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 |
|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 90.00% |
| IJS | iShares S&P Small-Cap 600 Value ETF | 10.00% |
| 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 | $45,838 | 7.91% | 15.55% | 33.35% | -37.04% | -50.89% | 0.48 | 0.69 | 1.00 |
| Portfolio 2 | $10,000 | $47,131 | 8.06% | 15.83% | 33.95% | -36.27% | -50.87% | 0.48 | 0.69 | 1.00 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | 14.65% | 20.87% | 14.37% | 15.30% | 13.66% | 7.91% | 19.67% | 16.01% |
| Portfolio 2 | 16.02% | 19.05% | 13.30% | 14.85% | 13.34% | 8.06% | 20.27% | 16.52% |
| Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Vanguard Total Stock Mkt Idx Inv (VTSMX) | iShares S&P Small-Cap 600 Value ETF (IJS) | ||
|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | ||||
| 2001 | 1.55% | -10.97% | $8,903 | -8.70% | $9,130 | -10.97% | 11.68% |
| 2002 | 2.38% | -20.96% | $7,037 | -20.27% | $7,279 | -20.96% | -14.04% |
| 2003 | 1.88% | 31.35% | $9,244 | 32.19% | $9,623 | 31.35% | 39.76% |
| 2004 | 3.26% | 12.51% | $10,400 | 13.52% | $10,924 | 12.51% | 22.60% |
| 2005 | 3.42% | 5.98% | $11,022 | 5.98% | $11,578 | 5.98% | 6.00% |
| 2006 | 2.54% | 15.51% | $12,732 | 15.90% | $13,418 | 15.51% | 19.37% |
| 2007 | 4.08% | 5.49% | $13,431 | 4.38% | $14,006 | 5.49% | -5.56% |
| 2008 | 0.09% | -37.04% | $8,456 | -36.27% | $8,926 | -37.04% | -29.39% |
| 2009 | 2.72% | 28.70% | $10,883 | 28.06% | $11,431 | 28.70% | 22.36% |
| 2010 | 1.50% | 17.09% | $12,744 | 17.85% | $13,472 | 17.09% | 24.69% |
| 2011 | 2.96% | 0.96% | $12,866 | 0.70% | $13,566 | 0.96% | -1.65% |
| 2012 | 1.74% | 16.25% | $14,957 | 16.45% | $15,798 | 16.25% | 18.24% |
| 2013 | 1.50% | 33.35% | $19,946 | 33.95% | $21,161 | 33.35% | 39.34% |
| 2014 | 0.76% | 12.43% | $22,425 | 11.94% | $23,688 | 12.43% | 7.56% |
| 2015 | 0.73% | 0.29% | $22,491 | -0.43% | $23,588 | 0.29% | -6.90% |
| 2016 | 2.07% | 12.53% | $25,309 | 14.40% | $26,985 | 12.53% | 31.25% |
| 2017 | 2.11% | 21.05% | $30,637 | 20.08% | $32,404 | 21.05% | 11.35% |
| 2018 | 1.91% | -5.26% | $29,027 | -6.01% | $30,455 | -5.26% | -12.84% |
| 2019 | 2.29% | 30.65% | $37,923 | 30.00% | $39,591 | 30.65% | 24.12% |
| 2020 | 1.36% | 20.87% | $45,838 | 19.05% | $47,131 | 20.87% | 2.63% |
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Vanguard Total Stock Mkt Idx Inv (VTSMX) | iShares S&P Small-Cap 600 Value ETF (IJS) |
|---|---|---|---|---|---|
| 2001 | 1 | 3.83% | 4.23% | 3.83% | 7.86% |
| 2001 | 2 | -9.41% | -8.88% | -9.41% | -4.21% |
| 2001 | 3 | -6.72% | -6.53% | -6.72% | -4.94% |
| 2001 | 4 | 8.16% | 8.02% | 8.16% | 6.82% |
| 2001 | 5 | 1.01% | 1.22% | 1.01% | 2.91% |
| 2001 | 6 | -1.64% | -1.23% | -1.64% | 2.01% |
| 2001 | 7 | -1.71% | -1.54% | -1.71% | -0.22% |
| 2001 | 8 | -6.00% | -5.42% | -6.00% | -0.96% |
| 2001 | 9 | -9.00% | -9.67% | -9.00% | -14.53% |
| 2001 | 10 | 2.52% | 2.75% | 2.52% | 4.50% |
| 2001 | 11 | 7.63% | 7.62% | 7.63% | 7.55% |
| 2001 | 12 | 1.78% | 2.37% | 1.78% | 6.83% |
| 2002 | 1 | -1.24% | -0.90% | -1.24% | 2.14% |
| 2002 | 2 | -2.05% | -1.88% | -2.05% | -0.42% |
| 2002 | 3 | 4.38% | 4.83% | 4.38% | 8.72% |
| 2002 | 4 | -4.90% | -3.93% | -4.90% | 4.03% |
| 2002 | 5 | -1.22% | -1.50% | -1.22% | -3.63% |
| 2002 | 6 | -7.06% | -6.78% | -7.06% | -4.62% |
| 2002 | 7 | -8.02% | -8.93% | -8.02% | -15.78% |
| 2002 | 8 | 0.53% | 0.43% | 0.53% | -0.42% |
| 2002 | 9 | -10.07% | -9.83% | -10.07% | -7.91% |
| 2002 | 10 | 7.65% | 7.09% | 7.65% | 2.58% |
| 2002 | 11 | 6.06% | 6.00% | 6.06% | 5.50% |
| 2002 | 12 | -5.57% | -5.27% | -5.57% | -2.74% |
| 2003 | 1 | -2.54% | -2.69% | -2.54% | -4.05% |
| 2003 | 2 | -1.69% | -1.92% | -1.69% | -4.05% |
| 2003 | 3 | 1.09% | 0.97% | 1.09% | -0.15% |
| 2003 | 4 | 8.21% | 8.27% | 8.21% | 8.81% |
| 2003 | 5 | 6.11% | 6.42% | 6.11% | 9.42% |
| 2003 | 6 | 1.43% | 1.57% | 1.43% | 2.85% |
| 2003 | 7 | 2.36% | 2.61% | 2.36% | 4.91% |
| 2003 | 8 | 2.39% | 2.65% | 2.39% | 4.96% |
| 2003 | 9 | -1.15% | -1.39% | -1.15% | -3.51% |
| 2003 | 10 | 6.12% | 6.42% | 6.12% | 9.09% |
| 2003 | 11 | 1.38% | 1.69% | 1.38% | 4.30% |
| 2003 | 12 | 4.48% | 4.29% | 4.48% | 2.71% |
| 2004 | 1 | 2.23% | 2.23% | 2.23% | 2.17% |
| 2004 | 2 | 1.43% | 1.54% | 1.43% | 2.50% |
| 2004 | 3 | -1.07% | -0.78% | -1.07% | 1.82% |
| 2004 | 4 | -2.11% | -2.30% | -2.11% | -3.93% |
| 2004 | 5 | 1.35% | 1.37% | 1.35% | 1.58% |
| 2004 | 6 | 2.09% | 2.42% | 2.09% | 5.35% |
| 2004 | 7 | -3.80% | -3.90% | -3.80% | -4.75% |
| 2004 | 8 | 0.31% | 0.30% | 0.31% | 0.24% |
| 2004 | 9 | 1.74% | 2.05% | 1.74% | 4.69% |
| 2004 | 10 | 1.68% | 1.60% | 1.68% | 0.95% |
| 2004 | 11 | 4.68% | 5.15% | 4.68% | 9.11% |
| 2004 | 12 | 3.63% | 3.41% | 3.63% | 1.57% |
| 2005 | 1 | -2.68% | -2.73% | -2.68% | -3.25% |
| 2005 | 2 | 2.07% | 2.15% | 2.07% | 2.90% |
| 2005 | 3 | -1.75% | -1.81% | -1.75% | -2.36% |
| 2005 | 4 | -2.32% | -2.60% | -2.32% | -5.12% |
| 2005 | 5 | 3.77% | 4.00% | 3.77% | 6.16% |
| 2005 | 6 | 0.81% | 1.12% | 0.81% | 3.92% |
| 2005 | 7 | 4.11% | 4.28% | 4.11% | 5.84% |
| 2005 | 8 | -0.94% | -1.04% | -0.94% | -1.87% |
| 2005 | 9 | 0.86% | 0.77% | 0.86% | 0.05% |
| 2005 | 10 | -1.86% | -2.02% | -1.86% | -3.41% |
| 2005 | 11 | 3.97% | 4.07% | 3.97% | 4.91% |
| 2005 | 12 | 0.14% | 0.01% | 0.14% | -1.06% |
| 2006 | 1 | 3.50% | 4.03% | 3.50% | 8.75% |
| 2006 | 2 | 0.00% | 0.03% | 0.00% | 0.27% |
| 2006 | 3 | 1.80% | 2.12% | 1.80% | 4.86% |
| 2006 | 4 | 1.11% | 1.01% | 1.11% | 0.18% |
| 2006 | 5 | -3.23% | -3.38% | -3.23% | -4.55% |
| 2006 | 6 | 0.17% | 0.16% | 0.17% | 0.04% |
| 2006 | 7 | -0.13% | -0.44% | -0.13% | -3.10% |
| 2006 | 8 | 2.31% | 2.35% | 2.31% | 2.70% |
| 2006 | 9 | 2.27% | 2.16% | 2.27% | 1.19% |
| 2006 | 10 | 3.53% | 3.73% | 3.53% | 5.52% |
| 2006 | 11 | 2.23% | 2.25% | 2.23% | 2.38% |
| 2006 | 12 | 1.13% | 1.05% | 1.13% | 0.32% |
| 2007 | 1 | 1.88% | 1.90% | 1.88% | 2.14% |
| 2007 | 2 | -1.61% | -1.54% | -1.61% | -0.92% |
| 2007 | 3 | 1.11% | 1.09% | 1.11% | 0.91% |
| 2007 | 4 | 4.01% | 3.79% | 4.01% | 1.84% |
| 2007 | 5 | 3.69% | 3.78% | 3.69% | 4.63% |
| 2007 | 6 | -1.67% | -1.73% | -1.67% | -2.24% |
| 2007 | 7 | -3.41% | -3.69% | -3.41% | -6.26% |
| 2007 | 8 | 1.45% | 1.44% | 1.45% | 1.33% |
| 2007 | 9 | 3.59% | 3.28% | 3.59% | 0.31% |
| 2007 | 10 | 1.85% | 1.78% | 1.85% | 1.06% |
| 2007 | 11 | -4.49% | -4.73% | -4.49% | -7.15% |
| 2007 | 12 | -0.60% | -0.61% | -0.60% | -0.71% |
| 2008 | 1 | -6.08% | -5.87% | -6.08% | -4.00% |
| 2008 | 2 | -3.07% | -3.10% | -3.07% | -3.36% |
| 2008 | 3 | -0.58% | -0.44% | -0.58% | 0.83% |
| 2008 | 4 | 5.02% | 4.78% | 5.02% | 2.64% |
| 2008 | 5 | 2.09% | 2.28% | 2.09% | 3.92% |
| 2008 | 6 | -8.19% | -8.21% | -8.19% | -8.41% |
| 2008 | 7 | -0.77% | -0.40% | -0.77% | 2.87% |
| 2008 | 8 | 1.58% | 1.92% | 1.58% | 4.76% |
| 2008 | 9 | -9.26% | -8.78% | -9.26% | -4.82% |
| 2008 | 10 | -17.63% | -17.88% | -17.63% | -19.86% |
| 2008 | 11 | -7.90% | -8.33% | -7.90% | -11.80% |
| 2008 | 12 | 1.86% | 2.36% | 1.86% | 6.57% |
| 2009 | 1 | -8.26% | -8.83% | -8.26% | -13.94% |
| 2009 | 2 | -10.45% | -10.69% | -10.45% | -13.03% |
| 2009 | 3 | 8.65% | 8.56% | 8.65% | 7.58% |
| 2009 | 4 | 10.61% | 11.36% | 10.61% | 18.89% |
| 2009 | 5 | 5.38% | 4.92% | 5.38% | 0.67% |
| 2009 | 6 | 0.34% | 0.45% | 0.34% | 1.52% |
| 2009 | 7 | 7.82% | 8.12% | 7.82% | 11.00% |
| 2009 | 8 | 3.63% | 3.61% | 3.63% | 3.48% |
| 2009 | 9 | 4.23% | 4.22% | 4.23% | 4.21% |
| 2009 | 10 | -2.57% | -2.91% | -2.57% | -6.07% |
| 2009 | 11 | 5.63% | 5.37% | 5.63% | 2.90% |
| 2009 | 12 | 2.86% | 3.34% | 2.86% | 8.10% |
| 2010 | 1 | -3.50% | -3.40% | -3.50% | -2.54% |
| 2010 | 2 | 3.36% | 3.50% | 3.36% | 4.76% |
| 2010 | 3 | 6.27% | 6.43% | 6.27% | 7.80% |
| 2010 | 4 | 2.17% | 2.63% | 2.17% | 6.63% |
| 2010 | 5 | -8.00% | -8.06% | -8.00% | -8.54% |
| 2010 | 6 | -5.66% | -5.94% | -5.66% | -8.27% |
| 2010 | 7 | 6.99% | 6.97% | 6.99% | 6.71% |
| 2010 | 8 | -4.75% | -5.08% | -4.75% | -7.91% |
| 2010 | 9 | 9.47% | 9.62% | 9.47% | 10.93% |
| 2010 | 10 | 3.94% | 3.95% | 3.94% | 4.04% |
| 2010 | 11 | 0.58% | 0.77% | 0.58% | 2.47% |
| 2010 | 12 | 6.81% | 7.03% | 6.81% | 8.97% |
| 2011 | 1 | 2.19% | 1.94% | 2.19% | -0.24% |
| 2011 | 2 | 3.60% | 3.66% | 3.60% | 4.21% |
| 2011 | 3 | 0.45% | 0.62% | 0.45% | 2.21% |
| 2011 | 4 | 2.99% | 2.80% | 2.99% | 1.06% |
| 2011 | 5 | -1.16% | -1.22% | -1.16% | -1.77% |
| 2011 | 6 | -1.79% | -1.77% | -1.79% | -1.59% |
| 2011 | 7 | -2.28% | -2.33% | -2.28% | -2.77% |
| 2011 | 8 | -5.99% | -6.19% | -5.99% | -7.98% |
| 2011 | 9 | -7.75% | -8.02% | -7.75% | -10.57% |
| 2011 | 10 | 11.51% | 11.86% | 11.51% | 15.34% |
| 2011 | 11 | -0.29% | -0.20% | -0.29% | 0.63% |
| 2011 | 12 | 0.80% | 0.92% | 0.80% | 2.02% |
| 2012 | 1 | 5.08% | 5.36% | 5.08% | 7.90% |
| 2012 | 2 | 4.26% | 4.00% | 4.26% | 1.71% |
| 2012 | 3 | 3.07% | 3.05% | 3.07% | 2.89% |
| 2012 | 4 | -0.65% | -0.78% | -0.65% | -1.91% |
| 2012 | 5 | -6.24% | -6.33% | -6.24% | -7.18% |
| 2012 | 6 | 3.91% | 3.97% | 3.91% | 4.54% |
| 2012 | 7 | 1.03% | 0.86% | 1.03% | -0.69% |
| 2012 | 8 | 2.48% | 2.64% | 2.48% | 4.08% |
| 2012 | 9 | 2.58% | 2.63% | 2.58% | 3.14% |
| 2012 | 10 | -1.76% | -1.78% | -1.76% | -1.96% |
| 2012 | 11 | 0.74% | 0.83% | 0.74% | 1.65% |
| 2012 | 12 | 1.19% | 1.43% | 1.19% | 3.55% |
| 2013 | 1 | 5.50% | 5.48% | 5.50% | 5.35% |
| 2013 | 2 | 1.28% | 1.31% | 1.28% | 1.63% |
| 2013 | 3 | 3.88% | 3.91% | 3.88% | 4.11% |
| 2013 | 4 | 1.70% | 1.54% | 1.70% | 0.12% |
| 2013 | 5 | 2.32% | 2.52% | 2.32% | 4.29% |
| 2013 | 6 | -1.27% | -1.16% | -1.27% | -0.14% |
| 2013 | 7 | 5.49% | 5.59% | 5.49% | 6.56% |
| 2013 | 8 | -2.82% | -2.88% | -2.82% | -3.41% |
| 2013 | 9 | 3.66% | 3.96% | 3.66% | 6.59% |
| 2013 | 10 | 4.22% | 4.15% | 4.22% | 3.48% |
| 2013 | 11 | 2.88% | 3.02% | 2.88% | 4.25% |
| 2013 | 12 | 2.63% | 2.49% | 2.63% | 1.29% |
| 2014 | 1 | -3.11% | -3.15% | -3.11% | -3.51% |
| 2014 | 2 | 4.73% | 4.72% | 4.73% | 4.63% |
| 2014 | 3 | 0.51% | 0.60% | 0.51% | 1.34% |
| 2014 | 4 | 0.06% | -0.17% | 0.06% | -2.29% |
| 2014 | 5 | 2.17% | 2.02% | 2.17% | 0.62% |
| 2014 | 6 | 2.54% | 2.66% | 2.54% | 3.85% |
| 2014 | 7 | -1.98% | -2.28% | -1.98% | -5.07% |
| 2014 | 8 | 4.18% | 4.21% | 4.18% | 4.46% |
| 2014 | 9 | -2.14% | -2.50% | -2.14% | -5.94% |
| 2014 | 10 | 2.74% | 3.14% | 2.74% | 7.13% |
| 2014 | 11 | 2.41% | 2.23% | 2.41% | 0.48% |
| 2014 | 12 | -0.01% | 0.24% | -0.01% | 2.56% |
| 2015 | 1 | -2.77% | -3.03% | -2.77% | -5.32% |
| 2015 | 2 | 5.76% | 5.77% | 5.76% | 5.86% |
| 2015 | 3 | -1.04% | -0.84% | -1.04% | 1.03% |
| 2015 | 4 | 0.42% | 0.20% | 0.42% | -1.82% |
| 2015 | 5 | 1.39% | 1.33% | 1.39% | 0.75% |
| 2015 | 6 | -1.71% | -1.50% | -1.71% | 0.42% |
| 2015 | 7 | 1.63% | 1.20% | 1.63% | -2.70% |
| 2015 | 8 | -6.03% | -5.89% | -6.03% | -4.62% |
| 2015 | 9 | -2.93% | -3.01% | -2.93% | -3.77% |
| 2015 | 10 | 7.84% | 7.72% | 7.84% | 6.57% |
| 2015 | 11 | 0.54% | 0.72% | 0.54% | 2.47% |
| 2015 | 12 | -2.03% | -2.32% | -2.03% | -5.08% |
| 2016 | 1 | -5.67% | -5.69% | -5.67% | -5.85% |
| 2016 | 2 | -0.04% | 0.17% | -0.04% | 2.08% |
| 2016 | 3 | 7.01% | 7.26% | 7.01% | 9.41% |
| 2016 | 4 | 0.63% | 0.78% | 0.63% | 2.13% |
| 2016 | 5 | 1.79% | 1.65% | 1.79% | 0.44% |
| 2016 | 6 | 0.23% | 0.29% | 0.23% | 0.83% |
| 2016 | 7 | 3.95% | 4.07% | 3.95% | 5.06% |
| 2016 | 8 | 0.26% | 0.35% | 0.26% | 1.13% |
| 2016 | 9 | 0.15% | 0.23% | 0.15% | 0.87% |
| 2016 | 10 | -2.21% | -2.38% | -2.21% | -3.74% |
| 2016 | 11 | 4.44% | 5.38% | 4.44% | 13.34% |
| 2016 | 12 | 1.92% | 2.07% | 1.92% | 3.20% |
| 2017 | 1 | 1.91% | 1.60% | 1.91% | -1.21% |
| 2017 | 2 | 3.71% | 3.48% | 3.71% | 1.35% |
| 2017 | 3 | 0.07% | -0.00% | 0.07% | -0.65% |
| 2017 | 4 | 1.05% | 1.00% | 1.05% | 0.51% |
| 2017 | 5 | 1.01% | 0.70% | 1.01% | -2.26% |
| 2017 | 6 | 0.92% | 1.11% | 0.92% | 2.96% |
| 2017 | 7 | 1.87% | 1.76% | 1.87% | 0.75% |
| 2017 | 8 | 0.15% | -0.12% | 0.15% | -2.72% |
| 2017 | 9 | 2.45% | 3.00% | 2.45% | 8.58% |
| 2017 | 10 | 2.16% | 2.01% | 2.16% | 0.59% |
| 2017 | 11 | 3.04% | 3.11% | 3.04% | 3.76% |
| 2017 | 12 | 0.99% | 0.87% | 0.99% | -0.37% |
| 2018 | 1 | 5.31% | 4.91% | 5.31% | 1.33% |
| 2018 | 2 | -3.72% | -3.75% | -3.72% | -4.04% |
| 2018 | 3 | -1.99% | -1.67% | -1.99% | 1.37% |
| 2018 | 4 | 0.38% | 0.52% | 0.38% | 1.76% |
| 2018 | 5 | 2.79% | 3.10% | 2.79% | 5.87% |
| 2018 | 6 | 0.68% | 0.69% | 0.68% | 0.80% |
| 2018 | 7 | 3.34% | 3.26% | 3.34% | 2.62% |
| 2018 | 8 | 3.44% | 3.41% | 3.44% | 3.14% |
| 2018 | 9 | 0.16% | -0.17% | 0.16% | -3.05% |
| 2018 | 10 | -7.40% | -7.65% | -7.40% | -9.94% |
| 2018 | 11 | 2.06% | 1.92% | 2.06% | 0.57% |
| 2018 | 12 | -9.29% | -9.59% | -9.29% | -12.38% |
| 2019 | 1 | 8.59% | 8.95% | 8.59% | 12.26% |
| 2019 | 2 | 3.50% | 3.57% | 3.50% | 4.13% |
| 2019 | 3 | 1.44% | 0.88% | 1.44% | -3.91% |
| 2019 | 4 | 3.98% | 4.01% | 3.98% | 4.32% |
| 2019 | 5 | -6.45% | -6.80% | -6.45% | -9.98% |
| 2019 | 6 | 6.97% | 7.04% | 6.97% | 7.66% |
| 2019 | 7 | 1.44% | 1.42% | 1.44% | 1.30% |
| 2019 | 8 | -2.03% | -2.32% | -2.03% | -5.14% |
| 2019 | 9 | 1.70% | 2.06% | 1.70% | 5.57% |
| 2019 | 10 | 2.10% | 2.09% | 2.10% | 2.00% |
| 2019 | 11 | 3.77% | 3.67% | 3.77% | 2.71% |
| 2019 | 12 | 2.85% | 2.85% | 2.85% | 2.84% |
| 2020 | 1 | -0.08% | -0.70% | -0.08% | -6.31% |
| 2020 | 2 | -8.18% | -8.36% | -8.18% | -10.15% |
| 2020 | 3 | -13.78% | -14.89% | -13.78% | -25.76% |
| 2020 | 4 | 13.25% | 13.30% | 13.25% | 13.89% |
| 2020 | 5 | 5.38% | 5.15% | 5.38% | 2.55% |
| 2020 | 6 | 2.28% | 2.38% | 2.28% | 3.58% |
| 2020 | 7 | 5.64% | 5.39% | 5.64% | 2.58% |
| 2020 | 8 | 7.18% | 7.01% | 7.18% | 5.07% |
| 2020 | 9 | -3.57% | -3.70% | -3.57% | -5.18% |
| 2020 | 10 | -2.16% | -1.72% | -2.16% | 3.66% |
| 2020 | 11 | 12.19% | 12.75% | 12.19% | 19.21% |
| 2020 | 12 | 4.45% | 4.71% | 4.45% | 7.50% |
| Style Category | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Large-cap Value | 35.23% | 31.71% |
| Large-cap Growth | 46.60% | 41.94% |
| Mid-cap Value | 4.20% | 3.78% |
| Mid-cap Growth | 6.58% | 5.92% |
| Small-cap Value | 3.71% | 13.34% |
| Small-cap Growth | 2.72% | 2.45% |
| Global ex-US Developed Markets | 0.68% | 0.62% |
| Emerging Markets | 0.28% | 0.25% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 99.84% | 99.88% |
| 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 |
|---|---|---|---|---|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | Large Blend | 100.00% | 1.27% | 0.14% | 27.11 | $35,838 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | Large Blend | 90.00% | 1.27% | 0.14% | 27.11 | $34,041 | 88.22% |
| IJS | iShares S&P Small-Cap 600 Value ETF | Small Value | 10.00% | 0.94% | 0.18% | 18.03 | $3,090 | 11.78% |
| 100.00% | 1.24% | 0.14% | 26.21 | $37,131 | 100.00% |
Fund fundamentals data as of 02/26/2021. (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 |
|---|---|---|
| Arithmetic Mean (monthly) | 0.74% | 0.75% |
| Arithmetic Mean (annualized) | 9.23% | 9.43% |
| Geometric Mean (monthly) | 0.64% | 0.65% |
| Geometric Mean (annualized) | 7.91% | 8.06% |
| Volatility (monthly) | 4.49% | 4.57% |
| Volatility (annualized) | 15.55% | 15.83% |
| Downside Deviation (monthly) | 3.08% | 3.14% |
| Max. Drawdown | -50.89% | -50.87% |
| US Market Correlation | 1.00 | 1.00 |
| Beta(*) | 1.00 | 1.02 |
| Alpha (annualized) | 0.00% | 0.04% |
| R2 | 100.00% | 99.66% |
| Sharpe Ratio | 0.48 | 0.48 |
| Sortino Ratio | 0.69 | 0.69 |
| Treynor Ratio (%) | 7.48 | 7.54 |
| Calmar Ratio | 0.69 | 0.59 |
| Active Return | 0.00% | 0.15% |
| Tracking Error | 0.00% | 0.96% |
| Information Ratio | 0.01 | 0.16 |
| Skewness | -0.60 | -0.61 |
| Excess Kurtosis | 1.39 | 1.49 |
| Historical Value-at-Risk (5%) | -8.00% | -8.22% |
| Analytical Value-at-Risk (5%) | -6.65% | -6.75% |
| Conditional Value-at-Risk (5%) | -10.13% | -10.39% |
| Upside Capture Ratio (%) | 100.00 | 101.86 |
| Downside Capture Ratio (%) | 100.00 | 101.43 |
| Safe Withdrawal Rate | 5.81% | 6.09% |
| Perpetual Withdrawal Rate | 5.44% | 5.58% |
| Positive Periods | 157 out of 240 (65.42%) | 156 out of 240 (65.00%) |
| Gain/Loss Ratio | 0.80 | 0.83 |
| * 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 |
|---|---|---|---|---|
| Subprime Crisis | Nov 2007 | Mar 2009 | -50.89% | -50.87% |
| 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 | -50.89% |
| 2 | Feb 2001 | Sep 2002 | 1 year 8 months | Dec 2004 | 2 years 3 months | 3 years 11 months | -37.14% |
| 3 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -20.89% |
| 4 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -14.28% |
| 5 | Jun 2015 | Sep 2015 | 4 months | May 2016 | 8 months | 1 year | -8.88% |
| 6 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.85% |
| 7 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.45% |
| 8 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -5.65% |
| 9 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -5.64% |
| 10 | Jun 2007 | Jul 2007 | 2 months | Oct 2007 | 3 months | 5 months | -5.02% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Feb 2012 | 3 years | 4 years 4 months | -50.87% |
| 2 | Feb 2001 | Sep 2002 | 1 year 8 months | Nov 2004 | 2 years 2 months | 3 years 10 months | -35.05% |
| 3 | Jan 2020 | Mar 2020 | 3 months | Aug 2020 | 5 months | 8 months | -22.55% |
| 4 | Sep 2018 | Dec 2018 | 4 months | Apr 2019 | 4 months | 8 months | -15.05% |
| 5 | Jun 2015 | Jan 2016 | 8 months | May 2016 | 4 months | 1 year | -9.06% |
| 6 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -7.06% |
| 7 | May 2019 | May 2019 | 1 month | Jul 2019 | 2 months | 3 months | -6.80% |
| 8 | Jun 2007 | Jul 2007 | 2 months | Oct 2007 | 3 months | 5 months | -5.36% |
| 9 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -5.35% |
| 10 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -5.35% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 7.91% | 15.55% | 33.35% | -37.04% | -50.89% | 0.48 | 0.69 | 1.00 |
| IJS | iShares S&P Small-Cap 600 Value ETF | 8.97% | 20.34% | 39.76% | -29.39% | -54.13% | 0.46 | 0.66 | 0.89 |
| Ticker | Name | VTSMX | IJS | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 1.00 | 0.89 | 1.00 | 1.00 |
| IJS | iShares S&P Small-Cap 600 Value ETF | 0.89 | 1.00 | 0.89 | 0.92 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | $35,838 | $34,041 |
| IJS | iShares S&P Small-Cap 600 Value ETF | $3,090 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 100.00% | 88.22% |
| IJS | iShares S&P Small-Cap 600 Value ETF | 11.78% |
| Roll Period | Portfolio 1 | Portfolio 2 | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 9.10% | 56.25% | -43.18% | 9.16% | 57.25% | -43.11% |
| 3 years | 9.08% | 26.60% | -15.24% | 9.17% | 26.94% | -15.50% |
| 5 years | 8.74% | 23.85% | -6.23% | 8.82% | 24.18% | -6.16% |
| 7 years | 8.41% | 17.28% | -3.02% | 8.48% | 17.36% | -2.82% |
| 10 years | 8.71% | 16.73% | 2.29% | 8.79% | 16.81% | 2.80% |
| 15 years | 8.56% | 10.87% | 4.88% | 8.64% | 11.02% | 5.18% |