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 7
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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 (Sep 1999 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DISVX DFA International Small Cap Value I 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
EWJ iShares MSCI Japan ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTMGX Vanguard Developed Markets Index Admiral 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$56,376 8.44% 18.44%66.48%-41.68%-57.69% 0.440.650.79
Portfolio 2$10,000$17,296 2.60% 16.73%38.73%-30.31%-57.84% 0.140.200.67
Portfolio 3$10,000$25,824 4.55% 17.13%38.67%-41.27%-57.06% 0.250.350.88
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 119.81%0.81%-2.20%5.27%5.49%8.44%23.59%19.69%
Portfolio 214.82%15.41%5.76%8.61%6.13%2.60%15.58%13.33%
Portfolio 316.93%10.26%4.81%8.31%5.92%4.55%18.86%15.71%
Trailing annualized return and volatility are for full months ending in December 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 1999 are based on monthly returns 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
  • 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
YearInflationPortfolio 1Portfolio 2Portfolio 3DFA International Small Cap Value I (DISVX)iShares MSCI Japan ETF (EWJ)Vanguard Developed Markets Index Admiral (VTMGX)
ReturnBalanceReturnBalanceReturnBalance
19990.72%-3.86%$9,61422.85%$12,28518.59%$11,859-3.86%22.85%18.59%
20003.39%-3.08%$9,318-26.39%$9,042-14.29%$10,164-3.08%-26.39%-14.29%
20011.55%-4.59%$8,890-30.31%$6,302-21.94%$7,935-4.59%-30.31%-21.94%
20022.38%5.79%$9,405-9.86%$5,681-15.62%$6,6965.79%-9.86%-15.62%
20031.88%66.48%$15,65738.73%$7,88138.67%$9,28466.48%38.73%38.67%
20043.26%34.80%$21,10613.74%$8,96420.25%$11,16534.80%13.74%20.25%
20053.42%23.23%$26,00924.34%$11,14513.60%$12,68323.23%24.34%13.60%
20062.54%28.39%$33,3935.85%$11,79726.27%$16,01428.39%5.85%26.27%
20074.08%2.95%$34,377-5.50%$11,14811.15%$17,8012.95%-5.50%11.15%
20080.09%-41.68%$20,049-26.96%$8,142-41.27%$10,454-41.68%-26.96%-41.27%
20092.72%39.51%$27,9713.13%$8,39728.27%$13,40939.51%3.13%28.27%
20101.50%18.10%$33,03413.59%$9,5388.36%$14,53018.10%13.59%8.36%
20112.96%-17.46%$27,264-14.78%$8,129-12.51%$12,712-17.46%-14.78%-12.51%
20121.74%22.26%$33,3339.22%$8,87818.56%$15,07122.26%9.22%18.56%
20131.50%32.39%$44,12725.97%$11,18322.06%$18,39632.39%25.97%22.06%
20140.76%-4.99%$41,927-6.24%$10,485-5.66%$17,355-4.99%-6.24%-5.66%
20150.73%3.99%$43,5999.17%$11,447-0.18%$17,3233.99%9.17%-0.18%
20162.07%8.00%$47,0892.78%$11,7642.45%$17,7488.00%2.78%2.45%
20172.11%27.98%$60,26424.27%$14,62026.40%$22,43327.98%24.27%26.40%
20181.91%-23.31%$46,217-14.10%$12,559-14.46%$19,190-23.31%-14.10%-14.46%
20192.29%21.00%$55,92119.33%$14,98722.05%$23,42121.00%19.33%22.05%
20201.36%0.81%$56,37615.41%$17,29610.26%$25,8240.81%15.41%10.26%
Annual return for 1999 is from 09/01/1999 to 12/31/1999
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnDFA International Small Cap Value I (DISVX)iShares MSCI Japan ETF (EWJ)Vanguard Developed Markets Index Admiral (VTMGX)
19999-0.56%4.21%1.09%-0.56%4.21%1.09%
199910-1.81%6.28%3.71%-1.81%6.28%3.71%
199911-2.19%2.95%3.86%-2.19%2.95%3.86%
1999120.67%7.74%8.90%0.67%7.74%8.90%
20001-1.56%-5.75%-6.52%-1.56%-5.75%-6.52%
20002-2.44%-1.22%2.86%-2.44%-1.22%2.86%
200033.87%8.64%3.83%3.87%8.64%3.83%
20004-6.25%-7.58%-5.36%-6.25%-7.58%-5.36%
200051.54%-5.74%-2.39%1.54%-5.74%-2.39%
200068.71%5.65%3.90%8.71%5.65%3.90%
20007-3.72%-11.11%-4.19%-3.72%-11.11%-4.19%
200081.81%6.60%0.91%1.81%6.60%0.91%
20009-3.20%-4.93%-4.87%-3.20%-4.93%-4.87%
200010-5.26%-4.25%-2.37%-5.26%-4.25%-2.37%
2000111.29%-7.39%-3.69%1.29%-7.39%-3.69%
2000123.10%-1.03%3.44%3.10%-1.03%3.44%
200112.75%-0.56%-0.10%2.75%-0.56%-0.10%
200121.02%-4.27%-7.50%1.02%-4.27%-7.50%
20013-5.18%-2.75%-6.62%-5.18%-2.75%-6.62%
200147.46%9.57%7.66%7.46%9.57%7.66%
200150.50%-2.94%-4.14%0.50%-2.94%-4.14%
20016-0.86%-6.06%-4.10%-0.86%-6.06%-4.10%
20017-2.24%-8.11%-1.85%-2.24%-8.11%-1.85%
200182.16%-2.77%-2.47%2.16%-2.77%-2.47%
20019-10.96%-8.10%-10.25%-10.96%-8.10%-10.25%
2001102.80%-0.12%2.55%2.80%-0.12%2.55%
2001110.54%-0.12%3.01%0.54%-0.12%3.01%
200112-1.50%-8.00%0.71%-1.50%-8.00%0.71%
20021-0.99%-7.39%-5.26%-0.99%-7.39%-5.26%
200223.98%4.62%0.68%3.98%4.62%0.68%
200234.79%8.97%5.92%4.79%8.97%5.92%
200243.92%3.69%0.13%3.92%3.69%0.13%
200256.28%6.16%1.78%6.28%6.16%1.78%
20026-1.77%-5.92%-3.99%-1.77%-5.92%-3.99%
20027-5.29%-6.76%-9.87%-5.29%-6.76%-9.87%
20028-0.25%-0.64%-0.29%-0.25%-0.64%-0.29%
20029-6.62%-6.15%-10.98%-6.62%-6.15%-10.98%
200210-0.95%-5.73%5.52%-0.95%-5.73%5.52%
2002112.20%3.62%4.62%2.20%3.62%4.62%
2002121.23%-2.93%-3.33%1.23%-2.93%-3.33%
200310.27%-2.59%-4.20%0.27%-2.59%-4.20%
200320.54%1.03%-2.27%0.54%1.03%-2.27%
20033-0.94%-5.56%-1.99%-0.94%-5.56%-1.99%
200349.52%-0.77%9.83%9.52%-0.77%9.83%
2003510.06%5.93%6.02%10.06%5.93%6.02%
200365.64%7.07%2.47%5.64%7.07%2.47%
200374.06%4.54%2.70%4.06%4.54%2.70%
200385.54%9.21%2.21%5.54%9.21%2.21%
200395.64%5.54%2.98%5.64%5.54%2.98%
2003105.71%5.48%6.31%5.71%5.48%6.31%
2003110.44%-3.03%2.22%0.44%-3.03%2.22%
2003126.27%7.61%7.81%6.27%7.61%7.81%
200416.10%0.21%1.37%6.10%0.21%1.37%
200423.07%0.52%2.36%3.07%0.52%2.36%
200434.20%11.95%0.57%4.20%11.95%0.57%
20044-3.52%-6.72%-2.74%-3.52%-6.72%-2.74%
20045-0.99%-1.48%0.67%-0.99%-1.48%0.67%
200464.55%6.31%2.68%4.55%6.31%2.68%
20047-3.48%-7.34%-3.59%-3.48%-7.34%-3.59%
200481.23%1.42%0.45%1.23%1.42%0.45%
200492.66%-2.81%2.70%2.66%-2.81%2.70%
2004103.26%2.37%3.28%3.26%2.37%3.28%
2004118.75%3.83%6.89%8.75%3.83%6.89%
2004125.16%6.35%4.38%5.16%6.35%4.38%
200512.79%-3.02%-1.94%2.79%-3.02%-1.94%
200524.74%2.08%4.24%4.74%2.08%4.24%
20053-0.94%-2.96%-2.44%-0.94%-2.96%-2.44%
20054-1.95%-2.29%-1.94%-1.95%-2.29%-1.94%
20055-1.49%-1.27%-0.40%-1.49%-1.27%-0.40%
200562.35%0.20%1.09%2.35%0.20%1.09%
200573.80%1.08%3.24%3.80%1.08%3.24%
200583.90%8.59%3.24%3.90%8.59%3.24%
200592.34%9.52%4.15%2.34%9.52%4.15%
200510-2.32%-0.66%-2.83%-2.32%-0.66%-2.83%
2005111.86%2.89%1.82%1.86%2.89%1.82%
2005126.44%8.97%5.04%6.44%8.97%5.04%
200617.33%3.70%6.18%7.33%3.70%6.18%
200620.21%-1.57%-0.66%0.21%-1.57%-0.66%
200634.77%4.35%3.58%4.77%4.35%3.58%
200644.15%2.78%4.86%4.15%2.78%4.86%
20065-4.80%-5.41%-3.42%-4.80%-5.41%-3.42%
20066-1.86%-2.57%-0.31%-1.86%-2.57%-0.31%
20067-0.36%-0.51%1.03%-0.36%-0.51%1.03%
200682.55%1.03%2.66%2.55%1.03%2.66%
200690.95%-1.24%0.23%0.95%-1.24%0.23%
2006104.39%1.99%3.88%4.39%1.99%3.88%
2006114.83%0.00%3.07%4.83%0.00%3.07%
2006123.75%3.62%2.85%3.75%3.62%2.85%
200712.67%0.70%1.27%2.67%0.70%1.27%
200721.81%3.14%0.28%1.81%3.14%0.28%
200734.35%-1.29%2.68%4.35%-1.29%2.68%
200742.97%-1.99%3.86%2.97%-1.99%3.86%
200751.91%2.24%2.54%1.91%2.24%2.54%
20076-0.42%-0.62%-0.13%-0.42%-0.62%-0.13%
20077-0.25%-0.55%-2.17%-0.25%-0.55%-2.17%
20078-4.10%-2.49%-0.65%-4.10%-2.49%-0.65%
200792.08%1.92%5.31%2.08%1.92%5.31%
2007103.94%0.14%4.48%3.94%0.14%4.48%
200711-8.12%-2.02%-3.75%-8.12%-2.02%-3.75%
200712-3.12%-4.56%-2.64%-3.12%-4.56%-2.64%
20081-6.60%-4.29%-7.79%-6.60%-4.29%-7.79%
200822.19%-1.49%-0.70%2.19%-1.49%-0.70%
200830.93%-1.28%0.11%0.93%-1.28%0.11%
200841.70%7.36%5.24%1.70%7.36%5.24%
200852.20%1.96%1.35%2.20%1.96%1.35%
20086-8.74%-7.47%-8.57%-8.74%-7.47%-8.57%
20087-4.44%-3.77%-3.49%-4.44%-3.77%-3.49%
20088-3.22%-4.92%-4.29%-3.22%-4.92%-4.29%
20089-14.39%-6.57%-12.20%-14.39%-6.57%-12.20%
200810-21.76%-15.57%-20.52%-21.76%-15.57%-20.52%
200811-5.55%-3.78%-5.98%-5.55%-3.78%-5.98%
2008129.09%11.56%8.40%9.09%11.56%8.40%
20091-8.43%-12.00%-12.81%-8.43%-12.00%-12.81%
20092-10.99%-12.57%-10.50%-10.99%-12.57%-10.50%
200936.52%7.19%8.01%6.52%7.19%8.01%
2009416.21%7.72%11.96%16.21%7.72%11.96%
2009513.77%10.11%13.35%13.77%10.11%13.35%
20096-0.33%1.18%-1.18%-0.33%1.18%-1.18%
200979.31%4.67%9.53%9.31%4.67%9.53%
200988.66%3.55%4.65%8.66%3.55%4.65%
200994.71%-2.74%4.06%4.71%-2.74%4.06%
200910-3.62%-3.92%-2.36%-3.62%-3.92%-2.36%
2009110.54%0.10%3.26%0.54%0.10%3.26%
2009121.17%2.79%0.91%1.17%2.79%0.91%
20101-1.92%1.03%-4.75%-1.92%1.03%-4.75%
20102-0.95%1.02%0.00%-0.95%1.02%0.00%
201038.12%5.03%6.26%8.12%5.03%6.26%
201041.26%-0.48%-2.35%1.26%-0.48%-2.35%
20105-13.46%-8.47%-11.18%-13.46%-8.47%-11.18%
20106-2.01%-2.56%-1.66%-2.01%-2.56%-1.66%
201079.73%4.67%10.79%9.73%4.67%10.79%
20108-4.67%-2.60%-3.63%-4.67%-2.60%-3.63%
2010911.23%5.44%10.11%11.23%5.44%10.11%
2010103.13%1.31%3.87%3.13%1.31%3.87%
201011-2.85%2.50%-5.11%-2.85%2.50%-5.11%
20101212.32%6.96%8.33%12.32%6.96%8.33%
201112.09%0.18%2.25%2.09%0.18%2.25%
201122.90%5.49%3.55%2.90%5.49%3.55%
201130.50%-10.49%-2.59%0.50%-10.49%-2.59%
201144.30%2.03%6.37%4.30%2.03%6.37%
20115-3.43%-2.47%-2.83%-3.43%-2.47%-2.83%
20116-2.18%2.44%-1.30%-2.18%2.44%-1.30%
20117-1.92%2.68%-1.97%-1.92%2.68%-1.97%
20118-9.51%-8.03%-8.96%-9.51%-8.03%-8.96%
20119-11.80%-3.96%-10.40%-11.80%-3.96%-10.40%
2011107.61%-0.63%9.34%7.61%-0.63%9.34%
201111-3.23%0.32%-2.63%-3.23%0.32%-2.63%
201112-2.66%-2.26%-2.33%-2.66%-2.26%-2.33%
2012110.01%4.83%5.82%10.01%4.83%5.82%
201225.96%4.61%5.12%5.96%4.61%5.12%
201230.13%1.90%0.22%0.13%1.90%0.22%
20124-2.78%-4.32%-2.29%-2.78%-4.32%-2.29%
20125-12.72%-8.73%-11.26%-12.72%-8.73%-11.26%
201264.93%6.88%7.19%4.93%6.88%7.19%
20127-0.29%-4.46%0.30%-0.29%-4.46%0.30%
201283.67%0.78%3.15%3.67%0.78%3.15%
201294.67%1.21%2.82%4.67%1.21%2.82%
2012100.93%-1.20%1.14%0.93%-1.20%1.14%
2012111.39%2.98%2.43%1.39%2.98%2.43%
2012126.24%5.61%3.85%6.24%5.61%3.85%
201315.13%2.26%4.44%5.13%2.26%4.44%
201320.60%2.41%-1.36%0.60%2.41%-1.36%
201332.04%5.78%1.48%2.04%5.78%1.48%
201342.84%8.33%5.12%2.84%8.33%5.12%
20135-1.97%-7.35%-3.00%-1.97%-7.35%-3.00%
20136-3.04%3.94%-2.88%-3.04%3.94%-2.88%
201377.46%0.00%5.34%7.46%0.00%5.34%
20138-1.23%-3.12%-1.41%-1.23%-3.12%-1.41%
201399.69%9.66%7.52%9.69%9.66%7.52%
2013104.18%-0.08%3.23%4.18%-0.08%3.23%
2013110.15%1.26%0.69%0.15%1.26%0.69%
2013123.33%1.41%1.59%3.33%1.41%1.59%
20141-1.38%-6.67%-4.57%-1.38%-6.67%-4.57%
201426.88%2.47%5.73%6.88%2.47%5.73%
201430.65%-2.41%-0.42%0.65%-2.41%-0.42%
20144-0.42%-2.21%1.51%-0.42%-2.21%1.51%
201450.79%4.51%1.63%0.79%4.51%1.63%
201461.57%4.68%1.06%1.57%4.68%1.06%
20147-3.51%-0.33%-2.27%-3.51%-0.33%-2.27%
201480.66%-1.67%0.30%0.66%-1.67%0.30%
20149-5.82%-0.25%-4.19%-5.82%-0.25%-4.19%
201410-2.20%2.46%-0.47%-2.20%2.46%-0.47%
201411-0.72%-3.65%0.08%-0.72%-3.65%0.08%
201412-1.10%-2.70%-3.73%-1.10%-2.70%-3.73%
20151-0.65%2.22%0.90%-0.65%2.22%0.90%
201527.47%7.48%5.94%7.47%7.48%5.94%
20153-1.96%1.46%-1.26%-1.96%1.46%-1.26%
201545.03%2.63%4.07%5.03%2.63%4.07%
201551.56%1.48%-0.15%1.56%1.48%-0.15%
20156-1.39%-1.34%-2.79%-1.39%-1.34%-2.79%
20157-1.23%0.94%1.25%-1.23%0.94%1.25%
20158-4.27%-6.26%-7.28%-4.27%-6.26%-7.28%
20159-3.99%-5.78%-4.08%-3.99%-5.78%-4.08%
2015105.25%7.88%6.82%5.25%7.88%6.82%
201511-0.77%0.49%-0.90%-0.77%0.49%-0.90%
201512-0.39%-1.39%-1.81%-0.39%-1.39%-1.81%
20161-7.39%-5.12%-5.75%-7.39%-5.12%-5.75%
20162-0.87%-5.30%-2.96%-0.87%-5.30%-2.96%
201638.04%4.78%7.13%8.04%4.78%7.13%
201643.41%0.09%2.43%3.41%0.09%2.43%
20165-0.79%3.24%-0.42%-0.79%3.24%-0.42%
20166-5.61%-1.68%-2.25%-5.61%-1.68%-2.25%
201677.20%4.87%4.41%7.20%4.87%4.41%
201680.37%1.82%0.51%0.37%1.82%0.51%
201692.74%2.12%1.40%2.74%2.12%1.40%
201610-0.82%0.72%-2.33%-0.82%0.72%-2.33%
201611-0.57%-1.25%-1.53%-0.57%-1.25%-1.53%
2016123.15%-0.92%2.49%3.15%-0.92%2.49%
201714.31%3.50%3.66%4.31%3.50%3.66%
201721.31%1.31%0.99%1.31%1.31%0.99%
201731.94%0.53%3.00%1.94%0.53%3.00%
201742.54%0.70%2.30%2.54%0.70%2.30%
201751.86%2.76%3.41%1.86%2.76%3.41%
201761.81%1.32%0.57%1.81%1.32%0.57%
201773.77%2.07%2.94%3.77%2.07%2.94%
201780.49%-0.09%0.07%0.49%-0.09%0.07%
201793.18%1.83%2.40%3.18%1.83%2.40%
2017100.86%5.28%1.87%0.86%5.28%1.87%
2017110.09%2.15%0.85%0.09%2.15%0.85%
2017122.86%0.70%1.68%2.86%0.70%1.68%
201814.40%5.02%4.86%4.40%5.02%4.86%
20182-4.92%-2.97%-5.23%-4.92%-2.97%-5.23%
20183-1.54%-0.64%-0.47%-1.54%-0.64%-0.47%
201842.00%-0.07%1.55%2.00%-0.07%1.55%
20185-2.88%-1.48%-1.60%-2.88%-1.48%-1.60%
20186-2.56%-2.30%-1.53%-2.56%-2.30%-1.53%
201871.57%1.07%2.32%1.57%1.07%2.32%
20188-2.95%-0.53%-1.91%-2.95%-0.53%-1.91%
201890.46%3.45%0.73%0.46%3.45%0.73%
201810-9.93%-8.95%-8.49%-9.93%-8.95%-8.49%
201811-1.87%0.91%0.39%-1.87%0.91%0.39%
201812-7.13%-7.69%-5.37%-7.13%-7.69%-5.37%
201917.51%7.08%7.36%7.51%7.08%7.36%
201922.68%0.15%2.18%2.68%0.15%2.18%
20193-1.58%0.66%0.42%-1.58%0.66%0.42%
201943.32%1.28%2.90%3.32%1.28%2.90%
20195-7.81%-4.87%-5.26%-7.81%-4.87%-5.26%
201965.15%4.47%5.93%5.15%4.47%5.93%
20197-1.56%-0.42%-2.09%-1.56%-0.42%-2.09%
20198-2.54%-0.79%-1.91%-2.54%-0.79%-1.91%
201993.65%5.23%3.09%3.65%5.23%3.09%
2019104.38%3.42%3.26%4.38%3.42%3.26%
2019111.67%1.28%1.40%1.67%1.28%1.40%
2019125.36%0.86%3.49%5.36%0.86%3.49%
20201-5.27%-2.52%-2.76%-5.27%-2.52%-2.76%
20202-9.38%-8.29%-7.56%-9.38%-8.29%-7.56%
20203-22.76%-6.74%-15.44%-22.76%-6.74%-15.44%
2020411.22%4.80%7.57%11.22%4.80%7.57%
202054.98%7.05%5.56%4.98%7.05%5.56%
202062.25%-0.09%3.40%2.25%-0.09%3.40%
202072.36%-1.07%2.64%2.36%-1.07%2.64%
202086.52%6.79%5.07%6.52%6.79%5.07%
20209-2.51%1.81%-2.01%-2.51%1.81%-2.01%
202010-3.51%-1.41%-3.73%-3.51%-1.41%-3.73%
20201115.72%10.56%14.78%15.72%10.56%14.78%
2020127.31%5.33%5.81%7.31%5.33%5.81%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 3
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.13%
Mid-cap Value11.26%2.87%
Mid-cap Growth0.00%0.00%
Small-cap Value7.84%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets74.00%94.52%
Emerging Markets6.90%2.07%
Corporate Bonds0.00%0.41%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared90.86%99.54%
Style analysis is based on monthly returns from April 2005 to December 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DISVXDFA International Small Cap Value IForeign Small/Mid Value100.00%1.87%0.64%13.67$46,376100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
EWJiShares MSCI Japan ETFJapan Stock100.00%1.05%0.51%20.96$7,296100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend100.00%2.04%0.07%20.40$15,824100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/26/2021. (c) 2021 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)0.82%0.33%0.50%
Arithmetic Mean (annualized)10.33%4.05%6.11%
Geometric Mean (monthly)0.68%0.21%0.37%
Geometric Mean (annualized)8.44%2.60%4.55%
Volatility (monthly)5.32%4.83%4.95%
Volatility (annualized)18.44%16.73%17.13%
Downside Deviation (monthly)3.62%3.32%3.47%
Max. Drawdown-57.69%-57.84%-57.06%
US Market Correlation0.790.670.88
Beta(*)0.920.720.96
Alpha (annualized)1.98%-2.17%-2.29%
R261.70%45.39%77.82%
Sharpe Ratio0.440.140.25
Sortino Ratio0.650.200.35
Treynor Ratio (%)8.913.244.46
Calmar Ratio-0.050.310.20
Active Return0.89%-4.95%-3.01%
Tracking Error11.48%13.13%8.09%
Information Ratio0.08-0.38-0.37
Skewness-0.68-0.21-0.55
Excess Kurtosis2.630.021.48
Historical Value-at-Risk (5%)-8.20%-7.77%-8.51%
Analytical Value-at-Risk (5%)-7.93%-7.61%-7.64%
Conditional Value-at-Risk (5%)-12.68%-9.88%-11.77%
Upside Capture Ratio (%)92.9762.9589.05
Downside Capture Ratio (%)87.5779.44101.83
Safe Withdrawal Rate8.52%3.54%4.91%
Perpetual Withdrawal Rate5.67%0.47%2.27%
Positive Periods152 out of 256 (59.38%)137 out of 256 (53.52%)150 out of 256 (58.59%)
Gain/Loss Ratio1.041.020.91
* 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
Dotcom CrashMar 2000Oct 2002-14.18%-54.55%-47.00%
Subprime CrisisNov 2007Mar 2009-57.69%-47.46%-57.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-57.69%
2Feb 2018Mar 20202 years 2 months-41.06%
3Jul 2014Feb 20161 year 8 monthsJan 201711 months2 years 7 months-16.13%
4Jun 2002Oct 20025 monthsMay 20037 months1 year-14.18%
5Sep 1999Sep 20012 years 1 monthMay 20028 months2 years 9 months-12.68%
6May 2006Jul 20063 monthsOct 20063 months6 months-6.91%
7Jun 2007Aug 20073 monthsOct 20072 months5 months-4.75%
8Apr 2004May 20042 monthsSep 20044 months6 months-4.47%
9Mar 2005May 20053 monthsJul 20052 months5 months-4.32%
10Oct 2005Oct 20051 monthDec 20052 months3 months-2.32%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Apr 20033 years 1 monthApr 201714 years17 years 1 month-57.84%
2Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-18.62%
3Jan 2000Feb 20002 monthsMar 20001 month3 months-6.90%
4Aug 2017Aug 20171 monthSep 20171 month2 months-0.09%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20145 years 3 months6 years 7 months-57.06%
2Jan 2000Mar 20033 years 3 monthsSep 20052 years 6 months5 years 9 months-48.19%
3Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-24.32%
4Jul 2014Feb 20161 year 8 monthsApr 20171 year 2 months2 years 10 months-17.78%
5May 2006Jun 20062 monthsSep 20063 months5 months-3.73%
6Jun 2007Aug 20073 monthsSep 20071 month4 months-2.93%
7Oct 2005Oct 20051 monthDec 20052 months3 months-2.83%
8Feb 2006Feb 20061 monthMar 20061 month2 months-0.66%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DISVXDFA International Small Cap Value I8.44%18.44%66.48%-41.68%-57.69%0.440.650.79
EWJiShares MSCI Japan ETF2.60%16.73%38.73%-30.31%-57.84%0.140.200.67
VTMGXVanguard Developed Markets Index Admiral4.55%17.13%38.67%-41.27%-57.06%0.250.350.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameDISVXEWJVTMGXPortfolio 1Portfolio 2Portfolio 3
DISVXDFA International Small Cap Value I1.000.740.911.000.740.91
EWJiShares MSCI Japan ETF0.741.000.790.741.000.79
VTMGXVanguard Developed Markets Index Admiral0.910.791.000.910.791.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DISVXDFA International Small Cap Value I$46,376
EWJiShares MSCI Japan ETF$7,296
VTMGXVanguard Developed Markets Index Admiral$15,824

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DISVXDFA International Small Cap Value I100.00%
EWJiShares MSCI Japan ETF100.00%
VTMGXVanguard Developed Markets Index Admiral100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.61%89.97%-50.20%2.98%68.30%-40.40%5.31%57.71%-49.95%
3 years10.31%46.13%-16.40%3.19%32.55%-24.82%5.17%31.15%-19.64%
5 years10.32%33.55%-6.71%3.45%16.28%-8.13%5.52%23.71%-7.13%
7 years9.49%23.28%0.43%3.00%8.74%-3.39%5.24%11.99%-0.76%
10 years8.66%14.37%2.35%2.40%7.96%-3.73%4.72%9.94%0.19%
15 years9.53%13.49%3.38%3.17%7.16%-1.05%5.29%9.05%2.57%