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. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy. The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Benchmark

Benchmark Ticker

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Sep 1995 - Dec 2019)

Note: The time period was constrained by the available data for SPDR S&P MIDCAP 400 ETF Trust (MDY) [Sep 1995 - Dec 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
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$89,046	9.40%	14.63%	33.48%	-36.81%	-50.80%	0.54	0.78	0.99
Portfolio 2	$10,000	$123,262	10.87%	17.02%	37.58%	-36.44%	-49.73%	0.56	0.83	0.94
Portfolio 3	$10,000	$96,461	9.76%	19.65%	51.49%	-36.01%	-55.02%	0.46	0.68	0.88

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
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 (3-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 assume 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
Year	Inflation	Return			Balance			SPDR S&P 500 ETF Trust (SPY)	SPDR S&P MIDCAP 400 ETF Trust (MDY)	DFA US Small Cap I (DFSTX)
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	SPDR S&P 500 ETF Trust (SPY)	SPDR S&P MIDCAP 400 ETF Trust (MDY)	DFA US Small Cap I (DFSTX)
1995	0.39%	10.26%	3.31%	1.78%	$11,026	$10,331	$10,178	10.26%	3.31%	1.78%
1996	3.32%	22.49%	15.47%	17.68%	$13,506	$11,929	$11,977	22.49%	15.47%	17.68%
1997	1.70%	33.48%	31.15%	24.24%	$18,027	$15,645	$14,880	33.48%	31.15%	24.24%
1998	1.61%	28.69%	17.08%	-5.51%	$23,199	$18,318	$14,060	28.69%	17.08%	-5.51%
1999	2.68%	20.39%	15.51%	25.42%	$27,929	$21,158	$17,634	20.39%	15.51%	25.42%
2000	3.39%	-9.73%	17.31%	2.45%	$25,211	$24,822	$18,066	-9.73%	17.31%	2.45%
2001	1.55%	-11.75%	-0.84%	12.69%	$22,248	$24,612	$20,358	-11.75%	-0.84%	12.69%
2002	2.38%	-21.59%	-14.53%	-19.14%	$17,445	$21,036	$16,461	-21.59%	-14.53%	-19.14%
2003	1.88%	28.18%	35.29%	51.49%	$22,361	$28,459	$24,937	28.18%	35.29%	51.49%
2004	3.26%	10.70%	15.90%	17.87%	$24,754	$32,983	$29,394	10.70%	15.90%	17.87%
2005	3.42%	4.83%	12.53%	6.08%	$25,949	$37,117	$31,182	4.83%	12.53%	6.08%
2006	2.54%	15.85%	9.99%	16.61%	$30,061	$40,823	$36,362	15.85%	9.99%	16.61%
2007	4.08%	5.14%	7.22%	-3.06%	$31,605	$43,771	$35,250	5.14%	7.22%	-3.06%
2008	0.09%	-36.81%	-36.44%	-36.01%	$19,972	$27,820	$22,557	-36.81%	-36.44%	-36.01%
2009	2.72%	26.36%	37.58%	36.34%	$25,238	$38,274	$30,754	26.36%	37.58%	36.34%
2010	1.50%	15.06%	26.28%	30.70%	$29,038	$48,334	$40,196	15.06%	26.28%	30.70%
2011	2.96%	1.89%	-2.13%	-3.15%	$29,586	$47,304	$38,930	1.89%	-2.13%	-3.15%
2012	1.74%	15.99%	17.82%	18.39%	$34,317	$55,733	$46,091	15.99%	17.82%	18.39%
2013	1.50%	32.31%	33.06%	42.21%	$45,404	$74,157	$65,545	32.31%	33.06%	42.21%
2014	0.76%	13.46%	9.40%	4.44%	$51,516	$81,126	$68,454	13.46%	9.40%	4.44%
2015	0.73%	1.25%	-2.50%	-3.29%	$52,161	$79,096	$66,205	1.25%	-2.50%	-3.29%
2016	2.07%	12.00%	20.46%	23.53%	$58,421	$95,283	$81,780	12.00%	20.46%	23.53%
2017	2.11%	21.70%	15.92%	11.52%	$71,099	$110,456	$91,204	21.70%	15.92%	11.52%
2018	1.91%	-4.56%	-11.28%	-13.13%	$67,859	$97,996	$79,230	-4.56%	-11.28%	-13.13%
2019	2.29%	31.22%	25.78%	21.75%	$89,046	$123,262	$96,461	31.22%	25.78%	21.75%
Annual returns for 1995 are based on partial year data

Monthly returns for the configured portfolios
Year	Month	Return			Balance			SPDR S&P 500 ETF Trust (SPY)	SPDR S&P MIDCAP 400 ETF Trust (MDY)	DFA US Small Cap I (DFSTX)
Year	Month	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	SPDR S&P 500 ETF Trust (SPY)	SPDR S&P MIDCAP 400 ETF Trust (MDY)	DFA US Small Cap I (DFSTX)
1995	9	4.24%	2.76%	1.83%	$10,424	$10,276	$10,183	4.24%	2.76%	1.83%
1995	10	-0.29%	-3.17%	-5.17%	$10,393	$9,950	$9,657	-0.29%	-3.17%	-5.17%
1995	11	4.45%	4.20%	2.94%	$10,855	$10,368	$9,941	4.45%	4.20%	2.94%
1995	12	1.57%	-0.36%	2.39%	$11,026	$10,331	$10,178	1.57%	-0.36%	2.39%
1996	1	3.56%	1.69%	0.24%	$11,418	$10,505	$10,203	3.56%	1.69%	0.24%
1996	2	0.32%	3.15%	3.34%	$11,455	$10,836	$10,544	0.32%	3.15%	3.34%
1996	3	1.72%	0.75%	2.16%	$11,652	$10,917	$10,771	1.72%	0.75%	2.16%
1996	4	1.09%	3.28%	6.64%	$11,779	$11,274	$11,486	1.09%	3.28%	6.64%
1996	5	2.27%	0.76%	5.16%	$12,046	$11,360	$12,079	2.27%	0.76%	5.16%
1996	6	0.88%	-1.99%	-4.57%	$12,152	$11,134	$11,527	0.88%	-1.99%	-4.57%
1996	7	-4.49%	-6.11%	-8.32%	$11,606	$10,454	$10,568	-4.49%	-6.11%	-8.32%
1996	8	1.93%	5.40%	5.84%	$11,829	$11,018	$11,185	1.93%	5.40%	5.84%
1996	9	5.59%	4.48%	3.12%	$12,490	$11,511	$11,535	5.59%	4.48%	3.12%
1996	10	3.23%	0.46%	-1.48%	$12,894	$11,564	$11,364	3.23%	0.46%	-1.48%
1996	11	7.30%	5.94%	3.86%	$13,835	$12,250	$11,803	7.30%	5.94%	3.86%
1996	12	-2.38%	-2.62%	1.48%	$13,506	$11,929	$11,977	-2.38%	-2.62%	1.48%
1997	1	6.18%	4.55%	3.31%	$14,340	$12,471	$12,374	6.18%	4.55%	3.31%
1997	2	0.96%	-1.09%	-2.14%	$14,477	$12,336	$12,110	0.96%	-1.09%	-2.14%
1997	3	-4.41%	-4.11%	-4.73%	$13,838	$11,829	$11,537	-4.41%	-4.11%	-4.73%
1997	4	6.26%	2.43%	-1.15%	$14,705	$12,116	$11,405	6.26%	2.43%	-1.15%
1997	5	6.32%	8.42%	11.36%	$15,634	$13,135	$12,700	6.32%	8.42%	11.36%
1997	6	4.11%	3.18%	5.14%	$16,277	$13,553	$13,352	4.11%	3.18%	5.14%
1997	7	7.93%	9.56%	5.94%	$17,567	$14,848	$14,146	7.93%	9.56%	5.94%
1997	8	-5.18%	0.15%	3.68%	$16,657	$14,871	$14,666	-5.18%	0.15%	3.68%
1997	9	4.81%	5.37%	7.69%	$17,458	$15,669	$15,794	4.81%	5.37%	7.69%
1997	10	-2.45%	-3.78%	-4.35%	$17,030	$15,076	$15,106	-2.45%	-3.78%	-4.35%
1997	11	3.87%	1.64%	-1.52%	$17,689	$15,323	$14,877	3.87%	1.64%	-1.52%
1997	12	1.91%	2.10%	0.02%	$18,027	$15,645	$14,880	1.91%	2.10%	0.02%
1998	1	1.29%	-1.44%	-1.19%	$18,259	$15,420	$14,704	1.29%	-1.44%	-1.19%
1998	2	6.93%	7.82%	7.33%	$19,525	$16,626	$15,782	6.93%	7.82%	7.33%
1998	3	4.88%	4.93%	4.16%	$20,477	$17,445	$16,439	4.88%	4.93%	4.16%
1998	4	1.28%	1.47%	1.37%	$20,739	$17,701	$16,664	1.28%	1.47%	1.37%
1998	5	-2.08%	-4.97%	-5.24%	$20,308	$16,821	$15,792	-2.08%	-4.97%	-5.24%
1998	6	4.26%	1.49%	-1.37%	$21,173	$17,072	$15,576	4.26%	1.49%	-1.37%
1998	7	-1.35%	-4.29%	-7.68%	$20,887	$16,340	$14,380	-1.35%	-4.29%	-7.68%
1998	8	-14.12%	-20.05%	-20.59%	$17,938	$13,064	$11,420	-14.12%	-20.05%	-20.59%
1998	9	6.36%	12.53%	6.27%	$19,079	$14,702	$12,136	6.36%	12.53%	6.27%
1998	10	8.11%	7.94%	4.36%	$20,626	$15,869	$12,665	8.11%	7.94%	4.36%
1998	11	5.57%	3.58%	6.58%	$21,775	$16,438	$13,498	5.57%	3.58%	6.58%
1998	12	6.54%	11.44%	4.16%	$23,199	$18,318	$14,060	6.54%	11.44%	4.16%
1999	1	3.52%	-2.49%	1.62%	$24,016	$17,861	$14,288	3.52%	-2.49%	1.62%
1999	2	-3.21%	-4.93%	-8.52%	$23,246	$16,980	$13,070	-3.21%	-4.93%	-8.52%
1999	3	4.15%	2.49%	-0.92%	$24,211	$17,403	$12,950	4.15%	2.49%	-0.92%
1999	4	3.80%	7.93%	9.07%	$25,130	$18,783	$14,125	3.80%	7.93%	9.07%
1999	5	-2.29%	0.46%	3.93%	$24,556	$18,870	$14,679	-2.29%	0.46%	3.93%
1999	6	5.54%	5.18%	5.85%	$25,915	$19,847	$15,538	5.54%	5.18%	5.85%
1999	7	-3.10%	-2.31%	-0.84%	$25,112	$19,388	$15,408	-3.10%	-2.31%	-0.84%
1999	8	-0.52%	-3.43%	-2.68%	$24,981	$18,724	$14,995	-0.52%	-3.43%	-2.68%
1999	9	-2.24%	-2.74%	-0.51%	$24,423	$18,211	$14,919	-2.24%	-2.74%	-0.51%
1999	10	6.41%	4.87%	-1.17%	$25,988	$19,099	$14,745	6.41%	4.87%	-1.17%
1999	11	1.67%	5.29%	8.33%	$26,420	$20,109	$15,973	1.67%	5.29%	8.33%
1999	12	5.71%	5.22%	10.40%	$27,929	$21,158	$17,634	5.71%	5.22%	10.40%
2000	1	-4.98%	-2.23%	-0.13%	$26,538	$20,686	$17,610	-4.98%	-2.23%	-0.13%
2000	2	-1.52%	7.80%	16.71%	$26,134	$22,299	$20,553	-1.52%	7.80%	16.71%
2000	3	9.69%	6.94%	-4.33%	$28,666	$23,846	$19,663	9.69%	6.94%	-4.33%
2000	4	-3.51%	-3.15%	-7.85%	$27,660	$23,095	$18,121	-3.51%	-3.15%	-7.85%
2000	5	-1.57%	-0.78%	-5.30%	$27,225	$22,915	$17,160	-1.57%	-0.78%	-5.30%
2000	6	1.97%	1.44%	10.24%	$27,761	$23,246	$18,916	1.97%	1.44%	10.24%
2000	7	-1.57%	1.41%	-2.76%	$27,325	$23,573	$18,394	-1.57%	1.41%	-2.76%
2000	8	6.53%	10.83%	8.19%	$29,111	$26,127	$19,901	6.53%	10.83%	8.19%
2000	9	-5.48%	-1.31%	-1.97%	$27,515	$25,786	$19,509	-5.48%	-1.31%	-1.97%
2000	10	-0.47%	-3.31%	-4.44%	$27,386	$24,933	$18,643	-0.47%	-3.31%	-4.44%
2000	11	-7.47%	-7.17%	-9.17%	$25,342	$23,145	$16,934	-7.47%	-7.17%	-9.17%
2000	12	-0.52%	7.24%	6.69%	$25,211	$24,822	$18,066	-0.52%	7.24%	6.69%
2001	1	4.45%	2.52%	8.71%	$26,332	$25,446	$19,640	4.45%	2.52%	8.71%
2001	2	-9.54%	-6.20%	-6.67%	$23,820	$23,868	$18,331	-9.54%	-6.20%	-6.67%
2001	3	-5.60%	-6.81%	-4.55%	$22,487	$22,242	$17,498	-5.60%	-6.81%	-4.55%
2001	4	8.54%	10.55%	7.79%	$24,408	$24,587	$18,860	8.54%	10.55%	7.79%
2001	5	-0.56%	2.41%	4.70%	$24,271	$25,180	$19,746	-0.56%	2.41%	4.70%
2001	6	-2.38%	-0.12%	5.02%	$23,693	$25,150	$20,738	-2.38%	-0.12%	5.02%
2001	7	-1.02%	-1.85%	-3.76%	$23,451	$24,685	$19,958	-1.02%	-1.85%	-3.76%
2001	8	-5.93%	-3.08%	-2.98%	$22,060	$23,925	$19,362	-5.93%	-3.08%	-2.98%
2001	9	-8.16%	-12.45%	-14.28%	$20,260	$20,947	$16,598	-8.16%	-12.45%	-14.28%
2001	10	1.30%	4.42%	6.69%	$20,524	$21,873	$17,709	1.30%	4.42%	6.69%
2001	11	7.80%	7.20%	7.77%	$22,124	$23,448	$19,085	7.80%	7.20%	7.77%
2001	12	0.56%	4.96%	6.67%	$22,248	$24,612	$20,358	0.56%	4.96%	6.67%
2002	1	-0.98%	-0.05%	-0.71%	$22,030	$24,599	$20,213	-0.98%	-0.05%	-0.71%
2002	2	-1.79%	-0.22%	-2.66%	$21,635	$24,546	$19,675	-1.79%	-0.22%	-2.66%
2002	3	3.32%	6.94%	8.51%	$22,354	$26,249	$21,348	3.32%	6.94%	8.51%
2002	4	-5.82%	-0.21%	0.27%	$21,054	$26,193	$21,406	-5.82%	-0.21%	0.27%
2002	5	-0.59%	-1.61%	-4.21%	$20,929	$25,771	$20,504	-0.59%	-1.61%	-4.21%
2002	6	-7.38%	-7.50%	-5.11%	$19,386	$23,839	$19,456	-7.38%	-7.50%	-5.11%
2002	7	-7.88%	-9.55%	-14.36%	$17,858	$21,563	$16,662	-7.88%	-9.55%	-14.36%
2002	8	0.68%	0.15%	0.09%	$17,979	$21,595	$16,677	0.68%	0.15%	0.09%
2002	9	-10.49%	-8.26%	-7.59%	$16,094	$19,812	$15,411	-10.49%	-8.26%	-7.59%
2002	10	8.23%	4.53%	3.78%	$17,418	$20,708	$15,993	8.23%	4.53%	3.78%
2002	11	6.17%	6.17%	8.92%	$18,493	$21,986	$17,419	6.17%	6.17%	8.92%
2002	12	-5.66%	-4.32%	-5.50%	$17,445	$21,036	$16,461	-5.66%	-4.32%	-5.50%
2003	1	-2.46%	-2.62%	-2.69%	$17,016	$20,485	$16,019	-2.46%	-2.62%	-2.69%
2003	2	-1.35%	-2.59%	-3.22%	$16,787	$19,956	$15,503	-1.35%	-2.59%	-3.22%
2003	3	0.21%	0.34%	0.95%	$16,821	$20,024	$15,650	0.21%	0.34%	0.95%
2003	4	8.46%	7.45%	10.08%	$18,245	$21,515	$17,228	8.46%	7.45%	10.08%
2003	5	5.48%	8.63%	11.22%	$19,245	$23,371	$19,161	5.48%	8.63%	11.22%
2003	6	1.07%	0.90%	2.69%	$19,450	$23,582	$19,677	1.07%	0.90%	2.69%
2003	7	1.80%	3.57%	6.30%	$19,801	$24,424	$20,916	1.80%	3.57%	6.30%
2003	8	2.06%	4.46%	5.01%	$20,209	$25,513	$21,963	2.06%	4.46%	5.01%
2003	9	-1.09%	-1.43%	-1.54%	$19,989	$25,148	$21,624	-1.09%	-1.43%	-1.54%
2003	10	5.35%	7.66%	8.73%	$21,059	$27,074	$23,512	5.35%	7.66%	8.73%
2003	11	1.09%	3.63%	3.64%	$21,289	$28,058	$24,367	1.09%	3.63%	3.64%
2003	12	5.03%	1.43%	2.34%	$22,361	$28,459	$24,937	5.03%	1.43%	2.34%
2004	1	1.98%	2.18%	4.46%	$22,803	$29,080	$26,048	1.98%	2.18%	4.46%
2004	2	1.36%	2.41%	0.85%	$23,112	$29,782	$26,271	1.36%	2.41%	0.85%
2004	3	-1.32%	0.41%	0.51%	$22,807	$29,904	$26,404	-1.32%	0.41%	0.51%
2004	4	-1.89%	-3.62%	-4.10%	$22,376	$28,822	$25,322	-1.89%	-3.62%	-4.10%
2004	5	1.71%	2.54%	1.05%	$22,759	$29,552	$25,589	1.71%	2.54%	1.05%
2004	6	1.85%	1.99%	4.37%	$23,180	$30,141	$26,707	1.85%	1.99%	4.37%
2004	7	-3.22%	-4.59%	-7.17%	$22,433	$28,758	$24,793	-3.22%	-4.59%	-7.17%
2004	8	0.24%	-0.02%	-1.44%	$22,488	$28,752	$24,437	0.24%	-0.02%	-1.44%
2004	9	1.00%	2.46%	4.89%	$22,713	$29,459	$25,632	1.00%	2.46%	4.89%
2004	10	1.29%	1.71%	1.91%	$23,006	$29,962	$26,122	1.29%	1.71%	1.91%
2004	11	4.45%	6.10%	8.75%	$24,030	$31,789	$28,409	4.45%	6.10%	8.75%
2004	12	3.02%	3.76%	3.47%	$24,754	$32,983	$29,394	3.02%	3.76%	3.47%
2005	1	-2.24%	-2.40%	-3.93%	$24,199	$32,193	$28,238	-2.24%	-2.40%	-3.93%
2005	2	2.09%	3.64%	1.75%	$24,705	$33,365	$28,733	2.09%	3.64%	1.75%
2005	3	-1.83%	-1.45%	-2.89%	$24,253	$32,882	$27,904	-1.83%	-1.45%	-2.89%
2005	4	-1.87%	-3.71%	-6.24%	$23,799	$31,662	$26,162	-1.87%	-3.71%	-6.24%
2005	5	3.22%	5.71%	6.89%	$24,566	$33,470	$27,964	3.22%	5.71%	6.89%
2005	6	0.15%	2.60%	3.77%	$24,603	$34,339	$29,020	0.15%	2.60%	3.77%
2005	7	3.83%	5.13%	6.84%	$25,544	$36,102	$31,005	3.83%	5.13%	6.84%
2005	8	-0.94%	-0.96%	-1.41%	$25,305	$35,754	$30,568	-0.94%	-0.96%	-1.41%
2005	9	0.80%	0.64%	0.64%	$25,507	$35,981	$30,764	0.80%	0.64%	0.64%
2005	10	-2.37%	-2.99%	-3.09%	$24,904	$34,904	$29,815	-2.37%	-2.99%	-3.09%
2005	11	4.40%	5.67%	4.85%	$25,998	$36,882	$31,261	4.40%	5.67%	4.85%
2005	12	-0.19%	0.64%	-0.25%	$25,949	$37,117	$31,182	-0.19%	0.64%	-0.25%
2006	1	2.40%	5.33%	9.09%	$26,572	$39,095	$34,015	2.40%	5.33%	9.09%
2006	2	0.57%	-0.28%	-0.19%	$26,724	$38,985	$33,951	0.57%	-0.28%	-0.19%
2006	3	1.65%	2.60%	4.59%	$27,165	$39,998	$35,508	1.65%	2.60%	4.59%
2006	4	1.26%	1.35%	0.23%	$27,508	$40,536	$35,589	1.26%	1.35%	0.23%
2006	5	-3.01%	-4.34%	-5.45%	$26,680	$38,779	$33,651	-3.01%	-4.34%	-5.45%
2006	6	0.26%	-0.54%	-0.59%	$26,750	$38,569	$33,453	0.26%	-0.54%	-0.59%
2006	7	0.45%	-2.74%	-3.84%	$26,870	$37,510	$32,169	0.45%	-2.74%	-3.84%
2006	8	2.18%	1.20%	2.79%	$27,456	$37,962	$33,068	2.18%	1.20%	2.79%
2006	9	2.70%	0.73%	0.82%	$28,198	$38,239	$33,340	2.70%	0.73%	0.82%
2006	10	3.15%	4.08%	5.64%	$29,086	$39,798	$35,221	3.15%	4.08%	5.64%
2006	11	1.99%	3.12%	2.51%	$29,665	$41,040	$36,105	1.99%	3.12%	2.51%
2006	12	1.34%	-0.53%	0.71%	$30,061	$40,823	$36,362	1.34%	-0.53%	0.71%
2007	1	1.50%	3.53%	1.50%	$30,513	$42,265	$36,906	1.50%	3.53%	1.50%
2007	2	-1.96%	1.10%	-0.51%	$29,915	$42,731	$36,719	-1.96%	1.10%	-0.51%
2007	3	1.16%	1.31%	1.05%	$30,262	$43,293	$37,104	1.16%	1.31%	1.05%
2007	4	4.43%	2.77%	1.83%	$31,602	$44,491	$37,785	4.43%	2.77%	1.83%
2007	5	3.39%	5.13%	3.78%	$32,674	$46,774	$39,214	3.39%	5.13%	3.78%
2007	6	-1.46%	-2.18%	-1.09%	$32,196	$45,757	$38,785	-1.46%	-2.18%	-1.09%
2007	7	-3.13%	-4.69%	-6.02%	$31,188	$43,608	$36,448	-3.13%	-4.69%	-6.02%
2007	8	1.28%	1.13%	1.40%	$31,588	$44,100	$36,960	1.28%	1.13%	1.40%
2007	9	3.87%	2.64%	1.26%	$32,810	$45,266	$37,427	3.87%	2.64%	1.26%
2007	10	1.36%	2.57%	1.97%	$33,255	$46,431	$38,163	1.36%	2.57%	1.97%
2007	11	-3.87%	-4.93%	-7.44%	$31,967	$44,143	$35,322	-3.87%	-4.93%	-7.44%
2007	12	-1.13%	-0.84%	-0.20%	$31,605	$43,771	$35,250	-1.13%	-0.84%	-0.20%
2008	1	-6.05%	-6.00%	-6.92%	$29,694	$41,144	$32,811	-6.05%	-6.00%	-6.92%
2008	2	-2.58%	-1.06%	-3.22%	$28,927	$40,709	$31,756	-2.58%	-1.06%	-3.22%
2008	3	-0.90%	-1.87%	0.36%	$28,666	$39,950	$31,870	-0.90%	-1.87%	0.36%
2008	4	4.77%	7.92%	3.15%	$30,032	$43,114	$32,873	4.77%	7.92%	3.15%
2008	5	1.51%	5.44%	4.77%	$30,486	$45,457	$34,442	1.51%	5.44%	4.77%
2008	6	-8.35%	-7.10%	-8.95%	$27,940	$42,230	$31,359	-8.35%	-7.10%	-8.95%
2008	7	-0.90%	-1.82%	3.15%	$27,689	$41,461	$32,347	-0.90%	-1.82%	3.15%
2008	8	1.55%	1.44%	3.62%	$28,117	$42,060	$33,517	1.55%	1.44%	3.62%
2008	9	-9.44%	-10.80%	-7.99%	$25,464	$37,518	$30,837	-9.44%	-10.80%	-7.99%
2008	10	-16.52%	-21.55%	-20.58%	$21,257	$29,434	$24,490	-16.52%	-21.55%	-20.58%
2008	11	-6.96%	-9.49%	-12.21%	$19,778	$26,641	$21,500	-6.96%	-9.49%	-12.21%
2008	12	0.98%	4.42%	4.91%	$19,972	$27,820	$22,557	0.98%	4.42%	4.91%
2009	1	-8.21%	-6.66%	-11.07%	$18,332	$25,967	$20,061	-8.21%	-6.66%	-11.07%
2009	2	-10.74%	-9.45%	-12.07%	$16,362	$23,513	$17,639	-10.74%	-9.45%	-12.07%
2009	3	8.35%	8.31%	10.30%	$17,728	$25,467	$19,455	8.35%	8.31%	10.30%
2009	4	9.93%	14.78%	18.57%	$19,490	$29,230	$23,068	9.93%	14.78%	18.57%
2009	5	5.85%	2.94%	3.53%	$20,629	$30,090	$23,883	5.85%	2.94%	3.53%
2009	6	-0.07%	0.88%	2.59%	$20,615	$30,356	$24,502	-0.07%	0.88%	2.59%
2009	7	7.46%	8.33%	10.39%	$22,153	$32,884	$27,047	7.46%	8.33%	10.39%
2009	8	3.69%	4.36%	3.57%	$22,971	$34,318	$28,013	3.69%	4.36%	3.57%
2009	9	3.55%	5.65%	6.23%	$23,786	$36,258	$29,758	3.55%	5.65%	6.23%
2009	10	-1.92%	-4.51%	-6.94%	$23,328	$34,622	$27,694	-1.92%	-4.51%	-6.94%
2009	11	6.16%	4.20%	2.55%	$24,765	$36,075	$28,400	6.16%	4.20%	2.55%
2009	12	1.91%	6.09%	8.29%	$25,238	$38,274	$30,754	1.91%	6.09%	8.29%
2010	1	-3.63%	-3.22%	-3.03%	$24,320	$37,042	$29,821	-3.63%	-3.22%	-3.03%
2010	2	3.12%	5.06%	4.88%	$25,079	$38,916	$31,277	3.12%	5.06%	4.88%
2010	3	6.09%	7.17%	8.19%	$26,607	$41,707	$33,839	6.09%	7.17%	8.19%
2010	4	1.55%	4.17%	6.79%	$27,018	$43,447	$36,136	1.55%	4.17%	6.79%
2010	5	-7.95%	-7.05%	-7.80%	$24,871	$40,382	$33,316	-7.95%	-7.05%	-7.80%
2010	6	-5.17%	-6.57%	-7.99%	$23,584	$37,728	$30,653	-5.17%	-6.57%	-7.99%
2010	7	6.83%	6.81%	7.20%	$25,195	$40,296	$32,860	6.83%	6.81%	7.20%
2010	8	-4.50%	-4.96%	-7.63%	$24,062	$38,298	$30,353	-4.50%	-4.96%	-7.63%
2010	9	8.96%	11.27%	13.05%	$26,217	$42,612	$34,316	8.96%	11.27%	13.05%
2010	10	3.82%	3.39%	4.10%	$27,218	$44,058	$35,721	3.82%	3.39%	4.10%
2010	11	0.00%	2.96%	4.20%	$27,218	$45,363	$37,221	0.00%	2.96%	4.20%
2010	12	6.68%	6.55%	7.99%	$29,038	$48,334	$40,196	6.68%	6.55%	7.99%
2011	1	2.33%	1.92%	0.09%	$29,714	$49,264	$40,234	2.33%	1.92%	0.09%
2011	2	3.47%	4.54%	5.61%	$30,747	$51,501	$42,492	3.47%	4.54%	5.61%
2011	3	0.01%	2.59%	2.86%	$30,750	$52,835	$43,708	0.01%	2.59%	2.86%
2011	4	2.90%	2.63%	2.37%	$31,640	$54,224	$44,744	2.90%	2.63%	2.37%
2011	5	-1.12%	-0.92%	-2.02%	$31,285	$53,727	$43,840	-1.12%	-0.92%	-2.02%
2011	6	-1.69%	-2.54%	-1.60%	$30,757	$52,362	$43,140	-1.69%	-2.54%	-1.60%
2011	7	-2.00%	-3.46%	-3.50%	$30,142	$50,550	$41,631	-2.00%	-3.46%	-3.50%
2011	8	-5.50%	-7.16%	-8.97%	$28,485	$46,929	$37,896	-5.50%	-7.16%	-8.97%
2011	9	-6.94%	-10.48%	-11.10%	$26,507	$42,012	$33,688	-6.94%	-10.48%	-11.10%
2011	10	10.91%	13.56%	15.32%	$29,400	$47,708	$38,849	10.91%	13.56%	15.32%
2011	11	-0.41%	-0.24%	-0.34%	$29,280	$47,593	$38,716	-0.41%	-0.24%	-0.34%
2011	12	1.04%	-0.61%	0.55%	$29,586	$47,304	$38,930	1.04%	-0.61%	0.55%
2012	1	4.64%	6.59%	6.73%	$30,958	$50,421	$41,548	4.64%	6.59%	6.73%
2012	2	4.34%	4.51%	2.88%	$32,302	$52,696	$42,744	4.34%	4.51%	2.88%
2012	3	3.22%	1.93%	2.61%	$33,340	$53,711	$43,860	3.22%	1.93%	2.61%
2012	4	-0.67%	-0.28%	-1.38%	$33,118	$53,559	$43,252	-0.67%	-0.28%	-1.38%
2012	5	-6.01%	-6.45%	-6.49%	$31,129	$50,103	$40,444	-6.01%	-6.45%	-6.49%
2012	6	4.05%	1.93%	4.22%	$32,391	$51,069	$42,152	4.05%	1.93%	4.22%
2012	7	1.18%	-0.02%	-0.81%	$32,774	$51,057	$41,809	1.18%	-0.02%	-0.81%
2012	8	2.51%	3.54%	3.51%	$33,595	$52,867	$43,276	2.51%	3.54%	3.51%
2012	9	2.54%	1.69%	3.26%	$34,446	$53,760	$44,688	2.54%	1.69%	3.26%
2012	10	-1.82%	-0.93%	-1.24%	$33,820	$53,261	$44,134	-1.82%	-0.93%	-1.24%
2012	11	0.57%	2.30%	1.17%	$34,011	$54,486	$44,650	0.57%	2.30%	1.17%
2012	12	0.90%	2.29%	3.23%	$34,317	$55,733	$46,091	0.90%	2.29%	3.23%
2013	1	5.12%	7.08%	6.26%	$36,074	$59,679	$48,978	5.12%	7.08%	6.26%
2013	2	1.28%	0.83%	1.00%	$36,534	$60,174	$49,466	1.28%	0.83%	1.00%
2013	3	3.80%	4.84%	4.83%	$37,922	$63,089	$51,855	3.80%	4.84%	4.83%
2013	4	1.92%	0.60%	-0.82%	$38,650	$63,465	$51,428	1.92%	0.60%	-0.82%
2013	5	2.36%	2.29%	5.14%	$39,563	$64,918	$54,071	2.36%	2.29%	5.14%
2013	6	-1.34%	-2.29%	-0.11%	$39,034	$63,428	$54,011	-1.34%	-2.29%	-0.11%
2013	7	5.17%	6.67%	7.21%	$41,051	$67,658	$57,904	5.17%	6.67%	7.21%
2013	8	-3.00%	-3.86%	-3.38%	$39,820	$65,043	$55,947	-3.00%	-3.86%	-3.38%
2013	9	3.17%	5.36%	6.20%	$41,082	$68,528	$59,417	3.17%	5.36%	6.20%
2013	10	4.63%	3.62%	3.27%	$42,984	$71,008	$61,358	4.63%	3.62%	3.27%
2013	11	2.96%	1.24%	4.70%	$44,258	$71,889	$64,239	2.96%	1.24%	4.70%
2013	12	2.59%	3.16%	2.03%	$45,404	$74,157	$65,545	2.59%	3.16%	2.03%
2014	1	-3.52%	-2.22%	-4.10%	$43,803	$72,512	$62,859	-3.52%	-2.22%	-4.10%
2014	2	4.55%	4.86%	4.57%	$45,797	$76,037	$65,735	4.55%	4.86%	4.57%
2014	3	0.83%	0.35%	0.54%	$46,178	$76,300	$66,088	0.83%	0.35%	0.54%
2014	4	0.70%	-1.49%	-2.95%	$46,499	$75,164	$64,141	0.70%	-1.49%	-2.95%
2014	5	2.32%	1.64%	0.56%	$47,578	$76,394	$64,500	2.32%	1.64%	0.56%
2014	6	2.06%	4.17%	4.75%	$48,560	$79,580	$67,566	2.06%	4.17%	4.75%
2014	7	-1.34%	-4.39%	-5.99%	$47,907	$76,089	$63,515	-1.34%	-4.39%	-5.99%
2014	8	3.95%	5.06%	4.74%	$49,798	$79,941	$66,527	3.95%	5.06%	4.74%
2014	9	-1.38%	-4.54%	-5.39%	$49,111	$76,313	$62,938	-1.38%	-4.54%	-5.39%
2014	10	2.36%	3.53%	5.94%	$50,268	$79,006	$66,678	2.36%	3.53%	5.94%
2014	11	2.75%	1.84%	0.35%	$51,649	$80,457	$66,911	2.75%	1.84%	0.35%
2014	12	-0.26%	0.83%	2.31%	$51,516	$81,126	$68,454	-0.26%	0.83%	2.31%
2015	1	-2.96%	-1.10%	-4.14%	$49,990	$80,235	$65,619	-2.96%	-1.10%	-4.14%
2015	2	5.62%	5.03%	6.60%	$52,800	$84,270	$69,949	5.62%	5.03%	6.60%
2015	3	-1.57%	1.33%	1.77%	$51,968	$85,392	$71,186	-1.57%	1.33%	1.77%
2015	4	0.98%	-1.48%	-2.32%	$52,479	$84,132	$69,535	0.98%	-1.48%	-2.32%
2015	5	1.29%	1.66%	1.74%	$53,154	$85,530	$70,746	1.29%	1.66%	1.74%
2015	6	-2.03%	-1.29%	1.01%	$52,076	$84,425	$71,459	-2.03%	-1.29%	1.01%
2015	7	2.26%	0.11%	-1.27%	$53,252	$84,515	$70,554	2.26%	0.11%	-1.27%
2015	8	-6.10%	-5.66%	-5.00%	$50,006	$79,728	$67,023	-6.10%	-5.66%	-5.00%
2015	9	-2.54%	-3.19%	-3.83%	$48,734	$77,183	$64,456	-2.54%	-3.19%	-3.83%
2015	10	8.51%	5.55%	5.87%	$52,880	$81,469	$68,240	8.51%	5.55%	5.87%
2015	11	0.37%	1.34%	2.53%	$53,073	$82,557	$69,966	0.37%	1.34%	2.53%
2015	12	-1.72%	-4.19%	-5.38%	$52,161	$79,096	$66,205	-1.72%	-4.19%	-5.38%
2016	1	-4.98%	-5.54%	-6.35%	$49,564	$74,716	$62,003	-4.98%	-5.54%	-6.35%
2016	2	-0.08%	1.24%	1.05%	$49,523	$75,640	$62,657	-0.08%	1.24%	1.05%
2016	3	6.72%	8.48%	7.61%	$52,854	$82,056	$67,422	6.72%	8.48%	7.61%
2016	4	0.39%	1.19%	0.94%	$53,062	$83,033	$68,054	0.39%	1.19%	0.94%
2016	5	1.70%	2.25%	1.27%	$53,965	$84,898	$68,920	1.70%	2.25%	1.27%
2016	6	0.35%	0.47%	-0.52%	$54,153	$85,294	$68,564	0.35%	0.47%	-0.52%
2016	7	3.65%	4.24%	5.00%	$56,128	$88,913	$71,991	3.65%	4.24%	5.00%
2016	8	0.12%	0.46%	1.50%	$56,196	$89,320	$73,071	0.12%	0.46%	1.50%
2016	9	0.01%	-0.59%	0.40%	$56,200	$88,796	$73,365	0.01%	-0.59%	0.40%
2016	10	-1.73%	-2.66%	-3.40%	$55,226	$86,437	$70,872	-1.73%	-2.66%	-3.40%
2016	11	3.68%	7.88%	12.11%	$57,260	$93,251	$79,457	3.68%	7.88%	12.11%
2016	12	2.03%	2.18%	2.92%	$58,421	$95,283	$81,780	2.03%	2.18%	2.92%
2017	1	1.79%	1.65%	0.00%	$59,467	$96,852	$81,780	1.79%	1.65%	0.00%
2017	2	3.93%	2.60%	1.18%	$61,803	$99,366	$82,747	3.93%	2.60%	1.18%
2017	3	0.13%	-0.45%	-0.19%	$61,881	$98,917	$82,586	0.13%	-0.45%	-0.19%
2017	4	0.99%	0.78%	0.88%	$62,495	$99,686	$83,312	0.99%	0.78%	0.88%
2017	5	1.41%	-0.47%	-2.50%	$63,377	$99,218	$81,229	1.41%	-0.47%	-2.50%
2017	6	0.64%	1.52%	2.60%	$63,781	$100,729	$83,345	0.64%	1.52%	2.60%
2017	7	2.06%	0.91%	0.79%	$65,092	$101,642	$84,000	2.06%	0.91%	0.79%
2017	8	0.29%	-1.54%	-2.31%	$65,282	$100,082	$82,058	0.29%	-1.54%	-2.31%
2017	9	2.01%	3.88%	7.08%	$66,597	$103,960	$87,866	2.01%	3.88%	7.08%
2017	10	2.36%	2.23%	1.02%	$68,166	$106,283	$88,766	2.36%	2.23%	1.02%
2017	11	3.06%	3.68%	3.07%	$70,250	$110,198	$91,492	3.06%	3.68%	3.07%
2017	12	1.21%	0.23%	-0.31%	$71,099	$110,456	$91,204	1.21%	0.23%	-0.31%
2018	1	5.64%	2.78%	2.20%	$75,106	$113,523	$93,209	5.64%	2.78%	2.20%
2018	2	-3.64%	-4.43%	-4.49%	$72,375	$108,489	$89,022	-3.64%	-4.43%	-4.49%
2018	3	-2.74%	0.97%	0.89%	$70,391	$109,547	$89,816	-2.74%	0.97%	0.89%
2018	4	0.52%	-0.36%	0.82%	$70,755	$109,156	$90,553	0.52%	-0.36%	0.82%
2018	5	2.43%	4.12%	5.22%	$72,475	$113,653	$95,281	2.43%	4.12%	5.22%
2018	6	0.58%	0.41%	0.86%	$72,892	$114,125	$96,105	0.58%	0.41%	0.86%
2018	7	3.70%	1.70%	2.12%	$75,592	$116,069	$98,143	3.70%	1.70%	2.12%
2018	8	3.19%	3.16%	3.69%	$78,005	$119,741	$101,761	3.19%	3.16%	3.69%
2018	9	0.59%	-1.07%	-2.49%	$78,469	$118,460	$99,229	0.59%	-1.07%	-2.49%
2018	10	-6.91%	-9.61%	-9.86%	$73,047	$107,077	$89,446	-6.91%	-9.61%	-9.86%
2018	11	1.85%	3.19%	1.00%	$74,402	$110,491	$90,340	1.85%	3.19%	1.00%
2018	12	-8.79%	-11.31%	-12.30%	$67,859	$97,996	$79,230	-8.79%	-11.31%	-12.30%
2019	1	8.01%	10.28%	10.66%	$73,292	$108,071	$87,673	8.01%	10.28%	10.66%
2019	2	3.24%	4.32%	4.77%	$75,668	$112,743	$91,854	3.24%	4.32%	4.77%
2019	3	1.81%	-0.56%	-3.03%	$77,036	$112,117	$89,068	1.81%	-0.56%	-3.03%
2019	4	4.09%	3.97%	4.26%	$80,183	$116,564	$92,858	4.09%	3.97%	4.26%
2019	5	-6.38%	-8.07%	-9.14%	$75,070	$107,160	$84,370	-6.38%	-8.07%	-9.14%
2019	6	6.96%	7.82%	7.61%	$80,294	$115,539	$90,792	6.96%	7.82%	7.61%
2019	7	1.51%	0.94%	0.62%	$81,508	$116,624	$91,354	1.51%	0.94%	0.62%
2019	8	-1.67%	-4.13%	-5.98%	$80,144	$111,808	$85,894	-1.67%	-4.13%	-5.98%
2019	9	1.95%	3.12%	3.54%	$81,705	$115,294	$88,938	1.95%	3.12%	3.54%
2019	10	2.21%	1.07%	1.99%	$83,511	$116,524	$90,709	2.21%	1.07%	1.99%
2019	11	3.62%	2.92%	3.11%	$86,534	$119,929	$93,527	3.62%	2.92%	3.11%
2019	12	2.90%	2.78%	3.14%	$89,046	$123,262	$96,461	2.90%	2.78%	3.14%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2	Portfolio 3
Large-cap Value	46.27%	0.50%	0.00%
Large-cap Growth	52.82%	0.32%	0.00%
Mid-cap Value	0.00%	47.51%	0.00%
Mid-cap Growth	0.55%	51.45%	9.38%
Small-cap Value	0.00%	0.00%	62.11%
Small-cap Growth	0.00%	0.00%	26.89%
Global ex-US Developed Markets	0.00%	0.00%	0.00%
Emerging Markets	0.03%	0.21%	1.62%
REITs	0.00%	0.00%	0.00%
Corporate Bonds	0.33%	0.00%	0.00%
Long-Term Treasuries	0.00%	0.00%	0.00%
Intermediate-Term Treasuries	0.00%	0.00%	0.00%
Short-Term Treasuries	0.00%	0.01%	0.00%
R Squared	99.90%	99.88%	98.55%
Style analysis is based on monthly returns from Apr 2005 to Dec 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
Ticker	Name	Category	ER	Weight	Return Contribution	Risk Contribution
SPY	SPDR S&P 500 ETF Trust	Large Blend	0.09%	100.00%	$79,046	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	ER	Weight	Return Contribution	Risk Contribution
MDY	SPDR S&P MIDCAP 400 ETF Trust	Mid-Cap Blend	0.24%	100.00%	$113,262	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	ER	Weight	Return Contribution	Risk Contribution
DFSTX	DFA US Small Cap I	Small Blend	0.37%	100.00%	$86,461	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/06/2020. (c) 2020 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
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	0.84%	0.99%	0.94%
Arithmetic Mean (annualized)	10.58%	12.50%	11.90%
Geometric Mean (monthly)	0.75%	0.86%	0.78%
Geometric Mean (annualized)	9.40%	10.87%	9.76%
Volatility (monthly)	4.22%	4.91%	5.67%
Volatility (annualized)	14.63%	17.02%	19.65%
Downside Deviation (monthly)	2.82%	3.25%	3.77%
Max. Drawdown	-50.80%	-49.73%	-55.02%
US Market Correlation	0.99	0.94	0.88
Beta^(*)	0.96	1.06	1.14
Alpha (annualized)	0.36%	1.07%	-0.31%
R²	97.43%	88.04%	76.81%
Sharpe Ratio	0.54	0.56	0.46
Sortino Ratio	0.78	0.83	0.68
Treynor Ratio (%)	8.20	9.05	7.93
Calmar Ratio	1.12	0.49	0.26
Active Return	0.01%	1.48%	0.37%
Tracking Error	2.43%	5.95%	9.70%
Information Ratio	0.00	0.25	0.04
Skewness	-0.65	-0.68	-0.44
Excess Kurtosis	1.12	2.22	1.16
Historical Value-at-Risk (5%)	-7.11%	-7.17%	-8.67%
Analytical Value-at-Risk (5%)	-6.10%	-7.09%	-8.39%
Conditional Value-at-Risk (5%)	-9.64%	-11.12%	-12.47%
Upside Capture Ratio (%)	95.42	108.41	116.08
Downside Capture Ratio (%)	94.27	102.87	117.59
Safe Withdrawal Rate	8.54%	10.16%	8.69%
Perpetual Withdrawal Rate	6.45%	7.66%	6.75%
Positive Periods	189 out of 292 (64.73%)	183 out of 292 (62.67%)	180 out of 292 (61.64%)
Gain/Loss Ratio	0.90	1.00	0.94
^* 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 Period	Start	End	Portfolio 1	Portfolio 2	Portfolio 3
Asian Crisis	Jul 1997	Jan 1998	-5.18%	-3.78%	-6.90%
Russian Debt Default	Jul 1998	Oct 1998	-15.28%	-23.47%	-26.68%
Dotcom Crash	Mar 2000	Oct 2002	-44.71%	-24.52%	-28.01%
Subprime Crisis	Nov 2007	Mar 2009	-50.80%	-49.36%	-53.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Mar 2012	3 years 1 month	4 years 5 months	-50.80%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.71%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.28%
4	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.52%
5	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.48%
6	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-6.63%
7	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.43%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.38%
9	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.28%
10	Jul 1999	Sep 1999	3 months	Oct 1999	1 month	4 months	-5.76%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Dec 2010	1 year 10 months	3 years 7 months	-49.73%
2	May 1998	Aug 1998	4 months	Dec 1998	4 months	8 months	-26.19%
3	Apr 2002	Sep 2002	6 months	Oct 2003	1 year 1 month	1 year 7 months	-24.52%
4	May 2011	Sep 2011	5 months	Nov 2012	1 year 2 months	1 year 7 months	-22.52%
5	Sep 2000	Sep 2001	1 year 1 month	Mar 2002	6 months	1 year 7 months	-19.83%
6	Sep 2018	Dec 2018	4 months	Nov 2019	11 months	1 year 3 months	-18.16%
7	Jun 2015	Jan 2016	8 months	Jul 2016	6 months	1 year 2 months	-12.64%
8	Jul 1999	Sep 1999	3 months	Nov 1999	2 months	5 months	-8.24%
9	Jun 1996	Jul 1996	2 months	Sep 1996	2 months	4 months	-7.98%
10	May 2006	Jul 2006	3 months	Nov 2006	4 months	7 months	-7.47%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Dec 2010	1 year 10 months	3 years 7 months	-55.02%
2	May 1998	Aug 1998	4 months	Dec 1999	1 year 4 months	1 year 8 months	-31.47%
3	May 2002	Sep 2002	5 months	Aug 2003	11 months	1 year 4 months	-28.01%
4	May 2011	Sep 2011	5 months	Dec 2012	1 year 3 months	1 year 8 months	-24.71%
5	Sep 2018	Dec 2018	4 months				-22.14%
6	Jul 2001	Sep 2001	3 months	Mar 2002	6 months	9 months	-19.96%
7	Mar 2000	Nov 2000	9 months	Jun 2001	7 months	1 year 4 months	-17.61%
8	Jul 2015	Jan 2016	7 months	Jul 2016	6 months	1 year 1 month	-13.23%
9	Jun 1996	Jul 1996	2 months	Jan 1997	6 months	8 months	-12.51%
10	Jan 2005	Apr 2005	4 months	Jul 2005	3 months	7 months	-10.99%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
SPY	SPDR S&P 500 ETF Trust	9.40%	14.63%	33.48%	-36.81%	-50.80%	0.54	0.78	0.99
MDY	SPDR S&P MIDCAP 400 ETF Trust	10.87%	17.02%	37.58%	-36.44%	-49.73%	0.56	0.83	0.94
DFSTX	DFA US Small Cap I	9.76%	19.65%	51.49%	-36.01%	-55.02%	0.46	0.68	0.88

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	SPY	MDY	DFSTX	Portfolio 1	Portfolio 2	Portfolio 3
SPY	SPDR S&P 500 ETF Trust	-	0.90	0.81	1.00	0.90	0.81
MDY	SPDR S&P MIDCAP 400 ETF Trust	0.90	-	0.92	0.90	1.00	0.92
DFSTX	DFA US Small Cap I	0.81	0.92	-	0.81	0.92	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
SPY	SPDR S&P 500 ETF Trust	$79,046
MDY	SPDR S&P MIDCAP 400 ETF Trust		$113,262
DFSTX	DFA US Small Cap I			$86,461

Portfolio Risk Decomposition

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

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	10.69%	33.48%	-36.81%	12.33%	37.58%	-36.44%	11.67%	51.49%	-36.01%
3 years	8.54%	28.14%	-14.52%	10.70%	21.05%	-9.16%	9.74%	23.73%	-10.23%
5 years	7.09%	17.99%	-2.38%	10.12%	21.66%	-0.45%	9.64%	23.78%	-1.99%
7 years	6.71%	14.70%	-1.53%	9.86%	16.10%	1.77%	9.65%	16.63%	1.48%
10 years	6.39%	13.44%	-1.49%	9.57%	13.64%	4.27%	9.32%	13.39%	4.84%
15 years	6.32%	9.82%	4.17%	9.54%	11.69%	8.03%	9.30%	12.09%	7.83%
Result statistics are based on annualized rolling returns over full calendar year periods