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 (May 1996 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DISVX DFA International Small Cap Value I 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$41,909 6.09% 17.88%66.48%-41.68%-57.69% 0.300.430.73
Portfolio 2$10,000$28,632 4.43% 17.13%40.34%-44.10%-58.50% 0.220.300.86
   
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 1996 are based on monthly returns from May to December
  • The annual results for 2020 are based on monthly returns from January to July
  • 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 International Small Cap Value I (DISVX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19961.47%-8.18%0.65%$9,182$10,065-8.18%0.65%
19971.70%-22.72%-0.77%$7,096$9,987-22.72%-0.77%
19981.61%5.27%15.60%$7,470$11,5455.27%15.60%
19992.68%19.04%29.92%$8,893$15,00019.04%29.92%
20003.39%-3.08%-15.61%$8,618$12,658-3.08%-15.61%
20011.55%-4.59%-20.15%$8,223$10,107-4.59%-20.15%
20022.38%5.79%-15.08%$8,699$8,5825.79%-15.08%
20031.88%66.48%40.34%$14,482$12,04466.48%40.34%
20043.26%34.80%20.84%$19,522$14,55434.80%20.84%
20053.42%23.23%15.57%$24,056$16,82023.23%15.57%
20062.54%28.39%26.64%$30,887$21,30128.39%26.64%
20074.08%2.95%15.52%$31,797$24,6072.95%15.52%
20080.09%-41.68%-44.10%$18,545$13,755-41.68%-44.10%
20092.72%39.51%36.73%$25,871$18,80739.51%36.73%
20101.50%18.10%11.12%$30,554$20,89918.10%11.12%
20112.96%-17.46%-14.56%$25,218$17,855-17.46%-14.56%
20121.74%22.26%18.14%$30,831$21,09422.26%18.14%
20131.50%32.39%15.04%$40,816$24,26732.39%15.04%
20140.76%-4.99%-4.24%$38,780$23,239-4.99%-4.24%
20150.73%3.99%-4.37%$40,327$22,2233.99%-4.37%
20162.07%8.00%4.65%$43,555$23,2578.00%4.65%
20172.11%27.98%27.40%$55,741$29,62827.98%27.40%
20181.91%-23.31%-14.44%$42,748$25,349-23.31%-14.44%
20192.29%21.00%21.43%$51,724$30,78221.00%21.43%
20200.32%-18.98%-6.98%$41,909$28,632-18.98%-6.98%
Annual returns for 1996 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA International Small Cap Value I (DISVX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199650.54%-0.88%$10,054$9,9120.54%-0.88%
19966-1.35%0.39%$9,919$9,951-1.35%0.39%
19967-4.10%-3.33%$9,512$9,620-4.10%-3.33%
19968-0.48%0.61%$9,467$9,678-0.48%0.61%
199690.00%2.52%$9,467$9,9220.00%2.52%
199610-1.24%-1.18%$9,349$9,805-1.24%-1.18%
1996111.06%3.78%$9,448$10,1761.06%3.78%
199612-2.82%-1.09%$9,182$10,065-2.82%-1.09%
19971-2.47%-2.37%$8,956$9,827-2.47%-2.37%
199720.84%1.82%$9,031$10,0060.84%1.82%
19973-0.84%-0.10%$8,956$9,996-0.84%-0.10%
19974-2.32%0.20%$8,748$10,015-2.32%0.20%
199756.69%6.54%$9,333$10,6716.69%6.54%
199761.52%5.40%$9,475$11,2461.52%5.40%
19977-3.88%1.59%$9,107$11,425-3.88%1.59%
19978-4.56%-8.60%$8,691$10,442-4.56%-8.60%
19979-1.85%5.51%$8,531$11,018-1.85%5.51%
199710-3.98%-9.10%$8,191$10,015-3.98%-9.10%
199711-8.41%-1.19%$7,502$9,896-8.41%-1.19%
199712-5.41%0.92%$7,096$9,987-5.41%0.92%
199817.16%3.04%$7,605$10,2917.16%3.04%
199829.96%6.88%$8,362$10,9999.96%6.88%
199832.03%3.22%$8,532$11,3532.03%3.22%
19984-1.75%0.53%$8,382$11,414-1.75%0.53%
19985-0.95%-1.51%$8,302$11,242-0.95%-1.51%
19986-2.88%-0.27%$8,063$11,212-2.88%-0.27%
19987-3.09%1.08%$7,814$11,333-3.09%1.08%
19988-10.97%-13.66%$6,957$9,785-10.97%-13.66%
19989-2.58%-2.07%$6,777$9,582-2.58%-2.07%
1998106.18%10.77%$7,196$10,6156.18%10.77%
1998114.43%5.34%$7,515$11,1814.43%5.34%
199812-0.59%3.26%$7,470$11,545-0.59%3.26%
19991-2.09%-0.63%$7,314$11,473-2.09%-0.63%
19992-1.28%-2.16%$7,221$11,226-1.28%-2.16%
199935.91%4.97%$7,647$11,7835.91%4.97%
1999410.34%5.08%$8,438$12,38210.34%5.08%
19995-0.86%-5.00%$8,365$11,762-0.86%-5.00%
199966.59%4.39%$8,917$12,2796.59%4.39%
199973.27%2.27%$9,208$12,5573.27%2.27%
199980.45%0.33%$9,249$12,5990.45%0.33%
19999-0.56%0.82%$9,197$12,702-0.56%0.82%
199910-1.81%3.74%$9,031$13,177-1.81%3.74%
199911-2.19%4.08%$8,833$13,714-2.19%4.08%
1999120.67%9.37%$8,893$15,0000.67%9.37%
20001-1.56%-6.22%$8,754$14,067-1.56%-6.22%
20002-2.44%2.83%$8,541$14,465-2.44%2.83%
200033.87%3.48%$8,871$14,9683.87%3.48%
20004-6.25%-5.41%$8,317$14,159-6.25%-5.41%
200051.54%-2.67%$8,445$13,7801.54%-2.67%
200068.71%4.27%$9,180$14,3698.71%4.27%
20007-3.72%-4.46%$8,839$13,728-3.72%-4.46%
200081.81%1.00%$8,999$13,8641.81%1.00%
20009-3.20%-5.00%$8,711$13,171-3.20%-5.00%
200010-5.26%-3.03%$8,253$12,771-5.26%-3.03%
2000111.29%-4.44%$8,359$12,2041.29%-4.44%
2000123.10%3.72%$8,618$12,6583.10%3.72%
200112.75%1.10%$8,856$12,7972.75%1.10%
200121.02%-7.61%$8,946$11,8231.02%-7.61%
20013-5.18%-7.15%$8,483$10,978-5.18%-7.15%
200147.46%7.89%$9,115$11,8447.46%7.89%
200150.50%-3.52%$9,161$11,4270.50%-3.52%
20016-0.86%-3.84%$9,082$10,988-0.86%-3.84%
20017-2.24%-2.43%$8,878$10,721-2.24%-2.43%
200182.16%-2.30%$9,070$10,4752.16%-2.30%
20019-10.96%-10.73%$8,076$9,351-10.96%-10.73%
2001102.80%2.97%$8,302$9,6302.80%2.97%
2001110.54%3.56%$8,347$9,9720.54%3.56%
200112-1.50%1.35%$8,223$10,107-1.50%1.35%
20021-0.99%-4.63%$8,142$9,638-0.99%-4.63%
200223.98%0.90%$8,466$9,7263.98%0.90%
200234.79%5.71%$8,871$10,2814.79%5.71%
200243.92%0.42%$9,219$10,3253.92%0.42%
200256.28%1.16%$9,798$10,4446.28%1.16%
20026-1.77%-4.28%$9,624$9,998-1.77%-4.28%
20027-5.29%-9.80%$9,114$9,018-5.29%-9.80%
20028-0.25%-0.12%$9,091$9,007-0.25%-0.12%
20029-6.62%-10.88%$8,489$8,027-6.62%-10.88%
200210-0.95%5.70%$8,408$8,484-0.95%5.70%
2002112.20%4.75%$8,593$8,8872.20%4.75%
2002121.23%-3.43%$8,699$8,5821.23%-3.43%
200310.27%-3.76%$8,722$8,2600.27%-3.76%
200320.54%-2.42%$8,770$8,0600.54%-2.42%
20033-0.94%-1.93%$8,687$7,904-0.94%-1.93%
200349.52%9.70%$9,514$8,6719.52%9.70%
2003510.06%6.15%$10,472$9,20510.06%6.15%
200365.64%2.66%$11,062$9,4495.64%2.66%
200374.06%3.18%$11,512$9,7504.06%3.18%
200385.54%2.51%$12,150$9,9945.54%2.51%
200395.64%2.78%$12,835$10,2725.64%2.78%
2003105.71%6.49%$13,568$10,9395.71%6.49%
2003110.44%2.13%$13,627$11,1730.44%2.13%
2003126.27%7.80%$14,482$12,0446.27%7.80%
200416.10%1.60%$15,365$12,2376.10%1.60%
200423.07%2.50%$15,837$12,5433.07%2.50%
200434.20%0.45%$16,502$12,5994.20%0.45%
20044-3.52%-3.14%$15,921$12,203-3.52%-3.14%
20045-0.99%0.46%$15,764$12,260-0.99%0.46%
200464.55%2.40%$16,481$12,5544.55%2.40%
20047-3.48%-3.34%$15,908$12,135-3.48%-3.34%
200481.23%0.75%$16,103$12,2261.23%0.75%
200492.66%2.96%$16,531$12,5882.66%2.96%
2004103.26%3.24%$17,070$12,9953.26%3.24%
2004118.75%7.23%$18,564$13,9358.75%7.23%
2004125.16%4.44%$19,522$14,5545.16%4.44%
200512.79%-1.67%$20,067$14,3122.79%-1.67%
200524.74%4.68%$21,018$14,9824.74%4.68%
20053-0.94%-2.93%$20,820$14,543-0.94%-2.93%
20054-1.95%-2.07%$20,414$14,242-1.95%-2.07%
20055-1.49%0.08%$20,110$14,254-1.49%0.08%
200562.35%1.30%$20,582$14,4392.35%1.30%
200573.80%3.68%$21,364$14,9703.80%3.68%
200583.90%2.85%$22,198$15,3973.90%2.85%
200592.34%4.73%$22,716$16,1252.34%4.73%
200510-2.32%-3.37%$22,189$15,582-2.32%-3.37%
2005111.86%2.67%$22,600$15,9981.86%2.67%
2005126.44%5.14%$24,056$16,8206.44%5.14%
200617.33%6.87%$25,819$17,9757.33%6.87%
200620.21%-0.72%$25,874$17,8460.21%-0.72%
200634.77%3.17%$27,108$18,4124.77%3.17%
200644.15%5.12%$28,233$19,3554.15%5.12%
20065-4.80%-4.45%$26,877$18,494-4.80%-4.45%
20066-1.86%-0.38%$26,377$18,423-1.86%-0.38%
20067-0.36%1.15%$26,281$18,636-0.36%1.15%
200682.55%2.53%$26,951$19,1072.55%2.53%
200690.95%0.25%$27,207$19,1540.95%0.25%
2006104.39%4.00%$28,400$19,9204.39%4.00%
2006114.83%3.73%$29,771$20,6634.83%3.73%
2006123.75%3.09%$30,887$21,3013.75%3.09%
200712.67%0.96%$31,710$21,5062.67%0.96%
200721.81%0.06%$32,284$21,5181.81%0.06%
200734.35%2.80%$33,687$22,1204.35%2.80%
200742.97%3.92%$34,686$22,9882.97%3.92%
200751.91%3.09%$35,348$23,7001.91%3.09%
20076-0.42%0.61%$35,199$23,844-0.42%0.61%
20077-0.25%-1.06%$35,110$23,591-0.25%-1.06%
20078-4.10%-0.72%$33,670$23,422-4.10%-0.72%
200792.08%6.38%$34,370$24,9172.08%6.38%
2007103.94%5.90%$35,725$26,3883.94%5.90%
200711-8.12%-4.57%$32,822$25,182-8.12%-4.57%
200712-3.12%-2.28%$31,797$24,607-3.12%-2.28%
20081-6.60%-8.55%$29,700$22,504-6.60%-8.55%
200822.19%0.33%$30,350$22,5782.19%0.33%
200830.93%-0.71%$30,632$22,4170.93%-0.71%
200841.70%5.85%$31,153$23,7291.70%5.85%
200852.20%1.51%$31,837$24,0882.20%1.51%
20086-8.74%-8.99%$29,056$21,923-8.74%-8.99%
20087-4.44%-3.67%$27,765$21,118-4.44%-3.67%
20088-3.22%-5.10%$26,871$20,042-3.22%-5.10%
20089-14.39%-13.09%$23,004$17,419-14.39%-13.09%
200810-21.76%-22.09%$17,997$13,572-21.76%-22.09%
200811-5.55%-6.29%$16,999$12,718-5.55%-6.29%
2008129.09%8.16%$18,545$13,7559.09%8.16%
20091-8.43%-11.96%$16,981$12,111-8.43%-11.96%
20092-10.99%-9.58%$15,115$10,951-10.99%-9.58%
200936.52%9.31%$16,101$11,9706.52%9.31%
2009416.21%12.78%$18,711$13,50016.21%12.78%
2009513.77%14.35%$21,288$15,43813.77%14.35%
20096-0.33%-1.32%$21,218$15,234-0.33%-1.32%
200979.31%9.96%$23,193$16,7519.31%9.96%
200988.66%3.50%$25,202$17,3378.66%3.50%
200994.71%5.15%$26,390$18,2304.71%5.15%
200910-3.62%-2.17%$25,435$17,835-3.62%-2.17%
2009110.54%3.86%$25,571$18,5230.54%3.86%
2009121.17%1.53%$25,871$18,8071.17%1.53%
20101-1.92%-5.07%$25,374$17,854-1.92%-5.07%
20102-0.95%0.22%$25,134$17,893-0.95%0.22%
201038.12%6.71%$27,174$19,0948.12%6.71%
201041.26%-1.71%$27,517$18,7681.26%-1.71%
20105-13.46%-10.78%$23,814$16,745-13.46%-10.78%
20106-2.01%-1.17%$23,335$16,549-2.01%-1.17%
201079.73%10.33%$25,605$18,2599.73%10.33%
20108-4.67%-3.22%$24,409$17,672-4.67%-3.22%
2010911.23%10.41%$27,150$19,51211.23%10.41%
2010103.13%3.55%$27,999$20,2043.13%3.55%
201011-2.85%-4.52%$27,202$19,290-2.85%-4.52%
20101212.32%8.34%$30,554$20,89912.32%8.34%
201112.09%0.70%$31,194$21,0442.09%0.70%
201122.90%2.71%$32,100$21,6152.90%2.71%
201130.50%-0.43%$32,260$21,5220.50%-0.43%
201144.30%5.24%$33,645$22,6494.30%5.24%
20115-3.43%-2.87%$32,491$21,999-3.43%-2.87%
20116-2.18%-1.51%$31,782$21,668-2.18%-1.51%
20117-1.92%-1.53%$31,171$21,336-1.92%-1.53%
20118-9.51%-8.45%$28,207$19,533-9.51%-8.45%
20119-11.80%-12.29%$24,879$17,133-11.80%-12.29%
2011107.61%10.22%$26,772$18,8837.61%10.22%
201111-3.23%-2.88%$25,906$18,339-3.23%-2.88%
201112-2.66%-2.64%$25,218$17,855-2.66%-2.64%
2012110.01%7.27%$27,744$19,15410.01%7.27%
201225.96%5.14%$29,396$20,1385.96%5.14%
201230.13%-0.75%$29,433$19,9880.13%-0.75%
20124-2.78%-1.78%$28,616$19,632-2.78%-1.78%
20125-12.72%-11.14%$24,977$17,445-12.72%-11.14%
201264.93%6.03%$26,208$18,4974.93%6.03%
20127-0.29%0.44%$26,133$18,579-0.29%0.44%
201283.67%2.72%$27,093$19,0853.67%2.72%
201294.67%3.62%$28,360$19,7764.67%3.62%
2012100.93%0.56%$28,624$19,8880.93%0.56%
2012111.39%1.82%$29,021$20,2491.39%1.82%
2012126.24%4.17%$30,831$21,0946.24%4.17%
201315.13%3.34%$32,413$21,7985.13%3.34%
201320.60%-1.23%$32,606$21,5300.60%-1.23%
201332.04%0.77%$33,270$21,6952.04%0.77%
201342.84%3.58%$34,215$22,4722.84%3.58%
20135-1.97%-2.95%$33,540$21,808-1.97%-2.95%
20136-3.04%-3.75%$32,519$20,991-3.04%-3.75%
201377.46%4.56%$34,944$21,9497.46%4.56%
20138-1.23%-1.63%$34,513$21,592-1.23%-1.63%
201399.69%7.21%$37,857$23,1509.69%7.21%
2013104.18%3.41%$39,441$23,9404.18%3.41%
2013110.15%0.12%$39,500$23,9680.15%0.12%
2013123.33%1.25%$40,816$24,2673.33%1.25%
20141-1.38%-4.78%$40,254$23,108-1.38%-4.78%
201426.88%5.39%$43,022$24,3546.88%5.39%
201430.65%0.41%$43,303$24,4540.65%0.41%
20144-0.42%1.31%$43,122$24,775-0.42%1.31%
201450.79%1.88%$43,463$25,2420.79%1.88%
201461.57%1.74%$44,145$25,6811.57%1.74%
20147-3.51%-1.61%$42,595$25,268-3.51%-1.61%
201480.66%1.05%$42,877$25,5330.66%1.05%
20149-5.82%-5.01%$40,382$24,254-5.82%-5.01%
201410-2.20%-0.31%$39,493$24,180-2.20%-0.31%
201411-0.72%-0.25%$39,210$24,120-0.72%-0.25%
201412-1.10%-3.65%$38,780$23,239-1.10%-3.65%
20151-0.65%0.13%$38,530$23,269-0.65%0.13%
201527.47%5.52%$41,407$24,5547.47%5.52%
20153-1.96%-1.54%$40,594$24,176-1.96%-1.54%
201545.03%5.08%$42,637$25,4055.03%5.08%
201551.56%-0.94%$43,304$25,1651.56%-0.94%
20156-1.39%-2.69%$42,700$24,488-1.39%-2.69%
20157-1.23%-0.80%$42,177$24,291-1.23%-0.80%
20158-4.27%-7.29%$40,377$22,519-4.27%-7.29%
20159-3.99%-3.90%$38,764$21,642-3.99%-3.90%
2015105.25%6.26%$40,800$22,9965.25%6.26%
201511-0.77%-1.32%$40,485$22,692-0.77%-1.32%
201512-0.39%-2.07%$40,327$22,223-0.39%-2.07%
20161-7.39%-5.59%$37,348$20,980-7.39%-5.59%
20162-0.87%-2.27%$37,024$20,505-0.87%-2.27%
201638.04%8.19%$40,000$22,1848.04%8.19%
201643.41%2.22%$41,366$22,6763.41%2.22%
20165-0.79%-1.02%$41,041$22,445-0.79%-1.02%
20166-5.61%-0.94%$38,737$22,233-5.61%-0.94%
201677.20%4.41%$41,526$23,2147.20%4.41%
201680.37%0.74%$41,679$23,3850.37%0.74%
201692.74%1.37%$42,821$23,7052.74%1.37%
201610-0.82%-1.72%$42,469$23,298-0.82%-1.72%
201611-0.57%-2.15%$42,227$22,797-0.57%-2.15%
2016123.15%2.02%$43,555$23,2573.15%2.02%
201714.31%3.87%$45,433$24,1574.31%3.87%
201721.31%1.50%$46,028$24,5201.31%1.50%
201731.94%2.82%$46,921$25,2121.94%2.82%
201742.54%2.20%$48,112$25,7662.54%2.20%
201751.86%3.01%$49,005$26,5421.86%3.01%
201761.81%0.52%$49,893$26,6811.81%0.52%
201773.77%3.42%$51,776$27,5933.77%3.42%
201780.49%0.64%$52,029$27,7690.49%0.64%
201793.18%1.81%$53,683$28,2713.18%1.81%
2017100.86%1.94%$54,144$28,8180.86%1.94%
2017110.09%0.78%$54,190$29,0440.09%0.78%
2017122.86%2.01%$55,741$29,6282.86%2.01%
201814.40%5.59%$58,192$31,2854.40%5.59%
20182-4.92%-5.14%$55,329$29,677-4.92%-5.14%
20183-1.54%-0.64%$54,479$29,488-1.54%-0.64%
201842.00%0.83%$55,571$29,7322.00%0.83%
20185-2.88%-1.92%$53,970$29,163-2.88%-1.92%
20186-2.56%-2.08%$52,587$28,555-2.56%-2.08%
201871.57%2.48%$53,412$29,2631.57%2.48%
20188-2.95%-2.19%$51,834$28,621-2.95%-2.19%
201890.46%0.30%$52,075$28,7080.46%0.30%
201810-9.93%-8.35%$46,907$26,310-9.93%-8.35%
201811-1.87%1.26%$46,029$26,640-1.87%1.26%
201812-7.13%-4.85%$42,748$25,349-7.13%-4.85%
201917.51%7.58%$45,957$27,2717.51%7.58%
201922.68%1.72%$47,190$27,7382.68%1.72%
20193-1.58%0.72%$46,445$27,939-1.58%0.72%
201943.32%2.76%$47,986$28,7103.32%2.76%
20195-7.81%-5.55%$44,237$27,118-7.81%-5.55%
201965.15%5.83%$46,517$28,6985.15%5.83%
20197-1.56%-1.89%$45,792$28,156-1.56%-1.89%
20198-2.54%-2.35%$44,628$27,495-2.54%-2.35%
201993.65%2.72%$46,259$28,2443.65%2.72%
2019104.38%3.38%$48,286$29,1984.38%3.38%
2019111.67%1.11%$49,092$29,5221.67%1.11%
2019125.36%4.27%$51,724$30,7825.36%4.27%
20201-5.27%-3.30%$48,998$29,765-5.27%-3.30%
20202-9.38%-6.72%$44,400$27,766-9.38%-6.72%
20203-22.76%-16.11%$34,296$23,291-22.76%-16.11%
2020411.22%8.09%$38,145$25,17511.22%8.09%
202054.98%4.80%$40,043$26,3844.98%4.80%
202062.25%4.24%$40,944$27,5032.25%4.24%
202072.36%4.10%$41,909$28,6322.36%4.10%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.36%
Mid-cap Value13.72%3.19%
Mid-cap Growth0.00%0.00%
Small-cap Value5.93%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets72.64%72.78%
Emerging Markets7.71%22.22%
Corporate Bonds0.00%1.45%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared90.53%99.44%
Style analysis is based on monthly returns from Apr 2005 to Jul 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
DISVXDFA International Small Cap Value IForeign Small/Mid Value100.00%0.64%10.59$31,909100.00%

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
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend100.00%0.17%15.86$18,632100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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 2
Arithmetic Mean (monthly)0.63%0.49%
Arithmetic Mean (annualized)7.82%6.00%
Geometric Mean (monthly)0.49%0.36%
Geometric Mean (annualized)6.09%4.43%
Volatility (monthly)5.16%4.94%
Volatility (annualized)17.88%17.13%
Downside Deviation (monthly)3.56%3.52%
Max. Drawdown-57.69%-58.50%
US Market Correlation0.730.86
Beta(*)0.830.94
Alpha (annualized)-0.53%-3.27%
R253.40%73.90%
Sharpe Ratio0.300.22
Sortino Ratio0.430.30
Treynor Ratio (%)6.533.97
Calmar Ratio-0.170.05
Active Return-2.72%-4.37%
Tracking Error12.49%8.81%
Information Ratio-0.22-0.50
Skewness-0.66-0.67
Excess Kurtosis2.471.77
Historical Value-at-Risk (5%)-8.42%-8.76%
Analytical Value-at-Risk (5%)-7.86%-7.65%
Conditional Value-at-Risk (5%)-12.56%-12.16%
Upside Capture Ratio (%)76.6383.49
Downside Capture Ratio (%)84.35101.22
Safe Withdrawal Rate5.81%5.28%
Perpetual Withdrawal Rate3.81%2.27%
Positive Periods164 out of 291 (56.36%)173 out of 291 (59.45%)
Gain/Loss Ratio1.070.88
* 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 2
Asian CrisisJul 1997Jan 1998-25.10%-13.38%
Russian Debt DefaultJul 1998Oct 1998-15.95%-15.45%
Dotcom CrashMar 2000Oct 2002-14.18%-46.38%
Subprime CrisisNov 2007Mar 2009-57.69%-58.50%

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%
3Jun 1996Sep 19982 years 4 monthsMay 20034 years 8 months7 years-32.59%
4Jul 2014Feb 20161 year 8 monthsJan 201711 months2 years 7 months-16.13%
5May 2006Jul 20063 monthsOct 20063 months6 months-6.91%
6Jun 2007Aug 20073 monthsOct 20072 months5 months-4.75%
7Apr 2004May 20042 monthsSep 20044 months6 months-4.47%
8Mar 2005May 20053 monthsJul 20052 months5 months-4.32%
9Oct 2005Oct 20051 monthDec 20052 months3 months-2.32%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.38%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20178 years 3 months9 years 7 months-58.50%
2Jan 2000Mar 20033 years 3 monthsAug 20052 years 5 months5 years 8 months-47.30%
3Feb 2018Mar 20202 years 2 months-25.55%
4Aug 1997Sep 19981 year 2 monthsDec 19983 months1 year 5 months-16.13%
5May 1999May 19991 monthJul 19992 months3 months-5.00%
6May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
7May 1996Jul 19963 monthsNov 19964 months7 months-3.80%
8Dec 1996Jan 19972 monthsMay 19974 months6 months-3.43%
9Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
10Jan 1999Feb 19992 monthsMar 19991 month3 months-2.77%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DISVXDFA International Small Cap Value I6.09%17.88%66.48%-41.68%-57.69%0.300.430.73
VGTSXVanguard Total Intl Stock Index Inv4.43%17.13%40.34%-44.10%-58.50%0.220.300.86

Monthly Correlations

Correlations for the portfolio assets
TickerNameDISVXVGTSXPortfolio 1Portfolio 2
DISVXDFA International Small Cap Value I1.000.891.000.89
VGTSXVanguard Total Intl Stock Index Inv0.891.000.891.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DISVXDFA International Small Cap Value I$31,909
VGTSXVanguard Total Intl Stock Index Inv$18,632

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DISVXDFA International Small Cap Value I100.00%
VGTSXVanguard Total Intl Stock Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.49%66.48%-41.68%7.20%40.34%-44.10%
3 years9.83%40.37%-8.31%5.34%25.14%-16.98%
5 years9.96%30.30%-3.97%4.49%23.45%-3.47%
7 years10.53%20.50%2.88%5.09%11.86%-0.81%
10 years9.80%16.18%3.50%5.05%9.44%0.88%
15 years9.95%13.18%6.71%5.04%8.61%2.96%
Result statistics are based on annualized rolling returns over full calendar year periods