Vanguard value - Modified2

Asset Allocation

Position	Category/Sector	Target Weight
VTV Vanguard Value ETF	Large Cap Value Equities	60%
QQQ Invesco QQQ ETF	Nasdaq-100	40%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Vanguard value - Modified2, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is never rebalanced.

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Returns By Period

As of Jun 9, 2026, the Vanguard value - Modified2 returned 13.94% Year-To-Date and 16.32% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Vanguard value - Modified2	0.78%	1.90%	13.94%	14.20%	29.81%	21.73%	13.89%	16.32%
Portfolio components:
QQQ Invesco QQQ ETF	1.56%	0.68%	16.71%	15.00%	35.78%	27.15%	16.98%	21.59%
VTV Vanguard Value ETF	0.25%	2.67%	11.91%	13.41%	25.49%	17.72%	11.30%	12.42%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jan 30, 2004, Vanguard value - Modified2's average daily return is +0.05%, while the average monthly return is +1.03%. At this rate, an investment would double in approximately 5.6 years.

Historically, 65% of months were positive and 35% were negative. The best month was Apr 2020 with a return of +12.4%, while the worst month was Oct 2008 at -15.8%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Vanguard value - Modified2 closed higher 55% of trading days. The best single day was Oct 28, 2008 with a return of +10.9%, while the worst single day was Mar 16, 2020 at -11.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.25%	1.30%	-4.81%	9.42%	5.64%	-1.00%							13.94%
2025	3.52%	-0.59%	-4.50%	-1.59%	5.42%	4.76%	1.08%	2.48%	3.53%	1.67%	0.91%	0.22%	17.78%
2024	1.27%	4.13%	3.61%	-4.07%	4.26%	2.65%	2.18%	2.18%	1.99%	-1.15%	5.54%	-3.68%	20.03%
2023	5.88%	-2.06%	3.43%	1.28%	0.54%	6.23%	3.64%	-2.00%	-3.99%	-2.38%	8.33%	5.30%	25.97%
2022	-4.17%	-2.44%	3.89%	-8.36%	0.85%	-8.26%	8.04%	-3.65%	-8.90%	8.61%	5.86%	-5.61%	-15.25%
2021	-0.33%	2.94%	4.76%	4.44%	1.28%	1.72%	1.76%	2.95%	-4.63%	6.42%	-1.03%	4.63%	27.34%

Benchmark Metrics

Vanguard value - Modified2 has an annualized alpha of 3.09%, beta of 0.98, and R2 of 0.97 versus S&P 500 Index. Calculated based on daily prices since January 30, 2004.

This portfolio captured 112.30% of S&P 500 Index gains but only 97.71% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 3.09% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 0.98 and R2 of 0.97, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha: 3.09%

Beta: 0.98

R²: 0.97

Upside Capture: 112.30%

Downside Capture: 97.71%

Expense Ratio

Vanguard value - Modified2 has an expense ratio of 0.10%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

QQQ

Invesco QQQ ETF

VTV

Vanguard Value ETF

Return for Risk

Risk / Return Rank

Vanguard value - Modified2 ranks 81 for risk / return — in the top 81% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Vanguard value - Modified2 and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.66	1.94	+0.72
Sortino ratioReturn per unit of downside risk	3.55	2.63	+0.93
Omega ratioGain probability vs. loss probability	1.48	1.35	+0.13
Calmar ratioReturn relative to maximum drawdown	4.05	2.59	+1.47
Martin ratioReturn relative to average drawdown	18.44	11.84	+6.60
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
QQQ Invesco QQQ ETF	69	2.15	2.77	1.38	3.00	11.43
VTV Vanguard Value ETF	84	2.52	3.58	1.45	4.03	15.20

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Vanguard value - Modified2 Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 2.66
5-Year: 0.87
10-Year: 0.93
All Time: 0.64

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.59 to 2.46, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Vanguard value - Modified2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Vanguard value - Modified2 provided a 1.28% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.28%	1.41%	1.61%	1.72%	1.83%	1.46%	1.75%	1.80%	2.00%	1.71%	1.89%	1.96%
Portfolio components:
QQQ Invesco QQQ ETF	0.39%	0.45%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%
VTV Vanguard Value ETF	1.87%	2.05%	2.31%	2.46%	2.52%	2.15%	2.56%	2.50%	2.73%	2.29%	2.44%	2.60%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Vanguard value - Modified2. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Vanguard value - Modified2 was 56.03%, occurring on Mar 9, 2009. Recovery took 738 trading sessions.

The current Vanguard value - Modified2 drawdown is 2.03%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-56.03%Mar 2009	1y 5mo	2y 11mo	4y 4moOct 2007 - Feb 2012
COVID crash2020	-33.09%Mar 2020	1mo 2d	4mo 22d	5mo 24dFeb 2020 - Aug 2020
Bear market2022	-22.61%Oct 2022	9mo 10d	9mo 9d	1y 6moJan 2022 - Jul 2023
Rate-hike selloffLate 2018	-19.08%Dec 2018	3mo 4d	3mo 19d	6mo 23dSep 2018 - Apr 2019
2025 selloff2025	-17.43%Apr 2025	1mo 17d	2mo 19d	4mo 6dFeb 2025 - Jun 2025

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 2 assets, with an effective number of assets of 1.92, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.13	1.10	1.08	1.07	1.06

The portfolio has a diversification ratio of 1.06, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

Vanguard value - Modified2 correlation to the S&P 500 Index

Vanguard value - Modified2 has a 0.94 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (10Y) Calculated over the trailing 10-year period	0.98
Correlation (All Time) Calculated using the full available price history since Jan 30, 2004	0.98

Benchmark Correlations

Correlation vs. S&P 500 Index. VTV has the highest benchmark correlation at 0.91, while QQQ has the lowest at 0.89.

QQQ

0.89

VTV

0.91

Portfolio Correlations

Correlation vs. Vanguard value - Modified2. VTV has the highest portfolio correlation at 0.92, while QQQ has the lowest at 0.91.

QQQ

0.91

VTV

0.92

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	QQQ	VTV
QQQ	1.00	0.71
VTV	0.71	1.00

The correlation results are calculated based on daily price changes starting from Jan 30, 2004

Diversification Analysis

Find what Vanguard value - Modified2 is missing

See which holdings overlap, where Vanguard value - Modified2 is concentrated, and which low-correlation assets could fill the gaps.

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