Backtest Portfolio Asset Allocation

This online 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 Analysis Results (Nov 2013 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFELX DFA Enhanced US Large Company I 10.00%
DFLVX DFA US Large Cap Value I 10.00%
DFSTX DFA US Small Cap I 5.00%
DFSVX DFA US Small Cap Value I 15.00%
DFREX DFA Real Estate Securities I 5.00%
DFALX DFA Large Cap International I 10.00%
DFEMX DFA Emerging Markets I 5.00%
DFIGX DFA Intermediate Govt Fixed-Income I 10.00%
DFFGX DFA Short-Term Government I 20.00%
DFGBX DFA Five-Year Global Fixed-Income I 10.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DFELX DFA Enhanced US Large Company I 8.71%
DFLVX DFA US Large Cap Value I 8.48%
DFSTX DFA US Small Cap I 4.22%
DFSVX DFA US Small Cap Value I 12.73%
DFREX DFA Real Estate Securities I 4.22%
DFALX DFA Large Cap International I 8.48%
DFEMX DFA Emerging Markets I 4.22%
DFIGX DFA Intermediate Govt Fixed-Income I 8.48%
DFFGX DFA Short-Term Government I 16.98%
DFGBX DFA Five-Year Global Fixed-Income I 8.48%
QSPIX AQR Style Premia Alternative I 15.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,086 3.74% 6.51%10.87%-6.39%-9.12% 0.510.720.95
Portfolio 2$10,000$12,150 3.84% 5.73%11.06%-7.28%-8.86% 0.590.830.94
Portfolio 3$10,000$15,366 8.67% 11.05%21.05%-5.26%-14.28% 0.761.141.00
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2013 are based on full calendar months from November to December
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceDFA Enhanced US Large Company I (DFELX)DFA US Large Cap Value I (DFLVX)DFA US Small Cap I (DFSTX)DFA US Small Cap Value I (DFSVX)DFA Real Estate Securities I (DFREX)DFA Large Cap International I (DFALX)DFA Emerging Markets I (DFEMX)DFA Intermediate Govt Fixed-Income I (DFIGX)DFA Short-Term Government I (DFFGX)DFA Five-Year Global Fixed-Income I (DFGBX)AQR Style Premia Alternative I (QSPIX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2013-0.21%2.38%2.65%5.59%$10,238$10,265$10,5595.56%6.92%6.82%7.94%-5.02%2.39%-2.57%-1.26%-0.31%-0.70%4.08%5.59%
20140.76%5.11%6.05%12.43%$10,761$10,886$11,87113.54%10.07%4.44%3.48%31.11%-5.24%-1.71%5.18%1.25%2.87%11.30%12.43%
20150.73%-1.97%-0.36%0.29%$10,548$10,847$11,9061.08%-3.49%-3.29%-7.81%3.24%-2.86%-15.81%1.77%0.99%1.45%8.76%0.29%
20162.07%10.40%8.77%12.53%$11,645$11,798$13,39812.60%18.89%23.53%28.26%8.38%3.16%12.09%1.15%0.99%1.79%-0.47%12.53%
20172.11%10.87%11.06%21.05%$12,911$13,103$16,21921.44%18.97%11.52%7.21%5.71%25.37%36.57%2.22%0.51%1.97%12.04%21.05%
20181.91%-6.39%-7.28%-5.26%$12,086$12,150$15,366-5.45%-11.65%-13.13%-15.13%-2.99%-14.14%-13.62%0.92%1.17%1.68%-12.35%-5.26%
Annual returns for 2013 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA Enhanced US Large Company I (DFELX)DFA US Large Cap Value I (DFLVX)DFA US Small Cap I (DFSTX)DFA US Small Cap Value I (DFSVX)DFA Real Estate Securities I (DFREX)DFA Large Cap International I (DFALX)DFA Emerging Markets I (DFEMX)DFA Intermediate Govt Fixed-Income I (DFIGX)DFA Short-Term Government I (DFFGX)DFA Five-Year Global Fixed-Income I (DFGBX)AQR Style Premia Alternative I (QSPIX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2013111.47%1.90%2.88%$10,147$10,190$10,2883.08%4.17%4.70%5.08%-5.33%0.54%-1.52%-0.16%0.19%0.18%4.30%2.88%
2013120.90%0.73%2.63%$10,238$10,265$10,5592.41%2.64%2.03%2.72%0.32%1.84%-1.06%-1.10%-0.50%-0.88%-0.21%2.63%
20141-1.91%-2.00%-3.11%$10,042$10,060$10,231-3.32%-3.95%-4.10%-5.14%4.24%-4.47%-6.97%1.71%0.47%1.11%-2.46%-3.11%
201422.87%2.45%4.73%$10,330$10,307$10,7154.53%3.36%4.57%5.45%5.07%5.89%3.60%0.24%0.09%0.18%0.10%4.73%
201430.57%0.93%0.51%$10,389$10,403$10,7700.77%2.34%0.54%1.19%0.65%-0.28%3.48%-0.26%-0.17%-0.49%3.02%0.51%
201440.26%0.42%0.06%$10,416$10,446$10,7770.80%0.66%-2.95%-1.93%3.62%1.64%0.58%0.64%0.19%0.55%1.37%0.06%
201451.31%1.30%2.17%$10,552$10,582$11,0112.45%2.17%0.56%0.83%2.37%1.39%3.38%1.04%0.37%0.73%1.25%2.17%
201461.64%1.16%2.54%$10,725$10,705$11,2901.92%2.72%4.75%4.44%1.04%1.38%2.75%-0.13%-0.11%-0.12%-1.52%2.54%
20147-1.64%-1.04%-1.98%$10,549$10,594$11,067-1.44%-0.74%-5.99%-5.76%0.07%-2.32%1.16%-0.24%-0.19%-0.27%2.47%-1.98%
201482.37%1.94%4.18%$10,799$10,800$11,5304.08%3.17%4.74%5.83%2.84%0.44%3.09%0.96%0.19%0.64%-0.48%4.18%
20149-2.99%-2.54%-2.14%$10,476$10,525$11,283-1.48%-2.49%-5.39%-6.98%-6.01%-4.26%-7.39%-0.66%-0.08%-0.45%0.00%-2.14%
2014102.07%2.22%2.74%$10,693$10,759$11,5922.48%0.78%5.94%4.61%10.37%-0.87%1.06%0.96%0.38%0.73%3.09%2.74%
2014110.73%1.25%2.41%$10,771$10,894$11,8722.86%1.16%0.35%-0.28%2.08%0.28%-1.01%0.95%0.37%0.63%4.12%2.41%
201412-0.10%-0.08%-0.01%$10,761$10,886$11,871-0.55%0.74%2.31%2.29%1.83%-3.70%-4.52%-0.13%-0.26%-0.38%0.02%-0.01%
20151-0.71%-0.78%-2.77%$10,685$10,801$11,542-2.70%-4.97%-4.14%-4.95%6.89%0.00%0.64%2.79%0.94%1.65%-1.12%-2.77%
201522.61%1.65%5.76%$10,964$10,979$12,2075.56%7.06%6.60%5.90%-3.71%6.08%3.02%-1.63%-0.47%-0.72%-3.90%5.76%
201530.05%0.40%-1.04%$10,969$11,023$12,081-1.44%-1.92%1.77%1.78%1.77%-1.75%-2.12%0.90%0.51%0.45%2.56%-1.04%
201540.44%0.17%0.42%$11,018$11,042$12,1310.89%2.04%-2.32%-1.34%-5.88%4.50%6.65%-0.24%0.00%0.09%-1.46%0.42%
201550.27%0.70%1.39%$11,048$11,119$12,3001.36%1.07%1.74%1.36%-0.25%-0.36%-4.02%-0.16%0.09%0.00%3.27%1.39%
20156-1.09%-1.02%-1.71%$10,928$11,006$12,090-2.11%-1.62%1.01%0.05%-4.38%-2.82%-2.44%-0.80%-0.06%-0.50%-0.61%-1.71%
20157-0.24%0.12%1.63%$10,901$11,018$12,2872.19%-0.26%-1.27%-3.67%5.74%0.79%-6.45%0.88%0.19%0.36%2.16%1.63%
20158-3.55%-3.10%-6.03%$10,515$10,677$11,547-6.26%-6.08%-5.00%-4.04%-6.08%-7.06%-8.28%0.00%-0.09%-0.09%-0.50%-6.03%
20159-1.51%-0.43%-2.93%$10,355$10,631$11,208-2.37%-3.23%-3.83%-4.51%3.17%-4.68%-2.72%1.09%0.61%0.82%5.57%-2.93%
2015103.76%3.36%7.84%$10,744$10,988$12,0878.57%8.16%5.87%5.28%5.73%6.54%6.03%-0.39%-0.19%-0.09%1.25%7.84%
2015110.23%-0.03%0.54%$10,769$10,985$12,1530.16%0.36%2.53%3.17%-0.54%-0.93%-3.47%-0.32%-0.37%-0.18%-1.42%0.54%
201512-2.05%-1.25%-2.03%$10,548$10,847$11,906-1.92%-3.13%-5.38%-6.20%1.89%-2.28%-2.76%-0.31%-0.17%-0.33%3.01%-2.03%
20161-2.89%-2.20%-5.67%$10,243$10,609$11,231-4.77%-6.81%-6.35%-7.18%-3.38%-5.52%-4.26%2.49%1.13%1.19%1.78%-5.67%
201620.09%-0.21%-0.04%$10,253$10,586$11,2260.00%0.17%1.05%1.17%-0.34%-2.81%-0.61%0.86%0.28%0.27%-1.84%-0.04%
201635.03%4.21%7.01%$10,768$11,032$12,0137.12%7.26%7.61%8.77%10.32%6.97%13.19%0.33%0.25%0.84%-0.30%7.01%
201640.77%0.72%0.63%$10,851$11,111$12,0890.51%2.71%0.94%1.80%-2.50%2.66%0.59%-0.08%-0.09%0.09%0.40%0.63%
201650.22%-0.02%1.79%$10,876$11,109$12,3051.70%1.33%1.27%0.47%2.21%-0.56%-3.94%-0.08%-0.19%-0.18%-1.48%1.79%
201660.79%0.83%0.23%$10,962$11,201$12,3330.45%-0.10%-0.52%-1.16%7.04%-2.34%5.29%2.35%0.99%1.28%1.10%0.23%
201672.65%2.22%3.95%$11,252$11,451$12,8203.74%3.44%5.00%4.85%4.26%4.20%5.12%0.31%0.00%0.27%-0.30%3.95%
201680.19%-0.19%0.26%$11,273$11,429$12,8530.00%1.16%1.50%1.74%-3.38%0.56%1.19%-0.69%-0.46%-0.45%-2.48%0.26%
201690.42%0.42%0.15%$11,320$11,476$12,873-0.01%0.48%0.40%1.21%-1.88%1.34%1.25%0.07%0.22%0.18%0.41%0.15%
201610-1.68%-1.22%-2.21%$11,131$11,336$12,588-1.85%-1.72%-3.40%-3.14%-5.82%-1.96%0.21%-1.00%-0.19%-0.36%1.62%-2.21%
2016112.90%2.53%4.44%$11,453$11,624$13,1463.52%7.85%12.11%14.87%-1.81%-1.38%-5.22%-3.19%-0.93%-1.43%0.30%4.44%
2016121.68%1.50%1.92%$11,645$11,798$13,3982.00%2.49%2.92%3.41%4.64%2.60%0.00%-0.11%-0.01%0.11%0.42%1.92%
201711.01%0.92%1.91%$11,763$11,907$13,6541.92%1.45%0.00%-0.53%-0.14%3.62%5.98%0.32%0.19%0.28%0.40%1.91%
201721.34%1.55%3.71%$11,921$12,092$14,1613.92%3.01%1.18%0.32%3.34%0.89%3.32%0.57%0.09%0.37%2.71%3.71%
201730.14%-0.18%0.07%$11,937$12,070$14,1700.20%-0.93%-0.19%-1.14%-2.32%2.78%3.21%0.07%0.17%0.12%-1.96%0.07%
201740.85%0.66%1.05%$12,039$12,150$14,3191.13%0.66%0.88%0.46%0.09%2.28%1.91%0.89%0.28%0.64%-0.40%1.05%
201750.13%0.17%1.01%$12,054$12,171$14,4631.49%-0.11%-2.50%-3.51%-0.49%3.16%2.98%0.64%0.19%0.36%0.40%1.01%
201760.82%0.73%0.92%$12,154$12,260$14,5960.51%1.65%2.60%2.59%2.10%0.53%0.93%-0.38%-0.18%-0.21%0.20%0.92%
201771.38%1.61%1.87%$12,321$12,458$14,8692.28%1.68%0.79%0.77%1.26%2.91%5.28%0.40%0.28%0.46%2.99%1.87%
20178-0.15%0.06%0.15%$12,303$12,466$14,8900.29%-0.94%-2.31%-2.55%0.11%0.22%2.07%1.12%0.38%0.55%1.26%0.15%
201791.97%1.73%2.45%$12,546$12,682$15,2561.81%3.85%7.08%7.92%-0.32%2.44%-0.98%-1.11%-0.37%-0.45%0.38%2.45%
2017100.91%1.24%2.16%$12,660$12,839$15,5852.32%1.44%1.02%0.96%-0.54%1.60%3.39%-0.08%-0.19%0.18%3.14%2.16%
2017111.28%1.28%3.04%$12,822$13,004$16,0592.82%3.55%3.07%2.12%2.80%0.85%0.30%-0.32%-0.28%-0.18%1.29%3.04%
2017120.70%0.76%0.99%$12,911$13,103$16,2190.96%2.31%-0.31%0.03%-0.18%1.60%3.38%0.09%-0.05%-0.14%1.13%0.99%
201811.75%1.74%5.31%$13,137$13,332$17,0805.41%5.14%2.20%1.50%-3.34%4.93%7.52%-1.62%-0.57%-0.64%1.64%5.31%
20182-3.09%-2.93%-3.72%$12,731$12,942$16,445-3.96%-4.96%-4.49%-4.68%-7.44%-5.10%-4.79%-0.66%-0.19%-0.09%-1.99%-3.72%
20183-0.05%0.11%-1.99%$12,725$12,956$16,117-2.70%-2.28%0.89%0.93%3.96%-0.57%-0.51%0.86%0.29%0.37%1.06%-1.99%
201840.19%0.06%0.38%$12,749$12,964$16,1780.16%0.16%0.82%1.32%0.49%1.61%-1.29%-1.07%-0.38%-0.09%-0.67%0.38%
201851.61%0.70%2.79%$12,954$13,054$16,6302.59%0.92%5.22%6.29%3.69%-1.54%-3.95%0.83%0.48%0.55%-4.43%2.79%
20186-0.08%-0.52%0.68%$12,944$12,986$16,7430.46%-0.70%0.86%0.06%4.30%-1.41%-4.25%0.13%-0.00%0.09%-3.12%0.68%
201871.53%1.32%3.34%$13,142$13,158$17,3013.67%4.13%2.12%1.61%0.85%2.65%3.60%-0.42%-0.19%0.00%0.00%3.34%
201881.20%0.91%3.44%$13,299$13,277$17,8973.39%1.44%3.69%2.84%2.82%-2.03%-2.30%0.83%0.48%0.55%-0.94%3.44%
20189-0.85%-0.55%0.16%$13,186$13,205$17,9250.45%0.07%-2.49%-3.19%-2.43%0.82%-1.19%-0.85%-0.27%-0.30%1.36%0.16%
201810-4.68%-4.45%-7.40%$12,569$12,617$16,599-7.06%-6.36%-9.86%-9.41%-2.21%-8.35%-8.35%-0.25%0.10%0.28%-3.00%-7.40%
2018111.32%0.96%2.06%$12,736$12,738$16,9412.00%2.33%1.00%0.91%4.89%0.19%4.36%1.01%0.48%0.37%-1.28%2.06%
201812-5.10%-4.62%-9.29%$12,086$12,150$15,366-8.89%-11.00%-12.30%-12.79%-7.53%-5.56%-2.32%2.18%0.95%0.59%-1.55%-9.29%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value11.15%19.12%34.72%
Large-cap Growth5.11%3.36%45.89%
Mid-cap Value9.33%0.00%6.27%
Mid-cap Growth1.59%6.14%5.28%
Small-cap Value13.12%12.34%2.17%
Small-cap Growth2.69%0.00%4.22%
Global ex-US Developed Markets10.63%6.07%1.03%
Emerging Markets4.99%4.78%0.42%
Corporate Bonds3.28%5.38%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries10.61%9.00%0.00%
Short-Term Treasuries27.50%33.80%0.00%
R Squared99.45%96.43%99.85%
Style analysis is based on monthly returns from Nov 2013 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
DFELXDFA Enhanced US Large Company ILarge Blend0.15%10.00%$51815.60%
DFLVXDFA US Large Cap Value ILarge Value0.27%10.00%$40417.31%
DFSTXDFA US Small Cap ISmall Blend0.37%5.00%$14610.17%
DFSVXDFA US Small Cap Value ISmall Value0.52%15.00%$32732.26%
DFREXDFA Real Estate Securities IReal Estate0.18%5.00%$2105.59%
DFALXDFA Large Cap International IForeign Large Blend0.24%10.00%$85.5914.11%
DFEMXDFA Emerging Markets IDiversified Emerging Mkts0.48%5.00%$82.117.38%
DFIGXDFA Intermediate Govt Fixed-Income IIntermediate Government6.160.12%10.00%$109-1.17%
DFFGXDFA Short-Term Government IShort Government2.690.19%20.00%$104-1.01%
DFGBXDFA Five-Year Global Fixed-Income IWorld Bond3.780.27%10.00%$101-0.25%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
DFELXDFA Enhanced US Large Company ILarge Blend0.15%8.71%$45715.41%
DFLVXDFA US Large Cap Value ILarge Value0.27%8.48%$34816.52%
DFSTXDFA US Small Cap ISmall Blend0.37%4.22%$1259.44%
DFSVXDFA US Small Cap Value ISmall Value0.52%12.73%$28429.94%
DFREXDFA Real Estate Securities IReal Estate0.18%4.22%$1795.49%
DFALXDFA Large Cap International IForeign Large Blend0.24%8.48%$73.9413.37%
DFEMXDFA Emerging Markets IDiversified Emerging Mkts0.48%4.22%$71.237.13%
DFIGXDFA Intermediate Govt Fixed-Income IIntermediate Government6.160.12%8.48%$93.64-1.03%
DFFGXDFA Short-Term Government IShort Government2.690.19%16.98%$89.18-0.87%
DFGBXDFA Five-Year Global Fixed-Income IWorld Bond3.780.27%8.48%$87.23-0.19%
QSPIXAQR Style Premia Alternative IMultialternative2.33%15.00%$3414.79%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%100.00%$5,366100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 02/05/2019. © 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 2Portfolio 3
Arithmetic Mean (monthly)0.32%0.33%0.75%
Arithmetic Mean (annualized)3.95%4.01%9.33%
Geometric Mean (monthly)0.31%0.31%0.70%
Geometric Mean (annualized)3.74%3.84%8.67%
Volatility (monthly)1.88%1.65%3.19%
Volatility (annualized)6.51%5.73%11.05%
Downside Deviation (monthly)1.30%1.14%2.11%
Max. Drawdown-9.12%-8.86%-14.28%
US Market Correlation0.950.941.00
Beta(*)0.560.491.00
Alpha (annualized)-1.15%-0.43%0.00%
R290.90%88.34%100.00%
Sharpe Ratio0.510.590.76
Sortino Ratio0.720.831.14
Treynor Ratio (%)5.946.968.41
Calmar Ratio0.510.430.62
Active Return-4.93%-4.83%0.00%
Tracking Error5.22%5.99%0.00%
Information Ratio-0.94-0.810.48
Skewness-0.67-0.84-0.71
Excess Kurtosis1.201.531.36
Historical Value-at-Risk (5%)-3.48%-3.07%-5.97%
Analytical Value-at-Risk (5%)-2.75%-2.37%-4.50%
Conditional Value-at-Risk (5%)-4.44%-4.05%-7.57%
Upside Capture Ratio (%)50.8045.58100.00
Downside Capture Ratio (%)61.4851.33100.00
Sustainable Withdrawal Rate18.30%18.53%20.99%
Positive Periods43 out of 62 (69.35%)41 out of 62 (66.13%)45 out of 62 (72.58%)
Gain/Loss Ratio0.700.870.70
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 months-9.12%
2Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-7.28%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-3.14%
4Sep 2014Sep 20141 monthFeb 20155 months6 months-2.99%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-1.91%
6Oct 2016Oct 20161 monthNov 20161 month2 months-1.68%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.64%
8Aug 2017Aug 20171 monthSep 20171 month2 months-0.15%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-8.86%
2Jun 2015Feb 20169 monthsJun 20164 months1 year 1 month-4.79%
3Sep 2014Sep 20141 monthNov 20142 months3 months-2.54%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-2.00%
5Oct 2016Oct 20161 monthNov 20161 month2 months-1.22%
6Jul 2014Jul 20141 monthAug 20141 month2 months-1.04%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-0.85%
8Aug 2016Aug 20161 monthSep 20161 month2 months-0.19%
9Mar 2017Mar 20171 monthApr 20171 month2 months-0.18%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-14.28%
2Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
6Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%
7Sep 2014Sep 20141 monthOct 20141 month2 months-2.14%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.98%
9Mar 2015Mar 20151 monthMay 20152 months3 months-1.04%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DFELXDFA Enhanced US Large Company I9.07%10.90%21.44%-5.45%-13.63%0.801.230.99
DFLVXDFA US Large Cap Value I7.01%12.26%18.97%-11.65%-15.97%0.570.840.95
DFSTXDFA US Small Cap I5.07%14.70%23.53%-13.13%-22.14%0.370.540.86
DFSVXDFA US Small Cap Value I3.62%15.88%28.26%-15.13%-22.82%0.270.390.82
DFREXDFA Real Estate Securities I7.15%13.86%31.11%-5.02%-13.24%0.530.850.44
DFALXDFA Large Cap International I0.88%11.32%25.37%-14.14%-19.79%0.090.120.81
DFEMXDFA Emerging Markets I1.25%14.61%36.57%-15.81%-29.13%0.120.180.59
DFIGXDFA Intermediate Govt Fixed-Income I1.91%3.54%5.18%-1.26%-5.16%0.400.63-0.33
DFFGXDFA Short-Term Government I0.89%1.36%1.25%-0.31%-1.74%0.260.42-0.36
DFGBXDFA Five-Year Global Fixed-Income I1.75%1.89%2.87%-0.70%-2.05%0.641.10-0.21
QSPIXAQR Style Premia Alternative I4.11%7.11%12.04%-12.35%-13.76%0.520.850.08
VTSMXVanguard Total Stock Mkt Idx Inv8.67%11.05%21.05%-5.26%-14.28%0.761.141.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameDFELXDFLVXDFSTXDFSVXDFREXDFALXDFEMXDFIGXDFFGXDFGBXQSPIXVTSMXPortfolio 1Portfolio 2Portfolio 3
DFELXDFA Enhanced US Large Company I-0.940.810.770.440.820.61-0.30-0.32-0.170.130.990.930.930.99
DFLVXDFA US Large Cap Value I0.94-0.860.850.300.780.57-0.49-0.51-0.370.090.950.920.910.95
DFSTXDFA US Small Cap I0.810.86-0.980.380.590.35-0.40-0.39-0.29-0.020.860.900.870.86
DFSVXDFA US Small Cap Value I0.770.850.98-0.330.570.35-0.43-0.42-0.32-0.050.820.880.850.82
DFREXDFA Real Estate Securities I0.440.300.380.33-0.280.290.400.290.460.140.440.530.540.44
DFALXDFA Large Cap International I0.820.780.590.570.28-0.78-0.24-0.28-0.120.050.810.810.800.81
DFEMXDFA Emerging Markets I0.610.570.350.350.290.78-0.040.020.130.130.590.660.660.59
DFIGXDFA Intermediate Govt Fixed-Income I-0.30-0.49-0.40-0.430.40-0.240.04-0.940.930.08-0.33-0.22-0.20-0.33
DFFGXDFA Short-Term Government I-0.32-0.51-0.39-0.420.29-0.280.020.94-0.910.10-0.36-0.24-0.22-0.36
DFGBXDFA Five-Year Global Fixed-Income I-0.17-0.37-0.29-0.320.46-0.120.130.930.91-0.08-0.21-0.09-0.07-0.21
QSPIXAQR Style Premia Alternative I0.130.09-0.02-0.050.140.050.130.080.100.08-0.080.070.260.08
VTSMXVanguard Total Stock Mkt Idx Inv0.990.950.860.820.440.810.59-0.33-0.36-0.210.08-0.950.941.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFELXDFA Enhanced US Large Company I$518$457
DFLVXDFA US Large Cap Value I$404$348
DFSTXDFA US Small Cap I$146$125
DFSVXDFA US Small Cap Value I$327$284
DFREXDFA Real Estate Securities I$210$179
DFALXDFA Large Cap International I$85.59$73.94
DFEMXDFA Emerging Markets I$82.11$71.23
DFIGXDFA Intermediate Govt Fixed-Income I$109$93.64
DFFGXDFA Short-Term Government I$104$89.18
DFGBXDFA Five-Year Global Fixed-Income I$101$87.23
QSPIXAQR Style Premia Alternative I$341
VTSMXVanguard Total Stock Mkt Idx Inv$5,366

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFELXDFA Enhanced US Large Company I15.60%15.41%
DFLVXDFA US Large Cap Value I17.31%16.52%
DFSTXDFA US Small Cap I10.17%9.44%
DFSVXDFA US Small Cap Value I32.26%29.94%
DFREXDFA Real Estate Securities I5.59%5.49%
DFALXDFA Large Cap International I14.11%13.37%
DFEMXDFA Emerging Markets I7.38%7.13%
DFIGXDFA Intermediate Govt Fixed-Income I-1.17%-1.03%
DFFGXDFA Short-Term Government I-1.01%-0.87%
DFGBXDFA Five-Year Global Fixed-Income I-0.25%-0.19%
QSPIXAQR Style Premia Alternative I4.79%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year3.60%10.87%-6.39%3.65%11.06%-7.28%8.21%21.05%-5.26%
3 years5.10%6.26%4.39%4.99%6.38%3.85%9.37%10.96%8.26%
5 years3.37%3.37%3.37%3.43%3.43%3.43%7.79%7.79%7.79%
Result statistics are based on annualized rolling returns over full calendar year periods