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 (Mar 1993 - Jun 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$117,026 9.42% 15.03%35.79%-37.04%-50.89% 0.520.741.00
Portfolio 2$10,000$122,753 9.61% 19.99%59.40%-36.79%-61.18% 0.440.630.85
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 122.06%-3.44%6.35%9.92%9.90%13.60%9.42%
Portfolio 222.26%-25.45%-20.34%-6.52%-1.56%7.70%9.61%
Trailing returns are for full months ending in June 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 1993 are based on monthly returns from March to December
  • The annual results for 2020 are based on monthly returns from January to June
  • 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
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19931.89%9.02%13.62%$10,902$11,3629.02%13.62%
19942.67%-0.17%1.23%$10,883$11,502-0.17%1.23%
19952.54%35.79%29.28%$14,778$14,87035.79%29.28%
19963.32%20.96%22.33%$17,875$18,18920.96%22.33%
19971.70%30.99%30.75%$23,416$23,78230.99%30.75%
19981.61%23.26%-7.30%$28,863$22,04623.26%-7.30%
19992.68%23.81%13.05%$35,737$24,92223.81%13.05%
20003.39%-10.57%9.01%$31,958$27,167-10.57%9.01%
20011.55%-10.97%22.65%$28,453$33,321-10.97%22.65%
20022.38%-20.96%-9.27%$22,489$30,233-20.96%-9.27%
20031.88%31.35%59.40%$29,540$48,19331.35%59.40%
20043.26%12.51%25.39%$33,237$60,42912.51%25.39%
20053.42%5.98%7.79%$35,225$65,1365.98%7.79%
20062.54%15.51%21.55%$40,688$79,17215.51%21.55%
20074.08%5.49%-10.75%$42,922$70,6655.49%-10.75%
20080.09%-37.04%-36.79%$27,025$44,670-37.04%-36.79%
20092.72%28.70%33.62%$34,780$59,68928.70%33.62%
20101.50%17.09%30.90%$40,725$78,13517.09%30.90%
20112.96%0.96%-7.55%$41,117$72,2390.96%-7.55%
20121.74%16.25%21.72%$47,800$87,93216.25%21.72%
20131.50%33.35%42.38%$63,741$125,20033.35%42.38%
20140.76%12.43%3.48%$71,664$129,55812.43%3.48%
20150.73%0.29%-7.81%$71,874$119,4360.29%-7.81%
20162.07%12.53%28.26%$80,882$153,19212.53%28.26%
20172.11%21.05%7.21%$97,909$164,24121.05%7.21%
20181.91%-5.26%-15.13%$92,763$139,395-5.26%-15.13%
20192.29%30.65%18.12%$121,194$164,65830.65%18.12%
20200.32%-3.44%-25.45%$117,026$122,753-3.44%-25.45%
Annual returns for 1993 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199332.46%-0.80%$10,246$9,9202.46%-0.80%
19934-2.77%-2.12%$9,963$9,710-2.77%-2.12%
199353.03%2.68%$10,265$9,9703.03%2.68%
199360.55%0.00%$10,321$9,9700.55%0.00%
19937-0.27%3.01%$10,293$10,270-0.27%3.01%
199383.93%3.21%$10,698$10,6003.93%3.21%
199390.01%3.49%$10,698$10,9700.01%3.49%
1993101.64%3.37%$10,874$11,3401.64%3.37%
199311-1.62%-1.77%$10,698$11,139-1.62%-1.77%
1993121.90%2.00%$10,902$11,3621.90%2.00%
199413.08%5.16%$11,237$11,9483.08%5.16%
19942-2.24%-0.34%$10,985$11,908-2.24%-0.34%
19943-4.44%-3.31%$10,498$11,513-4.44%-3.31%
199440.89%0.70%$10,591$11,5940.89%0.70%
199450.97%0.26%$10,694$11,6250.97%0.26%
19946-2.73%-1.83%$10,403$11,412-2.73%-1.83%
199473.08%1.68%$10,723$11,6043.08%1.68%
199484.39%3.40%$11,194$11,9994.39%3.40%
19949-1.85%-0.34%$10,987$11,959-1.85%-0.34%
1994101.55%-1.44%$11,158$11,7871.55%-1.44%
199411-3.65%-3.43%$10,750$11,383-3.65%-3.43%
1994121.23%1.05%$10,883$11,5021.23%1.05%
199512.20%0.98%$11,122$11,6142.20%0.98%
199524.04%3.53%$11,572$12,0244.04%3.53%
199532.65%1.19%$11,879$12,1672.65%1.19%
199542.51%3.54%$12,178$12,5982.51%3.54%
199553.48%2.76%$12,601$12,9463.48%2.76%
199562.98%3.96%$12,976$13,4582.98%3.96%
199574.02%5.40%$13,498$14,1854.02%5.40%
199581.07%3.18%$13,643$14,6361.07%3.18%
199593.61%1.26%$14,136$14,8203.61%1.26%
199510-1.17%-4.91%$13,971$14,093-1.17%-4.91%
1995114.17%3.72%$14,553$14,6174.17%3.72%
1995121.54%1.73%$14,778$14,8701.54%1.73%
199612.66%-0.35%$15,171$14,8172.66%-0.35%
199621.62%2.19%$15,416$15,1421.62%2.19%
199631.14%2.76%$15,593$15,5601.14%2.76%
199642.41%5.18%$15,968$16,3662.41%5.18%
199652.66%3.90%$16,393$17,0042.66%3.90%
19966-0.84%-2.09%$16,255$16,648-0.84%-2.09%
19967-5.37%-6.22%$15,382$15,612-5.37%-6.22%
199683.09%4.56%$15,858$16,3243.09%4.56%
199695.38%3.33%$16,712$16,8685.38%3.33%
1996101.43%0.74%$16,950$16,9941.43%0.74%
1996116.81%4.74%$18,105$17,7996.81%4.74%
199612-1.27%2.19%$17,875$18,189-1.27%2.19%
199715.46%2.54%$18,851$18,6525.46%2.54%
19972-0.11%0.00%$18,831$18,652-0.11%0.00%
19973-4.45%-2.65%$17,992$18,157-4.45%-2.65%
199744.50%-0.41%$18,801$18,0824.50%-0.41%
199757.10%9.46%$20,136$19,7927.10%9.46%
199764.37%6.25%$21,016$21,0294.37%6.25%
199777.77%5.98%$22,649$22,2877.77%5.98%
19978-3.72%3.52%$21,807$23,073-3.72%3.52%
199795.77%7.69%$23,065$24,8475.77%7.69%
199710-3.40%-3.55%$22,282$23,965-3.40%-3.55%
1997113.33%-0.85%$23,025$23,7613.33%-0.85%
1997121.70%0.09%$23,416$23,7821.70%0.09%
199810.44%-1.23%$23,519$23,4880.44%-1.23%
199827.34%7.54%$25,246$25,2607.34%7.54%
199835.06%4.07%$26,524$26,2875.06%4.07%
199841.10%1.93%$26,815$26,7951.10%1.93%
19985-2.71%-3.83%$26,088$25,768-2.71%-3.83%
199863.54%-1.97%$27,013$25,2603.54%-1.97%
19987-2.27%-7.37%$26,399$23,398-2.27%-7.37%
19988-15.65%-18.43%$22,266$19,086-15.65%-18.43%
199896.68%2.84%$23,753$19,6286.68%2.84%
1998107.51%4.26%$25,538$20,4637.51%4.26%
1998116.17%5.30%$27,114$21,5476.17%5.30%
1998126.45%2.32%$28,863$22,0466.45%2.32%
199913.65%1.56%$29,916$22,3903.65%1.56%
19992-3.73%-8.24%$28,800$20,546-3.73%-8.24%
199933.93%-1.92%$29,933$20,1523.93%-1.92%
199944.68%10.68%$31,333$22,3044.68%10.68%
19995-2.00%4.69%$30,707$23,349-2.00%4.69%
199965.16%6.11%$32,292$24,7755.16%6.11%
19997-3.20%-0.45%$31,260$24,665-3.20%-0.45%
19998-0.92%-2.74%$30,972$23,988-0.92%-2.74%
19999-2.44%-2.67%$30,217$23,349-2.44%-2.67%
1999106.29%-3.42%$32,117$22,5506.29%-3.42%
1999113.42%4.53%$33,216$23,5703.42%4.53%
1999127.59%5.73%$35,737$24,9227.59%5.73%
20001-4.18%-0.75%$34,241$24,734-4.18%-0.75%
200022.54%9.28%$35,113$27,0292.54%9.28%
200035.69%0.30%$37,109$27,1095.69%0.30%
20004-5.21%-3.51%$35,177$26,157-5.21%-3.51%
20005-3.41%-4.16%$33,978$25,070-3.41%-4.16%
200064.42%4.98%$35,480$26,3184.42%4.98%
20007-1.95%-0.10%$34,787$26,291-1.95%-0.10%
200087.28%7.40%$37,320$28,2377.28%7.40%
20009-4.67%-1.85%$35,577$27,713-4.67%-1.85%
200010-2.04%-3.78%$34,850$26,667-2.04%-3.78%
200011-9.90%-5.44%$31,398$25,217-9.90%-5.44%
2000121.78%7.73%$31,958$27,1671.78%7.73%
200113.83%10.31%$33,181$29,9703.83%10.31%
20012-9.41%-1.92%$30,057$29,394-9.41%-1.92%
20013-6.72%-2.46%$28,037$28,672-6.72%-2.46%
200148.16%6.12%$30,326$30,4278.16%6.12%
200151.01%6.16%$30,633$32,3001.01%6.16%
20016-1.64%3.74%$30,132$33,509-1.64%3.74%
20017-1.71%-1.63%$29,616$32,964-1.71%-1.63%
20018-6.00%-1.34%$27,838$32,521-6.00%-1.34%
20019-9.00%-14.56%$25,333$27,787-9.00%-14.56%
2001102.52%3.93%$25,972$28,8782.52%3.93%
2001117.63%7.81%$27,955$31,1357.63%7.81%
2001121.78%7.02%$28,453$33,3211.78%7.02%
20021-1.24%1.54%$28,099$33,835-1.24%1.54%
20022-2.05%-0.16%$27,525$33,782-2.05%-0.16%
200234.38%9.86%$28,729$37,1124.38%9.86%
20024-4.90%4.53%$27,322$38,795-4.90%4.53%
20025-1.22%-3.15%$26,989$37,573-1.22%-3.15%
20026-7.06%-2.07%$25,083$36,794-7.06%-2.07%
20027-8.02%-15.60%$23,071$31,054-8.02%-15.60%
200280.53%-1.25%$23,194$30,6640.53%-1.25%
20029-10.07%-7.28%$20,859$28,432-10.07%-7.28%
2002107.65%1.62%$22,454$28,8937.65%1.62%
2002116.06%8.52%$23,815$31,3556.06%8.52%
200212-5.57%-3.58%$22,489$30,233-5.57%-3.58%
20031-2.54%-3.45%$21,918$29,191-2.54%-3.45%
20032-1.69%-4.11%$21,548$27,991-1.69%-4.11%
200331.09%-0.21%$21,782$27,9321.09%-0.21%
200348.21%10.56%$23,570$30,8828.21%10.56%
200356.11%11.72%$25,009$34,5026.11%11.72%
200361.43%3.65%$25,368$35,7601.43%3.65%
200372.36%7.04%$25,965$38,2782.36%7.04%
200382.39%5.14%$26,586$40,2452.39%5.14%
20039-1.15%-0.78%$26,281$39,931-1.15%-0.78%
2003106.12%10.00%$27,889$43,9246.12%10.00%
2003111.38%4.16%$28,273$45,7531.38%4.16%
2003124.48%5.33%$29,540$48,1934.48%5.33%
200412.23%4.89%$30,199$50,5492.23%4.89%
200421.43%1.41%$30,631$51,2641.43%1.41%
20043-1.07%0.94%$30,303$51,748-1.07%0.94%
20044-2.11%-3.17%$29,665$50,107-2.11%-3.17%
200451.35%0.38%$30,064$50,2961.35%0.38%
200462.09%6.69%$30,691$53,6632.09%6.69%
20047-3.80%-5.33%$29,525$50,801-3.80%-5.33%
200480.31%-1.49%$29,616$50,0430.31%-1.49%
200491.74%4.93%$30,131$52,5101.74%4.93%
2004101.68%0.96%$30,636$53,0151.68%0.96%
2004114.68%10.00%$32,071$58,3184.68%10.00%
2004123.63%3.62%$33,237$60,4293.63%3.62%
20051-2.68%-3.57%$32,347$58,271-2.68%-3.57%
200522.07%2.70%$33,018$59,8452.07%2.70%
20053-1.75%-1.95%$32,441$58,677-1.75%-1.95%
20054-2.32%-7.28%$31,687$54,405-2.32%-7.28%
200553.77%6.65%$32,881$58,0253.77%6.65%
200560.81%4.17%$33,148$60,4460.81%4.17%
200574.11%7.11%$34,509$64,7464.11%7.11%
20058-0.94%-1.67%$34,183$63,665-0.94%-1.67%
200590.86%0.80%$34,476$64,1720.86%0.80%
200510-1.86%-2.92%$33,834$62,297-1.86%-2.92%
2005113.97%4.21%$35,177$64,9183.97%4.21%
2005120.14%0.34%$35,225$65,1360.14%0.34%
200613.50%8.82%$36,458$70,8833.50%8.82%
200620.00%-0.35%$36,458$70,6370.00%-0.35%
200631.80%6.09%$37,115$74,9421.80%6.09%
200641.11%0.98%$37,527$75,6801.11%0.98%
20065-3.23%-4.39%$36,313$72,360-3.23%-4.39%
200660.17%0.05%$36,376$72,3950.17%0.05%
20067-0.13%-3.75%$36,328$69,683-0.13%-3.75%
200682.31%1.95%$37,168$71,0392.31%1.95%
200692.27%1.19%$38,011$71,8862.27%1.19%
2006103.53%5.43%$39,353$75,7923.53%5.43%
2006112.23%3.03%$40,232$78,0912.23%3.03%
2006121.13%1.38%$40,688$79,1721.13%1.38%
200711.88%2.20%$41,452$80,9141.88%2.20%
20072-1.61%-0.23%$40,784$80,727-1.61%-0.23%
200731.11%1.09%$41,236$81,6041.11%1.09%
200744.01%1.81%$42,890$83,0794.01%1.81%
200753.69%3.65%$44,471$86,1093.69%3.65%
20076-1.67%-1.55%$43,728$84,778-1.67%-1.55%
20077-3.41%-7.64%$42,237$78,298-3.41%-7.64%
200781.45%-0.76%$42,851$77,7061.45%-0.76%
200793.59%-0.28%$44,390$77,4923.59%-0.28%
2007101.85%1.11%$45,211$78,3561.85%1.11%
200711-4.49%-8.72%$43,183$71,525-4.49%-8.72%
200712-0.60%-1.20%$42,922$70,665-0.60%-1.20%
20081-6.08%-3.94%$40,312$67,878-6.08%-3.94%
20082-3.07%-2.84%$39,074$65,952-3.07%-2.84%
20083-0.58%0.84%$38,846$66,509-0.58%0.84%
200845.02%1.66%$40,797$67,6105.02%1.66%
200852.09%4.14%$41,651$70,4072.09%4.14%
20086-8.19%-10.10%$38,239$63,293-8.19%-10.10%
20087-0.77%2.07%$37,945$64,605-0.77%2.07%
200881.58%4.15%$38,545$67,2871.58%4.15%
20089-9.26%-6.89%$34,974$62,649-9.26%-6.89%
200810-17.63%-22.14%$28,809$48,780-17.63%-22.14%
200811-7.90%-12.99%$26,532$42,443-7.90%-12.99%
2008121.86%5.25%$27,025$44,6701.86%5.25%
20091-8.26%-14.28%$24,793$38,293-8.26%-14.28%
20092-10.45%-12.71%$22,202$33,427-10.45%-12.71%
200938.65%10.40%$24,124$36,9038.65%10.40%
2009410.61%19.66%$26,682$44,15710.61%19.66%
200955.38%3.22%$28,117$45,5775.38%3.22%
200960.34%0.35%$28,214$45,7380.34%0.35%
200977.82%13.44%$30,421$51,8877.82%13.44%
200983.63%5.14%$31,524$54,5533.63%5.14%
200994.23%6.33%$32,857$58,0084.23%6.33%
200910-2.57%-7.53%$32,013$53,641-2.57%-7.53%
2009115.63%3.11%$33,814$55,3095.63%3.11%
2009122.86%7.92%$34,780$59,6892.86%7.92%
20101-3.50%-3.16%$33,564$57,804-3.50%-3.16%
201023.36%6.15%$34,692$61,3623.36%6.15%
201036.27%8.86%$36,867$66,7996.27%8.86%
201042.17%8.11%$37,668$72,2132.17%8.11%
20105-8.00%-9.90%$34,654$65,065-8.00%-9.90%
20106-5.66%-10.14%$32,692$58,464-5.66%-10.14%
201076.99%8.69%$34,979$63,5446.99%8.69%
20108-4.75%-8.38%$33,318$58,221-4.75%-8.38%
201099.47%12.93%$36,473$65,7519.47%12.93%
2010103.94%4.17%$37,911$68,4923.94%4.17%
2010110.58%4.49%$38,129$71,5680.58%4.49%
2010126.81%9.18%$40,725$78,1356.81%9.18%
201112.19%0.31%$41,616$78,3792.19%0.31%
201123.60%6.28%$43,113$83,2993.60%6.28%
201130.45%2.05%$43,306$85,0100.45%2.05%
201142.99%1.26%$44,602$86,0802.99%1.26%
20115-1.16%-3.12%$44,084$83,391-1.16%-3.12%
20116-1.79%-1.81%$43,296$81,882-1.79%-1.81%
20117-2.28%-2.88%$42,307$79,527-2.28%-2.88%
20118-5.99%-10.58%$39,771$71,116-5.99%-10.58%
20119-7.75%-12.58%$36,688$62,171-7.75%-12.58%
20111011.51%15.82%$40,909$72,00711.51%15.82%
201111-0.29%-0.68%$40,792$71,517-0.29%-0.68%
2011120.80%1.01%$41,117$72,2390.80%1.01%
201215.08%7.43%$43,207$77,6045.08%7.43%
201224.26%3.18%$45,046$80,0684.26%3.18%
201233.07%2.30%$46,427$81,9083.07%2.30%
20124-0.65%-1.60%$46,124$80,598-0.65%-1.60%
20125-6.24%-7.12%$43,248$74,859-6.24%-7.12%
201263.91%4.38%$44,939$78,1393.91%4.38%
201271.03%-0.24%$45,402$77,9521.03%-0.24%
201282.48%4.21%$46,529$81,2362.48%4.21%
201292.58%3.31%$47,729$83,9292.58%3.31%
201210-1.76%-0.82%$46,890$83,240-1.76%-0.82%
2012110.74%1.84%$47,236$84,7750.74%1.84%
2012121.19%3.72%$47,800$87,9321.19%3.72%
201315.50%6.56%$50,429$93,7025.50%6.56%
201321.28%1.75%$51,073$95,3461.28%1.75%
201333.88%4.91%$53,055$100,0233.88%4.91%
201341.70%-1.11%$53,958$98,9161.70%-1.11%
201352.32%5.39%$55,211$104,2512.32%5.39%
20136-1.27%-0.70%$54,507$103,520-1.27%-0.70%
201375.49%7.34%$57,497$111,1135.49%7.34%
20138-2.82%-4.17%$55,874$106,477-2.82%-4.17%
201393.66%5.24%$57,921$112,0593.66%5.24%
2013104.22%3.51%$60,368$115,9954.22%3.51%
2013112.88%5.08%$62,107$121,8822.88%5.08%
2013122.63%2.72%$63,741$125,2002.63%2.72%
20141-3.11%-5.14%$61,761$118,765-3.11%-5.14%
201424.73%5.45%$64,684$125,2364.73%5.45%
201430.51%1.19%$65,016$126,7210.51%1.19%
201440.06%-1.93%$65,057$124,2810.06%-1.93%
201452.17%0.83%$66,470$125,3062.17%0.83%
201462.54%4.44%$68,156$130,8652.54%4.44%
20147-1.98%-5.76%$66,807$123,326-1.98%-5.76%
201484.18%5.83%$69,602$130,5114.18%5.83%
20149-2.14%-6.98%$68,115$121,405-2.14%-6.98%
2014102.74%4.61%$69,981$127,0082.74%4.61%
2014112.41%-0.28%$71,668$126,6532.41%-0.28%
201412-0.01%2.29%$71,664$129,558-0.01%2.29%
20151-2.77%-4.95%$69,677$123,148-2.77%-4.95%
201525.76%5.90%$73,692$130,4105.76%5.90%
20153-1.04%1.78%$72,928$132,725-1.04%1.78%
201540.42%-1.34%$73,235$130,9460.42%-1.34%
201551.39%1.36%$74,253$132,7251.39%1.36%
20156-1.71%0.05%$72,984$132,792-1.71%0.05%
201571.63%-3.67%$74,174$127,9241.63%-3.67%
20158-6.03%-4.04%$69,705$122,760-6.03%-4.04%
20159-2.93%-4.51%$67,660$117,226-2.93%-4.51%
2015107.84%5.28%$72,968$123,4197.84%5.28%
2015110.54%3.17%$73,362$127,3360.54%3.17%
201512-2.03%-6.20%$71,874$119,436-2.03%-6.20%
20161-5.67%-7.18%$67,798$110,858-5.67%-7.18%
20162-0.04%1.17%$67,770$112,150-0.04%1.17%
201637.01%8.77%$72,521$121,9827.01%8.77%
201640.63%1.80%$72,976$124,1800.63%1.80%
201651.79%0.47%$74,284$124,7691.79%0.47%
201660.23%-1.16%$74,452$123,3240.23%-1.16%
201673.95%4.85%$77,392$129,3073.95%4.85%
201680.26%1.74%$77,592$131,5510.26%1.74%
201690.15%1.21%$77,709$133,1380.15%1.21%
201610-2.21%-3.14%$75,988$128,963-2.21%-3.14%
2016114.44%14.87%$79,358$148,1414.44%14.87%
2016121.92%3.41%$80,882$153,1921.92%3.41%
201711.91%-0.53%$82,426$152,3731.91%-0.53%
201723.71%0.32%$85,485$152,8643.71%0.32%
201730.07%-1.14%$85,542$151,1260.07%-1.14%
201741.05%0.46%$86,440$151,8231.05%0.46%
201751.01%-3.51%$87,309$146,4951.01%-3.51%
201760.92%2.59%$88,114$150,2840.92%2.59%
201771.87%0.77%$89,758$151,4341.87%0.77%
201780.15%-2.55%$89,889$147,5730.15%-2.55%
201792.45%7.92%$92,094$159,2572.45%7.92%
2017102.16%0.96%$94,081$160,7802.16%0.96%
2017113.04%2.12%$96,945$164,1963.04%2.12%
2017120.99%0.03%$97,909$164,2410.99%0.03%
201815.31%1.50%$103,106$166,7105.31%1.50%
20182-3.72%-4.68%$99,275$158,914-3.72%-4.68%
20183-1.99%0.93%$97,295$160,392-1.99%0.93%
201840.38%1.32%$97,664$162,5140.38%1.32%
201852.79%6.29%$100,390$172,7362.79%6.29%
201860.68%0.06%$101,071$172,8440.68%0.06%
201873.34%1.61%$104,444$175,6223.34%1.61%
201883.44%2.84%$108,039$180,6133.44%2.84%
201890.16%-3.19%$108,211$174,8510.16%-3.19%
201810-7.40%-9.41%$100,201$158,397-7.40%-9.41%
2018112.06%0.91%$102,267$159,8342.06%0.91%
201812-9.29%-12.79%$92,763$139,395-9.29%-12.79%
201918.59%12.00%$100,727$156,1228.59%12.00%
201923.50%3.27%$104,254$161,2333.50%3.27%
201931.44%-3.66%$105,751$155,3311.44%-3.66%
201943.98%4.04%$109,956$161,6133.98%4.04%
20195-6.45%-11.52%$102,867$143,000-6.45%-11.52%
201966.97%7.77%$110,036$154,1046.97%7.77%
201971.44%0.39%$111,619$154,7111.44%0.39%
20198-2.03%-8.00%$109,358$142,339-2.03%-8.00%
201991.70%5.96%$111,221$150,8181.70%5.96%
2019102.10%1.83%$113,552$153,5812.10%1.83%
2019113.77%3.17%$117,835$158,4523.77%3.17%
2019122.85%3.92%$121,194$164,6582.85%3.92%
20201-0.08%-6.88%$121,103$153,327-0.08%-6.88%
20202-8.18%-10.79%$111,198$136,785-8.18%-10.79%
20203-13.78%-26.60%$95,878$100,406-13.78%-26.60%
2020413.25%15.81%$108,579$116,27713.25%15.81%
202055.38%2.85%$114,418$119,5855.38%2.85%
202062.28%2.65%$117,026$122,7532.28%2.65%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value36.49%0.00%
Large-cap Growth45.06%0.00%
Mid-cap Value4.37%3.90%
Mid-cap Growth7.67%0.00%
Small-cap Value2.67%95.32%
Small-cap Growth3.02%0.00%
Global ex-US Developed Markets0.22%0.00%
Emerging Markets0.51%0.78%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.87%97.36%
Style analysis is based on monthly returns from Apr 2005 to Jun 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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%26.42$107,026100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value100.00%0.51%12.08$112,753100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/28/2020. (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)0.85%0.94%
Arithmetic Mean (annualized)10.67%11.85%
Geometric Mean (monthly)0.75%0.77%
Geometric Mean (annualized)9.42%9.61%
Volatility (monthly)4.34%5.77%
Volatility (annualized)15.03%19.99%
Downside Deviation (monthly)2.96%3.97%
Max. Drawdown-50.89%-61.18%
US Market Correlation1.000.85
Beta(*)1.001.13
Alpha (annualized)0.00%-0.30%
R2100.00%72.86%
Sharpe Ratio0.520.44
Sortino Ratio0.740.63
Treynor Ratio (%)7.797.81
Calmar Ratio0.47-0.15
Active Return-0.00%0.19%
Tracking Error0.00%10.61%
Information Ratio-0.010.02
Skewness-0.76-0.73
Excess Kurtosis1.582.64
Historical Value-at-Risk (5%)-7.84%-9.68%
Analytical Value-at-Risk (5%)-6.29%-8.55%
Conditional Value-at-Risk (5%)-10.19%-14.11%
Upside Capture Ratio (%)100.00112.79
Downside Capture Ratio (%)100.00114.68
Safe Withdrawal Rate8.89%11.18%
Perpetual Withdrawal Rate6.70%6.86%
Positive Periods216 out of 328 (65.85%)203 out of 328 (61.89%)
Gain/Loss Ratio0.850.94
* 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 1998-3.72%-5.47%
Russian Debt DefaultJul 1998Oct 1998-17.57%-24.44%
Dotcom CrashMar 2000Oct 2002-44.11%-26.71%
Subprime CrisisNov 2007Mar 2009-50.89%-57.34%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jan 2020Mar 20203 months-20.89%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
7Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
10May 2019May 20191 monthJun 20191 month2 months-6.45%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20123 years 10 months5 years 7 months-61.18%
2Sep 2018Mar 20201 year 7 months-44.41%
3May 1998Aug 19984 monthsFeb 20001 year 6 months1 year 10 months-28.77%
4May 2002Mar 200311 monthsAug 20035 months1 year 4 months-28.00%
5Jul 2001Sep 20013 monthsJan 20024 months7 months-17.08%
6Jul 2015Jan 20167 monthsSep 20168 months1 year 3 months-16.52%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-10.69%
8Jan 2005Apr 20054 monthsJun 20052 months6 months-9.97%
9Jun 1996Jul 19962 monthsNov 19964 months6 months-8.18%
10May 2006Jul 20063 monthsOct 20063 months6 months-7.92%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.42%15.03%35.79%-37.04%-50.89%0.520.741.00
DFSVXDFA US Small Cap Value I9.61%19.99%59.40%-36.79%-61.18%0.440.630.85

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXDFSVXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.851.000.85
DFSVXDFA US Small Cap Value I0.851.000.851.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$107,026
DFSVXDFA US Small Cap Value I$112,753

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
DFSVXDFA US Small Cap Value I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.31%35.79%-37.04%12.83%59.40%-36.79%
3 years9.90%29.10%-14.31%11.54%29.16%-11.81%
5 years8.90%26.84%-1.76%11.09%22.89%-1.82%
7 years7.95%16.61%-0.73%11.16%17.95%2.58%
10 years7.34%13.30%-0.66%10.96%18.05%6.25%
15 years6.84%10.30%4.75%10.23%12.28%6.91%
Result statistics are based on annualized rolling returns over full calendar year periods