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 |
|---|---|---|
| VTI | Vanguard Total Stock Market ETF | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VBR | Vanguard Small-Cap Value ETF | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| DFSVX | DFA US Small Cap Value I | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $44,913 | 9.84% | 15.33% | 33.45% | -36.98% | -50.84% | 0.61 | 0.89 | 1.00 |
| Portfolio 2 | $10,000 | $34,231 | 7.99% | 19.75% | 36.55% | -32.20% | -55.89% | 0.43 | 0.61 | 0.94 |
| Portfolio 3 | $10,000 | $27,857 | 6.61% | 22.19% | 42.38% | -36.79% | -61.18% | 0.35 | 0.49 | 0.92 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | 14.75% | 21.03% | 14.45% | 15.44% | 13.77% | 9.84% | 19.56% | 15.94% |
| Portfolio 2 | 29.34% | 5.87% | 4.48% | 9.75% | 10.06% | 7.99% | 25.85% | 21.32% |
| Portfolio 3 | 32.66% | 2.23% | 0.82% | 7.10% | 7.98% | 6.61% | 28.96% | 24.34% |
| Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard Total Stock Market ETF (VTI) | Vanguard Small-Cap Value ETF (VBR) | DFA US Small Cap Value I (DFSVX) | |||
|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | |||||
| 2005 | 3.42% | 6.31% | $10,631 | 6.26% | $10,626 | 7.79% | $10,779 | 6.31% | 6.26% | 7.79% |
| 2006 | 2.54% | 15.69% | $12,299 | 19.49% | $12,696 | 21.55% | $13,102 | 15.69% | 19.49% | 21.55% |
| 2007 | 4.08% | 5.37% | $12,960 | -6.94% | $11,816 | -10.75% | $11,694 | 5.37% | -6.94% | -10.75% |
| 2008 | 0.09% | -36.98% | $8,168 | -32.20% | $8,011 | -36.79% | $7,392 | -36.98% | -32.20% | -36.79% |
| 2009 | 2.72% | 28.89% | $10,527 | 30.92% | $10,488 | 33.62% | $9,878 | 28.89% | 30.92% | 33.62% |
| 2010 | 1.50% | 17.42% | $12,362 | 25.10% | $13,121 | 30.90% | $12,930 | 17.42% | 25.10% | 30.90% |
| 2011 | 2.96% | 0.97% | $12,481 | -4.23% | $12,566 | -7.55% | $11,954 | 0.97% | -4.23% | -7.55% |
| 2012 | 1.74% | 16.45% | $14,535 | 18.98% | $14,951 | 21.72% | $14,551 | 16.45% | 18.98% | 21.72% |
| 2013 | 1.50% | 33.45% | $19,397 | 36.55% | $20,415 | 42.38% | $20,719 | 33.45% | 36.55% | 42.38% |
| 2014 | 0.76% | 12.54% | $21,830 | 10.55% | $22,570 | 3.48% | $21,440 | 12.54% | 10.55% | 3.48% |
| 2015 | 0.73% | 0.36% | $21,908 | -4.76% | $21,496 | -7.81% | $19,765 | 0.36% | -4.76% | -7.81% |
| 2016 | 2.07% | 12.83% | $24,718 | 24.90% | $26,848 | 28.26% | $25,351 | 12.83% | 24.90% | 28.26% |
| 2017 | 2.11% | 21.21% | $29,962 | 11.80% | $30,017 | 7.21% | $27,179 | 21.21% | 11.80% | 7.21% |
| 2018 | 1.91% | -5.21% | $28,400 | -12.26% | $26,338 | -15.13% | $23,068 | -5.21% | -12.26% | -15.13% |
| 2019 | 2.29% | 30.67% | $37,110 | 22.77% | $32,334 | 18.12% | $27,248 | 30.67% | 22.77% | 18.12% |
| 2020 | 1.36% | 21.03% | $44,913 | 5.87% | $34,231 | 2.23% | $27,857 | 21.03% | 5.87% | 2.23% |
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Portfolio 3 Return | Vanguard Total Stock Market ETF (VTI) | Vanguard Small-Cap Value ETF (VBR) | DFA US Small Cap Value I (DFSVX) |
|---|---|---|---|---|---|---|---|
| 2005 | 1 | -2.50% | -3.65% | -3.57% | -2.50% | -3.65% | -3.57% |
| 2005 | 2 | 2.09% | 2.40% | 2.70% | 2.09% | 2.40% | 2.70% |
| 2005 | 3 | -1.87% | -2.16% | -1.95% | -1.87% | -2.16% | -1.95% |
| 2005 | 4 | -2.20% | -5.03% | -7.28% | -2.20% | -5.03% | -7.28% |
| 2005 | 5 | 3.88% | 7.28% | 6.65% | 3.88% | 7.28% | 6.65% |
| 2005 | 6 | 0.76% | 3.56% | 4.17% | 0.76% | 3.56% | 4.17% |
| 2005 | 7 | 4.38% | 5.46% | 7.11% | 4.38% | 5.46% | 7.11% |
| 2005 | 8 | -1.09% | -2.01% | -1.67% | -1.09% | -2.01% | -1.67% |
| 2005 | 9 | 0.79% | 0.77% | 0.80% | 0.79% | 0.77% | 0.80% |
| 2005 | 10 | -2.35% | -3.22% | -2.92% | -2.35% | -3.22% | -2.92% |
| 2005 | 11 | 4.62% | 3.78% | 4.21% | 4.62% | 3.78% | 4.21% |
| 2005 | 12 | 0.02% | -0.24% | 0.34% | 0.02% | -0.24% | 0.34% |
| 2006 | 1 | 3.22% | 6.85% | 8.82% | 3.22% | 6.85% | 8.82% |
| 2006 | 2 | 0.22% | 0.51% | -0.35% | 0.22% | 0.51% | -0.35% |
| 2006 | 3 | 2.05% | 3.64% | 6.09% | 2.05% | 3.64% | 6.09% |
| 2006 | 4 | 0.96% | -0.04% | 0.98% | 0.96% | -0.04% | 0.98% |
| 2006 | 5 | -3.22% | -3.75% | -4.39% | -3.22% | -3.75% | -4.39% |
| 2006 | 6 | 0.13% | 1.00% | 0.05% | 0.13% | 1.00% | 0.05% |
| 2006 | 7 | -0.12% | -1.22% | -3.75% | -0.12% | -1.22% | -3.75% |
| 2006 | 8 | 2.30% | 2.13% | 1.95% | 2.30% | 2.13% | 1.95% |
| 2006 | 9 | 2.26% | 0.89% | 1.19% | 2.26% | 0.89% | 1.19% |
| 2006 | 10 | 3.53% | 4.64% | 5.43% | 3.53% | 4.64% | 5.43% |
| 2006 | 11 | 2.33% | 3.29% | 3.03% | 2.33% | 3.29% | 3.03% |
| 2006 | 12 | 1.20% | 0.42% | 1.38% | 1.20% | 0.42% | 1.38% |
| 2007 | 1 | 1.86% | 1.97% | 2.20% | 1.86% | 1.97% | 2.20% |
| 2007 | 2 | -1.62% | -0.59% | -0.23% | -1.62% | -0.59% | -0.23% |
| 2007 | 3 | 1.12% | 0.63% | 1.09% | 1.12% | 0.63% | 1.09% |
| 2007 | 4 | 4.02% | 1.72% | 1.81% | 4.02% | 1.72% | 1.81% |
| 2007 | 5 | 3.72% | 3.84% | 3.65% | 3.72% | 3.84% | 3.65% |
| 2007 | 6 | -1.76% | -2.29% | -1.55% | -1.76% | -2.29% | -1.55% |
| 2007 | 7 | -3.53% | -7.70% | -7.64% | -3.53% | -7.70% | -7.64% |
| 2007 | 8 | 1.47% | 1.66% | -0.76% | 1.47% | 1.66% | -0.76% |
| 2007 | 9 | 3.85% | 0.87% | -0.28% | 3.85% | 0.87% | -0.28% |
| 2007 | 10 | 1.79% | 1.60% | 1.11% | 1.79% | 1.60% | 1.11% |
| 2007 | 11 | -4.52% | -6.86% | -8.72% | -4.52% | -6.86% | -8.72% |
| 2007 | 12 | -0.70% | -1.31% | -1.20% | -0.70% | -1.31% | -1.20% |
| 2008 | 1 | -6.17% | -3.88% | -3.94% | -6.17% | -3.88% | -3.94% |
| 2008 | 2 | -2.50% | -2.62% | -2.84% | -2.50% | -2.62% | -2.84% |
| 2008 | 3 | -0.90% | -0.39% | 0.84% | -0.90% | -0.39% | 0.84% |
| 2008 | 4 | 4.89% | 4.68% | 1.66% | 4.89% | 4.68% | 1.66% |
| 2008 | 5 | 2.02% | 4.14% | 4.14% | 2.02% | 4.14% | 4.14% |
| 2008 | 6 | -8.12% | -11.36% | -10.10% | -8.12% | -11.36% | -10.10% |
| 2008 | 7 | -0.62% | 4.06% | 2.07% | -0.62% | 4.06% | 2.07% |
| 2008 | 8 | 1.46% | 3.60% | 4.15% | 1.46% | 3.60% | 4.15% |
| 2008 | 9 | -9.24% | -5.32% | -6.89% | -9.24% | -5.32% | -6.89% |
| 2008 | 10 | -17.48% | -21.96% | -22.14% | -17.48% | -21.96% | -22.14% |
| 2008 | 11 | -8.01% | -9.56% | -12.99% | -8.01% | -9.56% | -12.99% |
| 2008 | 12 | 1.78% | 4.46% | 5.25% | 1.78% | 4.46% | 5.25% |
| 2009 | 1 | -8.05% | -12.39% | -14.28% | -8.05% | -12.39% | -14.28% |
| 2009 | 2 | -10.53% | -14.01% | -12.71% | -10.53% | -14.01% | -12.71% |
| 2009 | 3 | 8.26% | 8.83% | 10.40% | 8.26% | 8.83% | 10.40% |
| 2009 | 4 | 10.99% | 19.56% | 19.66% | 10.99% | 19.56% | 19.66% |
| 2009 | 5 | 5.46% | 3.83% | 3.22% | 5.46% | 3.83% | 3.22% |
| 2009 | 6 | 0.36% | -0.09% | 0.35% | 0.36% | -0.09% | 0.35% |
| 2009 | 7 | 7.74% | 10.65% | 13.44% | 7.74% | 10.65% | 13.44% |
| 2009 | 8 | 3.71% | 6.18% | 5.14% | 3.71% | 6.18% | 5.14% |
| 2009 | 9 | 4.14% | 5.41% | 6.33% | 4.14% | 5.41% | 6.33% |
| 2009 | 10 | -2.63% | -6.09% | -7.53% | -2.63% | -6.09% | -7.53% |
| 2009 | 11 | 5.69% | 3.55% | 3.11% | 5.69% | 3.55% | 3.11% |
| 2009 | 12 | 2.86% | 6.92% | 7.92% | 2.86% | 6.92% | 7.92% |
| 2010 | 1 | -3.57% | -2.99% | -3.16% | -3.57% | -2.99% | -3.16% |
| 2010 | 2 | 3.44% | 5.01% | 6.15% | 3.44% | 5.01% | 6.15% |
| 2010 | 3 | 6.40% | 8.20% | 8.86% | 6.40% | 8.20% | 8.86% |
| 2010 | 4 | 2.18% | 6.23% | 8.11% | 2.18% | 6.23% | 8.11% |
| 2010 | 5 | -7.88% | -7.95% | -9.90% | -7.88% | -7.95% | -9.90% |
| 2010 | 6 | -5.83% | -8.16% | -10.14% | -5.83% | -8.16% | -10.14% |
| 2010 | 7 | 7.02% | 7.46% | 8.69% | 7.02% | 7.46% | 8.69% |
| 2010 | 8 | -4.71% | -6.66% | -8.38% | -4.71% | -6.66% | -8.38% |
| 2010 | 9 | 9.45% | 10.43% | 12.93% | 9.45% | 10.43% | 12.93% |
| 2010 | 10 | 4.03% | 3.60% | 4.17% | 4.03% | 3.60% | 4.17% |
| 2010 | 11 | 0.51% | 2.28% | 4.49% | 0.51% | 2.28% | 4.49% |
| 2010 | 12 | 6.96% | 7.69% | 9.18% | 6.96% | 7.69% | 9.18% |
| 2011 | 1 | 2.05% | 0.60% | 0.31% | 2.05% | 0.60% | 0.31% |
| 2011 | 2 | 3.70% | 4.70% | 6.28% | 3.70% | 4.70% | 6.28% |
| 2011 | 3 | 0.42% | 1.47% | 2.05% | 0.42% | 1.47% | 2.05% |
| 2011 | 4 | 2.90% | 2.34% | 1.26% | 2.90% | 2.34% | 1.26% |
| 2011 | 5 | -1.06% | -2.12% | -3.12% | -1.06% | -2.12% | -3.12% |
| 2011 | 6 | -1.79% | -2.08% | -1.81% | -1.79% | -2.08% | -1.81% |
| 2011 | 7 | -2.27% | -3.32% | -2.88% | -2.27% | -3.32% | -2.88% |
| 2011 | 8 | -6.09% | -8.19% | -10.58% | -6.09% | -8.19% | -10.58% |
| 2011 | 9 | -7.57% | -10.64% | -12.58% | -7.57% | -10.64% | -12.58% |
| 2011 | 10 | 11.37% | 14.43% | 15.82% | 11.37% | 14.43% | 15.82% |
| 2011 | 11 | -0.37% | -0.14% | -0.68% | -0.37% | -0.14% | -0.68% |
| 2011 | 12 | 0.98% | 0.82% | 1.01% | 0.98% | 0.82% | 1.01% |
| 2012 | 1 | 5.07% | 6.97% | 7.43% | 5.07% | 6.97% | 7.43% |
| 2012 | 2 | 4.22% | 2.55% | 3.18% | 4.22% | 2.55% | 3.18% |
| 2012 | 3 | 3.06% | 2.41% | 2.30% | 3.06% | 2.41% | 2.30% |
| 2012 | 4 | -0.64% | -0.99% | -1.60% | -0.64% | -0.99% | -1.60% |
| 2012 | 5 | -6.23% | -6.31% | -7.12% | -6.23% | -6.31% | -7.12% |
| 2012 | 6 | 4.05% | 4.47% | 4.38% | 4.05% | 4.47% | 4.38% |
| 2012 | 7 | 0.88% | -0.43% | -0.24% | 0.88% | -0.43% | -0.24% |
| 2012 | 8 | 2.70% | 2.99% | 4.21% | 2.70% | 2.99% | 4.21% |
| 2012 | 9 | 2.49% | 2.80% | 3.31% | 2.49% | 2.80% | 3.31% |
| 2012 | 10 | -1.81% | -0.70% | -0.82% | -1.81% | -0.70% | -0.82% |
| 2012 | 11 | 0.77% | 1.01% | 1.84% | 0.77% | 1.01% | 1.84% |
| 2012 | 12 | 1.29% | 3.34% | 3.72% | 1.29% | 3.34% | 3.72% |
| 2013 | 1 | 5.42% | 6.46% | 6.56% | 5.42% | 6.46% | 6.56% |
| 2013 | 2 | 1.28% | 1.62% | 1.75% | 1.28% | 1.62% | 1.75% |
| 2013 | 3 | 3.95% | 4.56% | 4.91% | 3.95% | 4.56% | 4.91% |
| 2013 | 4 | 1.61% | 0.09% | -1.11% | 1.61% | 0.09% | -1.11% |
| 2013 | 5 | 2.44% | 3.11% | 5.39% | 2.44% | 3.11% | 5.39% |
| 2013 | 6 | -1.43% | -1.27% | -0.70% | -1.43% | -1.27% | -0.70% |
| 2013 | 7 | 5.75% | 6.85% | 7.34% | 5.75% | 6.85% | 7.34% |
| 2013 | 8 | -3.03% | -4.17% | -4.17% | -3.03% | -4.17% | -4.17% |
| 2013 | 9 | 3.90% | 5.30% | 5.24% | 3.90% | 5.30% | 5.24% |
| 2013 | 10 | 4.27% | 3.92% | 3.51% | 4.27% | 3.92% | 3.51% |
| 2013 | 11 | 2.70% | 2.93% | 5.08% | 2.70% | 2.93% | 5.08% |
| 2013 | 12 | 2.73% | 2.74% | 2.72% | 2.73% | 2.74% | 2.72% |
| 2014 | 1 | -3.17% | -2.78% | -5.14% | -3.17% | -2.78% | -5.14% |
| 2014 | 2 | 4.87% | 4.97% | 5.45% | 4.87% | 4.97% | 5.45% |
| 2014 | 3 | 0.51% | 1.31% | 1.19% | 0.51% | 1.31% | 1.19% |
| 2014 | 4 | 0.06% | -1.13% | -1.93% | 0.06% | -1.13% | -1.93% |
| 2014 | 5 | 2.10% | 1.64% | 0.83% | 2.10% | 1.64% | 0.83% |
| 2014 | 6 | 2.62% | 4.32% | 4.44% | 2.62% | 4.32% | 4.44% |
| 2014 | 7 | -1.99% | -4.79% | -5.76% | -1.99% | -4.79% | -5.76% |
| 2014 | 8 | 4.15% | 5.12% | 5.83% | 4.15% | 5.12% | 5.83% |
| 2014 | 9 | -2.10% | -5.54% | -6.98% | -2.10% | -5.54% | -6.98% |
| 2014 | 10 | 2.75% | 4.85% | 4.61% | 2.75% | 4.85% | 4.61% |
| 2014 | 11 | 2.48% | 1.10% | -0.28% | 2.48% | 1.10% | -0.28% |
| 2014 | 12 | -0.04% | 1.79% | 2.29% | -0.04% | 1.79% | 2.29% |
| 2015 | 1 | -2.74% | -3.30% | -4.95% | -2.74% | -3.30% | -4.95% |
| 2015 | 2 | 5.74% | 5.66% | 5.90% | 5.74% | 5.66% | 5.90% |
| 2015 | 3 | -1.16% | 1.30% | 1.78% | -1.16% | 1.30% | 1.78% |
| 2015 | 4 | 0.62% | -1.30% | -1.34% | 0.62% | -1.30% | -1.34% |
| 2015 | 5 | 1.30% | 1.37% | 1.36% | 1.30% | 1.37% | 1.36% |
| 2015 | 6 | -1.67% | -1.51% | 0.05% | -1.67% | -1.51% | 0.05% |
| 2015 | 7 | 1.70% | -0.95% | -3.67% | 1.70% | -0.95% | -3.67% |
| 2015 | 8 | -6.09% | -4.84% | -4.04% | -6.09% | -4.84% | -4.04% |
| 2015 | 9 | -2.92% | -3.58% | -4.51% | -2.92% | -3.58% | -4.51% |
| 2015 | 10 | 7.91% | 6.63% | 5.28% | 7.91% | 6.63% | 5.28% |
| 2015 | 11 | 0.60% | 1.32% | 3.17% | 0.60% | 1.32% | 3.17% |
| 2015 | 12 | -2.13% | -4.90% | -6.20% | -2.13% | -4.90% | -6.20% |
| 2016 | 1 | -5.72% | -6.37% | -7.18% | -5.72% | -6.37% | -7.18% |
| 2016 | 2 | -0.01% | 1.50% | 1.17% | -0.01% | 1.50% | 1.17% |
| 2016 | 3 | 7.11% | 8.94% | 8.77% | 7.11% | 8.94% | 8.77% |
| 2016 | 4 | 0.66% | 2.10% | 1.80% | 0.66% | 2.10% | 1.80% |
| 2016 | 5 | 1.73% | 1.40% | 0.47% | 1.73% | 1.40% | 0.47% |
| 2016 | 6 | 0.27% | 0.15% | -1.16% | 0.27% | 0.15% | -1.16% |
| 2016 | 7 | 3.98% | 4.64% | 4.85% | 3.98% | 4.64% | 4.85% |
| 2016 | 8 | 0.21% | 0.73% | 1.74% | 0.21% | 0.73% | 1.74% |
| 2016 | 9 | 0.21% | 0.30% | 1.21% | 0.21% | 0.30% | 1.21% |
| 2016 | 10 | -2.19% | -2.92% | -3.14% | -2.19% | -2.92% | -3.14% |
| 2016 | 11 | 4.49% | 10.21% | 14.87% | 4.49% | 10.21% | 14.87% |
| 2016 | 12 | 1.98% | 2.86% | 3.41% | 1.98% | 2.86% | 3.41% |
| 2017 | 1 | 1.86% | 0.65% | -0.53% | 1.86% | 0.65% | -0.53% |
| 2017 | 2 | 3.69% | 2.01% | 0.32% | 3.69% | 2.01% | 0.32% |
| 2017 | 3 | 0.06% | -0.72% | -1.14% | 0.06% | -0.72% | -1.14% |
| 2017 | 4 | 1.06% | 0.40% | 0.46% | 1.06% | 0.40% | 0.46% |
| 2017 | 5 | 1.01% | -2.40% | -3.51% | 1.01% | -2.40% | -3.51% |
| 2017 | 6 | 0.95% | 2.44% | 2.59% | 0.95% | 2.44% | 2.59% |
| 2017 | 7 | 1.88% | 1.02% | 0.77% | 1.88% | 1.02% | 0.77% |
| 2017 | 8 | 0.15% | -1.46% | -2.55% | 0.15% | -1.46% | -2.55% |
| 2017 | 9 | 2.44% | 4.95% | 7.92% | 2.44% | 4.95% | 7.92% |
| 2017 | 10 | 2.17% | 0.86% | 0.96% | 2.17% | 0.86% | 0.96% |
| 2017 | 11 | 3.03% | 3.17% | 2.12% | 3.03% | 3.17% | 2.12% |
| 2017 | 12 | 1.16% | 0.50% | 0.03% | 1.16% | 0.50% | 0.03% |
| 2018 | 1 | 5.23% | 1.93% | 1.50% | 5.23% | 1.93% | 1.50% |
| 2018 | 2 | -3.76% | -4.74% | -4.68% | -3.76% | -4.74% | -4.68% |
| 2018 | 3 | -1.95% | 0.82% | 0.93% | -1.95% | 0.82% | 0.93% |
| 2018 | 4 | 0.45% | 0.40% | 1.32% | 0.45% | 0.40% | 1.32% |
| 2018 | 5 | 2.72% | 4.52% | 6.29% | 2.72% | 4.52% | 6.29% |
| 2018 | 6 | 0.70% | 0.36% | 0.06% | 0.70% | 0.36% | 0.06% |
| 2018 | 7 | 3.32% | 2.49% | 1.61% | 3.32% | 2.49% | 1.61% |
| 2018 | 8 | 3.43% | 2.41% | 2.84% | 3.43% | 2.41% | 2.84% |
| 2018 | 9 | 0.20% | -1.67% | -3.19% | 0.20% | -1.67% | -3.19% |
| 2018 | 10 | -7.41% | -9.05% | -9.41% | -7.41% | -9.05% | -9.41% |
| 2018 | 11 | 2.01% | 2.35% | 0.91% | 2.01% | 2.35% | 0.91% |
| 2018 | 12 | -9.16% | -11.41% | -12.79% | -9.16% | -11.41% | -12.79% |
| 2019 | 1 | 8.54% | 11.16% | 12.00% | 8.54% | 11.16% | 12.00% |
| 2019 | 2 | 3.56% | 3.99% | 3.27% | 3.56% | 3.99% | 3.27% |
| 2019 | 3 | 1.42% | -1.92% | -3.66% | 1.42% | -1.92% | -3.66% |
| 2019 | 4 | 3.93% | 3.91% | 4.04% | 3.93% | 3.91% | 4.04% |
| 2019 | 5 | -6.45% | -8.13% | -11.52% | -6.45% | -8.13% | -11.52% |
| 2019 | 6 | 7.08% | 6.84% | 7.77% | 7.08% | 6.84% | 7.77% |
| 2019 | 7 | 1.41% | 0.75% | 0.39% | 1.41% | 0.75% | 0.39% |
| 2019 | 8 | -2.08% | -5.44% | -8.00% | -2.08% | -5.44% | -8.00% |
| 2019 | 9 | 1.78% | 3.98% | 5.96% | 1.78% | 3.98% | 5.96% |
| 2019 | 10 | 2.11% | 1.75% | 1.83% | 2.11% | 1.75% | 1.83% |
| 2019 | 11 | 3.79% | 2.48% | 3.17% | 3.79% | 2.48% | 3.17% |
| 2019 | 12 | 2.80% | 2.78% | 3.92% | 2.80% | 2.78% | 3.92% |
| 2020 | 1 | -0.06% | -3.37% | -6.88% | -0.06% | -3.37% | -6.88% |
| 2020 | 2 | -8.00% | -10.18% | -10.79% | -8.00% | -10.18% | -10.79% |
| 2020 | 3 | -13.91% | -25.08% | -26.60% | -13.91% | -25.08% | -26.60% |
| 2020 | 4 | 13.13% | 13.11% | 15.81% | 13.13% | 13.11% | 15.81% |
| 2020 | 5 | 5.40% | 4.80% | 2.85% | 5.40% | 4.80% | 2.85% |
| 2020 | 6 | 2.29% | 2.05% | 2.65% | 2.29% | 2.05% | 2.65% |
| 2020 | 7 | 5.74% | 3.29% | 3.21% | 5.74% | 3.29% | 3.21% |
| 2020 | 8 | 7.10% | 4.63% | 5.58% | 7.10% | 4.63% | 5.58% |
| 2020 | 9 | -3.54% | -3.71% | -5.13% | -3.54% | -3.71% | -5.13% |
| 2020 | 10 | -1.95% | 3.14% | 3.95% | -1.95% | 3.14% | 3.95% |
| 2020 | 11 | 11.80% | 17.42% | 17.89% | 11.80% | 17.42% | 17.89% |
| 2020 | 12 | 4.68% | 6.80% | 8.25% | 4.68% | 6.80% | 8.25% |
| Style Category | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Large-cap Value | 35.06% | 10.57% | 0.00% |
| Large-cap Growth | 46.69% | 0.00% | 0.00% |
| Mid-cap Value | 4.00% | 36.56% | 3.78% |
| Mid-cap Growth | 6.62% | 0.00% | 0.00% |
| Small-cap Value | 3.94% | 47.90% | 95.15% |
| Small-cap Growth | 2.93% | 3.81% | 0.00% |
| Global ex-US Developed Markets | 0.09% | 0.48% | 0.00% |
| Emerging Markets | 0.67% | 0.69% | 1.07% |
| Corporate Bonds | 0.00% | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% | 0.00% |
| R Squared | 99.85% | 98.44% | 97.47% |
| 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 | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VTI | Vanguard Total Stock Market ETF | Large Blend | 100.00% | 1.34% | 0.03% | 27.11 | $34,913 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VBR | Vanguard Small-Cap Value ETF | Small Value | 100.00% | 1.67% | 0.07% | 18.30 | $24,231 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| DFSVX | DFA US Small Cap Value I | Small Value | 100.00% | 1.66% | 0.39% | 14.19 | $17,857 | 100.00% |
Fund fundamentals data as of 03/05/2021. (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 | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Arithmetic Mean (monthly) | 0.88% | 0.81% | 0.74% |
| Arithmetic Mean (annualized) | 11.14% | 10.16% | 9.31% |
| Geometric Mean (monthly) | 0.79% | 0.64% | 0.54% |
| Geometric Mean (annualized) | 9.84% | 7.99% | 6.61% |
| Volatility (monthly) | 4.43% | 5.70% | 6.41% |
| Volatility (annualized) | 15.33% | 19.75% | 22.19% |
| Downside Deviation (monthly) | 2.98% | 3.99% | 4.48% |
| Max. Drawdown | -50.84% | -55.89% | -61.18% |
| US Market Correlation | 1.00 | 0.94 | 0.92 |
| Beta(*) | 1.00 | 1.21 | 1.33 |
| Alpha (annualized) | 0.12% | -3.02% | -4.98% |
| R2 | 99.91% | 88.73% | 83.94% |
| Sharpe Ratio | 0.61 | 0.43 | 0.35 |
| Sortino Ratio | 0.89 | 0.61 | 0.49 |
| Treynor Ratio (%) | 9.36 | 6.97 | 5.79 |
| Calmar Ratio | 0.69 | 0.13 | 0.02 |
| Active Return | 0.13% | -1.72% | -3.10% |
| Tracking Error | 0.46% | 7.40% | 10.21% |
| Information Ratio | 0.28 | -0.23 | -0.30 |
| Skewness | -0.66 | -0.74 | -0.56 |
| Excess Kurtosis | 1.94 | 3.52 | 2.34 |
| Historical Value-at-Risk (5%) | -7.71% | -8.58% | -10.34% |
| Analytical Value-at-Risk (5%) | -6.40% | -8.57% | -9.79% |
| Conditional Value-at-Risk (5%) | -10.04% | -13.57% | -14.70% |
| Upside Capture Ratio (%) | 100.61 | 111.58 | 119.98 |
| Downside Capture Ratio (%) | 100.18 | 123.73 | 140.48 |
| Safe Withdrawal Rate | 8.57% | 8.49% | 8.07% |
| Perpetual Withdrawal Rate | 7.16% | 5.57% | 4.34% |
| Positive Periods | 130 out of 192 (67.71%) | 124 out of 192 (64.58%) | 122 out of 192 (63.54%) |
| Gain/Loss Ratio | 0.81 | 0.81 | 0.79 |
| * 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 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|
| Subprime Crisis | Nov 2007 | Mar 2009 | -50.84% | -53.06% | -57.34% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2012 | 3 years 1 month | 4 years 5 months | -50.84% |
| 2 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -20.84% |
| 3 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -14.20% |
| 4 | Jun 2015 | Sep 2015 | 4 months | May 2016 | 8 months | 1 year | -8.84% |
| 5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.82% |
| 6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.45% |
| 7 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -5.64% |
| 8 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -5.42% |
| 9 | Jun 2007 | Jul 2007 | 2 months | Oct 2007 | 3 months | 5 months | -5.23% |
| 10 | Jan 2005 | Apr 2005 | 4 months | Jul 2005 | 3 months | 7 months | -4.48% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 2 years | 3 years 9 months | -55.89% |
| 2 | Sep 2018 | Mar 2020 | 1 year 7 months | Dec 2020 | 9 months | 2 years 4 months | -35.27% |
| 3 | May 2011 | Sep 2011 | 5 months | Sep 2012 | 1 year | 1 year 5 months | -23.99% |
| 4 | Jun 2015 | Jan 2016 | 8 months | Jul 2016 | 6 months | 1 year 2 months | -13.89% |
| 5 | Jan 2005 | Apr 2005 | 4 months | Jun 2005 | 2 months | 6 months | -8.32% |
| 6 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -5.54% |
| 7 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -4.79% |
| 8 | Feb 2018 | Feb 2018 | 1 month | May 2018 | 3 months | 4 months | -4.74% |
| 9 | Aug 2005 | Oct 2005 | 3 months | Jan 2006 | 3 months | 6 months | -4.44% |
| 10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -4.17% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Dec 2012 | 3 years 10 months | 5 years 7 months | -61.18% |
| 2 | Sep 2018 | Mar 2020 | 1 year 7 months | -44.41% | |||
| 3 | Jul 2015 | Jan 2016 | 7 months | Sep 2016 | 8 months | 1 year 3 months | -16.52% |
| 4 | Jan 2005 | Apr 2005 | 4 months | Jun 2005 | 2 months | 6 months | -9.97% |
| 5 | May 2006 | Jul 2006 | 3 months | Oct 2006 | 3 months | 6 months | -7.92% |
| 6 | Jul 2014 | Sep 2014 | 3 months | Mar 2015 | 6 months | 9 months | -7.23% |
| 7 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -5.14% |
| 8 | Feb 2018 | Feb 2018 | 1 month | May 2018 | 3 months | 4 months | -4.68% |
| 9 | Jan 2017 | May 2017 | 5 months | Sep 2017 | 4 months | 9 months | -4.37% |
| 10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -4.17% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VTI | Vanguard Total Stock Market ETF | 9.84% | 15.33% | 33.45% | -36.98% | -50.84% | 0.61 | 0.89 | 1.00 |
| VBR | Vanguard Small-Cap Value ETF | 7.99% | 19.75% | 36.55% | -32.20% | -55.89% | 0.43 | 0.61 | 0.94 |
| DFSVX | DFA US Small Cap Value I | 6.61% | 22.19% | 42.38% | -36.79% | -61.18% | 0.35 | 0.49 | 0.92 |
| Ticker | Name | VTI | VBR | DFSVX | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|---|---|
| VTI | Vanguard Total Stock Market ETF | 1.00 | 0.94 | 0.92 | 1.00 | 0.94 | 0.92 |
| VBR | Vanguard Small-Cap Value ETF | 0.94 | 1.00 | 0.98 | 0.94 | 1.00 | 0.98 |
| DFSVX | DFA US Small Cap Value I | 0.92 | 0.98 | 1.00 | 0.92 | 0.98 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VTI | Vanguard Total Stock Market ETF | $34,913 | ||
| VBR | Vanguard Small-Cap Value ETF | $24,231 | ||
| DFSVX | DFA US Small Cap Value I | $17,857 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VTI | Vanguard Total Stock Market ETF | 100.00% | ||
| VBR | Vanguard Small-Cap Value ETF | 100.00% | ||
| DFSVX | DFA US Small Cap Value I | 100.00% |
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 10.32% | 56.27% | -43.33% | 8.52% | 77.06% | -45.43% | 7.60% | 83.57% | -49.32% |
| 3 years | 9.07% | 26.70% | -15.14% | 7.83% | 31.70% | -19.13% | 6.48% | 33.80% | -22.07% |
| 5 years | 9.91% | 23.99% | -0.58% | 9.27% | 28.12% | -2.09% | 8.08% | 30.23% | -5.43% |
| 7 years | 10.57% | 17.40% | 3.22% | 9.97% | 19.05% | 3.16% | 8.86% | 18.88% | 0.05% |
| 10 years | 10.25% | 16.86% | 6.50% | 9.60% | 17.57% | 5.89% | 8.43% | 17.04% | 4.16% |
| 15 years | 9.06% | 10.08% | 7.62% | 6.89% | 8.16% | 5.33% | 5.37% | 6.91% | 3.65% |