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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2015 - Oct 2020)

Note: The time period was constrained by the available data for Alpha Architect Intl Quant Val ETF (IVAL) [Jan 2015 - Oct 2020].
Note: The month-to-date results for the current month are not available under the free tier.

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
QVAL	Alpha Architect US Quantitative Val ETF	15.00%
IVAL	Alpha Architect Intl Quant Val ETF	10.00%
FNDC	Schwab Fundamental Intl Sm Co ETF	25.00%
VTV	Vanguard Value ETF	25.00%
VBR	Vanguard Small-Cap Value ETF	25.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
QVAL	Alpha Architect US Quantitative Val ETF	15.00%
IVAL	Alpha Architect Intl Quant Val ETF	10.00%
FNDC	Schwab Fundamental Intl Sm Co ETF	25.00%
VFINX	Vanguard 500 Index Investor	25.00%
VBR	Vanguard Small-Cap Value ETF	25.00%
Save portfolio »

Portfolio 3
Ticker	Name	Allocation
VFINX	Vanguard 500 Index Investor	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$12,337	3.67%	16.46%	23.03%	-14.66%	-31.29%	0.24	0.32	0.95
Portfolio 2	$10,000	$13,071	4.70%	16.45%	24.40%	-13.92%	-29.93%	0.30	0.41	0.96
Portfolio 3	$10,000	$17,729	10.31%	14.57%	31.33%	-4.52%	-19.63%	0.68	1.03	1.00

Trailing Returns

Trailing Returns
Name	3 Month	YTD	1 year	3 year	5 year	Full
Portfolio 1	2.19%	-14.66%	-9.85%	-1.71%	4.30%	3.67%
Portfolio 2	2.27%	-11.06%	-5.92%	0.02%	5.35%	4.70%
Portfolio 3	0.34%	2.65%	9.56%	10.28%	11.56%	10.31%
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 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 quarterly rebalancing of portfolio assets to match the specified allocation

Annual returns for the configured portfolios
Year	Inflation	Return			Balance			Alpha Architect US Quantitative Val ETF (QVAL)	Alpha Architect Intl Quant Val ETF (IVAL)	Schwab Fundamental Intl Sm Co ETF (FNDC)	Vanguard Value ETF (VTV)	Vanguard Small-Cap Value ETF (VBR)	Vanguard 500 Index Investor (VFINX)
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	Alpha Architect US Quantitative Val ETF (QVAL)	Alpha Architect Intl Quant Val ETF (IVAL)	Schwab Fundamental Intl Sm Co ETF (FNDC)	Vanguard Value ETF (VTV)	Vanguard Small-Cap Value ETF (VBR)	Vanguard 500 Index Investor (VFINX)
2015	0.73%	-2.64%	-2.10%	1.25%	$9,736	$9,790	$10,125	-13.47%	-3.57%	4.91%	-0.98%	-4.76%	1.25%
2016	2.07%	15.73%	14.38%	11.82%	$11,268	$11,198	$11,321	13.03%	9.52%	8.75%	17.12%	24.90%	11.82%
2017	2.11%	21.40%	22.55%	21.67%	$13,679	$13,722	$13,774	25.59%	31.02%	29.20%	17.14%	11.80%	21.67%
2018	1.91%	-14.10%	-13.92%	-4.52%	$11,750	$11,813	$13,151	-17.28%	-22.50%	-19.13%	-5.44%	-12.26%	-4.52%
2019	2.29%	23.03%	24.40%	31.33%	$14,457	$14,695	$17,271	24.06%	21.28%	20.56%	25.65%	22.77%	31.33%
2020	1.29%	-14.66%	-11.06%	2.65%	$12,337	$13,071	$17,729	-21.06%	-17.90%	-11.99%	-12.38%	-15.58%	2.65%
Annual returns for 2020 are based on partial year data

Monthly returns for the configured portfolios
Year	Month	Return			Balance			Alpha Architect US Quantitative Val ETF (QVAL)	Alpha Architect Intl Quant Val ETF (IVAL)	Schwab Fundamental Intl Sm Co ETF (FNDC)	Vanguard Value ETF (VTV)	Vanguard Small-Cap Value ETF (VBR)	Vanguard 500 Index Investor (VFINX)
Year	Month	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	Alpha Architect US Quantitative Val ETF (QVAL)	Alpha Architect Intl Quant Val ETF (IVAL)	Schwab Fundamental Intl Sm Co ETF (FNDC)	Vanguard Value ETF (VTV)	Vanguard Small-Cap Value ETF (VBR)	Vanguard 500 Index Investor (VFINX)
2015	1	-2.01%	-1.74%	-3.02%	$9,799	$9,826	$9,698	-2.00%	0.20%	0.47%	-4.10%	-3.30%	-3.02%
2015	2	6.10%	6.20%	5.74%	$10,396	$10,435	$10,255	8.46%	5.53%	6.12%	5.31%	5.66%	5.74%
2015	3	-0.30%	-0.37%	-1.59%	$10,365	$10,396	$10,091	-0.24%	-0.59%	-0.80%	-1.32%	1.30%	-1.59%
2015	4	1.41%	1.33%	0.95%	$10,511	$10,534	$10,187	0.36%	4.53%	3.64%	1.28%	-1.30%	0.95%
2015	5	0.69%	0.72%	1.27%	$10,584	$10,610	$10,317	-0.33%	0.06%	0.43%	1.18%	1.37%	1.27%
2015	6	-2.11%	-2.03%	-1.93%	$10,361	$10,394	$10,117	-3.36%	-3.16%	-1.41%	-2.24%	-1.51%	-1.93%
2015	7	-0.98%	-0.71%	2.08%	$10,260	$10,321	$10,328	-4.66%	-2.14%	-0.32%	1.02%	-0.95%	2.08%
2015	8	-5.07%	-5.12%	-6.04%	$9,740	$9,792	$9,704	-3.90%	-6.53%	-4.60%	-5.84%	-4.84%	-6.04%
2015	9	-3.71%	-3.69%	-2.49%	$9,379	$9,431	$9,462	-4.96%	-5.10%	-3.73%	-2.54%	-3.58%	-2.49%
2015	10	6.59%	6.79%	8.42%	$9,997	$10,071	$10,259	4.74%	8.35%	5.91%	7.65%	6.63%	8.42%
2015	11	0.10%	0.03%	0.29%	$10,007	$10,074	$10,289	-1.99%	-1.49%	0.30%	0.54%	1.32%	0.29%
2015	12	-2.70%	-2.81%	-1.59%	$9,736	$9,790	$10,125	-5.56%	-2.25%	-0.58%	-1.15%	-4.90%	-1.59%
2016	1	-5.94%	-5.99%	-4.98%	$9,158	$9,203	$9,621	-7.21%	-6.10%	-5.86%	-4.76%	-6.37%	-4.98%
2016	2	0.64%	0.58%	-0.15%	$9,217	$9,257	$9,607	5.96%	-2.62%	-1.52%	0.10%	1.50%	-0.15%
2016	3	7.89%	7.91%	6.78%	$9,944	$9,989	$10,258	7.81%	6.59%	8.59%	6.70%	8.94%	6.78%
2016	4	0.87%	0.59%	0.37%	$10,030	$10,047	$10,296	-3.92%	0.43%	2.05%	1.52%	2.10%	0.37%
2016	5	0.53%	0.71%	1.78%	$10,084	$10,119	$10,480	-3.06%	0.13%	1.32%	1.06%	1.40%	1.78%
2016	6	-1.15%	-1.38%	0.25%	$9,967	$9,979	$10,506	-1.84%	-5.74%	-2.56%	1.13%	0.15%	0.25%
2016	7	5.16%	5.38%	3.68%	$10,482	$10,516	$10,892	6.89%	8.73%	5.56%	2.81%	4.64%	3.68%
2016	8	0.88%	0.74%	0.13%	$10,574	$10,594	$10,906	1.78%	3.29%	-0.32%	0.68%	0.73%	0.13%
2016	9	0.84%	0.95%	0.01%	$10,662	$10,695	$10,907	0.02%	0.92%	3.13%	-0.46%	0.30%	0.01%
2016	10	-1.28%	-1.46%	-1.83%	$10,526	$10,538	$10,707	-2.20%	3.95%	-1.37%	-1.09%	-2.92%	-1.83%
2016	11	4.74%	4.16%	3.70%	$11,025	$10,977	$11,103	8.87%	-1.93%	-1.56%	6.00%	10.21%	3.70%
2016	12	2.21%	2.01%	1.96%	$11,268	$11,198	$11,321	0.67%	2.61%	1.76%	2.73%	2.86%	1.96%
2017	1	1.68%	2.03%	1.88%	$11,458	$11,425	$11,534	0.44%	3.34%	3.98%	0.49%	0.65%	1.88%
2017	2	2.43%	2.53%	3.96%	$11,736	$11,714	$11,992	1.57%	4.08%	1.56%	3.58%	2.01%	3.96%
2017	3	0.51%	0.76%	0.10%	$11,795	$11,803	$12,004	0.82%	2.26%	2.20%	-0.92%	-0.72%	0.10%
2017	4	1.43%	1.69%	1.02%	$11,964	$12,002	$12,126	1.38%	3.70%	3.04%	-0.03%	0.40%	1.02%
2017	5	-0.09%	0.24%	1.39%	$11,953	$12,031	$12,295	-2.88%	2.73%	2.53%	0.06%	-2.40%	1.39%
2017	6	1.75%	1.46%	0.61%	$12,163	$12,206	$12,370	2.44%	0.48%	1.21%	1.80%	2.44%	0.61%
2017	7	1.98%	2.10%	2.04%	$12,403	$12,463	$12,623	1.02%	3.66%	3.27%	1.54%	1.02%	2.04%
2017	8	-0.31%	-0.12%	0.29%	$12,365	$12,448	$12,660	-0.70%	1.35%	0.53%	-0.47%	-1.46%	0.29%
2017	9	3.71%	3.47%	2.06%	$12,823	$12,881	$12,920	6.30%	1.71%	2.53%	2.98%	4.95%	2.06%
2017	10	1.31%	1.43%	2.32%	$12,991	$13,064	$13,220	-0.26%	2.34%	1.75%	1.83%	0.86%	2.32%
2017	11	3.35%	3.24%	3.06%	$13,426	$13,487	$13,624	10.20%	-0.61%	0.93%	3.52%	3.17%	3.06%
2017	12	1.88%	1.75%	1.10%	$13,679	$13,722	$13,774	3.27%	2.40%	2.42%	1.65%	0.50%	1.10%
2018	1	3.85%	4.10%	5.71%	$14,205	$14,285	$14,561	5.37%	3.24%	4.23%	4.71%	1.93%	5.71%
2018	2	-4.07%	-3.88%	-3.69%	$13,627	$13,730	$14,023	-3.15%	-2.61%	-4.19%	-4.44%	-4.74%	-3.69%
2018	3	-1.17%	-1.21%	-2.56%	$13,467	$13,564	$13,665	-3.47%	-1.60%	-0.25%	-2.45%	0.82%	-2.56%
2018	4	0.20%	0.19%	0.37%	$13,495	$13,591	$13,716	-1.49%	0.34%	0.75%	0.42%	0.40%	0.37%
2018	5	1.13%	1.58%	2.39%	$13,647	$13,805	$14,044	3.09%	-2.90%	-1.27%	0.61%	4.52%	2.39%
2018	6	-0.32%	-0.22%	0.61%	$13,603	$13,774	$14,129	1.68%	-2.03%	-2.13%	0.20%	0.36%	0.61%
2018	7	2.54%	2.31%	3.71%	$13,949	$14,092	$14,653	2.42%	2.18%	0.72%	4.65%	2.49%	3.71%
2018	8	0.57%	0.91%	3.25%	$14,029	$14,221	$15,129	1.50%	-2.92%	-1.82%	1.90%	2.41%	3.25%
2018	9	-0.72%	-0.74%	0.55%	$13,927	$14,116	$15,213	-3.81%	0.85%	0.15%	0.62%	-1.67%	0.55%
2018	10	-8.06%	-8.53%	-6.85%	$12,805	$12,912	$14,171	-7.51%	-10.27%	-9.59%	-4.98%	-9.05%	-6.85%
2018	11	1.38%	1.06%	2.03%	$12,982	$13,049	$14,458	0.80%	-2.56%	0.35%	3.27%	2.35%	2.03%
2018	12	-9.49%	-9.47%	-9.04%	$11,750	$11,813	$13,151	-12.77%	-6.16%	-7.18%	-9.12%	-11.41%	-9.04%
2019	1	9.92%	10.18%	8.00%	$12,916	$13,016	$14,204	14.55%	11.89%	8.08%	6.95%	11.16%	8.00%
2019	2	2.66%	2.74%	3.20%	$13,259	$13,372	$14,658	1.89%	1.97%	1.86%	2.86%	3.99%	3.20%
2019	3	-0.84%	-0.50%	1.94%	$13,148	$13,306	$14,942	-1.51%	-1.41%	-0.45%	0.57%	-1.92%	1.94%
2019	4	3.50%	3.67%	4.04%	$13,608	$13,794	$15,546	4.34%	3.87%	2.57%	3.36%	3.91%	4.04%
2019	5	-8.43%	-8.43%	-6.36%	$12,461	$12,631	$14,556	-13.99%	-12.00%	-5.99%	-6.33%	-8.13%	-6.36%
2019	6	6.72%	6.70%	7.03%	$13,299	$13,477	$15,580	9.49%	6.50%	4.75%	7.11%	6.84%	7.03%
2019	7	-0.21%	-0.06%	1.43%	$13,271	$13,469	$15,802	1.37%	-2.93%	-2.08%	0.83%	0.75%	1.43%
2019	8	-4.17%	-3.82%	-1.59%	$12,717	$12,954	$15,551	-7.52%	-3.08%	-2.45%	-2.97%	-5.44%	-1.59%
2019	9	4.24%	3.82%	1.86%	$13,257	$13,450	$15,840	6.45%	6.66%	3.05%	3.46%	3.98%	1.86%
2019	10	3.23%	3.30%	2.15%	$13,685	$13,893	$16,181	5.20%	5.34%	4.04%	1.90%	1.75%	2.15%
2019	11	2.62%	2.66%	3.62%	$14,043	$14,263	$16,767	3.23%	1.31%	2.10%	3.44%	2.48%	3.62%
2019	12	2.94%	3.03%	3.01%	$14,457	$14,695	$17,271	1.36%	3.42%	4.18%	2.64%	2.78%	3.01%
2020	1	-4.22%	-3.60%	-0.05%	$13,847	$14,166	$17,262	-6.34%	-5.10%	-5.14%	-2.50%	-3.37%	-0.05%
2020	2	-10.11%	-9.73%	-8.24%	$12,447	$12,788	$15,840	-11.34%	-9.76%	-9.86%	-9.71%	-10.18%	-8.24%
2020	3	-20.19%	-19.48%	-12.37%	$9,934	$10,297	$13,880	-28.02%	-17.03%	-17.41%	-14.87%	-25.08%	-12.37%
2020	4	11.76%	12.30%	12.81%	$11,102	$11,564	$15,659	16.12%	9.10%	9.97%	10.67%	13.11%	12.81%
2020	5	4.68%	5.15%	4.76%	$11,622	$12,159	$16,403	4.56%	6.32%	5.81%	2.88%	4.80%	4.76%
2020	6	1.06%	1.79%	1.98%	$11,746	$12,377	$16,728	2.48%	0.91%	1.26%	-1.02%	2.05%	1.98%
2020	7	2.79%	3.26%	5.63%	$12,074	$12,781	$17,669	4.19%	-1.78%	2.32%	3.74%	3.29%	5.63%
2020	8	5.35%	6.11%	7.18%	$12,720	$13,562	$18,937	4.24%	8.24%	6.85%	4.18%	4.63%	7.18%
2020	9	-1.83%	-2.24%	-3.81%	$12,487	$13,258	$18,215	0.77%	-2.93%	-0.70%	-2.22%	-3.71%	-3.81%
2020	10	-1.20%	-1.42%	-2.67%	$12,337	$13,071	$17,729	-3.02%	-4.35%	-2.58%	-1.82%	3.14%	-2.67%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2	Portfolio 3
Large-cap Value	17.96%	5.83%	44.70%
Large-cap Growth	2.10%	13.88%	55.19%
Mid-cap Value	37.51%	38.00%	0.00%
Mid-cap Growth	0.00%	0.00%	0.00%
Small-cap Value	8.98%	9.30%	0.11%
Small-cap Growth	0.00%	0.00%	0.00%
Global ex-US Developed Markets	30.12%	29.38%	0.00%
Emerging Markets	3.32%	3.61%	0.00%
Corporate Bonds	0.00%	0.00%	0.00%
Long-Term Treasuries	0.00%	0.00%	0.00%
Intermediate-Term Treasuries	0.00%	0.00%	0.00%
Short-Term Treasuries	0.00%	0.00%	0.00%
R Squared	98.32%	98.31%	99.94%
Style analysis is based on monthly returns from Jan 2015 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
Ticker	Name	Category	Weight	ER	P/E	Return Contribution	Risk Contribution
QVAL	Alpha Architect US Quantitative Val ETF	Mid-Cap Value	15.00%	0.49%	13.75	$118	19.60%
IVAL	Alpha Architect Intl Quant Val ETF	Foreign Large Value	10.00%	0.59%	12.39	$68.77	9.62%
FNDC	Schwab Fundamental Intl Sm Co ETF	Foreign Small/Mid Blend	25.00%	0.39%	14.46	$612	21.92%
VTV	Vanguard Value ETF	Large Value	25.00%	0.04%	18.60	$980	20.96%
VBR	Vanguard Small-Cap Value ETF	Small Value	25.00%	0.07%	15.63	$559	27.90%
			100.00%	0.26%	15.47	$2,337	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	ER	P/E	Return Contribution	Risk Contribution
QVAL	Alpha Architect US Quantitative Val ETF	Mid-Cap Value	15.00%	0.49%	13.75	$122	19.49%
IVAL	Alpha Architect Intl Quant Val ETF	Foreign Large Value	10.00%	0.59%	12.39	$64.93	9.67%
FNDC	Schwab Fundamental Intl Sm Co ETF	Foreign Small/Mid Blend	25.00%	0.39%	14.46	$617	22.03%
VFINX	Vanguard 500 Index Investor	Large Blend	25.00%	0.14%	25.27	$1,695	21.07%
VBR	Vanguard Small-Cap Value ETF	Small Value	25.00%	0.07%	15.63	$572	27.74%
			100.00%	0.28%	17.14	$3,071	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	ER	P/E	Return Contribution	Risk Contribution
VFINX	Vanguard 500 Index Investor	Large Blend	100.00%	0.14%	25.27	$7,729	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

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
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	0.42%	0.50%	0.91%
Arithmetic Mean (annualized)	5.11%	6.15%	11.47%
Geometric Mean (monthly)	0.30%	0.38%	0.82%
Geometric Mean (annualized)	3.67%	4.70%	10.31%
Volatility (monthly)	4.75%	4.75%	4.21%
Volatility (annualized)	16.46%	16.45%	14.57%
Downside Deviation (monthly)	3.57%	3.49%	2.73%
Max. Drawdown	-31.29%	-29.93%	-19.63%
US Market Correlation	0.95	0.96	1.00
Beta^(*)	1.05	1.06	0.97
Alpha (annualized)	-6.19%	-5.32%	0.56%
R²	91.17%	93.09%	99.39%
Sharpe Ratio	0.24	0.30	0.68
Sortino Ratio	0.32	0.41	1.03
Treynor Ratio (%)	3.85	4.75	10.28
Calmar Ratio	-0.05	0.00	0.52
Active Return	-6.34%	-5.31%	0.31%
Tracking Error	4.94%	4.40%	1.25%
Information Ratio	-1.28	-1.21	0.25
Skewness	-1.25	-1.12	-0.45
Excess Kurtosis	4.70	4.20	1.51
Historical Value-at-Risk (5%)	-8.91%	-8.95%	-7.48%
Analytical Value-at-Risk (5%)	-7.35%	-7.27%	-6.01%
Conditional Value-at-Risk (5%)	-13.26%	-12.89%	-9.88%
Upside Capture Ratio (%)	84.01	87.56	99.29
Downside Capture Ratio (%)	115.07	113.83	97.29
Safe Withdrawal Rate	22.82%	22.92%	24.31%
Perpetual Withdrawal Rate	2.12%	3.24%	8.96%
Positive Periods	43 out of 70 (61.43%)	44 out of 70 (62.86%)	50 out of 70 (71.43%)
Gain/Loss Ratio	0.81	0.80	0.71
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months				-31.29%
2	Feb 2018	Dec 2018	11 months	Dec 2019	1 year	1 year 11 months	-17.28%
3	Jun 2015	Jan 2016	8 months	Sep 2016	8 months	1 year 4 months	-13.47%
4	Jan 2015	Jan 2015	1 month	Feb 2015	1 month	2 months	-2.01%
5	Oct 2016	Oct 2016	1 month	Nov 2016	1 month	2 months	-1.28%
6	Aug 2017	Aug 2017	1 month	Sep 2017	1 month	2 months	-0.31%
7	Mar 2015	Mar 2015	1 month	Apr 2015	1 month	2 months	-0.30%
8	May 2017	May 2017	1 month	Jun 2017	1 month	2 months	-0.09%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months				-29.93%
2	Feb 2018	Dec 2018	11 months	Dec 2019	1 year	1 year 11 months	-17.30%
3	Jun 2015	Jan 2016	8 months	Sep 2016	8 months	1 year 4 months	-13.26%
4	Jan 2015	Jan 2015	1 month	Feb 2015	1 month	2 months	-1.74%
5	Oct 2016	Oct 2016	1 month	Nov 2016	1 month	2 months	-1.46%
6	Mar 2015	Mar 2015	1 month	Apr 2015	1 month	2 months	-0.37%
7	Aug 2017	Aug 2017	1 month	Sep 2017	1 month	2 months	-0.12%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
2	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
3	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
4	Sep 2020	Oct 2020	2 months				-6.38%
5	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
6	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
7	Jan 2015	Jan 2015	1 month	Feb 2015	1 month	2 months	-3.02%
8	Jun 2015	Jun 2015	1 month	Jul 2015	1 month	2 months	-1.93%
9	Oct 2016	Oct 2016	1 month	Nov 2016	1 month	2 months	-1.83%
10	Mar 2015	Mar 2015	1 month	May 2015	2 months	3 months	-1.59%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
QVAL	Alpha Architect US Quantitative Val ETF	-0.08%	22.63%	25.59%	-21.06%	-42.00%	0.07	0.09	0.88
IVAL	Alpha Architect Intl Quant Val ETF	1.13%	17.74%	31.02%	-22.50%	-35.31%	0.10	0.13	0.83
FNDC	Schwab Fundamental Intl Sm Co ETF	4.11%	15.33%	29.20%	-19.13%	-33.94%	0.28	0.37	0.89
VTV	Vanguard Value ETF	6.12%	14.36%	25.65%	-12.38%	-25.07%	0.42	0.58	0.97
VBR	Vanguard Small-Cap Value ETF	3.31%	19.05%	24.90%	-15.58%	-35.27%	0.22	0.29	0.92
VFINX	Vanguard 500 Index Investor	10.31%	14.57%	31.33%	-4.52%	-19.63%	0.68	1.03	1.00

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	QVAL	IVAL	FNDC	VTV	VBR	VFINX	Portfolio 1	Portfolio 2	Portfolio 3
QVAL	Alpha Architect US Quantitative Val ETF	1.00	0.80	0.84	0.90	0.93	0.86	0.95	0.95	0.86
IVAL	Alpha Architect Intl Quant Val ETF	0.80	1.00	0.94	0.81	0.78	0.83	0.89	0.90	0.83
FNDC	Schwab Fundamental Intl Sm Co ETF	0.84	0.94	1.00	0.87	0.85	0.88	0.94	0.95	0.88
VTV	Vanguard Value ETF	0.90	0.81	0.87	1.00	0.93	0.96	0.96	0.96	0.96
VBR	Vanguard Small-Cap Value ETF	0.93	0.78	0.85	0.93	1.00	0.90	0.97	0.96	0.90
VFINX	Vanguard 500 Index Investor	0.86	0.83	0.88	0.96	0.90	1.00	0.94	0.95	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
QVAL	Alpha Architect US Quantitative Val ETF	$118	$122
IVAL	Alpha Architect Intl Quant Val ETF	$68.77	$64.93
FNDC	Schwab Fundamental Intl Sm Co ETF	$612	$617
VTV	Vanguard Value ETF	$980
VBR	Vanguard Small-Cap Value ETF	$559	$572
VFINX	Vanguard 500 Index Investor		$1,695	$7,729

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
QVAL	Alpha Architect US Quantitative Val ETF	19.60%	19.49%
IVAL	Alpha Architect Intl Quant Val ETF	9.62%	9.67%
FNDC	Schwab Fundamental Intl Sm Co ETF	21.92%	22.03%
VTV	Vanguard Value ETF	20.96%
VBR	Vanguard Small-Cap Value ETF	27.90%	27.74%
VFINX	Vanguard 500 Index Investor		21.07%	100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	8.68%	23.03%	-14.10%	9.06%	24.40%	-13.92%	12.31%	31.33%	-4.52%
3 years	8.71%	11.01%	6.47%	9.02%	11.12%	6.46%	11.83%	15.12%	9.11%
5 years	7.65%	7.65%	7.65%	8.00%	8.00%	8.00%	11.55%	11.55%	11.55%
Result statistics are based on annualized rolling returns over full calendar year periods