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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2001 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$504,069 22.16% 7.62%6.98%19.99%39.76%-29.39%-54.13%
(-42.08%)
0.400.560.89
Portfolio 2$10,000$691,458 24.15% 7.15%9.83%15.37%33.35%-37.04%-50.89%
(-39.73%)
0.440.611.00
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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 2020 are based on monthly returns from January to July
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual contribution of $10,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20011.55%11.68%-10.97%$21,323$19,059$10,15511.68%-10.97%
20022.38%-14.04%-20.96%$28,727$25,460$10,397-14.04%-20.96%
20031.88%39.76%31.35%$50,739$44,035$10,59239.76%31.35%
20043.26%22.60%12.51%$73,143$60,482$10,93722.60%12.51%
20053.42%6.00%5.98%$88,839$75,410$11,3106.00%5.98%
20062.54%19.37%15.51%$117,646$98,704$11,59819.37%15.51%
20074.08%-5.56%5.49%$123,171$116,194$12,071-5.56%5.49%
20080.09%-29.39%-37.04%$99,053$85,240$12,082-29.39%-37.04%
20092.72%22.36%28.70%$133,613$122,114$12,41122.36%28.70%
20101.50%24.69%17.09%$179,193$155,584$12,59724.69%17.09%
20112.96%-1.65%0.96%$189,207$170,050$12,970-1.65%0.96%
20121.74%18.24%16.25%$236,920$210,884$13,19518.24%16.25%
20131.50%39.34%33.35%$343,526$294,607$13,39439.34%33.35%
20140.76%7.56%12.43%$382,989$344,719$13,4957.56%12.43%
20150.73%-6.90%0.29%$370,166$359,325$13,593-6.90%0.29%
20162.07%31.25%12.53%$499,702$418,235$13,87531.25%12.53%
20172.11%11.35%21.05%$570,598$520,448$14,16811.35%21.05%
20181.91%-12.84%-5.26%$511,776$507,532$14,439-12.84%-5.26%
20192.29%24.12%30.65%$649,993$677,852$14,76924.12%30.65%
20200.32%-22.45%2.01%$504,069$691,458$0.00-22.45%2.01%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200117.86%3.83%$10,786$10,3837.86%3.83%
20012-4.21%-9.41%$10,331$9,405-4.21%-9.41%
20013-4.94%-6.72%$9,820$8,773-4.94%-6.72%
200146.82%8.16%$10,490$9,4906.82%8.16%
200152.91%1.01%$10,796$9,5852.91%1.01%
200162.01%-1.64%$11,013$9,4292.01%-1.64%
20017-0.22%-1.71%$10,988$9,267-0.22%-1.71%
20018-0.96%-6.00%$10,882$8,711-0.96%-6.00%
20019-14.53%-9.00%$9,301$7,927-14.53%-9.00%
2001104.50%2.52%$9,720$8,1274.50%2.52%
2001117.55%7.63%$10,454$8,7477.55%7.63%
2001126.83%1.78%$21,323$19,0596.83%1.78%
200212.14%-1.24%$21,780$18,8222.14%-1.24%
20022-0.42%-2.05%$21,688$18,437-0.42%-2.05%
200238.72%4.38%$23,579$19,2448.72%4.38%
200244.03%-4.90%$24,529$18,3014.03%-4.90%
20025-3.63%-1.22%$23,639$18,078-3.63%-1.22%
20026-4.62%-7.06%$22,546$16,801-4.62%-7.06%
20027-15.78%-8.02%$18,989$15,454-15.78%-8.02%
20028-0.42%0.53%$18,909$15,536-0.42%0.53%
20029-7.91%-10.07%$17,414$13,972-7.91%-10.07%
2002102.58%7.65%$17,863$15,0402.58%7.65%
2002115.50%6.06%$18,846$15,9525.50%6.06%
200212-2.74%-5.57%$28,727$25,460-2.74%-5.57%
20031-4.05%-2.54%$27,562$24,813-4.05%-2.54%
20032-4.05%-1.69%$26,444$24,395-4.05%-1.69%
20033-0.15%1.09%$26,405$24,660-0.15%1.09%
200348.81%8.21%$28,732$26,6848.81%8.21%
200359.42%6.11%$31,439$28,3139.42%6.11%
200362.85%1.43%$32,336$28,7192.85%1.43%
200374.91%2.36%$33,923$29,3964.91%2.36%
200384.96%2.39%$35,605$30,0984.96%2.39%
20039-3.51%-1.15%$34,356$29,754-3.51%-1.15%
2003109.09%6.12%$37,477$31,5739.09%6.12%
2003114.30%1.38%$39,088$32,0094.30%1.38%
2003122.71%4.48%$50,739$44,0352.71%4.48%
200412.17%2.23%$51,839$45,0182.17%2.23%
200422.50%1.43%$53,136$45,6622.50%1.43%
200431.82%-1.07%$54,106$45,1721.82%-1.07%
20044-3.93%-2.11%$51,977$44,220-3.93%-2.11%
200451.58%1.35%$52,796$44,8151.58%1.35%
200465.35%2.09%$55,623$45,7515.35%2.09%
20047-4.75%-3.80%$52,981$44,012-4.75%-3.80%
200480.24%0.31%$53,108$44,1480.24%0.31%
200494.69%1.74%$55,600$44,9164.69%1.74%
2004100.95%1.68%$56,129$45,6690.95%1.68%
2004119.11%4.68%$61,243$47,8089.11%4.68%
2004121.57%3.63%$73,143$60,4821.57%3.63%
20051-3.25%-2.68%$70,765$58,864-3.25%-2.68%
200522.90%2.07%$72,819$60,0832.90%2.07%
20053-2.36%-1.75%$71,100$59,033-2.36%-1.75%
20054-5.12%-2.32%$67,460$57,662-5.12%-2.32%
200556.16%3.77%$71,612$59,8356.16%3.77%
200563.92%0.81%$74,416$60,3213.92%0.81%
200575.84%4.11%$78,763$62,7975.84%4.11%
20058-1.87%-0.94%$77,290$62,205-1.87%-0.94%
200590.05%0.86%$77,327$62,7380.05%0.86%
200510-3.41%-1.86%$74,689$61,568-3.41%-1.86%
2005114.91%3.97%$78,356$64,0134.91%3.97%
200512-1.06%0.14%$88,839$75,410-1.06%0.14%
200618.75%3.50%$96,613$78,0498.75%3.50%
200620.27%0.00%$96,877$78,0490.27%0.00%
200634.86%1.80%$101,582$79,4564.86%1.80%
200640.18%1.11%$101,763$80,3390.18%1.11%
20065-4.55%-3.23%$97,132$77,740-4.55%-3.23%
200660.04%0.17%$97,173$77,8740.04%0.17%
20067-3.10%-0.13%$94,164$77,772-3.10%-0.13%
200682.70%2.31%$96,711$79,5712.70%2.31%
200691.19%2.27%$97,857$81,3751.19%2.27%
2006105.52%3.53%$103,258$84,2485.52%3.53%
2006112.38%2.23%$105,714$86,1302.38%2.23%
2006120.32%1.13%$117,646$98,7040.32%1.13%
200712.14%1.88%$120,160$100,5582.14%1.88%
20072-0.92%-1.61%$119,051$98,936-0.92%-1.61%
200730.91%1.11%$120,131$100,0320.91%1.11%
200741.84%4.01%$122,339$104,0441.84%4.01%
200754.63%3.69%$128,008$107,8824.63%3.69%
20076-2.24%-1.67%$125,139$106,079-2.24%-1.67%
20077-6.26%-3.41%$117,306$102,462-6.26%-3.41%
200781.33%1.45%$118,866$103,9491.33%1.45%
200790.31%3.59%$119,240$107,6840.31%3.59%
2007101.06%1.85%$120,505$109,6761.06%1.85%
200711-7.15%-4.49%$111,891$104,755-7.15%-4.49%
200712-0.71%-0.60%$123,171$116,194-0.71%-0.60%
20081-4.00%-6.08%$118,244$109,129-4.00%-6.08%
20082-3.36%-3.07%$114,268$105,777-3.36%-3.07%
200830.83%-0.58%$115,211$105,1610.83%-0.58%
200842.64%5.02%$118,256$110,4422.64%5.02%
200853.92%2.09%$122,887$112,7523.92%2.09%
20086-8.41%-8.19%$112,548$103,516-8.41%-8.19%
200872.87%-0.77%$115,782$102,7202.87%-0.77%
200884.76%1.58%$121,295$104,3444.76%1.58%
20089-4.82%-9.26%$115,452$94,679-4.82%-9.26%
200810-19.86%-17.63%$92,522$77,988-19.86%-17.63%
200811-11.80%-7.90%$81,606$71,825-11.80%-7.90%
2008126.57%1.86%$99,053$85,2406.57%1.86%
20091-13.94%-8.26%$85,240$78,202-13.94%-8.26%
20092-13.03%-10.45%$74,137$70,030-13.03%-10.45%
200937.58%8.65%$79,760$76,0917.58%8.65%
2009418.89%10.61%$94,826$84,16018.89%10.61%
200950.67%5.38%$95,462$88,6870.67%5.38%
200961.52%0.34%$96,916$88,9911.52%0.34%
2009711.00%7.82%$107,580$95,95211.00%7.82%
200983.48%3.63%$111,326$99,4333.48%3.63%
200994.21%4.23%$116,008$103,6354.21%4.23%
200910-6.07%-2.57%$108,961$100,974-6.07%-2.57%
2009112.90%5.63%$112,123$106,6542.90%5.63%
2009128.10%2.86%$133,613$122,1148.10%2.86%
20101-2.54%-3.50%$130,226$117,843-2.54%-3.50%
201024.76%3.36%$136,428$121,8024.76%3.36%
201037.80%6.27%$147,067$129,4417.80%6.27%
201046.63%2.17%$156,813$132,2546.63%2.17%
20105-8.54%-8.00%$143,420$121,672-8.54%-8.00%
20106-8.27%-5.66%$131,553$114,782-8.27%-5.66%
201076.71%6.99%$140,383$122,8116.71%6.99%
20108-7.91%-4.75%$129,277$116,980-7.91%-4.75%
2010910.93%9.47%$143,407$128,05710.93%9.47%
2010104.04%3.94%$149,197$133,1054.04%3.94%
2010112.47%0.58%$152,887$133,8722.47%0.58%
2010128.97%6.81%$179,193$155,5848.97%6.81%
20111-0.24%2.19%$178,769$158,985-0.24%2.19%
201124.21%3.60%$186,297$164,7044.21%3.60%
201132.21%0.45%$190,406$165,4442.21%0.45%
201141.06%2.99%$192,430$170,3931.06%2.99%
20115-1.77%-1.16%$189,032$168,413-1.77%-1.16%
20116-1.59%-1.79%$186,018$165,403-1.59%-1.79%
20117-2.77%-2.28%$180,858$161,627-2.77%-2.28%
20118-7.98%-5.99%$166,431$151,938-7.98%-5.99%
20119-10.57%-7.75%$148,841$140,158-10.57%-7.75%
20111015.34%11.51%$171,674$156,28615.34%11.51%
2011110.63%-0.29%$172,755$155,8360.63%-0.29%
2011122.02%0.80%$189,207$170,0502.02%0.80%
201217.90%5.08%$204,151$178,6917.90%5.08%
201221.71%4.26%$207,650$186,3001.71%4.26%
201232.89%3.07%$213,654$192,0122.89%3.07%
20124-1.91%-0.65%$209,575$190,757-1.91%-0.65%
20125-7.18%-6.24%$194,537$178,862-7.18%-6.24%
201264.54%3.91%$203,362$185,8544.54%3.91%
20127-0.69%1.03%$201,967$187,773-0.69%1.03%
201284.08%2.48%$210,202$192,4334.08%2.48%
201293.14%2.58%$216,795$197,3933.14%2.58%
201210-1.96%-1.76%$212,541$193,923-1.96%-1.76%
2012111.65%0.74%$216,054$195,3551.65%0.74%
2012123.55%1.19%$236,920$210,8843.55%1.19%
201315.35%5.50%$249,599$222,4815.35%5.50%
201321.63%1.28%$253,670$225,3221.63%1.28%
201334.11%3.88%$264,090$234,0704.11%3.88%
201340.12%1.70%$264,413$238,0510.12%1.70%
201354.29%2.32%$275,749$243,5784.29%2.32%
20136-0.14%-1.27%$275,360$240,475-0.14%-1.27%
201376.56%5.49%$293,425$253,6666.56%5.49%
20138-3.41%-2.82%$283,405$246,504-3.41%-2.82%
201396.59%3.66%$302,095$255,5376.59%3.66%
2013103.48%4.22%$312,616$266,3293.48%4.22%
2013114.25%2.88%$325,915$274,0044.25%2.88%
2013121.29%2.63%$343,526$294,6071.29%2.63%
20141-3.51%-3.11%$331,454$285,453-3.51%-3.11%
201424.63%4.73%$346,799$298,9624.63%4.73%
201431.34%0.51%$351,449$300,4981.34%0.51%
20144-2.29%0.06%$343,395$300,689-2.29%0.06%
201450.62%2.17%$345,532$307,2170.62%2.17%
201463.85%2.54%$358,823$315,0143.85%2.54%
20147-5.07%-1.98%$340,637$308,778-5.07%-1.98%
201484.46%4.18%$355,838$321,6944.46%4.18%
20149-5.94%-2.14%$334,688$314,821-5.94%-2.14%
2014107.13%2.74%$358,552$323,4477.13%2.74%
2014110.48%2.41%$360,267$331,2420.48%2.41%
2014122.56%-0.01%$382,989$344,7192.56%-0.01%
20151-5.32%-2.77%$362,628$335,162-5.32%-2.77%
201525.86%5.76%$383,866$354,4765.86%5.76%
201531.03%-1.04%$387,814$350,7991.03%-1.04%
20154-1.82%0.42%$380,736$352,276-1.82%0.42%
201550.75%1.39%$383,606$357,1760.75%1.39%
201560.42%-1.71%$385,217$351,0680.42%-1.71%
20157-2.70%1.63%$374,815$356,796-2.70%1.63%
20158-4.62%-6.03%$357,510$335,297-4.62%-6.03%
20159-3.77%-2.93%$344,019$325,461-3.77%-2.93%
2015106.57%7.84%$366,606$350,9926.57%7.84%
2015112.47%0.54%$375,667$352,8882.47%0.54%
201512-5.08%-2.03%$370,166$359,325-5.08%-2.03%
20161-5.85%-5.67%$348,503$338,946-5.85%-5.67%
201622.08%-0.04%$355,758$338,8042.08%-0.04%
201639.41%7.01%$389,252$362,5579.41%7.01%
201642.13%0.63%$397,530$364,8322.13%0.63%
201650.44%1.79%$399,282$371,3710.44%1.79%
201660.83%0.23%$402,610$372,2100.83%0.23%
201675.06%3.95%$422,976$386,9135.06%3.95%
201681.13%0.26%$427,766$387,9121.13%0.26%
201690.87%0.15%$431,482$388,4940.87%0.15%
201610-3.74%-2.21%$415,337$379,890-3.74%-2.21%
20161113.34%4.44%$470,754$396,74013.34%4.44%
2016123.20%1.92%$499,702$418,2353.20%1.92%
20171-1.21%1.91%$493,670$426,218-1.21%1.91%
201721.35%3.71%$500,344$442,0341.35%3.71%
20173-0.65%0.07%$497,091$442,328-0.65%0.07%
201740.51%1.05%$499,636$446,9730.51%1.05%
20175-2.26%1.01%$488,343$451,468-2.26%1.01%
201762.96%0.92%$502,796$455,6272.96%0.92%
201770.75%1.87%$506,572$464,1300.75%1.87%
20178-2.72%0.15%$492,799$464,807-2.72%0.15%
201798.58%2.45%$535,072$476,2118.58%2.45%
2017100.59%2.16%$538,247$486,4860.59%2.16%
2017113.76%3.04%$558,487$501,2953.76%3.04%
201712-0.37%0.99%$570,598$520,448-0.37%0.99%
201811.33%5.31%$578,177$548,0701.33%5.31%
20182-4.04%-3.72%$554,807$527,705-4.04%-3.72%
201831.37%-1.99%$562,407$517,1841.37%-1.99%
201841.76%0.38%$572,325$519,1431.76%0.38%
201855.87%2.79%$605,918$533,6335.87%2.79%
201860.80%0.68%$610,753$537,2530.80%0.68%
201872.62%3.34%$626,726$555,1832.62%3.34%
201883.14%3.44%$646,402$574,2913.14%3.44%
20189-3.05%0.16%$626,674$575,208-3.05%0.16%
201810-9.94%-7.40%$564,393$532,632-9.94%-7.40%
2018110.57%2.06%$567,622$543,6120.57%2.06%
201812-12.38%-9.29%$511,776$507,532-12.38%-9.29%
2019112.26%8.59%$574,501$551,10712.26%8.59%
201924.13%3.50%$598,255$570,4014.13%3.50%
20193-3.91%1.44%$574,864$578,590-3.91%1.44%
201944.32%3.98%$599,684$601,5994.32%3.98%
20195-9.98%-6.45%$539,836$562,813-9.98%-6.45%
201967.66%6.97%$581,184$602,0377.66%6.97%
201971.30%1.44%$588,732$610,6951.30%1.44%
20198-5.14%-2.03%$558,464$598,326-5.14%-2.03%
201995.57%1.70%$589,595$608,5185.57%1.70%
2019102.00%2.10%$601,411$621,2722.00%2.10%
2019112.71%3.77%$617,702$644,7082.71%3.77%
2019122.84%2.85%$649,993$677,8522.84%2.85%
20201-6.31%-0.08%$609,005$677,342-6.31%-0.08%
20202-10.15%-8.18%$547,199$621,946-10.15%-8.18%
20203-25.76%-13.78%$406,232$536,258-25.76%-13.78%
2020413.89%13.25%$462,651$607,29713.89%13.25%
202052.55%5.38%$474,439$639,9532.55%5.38%
202063.58%2.28%$491,413$654,5423.58%2.28%
202072.58%5.64%$504,069$691,4582.58%5.64%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%36.55%
Large-cap Growth0.00%45.11%
Mid-cap Value0.00%4.21%
Mid-cap Growth0.00%7.73%
Small-cap Value100.00%2.66%
Small-cap Growth0.00%3.09%
Global ex-US Developed Markets0.00%0.08%
Emerging Markets0.00%0.58%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared100.00%99.87%
Style analysis is based on monthly returns from Apr 2005 to Jul 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.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value100.00%0.25%14.18$256,022100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%22.08$443,411100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/12/2020. (c) 2020 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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.78%0.68%
Arithmetic Mean (annualized)9.83%8.43%
Geometric Mean (monthly)0.61%0.58%
Geometric Mean (annualized)7.62%7.15%
Volatility (monthly)5.77%4.44%
Volatility (annualized)19.99%15.37%
Downside Deviation (monthly)4.06%3.10%
Max. Drawdown-54.13%-50.89%
US Market Correlation0.891.00
Beta(*)1.161.00
Alpha (annualized)-0.01%0.00%
R279.57%100.00%
Sharpe Ratio0.400.44
Sortino Ratio0.560.61
Treynor Ratio (%)6.906.72
Calmar Ratio-0.070.54
Active Return0.47%0.00%
Tracking Error9.37%0.00%
Information Ratio0.050.01
Skewness-0.74-0.68
Excess Kurtosis2.521.45
Historical Value-at-Risk (5%)-9.95%-8.05%
Analytical Value-at-Risk (5%)-8.71%-6.62%
Conditional Value-at-Risk (5%)-14.34%-10.32%
Upside Capture Ratio (%)117.10100.00
Downside Capture Ratio (%)116.66100.00
Safe Withdrawal Rate9.12%5.92%
Perpetual Withdrawal Rate5.35%4.93%
Positive Periods152 out of 235 (64.68%)154 out of 235 (65.53%)
Gain/Loss Ratio0.780.77
* 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 PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-51.28%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-54.13%
2Sep 2018Mar 20201 year 7 months-40.32%
3May 2002Mar 200311 monthsNov 20038 months1 year 7 months-31.31%
4May 2011Sep 20115 monthsFeb 20125 months10 months-22.65%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-15.54%
6Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-13.44%
7Feb 2001Mar 20012 monthsMay 20012 months4 months-8.95%
8Apr 2012May 20122 monthsSep 20124 months6 months-8.95%
9Jan 2005Apr 20054 monthsJun 20052 months6 months-7.77%
10May 2006Jul 20063 monthsOct 20063 months6 months-7.47%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-37.14%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
10Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJSiShares S&P Small-Cap 600 Value ETF7.62%19.99%39.76%-29.39%-54.13%0.400.560.89
VTSMXVanguard Total Stock Mkt Idx Inv7.15%15.37%33.35%-37.04%-50.89%0.440.611.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJSVTSMXPortfolio 1Portfolio 2
IJSiShares S&P Small-Cap 600 Value ETF1.000.891.000.89
VTSMXVanguard Total Stock Mkt Idx Inv0.891.000.891.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IJSiShares S&P Small-Cap 600 Value ETF$256,022
VTSMXVanguard Total Stock Mkt Idx Inv$443,411

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
IJSiShares S&P Small-Cap 600 Value ETF100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.94%39.76%-29.39%8.94%33.35%-37.04%
3 years9.98%22.01%-7.32%8.44%20.34%-8.45%
5 years9.48%19.85%0.01%8.18%18.72%-1.76%
7 years9.15%14.97%3.15%8.01%15.00%-0.73%
10 years9.18%12.33%6.43%7.95%13.30%2.45%
15 years9.30%11.66%8.20%8.00%10.30%5.55%
Result statistics are based on annualized rolling returns over full calendar year periods