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 
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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 8
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Asset 9
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Portfolio Analysis Results (Sep 1995 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
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Portfolio 2
Ticker Name Allocation
MDY SPDR S&P MIDCAP 400 ETF Trust 100.00%
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Portfolio 3
Ticker Name Allocation
DFSTX DFA US Small Cap I 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$86,534 9.31% 14.65%33.48%-36.81%-50.80% 0.530.770.99
Portfolio 2$10,000$119,929 10.79% 17.04%37.58%-36.44%-49.73% 0.560.820.94
Portfolio 3$10,000$93,527 9.66% 19.67%51.49%-36.01%-55.02% 0.460.670.88
   
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 1995 are based on full calendar months from September to December
  • The annual results for 2019 are based on full calendar months from January to November
  • 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
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)SPDR S&P MIDCAP 400 ETF Trust (MDY)DFA US Small Cap I (DFSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19950.39%10.26%3.31%1.78%$11,026$10,331$10,17810.26%3.31%1.78%
19963.32%22.49%15.47%17.68%$13,506$11,929$11,97722.49%15.47%17.68%
19971.70%33.48%31.15%24.24%$18,027$15,645$14,88033.48%31.15%24.24%
19981.61%28.69%17.08%-5.51%$23,199$18,318$14,06028.69%17.08%-5.51%
19992.68%20.39%15.51%25.42%$27,929$21,158$17,63420.39%15.51%25.42%
20003.39%-9.73%17.31%2.45%$25,211$24,822$18,066-9.73%17.31%2.45%
20011.55%-11.75%-0.84%12.69%$22,248$24,612$20,358-11.75%-0.84%12.69%
20022.38%-21.59%-14.53%-19.14%$17,445$21,036$16,461-21.59%-14.53%-19.14%
20031.88%28.18%35.29%51.49%$22,361$28,459$24,93728.18%35.29%51.49%
20043.26%10.70%15.90%17.87%$24,754$32,983$29,39410.70%15.90%17.87%
20053.42%4.83%12.53%6.08%$25,949$37,117$31,1824.83%12.53%6.08%
20062.54%15.85%9.99%16.61%$30,061$40,823$36,36215.85%9.99%16.61%
20074.08%5.14%7.22%-3.06%$31,605$43,771$35,2505.14%7.22%-3.06%
20080.09%-36.81%-36.44%-36.01%$19,972$27,820$22,557-36.81%-36.44%-36.01%
20092.72%26.36%37.58%36.34%$25,238$38,274$30,75426.36%37.58%36.34%
20101.50%15.06%26.28%30.70%$29,038$48,334$40,19615.06%26.28%30.70%
20112.96%1.89%-2.13%-3.15%$29,586$47,304$38,9301.89%-2.13%-3.15%
20121.74%15.99%17.82%18.39%$34,317$55,733$46,09115.99%17.82%18.39%
20131.50%32.31%33.06%42.21%$45,404$74,157$65,54532.31%33.06%42.21%
20140.76%13.46%9.40%4.44%$51,516$81,126$68,45413.46%9.40%4.44%
20150.73%1.25%-2.50%-3.29%$52,161$79,096$66,2051.25%-2.50%-3.29%
20162.07%12.00%20.46%23.53%$58,421$95,283$81,78012.00%20.46%23.53%
20172.11%21.70%15.92%11.52%$71,099$110,456$91,20421.70%15.92%11.52%
20181.91%-4.56%-11.28%-13.13%$67,859$97,996$79,230-4.56%-11.28%-13.13%
20192.43%27.52%22.38%18.04%$86,534$119,929$93,52727.52%22.38%18.04%
Annual returns for 1995 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)SPDR S&P MIDCAP 400 ETF Trust (MDY)DFA US Small Cap I (DFSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199594.24%2.76%1.83%$10,424$10,276$10,1834.24%2.76%1.83%
199510-0.29%-3.17%-5.17%$10,393$9,950$9,657-0.29%-3.17%-5.17%
1995114.45%4.20%2.94%$10,855$10,368$9,9414.45%4.20%2.94%
1995121.57%-0.36%2.39%$11,026$10,331$10,1781.57%-0.36%2.39%
199613.56%1.69%0.24%$11,418$10,505$10,2033.56%1.69%0.24%
199620.32%3.15%3.34%$11,455$10,836$10,5440.32%3.15%3.34%
199631.72%0.75%2.16%$11,652$10,917$10,7711.72%0.75%2.16%
199641.09%3.28%6.64%$11,779$11,274$11,4861.09%3.28%6.64%
199652.27%0.76%5.16%$12,046$11,360$12,0792.27%0.76%5.16%
199660.88%-1.99%-4.57%$12,152$11,134$11,5270.88%-1.99%-4.57%
19967-4.49%-6.11%-8.32%$11,606$10,454$10,568-4.49%-6.11%-8.32%
199681.93%5.40%5.84%$11,829$11,018$11,1851.93%5.40%5.84%
199695.59%4.48%3.12%$12,490$11,511$11,5355.59%4.48%3.12%
1996103.23%0.46%-1.48%$12,894$11,564$11,3643.23%0.46%-1.48%
1996117.30%5.94%3.86%$13,835$12,250$11,8037.30%5.94%3.86%
199612-2.38%-2.62%1.48%$13,506$11,929$11,977-2.38%-2.62%1.48%
199716.18%4.55%3.31%$14,340$12,471$12,3746.18%4.55%3.31%
199720.96%-1.09%-2.14%$14,477$12,336$12,1100.96%-1.09%-2.14%
19973-4.41%-4.11%-4.73%$13,838$11,829$11,537-4.41%-4.11%-4.73%
199746.26%2.43%-1.15%$14,705$12,116$11,4056.26%2.43%-1.15%
199756.32%8.42%11.36%$15,634$13,135$12,7006.32%8.42%11.36%
199764.11%3.18%5.14%$16,277$13,553$13,3524.11%3.18%5.14%
199777.93%9.56%5.94%$17,567$14,848$14,1467.93%9.56%5.94%
19978-5.18%0.15%3.68%$16,657$14,871$14,666-5.18%0.15%3.68%
199794.81%5.37%7.69%$17,458$15,669$15,7944.81%5.37%7.69%
199710-2.45%-3.78%-4.35%$17,030$15,076$15,106-2.45%-3.78%-4.35%
1997113.87%1.64%-1.52%$17,689$15,323$14,8773.87%1.64%-1.52%
1997121.91%2.10%0.02%$18,027$15,645$14,8801.91%2.10%0.02%
199811.29%-1.44%-1.19%$18,259$15,420$14,7041.29%-1.44%-1.19%
199826.93%7.82%7.33%$19,525$16,626$15,7826.93%7.82%7.33%
199834.88%4.93%4.16%$20,477$17,445$16,4394.88%4.93%4.16%
199841.28%1.47%1.37%$20,739$17,701$16,6641.28%1.47%1.37%
19985-2.08%-4.97%-5.24%$20,308$16,821$15,792-2.08%-4.97%-5.24%
199864.26%1.49%-1.37%$21,173$17,072$15,5764.26%1.49%-1.37%
19987-1.35%-4.29%-7.68%$20,887$16,340$14,380-1.35%-4.29%-7.68%
19988-14.12%-20.05%-20.59%$17,938$13,064$11,420-14.12%-20.05%-20.59%
199896.36%12.53%6.27%$19,079$14,702$12,1366.36%12.53%6.27%
1998108.11%7.94%4.36%$20,626$15,869$12,6658.11%7.94%4.36%
1998115.57%3.58%6.58%$21,775$16,438$13,4985.57%3.58%6.58%
1998126.54%11.44%4.16%$23,199$18,318$14,0606.54%11.44%4.16%
199913.52%-2.49%1.62%$24,016$17,861$14,2883.52%-2.49%1.62%
19992-3.21%-4.93%-8.52%$23,246$16,980$13,070-3.21%-4.93%-8.52%
199934.15%2.49%-0.92%$24,211$17,403$12,9504.15%2.49%-0.92%
199943.80%7.93%9.07%$25,130$18,783$14,1253.80%7.93%9.07%
19995-2.29%0.46%3.93%$24,556$18,870$14,679-2.29%0.46%3.93%
199965.54%5.18%5.85%$25,915$19,847$15,5385.54%5.18%5.85%
19997-3.10%-2.31%-0.84%$25,112$19,388$15,408-3.10%-2.31%-0.84%
19998-0.52%-3.43%-2.68%$24,981$18,724$14,995-0.52%-3.43%-2.68%
19999-2.24%-2.74%-0.51%$24,423$18,211$14,919-2.24%-2.74%-0.51%
1999106.41%4.87%-1.17%$25,988$19,099$14,7456.41%4.87%-1.17%
1999111.67%5.29%8.33%$26,420$20,109$15,9731.67%5.29%8.33%
1999125.71%5.22%10.40%$27,929$21,158$17,6345.71%5.22%10.40%
20001-4.98%-2.23%-0.13%$26,538$20,686$17,610-4.98%-2.23%-0.13%
20002-1.52%7.80%16.71%$26,134$22,299$20,553-1.52%7.80%16.71%
200039.69%6.94%-4.33%$28,666$23,846$19,6639.69%6.94%-4.33%
20004-3.51%-3.15%-7.85%$27,660$23,095$18,121-3.51%-3.15%-7.85%
20005-1.57%-0.78%-5.30%$27,225$22,915$17,160-1.57%-0.78%-5.30%
200061.97%1.44%10.24%$27,761$23,246$18,9161.97%1.44%10.24%
20007-1.57%1.41%-2.76%$27,325$23,573$18,394-1.57%1.41%-2.76%
200086.53%10.83%8.19%$29,111$26,127$19,9016.53%10.83%8.19%
20009-5.48%-1.31%-1.97%$27,515$25,786$19,509-5.48%-1.31%-1.97%
200010-0.47%-3.31%-4.44%$27,386$24,933$18,643-0.47%-3.31%-4.44%
200011-7.47%-7.17%-9.17%$25,342$23,145$16,934-7.47%-7.17%-9.17%
200012-0.52%7.24%6.69%$25,211$24,822$18,066-0.52%7.24%6.69%
200114.45%2.52%8.71%$26,332$25,446$19,6404.45%2.52%8.71%
20012-9.54%-6.20%-6.67%$23,820$23,868$18,331-9.54%-6.20%-6.67%
20013-5.60%-6.81%-4.55%$22,487$22,242$17,498-5.60%-6.81%-4.55%
200148.54%10.55%7.79%$24,408$24,587$18,8608.54%10.55%7.79%
20015-0.56%2.41%4.70%$24,271$25,180$19,746-0.56%2.41%4.70%
20016-2.38%-0.12%5.02%$23,693$25,150$20,738-2.38%-0.12%5.02%
20017-1.02%-1.85%-3.76%$23,451$24,685$19,958-1.02%-1.85%-3.76%
20018-5.93%-3.08%-2.98%$22,060$23,925$19,362-5.93%-3.08%-2.98%
20019-8.16%-12.45%-14.28%$20,260$20,947$16,598-8.16%-12.45%-14.28%
2001101.30%4.42%6.69%$20,524$21,873$17,7091.30%4.42%6.69%
2001117.80%7.20%7.77%$22,124$23,448$19,0857.80%7.20%7.77%
2001120.56%4.96%6.67%$22,248$24,612$20,3580.56%4.96%6.67%
20021-0.98%-0.05%-0.71%$22,030$24,599$20,213-0.98%-0.05%-0.71%
20022-1.79%-0.22%-2.66%$21,635$24,546$19,675-1.79%-0.22%-2.66%
200233.32%6.94%8.51%$22,354$26,249$21,3483.32%6.94%8.51%
20024-5.82%-0.21%0.27%$21,054$26,193$21,406-5.82%-0.21%0.27%
20025-0.59%-1.61%-4.21%$20,929$25,771$20,504-0.59%-1.61%-4.21%
20026-7.38%-7.50%-5.11%$19,386$23,839$19,456-7.38%-7.50%-5.11%
20027-7.88%-9.55%-14.36%$17,858$21,563$16,662-7.88%-9.55%-14.36%
200280.68%0.15%0.09%$17,979$21,595$16,6770.68%0.15%0.09%
20029-10.49%-8.26%-7.59%$16,094$19,812$15,411-10.49%-8.26%-7.59%
2002108.23%4.53%3.78%$17,418$20,708$15,9938.23%4.53%3.78%
2002116.17%6.17%8.92%$18,493$21,986$17,4196.17%6.17%8.92%
200212-5.66%-4.32%-5.50%$17,445$21,036$16,461-5.66%-4.32%-5.50%
20031-2.46%-2.62%-2.69%$17,016$20,485$16,019-2.46%-2.62%-2.69%
20032-1.35%-2.59%-3.22%$16,787$19,956$15,503-1.35%-2.59%-3.22%
200330.21%0.34%0.95%$16,821$20,024$15,6500.21%0.34%0.95%
200348.46%7.45%10.08%$18,245$21,515$17,2288.46%7.45%10.08%
200355.48%8.63%11.22%$19,245$23,371$19,1615.48%8.63%11.22%
200361.07%0.90%2.69%$19,450$23,582$19,6771.07%0.90%2.69%
200371.80%3.57%6.30%$19,801$24,424$20,9161.80%3.57%6.30%
200382.06%4.46%5.01%$20,209$25,513$21,9632.06%4.46%5.01%
20039-1.09%-1.43%-1.54%$19,989$25,148$21,624-1.09%-1.43%-1.54%
2003105.35%7.66%8.73%$21,059$27,074$23,5125.35%7.66%8.73%
2003111.09%3.63%3.64%$21,289$28,058$24,3671.09%3.63%3.64%
2003125.03%1.43%2.34%$22,361$28,459$24,9375.03%1.43%2.34%
200411.98%2.18%4.46%$22,803$29,080$26,0481.98%2.18%4.46%
200421.36%2.41%0.85%$23,112$29,782$26,2711.36%2.41%0.85%
20043-1.32%0.41%0.51%$22,807$29,904$26,404-1.32%0.41%0.51%
20044-1.89%-3.62%-4.10%$22,376$28,822$25,322-1.89%-3.62%-4.10%
200451.71%2.54%1.05%$22,759$29,552$25,5891.71%2.54%1.05%
200461.85%1.99%4.37%$23,180$30,141$26,7071.85%1.99%4.37%
20047-3.22%-4.59%-7.17%$22,433$28,758$24,793-3.22%-4.59%-7.17%
200480.24%-0.02%-1.44%$22,488$28,752$24,4370.24%-0.02%-1.44%
200491.00%2.46%4.89%$22,713$29,459$25,6321.00%2.46%4.89%
2004101.29%1.71%1.91%$23,006$29,962$26,1221.29%1.71%1.91%
2004114.45%6.10%8.75%$24,030$31,789$28,4094.45%6.10%8.75%
2004123.02%3.76%3.47%$24,754$32,983$29,3943.02%3.76%3.47%
20051-2.24%-2.40%-3.93%$24,199$32,193$28,238-2.24%-2.40%-3.93%
200522.09%3.64%1.75%$24,705$33,365$28,7332.09%3.64%1.75%
20053-1.83%-1.45%-2.89%$24,253$32,882$27,904-1.83%-1.45%-2.89%
20054-1.87%-3.71%-6.24%$23,799$31,662$26,162-1.87%-3.71%-6.24%
200553.22%5.71%6.89%$24,566$33,470$27,9643.22%5.71%6.89%
200560.15%2.60%3.77%$24,603$34,339$29,0200.15%2.60%3.77%
200573.83%5.13%6.84%$25,544$36,102$31,0053.83%5.13%6.84%
20058-0.94%-0.96%-1.41%$25,305$35,754$30,568-0.94%-0.96%-1.41%
200590.80%0.64%0.64%$25,507$35,981$30,7640.80%0.64%0.64%
200510-2.37%-2.99%-3.09%$24,904$34,904$29,815-2.37%-2.99%-3.09%
2005114.40%5.67%4.85%$25,998$36,882$31,2614.40%5.67%4.85%
200512-0.19%0.64%-0.25%$25,949$37,117$31,182-0.19%0.64%-0.25%
200612.40%5.33%9.09%$26,572$39,095$34,0152.40%5.33%9.09%
200620.57%-0.28%-0.19%$26,724$38,985$33,9510.57%-0.28%-0.19%
200631.65%2.60%4.59%$27,165$39,998$35,5081.65%2.60%4.59%
200641.26%1.35%0.23%$27,508$40,536$35,5891.26%1.35%0.23%
20065-3.01%-4.34%-5.45%$26,680$38,779$33,651-3.01%-4.34%-5.45%
200660.26%-0.54%-0.59%$26,750$38,569$33,4530.26%-0.54%-0.59%
200670.45%-2.74%-3.84%$26,870$37,510$32,1690.45%-2.74%-3.84%
200682.18%1.20%2.79%$27,456$37,962$33,0682.18%1.20%2.79%
200692.70%0.73%0.82%$28,198$38,239$33,3402.70%0.73%0.82%
2006103.15%4.08%5.64%$29,086$39,798$35,2213.15%4.08%5.64%
2006111.99%3.12%2.51%$29,665$41,040$36,1051.99%3.12%2.51%
2006121.34%-0.53%0.71%$30,061$40,823$36,3621.34%-0.53%0.71%
200711.50%3.53%1.50%$30,513$42,265$36,9061.50%3.53%1.50%
20072-1.96%1.10%-0.51%$29,915$42,731$36,719-1.96%1.10%-0.51%
200731.16%1.31%1.05%$30,262$43,293$37,1041.16%1.31%1.05%
200744.43%2.77%1.83%$31,602$44,491$37,7854.43%2.77%1.83%
200753.39%5.13%3.78%$32,674$46,774$39,2143.39%5.13%3.78%
20076-1.46%-2.18%-1.09%$32,196$45,757$38,785-1.46%-2.18%-1.09%
20077-3.13%-4.69%-6.02%$31,188$43,608$36,448-3.13%-4.69%-6.02%
200781.28%1.13%1.40%$31,588$44,100$36,9601.28%1.13%1.40%
200793.87%2.64%1.26%$32,810$45,266$37,4273.87%2.64%1.26%
2007101.36%2.57%1.97%$33,255$46,431$38,1631.36%2.57%1.97%
200711-3.87%-4.93%-7.44%$31,967$44,143$35,322-3.87%-4.93%-7.44%
200712-1.13%-0.84%-0.20%$31,605$43,771$35,250-1.13%-0.84%-0.20%
20081-6.05%-6.00%-6.92%$29,694$41,144$32,811-6.05%-6.00%-6.92%
20082-2.58%-1.06%-3.22%$28,927$40,709$31,756-2.58%-1.06%-3.22%
20083-0.90%-1.87%0.36%$28,666$39,950$31,870-0.90%-1.87%0.36%
200844.77%7.92%3.15%$30,032$43,114$32,8734.77%7.92%3.15%
200851.51%5.44%4.77%$30,486$45,457$34,4421.51%5.44%4.77%
20086-8.35%-7.10%-8.95%$27,940$42,230$31,359-8.35%-7.10%-8.95%
20087-0.90%-1.82%3.15%$27,689$41,461$32,347-0.90%-1.82%3.15%
200881.55%1.44%3.62%$28,117$42,060$33,5171.55%1.44%3.62%
20089-9.44%-10.80%-7.99%$25,464$37,518$30,837-9.44%-10.80%-7.99%
200810-16.52%-21.55%-20.58%$21,257$29,434$24,490-16.52%-21.55%-20.58%
200811-6.96%-9.49%-12.21%$19,778$26,641$21,500-6.96%-9.49%-12.21%
2008120.98%4.42%4.91%$19,972$27,820$22,5570.98%4.42%4.91%
20091-8.21%-6.66%-11.07%$18,332$25,967$20,061-8.21%-6.66%-11.07%
20092-10.74%-9.45%-12.07%$16,362$23,513$17,639-10.74%-9.45%-12.07%
200938.35%8.31%10.30%$17,728$25,467$19,4558.35%8.31%10.30%
200949.93%14.78%18.57%$19,490$29,230$23,0689.93%14.78%18.57%
200955.85%2.94%3.53%$20,629$30,090$23,8835.85%2.94%3.53%
20096-0.07%0.88%2.59%$20,615$30,356$24,502-0.07%0.88%2.59%
200977.46%8.33%10.39%$22,153$32,884$27,0477.46%8.33%10.39%
200983.69%4.36%3.57%$22,971$34,318$28,0133.69%4.36%3.57%
200993.55%5.65%6.23%$23,786$36,258$29,7583.55%5.65%6.23%
200910-1.92%-4.51%-6.94%$23,328$34,622$27,694-1.92%-4.51%-6.94%
2009116.16%4.20%2.55%$24,765$36,075$28,4006.16%4.20%2.55%
2009121.91%6.09%8.29%$25,238$38,274$30,7541.91%6.09%8.29%
20101-3.63%-3.22%-3.03%$24,320$37,042$29,821-3.63%-3.22%-3.03%
201023.12%5.06%4.88%$25,079$38,916$31,2773.12%5.06%4.88%
201036.09%7.17%8.19%$26,607$41,707$33,8396.09%7.17%8.19%
201041.55%4.17%6.79%$27,018$43,447$36,1361.55%4.17%6.79%
20105-7.95%-7.05%-7.80%$24,871$40,382$33,316-7.95%-7.05%-7.80%
20106-5.17%-6.57%-7.99%$23,584$37,728$30,653-5.17%-6.57%-7.99%
201076.83%6.81%7.20%$25,195$40,296$32,8606.83%6.81%7.20%
20108-4.50%-4.96%-7.63%$24,062$38,298$30,353-4.50%-4.96%-7.63%
201098.96%11.27%13.05%$26,217$42,612$34,3168.96%11.27%13.05%
2010103.82%3.39%4.10%$27,218$44,058$35,7213.82%3.39%4.10%
2010110.00%2.96%4.20%$27,218$45,363$37,2210.00%2.96%4.20%
2010126.68%6.55%7.99%$29,038$48,334$40,1966.68%6.55%7.99%
201112.33%1.92%0.09%$29,714$49,264$40,2342.33%1.92%0.09%
201123.47%4.54%5.61%$30,747$51,501$42,4923.47%4.54%5.61%
201130.01%2.59%2.86%$30,750$52,835$43,7080.01%2.59%2.86%
201142.90%2.63%2.37%$31,640$54,224$44,7442.90%2.63%2.37%
20115-1.12%-0.92%-2.02%$31,285$53,727$43,840-1.12%-0.92%-2.02%
20116-1.69%-2.54%-1.60%$30,757$52,362$43,140-1.69%-2.54%-1.60%
20117-2.00%-3.46%-3.50%$30,142$50,550$41,631-2.00%-3.46%-3.50%
20118-5.50%-7.16%-8.97%$28,485$46,929$37,896-5.50%-7.16%-8.97%
20119-6.94%-10.48%-11.10%$26,507$42,012$33,688-6.94%-10.48%-11.10%
20111010.91%13.56%15.32%$29,400$47,708$38,84910.91%13.56%15.32%
201111-0.41%-0.24%-0.34%$29,280$47,593$38,716-0.41%-0.24%-0.34%
2011121.04%-0.61%0.55%$29,586$47,304$38,9301.04%-0.61%0.55%
201214.64%6.59%6.73%$30,958$50,421$41,5484.64%6.59%6.73%
201224.34%4.51%2.88%$32,302$52,696$42,7444.34%4.51%2.88%
201233.22%1.93%2.61%$33,340$53,711$43,8603.22%1.93%2.61%
20124-0.67%-0.28%-1.38%$33,118$53,559$43,252-0.67%-0.28%-1.38%
20125-6.01%-6.45%-6.49%$31,129$50,103$40,444-6.01%-6.45%-6.49%
201264.05%1.93%4.22%$32,391$51,069$42,1524.05%1.93%4.22%
201271.18%-0.02%-0.81%$32,774$51,057$41,8091.18%-0.02%-0.81%
201282.51%3.54%3.51%$33,595$52,867$43,2762.51%3.54%3.51%
201292.54%1.69%3.26%$34,446$53,760$44,6882.54%1.69%3.26%
201210-1.82%-0.93%-1.24%$33,820$53,261$44,134-1.82%-0.93%-1.24%
2012110.57%2.30%1.17%$34,011$54,486$44,6500.57%2.30%1.17%
2012120.90%2.29%3.23%$34,317$55,733$46,0910.90%2.29%3.23%
201315.12%7.08%6.26%$36,074$59,679$48,9785.12%7.08%6.26%
201321.28%0.83%1.00%$36,534$60,174$49,4661.28%0.83%1.00%
201333.80%4.84%4.83%$37,922$63,089$51,8553.80%4.84%4.83%
201341.92%0.60%-0.82%$38,650$63,465$51,4281.92%0.60%-0.82%
201352.36%2.29%5.14%$39,563$64,918$54,0712.36%2.29%5.14%
20136-1.34%-2.29%-0.11%$39,034$63,428$54,011-1.34%-2.29%-0.11%
201375.17%6.67%7.21%$41,051$67,658$57,9045.17%6.67%7.21%
20138-3.00%-3.86%-3.38%$39,820$65,043$55,947-3.00%-3.86%-3.38%
201393.17%5.36%6.20%$41,082$68,528$59,4173.17%5.36%6.20%
2013104.63%3.62%3.27%$42,984$71,008$61,3584.63%3.62%3.27%
2013112.96%1.24%4.70%$44,258$71,889$64,2392.96%1.24%4.70%
2013122.59%3.16%2.03%$45,404$74,157$65,5452.59%3.16%2.03%
20141-3.52%-2.22%-4.10%$43,803$72,512$62,859-3.52%-2.22%-4.10%
201424.55%4.86%4.57%$45,797$76,037$65,7354.55%4.86%4.57%
201430.83%0.35%0.54%$46,178$76,300$66,0880.83%0.35%0.54%
201440.70%-1.49%-2.95%$46,499$75,164$64,1410.70%-1.49%-2.95%
201452.32%1.64%0.56%$47,578$76,394$64,5002.32%1.64%0.56%
201462.06%4.17%4.75%$48,560$79,580$67,5662.06%4.17%4.75%
20147-1.34%-4.39%-5.99%$47,907$76,089$63,515-1.34%-4.39%-5.99%
201483.95%5.06%4.74%$49,798$79,941$66,5273.95%5.06%4.74%
20149-1.38%-4.54%-5.39%$49,111$76,313$62,938-1.38%-4.54%-5.39%
2014102.36%3.53%5.94%$50,268$79,006$66,6782.36%3.53%5.94%
2014112.75%1.84%0.35%$51,649$80,457$66,9112.75%1.84%0.35%
201412-0.26%0.83%2.31%$51,516$81,126$68,454-0.26%0.83%2.31%
20151-2.96%-1.10%-4.14%$49,990$80,235$65,619-2.96%-1.10%-4.14%
201525.62%5.03%6.60%$52,800$84,270$69,9495.62%5.03%6.60%
20153-1.57%1.33%1.77%$51,968$85,392$71,186-1.57%1.33%1.77%
201540.98%-1.48%-2.32%$52,479$84,132$69,5350.98%-1.48%-2.32%
201551.29%1.66%1.74%$53,154$85,530$70,7461.29%1.66%1.74%
20156-2.03%-1.29%1.01%$52,076$84,425$71,459-2.03%-1.29%1.01%
201572.26%0.11%-1.27%$53,252$84,515$70,5542.26%0.11%-1.27%
20158-6.10%-5.66%-5.00%$50,006$79,728$67,023-6.10%-5.66%-5.00%
20159-2.54%-3.19%-3.83%$48,734$77,183$64,456-2.54%-3.19%-3.83%
2015108.51%5.55%5.87%$52,880$81,469$68,2408.51%5.55%5.87%
2015110.37%1.34%2.53%$53,073$82,557$69,9660.37%1.34%2.53%
201512-1.72%-4.19%-5.38%$52,161$79,096$66,205-1.72%-4.19%-5.38%
20161-4.98%-5.54%-6.35%$49,564$74,716$62,003-4.98%-5.54%-6.35%
20162-0.08%1.24%1.05%$49,523$75,640$62,657-0.08%1.24%1.05%
201636.72%8.48%7.61%$52,854$82,056$67,4226.72%8.48%7.61%
201640.39%1.19%0.94%$53,062$83,033$68,0540.39%1.19%0.94%
201651.70%2.25%1.27%$53,965$84,898$68,9201.70%2.25%1.27%
201660.35%0.47%-0.52%$54,153$85,294$68,5640.35%0.47%-0.52%
201673.65%4.24%5.00%$56,128$88,913$71,9913.65%4.24%5.00%
201680.12%0.46%1.50%$56,196$89,320$73,0710.12%0.46%1.50%
201690.01%-0.59%0.40%$56,200$88,796$73,3650.01%-0.59%0.40%
201610-1.73%-2.66%-3.40%$55,226$86,437$70,872-1.73%-2.66%-3.40%
2016113.68%7.88%12.11%$57,260$93,251$79,4573.68%7.88%12.11%
2016122.03%2.18%2.92%$58,421$95,283$81,7802.03%2.18%2.92%
201711.79%1.65%0.00%$59,467$96,852$81,7801.79%1.65%0.00%
201723.93%2.60%1.18%$61,803$99,366$82,7473.93%2.60%1.18%
201730.13%-0.45%-0.19%$61,881$98,917$82,5860.13%-0.45%-0.19%
201740.99%0.78%0.88%$62,495$99,686$83,3120.99%0.78%0.88%
201751.41%-0.47%-2.50%$63,377$99,218$81,2291.41%-0.47%-2.50%
201760.64%1.52%2.60%$63,781$100,729$83,3450.64%1.52%2.60%
201772.06%0.91%0.79%$65,092$101,642$84,0002.06%0.91%0.79%
201780.29%-1.54%-2.31%$65,282$100,082$82,0580.29%-1.54%-2.31%
201792.01%3.88%7.08%$66,597$103,960$87,8662.01%3.88%7.08%
2017102.36%2.23%1.02%$68,166$106,283$88,7662.36%2.23%1.02%
2017113.06%3.68%3.07%$70,250$110,198$91,4923.06%3.68%3.07%
2017121.21%0.23%-0.31%$71,099$110,456$91,2041.21%0.23%-0.31%
201815.64%2.78%2.20%$75,106$113,523$93,2095.64%2.78%2.20%
20182-3.64%-4.43%-4.49%$72,375$108,489$89,022-3.64%-4.43%-4.49%
20183-2.74%0.97%0.89%$70,391$109,547$89,816-2.74%0.97%0.89%
201840.52%-0.36%0.82%$70,755$109,156$90,5530.52%-0.36%0.82%
201852.43%4.12%5.22%$72,475$113,653$95,2812.43%4.12%5.22%
201860.58%0.41%0.86%$72,892$114,125$96,1050.58%0.41%0.86%
201873.70%1.70%2.12%$75,592$116,069$98,1433.70%1.70%2.12%
201883.19%3.16%3.69%$78,005$119,741$101,7613.19%3.16%3.69%
201890.59%-1.07%-2.49%$78,469$118,460$99,2290.59%-1.07%-2.49%
201810-6.91%-9.61%-9.86%$73,047$107,077$89,446-6.91%-9.61%-9.86%
2018111.85%3.19%1.00%$74,402$110,491$90,3401.85%3.19%1.00%
201812-8.79%-11.31%-12.30%$67,859$97,996$79,230-8.79%-11.31%-12.30%
201918.01%10.28%10.66%$73,292$108,071$87,6738.01%10.28%10.66%
201923.24%4.32%4.77%$75,668$112,743$91,8543.24%4.32%4.77%
201931.81%-0.56%-3.03%$77,036$112,117$89,0681.81%-0.56%-3.03%
201944.09%3.97%4.26%$80,183$116,564$92,8584.09%3.97%4.26%
20195-6.38%-8.07%-9.14%$75,070$107,160$84,370-6.38%-8.07%-9.14%
201966.96%7.82%7.61%$80,294$115,539$90,7926.96%7.82%7.61%
201971.51%0.94%0.62%$81,508$116,624$91,3541.51%0.94%0.62%
20198-1.67%-4.13%-5.98%$80,144$111,808$85,894-1.67%-4.13%-5.98%
201991.95%3.12%3.54%$81,705$115,294$88,9381.95%3.12%3.54%
2019102.21%1.07%1.99%$83,511$116,524$90,7092.21%1.07%1.99%
2019113.62%2.92%3.11%$86,534$119,929$93,5273.62%2.92%3.11%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value46.27%0.51%0.00%
Large-cap Growth52.82%0.32%0.00%
Mid-cap Value0.00%47.50%0.00%
Mid-cap Growth0.55%51.45%9.47%
Small-cap Value0.00%0.00%62.14%
Small-cap Growth0.00%0.00%26.81%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.04%0.21%1.58%
REITs0.00%0.00%0.00%
Corporate Bonds0.33%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.01%0.00%
R Squared99.90%99.88%98.55%
Style analysis is based on monthly returns from Apr 2005 to Nov 2019 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
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%100.00%$76,534100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
MDYSPDR S&P MIDCAP 400 ETF TrustMid-Cap Blend0.24%100.00%$109,929100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DFSTXDFA US Small Cap ISmall Blend0.37%100.00%$83,527100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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)0.83%0.98%0.93%
Arithmetic Mean (annualized)10.49%12.42%11.80%
Geometric Mean (monthly)0.74%0.86%0.77%
Geometric Mean (annualized)9.31%10.79%9.66%
Volatility (monthly)4.23%4.92%5.68%
Volatility (annualized)14.65%17.04%19.67%
Downside Deviation (monthly)2.83%3.26%3.77%
Max. Drawdown-50.80%-49.73%-55.02%
US Market Correlation0.990.940.88
Beta(*)0.961.061.14
Alpha (annualized)0.36%1.08%-0.31%
R297.42%88.03%76.79%
Sharpe Ratio0.530.560.46
Sortino Ratio0.770.820.67
Treynor Ratio (%)8.149.017.87
Calmar Ratio1.090.480.25
Active Return0.01%1.49%0.36%
Tracking Error2.43%5.97%9.72%
Information Ratio0.000.250.04
Skewness-0.65-0.67-0.43
Excess Kurtosis1.112.201.15
Historical Value-at-Risk (5%)-7.13%-7.17%-8.69%
Analytical Value-at-Risk (5%)-6.12%-7.11%-8.41%
Conditional Value-at-Risk (5%)-9.64%-11.12%-12.47%
Upside Capture Ratio (%)95.39108.46116.09
Downside Capture Ratio (%)94.27102.87117.59
Safe Withdrawal Rate8.68%10.30%8.82%
Perpetual Withdrawal Rate6.59%7.86%6.89%
Positive Periods188 out of 291 (64.60%)182 out of 291 (62.54%)179 out of 291 (61.51%)
Gain/Loss Ratio0.901.010.95
* 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 2Portfolio 3
Asian CrisisJul 1997Jan 1998-5.18%-3.78%-6.90%
Russian Debt DefaultJul 1998Oct 1998-15.28%-23.47%-26.68%
Dotcom CrashMar 2000Oct 2002-44.71%-24.52%-28.01%
Subprime CrisisNov 2007Mar 2009-50.80%-49.36%-53.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.71%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.28%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.43%
8May 2019May 20191 monthJun 20191 month2 months-6.38%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-5.76%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-49.73%
2May 1998Aug 19984 monthsDec 19984 months8 months-26.19%
3Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-24.52%
4May 2011Sep 20115 monthsNov 20121 year 2 months1 year 7 months-22.52%
5Sep 2000Sep 20011 year 1 monthMar 20026 months1 year 7 months-19.83%
6Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-18.16%
7Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-12.64%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-8.24%
9Jun 1996Jul 19962 monthsSep 19962 months4 months-7.98%
10May 2006Jul 20063 monthsNov 20064 months7 months-7.47%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-55.02%
2May 1998Aug 19984 monthsDec 19991 year 4 months1 year 8 months-31.47%
3May 2002Sep 20025 monthsAug 200311 months1 year 4 months-28.01%
4May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.71%
5Sep 2018Dec 20184 months-22.14%
6Jul 2001Sep 20013 monthsMar 20026 months9 months-19.96%
7Mar 2000Nov 20009 monthsJun 20017 months1 year 4 months-17.61%
8Jul 2015Jan 20167 monthsJul 20166 months1 year 1 month-13.23%
9Jun 1996Jul 19962 monthsJan 19976 months8 months-12.51%
10Jan 2005Apr 20054 monthsJul 20053 months7 months-10.99%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust9.31%14.65%33.48%-36.81%-50.80%0.530.770.99
MDYSPDR S&P MIDCAP 400 ETF Trust10.79%17.04%37.58%-36.44%-49.73%0.560.820.94
DFSTXDFA US Small Cap I9.66%19.67%51.49%-36.01%-55.02%0.460.670.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYMDYDFSTXPortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust-0.900.811.000.900.81
MDYSPDR S&P MIDCAP 400 ETF Trust0.90-0.920.901.000.92
DFSTXDFA US Small Cap I0.810.92-0.810.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust$76,534
MDYSPDR S&P MIDCAP 400 ETF Trust$109,929
DFSTXDFA US Small Cap I$83,527

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust100.00%
MDYSPDR S&P MIDCAP 400 ETF Trust100.00%
DFSTXDFA US Small Cap I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.80%33.48%-36.81%11.75%37.58%-36.44%11.23%51.49%-36.01%
3 years8.23%28.14%-14.52%10.78%21.05%-9.16%9.94%23.73%-10.23%
5 years6.85%17.99%-2.38%10.20%21.66%-0.45%9.77%23.78%-1.99%
7 years6.24%14.70%-1.53%9.74%16.10%1.77%9.56%16.63%1.48%
10 years5.88%13.01%-1.49%9.37%13.64%4.27%9.12%13.39%4.84%
15 years6.03%9.82%4.17%9.58%11.69%8.03%9.41%12.09%7.83%
Result statistics are based on annualized rolling returns over full calendar year periods