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.
| Ticker | Name | Allocation |
|---|---|---|
| VFINX | Vanguard 500 Index Investor | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| DFSVX | DFA US Small Cap Value I | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $142,913 | 10.03% | 14.76% | 37.45% | -37.02% | -50.97% | 0.57 | 0.83 | 0.99 |
| Portfolio 2 | $10,000 | $168,338 | 10.68% | 20.18% | 59.40% | -36.79% | -61.18% | 0.49 | 0.71 | 0.85 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | 12.12% | 18.25% | 14.03% | 15.07% | 13.72% | 10.03% | 18.80% | 15.26% |
| Portfolio 2 | 32.66% | 2.23% | 0.82% | 7.10% | 7.98% | 10.68% | 28.96% | 24.34% |
| Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Vanguard 500 Index Investor (VFINX) | DFA US Small Cap Value I (DFSVX) | ||
|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | ||||
| 1993 | 1.89% | 7.56% | $10,756 | 13.62% | $11,362 | 7.56% | 13.62% |
| 1994 | 2.67% | 1.18% | $10,882 | 1.23% | $11,502 | 1.18% | 1.23% |
| 1995 | 2.54% | 37.45% | $14,957 | 29.28% | $14,870 | 37.45% | 29.28% |
| 1996 | 3.32% | 22.88% | $18,379 | 22.33% | $18,189 | 22.88% | 22.33% |
| 1997 | 1.70% | 33.19% | $24,479 | 30.75% | $23,782 | 33.19% | 30.75% |
| 1998 | 1.61% | 28.62% | $31,484 | -7.30% | $22,046 | 28.62% | -7.30% |
| 1999 | 2.68% | 21.07% | $38,117 | 13.05% | $24,922 | 21.07% | 13.05% |
| 2000 | 3.39% | -9.06% | $34,665 | 9.01% | $27,167 | -9.06% | 9.01% |
| 2001 | 1.55% | -12.02% | $30,497 | 22.65% | $33,321 | -12.02% | 22.65% |
| 2002 | 2.38% | -22.15% | $23,743 | -9.27% | $30,233 | -22.15% | -9.27% |
| 2003 | 1.88% | 28.50% | $30,511 | 59.40% | $48,193 | 28.50% | 59.40% |
| 2004 | 3.26% | 10.74% | $33,788 | 25.39% | $60,429 | 10.74% | 25.39% |
| 2005 | 3.42% | 4.77% | $35,401 | 7.79% | $65,136 | 4.77% | 7.79% |
| 2006 | 2.54% | 15.64% | $40,938 | 21.55% | $79,172 | 15.64% | 21.55% |
| 2007 | 4.08% | 5.39% | $43,143 | -10.75% | $70,665 | 5.39% | -10.75% |
| 2008 | 0.09% | -37.02% | $27,171 | -36.79% | $44,670 | -37.02% | -36.79% |
| 2009 | 2.72% | 26.49% | $34,368 | 33.62% | $59,689 | 26.49% | 33.62% |
| 2010 | 1.50% | 14.91% | $39,493 | 30.90% | $78,135 | 14.91% | 30.90% |
| 2011 | 2.96% | 1.97% | $40,270 | -7.55% | $72,239 | 1.97% | -7.55% |
| 2012 | 1.74% | 15.82% | $46,642 | 21.72% | $87,932 | 15.82% | 21.72% |
| 2013 | 1.50% | 32.18% | $61,650 | 42.38% | $125,200 | 32.18% | 42.38% |
| 2014 | 0.76% | 13.51% | $69,978 | 3.48% | $129,558 | 13.51% | 3.48% |
| 2015 | 0.73% | 1.25% | $70,851 | -7.81% | $119,436 | 1.25% | -7.81% |
| 2016 | 2.07% | 11.82% | $79,224 | 28.26% | $153,192 | 11.82% | 28.26% |
| 2017 | 2.11% | 21.67% | $96,390 | 7.21% | $164,241 | 21.67% | 7.21% |
| 2018 | 1.91% | -4.52% | $92,029 | -15.13% | $139,395 | -4.52% | -15.13% |
| 2019 | 2.29% | 31.33% | $120,859 | 18.12% | $164,658 | 31.33% | 18.12% |
| 2020 | 1.36% | 18.25% | $142,913 | 2.23% | $168,338 | 18.25% | 2.23% |
| Annual return for 1993 is from 03/01/1993 to 12/31/1993 | |||||||
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Vanguard 500 Index Investor (VFINX) | DFA US Small Cap Value I (DFSVX) |
|---|---|---|---|---|---|
| 1993 | 3 | 2.11% | -0.80% | 2.11% | -0.80% |
| 1993 | 4 | -2.42% | -2.12% | -2.42% | -2.12% |
| 1993 | 5 | 2.65% | 2.68% | 2.65% | 2.68% |
| 1993 | 6 | 0.27% | 0.00% | 0.27% | 0.00% |
| 1993 | 7 | -0.42% | 3.01% | -0.42% | 3.01% |
| 1993 | 8 | 3.79% | 3.21% | 3.79% | 3.21% |
| 1993 | 9 | -0.79% | 3.49% | -0.79% | 3.49% |
| 1993 | 10 | 2.08% | 3.37% | 2.08% | 3.37% |
| 1993 | 11 | -1.00% | -1.77% | -1.00% | -1.77% |
| 1993 | 12 | 1.22% | 2.00% | 1.22% | 2.00% |
| 1994 | 1 | 3.38% | 5.16% | 3.38% | 5.16% |
| 1994 | 2 | -2.71% | -0.34% | -2.71% | -0.34% |
| 1994 | 3 | -4.39% | -3.31% | -4.39% | -3.31% |
| 1994 | 4 | 1.29% | 0.70% | 1.29% | 0.70% |
| 1994 | 5 | 1.63% | 0.26% | 1.63% | 0.26% |
| 1994 | 6 | -2.47% | -1.83% | -2.47% | -1.83% |
| 1994 | 7 | 3.28% | 1.68% | 3.28% | 1.68% |
| 1994 | 8 | 4.08% | 3.40% | 4.08% | 3.40% |
| 1994 | 9 | -2.45% | -0.34% | -2.45% | -0.34% |
| 1994 | 10 | 2.25% | -1.44% | 2.25% | -1.44% |
| 1994 | 11 | -3.65% | -3.43% | -3.65% | -3.43% |
| 1994 | 12 | 1.46% | 1.05% | 1.46% | 1.05% |
| 1995 | 1 | 2.58% | 0.98% | 2.58% | 0.98% |
| 1995 | 2 | 3.88% | 3.53% | 3.88% | 3.53% |
| 1995 | 3 | 2.95% | 1.19% | 2.95% | 1.19% |
| 1995 | 4 | 2.94% | 3.54% | 2.94% | 3.54% |
| 1995 | 5 | 3.95% | 2.76% | 3.95% | 2.76% |
| 1995 | 6 | 2.31% | 3.96% | 2.31% | 3.96% |
| 1995 | 7 | 3.30% | 5.40% | 3.30% | 5.40% |
| 1995 | 8 | 0.25% | 3.18% | 0.25% | 3.18% |
| 1995 | 9 | 4.23% | 1.26% | 4.23% | 1.26% |
| 1995 | 10 | -0.36% | -4.91% | -0.36% | -4.91% |
| 1995 | 11 | 4.38% | 3.72% | 4.38% | 3.72% |
| 1995 | 12 | 1.93% | 1.73% | 1.93% | 1.73% |
| 1996 | 1 | 3.39% | -0.35% | 3.39% | -0.35% |
| 1996 | 2 | 0.92% | 2.19% | 0.92% | 2.19% |
| 1996 | 3 | 0.98% | 2.76% | 0.98% | 2.76% |
| 1996 | 4 | 1.46% | 5.18% | 1.46% | 5.18% |
| 1996 | 5 | 2.54% | 3.90% | 2.54% | 3.90% |
| 1996 | 6 | 0.38% | -2.09% | 0.38% | -2.09% |
| 1996 | 7 | -4.42% | -6.22% | -4.42% | -6.22% |
| 1996 | 8 | 2.10% | 4.56% | 2.10% | 4.56% |
| 1996 | 9 | 5.61% | 3.33% | 5.61% | 3.33% |
| 1996 | 10 | 2.76% | 0.74% | 2.76% | 0.74% |
| 1996 | 11 | 7.56% | 4.74% | 7.56% | 4.74% |
| 1996 | 12 | -1.96% | 2.19% | -1.96% | 2.19% |
| 1997 | 1 | 6.22% | 2.54% | 6.22% | 2.54% |
| 1997 | 2 | 0.79% | 0.00% | 0.79% | 0.00% |
| 1997 | 3 | -4.14% | -2.65% | -4.14% | -2.65% |
| 1997 | 4 | 5.96% | -0.41% | 5.96% | -0.41% |
| 1997 | 5 | 6.09% | 9.46% | 6.09% | 9.46% |
| 1997 | 6 | 4.45% | 6.25% | 4.45% | 6.25% |
| 1997 | 7 | 7.97% | 5.98% | 7.97% | 5.98% |
| 1997 | 8 | -5.61% | 3.52% | -5.61% | 3.52% |
| 1997 | 9 | 5.47% | 7.69% | 5.47% | 7.69% |
| 1997 | 10 | -3.35% | -3.55% | -3.35% | -3.55% |
| 1997 | 11 | 4.60% | -0.85% | 4.60% | -0.85% |
| 1997 | 12 | 1.72% | 0.09% | 1.72% | 0.09% |
| 1998 | 1 | 1.11% | -1.23% | 1.11% | -1.23% |
| 1998 | 2 | 7.19% | 7.54% | 7.19% | 7.54% |
| 1998 | 3 | 5.10% | 4.07% | 5.10% | 4.07% |
| 1998 | 4 | 1.01% | 1.93% | 1.01% | 1.93% |
| 1998 | 5 | -1.74% | -3.83% | -1.74% | -3.83% |
| 1998 | 6 | 4.07% | -1.97% | 4.07% | -1.97% |
| 1998 | 7 | -1.05% | -7.37% | -1.05% | -7.37% |
| 1998 | 8 | -14.47% | -18.43% | -14.47% | -18.43% |
| 1998 | 9 | 6.41% | 2.84% | 6.41% | 2.84% |
| 1998 | 10 | 8.16% | 4.26% | 8.16% | 4.26% |
| 1998 | 11 | 6.07% | 5.30% | 6.07% | 5.30% |
| 1998 | 12 | 5.81% | 2.32% | 5.81% | 2.32% |
| 1999 | 1 | 4.20% | 1.56% | 4.20% | 1.56% |
| 1999 | 2 | -3.12% | -8.24% | -3.12% | -8.24% |
| 1999 | 3 | 4.00% | -1.92% | 4.00% | -1.92% |
| 1999 | 4 | 3.85% | 10.68% | 3.85% | 10.68% |
| 1999 | 5 | -2.39% | 4.69% | -2.39% | 4.69% |
| 1999 | 6 | 5.56% | 6.11% | 5.56% | 6.11% |
| 1999 | 7 | -3.13% | -0.45% | -3.13% | -0.45% |
| 1999 | 8 | -0.50% | -2.74% | -0.50% | -2.74% |
| 1999 | 9 | -2.74% | -2.67% | -2.74% | -2.67% |
| 1999 | 10 | 6.33% | -3.42% | 6.33% | -3.42% |
| 1999 | 11 | 2.02% | 4.53% | 2.02% | 4.53% |
| 1999 | 12 | 5.98% | 5.73% | 5.98% | 5.73% |
| 2000 | 1 | -5.03% | -0.75% | -5.03% | -0.75% |
| 2000 | 2 | -1.91% | 9.28% | -1.91% | 9.28% |
| 2000 | 3 | 9.75% | 0.30% | 9.75% | 0.30% |
| 2000 | 4 | -3.00% | -3.51% | -3.00% | -3.51% |
| 2000 | 5 | -2.04% | -4.16% | -2.04% | -4.16% |
| 2000 | 6 | 2.49% | 4.98% | 2.49% | 4.98% |
| 2000 | 7 | -1.50% | -0.10% | -1.50% | -0.10% |
| 2000 | 8 | 6.19% | 7.40% | 6.19% | 7.40% |
| 2000 | 9 | -5.29% | -1.85% | -5.29% | -1.85% |
| 2000 | 10 | -0.43% | -3.78% | -0.43% | -3.78% |
| 2000 | 11 | -7.89% | -5.44% | -7.89% | -5.44% |
| 2000 | 12 | 0.51% | 7.73% | 0.51% | 7.73% |
| 2001 | 1 | 3.55% | 10.31% | 3.55% | 10.31% |
| 2001 | 2 | -9.14% | -1.92% | -9.14% | -1.92% |
| 2001 | 3 | -6.36% | -2.46% | -6.36% | -2.46% |
| 2001 | 4 | 7.77% | 6.12% | 7.77% | 6.12% |
| 2001 | 5 | 0.65% | 6.16% | 0.65% | 6.16% |
| 2001 | 6 | -2.45% | 3.74% | -2.45% | 3.74% |
| 2001 | 7 | -1.00% | -1.63% | -1.00% | -1.63% |
| 2001 | 8 | -6.27% | -1.34% | -6.27% | -1.34% |
| 2001 | 9 | -8.09% | -14.56% | -8.09% | -14.56% |
| 2001 | 10 | 1.90% | 3.93% | 1.90% | 3.93% |
| 2001 | 11 | 7.65% | 7.81% | 7.65% | 7.81% |
| 2001 | 12 | 0.87% | 7.02% | 0.87% | 7.02% |
| 2002 | 1 | -1.47% | 1.54% | -1.47% | 1.54% |
| 2002 | 2 | -1.94% | -0.16% | -1.94% | -0.16% |
| 2002 | 3 | 3.74% | 9.86% | 3.74% | 9.86% |
| 2002 | 4 | -6.07% | 4.53% | -6.07% | 4.53% |
| 2002 | 5 | -0.75% | -3.15% | -0.75% | -3.15% |
| 2002 | 6 | -7.13% | -2.07% | -7.13% | -2.07% |
| 2002 | 7 | -7.72% | -15.60% | -7.72% | -15.60% |
| 2002 | 8 | 0.65% | -1.25% | 0.65% | -1.25% |
| 2002 | 9 | -10.87% | -7.28% | -10.87% | -7.28% |
| 2002 | 10 | 8.78% | 1.62% | 8.78% | 1.62% |
| 2002 | 11 | 5.88% | 8.52% | 5.88% | 8.52% |
| 2002 | 12 | -5.89% | -3.58% | -5.89% | -3.58% |
| 2003 | 1 | -2.62% | -3.45% | -2.62% | -3.45% |
| 2003 | 2 | -1.52% | -4.11% | -1.52% | -4.11% |
| 2003 | 3 | 0.96% | -0.21% | 0.96% | -0.21% |
| 2003 | 4 | 8.25% | 10.56% | 8.25% | 10.56% |
| 2003 | 5 | 5.26% | 11.72% | 5.26% | 11.72% |
| 2003 | 6 | 1.26% | 3.65% | 1.26% | 3.65% |
| 2003 | 7 | 1.74% | 7.04% | 1.74% | 7.04% |
| 2003 | 8 | 1.93% | 5.14% | 1.93% | 5.14% |
| 2003 | 9 | -1.07% | -0.78% | -1.07% | -0.78% |
| 2003 | 10 | 5.64% | 10.00% | 5.64% | 10.00% |
| 2003 | 11 | 0.86% | 4.16% | 0.86% | 4.16% |
| 2003 | 12 | 5.22% | 5.33% | 5.22% | 5.33% |
| 2004 | 1 | 1.82% | 4.89% | 1.82% | 4.89% |
| 2004 | 2 | 1.38% | 1.41% | 1.38% | 1.41% |
| 2004 | 3 | -1.51% | 0.94% | -1.51% | 0.94% |
| 2004 | 4 | -1.58% | -3.17% | -1.58% | -3.17% |
| 2004 | 5 | 1.36% | 0.38% | 1.36% | 0.38% |
| 2004 | 6 | 1.93% | 6.69% | 1.93% | 6.69% |
| 2004 | 7 | -3.31% | -5.33% | -3.31% | -5.33% |
| 2004 | 8 | 0.38% | -1.49% | 0.38% | -1.49% |
| 2004 | 9 | 1.07% | 4.93% | 1.07% | 4.93% |
| 2004 | 10 | 1.51% | 0.96% | 1.51% | 0.96% |
| 2004 | 11 | 4.05% | 10.00% | 4.05% | 10.00% |
| 2004 | 12 | 3.39% | 3.62% | 3.39% | 3.62% |
| 2005 | 1 | -2.45% | -3.57% | -2.45% | -3.57% |
| 2005 | 2 | 2.09% | 2.70% | 2.09% | 2.70% |
| 2005 | 3 | -1.76% | -1.95% | -1.76% | -1.95% |
| 2005 | 4 | -1.91% | -7.28% | -1.91% | -7.28% |
| 2005 | 5 | 3.17% | 6.65% | 3.17% | 6.65% |
| 2005 | 6 | 0.13% | 4.17% | 0.13% | 4.17% |
| 2005 | 7 | 3.71% | 7.11% | 3.71% | 7.11% |
| 2005 | 8 | -0.91% | -1.67% | -0.91% | -1.67% |
| 2005 | 9 | 0.79% | 0.80% | 0.79% | 0.80% |
| 2005 | 10 | -1.68% | -2.92% | -1.68% | -2.92% |
| 2005 | 11 | 3.76% | 4.21% | 3.76% | 4.21% |
| 2005 | 12 | 0.02% | 0.34% | 0.02% | 0.34% |
| 2006 | 1 | 2.65% | 8.82% | 2.65% | 8.82% |
| 2006 | 2 | 0.26% | -0.35% | 0.26% | -0.35% |
| 2006 | 3 | 1.23% | 6.09% | 1.23% | 6.09% |
| 2006 | 4 | 1.33% | 0.98% | 1.33% | 0.98% |
| 2006 | 5 | -2.90% | -4.39% | -2.90% | -4.39% |
| 2006 | 6 | 0.13% | 0.05% | 0.13% | 0.05% |
| 2006 | 7 | 0.61% | -3.75% | 0.61% | -3.75% |
| 2006 | 8 | 2.36% | 1.95% | 2.36% | 1.95% |
| 2006 | 9 | 2.56% | 1.19% | 2.56% | 1.19% |
| 2006 | 10 | 3.25% | 5.43% | 3.25% | 5.43% |
| 2006 | 11 | 1.89% | 3.03% | 1.89% | 3.03% |
| 2006 | 12 | 1.39% | 1.38% | 1.39% | 1.38% |
| 2007 | 1 | 1.49% | 2.20% | 1.49% | 2.20% |
| 2007 | 2 | -1.97% | -0.23% | -1.97% | -0.23% |
| 2007 | 3 | 1.11% | 1.09% | 1.11% | 1.09% |
| 2007 | 4 | 4.42% | 1.81% | 4.42% | 1.81% |
| 2007 | 5 | 3.48% | 3.65% | 3.48% | 3.65% |
| 2007 | 6 | -1.68% | -1.55% | -1.68% | -1.55% |
| 2007 | 7 | -3.08% | -7.64% | -3.08% | -7.64% |
| 2007 | 8 | 1.50% | -0.76% | 1.50% | -0.76% |
| 2007 | 9 | 3.72% | -0.28% | 3.72% | -0.28% |
| 2007 | 10 | 1.58% | 1.11% | 1.58% | 1.11% |
| 2007 | 11 | -4.19% | -8.72% | -4.19% | -8.72% |
| 2007 | 12 | -0.70% | -1.20% | -0.70% | -1.20% |
| 2008 | 1 | -6.02% | -3.94% | -6.02% | -3.94% |
| 2008 | 2 | -3.25% | -2.84% | -3.25% | -2.84% |
| 2008 | 3 | -0.44% | 0.84% | -0.44% | 0.84% |
| 2008 | 4 | 4.85% | 1.66% | 4.85% | 1.66% |
| 2008 | 5 | 1.29% | 4.14% | 1.29% | 4.14% |
| 2008 | 6 | -8.44% | -10.10% | -8.44% | -10.10% |
| 2008 | 7 | -0.83% | 2.07% | -0.83% | 2.07% |
| 2008 | 8 | 1.45% | 4.15% | 1.45% | 4.15% |
| 2008 | 9 | -8.91% | -6.89% | -8.91% | -6.89% |
| 2008 | 10 | -16.79% | -22.14% | -16.79% | -22.14% |
| 2008 | 11 | -7.17% | -12.99% | -7.17% | -12.99% |
| 2008 | 12 | 1.07% | 5.25% | 1.07% | 5.25% |
| 2009 | 1 | -8.41% | -14.28% | -8.41% | -14.28% |
| 2009 | 2 | -10.66% | -12.71% | -10.66% | -12.71% |
| 2009 | 3 | 8.76% | 10.40% | 8.76% | 10.40% |
| 2009 | 4 | 9.56% | 19.66% | 9.56% | 19.66% |
| 2009 | 5 | 5.62% | 3.22% | 5.62% | 3.22% |
| 2009 | 6 | 0.22% | 0.35% | 0.22% | 0.35% |
| 2009 | 7 | 7.58% | 13.44% | 7.58% | 13.44% |
| 2009 | 8 | 3.60% | 5.14% | 3.60% | 5.14% |
| 2009 | 9 | 3.72% | 6.33% | 3.72% | 6.33% |
| 2009 | 10 | -1.87% | -7.53% | -1.87% | -7.53% |
| 2009 | 11 | 5.98% | 3.11% | 5.98% | 3.11% |
| 2009 | 12 | 1.95% | 7.92% | 1.95% | 7.92% |
| 2010 | 1 | -3.60% | -3.16% | -3.60% | -3.16% |
| 2010 | 2 | 3.09% | 6.15% | 3.09% | 6.15% |
| 2010 | 3 | 6.01% | 8.86% | 6.01% | 8.86% |
| 2010 | 4 | 1.58% | 8.11% | 1.58% | 8.11% |
| 2010 | 5 | -8.01% | -9.90% | -8.01% | -9.90% |
| 2010 | 6 | -5.24% | -10.14% | -5.24% | -10.14% |
| 2010 | 7 | 7.00% | 8.69% | 7.00% | 8.69% |
| 2010 | 8 | -4.53% | -8.38% | -4.53% | -8.38% |
| 2010 | 9 | 8.92% | 12.93% | 8.92% | 12.93% |
| 2010 | 10 | 3.79% | 4.17% | 3.79% | 4.17% |
| 2010 | 11 | 0.00% | 4.49% | 0.00% | 4.49% |
| 2010 | 12 | 6.67% | 9.18% | 6.67% | 9.18% |
| 2011 | 1 | 2.36% | 0.31% | 2.36% | 0.31% |
| 2011 | 2 | 3.42% | 6.28% | 3.42% | 6.28% |
| 2011 | 3 | 0.03% | 2.05% | 0.03% | 2.05% |
| 2011 | 4 | 2.95% | 1.26% | 2.95% | 1.26% |
| 2011 | 5 | -1.15% | -3.12% | -1.15% | -3.12% |
| 2011 | 6 | -1.67% | -1.81% | -1.67% | -1.81% |
| 2011 | 7 | -2.05% | -2.88% | -2.05% | -2.88% |
| 2011 | 8 | -5.45% | -10.58% | -5.45% | -10.58% |
| 2011 | 9 | -7.04% | -12.58% | -7.04% | -12.58% |
| 2011 | 10 | 10.91% | 15.82% | 10.91% | 15.82% |
| 2011 | 11 | -0.23% | -0.68% | -0.23% | -0.68% |
| 2011 | 12 | 1.02% | 1.01% | 1.02% | 1.01% |
| 2012 | 1 | 4.46% | 7.43% | 4.46% | 7.43% |
| 2012 | 2 | 4.31% | 3.18% | 4.31% | 3.18% |
| 2012 | 3 | 3.28% | 2.30% | 3.28% | 2.30% |
| 2012 | 4 | -0.64% | -1.60% | -0.64% | -1.60% |
| 2012 | 5 | -6.02% | -7.12% | -6.02% | -7.12% |
| 2012 | 6 | 4.11% | 4.38% | 4.11% | 4.38% |
| 2012 | 7 | 1.37% | -0.24% | 1.37% | -0.24% |
| 2012 | 8 | 2.24% | 4.21% | 2.24% | 4.21% |
| 2012 | 9 | 2.58% | 3.31% | 2.58% | 3.31% |
| 2012 | 10 | -1.86% | -0.82% | -1.86% | -0.82% |
| 2012 | 11 | 0.56% | 1.84% | 0.56% | 1.84% |
| 2012 | 12 | 0.90% | 3.72% | 0.90% | 3.72% |
| 2013 | 1 | 5.18% | 6.56% | 5.18% | 6.56% |
| 2013 | 2 | 1.34% | 1.75% | 1.34% | 1.75% |
| 2013 | 3 | 3.74% | 4.91% | 3.74% | 4.91% |
| 2013 | 4 | 1.91% | -1.11% | 1.91% | -1.11% |
| 2013 | 5 | 2.33% | 5.39% | 2.33% | 5.39% |
| 2013 | 6 | -1.35% | -0.70% | -1.35% | -0.70% |
| 2013 | 7 | 5.07% | 7.34% | 5.07% | 7.34% |
| 2013 | 8 | -2.91% | -4.17% | -2.91% | -4.17% |
| 2013 | 9 | 3.12% | 5.24% | 3.12% | 5.24% |
| 2013 | 10 | 4.59% | 3.51% | 4.59% | 3.51% |
| 2013 | 11 | 3.03% | 5.08% | 3.03% | 5.08% |
| 2013 | 12 | 2.51% | 2.72% | 2.51% | 2.72% |
| 2014 | 1 | -3.47% | -5.14% | -3.47% | -5.14% |
| 2014 | 2 | 4.56% | 5.45% | 4.56% | 5.45% |
| 2014 | 3 | 0.82% | 1.19% | 0.82% | 1.19% |
| 2014 | 4 | 0.72% | -1.93% | 0.72% | -1.93% |
| 2014 | 5 | 2.33% | 0.83% | 2.33% | 0.83% |
| 2014 | 6 | 2.05% | 4.44% | 2.05% | 4.44% |
| 2014 | 7 | -1.39% | -5.76% | -1.39% | -5.76% |
| 2014 | 8 | 3.98% | 5.83% | 3.98% | 5.83% |
| 2014 | 9 | -1.41% | -6.98% | -1.41% | -6.98% |
| 2014 | 10 | 2.42% | 4.61% | 2.42% | 4.61% |
| 2014 | 11 | 2.68% | -0.28% | 2.68% | -0.28% |
| 2014 | 12 | -0.26% | 2.29% | -0.26% | 2.29% |
| 2015 | 1 | -3.02% | -4.95% | -3.02% | -4.95% |
| 2015 | 2 | 5.74% | 5.90% | 5.74% | 5.90% |
| 2015 | 3 | -1.59% | 1.78% | -1.59% | 1.78% |
| 2015 | 4 | 0.95% | -1.34% | 0.95% | -1.34% |
| 2015 | 5 | 1.27% | 1.36% | 1.27% | 1.36% |
| 2015 | 6 | -1.93% | 0.05% | -1.93% | 0.05% |
| 2015 | 7 | 2.08% | -3.67% | 2.08% | -3.67% |
| 2015 | 8 | -6.05% | -4.04% | -6.05% | -4.04% |
| 2015 | 9 | -2.48% | -4.51% | -2.48% | -4.51% |
| 2015 | 10 | 8.42% | 5.28% | 8.42% | 5.28% |
| 2015 | 11 | 0.29% | 3.17% | 0.29% | 3.17% |
| 2015 | 12 | -1.59% | -6.20% | -1.59% | -6.20% |
| 2016 | 1 | -4.98% | -7.18% | -4.98% | -7.18% |
| 2016 | 2 | -0.15% | 1.17% | -0.15% | 1.17% |
| 2016 | 3 | 6.78% | 8.77% | 6.78% | 8.77% |
| 2016 | 4 | 0.37% | 1.80% | 0.37% | 1.80% |
| 2016 | 5 | 1.78% | 0.47% | 1.78% | 0.47% |
| 2016 | 6 | 0.25% | -1.16% | 0.25% | -1.16% |
| 2016 | 7 | 3.68% | 4.85% | 3.68% | 4.85% |
| 2016 | 8 | 0.13% | 1.74% | 0.13% | 1.74% |
| 2016 | 9 | 0.01% | 1.21% | 0.01% | 1.21% |
| 2016 | 10 | -1.83% | -3.14% | -1.83% | -3.14% |
| 2016 | 11 | 3.70% | 14.87% | 3.70% | 14.87% |
| 2016 | 12 | 1.96% | 3.41% | 1.96% | 3.41% |
| 2017 | 1 | 1.88% | -0.53% | 1.88% | -0.53% |
| 2017 | 2 | 3.96% | 0.32% | 3.96% | 0.32% |
| 2017 | 3 | 0.10% | -1.14% | 0.10% | -1.14% |
| 2017 | 4 | 1.02% | 0.46% | 1.02% | 0.46% |
| 2017 | 5 | 1.39% | -3.51% | 1.39% | -3.51% |
| 2017 | 6 | 0.61% | 2.59% | 0.61% | 2.59% |
| 2017 | 7 | 2.04% | 0.77% | 2.04% | 0.77% |
| 2017 | 8 | 0.29% | -2.55% | 0.29% | -2.55% |
| 2017 | 9 | 2.06% | 7.92% | 2.06% | 7.92% |
| 2017 | 10 | 2.32% | 0.96% | 2.32% | 0.96% |
| 2017 | 11 | 3.06% | 2.12% | 3.06% | 2.12% |
| 2017 | 12 | 1.10% | 0.03% | 1.10% | 0.03% |
| 2018 | 1 | 5.71% | 1.50% | 5.71% | 1.50% |
| 2018 | 2 | -3.69% | -4.68% | -3.69% | -4.68% |
| 2018 | 3 | -2.56% | 0.93% | -2.56% | 0.93% |
| 2018 | 4 | 0.37% | 1.32% | 0.37% | 1.32% |
| 2018 | 5 | 2.39% | 6.29% | 2.39% | 6.29% |
| 2018 | 6 | 0.61% | 0.06% | 0.61% | 0.06% |
| 2018 | 7 | 3.71% | 1.61% | 3.71% | 1.61% |
| 2018 | 8 | 3.25% | 2.84% | 3.25% | 2.84% |
| 2018 | 9 | 0.55% | -3.19% | 0.55% | -3.19% |
| 2018 | 10 | -6.85% | -9.41% | -6.85% | -9.41% |
| 2018 | 11 | 2.03% | 0.91% | 2.03% | 0.91% |
| 2018 | 12 | -9.04% | -12.79% | -9.04% | -12.79% |
| 2019 | 1 | 8.00% | 12.00% | 8.00% | 12.00% |
| 2019 | 2 | 3.20% | 3.27% | 3.20% | 3.27% |
| 2019 | 3 | 1.94% | -3.66% | 1.94% | -3.66% |
| 2019 | 4 | 4.04% | 4.04% | 4.04% | 4.04% |
| 2019 | 5 | -6.36% | -11.52% | -6.36% | -11.52% |
| 2019 | 6 | 7.03% | 7.77% | 7.03% | 7.77% |
| 2019 | 7 | 1.43% | 0.39% | 1.43% | 0.39% |
| 2019 | 8 | -1.59% | -8.00% | -1.59% | -8.00% |
| 2019 | 9 | 1.86% | 5.96% | 1.86% | 5.96% |
| 2019 | 10 | 2.15% | 1.83% | 2.15% | 1.83% |
| 2019 | 11 | 3.62% | 3.17% | 3.62% | 3.17% |
| 2019 | 12 | 3.01% | 3.92% | 3.01% | 3.92% |
| 2020 | 1 | -0.05% | -6.88% | -0.05% | -6.88% |
| 2020 | 2 | -8.24% | -10.79% | -8.24% | -10.79% |
| 2020 | 3 | -12.37% | -26.60% | -12.37% | -26.60% |
| 2020 | 4 | 12.81% | 15.81% | 12.81% | 15.81% |
| 2020 | 5 | 4.76% | 2.85% | 4.76% | 2.85% |
| 2020 | 6 | 1.98% | 2.65% | 1.98% | 2.65% |
| 2020 | 7 | 5.63% | 3.21% | 5.63% | 3.21% |
| 2020 | 8 | 7.18% | 5.58% | 7.18% | 5.58% |
| 2020 | 9 | -3.81% | -5.13% | -3.81% | -5.13% |
| 2020 | 10 | -2.67% | 3.95% | -2.67% | 3.95% |
| 2020 | 11 | 10.94% | 17.89% | 10.94% | 17.89% |
| 2020 | 12 | 3.84% | 8.25% | 3.84% | 8.25% |
| Style Category | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Large-cap Value | 46.05% | 0.00% |
| Large-cap Growth | 53.95% | 0.00% |
| Mid-cap Value | 0.00% | 3.78% |
| Mid-cap Growth | 0.00% | 0.00% |
| Small-cap Value | 0.00% | 95.15% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 0.00% | 0.00% |
| Emerging Markets | 0.00% | 1.07% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 99.91% | 97.47% |
| 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. | ||
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | Large Blend | 100.00% | 1.40% | 0.14% | 27.41 | $132,913 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| DFSVX | DFA US Small Cap Value I | Small Value | 100.00% | 1.86% | 0.51% | 14.00 | $158,338 | 100.00% |
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.
| Metric | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Arithmetic Mean (monthly) | 0.89% | 1.02% |
| Arithmetic Mean (annualized) | 11.23% | 12.98% |
| Geometric Mean (monthly) | 0.80% | 0.85% |
| Geometric Mean (annualized) | 10.03% | 10.68% |
| Volatility (monthly) | 4.26% | 5.82% |
| Volatility (annualized) | 14.76% | 20.18% |
| Downside Deviation (monthly) | 2.83% | 3.94% |
| Max. Drawdown | -50.97% | -61.18% |
| US Market Correlation | 0.99 | 0.85 |
| Beta(*) | 0.96 | 1.14 |
| Alpha (annualized) | 0.25% | -0.07% |
| R2 | 97.91% | 73.09% |
| Sharpe Ratio | 0.57 | 0.49 |
| Sortino Ratio | 0.83 | 0.71 |
| Treynor Ratio (%) | 8.67 | 8.73 |
| Calmar Ratio | 0.71 | 0.02 |
| Active Return | -0.10% | 0.55% |
| Tracking Error | 2.21% | 10.67% |
| Information Ratio | -0.04 | 0.05 |
| Skewness | -0.63 | -0.67 |
| Excess Kurtosis | 1.30 | 2.60 |
| Historical Value-at-Risk (5%) | -7.07% | -8.96% |
| Analytical Value-at-Risk (5%) | -6.12% | -8.56% |
| Conditional Value-at-Risk (5%) | -9.61% | -13.83% |
| Upside Capture Ratio (%) | 96.08 | 113.08 |
| Downside Capture Ratio (%) | 95.44 | 113.62 |
| Safe Withdrawal Rate | 8.90% | 11.04% |
| Perpetual Withdrawal Rate | 7.10% | 7.64% |
| Positive Periods | 221 out of 334 (66.17%) | 208 out of 334 (62.28%) |
| Gain/Loss Ratio | 0.87 | 0.96 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Stress Period | Start | End | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|
| Asian Crisis | Jul 1997 | Jan 1998 | -5.61% | -5.47% |
| Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -24.44% |
| Dotcom Crash | Mar 2000 | Oct 2002 | -44.82% | -26.71% |
| Subprime Crisis | Nov 2007 | Mar 2009 | -50.97% | -57.34% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
| 2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
| 3 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.63% |
| 4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
| 5 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
| 6 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 7 | Feb 1994 | Mar 1994 | 2 months | Aug 1994 | 5 months | 7 months | -6.98% |
| 8 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
| 9 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -6.38% |
| 10 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Dec 2012 | 3 years 10 months | 5 years 7 months | -61.18% |
| 2 | Sep 2018 | Mar 2020 | 1 year 7 months | -44.41% | |||
| 3 | May 1998 | Aug 1998 | 4 months | Feb 2000 | 1 year 6 months | 1 year 10 months | -28.77% |
| 4 | May 2002 | Mar 2003 | 11 months | Aug 2003 | 5 months | 1 year 4 months | -28.00% |
| 5 | Jul 2001 | Sep 2001 | 3 months | Jan 2002 | 4 months | 7 months | -17.08% |
| 6 | Jul 2015 | Jan 2016 | 7 months | Sep 2016 | 8 months | 1 year 3 months | -16.52% |
| 7 | Sep 2000 | Nov 2000 | 3 months | Jan 2001 | 2 months | 5 months | -10.69% |
| 8 | Jan 2005 | Apr 2005 | 4 months | Jun 2005 | 2 months | 6 months | -9.97% |
| 9 | Jun 1996 | Jul 1996 | 2 months | Nov 1996 | 4 months | 6 months | -8.18% |
| 10 | May 2006 | Jul 2006 | 3 months | Oct 2006 | 3 months | 6 months | -7.92% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | 10.03% | 14.76% | 37.45% | -37.02% | -50.97% | 0.57 | 0.83 | 0.99 |
| DFSVX | DFA US Small Cap Value I | 10.68% | 20.18% | 59.40% | -36.79% | -61.18% | 0.49 | 0.71 | 0.85 |
| Ticker | Name | VFINX | DFSVX | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | 1.00 | 0.81 | 1.00 | 0.81 |
| DFSVX | DFA US Small Cap Value I | 0.81 | 1.00 | 0.81 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | $132,913 | |
| DFSVX | DFA US Small Cap Value I | $158,338 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | 100.00% | |
| DFSVX | DFA US Small Cap Value I | 100.00% |
| Roll Period | Portfolio 1 | Portfolio 2 | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 10.91% | 53.61% | -43.32% | 11.94% | 85.26% | -49.32% |
| 3 years | 10.06% | 32.68% | -16.14% | 11.22% | 38.96% | -22.07% |
| 5 years | 9.08% | 28.49% | -6.73% | 10.91% | 30.23% | -8.20% |
| 7 years | 8.07% | 21.09% | -3.94% | 10.88% | 20.64% | -0.15% |
| 10 years | 7.25% | 16.52% | -3.51% | 10.73% | 18.05% | 4.16% |
| 15 years | 6.73% | 10.39% | 3.64% | 10.08% | 13.92% | 3.65% |