Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. 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.

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Portfolio Assets 
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Portfolio Analysis Results (Jan 2006 - Aug 2021)

Portfolio Allocations

Vanguard Total Stock Market ETF
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
iShares Select Dividend ETF
Ticker Name Allocation
DVY iShares Select Dividend ETF 100.00%
Save portfolio »
SPDR S&P Dividend ETF
Ticker Name Allocation
SDY SPDR S&P Dividend ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total Stock Market ETF$10,000$50,934 10.95% 15.41%33.45%-36.98%-50.84% 0.681.011.00
iShares Select Dividend ETF$10,000$33,991 8.12% 15.27%28.85%-32.87%-57.39% 0.520.710.85
SPDR S&P Dividend ETF$10,000$41,623 9.53% 14.86%30.07%-22.83%-49.29% 0.620.900.88
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard Total Stock Market ETF7.24%20.56%33.44%17.90%18.00%16.21%10.95%19.25%15.51%
iShares Select Dividend ETF-0.98%25.67%45.69%9.63%10.50%12.67%8.12%20.82%16.49%
SPDR S&P Dividend ETF-0.54%18.57%32.52%11.17%11.33%13.34%9.53%18.17%14.78%
Trailing annualized return and volatility are for full months ending in August 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to August
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETFVanguard Total Stock Market ETF (VTI)iShares Select Dividend ETF (DVY)SPDR S&P Dividend ETF (SDY)
ReturnBalanceReturnBalanceReturnBalance
20062.54%15.69%$11,56919.44%$11,94417.71%$11,77115.69%19.44%17.71%
20074.08%5.37%$12,191-5.67%$11,266-6.74%$10,9785.37%-5.67%-6.74%
20080.09%-36.98%$7,683-32.87%$7,563-22.83%$8,471-36.98%-32.87%-22.83%
20092.72%28.89%$9,90311.14%$8,40619.21%$10,09828.89%11.14%19.21%
20101.50%17.42%$11,62817.79%$9,90216.40%$11,75517.42%17.79%16.40%
20112.96%0.97%$11,74111.81%$11,0717.13%$12,5930.97%11.81%7.13%
20121.74%16.45%$13,67210.48%$12,23111.61%$14,05516.45%10.48%11.61%
20131.50%33.45%$18,24628.85%$15,75930.07%$18,28233.45%28.85%30.07%
20140.76%12.54%$20,53514.86%$18,10113.80%$20,80412.54%14.86%13.80%
20150.73%0.36%$20,608-2.07%$17,726-0.73%$20,6520.36%-2.07%-0.73%
20162.07%12.83%$23,25221.65%$21,56420.29%$24,84212.83%21.65%20.29%
20172.11%21.21%$28,18414.83%$24,76215.78%$28,76221.21%14.83%15.78%
20181.91%-5.21%$26,715-6.32%$23,197-2.74%$27,974-5.21%-6.32%-2.74%
20192.29%30.67%$34,90822.62%$28,44523.28%$34,48830.67%22.62%23.28%
20201.36%21.03%$42,248-4.91%$27,0481.79%$35,10621.03%-4.91%1.79%
20215.03%20.56%$50,93425.67%$33,99118.57%$41,62320.56%25.67%18.57%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETFVanguard Total Stock Market ETF (VTI)iShares Select Dividend ETF (DVY)SPDR S&P Dividend ETF (SDY)
ReturnBalanceReturnBalanceReturnBalance
200613.22%$10,3221.73%$10,1732.23%$10,2233.22%1.73%2.23%
200620.22%$10,3451.64%$10,3400.69%$10,2940.22%1.64%0.69%
200632.05%$10,557-0.12%$10,3270.59%$10,3552.05%-0.12%0.59%
200640.96%$10,6582.07%$10,5411.97%$10,5590.96%2.07%1.97%
20065-3.22%$10,314-1.39%$10,394-1.76%$10,373-3.22%-1.39%-1.76%
200660.13%$10,3280.83%$10,4810.69%$10,4440.13%0.83%0.69%
20067-0.12%$10,3153.31%$10,8282.65%$10,721-0.12%3.31%2.65%
200682.30%$10,5521.14%$10,9512.23%$10,9612.30%1.14%2.23%
200692.26%$10,7911.68%$11,1351.31%$11,1052.26%1.68%1.31%
2006103.53%$11,1723.34%$11,5073.06%$11,4443.53%3.34%3.06%
2006112.33%$11,4321.63%$11,6950.81%$11,5372.33%1.63%0.81%
2006121.20%$11,5692.13%$11,9442.03%$11,7711.20%2.13%2.03%
200711.86%$11,7850.99%$12,0620.81%$11,8671.86%0.99%0.81%
20072-1.62%$11,593-0.62%$11,9880.30%$11,903-1.62%-0.62%0.30%
200731.12%$11,7231.43%$12,1590.21%$11,9281.12%1.43%0.21%
200744.02%$12,1952.77%$12,4962.91%$12,2754.02%2.77%2.91%
200753.72%$12,6491.97%$12,7432.18%$12,5433.72%1.97%2.18%
20076-1.76%$12,426-3.22%$12,333-3.86%$12,058-1.76%-3.22%-3.86%
20077-3.53%$11,987-5.83%$11,614-5.04%$11,451-3.53%-5.83%-5.04%
200781.47%$12,1642.05%$11,8532.83%$11,7751.47%2.05%2.83%
200793.85%$12,6321.17%$11,991-0.57%$11,7083.85%1.17%-0.57%
2007101.79%$12,8580.07%$12,000-0.85%$11,6091.79%0.07%-0.85%
200711-4.52%$12,277-2.80%$11,664-2.97%$11,264-4.52%-2.80%-2.97%
200712-0.70%$12,191-3.41%$11,266-2.54%$10,978-0.70%-3.41%-2.54%
20081-6.17%$11,4390.19%$11,2870.15%$10,994-6.17%0.19%0.15%
20082-2.50%$11,154-8.39%$10,340-6.67%$10,260-2.50%-8.39%-6.67%
20083-0.90%$11,054-1.13%$10,2231.08%$10,371-0.90%-1.13%1.08%
200844.89%$11,5942.59%$10,4882.83%$10,6654.89%2.59%2.83%
200852.02%$11,827-1.89%$10,2900.00%$10,6652.02%-1.89%0.00%
20086-8.12%$10,867-14.42%$8,807-15.03%$9,063-8.12%-14.42%-15.03%
20087-0.62%$10,7994.18%$9,1755.42%$9,554-0.62%4.18%5.42%
200881.46%$10,9573.76%$9,5203.67%$9,9041.46%3.76%3.67%
20089-9.24%$9,9451.01%$9,6163.93%$10,294-9.24%1.01%3.93%
200810-17.48%$8,207-11.46%$8,514-11.54%$9,106-17.48%-11.46%-11.54%
200811-8.01%$7,549-8.91%$7,756-6.42%$8,521-8.01%-8.91%-6.42%
2008121.78%$7,683-2.48%$7,563-0.59%$8,4711.78%-2.48%-0.59%
20091-8.05%$7,065-15.67%$6,378-13.37%$7,339-8.05%-15.67%-13.37%
20092-10.53%$6,321-14.88%$5,429-13.33%$6,361-10.53%-14.88%-13.33%
200938.26%$6,8447.08%$5,81412.17%$7,1358.26%7.08%12.17%
2009410.99%$7,59611.50%$6,48213.60%$8,10510.99%11.50%13.60%
200955.46%$8,0112.58%$6,6490.63%$8,1565.46%2.58%0.63%
200960.36%$8,040-0.12%$6,641-0.30%$8,1320.36%-0.12%-0.30%
200977.74%$8,6629.67%$7,2849.72%$8,9227.74%9.67%9.72%
200983.71%$8,9833.30%$7,5243.77%$9,2593.71%3.30%3.77%
200994.14%$9,3554.00%$7,8253.00%$9,5374.14%4.00%3.00%
200910-2.63%$9,109-1.38%$7,717-1.36%$9,407-2.63%-1.38%-1.36%
2009115.69%$9,6275.36%$8,1304.71%$9,8505.69%5.36%4.71%
2009122.86%$9,9033.40%$8,4062.52%$10,0982.86%3.40%2.52%
20101-3.57%$9,550-2.76%$8,175-2.42%$9,854-3.57%-2.76%-2.42%
201023.44%$9,8783.04%$8,4244.01%$10,2493.44%3.04%4.01%
201036.40%$10,5105.55%$8,8915.86%$10,8506.40%5.55%5.86%
201042.18%$10,7393.17%$9,1732.09%$11,0772.18%3.17%2.09%
20105-7.88%$9,893-6.93%$8,538-6.79%$10,324-7.88%-6.93%-6.79%
20106-5.83%$9,316-3.05%$8,277-2.95%$10,020-5.83%-3.05%-2.95%
201077.02%$9,9707.28%$8,8807.42%$10,7637.02%7.28%7.42%
20108-4.71%$9,500-3.10%$8,605-4.27%$10,304-4.71%-3.10%-4.27%
201099.45%$10,3987.17%$9,2229.08%$11,2399.45%7.17%9.08%
2010104.03%$10,8162.65%$9,4661.75%$11,4374.03%2.65%1.75%
2010110.51%$10,872-0.67%$9,403-0.80%$11,3450.51%-0.67%-0.80%
2010126.96%$11,6285.31%$9,9023.61%$11,7556.96%5.31%3.61%
201112.05%$11,8660.24%$9,9260.37%$11,7982.05%0.24%0.37%
201123.70%$12,3052.80%$10,2043.49%$12,2093.70%2.80%3.49%
201130.42%$12,3562.38%$10,4471.02%$12,3340.42%2.38%1.02%
201142.90%$12,7142.93%$10,7542.40%$12,6302.90%2.93%2.40%
20115-1.06%$12,5790.84%$10,844-0.16%$12,609-1.06%0.84%-0.16%
20116-1.79%$12,354-1.30%$10,702-1.57%$12,411-1.79%-1.30%-1.57%
20117-2.27%$12,074-2.99%$10,383-3.50%$11,977-2.27%-2.99%-3.50%
20118-6.09%$11,339-0.74%$10,306-0.67%$11,897-6.09%-0.74%-0.67%
20119-7.57%$10,480-4.42%$9,851-5.52%$11,240-7.57%-4.42%-5.52%
20111011.37%$11,6718.02%$10,6419.39%$12,29611.37%8.02%9.39%
201111-0.37%$11,6271.38%$10,7881.30%$12,456-0.37%1.38%1.30%
2011120.98%$11,7412.62%$11,0711.10%$12,5930.98%2.62%1.10%
201215.07%$12,3360.02%$11,0731.78%$12,8185.07%0.02%1.78%
201224.22%$12,8563.05%$11,4111.97%$13,0704.22%3.05%1.97%
201233.06%$13,2501.89%$11,6262.03%$13,3353.06%1.89%2.03%
20124-0.64%$13,1661.30%$11,7780.04%$13,340-0.64%1.30%0.04%
20125-6.23%$12,346-3.16%$11,406-3.71%$12,845-6.23%-3.16%-3.71%
201264.05%$12,8463.33%$11,7862.82%$13,2084.05%3.33%2.82%
201270.88%$12,9592.03%$12,0251.47%$13,4030.88%2.03%1.47%
201282.70%$13,309-0.28%$11,9911.22%$13,5672.70%-0.28%1.22%
201292.49%$13,6411.81%$12,2082.47%$13,9022.49%1.81%2.47%
201210-1.81%$13,3940.26%$12,240-0.28%$13,863-1.81%0.26%-0.28%
2012110.77%$13,498-0.33%$12,2000.86%$13,9830.77%-0.33%0.86%
2012121.29%$13,6720.25%$12,2310.51%$14,0551.29%0.25%0.51%
201315.42%$14,4135.05%$12,8486.43%$14,9595.42%5.05%6.43%
201321.28%$14,5971.60%$13,0532.18%$15,2851.28%1.60%2.18%
201333.95%$15,1734.71%$13,6694.90%$16,0343.95%4.71%4.90%
201341.61%$15,4173.26%$14,1151.91%$16,3411.61%3.26%1.91%
201352.44%$15,794-1.28%$13,9340.37%$16,4012.44%-1.28%0.37%
20136-1.43%$15,568-0.12%$13,917-1.15%$16,212-1.43%-0.12%-1.15%
201375.75%$16,4625.51%$14,6845.78%$17,1495.75%5.51%5.78%
20138-3.03%$15,963-4.19%$14,069-4.59%$16,361-3.03%-4.19%-4.59%
201393.90%$16,5863.34%$14,5393.63%$16,9553.90%3.34%3.63%
2013104.27%$17,2935.22%$15,2984.93%$17,7914.27%5.22%4.93%
2013112.70%$17,7610.53%$15,3790.97%$17,9632.70%0.53%0.97%
2013122.73%$18,2462.47%$15,7591.77%$18,2822.73%2.47%1.77%
20141-3.17%$17,667-2.65%$15,342-3.00%$17,733-3.17%-2.65%-3.00%
201424.87%$18,5273.64%$15,9013.72%$18,3924.87%3.64%3.72%
201430.51%$18,6212.70%$16,3301.25%$18,6220.51%2.70%1.25%
201440.06%$18,6332.07%$16,6681.51%$18,9030.06%2.07%1.51%
201452.10%$19,0240.57%$16,7641.06%$19,1032.10%0.57%1.06%
201462.62%$19,5243.07%$17,2782.05%$19,4962.62%3.07%2.05%
20147-1.99%$19,134-4.34%$16,529-3.63%$18,788-1.99%-4.34%-3.63%
201484.15%$19,9284.07%$17,2024.25%$19,5874.15%4.07%4.25%
20149-2.10%$19,510-2.87%$16,709-2.04%$19,188-2.10%-2.87%-2.04%
2014102.75%$20,0465.81%$17,6794.86%$20,1202.75%5.81%4.86%
2014112.48%$20,5430.95%$17,8472.94%$20,7112.48%0.95%2.94%
201412-0.04%$20,5351.42%$18,1010.45%$20,804-0.04%1.42%0.45%
20151-2.74%$19,973-0.50%$18,009-2.40%$20,305-2.74%-0.50%-2.40%
201525.74%$21,1200.56%$18,1103.07%$20,9285.74%0.56%3.07%
20153-1.16%$20,876-1.13%$17,905-0.86%$20,749-1.16%-1.13%-0.86%
201540.62%$21,0040.50%$17,994-0.66%$20,6110.62%0.50%-0.66%
201551.30%$21,2770.08%$18,0081.00%$20,8181.30%0.08%1.00%
20156-1.67%$20,920-3.32%$17,410-2.24%$20,351-1.67%-3.32%-2.24%
201571.70%$21,2761.56%$17,6811.73%$20,7041.70%1.56%1.73%
20158-6.09%$19,980-3.72%$17,023-4.99%$19,670-6.09%-3.72%-4.99%
20159-2.92%$19,396-0.10%$17,005-1.37%$19,400-2.92%-0.10%-1.37%
2015107.91%$20,9315.66%$17,9687.75%$20,9037.91%5.66%7.75%
2015110.60%$21,0560.10%$17,9870.21%$20,9460.60%0.10%0.21%
201512-2.13%$20,608-1.45%$17,726-1.40%$20,652-2.13%-1.45%-1.40%
20161-5.72%$19,429-0.92%$17,563-1.90%$20,259-5.72%-0.92%-1.90%
20162-0.01%$19,4272.89%$18,0713.03%$20,874-0.01%2.89%3.03%
201637.11%$20,8087.44%$19,4158.11%$22,5677.11%7.44%8.11%
201640.66%$20,9450.45%$19,5030.95%$22,7820.66%0.45%0.95%
201651.73%$21,3091.05%$19,7081.38%$23,0951.73%1.05%1.38%
201660.27%$21,3673.70%$20,4373.23%$23,8400.27%3.70%3.23%
201673.98%$22,2162.01%$20,8472.82%$24,5143.98%2.01%2.82%
201680.21%$22,262-1.01%$20,636-0.73%$24,3350.21%-1.01%-0.73%
201690.21%$22,3080.32%$20,701-0.93%$24,1080.21%0.32%-0.93%
201610-2.19%$21,819-1.91%$20,305-3.47%$23,271-2.19%-1.91%-3.47%
2016114.49%$22,7993.78%$21,0734.63%$24,3484.49%3.78%4.63%
2016121.98%$23,2522.33%$21,5642.03%$24,8421.98%2.33%2.03%
201711.86%$23,6831.34%$21,8540.72%$25,0221.86%1.34%0.72%
201723.69%$24,5582.82%$22,4703.01%$25,7743.69%2.82%3.01%
201730.06%$24,572-0.52%$22,352-0.22%$25,7170.06%-0.52%-0.22%
201741.06%$24,8330.44%$22,4500.59%$25,8691.06%0.44%0.59%
201751.01%$25,0840.78%$22,6240.09%$25,8921.01%0.78%0.09%
201760.95%$25,3220.79%$22,8030.74%$26,0830.95%0.79%0.74%
201771.88%$25,7980.61%$22,9411.14%$26,3791.88%0.61%1.14%
201780.15%$25,837-0.78%$22,763-0.91%$26,1390.15%-0.78%-0.91%
201792.44%$26,4672.53%$23,3393.12%$26,9532.44%2.53%3.12%
2017102.17%$27,0411.17%$23,6131.26%$27,2922.17%1.17%1.26%
2017113.03%$27,8614.05%$24,5704.15%$28,4263.03%4.05%4.15%
2017121.16%$28,1840.78%$24,7621.18%$28,7621.16%0.78%1.18%
201815.23%$29,6582.13%$25,2901.95%$29,3225.23%2.13%1.95%
20182-3.76%$28,543-4.25%$24,214-4.88%$27,892-3.76%-4.25%-4.88%
20183-1.95%$27,986-0.49%$24,0960.13%$27,927-1.95%-0.49%0.13%
201840.45%$28,1111.26%$24,400-0.35%$27,8290.45%1.26%-0.35%
201852.72%$28,8761.39%$24,7401.27%$28,1812.72%1.39%1.27%
201860.70%$29,0790.90%$24,9631.41%$28,5780.70%0.90%1.41%
201873.32%$30,0442.27%$25,5303.93%$29,7003.32%2.27%3.93%
201883.43%$31,0761.05%$25,7982.00%$30,2953.43%1.05%2.00%
201890.20%$31,136-0.38%$25,6990.25%$30,3710.20%-0.38%0.25%
201810-7.41%$28,829-3.90%$24,697-4.80%$28,913-7.41%-3.90%-4.80%
2018112.01%$29,4102.07%$25,2074.92%$30,3372.01%2.07%4.92%
201812-9.16%$26,715-7.98%$23,197-7.79%$27,974-9.16%-7.98%-7.79%
201918.54%$28,9966.81%$24,7766.27%$29,7278.54%6.81%6.27%
201923.56%$30,0282.89%$25,4934.25%$30,9903.56%2.89%4.25%
201931.42%$30,4540.93%$25,7290.78%$31,2331.42%0.93%0.78%
201943.93%$31,6492.93%$26,4842.12%$31,8953.93%2.93%2.12%
20195-6.45%$29,608-7.37%$24,531-5.57%$30,120-6.45%-7.37%-5.57%
201967.08%$31,7037.32%$26,3275.88%$31,8917.08%7.32%5.88%
201971.41%$32,1510.72%$26,5180.94%$32,1911.41%0.72%0.94%
20198-2.08%$31,482-2.32%$25,901-2.40%$31,420-2.08%-2.32%-2.40%
201991.78%$32,0425.07%$27,2143.93%$32,6541.78%5.07%3.93%
2019102.11%$32,7170.14%$27,2521.63%$33,1862.11%0.14%1.63%
2019113.79%$33,9561.62%$27,6921.91%$33,8193.79%1.62%1.91%
2019122.80%$34,9082.72%$28,4451.98%$34,4882.80%2.72%1.98%
20201-0.06%$34,887-1.80%$27,933-2.88%$33,494-0.06%-1.80%-2.88%
20202-8.00%$32,096-11.18%$24,810-8.92%$30,506-8.00%-11.18%-8.92%
20203-13.91%$27,632-19.13%$20,065-15.30%$25,839-13.91%-19.13%-15.30%
2020413.13%$31,2619.65%$22,00210.11%$28,45013.13%9.65%10.11%
202055.40%$32,9482.37%$22,5233.30%$29,3895.40%2.37%3.30%
202062.29%$33,703-1.27%$22,2371.15%$29,7272.29%-1.27%1.15%
202075.74%$35,6392.92%$22,8872.59%$30,4965.74%2.92%2.59%
202087.10%$38,1711.94%$23,3312.99%$31,4097.10%1.94%2.99%
20209-3.54%$36,818-2.57%$22,731-3.41%$30,337-3.54%-2.57%-3.41%
202010-1.95%$36,1001.79%$23,1380.06%$30,357-1.95%1.79%0.06%
20201111.80%$40,36113.10%$26,16812.26%$34,08011.80%13.10%12.26%
2020124.68%$42,2483.36%$27,0483.01%$35,1064.68%3.36%3.01%
20211-0.33%$42,1070.56%$27,200-0.62%$34,887-0.33%0.56%-0.62%
202123.14%$43,4298.64%$29,5515.25%$36,7203.14%8.64%5.25%
202133.65%$45,0129.51%$32,3607.27%$39,3873.65%9.51%7.27%
202145.04%$47,2793.66%$33,5454.00%$40,9625.04%3.66%4.00%
202150.46%$47,4952.33%$34,3282.17%$41,8500.46%2.33%2.17%
202162.48%$48,673-2.86%$33,347-2.50%$40,8052.48%-2.86%-2.50%
202171.74%$49,518-0.84%$33,0670.69%$41,0861.74%-0.84%0.69%
202182.86%$50,9342.79%$33,9911.31%$41,6232.86%2.79%1.31%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETF
Large-cap Value34.85%69.95%65.88%
Large-cap Growth47.04%0.00%0.00%
Mid-cap Value3.05%0.00%0.00%
Mid-cap Growth6.57%0.00%0.00%
Small-cap Value4.02%17.10%18.82%
Small-cap Growth3.43%0.00%0.00%
Global ex-US Developed Markets0.43%0.00%0.00%
Emerging Markets0.60%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%12.94%9.90%
Intermediate-Term Treasuries0.00%0.00%5.40%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.84%84.54%86.58%
Style analysis is based on monthly returns from January 2006 to August 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Vanguard Total Stock Market ETF

Holdings Based Style Analysis for Vanguard Total Stock Market ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%1.20%0.03%24.25$40,934100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for iShares Select Dividend ETF

Holdings Based Style Analysis for iShares Select Dividend ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DVYiShares Select Dividend ETFLarge Value100.00%3.14%0.38%15.13$23,991100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for SPDR S&P Dividend ETF

Holdings Based Style Analysis for SPDR S&P Dividend ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SDYSPDR S&P Dividend ETFLarge Value100.00%2.60%0.35%20.75$31,623100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (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.

Portfolio return and risk metrics
MetricVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETF
Arithmetic Mean (monthly)0.97%0.75%0.85%
Arithmetic Mean (annualized)12.28%9.42%10.75%
Geometric Mean (monthly)0.87%0.65%0.76%
Geometric Mean (annualized)10.95%8.12%9.53%
Volatility (monthly)4.45%4.41%4.29%
Volatility (annualized)15.41%15.27%14.86%
Downside Deviation (monthly)2.99%3.18%2.91%
Max. Drawdown-50.84%-57.39%-49.29%
US Market Correlation1.000.850.88
Beta(*)1.000.840.84
Alpha (annualized)0.12%-0.69%0.52%
R299.93%72.52%76.77%
Sharpe Ratio0.680.520.62
Sortino Ratio1.010.710.90
Treynor Ratio (%)10.579.4310.87
Calmar Ratio0.860.330.45
Active Return0.12%-2.71%-1.30%
Tracking Error0.40%8.36%7.55%
Information Ratio0.29-0.32-0.17
Skewness-0.72-1.20-0.73
Excess Kurtosis2.004.273.05
Historical Value-at-Risk (5%)-7.78%-7.22%-6.12%
Analytical Value-at-Risk (5%)-6.35%-6.50%-6.20%
Conditional Value-at-Risk (5%)-10.04%-11.94%-10.52%
Upside Capture Ratio (%)100.4177.4981.57
Downside Capture Ratio (%)100.0183.8581.54
Safe Withdrawal Rate9.09%8.13%9.24%
Perpetual Withdrawal Rate8.29%5.79%7.05%
Positive Periods130 out of 188 (69.15%)127 out of 188 (67.55%)129 out of 188 (68.62%)
Gain/Loss Ratio0.790.780.79
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETF
Subprime CrisisNov 2007Mar 2009-50.84%-54.75%-45.21%
COVID-19 StartJan 2020Mar 2020-20.84%-29.46%-25.08%

Drawdowns for Vanguard Total Stock Market ETF

Drawdowns for Vanguard Total Stock Market ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.84%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-20.84%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-5.42%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-5.23%
10May 2006May 20061 monthSep 20064 months5 months-3.22%
Worst 10 drawdowns included above

Drawdowns for iShares Select Dividend ETF

Drawdowns for iShares Select Dividend ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsJan 20133 years 11 months5 years 8 months-57.39%
2Jan 2020Mar 20203 monthsFeb 202111 months1 year 2 months-29.46%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-10.08%
4May 2019May 20191 monthJul 20192 months3 months-7.37%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.10%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-4.72%
7Jul 2014Jul 20141 monthOct 20143 months4 months-4.34%
8Aug 2013Aug 20131 monthOct 20132 months3 months-4.19%
9Jun 2021Jul 20212 months-3.67%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.65%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P Dividend ETF

Drawdowns for SPDR S&P Dividend ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-49.29%
2Jan 2020Mar 20203 monthsDec 20209 months1 year-25.08%
3May 2011Sep 20115 monthsJan 20124 months9 months-11.00%
4Oct 2018Dec 20183 monthsFeb 20192 months5 months-7.89%
5Mar 2015Sep 20157 monthsNov 20152 months9 months-7.30%
6May 2019May 20191 monthJul 20192 months3 months-5.57%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-5.09%
8Aug 2016Oct 20163 monthsDec 20162 months5 months-5.07%
9Aug 2013Aug 20131 monthOct 20132 months3 months-4.59%
10May 2012May 20121 monthJul 20122 months3 months-3.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF10.95%15.41%33.45%-36.98%-50.84%0.681.011.00
DVYiShares Select Dividend ETF8.12%15.27%28.85%-32.87%-57.39%0.520.710.85
SDYSPDR S&P Dividend ETF9.53%14.86%30.07%-22.83%-49.29%0.620.900.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIDVYSDYVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETF
VTIVanguard Total Stock Market ETF1.000.850.881.000.850.88
DVYiShares Select Dividend ETF0.851.000.960.851.000.96
SDYSPDR S&P Dividend ETF0.880.961.000.880.961.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETF
VTIVanguard Total Stock Market ETF$40,934
DVYiShares Select Dividend ETF$23,991
SDYSPDR S&P Dividend ETF$31,623

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETF
VTIVanguard Total Stock Market ETF100.00%
DVYiShares Select Dividend ETF100.00%
SDYSPDR S&P Dividend ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Total Stock Market ETFiShares Select Dividend ETFSPDR S&P Dividend ETF
AverageHighLowAverageHighLowAverageHighLow
1 year11.65%62.90%-43.33%8.86%61.28%-47.49%9.94%61.13%-38.01%
3 years9.90%26.70%-15.14%7.78%28.09%-19.32%9.37%27.13%-14.82%
5 years11.17%23.99%-0.58%9.67%23.97%-2.42%10.72%23.66%0.24%
7 years11.51%17.40%4.57%10.15%18.80%2.92%11.13%18.50%4.98%
10 years11.10%16.86%6.50%9.76%16.73%5.61%10.80%17.16%7.08%
15 years10.47%11.06%9.83%7.63%8.29%6.78%9.20%9.75%8.53%