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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1996 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 70.00%
DFALX DFA Large Cap International I 30.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 21.00%
DFLVX DFA US Large Cap Value I 21.00%
DFSVX DFA US Small Cap Value I 28.00%
DFIVX DFA International Value I 18.00%
DISVX DFA International Small Cap Value I 12.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1.00$846,279 97.87% 7.15%6.31%15.17%30.96%-38.35%-52.50%
(-44.69%)
0.380.530.98
Portfolio 2$1.00$1,020,491 99.73% 9.04%8.13%16.68%46.81%-39.98%-58.16%
(-52.31%)
0.460.660.93
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Inflation adjusted annual contribution of $18,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)DFA Large Cap International I (DFALX)DFA US Large Cap Value I (DFLVX)DFA US Small Cap Value I (DFSVX)DFA International Value I (DFIVX)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19963.32%17.92%16.83%$18,599$18,599$18,59822.88%6.35%20.24%22.33%7.81%0.95%
19971.70%24.89%18.19%$42,143$40,898$18,91533.19%5.51%28.12%30.75%-3.14%-22.72%
19981.61%25.50%9.79%$72,107$64,121$19,22028.62%18.21%11.98%-7.30%14.87%5.27%
19992.68%23.30%14.30%$108,643$93,027$19,73621.07%28.50%4.79%13.05%16.30%19.04%
20003.39%-10.53%2.37%$117,602$115,635$20,404-9.06%-13.98%10.22%9.01%-0.16%-3.08%
20011.55%-14.66%1.33%$121,076$137,890$20,721-12.02%-20.83%3.84%22.65%-15.26%-4.59%
20022.38%-19.89%-11.22%$118,212$143,635$21,213-22.15%-14.62%-14.92%-9.27%-8.52%5.79%
20031.88%30.96%46.81%$176,425$232,485$21,61228.50%36.70%34.42%59.40%49.93%66.48%
20043.26%13.16%22.56%$221,961$307,241$22,31510.74%18.81%18.25%25.39%28.80%34.80%
20053.42%7.38%10.87%$261,430$363,716$23,0784.77%13.47%10.24%7.79%15.27%23.23%
20062.54%18.41%23.11%$333,215$471,439$23,66415.64%24.86%20.18%21.55%34.15%28.39%
20074.08%7.50%-0.26%$382,838$494,839$24,6305.39%12.43%-2.76%-10.75%10.24%2.95%
20080.09%-38.35%-39.98%$260,681$321,638$24,652-37.02%-41.44%-40.80%-36.79%-46.33%-41.68%
20092.72%27.73%33.16%$358,297$453,611$25,32326.49%30.64%30.19%33.62%39.45%39.51%
20101.50%13.21%20.10%$431,346$570,471$25,70214.91%9.25%20.17%30.90%10.57%18.10%
20112.96%-2.31%-7.49%$447,859$554,222$26,4631.97%-12.28%-3.14%-7.55%-16.85%-17.46%
20121.74%16.40%19.70%$548,241$690,312$26,92415.82%17.75%22.05%21.72%16.61%22.26%
20131.50%28.73%35.14%$733,083$960,210$27,32832.18%20.69%40.32%42.38%23.12%32.39%
20140.76%7.89%4.07%$818,423$1,026,813$27,53513.51%-5.24%10.07%3.48%-6.99%-4.99%
20150.73%0.01%-3.32%$846,279$1,020,491$27,7361.25%-2.86%-3.49%-7.81%-6.31%3.99%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)DFA Large Cap International I (DFALX)DFA US Large Cap Value I (DFLVX)DFA US Small Cap Value I (DFSVX)DFA International Value I (DFIVX)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199612.30%1.63%$1.02$1.023.39%-0.23%2.85%-0.35%1.00%1.99%
199620.56%1.33%$1.03$1.030.92%-0.31%1.46%2.19%0.54%1.07%
199631.29%2.13%$1.04$1.050.98%2.07%3.45%2.76%1.45%1.35%
199641.82%3.42%$1.06$1.091.46%2.70%1.67%5.18%3.87%5.23%
199651.43%1.88%$1.08$1.112.54%-1.24%1.64%3.90%-0.93%0.54%
199660.44%-1.25%$1.08$1.090.38%0.59%-2.93%-2.09%0.31%-1.35%
19967-3.97%-4.60%$1.04$1.04-4.42%-2.87%-4.47%-6.22%-2.66%-4.10%
199681.62%2.57%$1.05$1.072.10%0.45%4.02%4.56%0.35%-0.48%
199694.84%2.85%$1.11$1.105.61%2.94%1.94%3.33%1.73%0.00%
1996101.73%1.19%$1.12$1.112.76%-0.88%3.25%0.74%-0.96%-1.24%
1996116.76%5.44%$1.20$1.177.56%4.65%7.24%4.74%4.47%1.06%
199612-1.82%-0.57%$18,599$18,599-1.96%-1.45%-1.02%2.19%-1.39%-2.82%
199713.01%1.87%$19,160$18,9476.22%-4.46%3.58%2.54%-3.33%-2.47%
199721.00%0.84%$19,351$19,1070.79%1.53%1.95%0.00%0.91%0.84%
19973-2.60%-2.67%$18,848$18,596-4.14%1.36%-4.58%-2.65%0.33%-0.84%
199744.46%1.50%$19,688$18,8755.96%0.82%3.30%-0.41%-0.54%-2.32%
199756.16%7.69%$20,901$20,3256.09%6.34%7.71%9.46%7.57%6.69%
199765.15%4.30%$21,978$21,1994.45%6.93%3.07%6.25%4.27%1.52%
199776.19%5.42%$23,337$22,3487.97%1.75%10.03%5.98%1.38%-3.88%
19978-5.96%-2.14%$21,947$21,870-5.61%-6.88%-1.49%3.52%-6.55%-4.56%
199795.75%5.09%$23,209$22,9845.47%6.50%5.26%7.69%3.62%-1.85%
199710-4.68%-4.16%$22,122$22,027-3.35%-8.23%-5.13%-3.55%-5.22%-3.98%
1997113.37%-0.43%$22,867$21,9324.60%-0.07%1.05%-0.85%-4.29%-8.41%
1997121.58%0.23%$42,143$40,8981.72%1.15%1.38%0.09%-0.38%-5.41%
199811.88%2.10%$42,934$41,7561.11%3.67%1.30%-1.23%5.99%7.16%
199826.66%7.84%$45,793$45,0287.19%5.44%8.74%7.54%6.54%9.96%
199834.58%4.40%$47,888$47,0105.10%3.35%5.57%4.07%4.42%2.03%
199840.89%0.69%$48,316$47,3331.01%0.62%0.56%1.93%0.32%-1.75%
19985-1.21%-1.55%$47,733$46,598-1.74%0.06%-0.88%-3.83%0.87%-0.95%
199863.22%-0.26%$49,269$46,4754.07%1.24%-0.24%-1.97%-0.96%-2.88%
19987-0.54%-3.06%$49,001$45,052-1.05%0.67%-3.47%-7.37%1.12%-3.09%
19988-13.71%-15.58%$42,283$38,034-14.47%-11.92%-18.24%-18.43%-13.11%-10.97%
199893.48%1.76%$43,756$38,7036.41%-3.18%5.07%2.84%-5.41%-2.58%
1998108.68%7.31%$47,556$41,5318.16%9.99%8.19%4.26%9.95%6.18%
1998115.93%5.40%$50,375$43,7736.07%5.58%6.20%5.30%4.39%4.43%
1998124.99%2.58%$72,107$64,1215.81%2.97%1.64%2.32%1.90%-0.59%
199912.76%1.11%$74,098$64,8344.20%-0.61%1.92%1.56%-2.00%-2.09%
19992-2.85%-4.13%$71,982$62,154-3.12%-2.20%-2.58%-8.24%-2.55%-1.28%
199934.16%2.85%$74,976$63,9234.00%4.55%3.24%-1.92%6.11%5.91%
199943.91%8.25%$77,909$69,1963.85%4.05%10.64%10.68%5.93%10.34%
19995-3.20%-0.32%$75,414$68,976-2.39%-5.16%-0.13%4.69%-5.05%-0.86%
199965.21%4.80%$79,342$72,2845.56%4.35%1.69%6.11%4.46%6.59%
19997-1.43%-0.65%$78,210$71,813-3.13%2.84%-4.16%-0.45%3.57%3.27%
19998-0.15%-1.38%$78,095$70,823-0.50%0.68%-3.60%-2.74%0.99%0.45%
19999-1.70%-2.40%$76,768$69,127-2.74%0.73%-5.39%-2.67%0.38%-0.56%
1999105.56%0.76%$81,036$69,6506.33%3.83%3.81%-3.42%-0.53%-1.81%
1999112.49%0.97%$83,057$70,3232.02%3.58%-1.57%4.53%-0.31%-2.19%
1999127.04%4.22%$108,643$93,0275.98%9.46%1.87%5.73%4.91%0.67%
20001-5.56%-4.32%$102,607$89,005-5.03%-6.78%-7.05%-0.75%-7.72%-1.56%
20002-0.70%-0.27%$101,889$88,767-1.91%2.16%-8.98%9.28%-2.49%-2.44%
200038.02%6.13%$110,056$94,2059.76%4.04%14.14%0.30%5.48%3.87%
20004-3.63%-2.27%$106,059$92,065-3.01%-5.14%2.99%-3.51%-2.58%-6.25%
20005-2.06%-1.22%$103,879$90,938-2.04%-2.10%-0.22%-4.16%1.85%1.54%
200062.85%2.70%$106,844$93,3922.49%3.76%-6.96%4.98%6.99%8.71%
20007-2.23%-0.54%$104,462$92,885-1.49%-4.03%4.38%-0.10%-3.27%-3.72%
200084.68%5.02%$109,346$97,5436.19%0.89%5.84%7.40%0.84%1.81%
20009-5.15%-2.85%$103,715$94,762-5.29%-4.78%-1.61%-1.85%-2.89%-3.20%
200010-0.99%-1.17%$102,688$93,657-0.43%-2.46%3.94%-3.78%-0.79%-5.26%
200011-6.60%-3.81%$95,911$90,086-7.88%-3.19%-3.27%-5.44%-0.08%1.29%
2000121.34%5.71%$117,602$115,6350.50%3.47%9.23%7.73%5.51%3.10%
200112.35%5.02%$120,360$121,4443.55%-0.45%4.91%10.31%0.16%2.75%
20012-8.55%-2.87%$110,069$117,955-9.14%-7.12%-0.06%-1.92%-3.05%1.02%
20013-6.36%-4.30%$103,065$112,885-6.36%-6.38%-3.09%-2.46%-6.05%-5.18%
200147.41%6.41%$110,702$120,1167.77%6.55%5.96%6.12%5.21%7.46%
20015-0.48%2.54%$110,170$123,1700.65%-3.20%2.87%6.16%-0.76%0.50%
20016-2.85%0.04%$107,025$123,217-2.45%-3.88%-1.18%3.74%-1.93%-0.86%
20017-1.26%-1.34%$105,677$121,563-1.00%-1.92%-0.16%-1.63%-2.09%-2.24%
20018-5.17%-2.08%$100,210$119,038-6.27%-2.36%-4.42%-1.34%1.43%2.16%
20019-8.53%-11.95%$91,666$104,810-8.09%-9.59%-11.14%-14.56%-12.74%-10.96%
2001102.12%2.02%$93,607$106,9281.90%2.67%-0.06%3.93%0.61%2.80%
2001116.42%6.55%$99,612$113,9307.65%3.35%9.41%7.81%3.62%0.54%
2001120.75%2.84%$121,076$137,8900.87%0.42%2.34%7.02%0.42%-1.50%
20021-2.60%-0.18%$117,923$137,647-1.47%-5.24%1.04%1.54%-2.21%-0.99%
20022-1.19%0.50%$116,518$138,336-1.94%0.61%1.28%-0.16%1.13%3.98%
200234.31%6.13%$121,541$146,8133.74%5.65%4.16%9.86%6.21%4.79%
20024-4.16%1.01%$116,486$148,291-6.07%0.29%-0.91%4.53%3.35%3.92%
20025-0.04%0.43%$116,440$148,921-0.75%1.51%0.62%-3.15%3.34%6.28%
20026-6.03%-3.92%$109,414$143,083-7.13%-3.69%-6.08%-2.07%-2.81%-1.77%
20027-8.19%-10.90%$100,457$127,485-7.72%-9.14%-11.10%-15.60%-10.25%-5.29%
200280.36%0.03%$100,820$127,5280.65%-0.24%1.62%-1.25%-0.10%-0.25%
20029-10.73%-9.51%$90,006$115,402-10.87%-10.41%-11.13%-7.28%-11.89%-6.62%
2002107.65%3.22%$96,887$119,1178.78%5.27%3.92%1.62%2.85%-0.95%
2002115.41%6.36%$102,127$126,6955.88%4.40%7.07%8.52%6.00%2.20%
200212-5.02%-3.37%$118,212$143,635-5.89%-3.11%-4.55%-3.58%-2.57%1.23%
20031-3.04%-2.58%$114,622$139,934-2.62%-4.00%-2.32%-3.45%-3.37%0.27%
20032-1.79%-2.36%$112,567$136,630-1.52%-2.44%-2.93%-4.11%-1.97%0.54%
200330.10%-0.51%$112,679$135,9270.96%-1.95%-0.47%-0.21%-2.46%-0.94%
200348.60%9.72%$122,372$149,1358.25%9.46%9.20%10.56%10.95%9.52%
200355.47%8.36%$129,063$161,5955.26%5.96%6.69%11.72%7.57%10.06%
200361.58%2.81%$131,107$166,1341.26%2.37%1.08%3.65%3.22%5.64%
200371.91%4.21%$133,613$173,1311.74%2.31%2.52%7.04%4.50%4.06%
200382.03%3.79%$136,324$179,6891.93%2.26%3.55%5.14%2.59%5.54%
200390.15%0.55%$136,529$180,682-1.07%3.05%-2.20%-0.78%3.84%5.64%
2003105.75%7.53%$144,375$194,2975.64%5.99%6.69%10.00%7.85%5.71%
2003111.26%2.28%$146,196$198,7250.86%2.16%2.22%4.16%2.09%0.44%
2003125.89%6.11%$176,425$232,4855.22%7.40%6.83%5.33%7.47%6.27%
200411.66%3.29%$179,359$240,1431.82%1.29%1.69%4.89%2.53%6.10%
200421.63%2.13%$182,288$245,2681.38%2.23%2.58%1.41%2.99%3.07%
20043-0.83%0.67%$180,769$246,923-1.51%0.75%-0.40%0.94%1.56%4.20%
20044-2.04%-2.56%$177,079$240,601-1.58%-3.10%-1.69%-3.17%-3.01%-3.52%
200451.18%0.55%$179,167$241,9201.36%0.77%0.57%0.38%0.96%-0.99%
200462.18%4.22%$183,082$252,1201.93%2.78%2.99%6.69%4.14%4.55%
20047-3.44%-3.97%$176,780$242,104-3.31%-3.75%-3.27%-5.33%-3.69%-3.48%
200480.46%0.04%$177,598$242,1950.38%0.65%0.00%-1.49%1.25%1.23%
200491.34%3.16%$179,974$249,8401.07%1.96%3.08%4.93%3.19%2.66%
2004102.08%1.94%$183,713$254,6751.51%3.37%1.17%0.96%3.83%3.26%
2004114.75%7.46%$192,436$273,6864.05%6.33%6.55%10.00%7.37%8.75%
2004123.75%4.11%$221,961$307,2413.39%4.52%3.99%3.62%4.98%5.16%
20051-2.25%-1.89%$216,960$301,431-2.45%-1.78%-2.49%-3.57%-1.04%2.79%
200522.63%3.12%$222,657$310,8462.09%3.86%3.02%2.70%3.95%4.74%
20053-1.94%-1.53%$218,334$306,086-1.76%-2.36%-0.26%-1.95%-2.50%-0.94%
20054-1.94%-3.91%$214,089$294,119-1.91%-2.02%-3.44%-7.28%-3.05%-1.95%
200552.01%3.16%$218,403$303,4003.17%-0.63%4.28%6.65%0.13%-1.49%
200560.52%2.17%$219,529$309,9920.13%1.44%2.03%4.17%1.58%2.35%
200573.51%5.06%$227,232$325,6883.71%3.04%4.96%7.11%4.45%3.80%
200580.45%0.22%$228,257$326,420-0.91%3.68%-0.83%-1.67%3.30%3.90%
200591.57%1.51%$231,832$331,3570.79%3.31%1.54%0.80%2.79%2.34%
200510-1.84%-2.29%$227,567$323,773-1.68%-2.20%-2.68%-2.92%-1.53%-2.32%
2005113.08%3.32%$234,568$334,5203.76%1.55%3.98%4.21%1.79%1.86%
2005121.61%1.83%$261,430$363,7160.02%5.22%0.13%0.34%4.86%6.44%
200613.60%6.13%$270,851$385,9992.65%5.84%4.74%8.82%6.81%7.33%
20062-0.02%0.08%$270,792$386,2920.26%-0.67%-0.35%-0.35%0.93%0.21%
200631.98%3.71%$276,151$400,6041.23%3.69%1.76%6.09%4.21%4.77%
200642.42%2.56%$282,843$410,8471.33%4.85%2.82%0.98%5.03%4.15%
20065-3.12%-3.57%$274,006$396,192-2.90%-3.62%-1.86%-4.39%-4.04%-4.80%
20066-0.04%-0.14%$273,906$395,6420.13%-0.39%0.87%0.05%-0.69%-1.86%
200670.75%-1.01%$275,967$391,6450.61%1.07%-1.45%-3.75%1.55%-0.36%
200682.45%2.31%$282,715$400,6882.36%2.63%1.61%1.95%3.40%2.55%
200691.74%1.80%$287,638$407,9142.56%-0.04%2.76%1.19%1.40%0.95%
2006103.43%4.36%$297,514$425,7053.25%3.84%3.96%5.43%4.42%4.39%
2006112.22%2.83%$304,131$437,7481.89%2.96%1.89%3.03%3.27%4.83%
2006121.78%2.29%$333,215$471,4391.39%2.64%2.01%1.38%3.89%3.75%
200711.43%2.19%$337,980$481,7701.49%1.28%2.89%2.20%1.86%2.67%
20072-1.29%-0.59%$333,608$478,926-1.97%0.29%-1.50%-0.23%-0.08%1.81%
200731.61%1.79%$338,995$487,4781.11%2.77%0.66%1.09%3.21%4.35%
200744.15%3.58%$353,047$504,9294.42%3.53%4.24%1.81%5.02%2.97%
200753.36%3.45%$364,920$522,3243.48%3.10%4.10%3.65%3.41%1.91%
20076-1.22%-1.30%$360,463$515,540-1.68%-0.19%-1.62%-1.55%-0.73%-0.42%
20077-2.72%-4.58%$350,675$491,927-3.08%-1.89%-6.21%-7.64%-2.79%-0.25%
200780.82%-1.04%$353,540$486,8281.50%-0.69%-1.91%-0.76%-1.16%-4.10%
200794.26%2.50%$368,586$498,9993.72%5.46%2.58%-0.28%5.20%2.08%
2007102.47%2.18%$377,703$509,8651.58%4.46%0.54%1.11%4.82%3.94%
200711-3.99%-6.51%$362,626$476,652-4.19%-3.57%-5.60%-8.72%-6.08%-8.12%
200712-1.22%-1.35%$382,838$494,839-0.70%-2.33%-0.32%-1.20%-2.18%-3.12%
20081-6.48%-5.42%$358,017$468,007-6.02%-7.57%-3.84%-3.94%-8.10%-6.60%
20082-2.31%-2.11%$349,740$458,116-3.25%-0.08%-3.09%-2.84%-1.30%2.19%
20083-0.41%0.28%$348,296$459,386-0.44%-0.35%-0.93%0.84%1.20%0.93%
200844.99%3.78%$365,663$476,7334.85%5.29%6.27%1.66%4.44%1.70%
200851.54%2.20%$371,284$487,2311.29%2.10%2.38%4.14%0.04%2.20%
20086-8.29%-9.75%$340,493$439,738-8.44%-7.96%-10.96%-10.10%-9.93%-8.74%
20087-1.69%-0.87%$334,724$435,921-0.83%-3.64%-1.12%2.07%-2.83%-4.44%
20088-0.27%0.81%$333,809$439,4711.45%-4.27%1.96%4.15%-4.22%-3.22%
20089-9.85%-9.40%$300,940$398,171-8.91%-12.16%-9.00%-6.89%-11.67%-14.39%
200810-18.00%-21.52%$246,768$312,466-16.79%-21.08%-22.53%-22.14%-25.09%-21.76%
200811-6.86%-9.18%$229,842$283,784-7.17%-6.01%-9.81%-12.99%-6.14%-5.55%
2008122.69%4.65%$260,681$321,6381.07%7.01%3.25%5.25%7.48%9.09%
20091-9.26%-11.74%$236,546$283,862-8.41%-11.23%-11.86%-14.28%-13.77%-8.43%
20092-10.48%-12.25%$211,751$249,083-10.66%-10.06%-14.04%-12.71%-12.28%-10.99%
200938.45%9.51%$229,634$272,7728.76%7.69%9.83%10.40%10.86%6.52%
2009410.09%16.06%$252,805$316,5859.56%11.37%16.18%19.66%18.36%16.21%
200958.09%8.05%$273,263$342,0645.62%13.97%7.67%3.22%14.87%13.77%
20096-0.28%-0.44%$272,492$340,5550.22%-1.39%-1.21%0.35%-1.50%-0.33%
200978.20%10.58%$294,846$376,5857.58%9.60%9.43%13.44%11.83%9.31%
200983.70%5.72%$305,748$398,1343.60%3.91%6.80%5.14%5.68%8.66%
200993.89%4.98%$317,632$417,9463.72%4.26%4.35%6.33%5.14%4.71%
200910-2.10%-4.59%$310,973$398,759-1.87%-2.59%-4.30%-7.53%-4.02%-3.62%
2009115.27%3.81%$327,371$413,9605.98%3.72%5.63%3.11%2.92%0.54%
2009121.71%3.46%$358,297$453,6111.95%1.19%2.70%7.92%1.17%1.17%
20101-4.07%-3.41%$343,697$438,146-3.60%-5.17%-2.34%-3.16%-5.81%-1.92%
201022.38%3.23%$351,860$452,3103.09%0.67%4.32%6.15%0.31%-0.95%
201036.10%7.80%$373,314$487,5856.01%6.30%7.80%8.86%7.97%8.12%
201040.55%3.22%$375,358$503,2761.58%-1.95%3.16%8.11%-1.73%1.26%
20105-8.83%-9.94%$342,212$453,244-8.01%-10.90%-8.56%-9.90%-11.77%-13.46%
20106-4.23%-6.33%$327,726$424,560-5.24%-1.63%-7.56%-10.14%-1.74%-2.01%
201077.95%8.90%$353,773$462,3487.00%10.32%7.82%8.69%12.47%9.73%
20108-4.21%-6.08%$338,877$434,248-4.53%-3.44%-6.11%-8.38%-4.94%-4.67%
201099.19%10.84%$370,021$481,3128.92%9.84%9.80%12.93%10.71%11.23%
2010103.74%3.76%$383,864$499,3903.79%3.63%3.68%4.17%3.55%3.13%
201011-1.30%-0.07%$378,888$499,0210.00%-4.38%-0.75%4.49%-5.11%-2.85%
2010127.06%9.17%$431,346$570,4716.67%8.03%9.72%9.18%9.37%12.32%
201112.33%2.28%$441,388$583,4552.36%2.26%3.23%0.31%4.24%2.09%
201123.57%4.54%$457,146$609,9203.42%3.93%5.39%6.28%3.29%2.90%
20113-0.67%0.23%$454,078$611,3520.03%-2.29%0.45%2.05%-2.76%0.50%
201143.77%2.95%$471,192$629,3812.95%5.72%2.51%1.26%5.32%4.30%
20115-1.66%-2.48%$463,382$613,800-1.15%-2.84%-1.42%-3.12%-3.61%-3.43%
20116-1.60%-1.75%$455,986$603,042-1.67%-1.42%-1.82%-1.81%-1.40%-2.18%
20117-2.05%-3.02%$446,660$584,854-2.05%-2.04%-4.57%-2.88%-3.23%-1.92%
20118-6.32%-8.94%$418,413$532,593-5.45%-8.39%-8.46%-10.58%-10.72%-9.51%
20119-8.20%-10.45%$384,101$476,932-7.04%-11.01%-10.10%-12.58%-10.94%-11.80%
20111010.56%12.22%$424,675$535,20410.91%9.68%13.81%15.82%9.56%7.61%
201111-0.87%-1.34%$420,967$528,035-0.23%-2.51%-0.83%-0.68%-3.29%-3.23%
2011120.10%-0.05%$447,859$554,2221.02%-2.30%0.79%1.01%-2.67%-2.66%
201214.94%6.47%$469,964$590,0814.46%6.04%4.96%7.43%6.72%10.01%
201224.47%4.65%$490,986$617,5054.31%4.85%5.77%3.18%5.15%5.96%
201232.23%1.57%$501,934$627,2123.28%-0.17%1.83%2.30%-0.78%0.13%
20124-1.02%-2.00%$496,807$614,660-0.64%-1.93%-2.09%-1.60%-3.60%-2.78%
20125-7.50%-8.48%$459,523$562,527-6.02%-11.07%-7.10%-7.12%-12.35%-12.72%
201264.82%5.04%$481,678$590,8774.11%6.63%5.37%4.38%7.04%4.93%
201271.06%0.33%$486,782$592,8311.37%0.29%0.97%-0.24%-0.41%-0.29%
201282.57%3.64%$499,275$614,4162.24%3.38%3.95%4.21%4.08%3.67%
201292.69%3.43%$512,715$635,4732.58%2.98%3.65%3.31%3.55%4.67%
201210-1.07%-0.24%$507,238$633,931-1.86%0.88%0.27%-0.82%1.29%0.93%
2012110.99%1.11%$512,257$640,9930.56%2.02%0.22%1.84%1.53%1.39%
2012121.77%3.49%$548,241$690,3120.90%3.81%3.03%3.72%4.92%6.24%
201314.84%5.83%$574,773$730,5805.18%4.05%6.94%6.56%4.64%5.13%
201320.54%0.58%$577,869$734,8231.34%-1.35%1.27%1.75%-2.99%0.60%
201333.04%3.51%$595,460$760,5813.74%1.36%4.81%4.91%0.29%2.04%
201342.60%1.45%$610,925$771,6211.91%4.30%1.00%-1.11%4.92%2.84%
201350.88%2.45%$616,279$790,5442.33%-2.64%4.13%5.39%-1.24%-1.97%
20136-1.80%-1.67%$605,201$777,319-1.35%-2.94%-1.15%-0.70%-3.53%-3.04%
201375.20%6.49%$636,646$827,7885.07%5.52%6.00%7.34%6.83%7.46%
20138-2.51%-2.75%$620,682$804,982-2.91%-1.47%-2.99%-4.17%-0.74%-1.23%
201394.24%5.19%$646,969$846,7993.12%7.06%2.95%5.24%7.54%9.69%
2013104.20%4.13%$674,144$881,8024.59%3.26%5.05%3.51%3.46%4.18%
2013112.31%3.07%$689,736$908,8693.03%0.54%4.17%5.08%0.36%0.15%
2013122.32%2.64%$733,083$960,2102.51%1.84%2.64%2.72%2.17%3.33%
20141-3.77%-3.83%$705,448$923,477-3.47%-4.47%-3.95%-5.14%-3.68%-1.38%
201424.96%5.05%$740,404$970,0684.56%5.89%3.36%5.45%5.71%6.88%
201430.49%0.94%$744,053$979,1470.82%-0.28%2.34%1.19%-0.72%0.65%
201441.00%0.00%$751,463$979,1500.72%1.64%0.66%-1.93%1.67%-0.42%
201452.05%1.47%$766,883$993,5672.33%1.39%2.17%0.83%1.10%0.79%
201461.85%2.63%$781,093$1,019,6752.05%1.38%2.72%4.44%1.21%1.57%
20147-1.66%-2.87%$768,097$990,457-1.39%-2.32%-0.74%-5.76%-2.23%-3.51%
201482.94%3.18%$790,660$1,021,9693.98%0.44%3.17%5.83%0.00%0.66%
20149-2.23%-4.21%$773,016$978,943-1.41%-4.26%-2.49%-6.98%-4.38%-5.82%
2014101.50%1.39%$784,573$992,5372.42%-0.87%0.78%4.61%-1.70%-2.20%
2014112.02%0.70%$800,429$999,4892.68%0.28%1.16%-0.28%0.00%-0.72%
201412-1.19%-0.02%$818,423$1,026,813-0.26%-3.70%0.74%2.29%-3.75%-1.10%
20151-2.11%-3.26%$801,135$993,310-3.02%0.00%-4.97%-4.95%-0.68%-0.65%
201525.84%6.52%$847,956$1,058,1235.74%6.08%7.06%5.90%7.13%7.47%
20153-1.64%-0.89%$834,028$1,048,757-1.59%-1.75%-1.92%1.78%-2.13%-1.96%
201542.04%1.87%$851,028$1,068,3390.95%4.50%2.04%-1.34%5.50%5.03%
201550.76%1.06%$857,505$1,079,6631.27%-0.36%1.07%1.36%0.05%1.56%
20156-2.21%-1.44%$838,577$1,064,086-1.93%-2.82%-1.62%0.05%-2.91%-1.39%
201571.68%-0.98%$852,681$1,053,6652.08%0.79%-0.26%-3.67%-0.97%-1.23%
20158-6.35%-5.55%$798,515$995,178-6.04%-7.06%-6.08%-4.04%-7.48%-4.27%
20159-3.15%-4.18%$773,331$953,606-2.49%-4.68%-3.23%-4.51%-6.84%-3.99%
2015107.86%6.96%$834,115$1,020,0048.42%6.54%8.16%5.28%7.63%5.25%
201511-0.07%0.66%$833,499$1,026,7470.29%-0.93%0.36%3.17%-1.30%-0.77%
201512-1.79%-3.31%$846,279$1,020,491-1.59%-2.28%-3.13%-6.20%-3.19%-0.39%
* End-of-month balance includes the annual contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value32.13%20.94%
Large-cap Growth38.20%0.00%
Mid-cap Value0.55%16.70%
Mid-cap Growth0.00%0.30%
Small-cap Value0.00%28.53%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets26.24%30.15%
Emerging Markets1.85%3.38%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries1.04%0.00%
R Squared99.86%98.60%
Style analysis is based on monthly returns from Apr 2005 to Dec 2015 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%70.00%$315,32269.60%
DFALXDFA Large Cap International IForeign Large Blend0.23%30.00%$65,18830.40%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%21.00%$120,66417.56%
DFLVXDFA US Large Cap Value ILarge Value0.27%21.00%$130,29521.42%
DFSVXDFA US Small Cap Value ISmall Value0.52%28.00%$173,12931.77%
DFIVXDFA International Value IForeign Large Value0.43%18.00%$56,45318.38%
DISVXDFA International Small Cap Value IForeign Small/Mid Value0.68%12.00%$74,18110.87%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/05/2019. © 2019 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)0.67%0.84%
Arithmetic Mean (annualized)8.39%10.59%
Geometric Mean (monthly)0.58%0.72%
Geometric Mean (annualized)7.15%9.04%
Volatility (monthly)4.38%4.82%
Volatility (annualized)15.17%16.68%
Downside Deviation (monthly)3.02%3.30%
Max. Drawdown-52.50%-58.16%
US Market Correlation0.980.93
Beta(*)0.950.99
Alpha (annualized)-0.60%1.04%
R295.84%86.33%
Sharpe Ratio0.380.46
Sortino Ratio0.530.66
Treynor Ratio (%)6.077.86
Calmar Ratio1.180.92
Active Return-1.09%0.81%
Tracking Error3.21%6.17%
Information Ratio-0.340.13
Skewness-0.70-0.77
Excess Kurtosis1.322.47
Historical Value-at-Risk (5%)-8.15%-9.17%
Analytical Value-at-Risk (5%)-6.52%-7.07%
Conditional Value-at-Risk (5%)-10.22%-11.85%
Upside Capture Ratio (%)91.35100.22
Downside Capture Ratio (%)94.9696.46
Safe Withdrawal Rate8.46%9.96%
Perpetual Withdrawal Rate4.63%6.29%
Positive Periods146 out of 240 (60.83%)149 out of 240 (62.08%)
Gain/Loss Ratio0.950.97
* 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
Asian CrisisJul 1997Jan 1998-5.96%-4.58%
Russian Debt DefaultJul 1998Oct 1998-14.18%-18.16%
Dotcom CrashMar 2000Oct 2002-43.98%-22.51%
Subprime CrisisNov 2007Mar 2009-52.50%-57.14%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20133 years 11 months5 years 3 months-52.50%
2Apr 2000Sep 20022 years 6 monthsMar 20063 years 6 months6 years-43.98%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-14.18%
4Jun 2015Sep 20154 months-9.82%
5Jan 2000Feb 20002 monthsMar 20001 month3 months-6.22%
6Aug 1997Aug 19971 monthJan 19985 months6 months-5.96%
7Jul 1996Jul 19961 monthSep 19962 months3 months-3.97%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-3.90%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.77%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.28%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsJan 20133 years 11 months5 years 8 months-58.16%
2Jun 2002Sep 20024 monthsAug 200311 months1 year 3 months-22.51%
3May 1998Aug 19984 monthsApr 19998 months1 year-19.65%
4Jul 2001Sep 20013 monthsMar 20026 months9 months-14.94%
5Jun 2015Sep 20154 months-11.68%
6Sep 2000Nov 20003 monthsJan 20012 months5 months-7.65%
7Feb 2001Mar 20012 monthsMay 20012 months4 months-7.05%
8Jun 1996Jul 19962 monthsOct 19963 months5 months-5.80%
9Sep 2014Jan 20155 monthsFeb 20151 month6 months-5.41%
10Mar 2005Apr 20052 monthsJul 20053 months5 months-5.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor8.09%15.32%33.19%-37.02%-50.97%0.430.620.99
DFALXDFA Large Cap International I4.60%16.67%36.70%-41.44%-55.97%0.210.300.85
DFLVXDFA US Large Cap Value I9.27%18.00%40.32%-40.80%-60.60%0.460.650.89
DFSVXDFA US Small Cap Value I10.98%20.25%59.40%-36.79%-61.18%0.500.740.85
DFIVXDFA International Value I5.75%18.55%49.93%-46.33%-62.70%0.270.380.80
DISVXDFA International Small Cap Value I7.73%17.61%66.48%-41.68%-57.69%0.380.560.70

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXDFALXDFLVXDFSVXDFIVXDISVXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor-0.840.900.790.800.680.980.91
DFALXDFA Large Cap International I0.84-0.800.750.960.870.920.90
DFLVXDFA US Large Cap Value I0.900.80-0.850.820.740.900.95
DFSVXDFA US Small Cap Value I0.790.750.85-0.770.740.810.94
DFIVXDFA International Value I0.800.960.820.77-0.920.880.92
DISVXDFA International Small Cap Value I0.680.870.740.740.92-0.760.86

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$315,322$120,664
DFALXDFA Large Cap International I$65,188
DFLVXDFA US Large Cap Value I$130,295
DFSVXDFA US Small Cap Value I$173,129
DFIVXDFA International Value I$56,453
DISVXDFA International Small Cap Value I$74,181

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor69.60%17.56%
DFALXDFA Large Cap International I30.40%
DFLVXDFA US Large Cap Value I21.42%
DFSVXDFA US Small Cap Value I31.77%
DFIVXDFA International Value I18.38%
DISVXDFA International Small Cap Value I10.87%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.86%30.96%-38.35%10.80%46.81%-39.98%
3 years7.28%24.56%-15.12%9.58%25.88%-9.67%
5 years5.36%16.18%-1.95%8.60%19.62%-2.40%
7 years4.72%12.52%0.01%8.28%13.38%2.75%
10 years5.06%8.34%-0.60%8.51%12.87%4.46%
15 years4.82%6.35%3.78%8.33%9.21%7.53%
Result statistics are based on annualized rolling returns over full calendar year periods