.96% | $14,982 | 0.82% | $15,579 | 2.48% | 1.96% |
| 2014 | 4 | 2.11% | $15,258 | 1.82% | $15,254 | 0.72% | $15,692 | 2.11% | 1.82% |
| 2014 | 5 | 1.58% | $15,499 | 1.33% | $15,457 | 2.33% | $16,059 | 1.58% | 1.33% |
| 2014 | 6 | 2.02% | $15,813 | 1.36% | $15,668 | 2.05% | $16,388 | 2.02% | 1.36% |
| 2014 | 7 | -1.67% | $15,548 | -1.72% | $15,397 | -1.39% | $16,161 | -1.67% | -1.72% |
| 2014 | 8 | 3.76% | $16,132 | 3.43% | $15,926 | 3.98% | $16,804 | 3.76% | 3.43% |
| 2014 | 9 | -1.16% | $15,944 | -0.23% | $15,889 | -1.41% | $16,567 | -1.16% | -0.23% |
| 2014 | 10 | 2.47% | $16,338 | 1.97% | $16,203 | 2.42% | $16,968 | 2.47% | 1.97% |
| 2014 | 11 | 3.03% | $16,833 | 2.98% | $16,685 | 2.68% | $17,423 | 3.03% | 2.98% |
| 2014 | 12 | -1.14% | $16,641 | -0.91% | $16,533 | -0.26% | $17,377 | -1.14% | -0.91% |
| 2015 | 1 | -2.88% | $16,162 | -3.11% | $16,019 | -3.02% | $16,853 | -2.88% | -3.11% |
| 2015 | 2 | 4.90% | $16,953 | 5.23% | $16,857 | 5.74% | $17,820 | 4.90% | 5.23% |
| 2015 | 3 | -1.83% | $16,643 | -2.35% | $16,461 | -1.59% | $17,536 | -1.83% | -2.35% |
| 2015 | 4 | 1.70% | $16,925 | 0.76% | $16,586 | 0.95% | $17,703 | 1.70% | 0.76% |
| 2015 | 5 | 0.37% | $16,989 | 0.50% | $16,670 | 1.27% | $17,928 | 0.37% | 0.50% |
| 2015 | 6 | -2.65% | $16,538 | -3.32% | $16,117 | -1.93% | $17,581 | -2.65% | -3.32% |
| 2015 | 7 | 1.05% | $16,712 | 0.71% | $16,231 | 2.08% | $17,947 | 1.05% | 0.71% |
| 2015 | 8 | -5.66% | $15,766 | -5.32% | $15,368 | -6.05% | $16,862 | -5.66% | -5.32% |
| 2015 | 9 | -1.56% | $15,521 | -0.72% | $15,257 | -2.48% | $16,443 | -1.56% | -0.72% |
| 2015 | 10 | 8.41% | $16,826 | 8.76% | $16,594 | 8.42% | $17,828 | 8.41% | 8.76% |
| 2015 | 11 | 0.22% | $16,863 | 0.28% | $16,640 | 0.29% | $17,879 | 0.22% | 0.28% |
| 2015 | 12 | -1.05% | $16,687 | -0.96% | $16,481 | -1.59% | $17,594 | -1.05% | -0.96% |
| 2016 | 1 | -2.82% | $16,217 | -2.28% | $16,105 | -4.98% | $16,719 | -2.82% | -2.28% |
| 2016 | 2 | 0.51% | $16,299 | 0.74% | $16,225 | -0.15% | $16,694 | 0.51% | 0.74% |
| 2016 | 3 | 6.64% | $17,381 | 6.40% | $17,263 | 6.78% | $17,825 | 6.64% | 6.40% |
| 2016 | 4 | 0.72% | $17,507 | -0.17% | $17,233 | 0.37% | $17,892 | 0.72% | -0.17% |
| 2016 | 5 | 1.39% | $17,751 | 1.40% | $17,474 | 1.78% | $18,211 | 1.39% | 1.40% |
| 2016 | 6 | 2.18% | $18,138 | 2.91% | $17,983 | 0.25% | $18,257 | 2.18% | 2.91% |
| 2016 | 7 | 2.35% | $18,564 | 2.85% | $18,495 | 3.68% | $18,928 | 2.35% | 2.85% |
| 2016 | 8 | -0.30% | $18,508 | -0.33% | $18,434 | 0.13% | $18,952 | -0.30% | -0.33% |
| 2016 | 9 | -0.40% | $18,435 | 0.18% | $18,468 | 0.01% | $18,954 | -0.40% | 0.18% |
| 2016 | 10 | -1.28% | $18,200 | -1.56% | $18,180 | -1.83% | $18,606 | -1.28% | -1.56% |
| 2016 | 11 | 4.23% | $18,969 | 3.27% | $18,773 | 3.70% | $19,295 | 4.23% | 3.27% |
| 2016 | 12 | 2.97% | $19,532 | 2.22% | $19,190 | 1.96% | $19,673 | 2.97% | 2.22% |
| 2017 | 1 | -0.04% | $19,524 | -0.48% | $19,098 | 1.88% | $20,044 | -0.04% | -0.48% |
| 2017 | 2 | 3.58% | $20,222 | 3.41% | $19,750 | 3.96% | $20,838 | 3.58% | 3.41% |
| 2017 | 3 | -0.30% | $20,161 | 0.14% | $19,778 | 0.10% | $20,859 | -0.30% | 0.14% |
| 2017 | 4 | -0.08% | $20,145 | 0.25% | $19,827 | 1.02% | $21,071 | -0.08% | 0.25% |
| 2017 | 5 | 0.36% | $20,218 | 1.75% | $20,173 | 1.39% | $21,365 | 0.36% | 1.75% |
| 2017 | 6 | 1.13% | $20,447 | -0.10% | $20,153 | 0.61% | $21,496 | 1.13% | -0.10% |
| 2017 | 7 | 1.61% | $20,777 | 1.66% | $20,488 | 2.04% | $21,935 | 1.61% | 1.66% |
| 2017 | 8 | -0.18% | $20,740 | -0.02% | $20,484 | 0.29% | $21,999 | -0.18% | -0.02% |
| 2017 | 9 | 3.02% | $21,366 | 2.85% | $21,067 | 2.06% | $22,452 | 3.02% | 2.85% |
| 2017 | 10 | 1.74% | $21,738 | 3.61% | $21,827 | 2.32% | $22,972 | 1.74% | 3.61% |
| 2017 | 11 | 3.07% | $22,405 | 4.21% | $22,746 | 3.06% | $23,675 | 3.07% | 4.21% |
| 2017 | 12 | 1.49% | $22,738 | 1.95% | $23,189 | 1.10% | $23,936 | 1.49% | 1.95% |
| 2018 | 1 | 4.11% | $23,672 | 4.55% | $24,245 | 5.71% | $25,303 | 4.11% | 4.55% |
| 2018 | 2 | -4.72% | $22,554 | -5.63% | $22,881 | -3.69% | $24,369 | -4.72% | -5.63% |
| 2018 | 3 | -2.17% | $22,066 | -2.39% | $22,335 | -2.56% | $23,746 | -2.17% | -2.39% |
| 2018 | 4 | 0.13% | $22,095 | -1.12% | $22,084 | 0.37% | $23,834 | 0.13% | -1.12% |
| 2018 | 5 | 1.60% | $22,448 | 1.79% | $22,480 | 2.39% | $24,405 | 1.60% | 1.79% |
| 2018 | 6 | -0.29% | $22,382 | 0.70% | $22,638 | 0.61% | $24,553 | -0.29% | 0.70% |
| 2018 | 7 | 4.09% | $23,299 | 4.54% | $23,666 | 3.71% | $25,464 | 4.09% | 4.54% |
| 2018 | 8 | 1.11% | $23,557 | 2.29% | $24,208 | 3.25% | $26,290 | 1.11% | 2.29% |
| 2018 | 9 | 0.40% | $23,652 | 1.25% | $24,510 | 0.55% | $26,436 | 0.40% | 1.25% |
| 2018 | 10 | -4.40% | $22,612 | -5.91% | $23,062 | -6.85% | $24,625 | -4.40% | -5.91% |
| 2018 | 11 | 3.56% | $23,416 | 3.37% | $23,839 | 2.03% | $25,124 | 3.56% | 3.37% |
| 2018 | 12 | -8.64% | $21,393 | -8.13% | $21,901 | -9.04% | $22,853 | -8.64% | -8.13% |
| 2019 | 1 | 6.10% | $22,699 | 6.05% | $23,225 | 8.00% | $24,682 | 6.10% | 6.05% |
| 2019 | 2 | 3.77% | $23,555 | 4.06% | $24,167 | 3.20% | $25,472 | 3.77% | 4.06% |
| 2019 | 3 | 0.53% | $23,678 | 1.55% | $24,542 | 1.94% | $25,965 | 0.53% | 1.55% |
| 2019 | 4 | 2.84% | $24,350 | 3.21% | $25,331 | 4.04% | $27,014 | 2.84% | 3.21% |
| 2019 | 5 | -6.31% | $22,813 | -7.60% | $23,406 | -6.36% | $25,295 | -6.31% | -7.60% |
| 2019 | 6 | 6.65% | $24,329 | 7.29% | $25,112 | 7.03% | $27,074 | 6.65% | 7.29% |
| 2019 | 7 | 0.72% | $24,505 | 1.66% | $25,529 | 1.43% | $27,460 | 0.72% | 1.66% |
| 2019 | 8 | -2.10% | $23,990 | -1.30% | $25,197 | -1.59% | $27,023 | -2.10% | -1.30% |
| 2019 | 9 | 3.90% | $24,925 | 3.79% | $26,153 | 1.86% | $27,525 | 3.90% | 3.79% |
| 2019 | 10 | 1.05% | $25,187 | 1.35% | $26,506 | 2.15% | $28,119 | 1.05% | 1.35% |
| 2019 | 11 | 2.34% | $25,777 | 2.83% | $27,256 | 3.62% | $29,137 | 2.34% | 2.83% |
| 2019 | 12 | 2.97% | $26,543 | 2.28% | $27,876 | 3.01% | $30,012 | 2.97% | 2.28% |
| Style Category | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF | Vanguard 500 Index Investor |
|---|---|---|---|
| Large-cap Value | 75.55% | 64.14% | 46.62% |
| Large-cap Growth | 14.81% | 27.87% | 53.11% |
| Mid-cap Value | 0.00% | 0.00% | 0.00% |
| Mid-cap Growth | 0.00% | 0.00% | 0.00% |
| Small-cap Value | 0.00% | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% | 0.27% |
| Global ex-US Developed Markets | 0.00% | 0.00% | 0.00% |
| Emerging Markets | 0.00% | 0.00% | 0.00% |
| Corporate Bonds | 0.00% | 0.00% | 0.00% |
| Long-Term Treasuries | 6.55% | 7.99% | 0.00% |
| Intermediate-Term Treasuries | 0.58% | 0.00% | 0.00% |
| Short-Term Treasuries | 2.52% | 0.00% | 0.00% |
| R Squared | 93.57% | 91.07% | 99.95% |
| Style analysis is based on monthly returns from January 2012 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 | Contribution | |||
|---|---|---|---|---|---|---|---|---|---|---|
| SEC | TTM | Net | Gross | Return | Risk | |||||
| VYM | Vanguard High Dividend Yield ETF | Large Value | 100.00% | 2.72% | 2.80% | 0.06% | 0.06% | 18.17 | $16,543 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Contribution | |||
|---|---|---|---|---|---|---|---|---|---|---|
| SEC | TTM | Net | Gross | Return | Risk | |||||
| SCHD | Schwab US Dividend Equity ETF | Large Value | 100.00% | 3.02% | 2.94% | 0.06% | 0.06% | 16.40 | $17,876 | 100.00% |
Fund fundamentals data as of 12/03/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Metric | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF | Vanguard 500 Index Investor |
|---|---|---|---|
| Arithmetic Mean (monthly) | 1.06% | 1.12% | 1.20% |
| Arithmetic Mean (annualized) | 13.55% | 14.29% | 15.41% |
| Geometric Mean (monthly) | 1.02% | 1.07% | 1.15% |
| Geometric Mean (annualized) | 12.98% | 13.67% | 14.73% |
| Standard Deviation (monthly) | 2.94% | 3.04% | 3.17% |
| Standard Deviation (annualized) | 10.19% | 10.52% | 10.99% |
| Downside Deviation (monthly) | 1.74% | 1.81% | 1.90% |
| Max. Drawdown | -9.63% | -10.65% | -13.55% |
| US Market Correlation | 0.94 | 0.93 | 1.00 |
| Beta(*) | 0.88 | 0.91 | 1.00 |
| Alpha (annualized) | 0.06% | 0.37% | -0.00% |
| R2 | 90.52% | 89.49% | 100.00% |
| Sharpe Ratio | 1.19 | 1.21 | 1.25 |
| Sortino Ratio | 1.98 | 2.00 | 2.05 |
| Treynor Ratio (%) | 13.72 | 14.08 | 13.74 |
| Calmar Ratio | 1.12 | 1.24 | 1.12 |
| Active Return | -1.75% | -1.05% | N/A |
| Tracking Error | 3.39% | 3.56% | N/A |
| Information Ratio | -0.52 | -0.30 | N/A |
| Skewness | -0.56 | -0.61 | -0.66 |
| Excess Kurtosis | 0.93 | 1.00 | 1.05 |
| Historical Value-at-Risk (5%) | -4.46% | -4.66% | -5.24% |
| Analytical Value-at-Risk (5%) | -3.77% | -3.88% | -4.01% |
| Conditional Value-at-Risk (5%) | -6.00% | -6.52% | -6.86% |
| Upside Capture Ratio (%) | 87.80 | 91.43 | 100.00 |
| Downside Capture Ratio (%) | 89.62 | 91.20 | 100.00 |
| Safe Withdrawal Rate | 20.67% | 20.74% | 21.67% |
| Perpetual Withdrawal Rate | 10.04% | 10.59% | 11.41% |
| Positive Periods | 65 out of 96 (67.71%) | 66 out of 96 (68.75%) | 72 out of 96 (75.00%) |
| Gain/Loss Ratio | 1.20 | 1.16 | 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 | Feb 2018 | Dec 2018 | 11 months | Mar 2019 | 3 months | 1 year 2 months | -9.63% |
| 2 | Jun 2015 | Sep 2015 | 4 months | Mar 2016 | 6 months | 10 months | -8.64% |
| 3 | May 2019 | May 2019 | 1 month | Jul 2019 | 2 months | 3 months | -6.31% |
| 4 | Apr 2012 | May 2012 | 2 months | Jun 2012 | 1 month | 3 months | -4.68% |
| 5 | Jan 2014 | Jan 2014 | 1 month | Mar 2014 | 2 months | 3 months | -4.00% |
| 6 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.99% |
| 7 | Aug 2013 | Aug 2013 | 1 month | Oct 2013 | 2 months | 3 months | -3.91% |
| 8 | Aug 2019 | Aug 2019 | 1 month | Sep 2019 | 1 month | 2 months | -2.10% |
| 9 | Aug 2016 | Oct 2016 | 3 months | Nov 2016 | 1 month | 4 months | -1.96% |
| 10 | Mar 2015 | Mar 2015 | 1 month | May 2015 | 2 months | 3 months | -1.83% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Oct 2018 | Dec 2018 | 3 months | Mar 2019 | 3 months | 6 months | -10.65% |
| 2 | Mar 2015 | Sep 2015 | 7 months | Mar 2016 | 6 months | 1 year 1 month | -9.49% |
| 3 | Feb 2018 | Apr 2018 | 3 months | Sep 2018 | 5 months | 8 months | -8.91% |
| 4 | May 2019 | May 2019 | 1 month | Jul 2019 | 2 months | 3 months | -7.60% |
| 5 | Jan 2014 | Jan 2014 | 1 month | Mar 2014 | 2 months | 3 months | -4.45% |
| 6 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.99% |
| 7 | Apr 2012 | May 2012 | 2 months | Jun 2012 | 1 month | 3 months | -3.91% |
| 8 | Aug 2013 | Aug 2013 | 1 month | Oct 2013 | 2 months | 3 months | -3.54% |
| 9 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -1.72% |
| 10 | Aug 2016 | Oct 2016 | 3 months | Nov 2016 | 1 month | 4 months | -1.70% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
| 2 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 3 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.62% |
| 4 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
| 5 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
| 6 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
| 7 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.27% |
| 8 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -2.91% |
| 9 | Jun 2015 | Jun 2015 | 1 month | Jul 2015 | 1 month | 2 months | -1.93% |
| 10 | Oct 2012 | Oct 2012 | 1 month | Jan 2013 | 3 months | 4 months | -1.86% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 12.98% | 10.19% | 30.08% | -5.91% | -9.63% | 1.19 | 1.98 | 0.94 |
| SCHD | Schwab US Dividend Equity ETF | 13.67% | 10.52% | 32.89% | -5.56% | -10.65% | 1.21 | 2.00 | 0.93 |
| Name | Total Return | Annualized Return | Expense Ratio | ||||
|---|---|---|---|---|---|---|---|
| Quarter to Date | Year To Date | 1 year | 3 year | 5 year | Net | Gross | |
| Vanguard High Dividend Yield ETF | 6.49% | 24.07% | 24.07% | 10.77% | 9.79% | 0.06% | 0.06% |
| Schwab US Dividend Equity ETF | 6.59% | 27.28% | 27.28% | 13.25% | 11.01% | 0.06% | 0.06% |
| Trailing returns as of last calendar quarter ending December 2019 | |||||||
| Ticker | Name | VYM | SCHD | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF | Vanguard 500 Index Investor |
|---|---|---|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 1.00 | 0.98 | 1.00 | 0.98 | 0.95 |
| SCHD | Schwab US Dividend Equity ETF | 0.98 | 1.00 | 0.98 | 1.00 | 0.95 |
| Ticker | Name | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF |
|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | $16,543 | |
| SCHD | Schwab US Dividend Equity ETF | $17,876 |
| Ticker | Name | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF |
|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 100.00% | |
| SCHD | Schwab US Dividend Equity ETF | 100.00% |
| Roll Period | Vanguard High Dividend Yield ETF | Schwab US Dividend Equity ETF | Vanguard 500 Index Investor | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 12.48% | 30.08% | -5.91% | 13.23% | 32.89% | -5.56% | 13.85% | 32.18% | -6.32% |
| 3 years | 11.67% | 18.50% | 8.63% | 12.09% | 18.25% | 8.66% | 12.79% | 20.22% | 8.68% |
| 5 years | 11.63% | 15.07% | 7.85% | 12.03% | 15.79% | 8.15% | 12.70% | 15.74% | 8.34% |
| 7 years | 12.14% | 13.02% | 11.48% | 12.86% | 14.00% | 11.85% | 13.42% | 14.57% | 12.53% |