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.

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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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Asset 10
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Portfolio Analysis Results (Aug 2000 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 100.00%
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Portfolio 2
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 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$50,174 8.29% 21.56%59.40%-36.79%-61.18% 0.410.590.88
Portfolio 2$10,000$50,027 8.28% 20.01%39.76%-29.39%-54.13% 0.430.610.88
Portfolio 3$10,000$35,935 6.52% 15.53%33.35%-37.04%-50.89% 0.390.551.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 14.12%-19.89%-14.11%-6.38%1.34%6.77%8.29%
Portfolio 23.27%-19.91%-15.41%-3.61%4.25%8.66%8.28%
Portfolio 31.12%3.15%10.09%9.94%11.37%12.67%6.52%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
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 2000 are based on monthly returns from August to December
  • The annual results for 2020 are based on monthly returns from January to October
  • 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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The 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
YearInflationReturnBalanceDFA US Small Cap Value I (DFSVX)iShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20000.69%3.33%14.98%-8.13%$10,333$11,498$9,1873.33%14.98%-8.13%
20011.55%22.65%11.68%-10.97%$12,674$12,841$8,17922.65%11.68%-10.97%
20022.38%-9.27%-14.04%-20.96%$11,500$11,039$6,465-9.27%-14.04%-20.96%
20031.88%59.40%39.76%31.35%$18,331$15,427$8,49259.40%39.76%31.35%
20043.26%25.39%22.60%12.51%$22,985$18,914$9,55425.39%22.60%12.51%
20053.42%7.79%6.00%5.98%$24,775$20,048$10,1267.79%6.00%5.98%
20062.54%21.55%19.37%15.51%$30,114$23,932$11,69621.55%19.37%15.51%
20074.08%-10.75%-5.56%5.49%$26,878$22,600$12,338-10.75%-5.56%5.49%
20080.09%-36.79%-29.39%-37.04%$16,991$15,958$7,769-36.79%-29.39%-37.04%
20092.72%33.62%22.36%28.70%$22,703$19,526$9,99833.62%22.36%28.70%
20101.50%30.90%24.69%17.09%$29,719$24,346$11,70730.90%24.69%17.09%
20112.96%-7.55%-1.65%0.96%$27,477$23,945$11,820-7.55%-1.65%0.96%
20121.74%21.72%18.24%16.25%$33,446$28,313$13,74121.72%18.24%16.25%
20131.50%42.38%39.34%33.35%$47,621$39,453$18,32342.38%39.34%33.35%
20140.76%3.48%7.56%12.43%$49,279$42,435$20,6013.48%7.56%12.43%
20150.73%-7.81%-6.90%0.29%$45,429$39,508$20,661-7.81%-6.90%0.29%
20162.07%28.26%31.25%12.53%$58,268$51,852$23,25128.26%31.25%12.53%
20172.11%7.21%11.35%21.05%$62,471$57,739$28,1457.21%11.35%21.05%
20181.91%-15.13%-12.84%-5.26%$53,020$50,326$26,666-15.13%-12.84%-5.26%
20192.29%18.12%24.12%30.65%$62,630$62,465$34,83918.12%24.12%30.65%
20201.29%-19.89%-19.91%3.15%$50,174$50,027$35,935-19.89%-19.91%3.15%
Annual returns for 2000 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA US Small Cap Value I (DFSVX)iShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200087.40%7.38%7.28%$10,740$10,738$10,7287.40%7.38%7.28%
20009-1.85%-0.18%-4.67%$10,541$10,718$10,227-1.85%-0.18%-4.67%
200010-3.78%-0.89%-2.04%$10,143$10,623$10,018-3.78%-0.89%-2.04%
200011-5.44%-4.10%-9.90%$9,592$10,188$9,026-5.44%-4.10%-9.90%
2000127.73%12.87%1.78%$10,333$11,498$9,1877.73%12.87%1.78%
2001110.31%7.86%3.83%$11,399$12,402$9,53810.31%7.86%3.83%
20012-1.92%-4.21%-9.41%$11,181$11,879$8,640-1.92%-4.21%-9.41%
20013-2.46%-4.94%-6.72%$10,906$11,292$8,060-2.46%-4.94%-6.72%
200146.12%6.82%8.16%$11,573$12,062$8,7186.12%6.82%8.16%
200156.16%2.91%1.01%$12,286$12,414$8,8066.16%2.91%1.01%
200163.74%2.01%-1.64%$12,746$12,663$8,6623.74%2.01%-1.64%
20017-1.63%-0.22%-1.71%$12,538$12,635$8,513-1.63%-0.22%-1.71%
20018-1.34%-0.96%-6.00%$12,370$12,513$8,002-1.34%-0.96%-6.00%
20019-14.56%-14.53%-9.00%$10,569$10,695$7,282-14.56%-14.53%-9.00%
2001103.93%4.50%2.52%$10,984$11,176$7,4663.93%4.50%2.52%
2001117.81%7.55%7.63%$11,842$12,020$8,0367.81%7.55%7.63%
2001127.02%6.83%1.78%$12,674$12,841$8,1797.02%6.83%1.78%
200211.54%2.14%-1.24%$12,870$13,117$8,0781.54%2.14%-1.24%
20022-0.16%-0.42%-2.05%$12,849$13,061$7,912-0.16%-0.42%-2.05%
200239.86%8.72%4.38%$14,116$14,200$8,2599.86%8.72%4.38%
200244.53%4.03%-4.90%$14,756$14,772$7,8544.53%4.03%-4.90%
20025-3.15%-3.63%-1.22%$14,291$14,236$7,758-3.15%-3.63%-1.22%
20026-2.07%-4.62%-7.06%$13,995$13,578$7,210-2.07%-4.62%-7.06%
20027-15.60%-15.78%-8.02%$11,812$11,436$6,632-15.60%-15.78%-8.02%
20028-1.25%-0.42%0.53%$11,663$11,387$6,667-1.25%-0.42%0.53%
20029-7.28%-7.91%-10.07%$10,814$10,487$5,996-7.28%-7.91%-10.07%
2002101.62%2.58%7.65%$10,990$10,758$6,4551.62%2.58%7.65%
2002118.52%5.50%6.06%$11,926$11,350$6,8468.52%5.50%6.06%
200212-3.58%-2.74%-5.57%$11,500$11,039$6,465-3.58%-2.74%-5.57%
20031-3.45%-4.05%-2.54%$11,103$10,591$6,300-3.45%-4.05%-2.54%
20032-4.11%-4.05%-1.69%$10,647$10,162$6,194-4.11%-4.05%-1.69%
20033-0.21%-0.15%1.09%$10,624$10,147$6,261-0.21%-0.15%1.09%
2003410.56%8.81%8.21%$11,746$11,041$6,77510.56%8.81%8.21%
2003511.72%9.42%6.11%$13,123$12,081$7,18911.72%9.42%6.11%
200363.65%2.85%1.43%$13,602$12,426$7,2923.65%2.85%1.43%
200377.04%4.91%2.36%$14,560$13,036$7,4647.04%4.91%2.36%
200385.14%4.96%2.39%$15,308$13,682$7,6425.14%4.96%2.39%
20039-0.78%-3.51%-1.15%$15,188$13,202$7,555-0.78%-3.51%-1.15%
20031010.00%9.09%6.12%$16,707$14,401$8,01710.00%9.09%6.12%
2003114.16%4.30%1.38%$17,403$15,020$8,1284.16%4.30%1.38%
2003125.33%2.71%4.48%$18,331$15,427$8,4925.33%2.71%4.48%
200414.89%2.17%2.23%$19,227$15,762$8,6814.89%2.17%2.23%
200421.41%2.50%1.43%$19,499$16,156$8,8051.41%2.50%1.43%
200430.94%1.82%-1.07%$19,683$16,451$8,7110.94%1.82%-1.07%
20044-3.17%-3.93%-2.11%$19,059$15,804$8,527-3.17%-3.93%-2.11%
200450.38%1.58%1.35%$19,131$16,053$8,6420.38%1.58%1.35%
200466.69%5.35%2.09%$20,411$16,912$8,8236.69%5.35%2.09%
20047-5.33%-4.75%-3.80%$19,323$16,109$8,487-5.33%-4.75%-3.80%
20048-1.49%0.24%0.31%$19,035$16,148$8,514-1.49%0.24%0.31%
200494.93%4.69%1.74%$19,973$16,905$8,6624.93%4.69%1.74%
2004100.96%0.95%1.68%$20,165$17,066$8,8070.96%0.95%1.68%
20041110.00%9.11%4.68%$22,182$18,621$9,21910.00%9.11%4.68%
2004123.62%1.57%3.63%$22,985$18,914$9,5543.62%1.57%3.63%
20051-3.57%-3.25%-2.68%$22,164$18,299$9,299-3.57%-3.25%-2.68%
200522.70%2.90%2.07%$22,763$18,830$9,4912.70%2.90%2.07%
20053-1.95%-2.36%-1.75%$22,318$18,386$9,325-1.95%-2.36%-1.75%
20054-7.28%-5.12%-2.32%$20,694$17,444$9,109-7.28%-5.12%-2.32%
200556.65%6.16%3.77%$22,070$18,518$9,4526.65%6.16%3.77%
200564.17%3.92%0.81%$22,991$19,243$9,5294.17%3.92%0.81%
200577.11%5.84%4.11%$24,627$20,367$9,9207.11%5.84%4.11%
20058-1.67%-1.87%-0.94%$24,216$19,986$9,826-1.67%-1.87%-0.94%
200590.80%0.05%0.86%$24,409$19,996$9,9110.80%0.05%0.86%
200510-2.92%-3.41%-1.86%$23,696$19,314$9,726-2.92%-3.41%-1.86%
2005114.21%4.91%3.97%$24,692$20,262$10,1124.21%4.91%3.97%
2005120.34%-1.06%0.14%$24,775$20,048$10,1260.34%-1.06%0.14%
200618.82%8.75%3.50%$26,961$21,802$10,4808.82%8.75%3.50%
20062-0.35%0.27%0.00%$26,868$21,862$10,480-0.35%0.27%0.00%
200636.09%4.86%1.80%$28,505$22,924$10,6696.09%4.86%1.80%
200640.98%0.18%1.11%$28,786$22,965$10,7880.98%0.18%1.11%
20065-4.39%-4.55%-3.23%$27,523$21,919$10,439-4.39%-4.55%-3.23%
200660.05%0.04%0.17%$27,536$21,929$10,4570.05%0.04%0.17%
20067-3.75%-3.10%-0.13%$26,505$21,250$10,443-3.75%-3.10%-0.13%
200681.95%2.70%2.31%$27,020$21,825$10,6851.95%2.70%2.31%
200691.19%1.19%2.27%$27,343$22,083$10,9271.19%1.19%2.27%
2006105.43%5.52%3.53%$28,828$23,302$11,3135.43%5.52%3.53%
2006113.03%2.38%2.23%$29,703$23,856$11,5653.03%2.38%2.23%
2006121.38%0.32%1.13%$30,114$23,932$11,6961.38%0.32%1.13%
200712.20%2.14%1.88%$30,777$24,443$11,9162.20%2.14%1.88%
20072-0.23%-0.92%-1.61%$30,705$24,218$11,724-0.23%-0.92%-1.61%
200731.09%0.91%1.11%$31,039$24,437$11,8541.09%0.91%1.11%
200741.81%1.84%4.01%$31,600$24,886$12,3291.81%1.84%4.01%
200753.65%4.63%3.69%$32,753$26,040$12,7843.65%4.63%3.69%
20076-1.55%-2.24%-1.67%$32,246$25,456$12,570-1.55%-2.24%-1.67%
20077-7.64%-6.26%-3.41%$29,781$23,863$12,142-7.64%-6.26%-3.41%
20078-0.76%1.33%1.45%$29,556$24,180$12,318-0.76%1.33%1.45%
20079-0.28%0.31%3.59%$29,475$24,256$12,761-0.28%0.31%3.59%
2007101.11%1.06%1.85%$29,804$24,513$12,9971.11%1.06%1.85%
200711-8.72%-7.15%-4.49%$27,205$22,761$12,413-8.72%-7.15%-4.49%
200712-1.20%-0.71%-0.60%$26,878$22,600$12,338-1.20%-0.71%-0.60%
20081-3.94%-4.00%-6.08%$25,818$21,696$11,588-3.94%-4.00%-6.08%
20082-2.84%-3.36%-3.07%$25,085$20,966$11,232-2.84%-3.36%-3.07%
200830.84%0.83%-0.58%$25,297$21,139$11,1670.84%0.83%-0.58%
200841.66%2.64%5.02%$25,716$21,698$11,7281.66%2.64%5.02%
200854.14%3.92%2.09%$26,780$22,548$11,9734.14%3.92%2.09%
20086-10.10%-8.41%-8.19%$24,074$20,651$10,992-10.10%-8.41%-8.19%
200872.07%2.87%-0.77%$24,573$21,244$10,9082.07%2.87%-0.77%
200884.15%4.76%1.58%$25,593$22,256$11,0804.15%4.76%1.58%
20089-6.89%-4.82%-9.26%$23,829$21,184$10,054-6.89%-4.82%-9.26%
200810-22.14%-19.86%-17.63%$18,554$16,976$8,281-22.14%-19.86%-17.63%
200811-12.99%-11.80%-7.90%$16,144$14,974$7,627-12.99%-11.80%-7.90%
2008125.25%6.57%1.86%$16,991$15,958$7,7695.25%6.57%1.86%
20091-14.28%-13.94%-8.26%$14,565$13,733$7,127-14.28%-13.94%-8.26%
20092-12.71%-13.03%-10.45%$12,714$11,944$6,382-12.71%-13.03%-10.45%
2009310.40%7.58%8.65%$14,036$12,850$6,93510.40%7.58%8.65%
2009419.66%18.89%10.61%$16,795$15,277$7,67019.66%18.89%10.61%
200953.22%0.67%5.38%$17,336$15,379$8,0833.22%0.67%5.38%
200960.35%1.52%0.34%$17,397$15,614$8,1100.35%1.52%0.34%
2009713.44%11.00%7.82%$19,736$17,332$8,74513.44%11.00%7.82%
200985.14%3.48%3.63%$20,750$17,935$9,0625.14%3.48%3.63%
200996.33%4.21%4.23%$22,064$18,689$9,4456.33%4.21%4.23%
200910-7.53%-6.07%-2.57%$20,403$17,554$9,202-7.53%-6.07%-2.57%
2009113.11%2.90%5.63%$21,037$18,064$9,7203.11%2.90%5.63%
2009127.92%8.10%2.86%$22,703$19,526$9,9987.92%8.10%2.86%
20101-3.16%-2.54%-3.50%$21,986$19,031$9,648-3.16%-2.54%-3.50%
201026.15%4.76%3.36%$23,340$19,938$9,9736.15%4.76%3.36%
201038.86%7.80%6.27%$25,408$21,492$10,5988.86%7.80%6.27%
201048.11%6.63%2.17%$27,467$22,917$10,8288.11%6.63%2.17%
20105-9.90%-8.54%-8.00%$24,748$20,959$9,962-9.90%-8.54%-8.00%
20106-10.14%-8.27%-5.66%$22,238$19,225$9,398-10.14%-8.27%-5.66%
201078.69%6.71%6.99%$24,170$20,516$10,0558.69%6.71%6.99%
20108-8.38%-7.91%-4.75%$22,145$18,892$9,578-8.38%-7.91%-4.75%
2010912.93%10.93%9.47%$25,009$20,957$10,48512.93%10.93%9.47%
2010104.17%4.04%3.94%$26,052$21,804$10,8984.17%4.04%3.94%
2010114.49%2.47%0.58%$27,222$22,343$10,9614.49%2.47%0.58%
2010129.18%8.97%6.81%$29,719$24,346$11,7079.18%8.97%6.81%
201110.31%-0.24%2.19%$29,812$24,289$11,9630.31%-0.24%2.19%
201126.28%4.21%3.60%$31,684$25,312$12,3936.28%4.21%3.60%
201132.05%2.21%0.45%$32,335$25,870$12,4492.05%2.21%0.45%
201141.26%1.06%2.99%$32,741$26,145$12,8211.26%1.06%2.99%
20115-3.12%-1.77%-1.16%$31,719$25,683$12,672-3.12%-1.77%-1.16%
20116-1.81%-1.59%-1.79%$31,145$25,274$12,446-1.81%-1.59%-1.79%
20117-2.88%-2.77%-2.28%$30,249$24,573$12,162-2.88%-2.77%-2.28%
20118-10.58%-7.98%-5.99%$27,050$22,613$11,433-10.58%-7.98%-5.99%
20119-12.58%-10.57%-7.75%$23,648$20,223$10,546-12.58%-10.57%-7.75%
20111015.82%15.34%11.51%$27,389$23,325$11,76015.82%15.34%11.51%
201111-0.68%0.63%-0.29%$27,202$23,472$11,726-0.68%0.63%-0.29%
2011121.01%2.02%0.80%$27,477$23,945$11,8201.01%2.02%0.80%
201217.43%7.90%5.08%$29,518$25,836$12,4207.43%7.90%5.08%
201223.18%1.71%4.26%$30,455$26,279$12,9493.18%1.71%4.26%
201232.30%2.89%3.07%$31,155$27,039$13,3462.30%2.89%3.07%
20124-1.60%-1.91%-0.65%$30,656$26,522$13,259-1.60%-1.91%-0.65%
20125-7.12%-7.18%-6.24%$28,474$24,619$12,432-7.12%-7.18%-6.24%
201264.38%4.54%3.91%$29,721$25,736$12,9184.38%4.54%3.91%
20127-0.24%-0.69%1.03%$29,650$25,560$13,052-0.24%-0.69%1.03%
201284.21%4.08%2.48%$30,899$26,602$13,3754.21%4.08%2.48%
201293.31%3.14%2.58%$31,923$27,436$13,7203.31%3.14%2.58%
201210-0.82%-1.96%-1.76%$31,661$26,898$13,479-0.82%-1.96%-1.76%
2012111.84%1.65%0.74%$32,245$27,342$13,5791.84%1.65%0.74%
2012123.72%3.55%1.19%$33,446$28,313$13,7413.72%3.55%1.19%
201316.56%5.35%5.50%$35,641$29,828$14,4966.56%5.35%5.50%
201321.75%1.63%1.28%$36,266$30,315$14,6811.75%1.63%1.28%
201334.91%4.11%3.88%$38,045$31,560$15,2514.91%4.11%3.88%
20134-1.11%0.12%1.70%$37,624$31,599$15,511-1.11%0.12%1.70%
201355.39%4.29%2.32%$39,653$32,953$15,8715.39%4.29%2.32%
20136-0.70%-0.14%-1.27%$39,375$32,907$15,669-0.70%-0.14%-1.27%
201377.34%6.56%5.49%$42,263$35,066$16,5287.34%6.56%5.49%
20138-4.17%-3.41%-2.82%$40,500$33,868$16,062-4.17%-3.41%-2.82%
201395.24%6.59%3.66%$42,623$36,102$16,6505.24%6.59%3.66%
2013103.51%3.48%4.22%$44,120$37,359$17,3533.51%3.48%4.22%
2013115.08%4.25%2.88%$46,359$38,949$17,8535.08%4.25%2.88%
2013122.72%1.29%2.63%$47,621$39,453$18,3232.72%1.29%2.63%
20141-5.14%-3.51%-3.11%$45,174$38,066$17,754-5.14%-3.51%-3.11%
201425.45%4.63%4.73%$47,635$39,828$18,5945.45%4.63%4.73%
201431.19%1.34%0.51%$48,200$40,362$18,6901.19%1.34%0.51%
20144-1.93%-2.29%0.06%$47,272$39,437$18,701-1.93%-2.29%0.06%
201450.83%0.62%2.17%$47,662$39,683$19,1080.83%0.62%2.17%
201464.44%3.85%2.54%$49,776$41,209$19,5924.44%3.85%2.54%
20147-5.76%-5.07%-1.98%$46,908$39,121$19,205-5.76%-5.07%-1.98%
201485.83%4.46%4.18%$49,642$40,867$20,0085.83%4.46%4.18%
20149-6.98%-5.94%-2.14%$46,178$38,437$19,580-6.98%-5.94%-2.14%
2014104.61%7.13%2.74%$48,309$41,178$20,1174.61%7.13%2.74%
201411-0.28%0.48%2.41%$48,174$41,375$20,602-0.28%0.48%2.41%
2014122.29%2.56%-0.01%$49,279$42,435$20,6012.29%2.56%-0.01%
20151-4.95%-5.32%-2.77%$46,841$40,179$20,030-4.95%-5.32%-2.77%
201525.90%5.86%5.76%$49,603$42,532$21,1845.90%5.86%5.76%
201531.78%1.03%-1.04%$50,483$42,969$20,9641.78%1.03%-1.04%
20154-1.34%-1.82%0.42%$49,807$42,185$21,052-1.34%-1.82%0.42%
201551.36%0.75%1.39%$50,483$42,503$21,3451.36%0.75%1.39%
201560.05%0.42%-1.71%$50,509$42,682$20,9800.05%0.42%-1.71%
20157-3.67%-2.70%1.63%$48,657$41,529$21,322-3.67%-2.70%1.63%
20158-4.04%-4.62%-6.03%$46,693$39,612$20,038-4.04%-4.62%-6.03%
20159-4.51%-3.77%-2.93%$44,588$38,117$19,450-4.51%-3.77%-2.93%
2015105.28%6.57%7.84%$46,944$40,620$20,9765.28%6.57%7.84%
2015113.17%2.47%0.54%$48,434$41,624$21,0893.17%2.47%0.54%
201512-6.20%-5.08%-2.03%$45,429$39,508$20,661-6.20%-5.08%-2.03%
20161-7.18%-5.85%-5.67%$42,166$37,196$19,489-7.18%-5.85%-5.67%
201621.17%2.08%-0.04%$42,658$37,970$19,4811.17%2.08%-0.04%
201638.77%9.41%7.01%$46,397$41,545$20,8478.77%9.41%7.01%
201641.80%2.13%0.63%$47,233$42,428$20,9781.80%2.13%0.63%
201650.47%0.44%1.79%$47,457$42,615$21,3540.47%0.44%1.79%
20166-1.16%0.83%0.23%$46,908$42,971$21,402-1.16%0.83%0.23%
201674.85%5.06%3.95%$49,184$45,144$22,2474.85%5.06%3.95%
201681.74%1.13%0.26%$50,037$45,656$22,3051.74%1.13%0.26%
201691.21%0.87%0.15%$50,640$46,052$22,3381.21%0.87%0.15%
201610-3.14%-3.74%-2.21%$49,053$44,329$21,844-3.14%-3.74%-2.21%
20161114.87%13.34%4.44%$56,347$50,244$22,81314.87%13.34%4.44%
2016123.41%3.20%1.92%$58,268$51,852$23,2513.41%3.20%1.92%
20171-0.53%-1.21%1.91%$57,957$51,226$23,694-0.53%-1.21%1.91%
201720.32%1.35%3.71%$58,144$51,919$24,5740.32%1.35%3.71%
20173-1.14%-0.65%0.07%$57,483$51,581$24,590-1.14%-0.65%0.07%
201740.46%0.51%1.05%$57,748$51,846$24,8480.46%0.51%1.05%
20175-3.51%-2.26%1.01%$55,721$50,674$25,098-3.51%-2.26%1.01%
201762.59%2.96%0.92%$57,162$52,173$25,3292.59%2.96%0.92%
201770.77%0.75%1.87%$57,600$52,565$25,8020.77%0.75%1.87%
20178-2.55%-2.72%0.15%$56,131$51,136$25,840-2.55%-2.72%0.15%
201797.92%8.58%2.45%$60,575$55,523$26,4747.92%8.58%2.45%
2017100.96%0.59%2.16%$61,155$55,852$27,0450.96%0.59%2.16%
2017112.12%3.76%3.04%$62,454$57,952$27,8682.12%3.76%3.04%
2017120.03%-0.37%0.99%$62,471$57,739$28,1450.03%-0.37%0.99%
201811.50%1.33%5.31%$63,410$58,506$29,6391.50%1.33%5.31%
20182-4.68%-4.04%-3.72%$60,445$56,141$28,538-4.68%-4.04%-3.72%
201830.93%1.37%-1.99%$61,007$56,910$27,9690.93%1.37%-1.99%
201841.32%1.76%0.38%$61,814$57,914$28,0751.32%1.76%0.38%
201856.29%5.87%2.79%$65,702$61,313$28,8586.29%5.87%2.79%
201860.06%0.80%0.68%$65,743$61,802$29,0540.06%0.80%0.68%
201871.61%2.62%3.34%$66,800$63,418$30,0241.61%2.62%3.34%
201882.84%3.14%3.44%$68,698$65,409$31,0572.84%3.14%3.44%
20189-3.19%-3.05%0.16%$66,506$63,413$31,107-3.19%-3.05%0.16%
201810-9.41%-9.94%-7.40%$60,248$57,111$28,804-9.41%-9.94%-7.40%
2018110.91%0.57%2.06%$60,795$57,438$29,3980.91%0.57%2.06%
201812-12.79%-12.38%-9.29%$53,020$50,326$26,666-12.79%-12.38%-9.29%
2019112.00%12.26%8.59%$59,383$56,494$28,95512.00%12.26%8.59%
201923.27%4.13%3.50%$61,327$58,830$29,9693.27%4.13%3.50%
20193-3.66%-3.91%1.44%$59,082$56,529$30,399-3.66%-3.91%1.44%
201944.04%4.32%3.98%$61,472$58,970$31,6084.04%4.32%3.98%
20195-11.52%-9.98%-6.45%$54,392$53,085$29,570-11.52%-9.98%-6.45%
201967.77%7.66%6.97%$58,615$57,151$31,6317.77%7.66%6.97%
201970.39%1.30%1.44%$58,846$57,893$32,0860.39%1.30%1.44%
20198-8.00%-5.14%-2.03%$54,140$54,917$31,436-8.00%-5.14%-2.03%
201995.96%5.57%1.70%$57,365$57,978$31,9725.96%5.57%1.70%
2019101.83%2.00%2.10%$58,416$59,140$32,6421.83%2.00%2.10%
2019113.17%2.71%3.77%$60,269$60,742$33,8733.17%2.71%3.77%
2019123.92%2.84%2.85%$62,630$62,465$34,8393.92%2.84%2.85%
20201-6.88%-6.31%-0.08%$58,320$58,526$34,812-6.88%-6.31%-0.08%
20202-10.79%-10.15%-8.18%$52,028$52,586$31,965-10.79%-10.15%-8.18%
20203-26.60%-25.76%-13.78%$38,190$39,039$27,561-26.60%-25.76%-13.78%
2020415.81%13.89%13.25%$44,227$44,461$31,21215.81%13.89%13.25%
202052.85%2.55%5.38%$45,486$45,594$32,8912.85%2.55%5.38%
202062.65%3.58%2.28%$46,691$47,225$33,6412.65%3.58%2.28%
202073.21%2.58%5.64%$48,190$48,441$35,5383.21%2.58%5.64%
202085.58%5.07%7.18%$50,877$50,898$38,0885.58%5.07%7.18%
20209-5.13%-5.18%-3.57%$48,265$48,261$36,728-5.13%-5.18%-3.57%
2020103.95%3.66%-2.16%$50,174$50,027$35,9353.95%3.66%-2.16%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%35.59%
Large-cap Growth0.00%0.00%46.74%
Mid-cap Value3.58%0.00%3.74%
Mid-cap Growth0.00%0.00%7.08%
Small-cap Value95.56%100.00%3.89%
Small-cap Growth0.00%0.00%2.21%
Global ex-US Developed Markets0.00%0.00%0.32%
Emerging Markets0.86%0.00%0.43%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared97.37%100.00%99.84%
Style analysis is based on monthly returns from Apr 2005 to Oct 2020 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value100.00%0.51%12.58$40,174100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value100.00%0.18%14.63$40,027100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%25.00$25,935100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/27/2020. (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
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.86%0.84%0.63%
Arithmetic Mean (annualized)10.88%10.50%7.82%
Geometric Mean (monthly)0.67%0.66%0.53%
Geometric Mean (annualized)8.29%8.28%6.52%
Volatility (monthly)6.22%5.78%4.48%
Volatility (annualized)21.56%20.01%15.53%
Downside Deviation (monthly)4.31%4.01%3.14%
Max. Drawdown-61.18%-54.13%-50.89%
US Market Correlation0.880.881.00
Beta(*)1.221.131.00
Alpha (annualized)1.16%1.47%0.00%
R277.07%77.23%100.00%
Sharpe Ratio0.410.430.39
Sortino Ratio0.590.610.55
Treynor Ratio (%)7.297.546.06
Calmar Ratio-0.14-0.090.48
Active Return1.77%1.75%0.00%
Tracking Error10.87%9.77%0.00%
Information Ratio0.160.180.00
Skewness-0.65-0.71-0.64
Excess Kurtosis2.092.441.28
Historical Value-at-Risk (5%)-10.49%-9.66%-8.15%
Analytical Value-at-Risk (5%)-9.37%-8.67%-6.75%
Conditional Value-at-Risk (5%)-14.76%-13.98%-10.29%
Upside Capture Ratio (%)127.56118.56100.00
Downside Capture Ratio (%)120.49111.57100.00
Safe Withdrawal Rate10.57%9.54%5.11%
Perpetual Withdrawal Rate5.84%5.83%4.26%
Positive Periods151 out of 243 (62.14%)156 out of 243 (64.20%)157 out of 243 (64.61%)
Gain/Loss Ratio0.880.820.78
* 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
Subprime CrisisNov 2007Mar 2009-57.34%-51.28%-50.89%

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%
2Sep 2018Mar 20201 year 7 months-44.41%
3May 2002Mar 200311 monthsAug 20035 months1 year 4 months-28.00%
4Jul 2001Sep 20013 monthsJan 20024 months7 months-17.08%
5Jul 2015Jan 20167 monthsSep 20168 months1 year 3 months-16.52%
6Sep 2000Nov 20003 monthsJan 20012 months5 months-10.69%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-9.97%
8May 2006Jul 20063 monthsOct 20063 months6 months-7.92%
9Jul 2014Sep 20143 monthsMar 20156 months9 months-7.23%
10Jul 2004Aug 20042 monthsNov 20043 months5 months-6.75%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-54.13%
2Sep 2018Mar 20201 year 7 months-40.32%
3May 2002Mar 200311 monthsNov 20038 months1 year 7 months-31.31%
4May 2011Sep 20115 monthsFeb 20125 months10 months-22.65%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-15.54%
6Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-13.44%
7Feb 2001Mar 20012 monthsMay 20012 months4 months-8.95%
8Apr 2012May 20122 monthsSep 20124 months6 months-8.95%
9Jan 2005Apr 20054 monthsJun 20052 months6 months-7.77%
10May 2006Jul 20063 monthsOct 20063 months6 months-7.47%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Sep 2020Oct 20202 months-5.65%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
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 I8.29%21.56%59.40%-36.79%-61.18%0.410.590.88
IJSiShares S&P Small-Cap 600 Value ETF8.28%20.01%39.76%-29.39%-54.13%0.430.610.88
VTSMXVanguard Total Stock Mkt Idx Inv6.52%15.53%33.35%-37.04%-50.89%0.390.551.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameDFSVXIJSVTSMXPortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I1.000.980.881.000.980.88
IJSiShares S&P Small-Cap 600 Value ETF0.981.000.880.981.000.88
VTSMXVanguard Total Stock Mkt Idx Inv0.880.881.000.880.881.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I$40,174
IJSiShares S&P Small-Cap 600 Value ETF$40,027
VTSMXVanguard Total Stock Mkt Idx Inv$25,935

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I100.00%
IJSiShares S&P Small-Cap 600 Value ETF100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.38%59.40%-36.79%10.94%39.76%-29.39%8.94%33.35%-37.04%
3 years10.67%29.16%-11.81%9.98%22.01%-7.32%8.44%20.34%-8.45%
5 years9.75%22.89%-1.82%9.48%19.85%0.01%8.18%18.72%-1.76%
7 years9.15%15.08%2.58%9.15%14.97%3.15%8.01%15.00%-0.73%
10 years9.30%12.05%6.25%9.18%12.33%6.43%7.95%13.30%2.45%
15 years9.45%11.94%6.91%9.30%11.66%8.20%8.00%10.30%5.55%
Result statistics are based on annualized rolling returns over full calendar year periods