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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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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Asset 11
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Asset 12
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Portfolio Analysis Results (Feb 2008 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 25.00%
DFLVX DFA US Large Cap Value I 25.00%
DISVX DFA International Small Cap Value I 20.00%
DFIVX DFA International Value I 20.00%
DEMSX DFA Emerging Markets Small Cap I 10.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SFSNX Schwab Fundamental US Small Company Idx 25.00%
SFLNX Schwab Fundamental US Large Company Idx 25.00%
SFILX Schwab Fdmtl Intl Sm Co Idx 20.00%
SFNNX Schwab Fdmtl Intl Lg Co Idx 20.00%
SFENX Schwab Fdmtl Emerg Mkts Lg Co Idx 10.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VITSX Vanguard Total Stock Market Idx I 50.00%
VGTSX Vanguard Total Intl Stock Index Inv 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,850 4.90% 19.42%41.72%-38.82%-54.57% 0.320.460.96
Portfolio 2$10,000$18,193 5.64% 18.41%48.57%-36.99%-51.97% 0.370.540.95
Portfolio 3$10,000$16,433 4.66% 16.54%32.78%-35.88%-50.69% 0.330.470.97
   
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 2008 are based on full calendar months from February 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 excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceDFA US Small Cap Value I (DFSVX)DFA US Large Cap Value I (DFLVX)DFA International Small Cap Value I (DISVX)DFA International Value I (DFIVX)DFA Emerging Markets Small Cap I (DEMSX)Schwab Fundamental US Small Company Idx (SFSNX)Schwab Fundamental US Large Company Idx (SFLNX)Schwab Fdmtl Intl Sm Co Idx (SFILX)Schwab Fdmtl Intl Lg Co Idx (SFNNX)Schwab Fdmtl Emerg Mkts Lg Co Idx (SFENX)Vanguard Total Stock Market Idx I (VITSX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2008-0.40%-38.82%-36.99%-35.88%$6,118$6,301$6,412-34.19%-38.44%-37.56%-41.60%-48.30%-34.93%-36.93%-35.72%-38.05%-42.66%-32.88%-38.88%
20092.72%41.72%48.57%32.78%$8,670$9,362$8,51433.62%30.19%39.51%39.45%99.74%52.71%42.14%47.92%39.03%74.65%28.83%36.73%
20101.50%21.52%19.14%14.17%$10,536$11,154$9,72130.90%20.17%18.10%10.57%30.18%29.88%19.71%18.62%7.05%16.10%17.23%11.12%
20112.96%-11.80%-9.06%-6.74%$9,294$10,143$9,066-7.55%-3.14%-17.46%-16.85%-22.62%-6.15%-0.21%-12.66%-14.92%-19.53%1.09%-14.56%
20121.74%21.16%16.33%17.28%$11,260$11,800$10,63321.72%22.05%22.26%16.61%24.44%17.46%16.30%15.46%16.22%15.55%16.42%18.14%
20131.50%31.64%27.94%24.27%$14,823$15,096$13,21342.38%40.32%32.39%23.12%-1.38%38.85%34.25%25.04%24.73%-2.92%33.49%15.04%
20140.76%1.29%1.80%4.16%$15,014$15,368$13,7633.48%10.07%-4.99%-6.99%3.00%7.77%12.26%-4.63%-5.74%-11.32%12.56%-4.24%
20150.73%-4.16%-3.93%-1.98%$14,390$14,765$13,491-7.81%-3.49%3.99%-6.31%-8.70%-5.03%-2.96%5.09%-4.93%-19.59%0.42%-4.37%
20162.07%16.16%16.44%8.66%$16,716$17,193$14,65928.26%18.89%8.00%8.41%10.92%23.48%16.31%9.10%7.43%31.89%12.67%4.65%
20172.11%20.88%20.69%24.28%$20,206$20,750$18,2197.21%18.97%27.98%26.09%35.26%12.75%17.05%29.08%23.92%26.42%21.17%27.40%
20181.91%-16.61%-12.32%-9.80%$16,850$18,193$16,433-15.13%-11.65%-23.31%-17.49%-17.56%-12.05%-7.27%-18.57%-13.91%-9.93%-5.16%-14.44%
Annual returns for 2008 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA US Small Cap Value I (DFSVX)DFA US Large Cap Value I (DFLVX)DFA International Small Cap Value I (DISVX)DFA International Value I (DFIVX)DFA Emerging Markets Small Cap I (DEMSX)Schwab Fundamental US Small Company Idx (SFSNX)Schwab Fundamental US Large Company Idx (SFLNX)Schwab Fdmtl Intl Sm Co Idx (SFILX)Schwab Fdmtl Intl Lg Co Idx (SFNNX)Schwab Fdmtl Emerg Mkts Lg Co Idx (SFENX)Vanguard Total Stock Market Idx I (VITSX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20082-1.01%-0.90%-1.36%$9,899$9,910$9,864-2.84%-3.09%2.19%-1.30%2.89%-2.46%-3.46%0.69%-0.31%4.99%-3.04%0.33%
20083-0.08%-1.00%-0.65%$9,890$9,811$9,8000.84%-0.93%0.93%1.20%-4.74%-0.34%-1.95%0.29%-0.41%-3.90%-0.59%-0.71%
200843.79%4.51%5.44%$10,265$10,253$10,3341.66%6.27%1.70%4.44%6.12%3.91%4.76%2.53%4.78%8.80%5.02%5.85%
200851.99%1.81%1.80%$10,469$10,439$10,5194.14%2.38%2.20%0.04%-0.64%4.31%0.11%2.00%0.69%1.64%2.09%1.51%
20086-10.14%-9.73%-8.58%$9,408$9,423$9,616-10.10%-10.96%-8.74%-9.93%-11.52%-9.65%-10.76%-8.48%-9.65%-10.11%-8.17%-8.99%
20087-1.41%-1.06%-2.24%$9,275$9,324$9,4012.07%-1.12%-4.44%-2.83%-1.57%2.00%0.24%-3.56%-2.83%-2.99%-0.77%-3.67%
20088-0.51%-0.83%-1.75%$9,228$9,246$9,2364.15%1.96%-3.22%-4.22%-6.04%3.57%1.89%-3.70%-3.59%-7.28%1.58%-5.10%
20089-10.83%-10.42%-11.09%$8,228$8,283$8,212-6.89%-9.00%-14.39%-11.67%-18.06%-8.33%-8.22%-13.16%-11.51%-14.16%-9.24%-13.09%
200810-23.41%-21.65%-19.73%$6,302$6,490$6,592-22.14%-22.53%-21.76%-25.09%-30.34%-23.64%-18.41%-21.46%-21.02%-26.03%-17.62%-22.09%
200811-8.94%-7.92%-7.16%$5,739$5,976$6,120-12.99%-9.81%-5.55%-6.14%-6.12%-12.38%-8.19%-3.54%-5.99%-6.97%-7.90%-6.29%
2008126.61%5.45%4.78%$6,118$6,301$6,4125.25%3.25%9.09%7.48%14.08%5.50%1.40%8.85%6.35%7.59%1.89%8.16%
20091-11.74%-10.78%-10.13%$5,400$5,622$5,763-14.28%-11.86%-8.43%-13.77%-7.69%-11.65%-10.48%-8.96%-12.63%-9.30%-8.30%-11.96%
20092-11.91%-10.82%-10.00%$4,756$5,014$5,187-12.71%-14.04%-10.99%-12.28%-6.14%-11.81%-11.71%-10.54%-11.04%-6.31%-10.40%-9.58%
200939.91%9.36%8.99%$5,228$5,483$5,65310.40%9.83%6.52%10.86%13.76%8.93%9.35%7.27%8.13%16.63%8.68%9.31%
2009417.93%20.43%11.68%$6,165$6,603$6,31319.66%16.18%16.21%18.36%20.25%26.84%18.29%17.58%19.00%18.77%10.60%12.78%
2009511.01%11.41%9.85%$6,844$7,356$6,9353.22%7.67%13.77%14.87%22.91%5.49%8.07%16.36%15.26%17.02%5.38%14.35%
20096-0.64%-0.42%-0.51%$6,800$7,326$6,9000.35%-1.21%-0.33%-1.50%-0.50%1.07%-0.31%0.54%-1.83%-2.99%0.37%-1.32%
2009711.24%11.01%8.92%$7,564$8,133$7,51513.44%9.43%9.31%11.83%12.68%12.58%10.61%8.39%11.63%12.18%7.82%9.96%
200985.82%6.94%3.58%$8,004$8,697$7,7855.14%6.80%8.66%5.68%1.19%6.59%9.59%7.86%7.36%0.00%3.67%3.50%
200995.55%6.14%4.70%$8,449$9,231$8,1506.33%4.35%4.71%5.14%8.34%8.33%4.12%5.35%5.30%8.59%4.22%5.15%
200910-4.32%-5.28%-2.36%$8,084$8,743$7,958-7.53%-4.30%-3.62%-4.02%-0.11%-8.16%-5.69%-2.70%-5.53%-2.09%-2.57%-2.17%
2009113.48%3.35%4.70%$8,365$9,036$8,3323.11%5.63%0.54%2.92%5.85%2.41%5.90%1.44%2.60%4.83%5.62%3.86%
2009123.65%3.60%2.18%$8,670$9,362$8,5147.92%2.70%1.17%1.17%5.51%8.81%2.38%1.26%0.44%4.53%2.88%1.53%
20101-3.36%-3.61%-4.28%$8,379$9,023$8,150-3.16%-2.34%-1.92%-5.81%-4.43%-2.98%-2.69%-2.68%-5.45%-5.68%-3.50%-5.07%
201022.67%2.39%1.80%$8,603$9,239$8,2966.15%4.32%-0.95%0.31%1.72%5.91%4.15%-0.11%-0.82%0.44%3.36%0.22%
201038.24%7.65%6.50%$9,312$9,946$8,8368.86%7.80%8.12%7.97%8.54%8.37%7.36%7.01%7.62%7.85%6.30%6.71%
201043.00%2.44%0.27%$9,591$10,189$8,8608.11%3.16%1.26%-1.73%1.61%7.42%2.70%1.29%-1.93%-0.81%2.17%-1.71%
20105-10.60%-9.59%-9.33%$8,574$9,211$8,033-9.90%-8.56%-13.46%-11.77%-10.09%-8.34%-8.21%-11.66%-12.07%-7.95%-8.00%-10.78%
20106-5.20%-4.59%-3.53%$8,128$8,789$7,750-10.14%-7.56%-2.01%-1.74%2.65%-9.00%-5.96%-0.48%-2.24%-0.44%-5.63%-1.17%
201079.42%8.72%8.61%$8,894$9,555$8,4178.69%7.82%9.73%12.47%9.18%7.47%7.35%8.81%12.21%9.01%6.99%10.33%
20108-5.50%-4.99%-4.00%$8,404$9,078$8,081-8.38%-6.11%-4.67%-4.94%0.48%-7.27%-4.96%-3.33%-4.63%-3.06%-4.75%-3.22%
2010911.30%10.50%9.95%$9,354$10,031$8,88512.93%9.80%11.23%10.71%12.11%12.11%8.82%10.67%10.84%9.68%9.50%10.41%
2010103.71%3.64%3.76%$9,701$10,396$9,2194.17%3.68%3.13%3.55%3.99%3.91%3.31%3.21%4.12%3.74%3.98%3.55%
201011-0.87%-1.04%-1.97%$9,617$10,288$9,0374.49%-0.75%-2.85%-5.11%-2.72%3.66%0.22%-3.21%-6.06%-2.59%0.54%-4.52%
2010129.56%8.41%7.56%$10,536$11,154$9,7219.18%9.72%12.32%9.37%5.75%8.17%7.96%10.13%8.46%6.73%6.84%8.34%
201111.73%1.59%1.46%$10,719$11,331$9,8630.31%3.23%2.09%4.24%-4.24%0.00%2.28%1.35%4.11%-0.75%2.22%0.70%
201123.89%3.50%3.16%$11,136$11,727$10,1746.28%5.39%2.90%3.29%-2.95%5.87%3.65%2.39%3.23%0.00%3.59%2.71%
201130.66%0.17%0.02%$11,210$11,747$10,1752.05%0.45%0.50%-2.76%5.55%1.41%0.10%-0.28%-2.32%3.39%0.45%-0.43%
201143.35%3.56%4.10%$11,585$12,166$10,5921.26%2.51%4.30%5.32%5.25%2.17%2.74%4.30%6.17%2.55%2.99%5.24%
20115-2.77%-2.30%-2.00%$11,264$11,886$10,381-3.12%-1.42%-3.43%-3.61%-2.29%-1.95%-1.24%-2.51%-3.46%-3.11%-1.13%-2.87%
20116-1.71%-1.44%-1.65%$11,071$11,714$10,210-1.81%-1.82%-2.18%-1.40%-0.81%-1.90%-1.93%-0.28%-1.39%-1.47%-1.79%-1.51%
20117-2.81%-2.55%-1.90%$10,760$11,416$10,016-2.88%-4.57%-1.92%-3.23%1.13%-3.44%-3.24%-0.09%-3.40%-1.67%-2.25%-1.53%
20118-9.75%-8.10%-7.21%$9,711$10,491$9,294-10.58%-8.46%-9.51%-10.72%-9.51%-9.41%-5.99%-7.01%-10.21%-8.13%-5.99%-8.45%
20119-11.98%-10.53%-9.97%$8,547$9,386$8,368-12.58%-10.10%-11.80%-10.94%-17.79%-11.40%-7.45%-10.81%-10.69%-15.53%-7.75%-12.29%
20111011.95%10.84%10.91%$9,569$10,403$9,28015.82%13.81%7.61%9.56%11.02%15.15%10.97%6.01%10.00%11.69%11.54%10.22%
201111-2.11%-1.63%-1.53%$9,367$10,234$9,138-0.68%-0.83%-3.23%-3.29%-4.89%-0.59%-0.32%-2.41%-3.31%-3.05%-0.32%-2.88%
201112-0.79%-0.88%-0.79%$9,294$10,143$9,0661.01%0.79%-2.66%-2.67%-2.65%0.30%1.47%-2.89%-2.68%-3.05%0.83%-2.64%
201217.57%6.82%6.18%$9,997$10,835$9,6267.43%4.96%10.01%6.72%11.27%7.58%4.13%7.15%6.22%12.15%5.08%7.27%
201225.29%4.25%4.72%$10,526$11,296$10,0803.18%5.77%5.96%5.15%8.17%3.22%3.97%4.12%5.14%5.96%4.29%5.14%
201230.61%0.79%1.13%$10,589$11,385$10,1942.30%1.83%0.13%-0.78%-2.61%2.34%2.84%0.32%-0.54%-4.09%3.07%-0.75%
20124-2.43%-2.24%-1.20%$10,332$11,130$10,072-1.60%-2.09%-2.78%-3.60%-2.39%-1.91%-1.33%-1.81%-3.96%-2.77%-0.63%-1.78%
20125-9.48%-9.10%-8.66%$9,352$10,117$9,200-7.12%-7.10%-12.72%-12.35%-9.17%-7.09%-6.27%-10.74%-12.09%-12.17%-6.23%-11.14%
201265.18%5.12%4.93%$9,837$10,635$9,6534.38%5.37%4.93%7.04%3.83%4.39%4.53%4.74%7.61%4.62%3.91%6.03%
20127-0.08%-0.55%0.75%$9,830$10,577$9,725-0.24%0.97%-0.29%-0.41%-1.26%-1.60%0.79%-0.93%-1.05%0.48%1.03%0.44%
201283.85%3.07%2.61%$10,208$10,902$9,9794.21%3.95%3.67%4.08%2.60%3.97%2.25%2.69%4.41%1.07%2.51%2.72%
201293.96%3.47%3.08%$10,613$11,280$10,2873.31%3.65%4.67%3.55%5.85%3.23%3.15%3.53%3.20%5.41%2.58%3.62%
2012100.25%-0.48%-0.63%$10,639$11,227$10,223-0.82%0.27%0.93%1.29%-0.39%-2.18%-0.37%0.55%0.99%-1.23%-1.76%0.56%
2012111.26%1.32%1.29%$10,773$11,374$10,3541.84%0.22%1.39%1.53%1.72%1.94%0.37%1.31%1.96%0.90%0.77%1.82%
2012124.52%3.74%2.69%$11,260$11,800$10,6333.72%3.03%6.24%4.92%6.15%3.15%1.65%4.73%4.92%6.38%1.22%4.17%
201315.51%4.86%4.42%$11,881$12,374$11,1026.56%6.94%5.13%4.64%1.84%6.65%6.15%3.94%4.44%-0.11%5.50%3.34%
201320.39%0.04%0.04%$11,927$12,379$11,1061.75%1.27%0.60%-2.99%1.02%1.06%1.75%0.51%-2.96%-1.95%1.28%-1.23%
201332.90%2.73%2.38%$12,273$12,716$11,3704.91%4.81%2.04%0.29%-0.47%4.46%4.40%2.55%0.66%-1.98%3.91%0.77%
201341.65%2.38%2.60%$12,475$13,019$11,666-1.11%1.00%2.84%4.92%2.03%0.18%1.57%4.28%5.67%0.00%1.70%3.58%
201351.66%0.33%-0.24%$12,683$13,062$11,6385.39%4.13%-1.97%-1.24%-1.45%3.81%2.60%-3.91%-1.00%-3.82%2.32%-2.95%
20136-2.53%-2.09%-2.42%$12,362$12,789$11,356-0.70%-1.15%-3.04%-3.53%-8.65%-1.22%-1.27%-1.59%-3.15%-6.20%-1.24%-3.75%
201376.32%5.64%5.05%$13,143$13,510$11,9307.34%6.00%7.46%6.83%0.46%6.73%5.30%5.25%6.11%2.99%5.48%4.56%
20138-2.64%-2.46%-2.27%$12,795$13,178$11,659-4.17%-2.99%-1.23%-0.74%-4.18%-3.90%-3.28%-1.25%-1.47%-0.12%-2.82%-1.63%
201396.11%6.16%5.34%$13,577$13,990$12,2825.24%2.95%9.69%7.54%7.30%6.04%2.76%8.45%8.21%7.27%3.69%7.21%
2013104.06%3.94%3.85%$14,129$14,542$12,7543.51%5.05%4.18%3.46%3.84%3.99%4.68%2.69%4.02%4.41%4.24%3.41%
2013112.41%1.75%1.57%$14,469$14,796$12,9555.08%4.17%0.15%0.36%-1.42%3.44%3.08%0.17%0.77%-1.84%2.88%0.12%
2013122.44%2.03%1.99%$14,823$15,096$13,2132.72%2.64%3.33%2.17%-0.83%2.61%2.47%2.08%1.76%-0.88%2.64%1.25%
20141-3.71%-3.85%-3.93%$14,273$14,514$12,694-5.14%-3.95%-1.38%-3.68%-4.28%-3.25%-4.01%-2.45%-3.88%-7.72%-3.08%-4.78%
201425.17%4.83%5.06%$15,010$15,215$13,3365.45%3.36%6.88%5.71%4.42%5.12%4.33%4.94%6.34%1.97%4.73%5.39%
201431.20%0.89%0.47%$15,190$15,351$13,3981.19%2.34%0.65%-0.72%3.43%0.76%1.90%-0.43%0.00%3.38%0.52%0.41%
201440.01%0.40%0.68%$15,192$15,412$13,490-1.93%0.66%-0.42%1.67%0.82%-1.66%1.04%0.34%2.06%0.82%0.06%1.31%
201451.47%1.69%2.04%$15,415$15,673$13,7640.83%2.17%0.79%1.10%3.39%1.31%1.84%1.71%1.17%3.36%2.19%1.88%
201462.58%2.47%2.14%$15,813$16,060$14,0604.44%2.72%1.57%1.21%2.57%3.94%1.95%2.27%1.36%2.80%2.55%1.74%
20147-2.73%-2.48%-1.78%$15,382$15,662$13,809-5.76%-0.74%-3.51%-2.23%0.23%-4.89%-1.32%-2.14%-2.90%0.87%-1.96%-1.61%
201482.66%2.41%2.62%$15,791$16,040$14,1715.83%3.17%0.66%0.00%3.06%4.68%3.67%0.17%0.00%3.02%4.18%1.05%
20149-4.88%-4.77%-3.53%$15,021$15,274$13,670-6.98%-2.49%-5.82%-4.38%-4.98%-5.86%-1.93%-5.38%-4.16%-9.33%-2.10%-5.01%
2014100.46%1.23%1.27%$15,089$15,462$13,8444.61%0.78%-2.20%-1.70%-0.88%5.14%2.03%-0.98%-1.67%-0.58%2.74%-0.31%
201411-0.02%0.45%1.16%$15,086$15,531$14,004-0.28%1.16%-0.72%0.00%-1.17%1.41%2.19%-1.26%0.11%-2.91%2.43%-0.25%
201412-0.47%-1.05%-1.72%$15,014$15,368$13,7632.29%0.74%-1.10%-3.75%-3.08%1.63%0.26%-1.16%-3.82%-6.44%-0.01%-3.65%
20151-2.58%-1.68%-1.32%$14,626$15,110$13,581-4.95%-4.97%-0.65%-0.68%1.61%-2.91%-3.60%0.56%-0.24%-1.18%-2.77%0.13%
201526.41%5.79%5.65%$15,563$15,985$14,3495.90%7.06%7.47%7.13%2.57%5.91%5.29%6.07%6.34%5.06%5.78%5.52%
20153-0.96%-1.05%-1.28%$15,414$15,818$14,1651.78%-1.92%-1.96%-2.13%-0.77%1.26%-1.55%-0.97%-2.29%-3.17%-1.01%-1.54%
201543.02%2.80%2.78%$15,879$16,261$14,559-1.34%2.04%5.03%5.50%7.10%-1.54%1.05%4.36%4.69%11.26%0.42%5.08%
201550.77%-0.27%0.18%$16,002$16,217$14,5851.36%1.07%1.56%0.05%-1.41%0.97%0.84%0.26%-0.67%-5.88%1.39%-0.94%
20156-1.62%-1.96%-2.21%$15,742$15,900$14,2640.05%-1.62%-1.39%-2.91%-3.43%-0.96%-2.31%-1.44%-3.05%-2.37%-1.70%-2.69%
20157-2.03%-0.95%0.40%$15,423$15,749$14,321-3.67%-0.26%-1.23%-0.97%-6.11%-1.12%0.53%-0.17%0.70%-9.09%1.65%-0.80%
20158-5.85%-5.79%-6.65%$14,520$14,837$13,368-4.04%-6.08%-4.27%-7.48%-9.81%-5.13%-5.76%-4.75%-6.71%-8.03%-6.00%-7.29%
20159-4.15%-3.99%-3.42%$13,917$14,245$12,911-4.51%-3.23%-3.99%-6.84%-0.16%-4.21%-2.43%-3.81%-5.45%-4.75%-2.94%-3.90%
2015106.47%6.90%7.07%$14,818$15,228$13,8245.28%8.16%5.25%7.63%5.53%6.39%7.68%6.03%7.34%7.23%7.86%6.26%
2015110.24%-0.17%-0.37%$14,853$15,202$13,7733.17%0.36%-0.77%-1.30%-2.05%1.95%0.07%0.09%-1.59%-4.20%0.56%-1.32%
201512-3.12%-2.87%-2.05%$14,390$14,765$13,491-6.20%-3.13%-0.39%-3.19%-0.92%-4.95%-2.07%-0.60%-3.05%-4.37%-2.03%-2.07%
20161-7.15%-5.40%-5.63%$13,361$13,968$12,731-7.18%-6.81%-7.39%-7.86%-5.97%-6.68%-4.21%-5.47%-5.53%-4.73%-5.67%-5.59%
20162-0.51%0.02%-1.14%$13,293$13,971$12,5861.17%0.17%-0.87%-3.18%-0.42%1.47%0.52%-0.87%-2.23%1.42%-0.02%-2.27%
201638.37%8.71%7.60%$14,405$15,187$13,5438.77%7.26%8.04%7.55%12.31%8.69%7.48%7.69%7.13%16.78%7.03%8.19%
201643.00%2.49%1.42%$14,837$15,565$13,7351.80%2.71%3.41%4.83%2.50%1.58%1.38%2.71%3.86%4.34%0.63%2.22%
20165-0.51%-0.64%0.38%$14,762$15,465$13,7870.47%1.33%-0.79%-1.87%-4.18%1.15%0.82%0.79%-1.67%-8.61%1.79%-1.02%
20166-1.58%0.25%-0.35%$14,528$15,505$13,739-1.16%-0.10%-5.61%-3.67%5.53%0.00%1.15%-2.53%-1.83%8.01%0.23%-0.94%
201674.97%4.52%4.19%$15,250$16,205$14,3144.85%3.44%7.20%4.50%5.81%5.11%2.80%5.65%3.72%6.54%3.97%4.41%
201681.37%0.40%0.50%$15,459$16,270$14,3861.74%1.16%0.37%2.63%0.60%0.69%-0.13%-0.42%0.90%1.50%0.28%0.74%
201691.36%1.23%0.75%$15,669$16,469$14,4951.21%0.48%2.74%1.17%1.63%0.23%0.06%3.15%1.65%2.02%0.16%1.37%
201610-1.20%-1.25%-1.97%$15,480$16,263$14,210-3.14%-1.72%-0.82%1.24%-0.39%-3.06%-1.95%-1.49%-0.62%3.56%-2.21%-1.72%
2016115.01%3.25%1.17%$16,256$16,791$14,37514.87%7.85%-0.57%0.49%-6.08%10.40%5.82%-1.76%-0.88%-1.91%4.45%-2.15%
2016122.83%2.39%1.97%$16,716$17,193$14,6593.41%2.49%3.15%3.29%0.57%2.85%1.99%2.03%3.35%1.27%1.94%2.02%
201712.53%2.49%2.89%$17,139$17,621$15,083-0.53%1.45%4.31%4.30%5.82%0.57%0.79%3.94%3.42%6.81%1.91%3.87%
201721.49%1.85%2.60%$17,394$17,946$15,4760.32%3.01%1.31%-0.69%5.25%1.90%3.19%1.57%0.24%2.21%3.73%1.50%
201730.67%0.89%1.45%$17,511$18,106$15,700-1.14%-0.93%1.94%2.27%3.10%-0.55%-0.38%2.11%2.93%1.08%0.08%2.82%
201741.22%1.21%1.63%$17,724$18,326$15,9560.46%0.66%2.54%1.41%1.27%0.76%0.13%3.10%1.42%0.71%1.05%2.20%
20175-0.07%0.74%2.03%$17,712$18,461$16,280-3.51%-0.11%1.86%1.73%0.37%-2.00%0.06%2.62%2.92%0.59%1.02%3.01%
201761.66%0.89%0.72%$18,006$18,626$16,3982.59%1.65%1.81%1.06%0.62%1.97%0.82%1.05%0.23%-0.35%0.93%0.52%
201772.81%2.58%2.66%$18,511$19,107$16,8340.77%1.68%3.77%4.68%4.19%0.96%1.76%3.27%3.40%5.17%1.87%3.42%
20178-0.46%-0.07%0.42%$18,426$19,093$16,904-2.55%-0.94%0.49%-0.11%2.30%-1.84%-0.49%0.58%0.22%2.91%0.18%0.64%
201794.04%3.09%2.12%$19,171$19,683$17,2627.92%3.85%3.18%3.57%-0.49%5.56%3.22%2.43%2.95%-0.87%2.45%1.81%
2017101.43%1.53%2.05%$19,445$19,984$17,6160.96%1.44%0.86%1.79%2.85%0.86%1.38%1.89%1.49%2.74%2.17%1.94%
2017111.72%2.09%1.88%$19,780$20,402$17,9472.12%3.55%0.09%0.95%1.53%3.79%3.61%1.03%0.84%-0.43%3.04%0.78%
2017122.15%1.71%1.52%$20,206$20,750$18,2190.03%2.31%2.86%2.60%3.99%0.34%1.87%2.26%1.66%3.41%1.00%2.01%
201814.36%4.48%5.46%$21,088$21,680$19,2131.50%5.14%4.40%5.86%6.54%2.08%4.58%4.34%4.93%9.65%5.32%5.59%
20182-4.95%-4.74%-4.43%$20,045$20,652$18,362-4.68%-4.96%-4.92%-5.62%-4.25%-4.59%-4.93%-4.29%-5.40%-4.26%-3.71%-5.14%
20183-0.96%-0.46%-1.31%$19,853$20,556$18,1210.93%-2.28%-1.54%-1.23%-0.57%1.10%-1.92%-0.41%-0.74%-0.20%-1.98%-0.64%
201841.20%1.13%0.60%$20,091$20,788$18,2311.32%0.16%2.00%2.68%-0.99%1.02%1.07%1.04%2.56%-1.01%0.38%0.83%
201850.25%0.39%0.44%$20,142$20,869$18,3126.29%0.92%-2.88%-3.62%-2.21%4.85%1.82%-1.23%-2.39%-5.11%2.82%-1.92%
20186-1.77%-0.68%-0.67%$19,786$20,727$18,1880.06%-0.70%-2.56%-2.28%-6.74%1.41%0.40%-2.15%-1.28%-4.85%0.68%-2.08%
201872.54%2.54%2.93%$20,289$21,253$18,7211.61%4.13%1.57%3.18%1.60%1.77%3.68%0.71%2.80%4.87%3.35%2.48%
20188-0.40%0.14%0.74%$20,206$21,284$18,8602.84%1.44%-2.95%-3.53%-2.93%2.74%2.38%-1.83%-2.83%-2.92%3.45%-2.19%
20189-0.73%0.20%0.23%$20,059$21,327$18,902-3.19%0.07%0.46%1.76%-3.22%-2.00%0.70%0.29%1.51%2.34%0.16%0.30%
201810-8.52%-7.85%-7.84%$18,350$19,652$17,421-9.41%-6.36%-9.93%-8.42%-9.48%-9.27%-6.02%-9.31%-7.65%-6.52%-7.39%-8.35%
2018110.91%0.88%1.69%$18,516$19,824$17,7150.91%2.33%-1.87%-0.73%6.14%1.29%1.43%0.00%-0.12%1.86%2.06%1.26%
201812-9.00%-8.22%-7.24%$16,850$18,193$16,433-12.79%-11.00%-7.13%-6.10%-1.85%-11.70%-9.68%-6.74%-5.48%-3.04%-9.29%-4.85%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value3.88%12.57%18.45%
Large-cap Growth0.00%0.00%21.83%
Mid-cap Value13.52%15.40%5.01%
Mid-cap Growth0.00%0.00%4.23%
Small-cap Value29.15%17.95%0.59%
Small-cap Growth0.00%0.00%0.32%
Global ex-US Developed Markets39.56%36.10%37.42%
Emerging Markets13.89%15.42%11.38%
REITs0.00%2.58%0.00%
Corporate Bonds0.00%0.00%0.76%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared97.68%97.69%99.81%
Style analysis is based on monthly returns from Feb 2008 to Dec 2018 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value0.52%25.00%$2,21825.99%
DFLVXDFA US Large Cap Value ILarge Value0.27%25.00%$2,62823.64%
DISVXDFA International Small Cap Value IForeign Small/Mid Value0.68%20.00%$1,01719.32%
DFIVXDFA International Value IForeign Large Value0.43%20.00%$31920.63%
DEMSXDFA Emerging Markets Small Cap IDiversified Emerging Mkts0.70%10.00%$66810.41%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SFSNXSchwab Fundamental US Small Company IdxSmall Blend0.25%25.00%$2,96327.29%
SFLNXSchwab Fundamental US Large Company IdxLarge Value0.25%25.00%$2,92622.28%
SFILXSchwab Fdmtl Intl Sm Co IdxForeign Small/Mid Blend0.39%20.00%$1,37518.82%
SFNNXSchwab Fdmtl Intl Lg Co IdxForeign Large Value0.25%20.00%$58220.77%
SFENXSchwab Fdmtl Emerg Mkts Lg Co IdxDiversified Emerging Mkts0.39%10.00%$34710.84%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VITSXVanguard Total Stock Market Idx ILarge Blend0.03%50.00%$5,38645.15%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%50.00%$1,04754.85%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 12/04/2019. (c) 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)0.56%0.60%0.50%
Arithmetic Mean (annualized)6.92%7.44%6.11%
Geometric Mean (monthly)0.40%0.46%0.38%
Geometric Mean (annualized)4.90%5.64%4.66%
Volatility (monthly)5.61%5.32%4.78%
Volatility (annualized)19.42%18.41%16.54%
Downside Deviation (monthly)3.97%3.64%3.41%
Max. Drawdown-54.57%-51.97%-50.69%
US Market Correlation0.960.950.97
Beta(*)1.201.131.03
Alpha (annualized)-3.94%-2.84%-3.22%
R291.41%90.55%93.46%
Sharpe Ratio0.320.370.33
Sortino Ratio0.460.540.47
Treynor Ratio (%)5.256.005.36
Calmar Ratio0.270.450.47
Active Return-3.04%-2.30%-3.28%
Tracking Error6.48%6.02%4.26%
Information Ratio-0.47-0.38-0.77
Skewness-0.63-0.37-0.74
Excess Kurtosis2.573.032.22
Historical Value-at-Risk (5%)-10.32%-9.65%-8.93%
Analytical Value-at-Risk (5%)-8.64%-8.11%-7.34%
Conditional Value-at-Risk (5%)-13.41%-12.32%-11.71%
Upside Capture Ratio (%)106.53102.1592.57
Downside Capture Ratio (%)122.78114.10107.91
Safe Withdrawal Rate9.86%10.34%9.40%
Perpetual Withdrawal Rate3.11%3.78%2.89%
Positive Periods76 out of 131 (58.02%)79 out of 131 (60.31%)81 out of 131 (61.83%)
Gain/Loss Ratio0.950.910.82
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsDec 20101 year 10 months2 years 7 months-54.57%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-26.22%
3Feb 2018Dec 201811 months-20.10%
4Jun 2015Feb 20169 monthsNov 20169 months1 year 6 months-16.93%
5Jul 2014Jan 20157 monthsApr 20153 months10 months-7.50%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.71%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.64%
8Jun 2013Jun 20131 monthJul 20131 month2 months-2.53%
9Feb 2008Mar 20082 monthsApr 20081 month3 months-1.10%
10Aug 2017Aug 20171 monthSep 20171 month2 months-0.46%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsDec 20101 year 10 months2 years 7 months-51.97%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-22.85%
3Feb 2018Dec 201811 months-16.08%
4May 2015Jan 20169 monthsAug 20167 months1 year 4 months-14.10%
5Jul 2014Jan 20157 monthsApr 20153 months10 months-5.92%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.85%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.46%
8Jun 2013Jun 20131 monthJul 20131 month2 months-2.09%
9Feb 2008Mar 20082 monthsApr 20081 month3 months-1.89%
10Oct 2016Oct 20161 monthNov 20161 month2 months-1.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsApr 20112 years 2 months2 years 11 months-50.69%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.00%
3Feb 2018Dec 201811 months-14.47%
4Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.71%
5Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.16%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.93%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.66%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.27%
9Feb 2008Mar 20082 monthsApr 20081 month3 months-2.00%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.78%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DFSVXDFA US Small Cap Value I6.81%21.84%42.38%-34.19%-52.52%0.390.570.92
DFLVXDFA US Large Cap Value I7.13%18.94%40.32%-38.44%-55.35%0.440.620.98
DISVXDFA International Small Cap Value I3.39%19.77%39.51%-37.56%-52.53%0.250.350.86
DFIVXDFA International Value I0.50%20.94%39.45%-41.60%-57.68%0.110.150.88
DEMSXDFA Emerging Markets Small Cap I3.69%23.48%99.74%-48.30%-56.94%0.260.370.77
SFSNXSchwab Fundamental US Small Company Idx8.66%21.35%52.71%-34.93%-51.89%0.480.710.93
SFLNXSchwab Fundamental US Large Company Idx7.92%17.03%42.14%-36.93%-50.15%0.510.750.97
SFILXSchwab Fdmtl Intl Sm Co Idx4.60%18.22%47.92%-35.72%-50.43%0.320.460.86
SFNNXSchwab Fdmtl Intl Lg Co Idx1.43%19.93%39.03%-38.05%-54.04%0.150.220.88
SFENXSchwab Fdmtl Emerg Mkts Lg Co Idx1.08%22.90%74.65%-42.66%-56.33%0.140.210.77
VITSXVanguard Total Stock Market Idx I8.06%15.48%33.49%-32.88%-46.63%0.550.791.00
VGTSXVanguard Total Intl Stock Index Inv1.10%18.64%36.73%-38.88%-54.54%0.130.180.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameDFSVXDFLVXDISVXDFIVXDEMSXSFSNXSFLNXSFILXSFNNXSFENXVITSXVGTSXPortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I-0.930.800.800.680.980.920.780.790.690.920.780.930.910.87
DFLVXDFA US Large Cap Value I0.93-0.870.900.770.940.980.870.890.780.980.880.970.960.95
DISVXDFA International Small Cap Value I0.800.87-0.960.860.830.860.980.960.850.860.960.950.940.94
DFIVXDFA International Value I0.800.900.96-0.870.830.890.960.990.880.880.980.960.960.96
DEMSXDFA Emerging Markets Small Cap I0.680.770.860.87-0.730.770.890.860.940.770.920.860.870.88
SFSNXSchwab Fundamental US Small Company Idx0.980.940.830.830.73-0.950.820.830.730.930.810.940.940.89
SFLNXSchwab Fundamental US Large Company Idx0.920.980.860.890.770.95-0.860.890.770.970.870.960.960.94
SFILXSchwab Fdmtl Intl Sm Co Idx0.780.870.980.960.890.820.86-0.960.860.860.970.940.950.95
SFNNXSchwab Fdmtl Intl Lg Co Idx0.790.890.960.990.860.830.890.96-0.870.880.980.950.960.96
SFENXSchwab Fdmtl Emerg Mkts Lg Co Idx0.690.780.850.880.940.730.770.860.87-0.770.920.860.870.87
VITSXVanguard Total Stock Market Idx I0.920.980.860.880.770.930.970.860.880.77-0.890.960.950.97
VGTSXVanguard Total Intl Stock Index Inv0.780.880.960.980.920.810.870.970.980.920.89-0.950.950.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I$2,218
DFLVXDFA US Large Cap Value I$2,628
DISVXDFA International Small Cap Value I$1,017
DFIVXDFA International Value I$319
DEMSXDFA Emerging Markets Small Cap I$668
SFSNXSchwab Fundamental US Small Company Idx$2,963
SFLNXSchwab Fundamental US Large Company Idx$2,926
SFILXSchwab Fdmtl Intl Sm Co Idx$1,375
SFNNXSchwab Fdmtl Intl Lg Co Idx$582
SFENXSchwab Fdmtl Emerg Mkts Lg Co Idx$347
VITSXVanguard Total Stock Market Idx I$5,386
VGTSXVanguard Total Intl Stock Index Inv$1,047

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I25.99%
DFLVXDFA US Large Cap Value I23.64%
DISVXDFA International Small Cap Value I19.32%
DFIVXDFA International Value I20.63%
DEMSXDFA Emerging Markets Small Cap I10.41%
SFSNXSchwab Fundamental US Small Company Idx27.29%
SFLNXSchwab Fundamental US Large Company Idx22.28%
SFILXSchwab Fdmtl Intl Sm Co Idx18.82%
SFNNXSchwab Fdmtl Intl Lg Co Idx20.77%
SFENXSchwab Fdmtl Emerg Mkts Lg Co Idx10.84%
VITSXVanguard Total Stock Market Idx I45.15%
VGTSXVanguard Total Intl Stock Index Inv54.85%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.18%41.72%-16.61%12.56%48.57%-12.32%10.71%32.78%-9.80%
3 years10.23%17.34%4.09%10.08%17.20%4.43%9.25%14.93%3.52%
5 years10.81%19.36%2.60%10.36%19.09%3.80%9.72%15.56%4.46%
7 years10.36%13.00%8.87%10.00%12.94%8.70%9.38%11.21%8.07%
10 years10.66%10.66%10.66%11.19%11.19%11.19%9.87%9.87%9.87%
Result statistics are based on annualized rolling returns over full calendar year periods