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 
Asset 1
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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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Asset 11
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Asset 12
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Asset 13
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Asset 14
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Asset 15
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Portfolio Analysis Results (Jan 2008 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFUSX DFA US Large Company I 20.00%
DFLVX DFA US Large Cap Value I 20.00%
DFSCX DFA US Micro Cap I 10.00%
DFSVX DFA US Small Cap Value I 10.00%
DFREX DFA Real Estate Securities I 10.00%
DFIVX DFA International Value I 10.00%
DFISX DFA International Small Company I 5.00%
DISVX DFA International Small Cap Value I 5.00%
DFEMX DFA Emerging Markets I 3.00%
DFEVX DFA Emerging Markets Value I 3.00%
DEMSX DFA Emerging Markets Small Cap I 4.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
GLD SPDR Gold Shares 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,059,318 0.58% 7.44%5.87%18.51%37.28%-40.79%-54.08%
(-57.96%)
0.460.660.98
Portfolio 2$1,000,000$924,758 -0.78% 4.13%4.82%19.00%29.27%-28.33%-42.91%
(-54.74%)
0.290.440.03
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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.
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $50,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceDFA US Large Company I (DFUSX)DFA US Large Cap Value I (DFLVX)DFA US Micro Cap I (DFSCX)DFA US Small Cap Value I (DFSVX)DFA Real Estate Securities I (DFREX)DFA International Value I (DFIVX)DFA International Small Company I (DFISX)DFA International Small Cap Value I (DISVX)DFA Emerging Markets I (DFEMX)DFA Emerging Markets Value I (DFEVX)DFA Emerging Markets Small Cap I (DEMSX)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20080.09%-40.79%4.92%$542,101$999,190-$50,046-36.76%-40.80%-36.72%-36.79%-37.36%-46.33%-43.87%-41.68%-49.20%-53.94%-54.53%4.92%
20092.72%37.28%24.03%$692,771$1,187,879-$51,40826.62%30.19%28.06%33.62%28.17%39.45%41.96%39.51%71.77%92.28%99.74%24.03%
20101.50%21.80%29.27%$791,630$1,483,399-$52,17715.00%20.17%31.29%30.90%28.67%10.57%23.91%18.10%21.82%22.06%30.18%29.27%
20112.96%-5.91%9.57%$691,100$1,571,579-$53,7222.10%-3.14%-3.25%-7.55%8.95%-16.85%-15.35%-17.46%-17.41%-25.62%-22.62%9.57%
20121.74%19.17%6.60%$768,921$1,620,632-$54,65715.82%22.05%18.24%21.72%17.48%16.61%18.86%22.26%19.16%19.36%24.44%6.60%
20131.50%28.45%-28.33%$932,235$1,106,032-$55,47832.33%40.32%45.06%42.38%1.39%23.12%27.44%32.39%-3.12%-3.80%-1.38%-28.33%
20140.76%7.14%-2.19%$942,938$1,025,940-$55,89813.53%10.07%2.92%3.48%31.11%-6.99%-6.30%-4.99%-1.71%-4.41%3.00%-2.19%
20150.73%-2.76%-10.67%$860,569$860,158-$56,3061.38%-3.49%-3.62%-7.81%3.24%-6.31%5.91%3.99%-15.81%-18.77%-8.70%-10.67%
20162.07%15.31%8.03%$934,864$871,778-$57,47411.90%18.89%25.63%28.26%8.38%8.41%5.80%8.00%12.09%19.84%10.92%8.03%
20172.11%19.59%12.81%$1,059,318$924,758-$58,68621.73%18.97%11.18%7.21%5.71%26.09%30.24%27.98%36.57%33.76%35.26%12.81%
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA US Large Company I (DFUSX)DFA US Large Cap Value I (DFLVX)DFA US Micro Cap I (DFSCX)DFA US Small Cap Value I (DFSVX)DFA Real Estate Securities I (DFREX)DFA International Value I (DFIVX)DFA International Small Company I (DFISX)DFA International Small Cap Value I (DISVX)DFA Emerging Markets I (DFEMX)DFA Emerging Markets Value I (DFEVX)DFA Emerging Markets Small Cap I (DEMSX)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-5.69%10.84%$943,126$1,108,416-6.01%-3.84%-7.65%-3.94%0.04%-8.10%-7.61%-6.60%-8.74%-9.96%-12.06%10.84%
20082-1.86%5.23%$925,624$1,166,384-3.24%-3.09%-3.14%-2.84%-3.80%-1.30%2.53%2.19%3.17%3.99%2.89%5.23%
200830.30%-6.00%$928,367$1,096,410-0.38%-0.93%0.31%0.84%6.29%1.20%0.13%0.93%-3.12%-3.36%-4.74%-6.00%
200844.51%-4.16%$970,199$1,050,8134.83%6.27%2.07%1.66%5.90%4.44%2.13%1.70%7.11%7.71%6.12%-4.16%
200851.81%0.92%$987,714$1,060,5141.29%2.38%3.98%4.14%0.20%0.04%2.64%2.20%0.58%0.85%-0.64%0.92%
20086-9.82%4.52%$890,727$1,108,416-8.39%-10.96%-9.05%-10.10%-10.98%-9.93%-7.40%-8.74%-10.29%-11.63%-11.52%4.52%
20087-0.33%-1.44%$887,797$1,092,408-0.80%-1.12%4.48%2.07%2.90%-2.83%-4.81%-4.44%-1.33%-1.96%-1.57%-1.44%
200880.33%-9.29%$890,705$990,9051.41%1.96%3.38%4.15%2.47%-4.22%-3.94%-3.22%-5.96%-8.57%-6.04%-9.29%
20089-9.00%4.11%$810,525$1,031,652-8.81%-9.00%-7.37%-6.89%-0.21%-11.67%-15.16%-14.39%-13.95%-17.25%-18.06%4.11%
200810-23.03%-16.14%$623,871$865,147-16.72%-22.53%-20.71%-22.14%-31.53%-25.09%-23.42%-21.76%-26.35%-31.05%-30.34%-16.14%
200811-10.52%12.57%$558,244$973,927-7.09%-9.81%-12.84%-12.99%-23.14%-6.14%-5.16%-5.55%-9.09%-7.59%-6.12%12.57%
2008126.07%7.73%$542,101$999,1901.09%3.25%5.66%5.25%17.07%7.48%8.21%9.09%7.79%12.21%14.08%7.73%
20091-11.43%5.54%$480,119$1,054,508-8.33%-11.86%-11.91%-14.28%-17.75%-13.77%-7.90%-8.43%-7.65%-9.03%-7.69%5.54%
20092-12.44%1.45%$420,400$1,069,753-10.63%-14.04%-13.11%-12.71%-20.97%-12.28%-9.11%-10.99%-6.56%-8.50%-6.14%1.45%
200939.43%-2.54%$460,061$1,042,6138.77%9.83%9.58%10.40%3.54%10.86%6.62%6.52%14.45%17.30%13.76%-2.54%
2009416.77%-3.33%$537,225$1,007,8529.57%16.18%17.39%19.66%31.30%18.36%13.25%16.21%14.77%19.66%20.25%-3.33%
200958.93%10.23%$585,223$1,110,9815.68%7.67%3.43%3.22%2.60%14.87%14.89%13.77%17.04%22.50%22.91%10.23%
20096-0.40%-5.22%$582,862$1,053,0070.13%-1.21%2.76%0.35%-3.10%-1.50%1.05%-0.33%-0.88%-1.23%-0.50%-5.22%
2009710.13%2.38%$641,900$1,078,0687.61%9.43%9.82%13.44%10.49%11.83%7.50%9.31%11.40%13.41%12.68%2.38%
200985.35%0.05%$676,254$1,078,6453.60%6.80%2.73%5.14%13.53%5.68%6.35%8.66%0.34%0.74%1.19%0.05%
200995.49%5.84%$713,359$1,141,5853.75%4.35%5.76%6.33%6.69%5.14%5.32%4.71%8.76%9.23%8.34%5.84%
200910-3.91%3.72%$685,496$1,184,084-1.92%-4.30%-7.27%-7.53%-4.56%-4.02%-1.82%-3.62%-2.10%-2.36%-0.11%3.72%
2009114.47%12.79%$716,158$1,335,4876.00%5.63%1.78%3.11%6.87%2.92%1.36%0.54%5.95%6.37%5.85%12.79%
2009123.91%-7.20%$692,771$1,187,8791.93%2.70%8.69%7.92%6.87%1.17%0.97%1.17%3.58%4.95%5.51%-7.20%
20101-3.57%-1.26%$668,007$1,172,935-3.54%-2.34%-2.94%-3.16%-5.22%-5.81%-1.55%-1.92%-5.48%-5.69%-4.43%-1.26%
201023.19%3.27%$689,345$1,211,3473.08%4.32%4.39%6.15%5.51%0.31%-0.14%-0.95%1.21%0.78%1.72%3.27%
201037.90%-0.44%$743,811$1,206,0336.06%7.80%8.08%8.86%10.17%7.97%7.14%8.12%8.34%8.80%8.54%-0.44%
201043.32%5.88%$768,533$1,276,9901.52%3.16%7.27%8.11%7.03%-1.73%1.54%1.26%0.57%0.65%1.61%5.88%
20105-8.96%3.05%$699,705$1,315,955-8.02%-8.56%-7.42%-9.90%-5.34%-11.77%-11.83%-13.46%-9.33%-10.48%-10.09%3.05%
20106-5.15%2.36%$663,672$1,346,950-5.23%-7.56%-7.24%-10.14%-5.18%-1.74%-0.23%-2.01%0.15%0.62%2.65%2.36%
201078.61%-5.09%$720,810$1,278,4297.01%7.82%7.14%8.69%9.87%12.47%9.14%9.73%8.78%9.25%9.18%-5.09%
20108-4.84%5.71%$685,949$1,351,377-4.48%-6.11%-7.98%-8.38%-1.26%-4.94%-2.98%-4.67%-2.34%-1.81%0.48%5.71%
201099.97%4.78%$754,309$1,415,9138.89%9.80%12.16%12.93%4.33%10.71%11.00%11.23%11.34%12.01%12.11%4.78%
2010103.88%3.68%$783,606$1,468,0513.78%3.68%4.34%4.17%4.68%3.55%3.93%3.13%2.97%3.42%3.99%3.68%
201011-0.52%2.11%$779,504$1,499,0460.00%-0.75%4.24%4.49%-1.98%-5.11%-2.79%-2.85%-2.23%-3.25%-2.72%2.11%
2010128.25%2.44%$791,630$1,483,3996.68%9.72%8.19%9.18%4.68%9.37%10.92%12.32%8.09%8.31%5.75%2.44%
201111.65%-6.38%$804,726$1,388,7622.42%3.23%-1.09%0.31%3.53%4.24%1.22%2.09%-2.61%-3.13%-4.24%-6.38%
201123.88%6.00%$835,924$1,472,0643.35%5.39%5.87%6.28%4.53%3.29%3.05%2.90%-0.74%-1.68%-2.95%6.00%
201130.73%1.60%$842,037$1,495,5900.12%0.45%3.25%2.05%-1.50%-2.76%-0.16%0.50%5.53%5.75%5.55%1.60%
201143.33%8.94%$870,085$1,629,3652.87%2.51%1.68%1.26%5.79%5.32%4.75%4.30%3.48%3.57%5.25%8.94%
20115-1.82%-1.79%$854,213$1,600,172-1.12%-1.42%-1.92%-3.12%1.36%-3.61%-2.78%-3.43%-2.78%-3.82%-2.29%-1.79%
20116-1.92%-2.43%$837,806$1,561,248-1.70%-1.82%-2.16%-1.81%-3.29%-1.40%-2.03%-2.18%-1.22%-2.05%-0.81%-2.43%
20117-2.19%8.42%$819,483$1,692,670-2.02%-4.57%-2.69%-2.88%1.64%-3.23%-0.96%-1.92%-0.81%-0.85%1.13%8.42%
20118-8.09%12.27%$753,221$1,900,445-5.39%-8.46%-8.93%-10.58%-5.38%-10.72%-7.84%-9.51%-8.12%-10.15%-9.51%12.27%
20119-10.77%-11.06%$672,116$1,690,211-7.08%-10.10%-10.58%-12.58%-10.98%-10.94%-11.82%-11.80%-15.14%-17.95%-17.79%-11.06%
20111012.46%5.87%$755,854$1,789,44610.99%13.81%15.43%15.82%14.42%9.56%7.64%7.61%12.44%13.14%11.02%5.87%
201111-1.79%1.67%$742,348$1,819,281-0.30%-0.83%-0.60%-0.68%-3.78%-3.29%-3.16%-3.23%-3.49%-5.07%-4.89%1.67%
2011120.33%-10.66%$691,100$1,571,5791.08%0.79%0.86%1.01%4.59%-2.67%-2.91%-2.66%-2.95%-3.59%-2.65%-10.66%
201216.74%11.40%$737,679$1,750,6694.44%4.96%6.96%7.43%6.32%6.72%8.53%10.01%10.73%13.87%11.27%11.40%
201224.16%-2.96%$768,338$1,698,7624.26%5.77%1.91%3.18%-1.06%5.15%5.06%5.96%5.40%6.09%8.17%-2.96%
201231.64%-1.32%$780,954$1,676,3243.35%1.83%2.98%2.30%5.15%-0.78%0.39%0.13%-2.63%-4.30%-2.61%-1.32%
20124-1.38%-0.15%$770,196$1,673,842-0.63%-2.09%-1.42%-1.60%2.86%-3.60%-1.20%-2.78%-1.81%-3.27%-2.39%-0.15%
20125-7.96%-6.34%$708,882$1,567,754-6.07%-7.10%-6.97%-7.12%-4.57%-12.35%-11.64%-12.72%-10.78%-11.06%-9.17%-6.34%
201264.98%2.35%$744,181$1,604,6684.13%5.37%5.12%4.38%5.64%7.04%3.91%4.93%4.89%4.52%3.83%2.35%
201270.46%0.84%$747,624$1,618,1101.40%0.97%-0.91%-0.24%1.97%-0.41%-0.28%-0.29%0.81%-0.63%-1.26%0.84%
201282.84%4.94%$768,880$1,698,0382.20%3.95%3.12%4.21%-0.15%4.08%3.47%3.67%0.60%1.39%2.60%4.94%
201293.16%4.67%$793,170$1,777,3462.58%3.65%4.19%3.31%-1.87%3.55%4.17%4.67%5.58%6.43%5.85%4.67%
201210-0.56%-2.94%$788,762$1,725,025-1.85%0.27%-2.05%-0.82%-0.77%1.29%0.66%0.93%-0.57%-1.29%-0.39%-2.94%
2012110.81%-0.47%$795,177$1,716,9600.63%0.22%0.94%1.84%-0.35%1.53%0.85%1.39%1.30%1.10%1.72%-0.47%
2012123.57%-2.43%$768,921$1,620,6320.85%3.03%3.80%3.72%3.66%4.92%4.91%6.24%5.81%7.31%6.15%-2.43%
201315.08%-0.51%$807,965$1,612,4305.17%6.94%5.68%6.56%3.53%4.64%4.39%5.13%0.51%1.61%1.84%-0.51%
201320.61%-5.09%$812,905$1,530,4081.36%1.27%1.10%1.75%1.10%-2.99%-0.06%0.60%-1.19%-1.68%1.02%-5.09%
201333.15%0.95%$838,489$1,544,9123.76%4.81%4.87%4.91%2.76%0.29%1.82%2.04%-1.45%-0.86%-0.47%0.95%
201341.93%-7.56%$854,674$1,428,0811.94%1.00%-0.79%-1.11%6.75%4.92%2.66%2.84%1.08%0.88%2.03%-7.56%
201351.22%-6.20%$865,113$1,339,5572.30%4.13%5.18%5.39%-5.96%-1.24%-2.19%-1.97%-3.27%-2.85%-1.45%-6.20%
20136-2.02%-11.06%$847,665$1,191,418-1.30%-1.15%0.46%-0.70%-1.87%-3.53%-2.65%-3.04%-6.30%-8.42%-8.65%-11.06%
201375.38%7.43%$893,274$1,279,9425.05%6.00%7.41%7.34%0.87%6.83%6.62%7.46%1.43%1.94%0.46%7.43%
20138-3.11%5.20%$865,468$1,346,559-2.93%-2.99%-3.48%-4.17%-7.04%-0.74%-0.34%-1.23%-2.38%-2.13%-4.18%5.20%
201395.08%-4.78%$909,396$1,282,1423.15%2.95%7.05%5.24%3.12%7.54%8.24%9.69%7.13%7.39%7.30%-4.78%
2013104.20%-0.34%$947,580$1,277,7414.60%5.05%3.48%3.51%4.20%3.46%3.41%4.18%4.53%4.53%3.84%-0.34%
2013112.12%-5.51%$967,642$1,207,3223.03%4.17%5.55%5.08%-5.33%0.36%0.46%0.15%-1.52%-2.42%-1.42%-5.51%
2013122.07%-3.79%$932,235$1,106,0322.55%2.64%1.89%2.72%0.32%2.17%2.73%3.33%-1.06%-0.98%-0.83%-3.79%
20141-3.14%3.42%$902,973$1,143,846-3.50%-3.95%-4.43%-5.14%4.24%-3.68%-1.77%-1.38%-6.97%-6.99%-4.28%3.42%
201424.66%6.27%$945,048$1,215,5684.63%3.36%4.21%5.45%5.07%5.71%6.25%6.88%3.60%2.22%4.42%6.27%
201431.22%-3.14%$956,557$1,177,3730.81%2.34%0.97%1.19%0.65%-0.72%-0.15%0.65%3.48%4.46%3.43%-3.14%
201440.36%0.49%$959,968$1,183,1830.74%0.66%-3.41%-1.93%3.62%1.67%0.05%-0.42%0.58%0.66%0.82%0.49%
201451.78%-3.05%$977,015$1,147,0842.28%2.17%0.10%0.83%2.37%1.10%0.65%0.79%3.38%4.06%3.39%-3.05%
201462.45%6.32%$1,001,000$1,219,5692.06%2.72%4.34%4.44%1.04%1.21%1.85%1.57%2.75%2.61%2.57%6.32%
20147-1.98%-3.63%$981,192$1,175,278-1.36%-0.74%-5.84%-5.76%0.07%-2.23%-3.18%-3.51%1.16%1.87%0.23%-3.63%
201483.08%0.38%$1,011,400$1,179,7544.00%3.17%4.54%5.83%2.84%0.00%0.66%0.66%3.09%2.24%3.06%0.38%
20149-4.34%-6.18%$967,528$1,106,889-1.42%-2.49%-5.69%-6.98%-6.01%-4.38%-6.08%-5.82%-7.39%-8.20%-4.98%-6.18%
2014102.47%-3.05%$991,378$1,073,0762.44%0.78%6.52%4.61%10.37%-1.70%-2.04%-2.20%1.06%-0.07%-0.88%-3.05%
2014110.74%-0.49%$998,756$1,067,8372.70%1.16%-0.75%-0.28%2.08%0.00%-0.99%-0.72%-1.01%-1.69%-1.17%-0.49%
2014120.01%1.31%$942,938$1,025,940-0.31%0.74%3.37%2.29%1.83%-3.75%-1.26%-1.10%-4.52%-4.65%-3.08%1.31%
20151-1.98%8.69%$924,299$1,115,094-3.02%-4.97%-4.90%-4.95%6.89%-0.68%-0.82%-0.65%0.64%-0.82%1.61%8.69%
201525.00%-5.91%$970,502$1,049,2455.79%7.06%6.03%5.90%-3.71%7.13%6.41%7.47%3.02%3.56%2.57%-5.91%
20153-0.70%-2.15%$963,669$1,026,663-1.59%-1.92%2.29%1.78%1.77%-2.13%-1.56%-1.96%-2.12%-2.84%-0.77%-2.15%
201541.53%-0.17%$978,378$1,024,9470.92%2.04%-1.95%-1.34%-5.88%5.50%5.61%5.03%6.65%9.96%7.10%-0.17%
201550.53%0.56%$983,542$1,030,6371.28%1.07%1.38%1.36%-0.25%0.05%1.18%1.56%-4.02%-4.46%-1.41%0.56%
20156-1.72%-1.52%$966,625$1,015,011-1.91%-1.62%1.63%0.05%-4.38%-2.91%-1.52%-1.39%-2.44%-3.19%-3.43%-1.52%
20157-0.61%-6.62%$960,727$947,8072.09%-0.26%-2.44%-3.67%5.74%-0.97%-0.65%-1.23%-6.45%-8.03%-6.11%-6.62%
20158-5.94%3.71%$903,646$982,945-6.02%-6.08%-4.43%-4.04%-6.08%-7.48%-4.19%-4.27%-8.28%-9.07%-9.81%3.71%
20159-2.98%-1.80%$876,732$965,240-2.47%-3.23%-4.31%-4.51%3.17%-6.84%-3.32%-3.99%-2.72%-3.34%-0.16%-1.80%
2015106.87%2.28%$936,979$987,2808.38%8.16%6.03%5.28%5.73%7.63%5.02%5.25%6.03%6.21%5.53%2.28%
2015110.24%-6.75%$939,227$920,6190.37%0.36%2.84%3.17%-0.54%-1.30%0.11%-0.77%-3.47%-3.92%-2.05%-6.75%
201512-2.38%-0.45%$860,569$860,158-1.60%-3.13%-4.90%-6.20%1.89%-3.19%0.13%-0.39%-2.76%-3.01%-0.92%-0.45%
20161-6.12%5.41%$807,934$906,701-5.01%-6.81%-6.80%-7.18%-3.38%-7.86%-6.51%-7.39%-4.26%-5.64%-5.97%5.41%
20162-0.19%10.93%$806,382$1,005,806-0.07%0.17%1.10%1.17%-0.34%-3.18%-0.62%-0.87%-0.61%0.62%-0.42%10.93%
201638.32%-0.84%$873,455$997,3296.75%7.26%7.08%8.77%10.32%7.55%8.04%8.04%13.19%14.69%12.31%-0.84%
201641.58%5.11%$887,286$1,048,2800.37%2.71%1.08%1.80%-2.50%4.83%2.33%3.41%0.59%2.71%2.50%5.11%
201650.29%-6.14%$889,870$983,9341.80%1.33%1.07%0.47%2.21%-1.87%0.57%-0.79%-3.94%-6.50%-4.18%-6.14%
201660.33%8.97%$892,830$1,072,1880.22%-0.10%-0.17%-1.16%7.04%-3.67%-3.93%-5.61%5.29%5.47%5.53%8.97%
201674.51%1.98%$933,079$1,093,4673.72%3.44%5.02%4.85%4.26%4.50%5.77%7.20%5.12%6.29%5.81%1.98%
201680.60%-3.26%$938,634$1,057,8600.12%1.16%1.59%1.74%-3.38%2.63%-0.06%0.37%1.19%1.82%0.60%-3.26%
201690.64%0.69%$944,636$1,065,1510.05%0.48%0.72%1.21%-1.88%1.17%2.95%2.74%1.25%1.38%1.63%0.69%
201610-1.96%-2.94%$926,132$1,033,783-1.83%-1.72%-3.53%-3.14%-5.82%1.24%-2.63%-0.82%0.21%2.18%-0.39%-2.94%
2016114.28%-8.36%$965,802$947,3943.66%7.85%13.19%14.87%-1.81%0.49%-1.80%-0.57%-5.22%-3.50%-6.08%-8.36%
2016122.75%-1.91%$934,864$871,7781.98%2.49%4.06%3.41%4.64%3.29%2.44%3.15%0.00%0.44%0.57%-1.91%
201711.91%5.42%$952,753$919,0211.90%1.45%-1.44%-0.53%-0.14%4.30%4.17%4.31%5.98%6.30%5.82%5.42%
201722.37%3.18%$975,302$948,2904.00%3.01%0.68%0.32%3.34%-0.69%1.61%1.31%3.32%4.56%5.25%3.18%
201730.27%-0.43%$977,962$944,2340.08%-0.93%0.17%-1.14%-2.32%2.27%2.41%1.94%3.21%2.74%3.10%-0.43%
201741.13%1.73%$988,994$960,5381.03%0.66%1.59%0.46%0.09%1.41%3.26%2.54%1.91%0.73%1.27%1.73%
201750.20%-0.12%$990,994$959,3451.40%-0.11%-2.99%-3.51%-0.49%1.73%2.95%1.86%2.98%1.81%0.37%-0.12%
201761.55%-2.16%$1,006,357$938,6660.60%1.65%3.72%2.59%2.10%1.06%1.01%1.81%0.93%0.26%0.62%-2.16%
201772.39%2.31%$1,030,407$960,3792.07%1.68%0.47%0.77%1.26%4.68%3.50%3.77%5.28%5.35%4.19%2.31%
20178-0.25%4.20%$1,027,864$1,000,7030.26%-0.94%-2.16%-2.55%0.11%-0.11%0.53%0.49%2.07%2.50%2.30%4.20%
201793.16%-3.37%$1,060,386$966,9812.08%3.85%8.39%7.92%-0.32%3.57%2.81%3.18%-0.98%-2.24%-0.49%-3.37%
2017101.54%-0.75%$1,076,769$959,7432.35%1.44%1.11%0.96%-0.54%1.79%1.03%0.86%3.39%3.55%2.85%-0.75%
2017112.25%0.36%$1,100,979$963,1633.04%3.55%2.64%2.12%2.80%0.95%0.79%0.09%0.30%0.49%1.53%0.36%
2017121.55%2.11%$1,059,318$924,7581.09%2.31%-1.03%0.03%-0.18%2.60%2.73%2.86%3.38%3.70%3.99%2.11%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value23.03%
Large-cap Growth0.00%
Mid-cap Value9.94%
Mid-cap Growth5.21%
Small-cap Value19.64%
Small-cap Growth0.00%
Global ex-US Developed Markets21.99%
Emerging Markets12.34%
REITs7.86%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.26%
Style analysis is based on monthly returns from Jan 2008 to Dec 2017 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DFUSXDFA US Large Company ILarge Blend0.08%20.00%$139,97515.70%
DFLVXDFA US Large Cap Value ILarge Value0.27%20.00%$146,76420.21%
DFSCXDFA US Micro Cap ISmall Blend0.52%10.00%$76,66610.21%
DFSVXDFA US Small Cap Value ISmall Value0.52%10.00%$71,42111.12%
DFREXDFA Real Estate Securities IReal Estate0.18%10.00%$62,62110.97%
DFIVXDFA International Value IForeign Large Value0.43%10.00%$17,45310.90%
DFISXDFA International Small Company IForeign Small/Mid Blend0.53%5.00%$25,1954.67%
DISVXDFA International Small Cap Value IForeign Small/Mid Value0.68%5.00%$25,4475.00%
DFEMXDFA Emerging Markets IDiversified Emerging Mkts0.47%3.00%$8,9903.11%
DFEVXDFA Emerging Markets Value IDiversified Emerging Mkts0.54%3.00%$8,5103.62%
DEMSXDFA Emerging Markets Small Cap IDiversified Emerging Mkts0.70%4.00%$22,1284.49%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
GLDSPDR Gold SharesCommodities Precious Metals0.40%100.00%$470,610100.00%

Asset Allocation

Fund fundamentals data as of 02/05/2020. (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)0.75%0.49%
Arithmetic Mean (annualized)9.32%6.01%
Geometric Mean (monthly)0.60%0.34%
Geometric Mean (annualized)7.44%4.13%
Volatility (monthly)5.34%5.48%
Volatility (annualized)18.51%19.00%
Downside Deviation (monthly)3.77%3.60%
Max. Drawdown-54.08%-42.91%
US Market Correlation0.980.03
Beta(*)1.160.04
Alpha (annualized)-2.08%5.51%
R295.21%0.09%
Sharpe Ratio0.460.29
Sortino Ratio0.660.44
Treynor Ratio (%)7.43152.95
Calmar Ratio0.810.16
Active Return-1.16%-4.46%
Tracking Error4.75%24.21%
Information Ratio-0.24-0.18
Skewness-0.83-0.05
Excess Kurtosis3.320.08
Historical Value-at-Risk (5%)-9.78%-8.32%
Analytical Value-at-Risk (5%)-8.03%-8.53%
Conditional Value-at-Risk (5%)-13.00%-11.10%
Upside Capture Ratio (%)107.922.75
Downside Capture Ratio (%)115.26-21.71
Safe Withdrawal Rate10.35%13.05%
Perpetual Withdrawal Rate5.42%2.42%
Positive Periods79 out of 120 (65.83%)62 out of 120 (51.67%)
Gain/Loss Ratio0.771.17
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsJan 20111 year 11 months3 years 1 month-54.08%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-22.75%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-12.65%
4Sep 2014Sep 20141 monthFeb 20155 months6 months-4.34%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.14%
6Aug 2013Aug 20131 monthSep 20131 month2 months-3.11%
7Jun 2013Jun 20131 monthJul 20131 month2 months-2.02%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.98%
9Oct 2016Oct 20161 monthNov 20161 month2 months-1.96%
10Mar 2015Mar 20151 monthApr 20151 month2 months-0.70%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2011Dec 20154 years 4 months-42.91%
2Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
3Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
4Jan 2011Jan 20111 monthMar 20112 months3 months-6.38%
5Jun 2009Jun 20091 monthSep 20093 months4 months-5.22%
6Jul 2010Jul 20101 monthAug 20101 month2 months-5.09%
7May 2011Jun 20112 monthsJul 20111 month3 months-4.18%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DFUSXDFA US Large Company I8.49%15.05%32.33%-36.76%-48.19%0.600.861.00
DFLVXDFA US Large Cap Value I8.73%19.15%40.32%-40.80%-55.35%0.520.740.98
DFSCXDFA US Micro Cap I9.36%20.49%45.06%-36.72%-51.57%0.520.780.91
DFSVXDFA US Small Cap Value I8.80%22.04%42.38%-36.79%-52.70%0.480.710.92
DFREXDFA Real Estate Securities I7.59%25.00%31.11%-37.36%-62.49%0.410.580.75
DFIVXDFA International Value I1.64%21.50%39.45%-46.33%-59.41%0.170.240.90
DFISXDFA International Small Company I5.64%18.96%41.96%-43.87%-53.01%0.370.520.87
DISVXDFA International Small Cap Value I5.77%20.14%39.51%-41.68%-52.53%0.360.530.87
DFEMXDFA Emerging Markets I2.53%21.88%71.77%-49.20%-56.16%0.210.300.82
DFEVXDFA Emerging Markets Value I1.40%25.73%92.28%-53.94%-61.66%0.170.250.80
DEMSXDFA Emerging Markets Small Cap I4.71%24.27%99.74%-54.53%-60.61%0.300.430.79
GLDSPDR Gold Shares4.13%19.00%29.27%-28.33%-42.91%0.290.440.03

Monthly Correlations

Correlations for the portfolio assets
TickerNameDFUSXDFLVXDFSCXDFSVXDFREXDFIVXDFISXDISVXDFEMXDFEVXDEMSXGLDPortfolio 1Portfolio 2
DFUSXDFA US Large Company I-0.970.890.900.740.890.860.860.820.800.790.020.970.02
DFLVXDFA US Large Cap Value I0.97-0.920.940.760.900.860.880.810.800.780.020.980.02
DFSCXDFA US Micro Cap I0.890.92-0.990.730.790.770.790.720.700.69-0.040.92-0.04
DFSVXDFA US Small Cap Value I0.900.940.99-0.740.810.780.800.720.710.69-0.010.94-0.01
DFREXDFA Real Estate Securities I0.740.760.730.74-0.700.660.670.660.640.660.090.810.09
DFIVXDFA International Value I0.890.900.790.810.70-0.950.960.890.890.870.110.940.11
DFISXDFA International Small Company I0.860.860.770.780.660.95-0.990.900.900.900.200.910.20
DISVXDFA International Small Cap Value I0.860.880.790.800.670.960.99-0.880.880.870.150.920.15
DFEMXDFA Emerging Markets I0.820.810.720.720.660.890.900.88-0.990.970.270.880.27
DFEVXDFA Emerging Markets Value I0.800.800.700.710.640.890.900.880.99-0.980.280.870.28
DEMSXDFA Emerging Markets Small Cap I0.790.780.690.690.660.870.900.870.970.98-0.280.860.28
GLDSPDR Gold Shares0.020.02-0.04-0.010.090.110.200.150.270.280.28-0.081.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DFUSXDFA US Large Company I$139,975
DFLVXDFA US Large Cap Value I$146,764
DFSCXDFA US Micro Cap I$76,666
DFSVXDFA US Small Cap Value I$71,421
DFREXDFA Real Estate Securities I$62,621
DFIVXDFA International Value I$17,453
DFISXDFA International Small Company I$25,195
DISVXDFA International Small Cap Value I$25,447
DFEMXDFA Emerging Markets I$8,990
DFEVXDFA Emerging Markets Value I$8,510
DEMSXDFA Emerging Markets Small Cap I$22,128
GLDSPDR Gold Shares$470,610

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DFUSXDFA US Large Company I15.70%
DFLVXDFA US Large Cap Value I20.21%
DFSCXDFA US Micro Cap I10.21%
DFSVXDFA US Small Cap Value I11.12%
DFREXDFA Real Estate Securities I10.97%
DFIVXDFA International Value I10.90%
DFISXDFA International Small Company I4.67%
DISVXDFA International Small Cap Value I5.00%
DFEMXDFA Emerging Markets I3.11%
DFEVXDFA Emerging Markets Value I3.62%
DEMSXDFA Emerging Markets Small Cap I4.49%
GLDSPDR Gold Shares100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.93%37.28%-40.79%5.40%29.27%-28.33%
3 years10.57%17.93%-0.33%3.23%20.66%-14.45%
5 years11.54%19.22%2.11%0.67%14.46%-6.33%
7 years10.62%14.04%6.24%1.41%4.68%-1.63%
10 years7.44%7.44%7.44%4.13%4.13%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods