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 |
---|---|---|
VFINX | Vanguard 500 Index Investor | 15.00% |
VIVAX | Vanguard Value Index Inv | 15.00% |
VISVX | Vanguard Small Cap Value Index Inv | 30.00% |
VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 10.00% |
DEMSX | DFA Emerging Markets Small Cap I | 10.00% |
VTMGX | Vanguard Developed Markets Index Admiral | 5.00% |
VTRIX | Vanguard International Value Inv | 5.00% |
DISVX | DFA International Small Cap Value I | 10.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $52,300 | 8.20% | 16.99% | 43.99% | -39.62% | -55.47% | 0.46 | 0.65 | 0.95 |
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 | 19.92% | 8.71% | 8.71% | 5.50% | 10.42% | 8.68% | 8.20% | 21.08% | 17.18% |
Trailing return and volatility are as of last full calendar month ending December 2020 |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | Vanguard 500 Index Investor (VFINX) | Vanguard Value Index Inv (VIVAX) | Vanguard Small Cap Value Index Inv (VISVX) | Vanguard Emerging Mkts Stock Idx Inv (VEIEX) | DFA Emerging Markets Small Cap I (DEMSX) | Vanguard Developed Markets Index Admiral (VTMGX) | Vanguard International Value Inv (VTRIX) | DFA International Small Cap Value I (DISVX) |
---|---|---|---|---|---|---|---|---|---|---|---|
2000 | 3.39% | -1.22% | $9,878 | -9.06% | 6.08% | 21.88% | -27.56% | -31.84% | -14.29% | -7.42% | -3.08% |
2001 | 1.55% | -2.28% | $9,653 | -12.02% | -11.88% | 13.70% | -2.88% | -2.59% | -21.94% | -14.05% | -4.59% |
2002 | 2.38% | -12.35% | $8,461 | -22.15% | -20.91% | -14.20% | -7.43% | -0.18% | -15.62% | -13.35% | 5.79% |
2003 | 1.88% | 43.99% | $12,183 | 28.50% | 32.25% | 37.19% | 57.65% | 72.80% | 38.67% | 41.90% | 66.48% |
2004 | 3.26% | 21.95% | $14,857 | 10.74% | 15.28% | 23.55% | 26.12% | 28.88% | 20.25% | 19.77% | 34.80% |
2005 | 3.42% | 13.28% | $16,831 | 4.77% | 7.09% | 6.07% | 32.05% | 25.75% | 13.60% | 17.96% | 23.23% |
2006 | 2.54% | 23.63% | $20,808 | 15.64% | 22.15% | 19.24% | 29.39% | 37.31% | 26.27% | 27.37% | 28.39% |
2007 | 4.08% | 7.88% | $22,447 | 5.39% | 0.09% | -7.07% | 38.90% | 38.02% | 11.15% | 12.66% | 2.95% |
2008 | 0.09% | -39.62% | $13,554 | -37.02% | -35.97% | -32.05% | -52.81% | -54.53% | -41.27% | -41.74% | -41.68% |
2009 | 2.72% | 40.63% | $19,062 | 26.49% | 19.58% | 30.34% | 75.98% | 99.74% | 28.27% | 33.77% | 39.51% |
2010 | 1.50% | 19.32% | $22,745 | 14.91% | 14.28% | 24.82% | 18.86% | 30.18% | 8.36% | 7.31% | 18.10% |
2011 | 2.96% | -8.05% | $20,915 | 1.97% | 1.00% | -4.16% | -18.78% | -22.62% | -12.51% | -14.58% | -17.46% |
2012 | 1.74% | 18.66% | $24,818 | 15.82% | 15.00% | 18.56% | 18.64% | 24.44% | 18.56% | 20.18% | 22.26% |
2013 | 1.50% | 25.47% | $31,139 | 32.18% | 32.85% | 36.41% | -5.19% | -1.38% | 22.06% | 22.15% | 32.39% |
2014 | 0.76% | 6.33% | $33,109 | 13.51% | 13.05% | 10.39% | 0.42% | 3.00% | -5.66% | -6.69% | -4.99% |
2015 | 0.73% | -3.75% | $31,868 | 1.25% | -1.03% | -4.78% | -15.47% | -8.70% | -0.18% | -6.44% | 3.99% |
2016 | 2.07% | 15.07% | $36,670 | 11.82% | 16.75% | 24.65% | 11.50% | 10.92% | 2.45% | 4.46% | 8.00% |
2017 | 2.11% | 21.46% | $44,537 | 21.67% | 16.99% | 11.67% | 31.15% | 35.26% | 26.40% | 27.96% | 27.98% |
2018 | 1.91% | -12.22% | $39,095 | -4.52% | -5.55% | -12.34% | -14.71% | -17.56% | -14.46% | -14.52% | -23.31% |
2019 | 2.29% | 23.06% | $48,109 | 31.33% | 25.67% | 22.61% | 20.13% | 14.89% | 22.05% | 20.39% | 21.00% |
2020 | 1.36% | 8.71% | $52,300 | 18.25% | 2.18% | 5.72% | 15.05% | 13.80% | 10.26% | 8.99% | 0.81% |
Year | Month | Portfolio 1 Return | Portfolio 1 Balance | Vanguard 500 Index Investor (VFINX) | Vanguard Value Index Inv (VIVAX) | Vanguard Small Cap Value Index Inv (VISVX) | Vanguard Emerging Mkts Stock Idx Inv (VEIEX) | DFA Emerging Markets Small Cap I (DEMSX) | Vanguard Developed Markets Index Admiral (VTMGX) | Vanguard International Value Inv (VTRIX) | DFA International Small Cap Value I (DISVX) |
---|---|---|---|---|---|---|---|---|---|---|---|
2000 | 1 | -3.96% | $9,604 | -5.03% | -3.19% | -5.21% | -4.88% | 1.91% | -6.52% | -7.80% | -1.56% |
2000 | 2 | -0.00% | $9,603 | -1.91% | -6.27% | 4.62% | 3.53% | -1.28% | 2.86% | -5.03% | -2.44% |
2000 | 3 | 4.91% | $10,075 | 9.75% | 10.39% | 3.92% | -0.90% | -0.30% | 3.83% | 7.67% | 3.87% |
2000 | 4 | -2.72% | $9,801 | -3.00% | -0.67% | 0.71% | -7.47% | -7.30% | -5.36% | -0.95% | -6.25% |
2000 | 5 | -1.70% | $9,635 | -2.04% | 0.31% | -1.53% | -5.32% | -5.50% | -2.39% | 0.56% | 1.54% |
2000 | 6 | 2.59% | $9,884 | 2.49% | -3.94% | 2.86% | 6.27% | -0.23% | 3.90% | 6.75% | 8.71% |
2000 | 7 | -0.83% | $9,802 | -1.50% | 2.06% | 1.97% | -5.20% | -3.32% | -4.19% | -3.25% | -3.72% |
2000 | 8 | 4.10% | $10,204 | 6.19% | 6.64% | 5.91% | 1.49% | -0.36% | 0.91% | -1.86% | 1.81% |
2000 | 9 | -2.70% | $9,928 | -5.29% | -0.03% | -0.21% | -6.14% | -6.29% | -4.87% | -4.84% | -3.20% |
2000 | 10 | -1.45% | $9,784 | -0.43% | 1.86% | 0.65% | -7.61% | -7.98% | -2.37% | -0.19% | -5.26% |
2000 | 11 | -5.67% | $9,230 | -7.89% | -5.08% | -6.52% | -9.82% | -6.47% | -3.69% | -2.03% | 1.29% |
2000 | 12 | 7.03% | $9,878 | 0.51% | 5.19% | 14.34% | 5.95% | 0.08% | 3.44% | 4.53% | 3.10% |
2001 | 1 | 5.71% | $10,443 | 3.55% | 4.24% | 7.98% | 11.76% | 5.60% | -0.10% | 2.92% | 2.75% |
2001 | 2 | -5.70% | $9,848 | -9.14% | -6.67% | -4.13% | -8.70% | -6.27% | -7.50% | -6.23% | 1.02% |
2001 | 3 | -5.94% | $9,263 | -6.36% | -3.97% | -4.16% | -10.42% | -8.23% | -6.62% | -9.04% | -5.18% |
2001 | 4 | 6.69% | $9,882 | 7.77% | 6.81% | 6.02% | 9.29% | 2.62% | 7.66% | 7.88% | 7.46% |
2001 | 5 | 1.10% | $9,991 | 0.65% | 1.01% | 2.58% | 1.47% | 1.09% | -4.14% | -1.34% | 0.50% |
2001 | 6 | -0.13% | $9,978 | -2.45% | -3.22% | 4.13% | -2.12% | 0.18% | -4.10% | -3.33% | -0.86% |
2001 | 7 | -1.96% | $9,783 | -1.00% | -1.74% | -1.16% | -6.74% | -1.80% | -1.85% | -0.85% | -2.24% |
2001 | 8 | -2.36% | $9,552 | -6.27% | -5.80% | -1.57% | -0.98% | -0.73% | -2.47% | -1.63% | 2.16% |
2001 | 9 | -12.41% | $8,367 | -8.09% | -9.53% | -14.31% | -15.57% | -15.31% | -10.25% | -12.57% | -10.96% |
2001 | 10 | 3.41% | $8,652 | 1.90% | 0.00% | 4.64% | 6.59% | 5.01% | 2.55% | 2.64% | 2.80% |
2001 | 11 | 6.99% | $9,257 | 7.65% | 6.33% | 8.09% | 9.34% | 10.58% | 3.01% | 5.93% | 0.54% |
2001 | 12 | 4.28% | $9,653 | 0.87% | 1.47% | 7.30% | 7.73% | 7.64% | 0.71% | 2.62% | -1.50% |
2002 | 1 | 0.48% | $9,700 | -1.47% | -2.75% | 1.85% | 2.87% | 7.72% | -5.26% | -2.67% | -0.99% |
2002 | 2 | 0.19% | $9,718 | -1.94% | -0.87% | -0.29% | 2.67% | -0.98% | 0.68% | 1.91% | 3.98% |
2002 | 3 | 6.08% | $10,309 | 3.74% | 5.11% | 8.72% | 4.52% | 6.25% | 5.92% | 5.39% | 4.79% |
2002 | 4 | 0.50% | $10,360 | -6.07% | -5.03% | 4.06% | 0.32% | 2.79% | 0.13% | 1.60% | 3.92% |
2002 | 5 | -0.58% | $10,301 | -0.75% | 0.39% | -3.82% | -0.43% | -0.90% | 1.78% | 2.01% | 6.28% |
2002 | 6 | -5.32% | $9,753 | -7.13% | -6.32% | -4.24% | -8.23% | -6.53% | -3.99% | -5.06% | -1.77% |
2002 | 7 | -10.45% | $8,734 | -7.72% | -10.78% | -16.20% | -8.50% | -4.72% | -9.87% | -9.21% | -5.29% |
2002 | 8 | 0.29% | $8,759 | 0.65% | 0.73% | -0.11% | 1.42% | 1.19% | -0.29% | -1.89% | -0.25% |
2002 | 9 | -9.49% | $7,928 | -10.87% | -11.48% | -7.42% | -10.69% | -11.47% | -10.98% | -11.03% | -6.62% |
2002 | 10 | 4.41% | $8,277 | 8.78% | 8.35% | 2.07% | 6.55% | 4.19% | 5.52% | 5.17% | -0.95% |
2002 | 11 | 5.67% | $8,746 | 5.88% | 7.02% | 5.36% | 7.09% | 7.68% | 4.62% | 5.07% | 2.20% |
2002 | 12 | -3.26% | $8,461 | -5.89% | -5.23% | -2.71% | -3.27% | -3.40% | -3.33% | -3.81% | 1.23% |
2003 | 1 | -2.24% | $8,272 | -2.62% | -2.80% | -4.11% | 0.13% | 1.80% | -4.20% | -4.04% | 0.27% |
2003 | 2 | -2.40% | $8,073 | -1.52% | -2.74% | -3.67% | -3.80% | -1.06% | -2.27% | -2.60% | 0.54% |
2003 | 3 | -0.64% | $8,021 | 0.96% | -0.15% | -0.38% | -2.04% | -0.89% | -1.99% | -3.18% | -0.94% |
2003 | 4 | 9.56% | $8,788 | 8.25% | 9.96% | 9.06% | 8.75% | 12.97% | 9.83% | 9.57% | 9.52% |
2003 | 5 | 7.27% | $9,427 | 5.26% | 7.93% | 7.60% | 6.39% | 7.50% | 6.02% | 5.95% | 10.06% |
2003 | 6 | 2.86% | $9,697 | 1.26% | 1.34% | 1.74% | 5.88% | 4.30% | 2.47% | 4.04% | 5.64% |
2003 | 7 | 3.50% | $10,036 | 1.74% | 0.97% | 4.49% | 7.03% | 1.99% | 2.70% | 6.32% | 4.06% |
2003 | 8 | 3.66% | $10,404 | 1.93% | 1.68% | 3.37% | 6.36% | 6.00% | 2.21% | 2.51% | 5.54% |
2003 | 9 | 1.00% | $10,507 | -1.07% | -0.41% | -0.49% | 0.80% | 3.82% | 2.98% | 1.29% | 5.64% |
2003 | 10 | 6.85% | $11,227 | 5.64% | 5.19% | 7.06% | 9.09% | 8.62% | 6.31% | 8.01% | 5.71% |
2003 | 11 | 2.02% | $11,453 | 0.86% | 1.31% | 3.90% | 1.09% | 1.98% | 2.22% | 2.00% | 0.44% |
2003 | 12 | 6.37% | $12,183 | 5.22% | 6.91% | 4.46% | 7.78% | 9.93% | 7.81% | 6.75% | 6.27% |
2004 | 1 | 2.73% | $12,516 | 1.82% | 1.58% | 2.70% | 3.12% | 2.97% | 1.37% | 2.55% | 6.10% |
2004 | 2 | 2.63% | $12,846 | 1.38% | 1.92% | 2.54% | 4.17% | 4.22% | 2.36% | 2.12% | 3.07% |
2004 | 3 | 0.74% | $12,942 | -1.51% | -1.37% | 1.74% | 0.39% | 1.68% | 0.57% | -0.51% | 4.20% |
2004 | 4 | -4.20% | $12,398 | -1.58% | -2.03% | -5.52% | -7.90% | -5.63% | -2.74% | -2.45% | -3.52% |
2004 | 5 | 0.29% | $12,434 | 1.36% | 0.95% | 1.72% | -0.85% | -4.22% | 0.67% | 0.37% | -0.99% |
2004 | 6 | 2.99% | $12,806 | 1.93% | 2.68% | 4.99% | -0.09% | 0.83% | 2.68% | 2.17% | 4.55% |
2004 | 7 | -2.60% | $12,473 | -3.31% | -1.39% | -3.54% | -1.80% | 0.64% | -3.59% | -2.96% | -3.48% |
2004 | 8 | 1.65% | $12,679 | 0.38% | 1.51% | 1.42% | 4.10% | 3.30% | 0.45% | 1.36% | 1.23% |
2004 | 9 | 3.02% | $13,062 | 1.07% | 1.13% | 3.37% | 5.62% | 5.56% | 2.70% | 3.20% | 2.66% |
2004 | 10 | 1.98% | $13,320 | 1.51% | 1.43% | 1.51% | 2.30% | 2.45% | 3.28% | 2.16% | 3.26% |
2004 | 11 | 7.29% | $14,291 | 4.05% | 4.63% | 8.08% | 10.17% | 9.47% | 6.89% | 6.45% | 8.75% |
2004 | 12 | 3.96% | $14,857 | 3.39% | 3.46% | 3.02% | 5.32% | 5.30% | 4.38% | 4.10% | 5.16% |
2005 | 1 | -1.39% | $14,651 | -2.45% | -1.97% | -3.72% | -0.14% | 2.78% | -1.94% | -1.13% | 2.79% |
2005 | 2 | 4.00% | $15,237 | 2.09% | 3.25% | 2.30% | 8.87% | 6.33% | 4.24% | 5.40% | 4.74% |
2005 | 3 | -2.87% | $14,800 | -1.76% | -1.61% | -1.88% | -6.70% | -6.97% | -2.44% | -3.20% | -0.94% |
2005 | 4 | -2.70% | $14,400 | -1.91% | -1.37% | -3.85% | -2.89% | -3.68% | -1.94% | -2.34% | -1.95% |
2005 | 5 | 2.73% | $14,793 | 3.17% | 2.11% | 5.39% | 3.39% | 1.95% | -0.40% | 0.49% | -1.49% |
2005 | 6 | 2.25% | $15,125 | 0.13% | 0.99% | 3.87% | 3.28% | 2.53% | 1.09% | 1.05% | 2.35% |
2005 | 7 | 4.72% | $15,839 | 3.71% | 2.99% | 5.70% | 6.87% | 5.48% | 3.24% | 4.27% | 3.80% |
2005 | 8 | 0.04% | $15,845 | -0.91% | -0.36% | -2.13% | 0.97% | 0.65% | 3.24% | 3.04% | 3.90% |
2005 | 9 | 2.73% | $16,279 | 0.79% | 1.42% | 0.54% | 8.64% | 6.56% | 4.15% | 4.18% | 2.34% |
2005 | 10 | -3.30% | $15,741 | -1.68% | -2.53% | -2.98% | -6.57% | -4.88% | -2.83% | -3.84% | -2.32% |
2005 | 11 | 4.22% | $16,406 | 3.76% | 3.48% | 3.77% | 7.98% | 7.13% | 1.82% | 3.63% | 1.86% |
2005 | 12 | 2.59% | $16,831 | 0.02% | 0.73% | -0.43% | 6.16% | 6.55% | 5.04% | 5.73% | 6.44% |
2006 | 1 | 6.56% | $17,935 | 2.65% | 3.23% | 7.07% | 11.48% | 9.65% | 6.18% | 8.01% | 7.33% |
2006 | 2 | 0.07% | $17,948 | 0.26% | 0.65% | 0.13% | -1.46% | 1.05% | -0.66% | -0.82% | 0.21% |
2006 | 3 | 2.61% | $18,417 | 1.23% | 1.33% | 3.58% | 1.24% | 1.83% | 3.58% | 3.70% | 4.77% |
2006 | 4 | 3.06% | $18,981 | 1.33% | 2.61% | 0.06% | 7.12% | 8.12% | 4.86% | 4.73% | 4.15% |
2006 | 5 | -5.04% | $18,023 | -2.90% | -2.34% | -3.83% | -10.74% | -10.53% | -3.42% | -4.30% | -4.80% |
2006 | 6 | -0.24% | $17,979 | 0.13% | 0.70% | 1.09% | -0.20% | -4.41% | -0.31% | -0.21% | -1.86% |
2006 | 7 | 0.47% | $18,065 | 0.61% | 2.69% | -1.46% | 1.19% | 2.30% | 1.03% | 1.37% | -0.36% |
2006 | 8 | 2.35% | $18,490 | 2.36% | 1.70% | 2.32% | 2.05% | 3.47% | 2.66% | 2.14% | 2.55% |
2006 | 9 | 1.44% | $18,756 | 2.56% | 2.09% | 0.88% | 0.72% | 2.77% | 0.23% | 0.65% | 0.95% |
2006 | 10 | 4.44% | $19,590 | 3.25% | 3.18% | 4.82% | 4.75% | 7.54% | 3.88% | 3.42% | 4.39% |
2006 | 11 | 3.84% | $20,341 | 1.89% | 2.03% | 3.04% | 7.44% | 7.61% | 3.07% | 3.31% | 4.83% |
2006 | 12 | 2.29% | $20,808 | 1.39% | 2.42% | 0.48% | 4.16% | 4.54% | 2.85% | 2.95% | 3.75% |
2007 | 1 | 1.47% | $21,114 | 1.49% | 0.94% | 1.99% | -0.58% | 1.88% | 1.27% | 0.87% | 2.67% |
2007 | 2 | -0.55% | $20,998 | -1.97% | -1.64% | -0.58% | -1.28% | 0.89% | 0.28% | 0.12% | 1.81% |
2007 | 3 | 2.13% | $21,446 | 1.11% | 1.62% | 0.60% | 4.11% | 4.43% | 2.68% | 2.23% | 4.35% |
2007 | 4 | 3.71% | $22,242 | 4.42% | 4.16% | 1.84% | 4.23% | 7.64% | 3.86% | 3.67% | 2.97% |
2007 | 5 | 4.09% | $23,152 | 3.48% | 3.67% | 3.67% | 5.96% | 7.93% | 2.54% | 3.68% | 1.91% |
2007 | 6 | -0.51% | $23,035 | -1.68% | -2.12% | -2.51% | 4.49% | 2.99% | -0.13% | 0.78% | -0.42% |
2007 | 7 | -2.33% | $22,499 | -3.08% | -4.49% | -7.21% | 4.30% | 4.86% | -2.17% | -1.33% | -0.25% |
2007 | 8 | -0.37% | $22,415 | 1.50% | 1.31% | 1.45% | -0.94% | -4.17% | -0.65% | -1.44% | -4.10% |
2007 | 9 | 4.07% | $23,326 | 3.72% | 3.31% | 0.89% | 10.75% | 6.87% | 5.31% | 5.61% | 2.08% |
2007 | 10 | 3.87% | $24,229 | 1.58% | 0.22% | 1.35% | 12.31% | 7.50% | 4.48% | 4.40% | 3.94% |
2007 | 11 | -6.30% | $22,702 | -4.19% | -4.94% | -6.74% | -7.99% | -8.02% | -3.75% | -4.09% | -8.12% |
2007 | 12 | -1.12% | $22,447 | -0.70% | -1.45% | -1.42% | -0.38% | 1.19% | -2.64% | -2.06% | -3.12% |
2008 | 1 | -6.36% | $21,019 | -6.02% | -4.09% | -3.62% | -11.08% | -12.06% | -7.79% | -7.96% | -6.60% |
2008 | 2 | -1.27% | $20,751 | -3.25% | -4.78% | -3.15% | 4.65% | 2.89% | -0.70% | 0.49% | 2.19% |
2008 | 3 | -0.87% | $20,572 | -0.44% | -0.38% | 0.14% | -3.80% | -4.74% | 0.11% | -0.85% | 0.93% |
2008 | 4 | 4.82% | $21,563 | 4.85% | 4.14% | 4.42% | 8.09% | 6.12% | 5.24% | 6.42% | 1.70% |
2008 | 5 | 1.90% | $21,971 | 1.29% | -0.41% | 4.17% | 1.84% | -0.64% | 1.35% | 1.51% | 2.20% |
2008 | 6 | -10.11% | $19,750 | -8.44% | -9.53% | -11.56% | -10.39% | -11.52% | -8.57% | -8.82% | -8.74% |
2008 | 7 | -0.28% | $19,695 | -0.83% | -0.32% | 4.02% | -4.14% | -1.57% | -3.49% | -2.82% | -4.44% |
2008 | 8 | -0.38% | $19,621 | 1.45% | 1.65% | 3.87% | -7.81% | -6.04% | -4.29% | -4.80% | -3.22% |
2008 | 9 | -9.95% | $17,669 | -8.91% | -6.95% | -6.05% | -16.25% | -18.06% | -12.20% | -12.29% | -14.39% |
2008 | 10 | -21.02% | $13,955 | -16.79% | -16.55% | -21.09% | -27.67% | -30.34% | -20.52% | -20.83% | -21.76% |
2008 | 11 | -7.92% | $12,850 | -7.17% | -6.28% | -10.49% | -7.85% | -6.12% | -5.98% | -6.28% | -5.55% |
2008 | 12 | 5.48% | $13,554 | 1.07% | 1.73% | 5.38% | 8.30% | 14.08% | 8.40% | 7.13% | 9.09% |
2009 | 1 | -10.50% | $12,131 | -8.41% | -11.44% | -13.03% | -8.19% | -7.69% | -12.81% | -10.76% | -8.43% |
2009 | 2 | -11.06% | $10,789 | -10.66% | -13.34% | -13.96% | -6.07% | -6.14% | -10.50% | -9.71% | -10.99% |
2009 | 3 | 10.00% | $11,868 | 8.76% | 8.93% | 9.39% | 16.03% | 13.76% | 8.01% | 8.10% | 6.52% |
2009 | 4 | 15.35% | $13,689 | 9.56% | 10.30% | 19.76% | 16.03% | 20.25% | 11.96% | 11.66% | 16.21% |
2009 | 5 | 10.21% | $15,086 | 5.62% | 6.75% | 3.50% | 18.27% | 22.91% | 13.35% | 13.73% | 13.77% |
2009 | 6 | -0.63% | $14,992 | 0.22% | -0.88% | -0.10% | -2.25% | -0.50% | -1.18% | -1.62% | -0.33% |
2009 | 7 | 10.03% | $16,496 | 7.58% | 8.04% | 10.64% | 11.55% | 12.68% | 9.53% | 10.16% | 9.31% |
2009 | 8 | 4.24% | $17,195 | 3.60% | 5.10% | 6.12% | -0.63% | 1.19% | 4.65% | 4.02% | 8.66% |
2009 | 9 | 5.64% | $18,165 | 3.72% | 3.37% | 5.52% | 9.29% | 8.34% | 4.06% | 5.37% | 4.71% |
2009 | 10 | -3.18% | $17,587 | -1.87% | -2.67% | -6.32% | -1.36% | -0.11% | -2.36% | -2.73% | -3.62% |
2009 | 11 | 4.51% | $18,380 | 5.98% | 6.00% | 3.67% | 5.90% | 5.85% | 3.26% | 3.71% | 0.54% |
2009 | 12 | 3.71% | $19,062 | 1.95% | 1.21% | 6.88% | 3.60% | 5.51% | 0.91% | 0.91% | 1.17% |
2010 | 1 | -3.58% | $18,380 | -3.60% | -2.47% | -3.06% | -6.25% | -4.43% | -4.75% | -5.00% | -1.92% |
2010 | 2 | 2.59% | $18,855 | 3.09% | 2.53% | 5.21% | 1.07% | 1.72% | 0.00% | -0.21% | -0.95% |
2010 | 3 | 7.37% | $20,246 | 6.01% | 6.16% | 8.00% | 8.15% | 8.54% | 6.26% | 7.06% | 8.12% |
2010 | 4 | 2.50% | $20,752 | 1.58% | 1.78% | 6.19% | 0.26% | 1.61% | -2.35% | -2.57% | 1.26% |
2010 | 5 | -9.14% | $18,855 | -8.01% | -7.79% | -7.99% | -9.32% | -10.09% | -11.18% | -11.69% | -13.46% |
2010 | 6 | -4.29% | $18,047 | -5.24% | -5.10% | -8.04% | -0.04% | 2.65% | -1.66% | -2.32% | -2.01% |
2010 | 7 | 8.14% | $19,516 | 7.00% | 6.54% | 7.43% | 9.25% | 9.18% | 10.79% | 11.26% | 9.73% |
2010 | 8 | -4.34% | $18,669 | -4.53% | -4.26% | -6.70% | -2.24% | 0.48% | -3.63% | -3.58% | -4.67% |
2010 | 9 | 10.09% | $20,552 | 8.92% | 7.55% | 10.42% | 11.18% | 12.11% | 10.11% | 10.00% | 11.23% |
2010 | 10 | 3.43% | $21,257 | 3.79% | 2.69% | 3.57% | 2.97% | 3.99% | 3.87% | 3.60% | 3.13% |
2010 | 11 | -0.69% | $21,110 | 0.00% | -0.56% | 2.30% | -2.71% | -2.72% | -5.11% | -4.45% | -2.85% |
2010 | 12 | 7.74% | $22,745 | 6.67% | 7.89% | 7.55% | 7.30% | 5.75% | 8.33% | 7.70% | 12.32% |
2011 | 1 | 0.67% | $22,897 | 2.36% | 2.84% | 0.62% | -2.77% | -4.24% | 2.25% | 1.68% | 2.09% |
2011 | 2 | 2.78% | $23,535 | 3.42% | 4.02% | 4.66% | -0.85% | -2.95% | 3.55% | 2.72% | 2.90% |
2011 | 3 | 1.28% | $23,835 | 0.03% | 0.04% | 1.50% | 5.57% | 5.55% | -2.59% | -2.47% | 0.50% |
2011 | 4 | 3.46% | $24,661 | 2.95% | 2.94% | 2.40% | 3.47% | 5.25% | 6.37% | 5.31% | 4.30% |
2011 | 5 | -2.15% | $24,129 | -1.15% | -1.36% | -2.11% | -2.82% | -2.29% | -2.83% | -3.04% | -3.43% |
2011 | 6 | -1.79% | $23,696 | -1.67% | -2.15% | -2.10% | -1.51% | -0.81% | -1.30% | -1.38% | -2.18% |
2011 | 7 | -2.24% | $23,165 | -2.05% | -3.52% | -3.45% | -0.82% | 1.13% | -1.97% | -1.70% | -1.92% |
2011 | 8 | -7.77% | $21,366 | -5.45% | -5.78% | -8.08% | -8.54% | -9.51% | -8.96% | -9.31% | -9.51% |
2011 | 9 | -10.87% | $19,043 | -7.04% | -7.07% | -10.60% | -16.19% | -17.79% | -10.40% | -11.08% | -11.80% |
2011 | 10 | 11.69% | $21,268 | 10.91% | 10.36% | 14.34% | 13.51% | 11.02% | 9.34% | 10.82% | 7.61% |
2011 | 11 | -1.50% | $20,949 | -0.23% | -0.49% | -0.26% | -3.41% | -4.89% | -2.63% | -2.52% | -3.23% |
2011 | 12 | -0.16% | $20,915 | 1.02% | 2.39% | 1.00% | -3.32% | -2.65% | -2.33% | -2.76% | -2.66% |
2012 | 1 | 7.13% | $22,406 | 4.46% | 3.42% | 6.85% | 11.12% | 11.27% | 5.82% | 7.21% | 10.01% |
2012 | 2 | 4.50% | $23,413 | 4.31% | 3.92% | 2.49% | 5.56% | 8.17% | 5.12% | 5.29% | 5.96% |
2012 | 3 | 1.00% | $23,647 | 3.28% | 2.89% | 2.35% | -2.86% | -2.61% | 0.22% | -0.57% | 0.13% |
2012 | 4 | -1.44% | $23,307 | -0.64% | -0.93% | -0.89% | -1.75% | -2.39% | -2.29% | -2.41% | -2.78% |
2012 | 5 | -8.11% | $21,416 | -6.02% | -5.96% | -6.29% | -11.08% | -9.17% | -11.26% | -11.18% | -12.72% |
2012 | 6 | 4.63% | $22,406 | 4.11% | 4.70% | 4.28% | 4.83% | 3.83% | 7.19% | 6.37% | 4.93% |
2012 | 7 | 0.23% | $22,459 | 1.37% | 1.19% | -0.43% | 0.64% | -1.26% | 0.30% | 1.09% | -0.29% |
2012 | 8 | 2.38% | $22,992 | 2.24% | 1.40% | 2.95% | 0.43% | 2.60% | 3.15% | 2.40% | 3.67% |
2012 | 9 | 3.59% | $23,818 | 2.58% | 3.05% | 2.87% | 5.32% | 5.85% | 2.82% | 3.58% | 4.67% |
2012 | 10 | -0.43% | $23,714 | -1.86% | -0.52% | -0.58% | -0.42% | -0.39% | 1.14% | 0.78% | 0.93% |
2012 | 11 | 0.95% | $23,939 | 0.56% | -0.53% | 0.82% | 1.33% | 1.72% | 2.43% | 2.65% | 1.39% |
2012 | 12 | 3.67% | $24,818 | 0.90% | 1.90% | 3.33% | 5.84% | 6.15% | 3.85% | 4.69% | 6.24% |
2013 | 1 | 4.86% | $26,023 | 5.18% | 6.37% | 6.49% | 0.61% | 1.84% | 4.44% | 3.91% | 5.13% |
2013 | 2 | 0.82% | $26,237 | 1.34% | 1.52% | 1.78% | -1.74% | 1.02% | -1.36% | -1.60% | 0.60% |
2013 | 3 | 2.64% | $26,929 | 3.74% | 3.90% | 4.53% | -1.54% | -0.47% | 1.48% | -0.09% | 2.04% |
2013 | 4 | 1.68% | $27,381 | 1.91% | 2.19% | -0.05% | 1.32% | 2.03% | 5.12% | 4.80% | 2.84% |
2013 | 5 | 0.79% | $27,598 | 2.33% | 2.45% | 3.05% | -3.73% | -1.45% | -3.00% | -1.38% | -1.97% |
2013 | 6 | -2.61% | $26,877 | -1.35% | -0.81% | -1.13% | -6.14% | -8.65% | -2.88% | -3.28% | -3.04% |
2013 | 7 | 5.14% | $28,257 | 5.07% | 5.19% | 6.68% | 0.97% | 0.46% | 5.34% | 5.62% | 7.46% |
2013 | 8 | -3.26% | $27,336 | -2.91% | -3.60% | -4.20% | -3.18% | -4.18% | -1.41% | -1.52% | -1.23% |
2013 | 9 | 5.42% | $28,817 | 3.12% | 2.13% | 5.31% | 7.15% | 7.30% | 7.52% | 7.49% | 9.69% |
2013 | 10 | 4.17% | $30,021 | 4.59% | 4.56% | 3.89% | 4.65% | 3.84% | 3.23% | 4.27% | 4.18% |
2013 | 11 | 1.72% | $30,538 | 3.03% | 3.20% | 2.99% | -2.02% | -1.42% | 0.69% | 0.59% | 0.15% |
2013 | 12 | 1.97% | $31,139 | 2.51% | 2.05% | 2.68% | -0.96% | -0.83% | 1.59% | 2.00% | 3.33% |
2014 | 1 | -3.69% | $29,991 | -3.47% | -3.59% | -2.83% | -7.27% | -4.28% | -4.57% | -5.19% | -1.38% |
2014 | 2 | 4.81% | $31,435 | 4.56% | 3.94% | 5.03% | 3.42% | 4.42% | 5.73% | 5.28% | 6.88% |
2014 | 3 | 1.67% | $31,958 | 0.82% | 2.58% | 1.32% | 3.86% | 3.43% | -0.42% | 0.11% | 0.65% |
2014 | 4 | 0.10% | $31,989 | 0.72% | 0.89% | -1.16% | 0.51% | 0.82% | 1.51% | 0.91% | -0.42% |
2014 | 5 | 2.02% | $32,636 | 2.33% | 1.43% | 1.59% | 3.72% | 3.39% | 1.63% | 2.26% | 0.79% |
2014 | 6 | 2.73% | $33,526 | 2.05% | 1.88% | 4.29% | 3.00% | 2.57% | 1.06% | 1.79% | 1.57% |
2014 | 7 | -2.22% | $32,783 | -1.39% | -1.27% | -4.71% | 1.46% | 0.23% | -2.27% | -2.14% | -3.51% |
2014 | 8 | 3.41% | $33,900 | 3.98% | 3.46% | 5.15% | 3.57% | 3.06% | 0.30% | 0.03% | 0.66% |
2014 | 9 | -4.30% | $32,443 | -1.41% | -1.33% | -5.65% | -7.16% | -4.98% | -4.19% | -3.70% | -5.82% |
2014 | 10 | 2.02% | $33,099 | 2.42% | 1.90% | 4.94% | 2.31% | -0.88% | -0.47% | -0.30% | -2.20% |
2014 | 11 | 0.80% | $33,365 | 2.68% | 2.39% | 1.04% | -1.00% | -1.17% | 0.08% | -0.49% | -0.72% |
2014 | 12 | -0.77% | $33,109 | -0.26% | 0.33% | 1.70% | -4.97% | -3.08% | -3.73% | -4.93% | -1.10% |
2015 | 1 | -1.89% | $32,483 | -3.02% | -4.04% | -3.31% | 0.67% | 1.61% | 0.90% | -0.94% | -0.65% |
2015 | 2 | 5.33% | $34,214 | 5.74% | 5.25% | 5.71% | 3.53% | 2.57% | 5.94% | 6.45% | 7.47% |
2015 | 3 | -0.72% | $33,966 | -1.59% | -1.58% | 1.22% | -2.08% | -0.77% | -1.26% | -1.20% | -1.96% |
2015 | 4 | 2.45% | $34,797 | 0.95% | 1.57% | -1.26% | 7.79% | 7.10% | 4.07% | 4.86% | 5.03% |
2015 | 5 | 0.35% | $34,920 | 1.27% | 1.09% | 1.35% | -3.38% | -1.41% | -0.15% | -0.73% | 1.56% |
2015 | 6 | -2.06% | $34,202 | -1.93% | -2.17% | -1.45% | -2.39% | -3.43% | -2.79% | -2.77% | -1.39% |
2015 | 7 | -1.23% | $33,780 | 2.08% | 0.95% | -1.01% | -6.81% | -6.11% | 1.25% | -0.14% | -1.23% |
2015 | 8 | -6.28% | $31,657 | -6.05% | -5.82% | -4.81% | -9.32% | -9.81% | -7.28% | -7.72% | -4.27% |
2015 | 9 | -3.10% | $30,677 | -2.48% | -2.49% | -3.58% | -3.25% | -0.16% | -4.08% | -6.03% | -3.99% |
2015 | 10 | 6.72% | $32,738 | 8.42% | 7.57% | 6.59% | 5.57% | 5.53% | 6.82% | 7.16% | 5.25% |
2015 | 11 | -0.18% | $32,679 | 0.29% | 0.40% | 1.33% | -3.25% | -2.05% | -0.90% | -1.32% | -0.77% |
2015 | 12 | -2.48% | $31,868 | -1.59% | -1.01% | -4.90% | -2.45% | -0.92% | -1.81% | -3.10% | -0.39% |
2016 | 1 | -5.90% | $29,989 | -4.98% | -4.75% | -6.46% | -6.05% | -5.97% | -5.75% | -5.44% | -7.39% |
2016 | 2 | -0.01% | $29,984 | -0.15% | 0.10% | 1.58% | -0.87% | -0.42% | -2.96% | -2.31% | -0.87% |
2016 | 3 | 8.74% | $32,606 | 6.78% | 6.55% | 8.91% | 13.04% | 12.31% | 7.13% | 7.69% | 8.04% |
2016 | 4 | 1.81% | $33,196 | 0.37% | 1.53% | 2.05% | 0.78% | 2.50% | 2.43% | 2.52% | 3.41% |
2016 | 5 | -0.09% | $33,166 | 1.78% | 1.13% | 1.44% | -3.40% | -4.18% | -0.42% | -1.70% | -0.79% |
2016 | 6 | 0.58% | $33,358 | 0.25% | 1.06% | 0.08% | 5.04% | 5.53% | -2.25% | -0.64% | -5.61% |
2016 | 7 | 4.54% | $34,873 | 3.68% | 2.86% | 4.68% | 4.67% | 5.81% | 4.41% | 3.65% | 7.20% |
2016 | 8 | 0.66% | $35,102 | 0.13% | 0.62% | 0.72% | 1.67% | 0.60% | 0.51% | 0.65% | 0.37% |
2016 | 9 | 0.73% | $35,358 | 0.01% | -0.47% | 0.31% | 1.27% | 1.63% | 1.40% | 1.64% | 2.74% |
2016 | 10 | -1.60% | $34,792 | -1.83% | -1.15% | -3.01% | 0.63% | -0.39% | -2.33% | -1.64% | -0.82% |
2016 | 11 | 3.22% | $35,913 | 3.70% | 5.96% | 10.26% | -4.36% | -6.08% | -1.53% | -0.99% | -0.57% |
2016 | 12 | 2.11% | $36,670 | 1.96% | 2.64% | 2.82% | -0.16% | 0.57% | 2.49% | 1.55% | 3.15% |
2017 | 1 | 2.46% | $37,571 | 1.88% | 0.61% | 0.66% | 4.94% | 5.82% | 3.66% | 3.97% | 4.31% |
2017 | 2 | 2.83% | $38,635 | 3.96% | 3.62% | 2.06% | 3.28% | 5.25% | 0.99% | 0.82% | 1.31% |
2017 | 3 | 0.70% | $38,905 | 0.10% | -0.99% | -0.78% | 2.25% | 3.10% | 3.00% | 3.09% | 1.94% |
2017 | 4 | 1.07% | $39,320 | 1.02% | -0.03% | 0.44% | 1.39% | 1.27% | 2.30% | 2.62% | 2.54% |
2017 | 5 | 0.26% | $39,420 | 1.39% | 0.11% | -2.37% | 1.22% | 0.37% | 3.41% | 3.38% | 1.86% |
2017 | 6 | 1.36% | $39,957 | 0.61% | 1.71% | 2.40% | 0.78% | 0.62% | 0.57% | -0.30% | 1.81% |
2017 | 7 | 2.56% | $40,978 | 2.04% | 1.54% | 0.95% | 5.35% | 4.19% | 2.94% | 3.66% | 3.77% |
2017 | 8 | 0.21% | $41,066 | 0.29% | -0.44% | -1.44% | 3.05% | 2.30% | 0.07% | -0.05% | 0.49% |
2017 | 9 | 2.56% | $42,117 | 2.06% | 3.00% | 4.91% | -0.78% | -0.49% | 2.40% | 3.01% | 3.18% |
2017 | 10 | 1.67% | $42,821 | 2.32% | 1.80% | 0.85% | 2.44% | 2.85% | 1.87% | 1.37% | 0.86% |
2017 | 11 | 2.16% | $43,745 | 3.06% | 3.50% | 3.14% | 0.21% | 1.53% | 0.85% | 1.55% | 0.09% |
2017 | 12 | 1.81% | $44,537 | 1.10% | 1.49% | 0.50% | 3.49% | 3.99% | 1.68% | 1.90% | 2.86% |
2018 | 1 | 4.60% | $46,586 | 5.71% | 4.76% | 1.98% | 8.39% | 6.54% | 4.86% | 5.22% | 4.40% |
2018 | 2 | -4.50% | $44,488 | -3.69% | -4.36% | -4.78% | -4.73% | -4.25% | -5.23% | -4.31% | -4.92% |
2018 | 3 | -0.96% | $44,061 | -2.56% | -2.53% | 0.82% | -1.22% | -0.57% | -0.47% | -1.30% | -1.54% |
2018 | 4 | 0.22% | $44,160 | 0.37% | 0.45% | 0.35% | -2.03% | -0.99% | 1.55% | 0.61% | 2.00% |
2018 | 5 | 0.78% | $44,506 | 2.39% | 0.62% | 4.50% | -2.86% | -2.21% | -1.60% | -2.41% | -2.88% |
2018 | 6 | -1.27% | $43,940 | 0.61% | 0.15% | 0.34% | -4.50% | -6.74% | -1.53% | -1.41% | -2.56% |
2018 | 7 | 2.91% | $45,217 | 3.71% | 4.69% | 2.52% | 3.18% | 1.60% | 2.32% | 2.50% | 1.57% |
2018 | 8 | 0.48% | $45,434 | 3.25% | 1.93% | 2.40% | -3.55% | -2.93% | -1.91% | -2.06% | -2.95% |
2018 | 9 | -0.67% | $45,128 | 0.55% | 0.56% | -1.74% | -1.31% | -3.22% | 0.73% | 0.60% | 0.46% |
2018 | 10 | -7.92% | $41,553 | -6.85% | -4.98% | -9.01% | -7.58% | -9.48% | -8.49% | -7.43% | -9.93% |
2018 | 11 | 2.43% | $42,562 | 2.03% | 3.36% | 2.37% | 4.45% | 6.14% | 0.39% | 0.75% | -1.87% |
2018 | 12 | -8.14% | $39,095 | -9.04% | -9.34% | -11.44% | -2.97% | -1.85% | -5.37% | -5.65% | -7.13% |
2019 | 1 | 8.66% | $42,481 | 8.00% | 7.02% | 11.19% | 8.52% | 7.36% | 7.36% | 6.88% | 7.51% |
2019 | 2 | 2.68% | $43,621 | 3.20% | 2.89% | 3.95% | 0.65% | 0.30% | 2.18% | 2.04% | 2.68% |
2019 | 3 | -0.07% | $43,592 | 1.94% | 0.56% | -1.95% | 1.90% | 1.04% | 0.42% | 0.34% | -1.58% |
2019 | 4 | 3.24% | $45,004 | 4.04% | 3.38% | 3.92% | 2.08% | 0.93% | 2.90% | 3.19% | 3.32% |
2019 | 5 | -6.83% | $41,930 | -6.36% | -6.33% | -8.08% | -6.45% | -4.96% | -5.26% | -6.01% | -7.81% |
2019 | 6 | 6.31% | $44,575 | 7.03% | 7.15% | 6.76% | 5.42% | 5.04% | 5.93% | 5.61% | 5.15% |
2019 | 7 | -0.12% | $44,519 | 1.43% | 0.74% | 0.77% | -1.19% | -2.44% | -2.09% | -1.78% | -1.56% |
2019 | 8 | -3.60% | $42,916 | -1.59% | -2.91% | -5.42% | -3.76% | -4.20% | -1.91% | -3.11% | -2.54% |
2019 | 9 | 2.98% | $44,196 | 1.86% | 3.34% | 3.91% | 1.33% | 1.91% | 3.09% | 3.77% | 3.65% |
2019 | 10 | 2.60% | $45,345 | 2.15% | 1.86% | 1.68% | 3.87% | 3.83% | 3.26% | 3.10% | 4.38% |
2019 | 11 | 2.08% | $46,289 | 3.62% | 3.43% | 2.52% | 0.15% | -0.90% | 1.40% | 1.26% | 1.67% |
2019 | 12 | 3.93% | $48,109 | 3.01% | 2.72% | 2.77% | 6.96% | 6.91% | 3.49% | 4.19% | 5.36% |
2020 | 1 | -3.27% | $46,534 | -0.05% | -2.52% | -3.41% | -5.05% | -5.18% | -2.76% | -3.57% | -5.27% |
2020 | 2 | -8.44% | $42,605 | -8.24% | -9.85% | -10.21% | -3.71% | -5.97% | -7.56% | -7.43% | -9.38% |
2020 | 3 | -19.45% | $34,318 | -12.37% | -14.66% | -24.93% | -17.52% | -23.24% | -15.52% | -17.43% | -22.76% |
2020 | 4 | 11.55% | $38,281 | 12.81% | 10.69% | 12.95% | 9.29% | 13.95% | 7.67% | 7.34% | 11.22% |
2020 | 5 | 4.01% | $39,815 | 4.76% | 2.80% | 4.73% | 2.33% | 2.58% | 5.56% | 4.04% | 4.98% |
2020 | 6 | 2.83% | $40,943 | 1.98% | -0.97% | 2.07% | 7.16% | 8.24% | 3.40% | 3.04% | 2.25% |
2020 | 7 | 4.57% | $42,816 | 5.63% | 3.60% | 3.32% | 8.38% | 7.61% | 2.64% | 2.76% | 2.36% |
2020 | 8 | 4.74% | $44,847 | 7.18% | 4.24% | 4.61% | 2.26% | 2.94% | 5.07% | 4.19% | 6.52% |
2020 | 9 | -2.75% | $43,611 | -3.81% | -2.23% | -3.77% | -1.67% | -0.66% | -2.01% | -2.88% | -2.51% |
2020 | 10 | -0.37% | $43,450 | -2.67% | -2.06% | 3.02% | 1.94% | -0.15% | -3.73% | -1.87% | -3.51% |
2020 | 11 | 13.86% | $49,472 | 10.94% | 12.83% | 17.69% | 8.22% | 12.20% | 14.78% | 17.30% | 15.72% |
2020 | 12 | 5.72% | $52,300 | 3.84% | 3.61% | 6.66% | 5.89% | 6.61% | 5.81% | 7.36% | 7.31% |
Style Category | Portfolio 1 |
---|---|
Large-cap Value | 20.87% |
Large-cap Growth | 6.75% |
Mid-cap Value | 17.88% |
Mid-cap Growth | 0.00% |
Small-cap Value | 13.94% |
Small-cap Growth | 0.00% |
Global ex-US Developed Markets | 21.51% |
Emerging Markets | 19.04% |
Corporate Bonds | 0.00% |
Long-Term Treasuries | 0.00% |
Intermediate-Term Treasuries | 0.00% |
Short-Term Treasuries | 0.00% |
R Squared | 99.29% |
Style analysis is based on monthly returns from April 2005 to December 2020 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 | |||||
VFINX | Vanguard 500 Index Investor | Large Blend | 15.00% | 1.34% | 1.50% | 0.14% | 0.14% | 20.07 | $7,374 | 12.51% |
VIVAX | Vanguard Value Index Inv | Large Value | 15.00% | 2.16% | 2.39% | 0.17% | 0.17% | 15.97 | $5,929 | 12.73% |
VISVX | Vanguard Small Cap Value Index Inv | Small Value | 30.00% | 1.60% | 1.98% | 0.19% | 0.19% | 11.51 | $13,309 | 32.34% |
VEIEX | Vanguard Emerging Mkts Stock Idx Inv | Diversified Emerging Mkts | 10.00% | 3.08% | 0.29% | 0.29% | 11.57 | $4,114 | 11.43% | |
DEMSX | DFA Emerging Markets Small Cap I | Diversified Emerging Mkts | 10.00% | 4.36% | 0.60% | 0.80% | 10.31 | $4,999 | 11.52% | |
VTMGX | Vanguard Developed Markets Index Admiral | Foreign Large Blend | 5.00% | 3.86% | 0.07% | 0.07% | 12.90 | $1,391 | 4.72% | |
VTRIX | Vanguard International Value Inv | Foreign Large Value | 5.00% | 3.05% | 0.36% | 0.36% | 13.50 | $1,436 | 4.93% | |
DISVX | DFA International Small Cap Value I | Foreign Small/Mid Value | 10.00% | 3.73% | 0.42% | 0.42% | 8.35 | $3,747 | 9.82% | |
100.00% | 1.00% | 2.64% | 0.26% | 0.28% | 13.20 | $42,300 | 100.00% |
Fund fundamentals data as of 07/06/2022. (c) 2022 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 |
---|---|
Arithmetic Mean (monthly) | 0.78% |
Arithmetic Mean (annualized) | 9.79% |
Geometric Mean (monthly) | 0.66% |
Geometric Mean (annualized) | 8.20% |
Standard Deviation (monthly) | 4.90% |
Standard Deviation (annualized) | 16.99% |
Downside Deviation (monthly) | 3.39% |
Maximum Drawdown | -55.47% |
Stock Market Correlation | 0.95 |
Beta(*) | 1.03 |
Alpha (annualized) | 1.17% |
R2 | 89.96% |
Sharpe Ratio | 0.46 |
Sortino Ratio | 0.65 |
Treynor Ratio (%) | 7.57 |
Calmar Ratio | 0.19 |
Active Return | 1.25% |
Tracking Error | 5.40% |
Information Ratio | 0.23 |
Skewness | -0.75 |
Excess Kurtosis | 2.52 |
Historical Value-at-Risk (5%) | -8.13% |
Analytical Value-at-Risk (5%) | -7.29% |
Conditional Value-at-Risk (5%) | -11.62% |
Upside Capture Ratio (%) | 105.05 |
Downside Capture Ratio (%) | 99.68 |
Safe Withdrawal Rate | 7.53% |
Perpetual Withdrawal Rate | 5.63% |
Positive Periods | 155 out of 252 (61.51%) |
Gain/Loss Ratio | 0.96 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 |
---|---|---|---|
Dotcom Crash | Mar 2000 | Oct 2002 | -24.09% |
Subprime Crisis | Nov 2007 | Mar 2009 | -55.47% |
COVID-19 Start | Jan 2020 | Mar 2020 | -28.67% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Apr 2011 | 2 years 2 months | 3 years 6 months | -55.47% |
2 | Jan 2020 | Mar 2020 | 3 months | Nov 2020 | 8 months | 11 months | -28.67% |
3 | Feb 2001 | Sep 2002 | 1 year 8 months | Sep 2003 | 1 year | 2 years 8 months | -24.09% |
4 | May 2011 | Sep 2011 | 5 months | Dec 2012 | 1 year 3 months | 1 year 8 months | -22.78% |
5 | Feb 2018 | Dec 2018 | 11 months | Dec 2019 | 1 year | 1 year 11 months | -16.08% |
6 | Jun 2015 | Feb 2016 | 9 months | Aug 2016 | 6 months | 1 year 3 months | -14.13% |
7 | Sep 2000 | Nov 2000 | 3 months | Jan 2001 | 2 months | 5 months | -9.55% |
8 | Mar 2005 | Apr 2005 | 2 months | Jul 2005 | 3 months | 5 months | -5.50% |
9 | May 2006 | Jun 2006 | 2 months | Oct 2006 | 4 months | 6 months | -5.27% |
10 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.37% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
VFINX | Vanguard 500 Index Investor | 6.50% | 15.18% | 32.18% | -37.02% | -50.97% | 0.39 | 0.55 | 0.99 |
VIVAX | Vanguard Value Index Inv | 6.42% | 15.47% | 32.85% | -35.97% | -54.86% | 0.38 | 0.53 | 0.94 |
VISVX | Vanguard Small Cap Value Index Inv | 9.52% | 19.47% | 37.19% | -32.05% | -56.13% | 0.49 | 0.69 | 0.90 |
VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 6.89% | 21.80% | 75.98% | -52.81% | -62.70% | 0.34 | 0.50 | 0.80 |
DEMSX | DFA Emerging Markets Small Cap I | 8.91% | 22.24% | 99.74% | -54.53% | -63.34% | 0.43 | 0.62 | 0.77 |
VTMGX | Vanguard Developed Markets Index Admiral | 3.78% | 17.14% | 38.67% | -41.27% | -57.06% | 0.21 | 0.29 | 0.88 |
VTRIX | Vanguard International Value Inv | 4.88% | 17.79% | 41.90% | -41.74% | -55.90% | 0.27 | 0.38 | 0.87 |
DISVX | DFA International Small Cap Value I | 8.79% | 18.56% | 66.48% | -41.68% | -57.69% | 0.46 | 0.67 | 0.80 |
Name | Total Return | Annualized Return | Expense Ratio | |||||
---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Net | Gross | |
Vanguard 500 Index Investor | 12.12% | 18.25% | 18.25% | 14.03% | 15.07% | 13.72% | 0.14% | 0.14% |
Vanguard Value Index Inv | 14.50% | 2.18% | 2.18% | 6.64% | 10.62% | 11.08% | 0.17% | 0.17% |
Vanguard Small Cap Value Index Inv | 29.31% | 5.72% | 5.72% | 4.35% | 9.60% | 9.93% | 0.19% | 0.19% |
Vanguard Emerging Mkts Stock Idx Inv | 16.81% | 15.05% | 15.05% | 5.64% | 11.51% | 2.95% | 0.29% | 0.29% |
DFA Emerging Markets Small Cap I | 19.43% | 13.80% | 13.80% | 2.53% | 10.09% | 3.74% | 0.60% | 0.80% |
Vanguard Developed Markets Index Admiral | 16.93% | 10.26% | 10.26% | 4.81% | 8.31% | 5.92% | 0.07% | 0.07% |
Vanguard International Value Inv | 23.57% | 8.99% | 8.99% | 3.90% | 8.43% | 5.08% | 0.36% | 0.36% |
DFA International Small Cap Value I | 19.81% | 0.81% | 0.81% | -2.20% | 5.27% | 5.49% | 0.42% | 0.42% |
Trailing returns as of last calendar month ending December 2020 |
Ticker | Name | VFINX | VIVAX | VISVX | VEIEX | DEMSX | VTMGX | VTRIX | DISVX | Portfolio 1 |
---|---|---|---|---|---|---|---|---|---|---|
VFINX | Vanguard 500 Index Investor | 1.00 | 0.96 | 0.87 | 0.78 | 0.75 | 0.87 | 0.87 | 0.78 | 0.93 |
VIVAX | Vanguard Value Index Inv | 0.96 | 1.00 | 0.89 | 0.74 | 0.73 | 0.86 | 0.86 | 0.78 | 0.93 |
VISVX | Vanguard Small Cap Value Index Inv | 0.87 | 0.89 | 1.00 | 0.74 | 0.73 | 0.81 | 0.82 | 0.79 | 0.94 |
VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 0.78 | 0.74 | 0.74 | 1.00 | 0.95 | 0.87 | 0.88 | 0.82 | 0.89 |
DEMSX | DFA Emerging Markets Small Cap I | 0.75 | 0.73 | 0.73 | 0.95 | 1.00 | 0.85 | 0.86 | 0.84 | 0.88 |
VTMGX | Vanguard Developed Markets Index Admiral | 0.87 | 0.86 | 0.81 | 0.87 | 0.85 | 1.00 | 0.97 | 0.92 | 0.94 |
VTRIX | Vanguard International Value Inv | 0.87 | 0.86 | 0.82 | 0.88 | 0.86 | 0.97 | 1.00 | 0.92 | 0.94 |
DISVX | DFA International Small Cap Value I | 0.78 | 0.78 | 0.79 | 0.82 | 0.84 | 0.92 | 0.92 | 1.00 | 0.90 |
Ticker | Name | Portfolio 1 |
---|---|---|
VFINX | Vanguard 500 Index Investor | $7,374 |
VIVAX | Vanguard Value Index Inv | $5,929 |
VISVX | Vanguard Small Cap Value Index Inv | $13,309 |
VEIEX | Vanguard Emerging Mkts Stock Idx Inv | $4,114 |
DEMSX | DFA Emerging Markets Small Cap I | $4,999 |
VTMGX | Vanguard Developed Markets Index Admiral | $1,391 |
VTRIX | Vanguard International Value Inv | $1,436 |
DISVX | DFA International Small Cap Value I | $3,747 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | Portfolio 1 |
---|---|---|
VFINX | Vanguard 500 Index Investor | 12.51% |
VIVAX | Vanguard Value Index Inv | 12.73% |
VISVX | Vanguard Small Cap Value Index Inv | 32.34% |
VEIEX | Vanguard Emerging Mkts Stock Idx Inv | 11.43% |
DEMSX | DFA Emerging Markets Small Cap I | 11.52% |
VTMGX | Vanguard Developed Markets Index Admiral | 4.72% |
VTRIX | Vanguard International Value Inv | 4.93% |
DISVX | DFA International Small Cap Value I | 9.82% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 9.34% | 74.76% | -48.01% |
3 years | 9.14% | 31.92% | -15.60% |
5 years | 9.23% | 24.09% | -3.43% |
7 years | 8.85% | 15.72% | 1.51% |
10 years | 8.64% | 14.99% | 5.27% |
15 years | 8.95% | 12.21% | 5.77% |