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 10
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Portfolio Analysis Results (Mar 1993 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFSVX DFA US Small Cap Value 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$158,452 10.88% 19.06%59.40%-36.79%-61.18% 0.520.760.85
Vanguard 500 Index Investor$10,000$117,333 9.64% 14.25%37.45%-37.02%-50.97% 0.550.800.99
   
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 1993 are based on full calendar months from March 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
  • Monthly return series of the selected benchmark is used for results comparisons
  • 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)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19931.89%13.62%7.56%$11,362$10,75613.62%
19942.67%1.23%1.18%$11,502$10,8821.23%
19952.54%29.28%37.45%$14,870$14,95729.28%
19963.32%22.33%22.88%$18,189$18,37922.33%
19971.70%30.75%33.19%$23,782$24,47930.75%
19981.61%-7.30%28.62%$22,046$31,484-7.30%
19992.68%13.05%21.07%$24,922$38,11713.05%
20003.39%9.01%-9.06%$27,167$34,6659.01%
20011.55%22.65%-12.02%$33,321$30,49722.65%
20022.38%-9.27%-22.15%$30,233$23,743-9.27%
20031.88%59.40%28.50%$48,193$30,51159.40%
20043.26%25.39%10.74%$60,429$33,78825.39%
20053.42%7.79%4.77%$65,136$35,4017.79%
20062.54%21.55%15.64%$79,172$40,93821.55%
20074.08%-10.75%5.39%$70,665$43,143-10.75%
20080.09%-36.79%-37.02%$44,670$27,171-36.79%
20092.72%33.62%26.49%$59,689$34,36833.62%
20101.50%30.90%14.91%$78,135$39,49330.90%
20112.96%-7.55%1.97%$72,239$40,270-7.55%
20121.74%21.72%15.82%$87,932$46,64221.72%
20131.50%42.38%32.18%$125,200$61,65042.38%
20140.76%3.48%13.51%$129,558$69,9783.48%
20150.73%-7.81%1.25%$119,436$70,851-7.81%
20162.07%28.26%11.82%$153,192$79,22428.26%
20172.11%7.21%21.67%$164,241$96,3907.21%
20181.91%-15.13%-4.52%$139,395$92,029-15.13%
20192.43%13.67%27.50%$158,452$117,33313.67%
Annual returns for 1993 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA US Small Cap Value I (DFSVX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19933-0.80%2.11%$9,920$10,211-0.80%
19934-2.12%-2.42%$9,710$9,963-2.12%
199352.68%2.65%$9,970$10,2282.68%
199360.00%0.27%$9,970$10,2550.00%
199373.01%-0.42%$10,270$10,2113.01%
199383.21%3.79%$10,600$10,5983.21%
199393.49%-0.79%$10,970$10,5143.49%
1993103.37%2.08%$11,340$10,7323.37%
199311-1.77%-1.00%$11,139$10,625-1.77%
1993122.00%1.22%$11,362$10,7562.00%
199415.16%3.38%$11,948$11,1195.16%
19942-0.34%-2.71%$11,908$10,817-0.34%
19943-3.31%-4.39%$11,513$10,342-3.31%
199440.70%1.29%$11,594$10,4760.70%
199450.26%1.60%$11,625$10,6440.26%
19946-1.83%-2.45%$11,412$10,383-1.83%
199471.68%3.28%$11,604$10,7231.68%
199483.40%4.08%$11,999$11,1613.40%
19949-0.34%-2.45%$11,959$10,888-0.34%
199410-1.44%2.25%$11,787$11,132-1.44%
199411-3.43%-3.65%$11,383$10,725-3.43%
1994121.05%1.46%$11,502$10,8821.05%
199510.98%2.58%$11,614$11,1630.98%
199523.53%3.88%$12,024$11,5963.53%
199531.19%2.95%$12,167$11,9391.19%
199543.54%2.94%$12,598$12,2903.54%
199552.76%3.95%$12,946$12,7762.76%
199563.96%2.31%$13,458$13,0713.96%
199575.40%3.30%$14,185$13,5035.40%
199583.18%0.26%$14,636$13,5393.18%
199591.26%4.21%$14,820$14,1091.26%
199510-4.91%-0.36%$14,093$14,058-4.91%
1995113.72%4.38%$14,617$14,6733.72%
1995121.73%1.93%$14,870$14,9571.73%
19961-0.35%3.39%$14,817$15,463-0.35%
199622.19%0.92%$15,142$15,6062.19%
199632.76%0.98%$15,560$15,7592.76%
199645.18%1.46%$16,366$15,9885.18%
199653.90%2.54%$17,004$16,3953.90%
19966-2.09%0.38%$16,648$16,458-2.09%
19967-6.22%-4.42%$15,612$15,730-6.22%
199684.56%2.10%$16,324$16,0604.56%
199693.33%5.61%$16,868$16,9603.33%
1996100.74%2.76%$16,994$17,4280.74%
1996114.74%7.56%$17,799$18,7464.74%
1996122.19%-1.96%$18,189$18,3792.19%
199712.54%6.22%$18,652$19,5212.54%
199720.00%0.79%$18,652$19,6750.00%
19973-2.65%-4.14%$18,157$18,862-2.65%
19974-0.41%5.96%$18,082$19,985-0.41%
199759.46%6.09%$19,792$21,2029.46%
199766.25%4.45%$21,029$22,1466.25%
199775.98%7.97%$22,287$23,9105.98%
199783.52%-5.61%$23,073$22,5693.52%
199797.69%5.47%$24,847$23,8037.69%
199710-3.55%-3.35%$23,965$23,006-3.55%
199711-0.85%4.60%$23,761$24,063-0.85%
1997120.09%1.72%$23,782$24,4790.09%
19981-1.23%1.11%$23,488$24,750-1.23%
199827.54%7.19%$25,260$26,5307.54%
199834.07%5.10%$26,287$27,8844.07%
199841.93%1.01%$26,795$28,1651.93%
19985-3.83%-1.74%$25,768$27,674-3.83%
19986-1.97%4.07%$25,260$28,801-1.97%
19987-7.37%-1.05%$23,398$28,498-7.37%
19988-18.43%-14.47%$19,086$24,373-18.43%
199892.84%6.41%$19,628$25,9362.84%
1998104.26%8.16%$20,463$28,0534.26%
1998115.30%6.07%$21,547$29,7565.30%
1998122.32%5.81%$22,046$31,4842.32%
199911.56%4.20%$22,390$32,8071.56%
19992-8.24%-3.12%$20,546$31,782-8.24%
19993-1.92%4.00%$20,152$33,052-1.92%
1999410.68%3.85%$22,304$34,32510.68%
199954.69%-2.39%$23,349$33,5054.69%
199966.11%5.56%$24,775$35,3676.11%
19997-0.45%-3.13%$24,665$34,260-0.45%
19998-2.74%-0.50%$23,988$34,090-2.74%
19999-2.67%-2.74%$23,349$33,156-2.67%
199910-3.42%6.33%$22,550$35,254-3.42%
1999114.53%2.02%$23,570$35,9674.53%
1999125.73%5.98%$24,922$38,1175.73%
20001-0.75%-5.03%$24,734$36,199-0.75%
200029.28%-1.91%$27,029$35,5099.28%
200030.30%9.76%$27,109$38,9740.30%
20004-3.51%-3.01%$26,157$37,803-3.51%
20005-4.16%-2.04%$25,070$37,032-4.16%
200064.98%2.49%$26,318$37,9534.98%
20007-0.10%-1.49%$26,291$37,387-0.10%
200087.40%6.19%$28,237$39,7027.40%
20009-1.85%-5.29%$27,713$37,602-1.85%
200010-3.78%-0.43%$26,667$37,440-3.78%
200011-5.44%-7.88%$25,217$34,491-5.44%
2000127.73%0.50%$27,167$34,6657.73%
2001110.31%3.55%$29,970$35,89410.31%
20012-1.92%-9.14%$29,394$32,614-1.92%
20013-2.46%-6.36%$28,672$30,541-2.46%
200146.12%7.77%$30,427$32,9146.12%
200156.16%0.65%$32,300$33,1286.16%
200163.74%-2.45%$33,509$32,3183.74%
20017-1.63%-1.00%$32,964$31,995-1.63%
20018-1.34%-6.27%$32,521$29,987-1.34%
20019-14.56%-8.09%$27,787$27,561-14.56%
2001103.93%1.90%$28,878$28,0833.93%
2001117.81%7.65%$31,135$30,2337.81%
2001127.02%0.87%$33,321$30,4977.02%
200211.54%-1.47%$33,835$30,0481.54%
20022-0.16%-1.94%$33,782$29,466-0.16%
200239.86%3.74%$37,112$30,5699.86%
200244.53%-6.07%$38,795$28,7124.53%
20025-3.15%-0.75%$37,573$28,495-3.15%
20026-2.07%-7.13%$36,794$26,462-2.07%
20027-15.60%-7.72%$31,054$24,420-15.60%
20028-1.25%0.65%$30,664$24,579-1.25%
20029-7.28%-10.87%$28,432$21,906-7.28%
2002101.62%8.78%$28,893$23,8301.62%
2002118.52%5.88%$31,355$25,2308.52%
200212-3.58%-5.89%$30,233$23,743-3.58%
20031-3.45%-2.62%$29,191$23,120-3.45%
20032-4.11%-1.52%$27,991$22,769-4.11%
20033-0.21%0.96%$27,932$22,987-0.21%
2003410.56%8.25%$30,882$24,88410.56%
2003511.72%5.26%$34,502$26,19411.72%
200363.65%1.26%$35,760$26,5243.65%
200377.04%1.74%$38,278$26,9877.04%
200385.14%1.93%$40,245$27,5085.14%
20039-0.78%-1.07%$39,931$27,213-0.78%
20031010.00%5.64%$43,924$28,74910.00%
2003114.16%0.86%$45,753$28,9974.16%
2003125.33%5.22%$48,193$30,5115.33%
200414.89%1.82%$50,549$31,0664.89%
200421.41%1.38%$51,264$31,4941.41%
200430.94%-1.51%$51,748$31,0180.94%
20044-3.17%-1.58%$50,107$30,529-3.17%
200450.38%1.36%$50,296$30,9430.38%
200466.69%1.93%$53,663$31,5406.69%
20047-5.33%-3.31%$50,801$30,496-5.33%
20048-1.49%0.38%$50,043$30,613-1.49%
200494.93%1.07%$52,510$30,9394.93%
2004100.96%1.51%$53,015$31,4080.96%
20041110.00%4.05%$58,318$32,67910.00%
2004123.62%3.39%$60,429$33,7883.62%
20051-3.57%-2.45%$58,271$32,958-3.57%
200522.70%2.09%$59,845$33,6482.70%
20053-1.95%-1.76%$58,677$33,056-1.95%
20054-7.28%-1.91%$54,405$32,424-7.28%
200556.65%3.17%$58,025$33,4516.65%
200564.17%0.13%$60,446$33,4944.17%
200577.11%3.71%$64,746$34,7357.11%
20058-1.67%-0.91%$63,665$34,418-1.67%
200590.80%0.79%$64,172$34,6910.80%
200510-2.92%-1.68%$62,297$34,109-2.92%
2005114.21%3.76%$64,918$35,3934.21%
2005120.34%0.02%$65,136$35,4010.34%
200618.82%2.65%$70,883$36,3378.82%
20062-0.35%0.26%$70,637$36,433-0.35%
200636.09%1.23%$74,942$36,8816.09%
200640.98%1.33%$75,680$37,3730.98%
20065-4.39%-2.90%$72,360$36,290-4.39%
200660.05%0.13%$72,395$36,3370.05%
20067-3.75%0.61%$69,683$36,557-3.75%
200681.95%2.36%$71,039$37,4211.95%
200691.19%2.56%$71,886$38,3801.19%
2006105.43%3.25%$75,792$39,6285.43%
2006113.03%1.89%$78,091$40,3763.03%
2006121.38%1.39%$79,172$40,9381.38%
200712.20%1.49%$80,914$41,5492.20%
20072-0.23%-1.97%$80,727$40,731-0.23%
200731.09%1.11%$81,604$41,1841.09%
200741.81%4.42%$83,079$43,0031.81%
200753.65%3.48%$86,109$44,4993.65%
20076-1.55%-1.68%$84,778$43,753-1.55%
20077-7.64%-3.08%$78,298$42,403-7.64%
20078-0.76%1.50%$77,706$43,038-0.76%
20079-0.28%3.72%$77,492$44,641-0.28%
2007101.11%1.58%$78,356$45,3461.11%
200711-8.72%-4.19%$71,525$43,447-8.72%
200712-1.20%-0.70%$70,665$43,143-1.20%
20081-3.94%-6.02%$67,878$40,548-3.94%
20082-2.84%-3.25%$65,952$39,230-2.84%
200830.84%-0.44%$66,509$39,0570.84%
200841.66%4.85%$67,610$40,9531.66%
200854.14%1.29%$70,407$41,4824.14%
20086-10.10%-8.44%$63,293$37,982-10.10%
200872.07%-0.83%$64,605$37,6662.07%
200884.15%1.45%$67,287$38,2114.15%
20089-6.89%-8.91%$62,649$34,808-6.89%
200810-22.14%-16.79%$48,780$28,963-22.14%
200811-12.99%-7.17%$42,443$26,884-12.99%
2008125.25%1.07%$44,670$27,1715.25%
20091-14.28%-8.41%$38,293$24,886-14.28%
20092-12.71%-10.66%$33,427$22,234-12.71%
2009310.40%8.76%$36,903$24,18110.40%
2009419.66%9.56%$44,157$26,49319.66%
200953.22%5.62%$45,577$27,9813.22%
200960.35%0.22%$45,738$28,0420.35%
2009713.44%7.58%$51,887$30,16713.44%
200985.14%3.60%$54,553$31,2535.14%
200996.33%3.72%$58,008$32,4156.33%
200910-7.53%-1.87%$53,641$31,809-7.53%
2009113.11%5.98%$55,309$33,7123.11%
2009127.92%1.95%$59,689$34,3687.92%
20101-3.16%-3.60%$57,804$33,129-3.16%
201026.15%3.09%$61,362$34,1546.15%
201038.86%6.01%$66,799$36,2078.86%
201048.11%1.58%$72,213$36,7798.11%
20105-9.90%-8.01%$65,065$33,835-9.90%
20106-10.14%-5.24%$58,464$32,062-10.14%
201078.69%7.00%$63,544$34,3058.69%
20108-8.38%-4.53%$58,221$32,751-8.38%
2010912.93%8.92%$65,751$35,67212.93%
2010104.17%3.79%$68,492$37,0234.17%
2010114.49%0.00%$71,568$37,0234.49%
2010129.18%6.67%$78,135$39,4939.18%
201110.31%2.36%$78,379$40,4240.31%
201126.28%3.42%$83,299$41,8056.28%
201132.05%0.03%$85,010$41,8162.05%
201141.26%2.95%$86,080$43,0491.26%
20115-3.12%-1.15%$83,391$42,556-3.12%
20116-1.81%-1.67%$81,882$41,844-1.81%
20117-2.88%-2.05%$79,527$40,988-2.88%
20118-10.58%-5.45%$71,116$38,755-10.58%
20119-12.58%-7.04%$62,171$36,026-12.58%
20111015.82%10.91%$72,007$39,95815.82%
201111-0.68%-0.23%$71,517$39,864-0.68%
2011121.01%1.02%$72,239$40,2701.01%
201217.43%4.46%$77,604$42,0687.43%
201223.18%4.31%$80,068$43,8803.18%
201232.30%3.28%$81,908$45,3192.30%
20124-1.60%-0.64%$80,598$45,030-1.60%
20125-7.12%-6.02%$74,859$42,320-7.12%
201264.38%4.11%$78,139$44,0594.38%
20127-0.24%1.37%$77,952$44,662-0.24%
201284.21%2.24%$81,236$45,6624.21%
201293.31%2.58%$83,929$46,8393.31%
201210-0.82%-1.86%$83,240$45,968-0.82%
2012111.84%0.56%$84,775$46,2251.84%
2012123.72%0.90%$87,932$46,6423.72%
201316.56%5.18%$93,702$49,0576.56%
201321.75%1.34%$95,346$49,7141.75%
201334.91%3.74%$100,023$51,5724.91%
20134-1.11%1.91%$98,916$52,556-1.11%
201355.39%2.33%$104,251$53,7805.39%
20136-0.70%-1.35%$103,520$53,053-0.70%
201377.34%5.07%$111,113$55,7447.34%
20138-4.17%-2.91%$106,477$54,121-4.17%
201395.24%3.12%$112,059$55,8115.24%
2013103.51%4.59%$115,995$58,3703.51%
2013115.08%3.03%$121,882$60,1385.08%
2013122.72%2.51%$125,200$61,6502.72%
20141-5.14%-3.47%$118,765$59,511-5.14%
201425.45%4.56%$125,236$62,2255.45%
201431.19%0.82%$126,721$62,7381.19%
20144-1.93%0.72%$124,281$63,192-1.93%
201450.83%2.33%$125,306$64,6680.83%
201464.44%2.05%$130,865$65,9954.44%
20147-5.76%-1.39%$123,326$65,079-5.76%
201485.83%3.98%$130,511$67,6705.83%
20149-6.98%-1.41%$121,405$66,714-6.98%
2014104.61%2.42%$127,008$68,3304.61%
201411-0.28%2.68%$126,653$70,163-0.28%
2014122.29%-0.26%$129,558$69,9782.29%
20151-4.95%-3.02%$123,148$67,866-4.95%
201525.90%5.74%$130,410$71,7615.90%
201531.78%-1.59%$132,725$70,6181.78%
20154-1.34%0.95%$130,946$71,288-1.34%
201551.36%1.27%$132,725$72,1951.36%
201560.05%-1.93%$132,792$70,8000.05%
20157-3.67%2.08%$127,924$72,273-3.67%
20158-4.04%-6.04%$122,760$67,906-4.04%
20159-4.51%-2.49%$117,226$66,215-4.51%
2015105.28%8.42%$123,419$71,7925.28%
2015113.17%0.29%$127,336$71,9983.17%
201512-6.20%-1.59%$119,436$70,851-6.20%
20161-7.18%-4.98%$110,858$67,325-7.18%
201621.17%-0.15%$112,150$67,2281.17%
201638.77%6.78%$121,982$71,7838.77%
201641.80%0.37%$124,180$72,0511.80%
201650.47%1.78%$124,769$73,3350.47%
20166-1.16%0.25%$123,324$73,519-1.16%
201674.85%3.68%$129,307$76,2224.85%
201681.74%0.13%$131,551$76,3201.74%
201691.21%0.01%$133,138$76,3271.21%
201610-3.14%-1.83%$128,963$74,927-3.14%
20161114.87%3.70%$148,141$77,69914.87%
2016123.41%1.96%$153,192$79,2243.41%
20171-0.53%1.88%$152,373$80,716-0.53%
201720.32%3.96%$152,864$83,9140.32%
20173-1.14%0.10%$151,126$83,998-1.14%
201740.46%1.02%$151,823$84,8540.46%
20175-3.51%1.39%$146,495$86,036-3.51%
201762.59%0.61%$150,284$86,5622.59%
201770.77%2.04%$151,434$88,3300.77%
20178-2.55%0.29%$147,573$88,590-2.55%
201797.92%2.06%$159,257$90,4147.92%
2017100.96%2.32%$160,780$92,5090.96%
2017112.12%3.06%$164,196$95,3392.12%
2017120.03%1.10%$164,241$96,3900.03%
201811.50%5.71%$166,710$101,8961.50%
20182-4.68%-3.69%$158,914$98,132-4.68%
201830.93%-2.56%$160,392$95,6240.93%
201841.32%0.37%$162,514$95,9811.32%
201856.29%2.39%$172,736$98,2796.29%
201860.06%0.61%$172,844$98,8740.06%
201871.61%3.71%$175,622$102,5411.61%
201882.84%3.25%$180,613$105,8702.84%
20189-3.19%0.55%$174,851$106,457-3.19%
201810-9.41%-6.85%$158,397$99,166-9.41%
2018110.91%2.03%$159,834$101,1760.91%
201812-12.79%-9.04%$139,395$92,029-12.79%
2019112.00%8.00%$156,122$99,39312.00%
201923.27%3.20%$161,233$102,5743.27%
20193-3.66%1.94%$155,331$104,561-3.66%
201944.04%4.04%$161,613$108,7864.04%
20195-11.52%-6.36%$143,000$101,863-11.52%
201967.77%7.03%$154,104$109,0277.77%
201970.39%1.43%$154,711$110,5810.39%
20198-8.00%-1.59%$142,339$108,822-8.00%
201995.96%1.86%$150,818$110,8445.96%
2019101.83%2.15%$153,581$113,2331.83%
2019113.17%3.62%$158,452$117,3333.17%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value0.00%47.14%
Large-cap Growth0.00%52.65%
Mid-cap Value1.90%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value96.44%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets1.66%0.00%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.20%
Short-Term Treasuries0.00%0.00%
R Squared96.98%99.92%
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
DFSVXDFA US Small Cap Value ISmall Value0.52%100.00%$148,452100.00%

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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.02%0.86%
Arithmetic Mean (annualized)12.92%10.76%
Geometric Mean (monthly)0.86%0.77%
Geometric Mean (annualized)10.88%9.64%
Volatility (monthly)5.50%4.11%
Volatility (annualized)19.06%14.25%
Downside Deviation (monthly)3.66%2.75%
Max. Drawdown-61.18%-50.97%
US Market Correlation0.850.99
Beta(*)1.061.00
Alpha (annualized)1.33%0.00%
R262.71%100.00%
Sharpe Ratio0.520.55
Sortino Ratio0.760.80
Treynor Ratio (%)9.287.89
Calmar Ratio0.101.09
Active Return1.24%N/A
Tracking Error11.67%N/A
Information Ratio0.11N/A
Skewness-0.54-0.70
Excess Kurtosis1.751.34
Historical Value-at-Risk (5%)-8.68%-7.02%
Analytical Value-at-Risk (5%)-8.03%-5.91%
Conditional Value-at-Risk (5%)-12.90%-9.36%
Upside Capture Ratio (%)112.30100.00
Downside Capture Ratio (%)110.11100.00
Safe Withdrawal Rate11.31%9.13%
Perpetual Withdrawal Rate8.03%6.96%
Positive Periods199 out of 321 (61.99%)213 out of 321 (66.36%)
Gain/Loss Ratio0.980.86
* Vanguard 500 Index Investor 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 1Vanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-5.47%-5.61%
Russian Debt DefaultJul 1998Oct 1998-24.44%-15.38%
Dotcom CrashMar 2000Oct 2002-26.71%-44.82%
Subprime CrisisNov 2007Mar 2009-57.34%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20123 years 10 months5 years 7 months-61.18%
2May 1998Aug 19984 monthsFeb 20001 year 6 months1 year 10 months-28.77%
3May 2002Mar 200311 monthsAug 20035 months1 year 4 months-28.00%
4Sep 2018Dec 20184 months-22.82%
5Jul 2001Sep 20013 monthsJan 20024 months7 months-17.08%
6Jul 2015Jan 20167 monthsSep 20168 months1 year 3 months-16.52%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-10.69%
8Jan 2005Apr 20054 monthsJun 20052 months6 months-9.97%
9Jun 1996Jul 19962 monthsNov 19964 months6 months-8.18%
10May 2006Jul 20063 monthsOct 20063 months6 months-7.92%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
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 I10.88%19.06%59.40%-36.79%-61.18%0.520.760.85

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year12.62%59.40%-36.79%10.57%37.45%-37.02%
3 years11.93%29.16%-11.81%9.71%31.03%-14.60%
5 years11.39%22.89%-1.82%8.69%28.49%-2.38%
7 years11.25%17.95%2.58%7.35%18.20%-1.64%
10 years10.98%18.05%6.25%6.56%12.97%-1.46%
15 years10.53%12.28%7.34%6.22%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods