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

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

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 2008 - Dec 2020)

Note: The time period was constrained by the available data for WisdomTree Emerging Markets SmCp Div ETF (DGS) [Nov 2007 - Dec 2020].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
VEIEX	Vanguard Emerging Mkts Stock Idx Inv	100.00%
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Portfolio 2
Ticker	Name	Allocation
DFEVX	DFA Emerging Markets Value I	100.00%
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Portfolio 3
Ticker	Name	Allocation
DGS	WisdomTree Emerging Markets SmCp Div ETF	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	$13,195	2.16%	22.27%	75.98%	-52.81%	-59.31%	0.18	0.26	0.81
Portfolio 2	$10,000	$11,399	1.01%	24.91%	92.28%	-53.94%	-61.66%	0.14	0.20	0.80
Portfolio 3	$10,000	$16,060	3.71%	22.51%	83.22%	-45.78%	-52.09%	0.25	0.36	0.80

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	16.81%	15.05%	5.64%	11.51%	2.95%	2.16%	19.68%	17.29%
Portfolio 2	20.97%	2.73%	-0.27%	9.72%	0.53%	1.01%	22.26%	19.77%
Portfolio 3	16.62%	4.08%	1.10%	10.38%	2.19%	3.71%	21.81%	18.98%
Trailing annualized return and volatility are for full months ending in December 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.
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

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1		Portfolio 2		Portfolio 3		Vanguard Emerging Mkts Stock Idx Inv (VEIEX)	DFA Emerging Markets Value I (DFEVX)	WisdomTree Emerging Markets SmCp Div ETF (DGS)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Vanguard Emerging Mkts Stock Idx Inv (VEIEX)	DFA Emerging Markets Value I (DFEVX)	WisdomTree Emerging Markets SmCp Div ETF (DGS)
2008	0.09%	-52.81%	$4,719	-53.94%	$4,606	-45.78%	$5,422	-52.81%	-53.94%	-45.78%
2009	2.72%	75.98%	$8,304	92.28%	$8,856	83.22%	$9,935	75.98%	92.28%	83.22%
2010	1.50%	18.86%	$9,870	22.06%	$10,810	30.15%	$12,930	18.86%	22.06%	30.15%
2011	2.96%	-18.78%	$8,017	-25.62%	$8,041	-21.22%	$10,187	-18.78%	-25.62%	-21.22%
2012	1.74%	18.64%	$9,511	19.36%	$9,598	23.52%	$12,582	18.64%	19.36%	23.52%
2013	1.50%	-5.19%	$9,017	-3.80%	$9,233	-3.49%	$12,142	-5.19%	-3.80%	-3.49%
2014	0.76%	0.42%	$9,055	-4.41%	$8,825	-3.55%	$11,712	0.42%	-4.41%	-3.55%
2015	0.73%	-15.47%	$7,654	-18.77%	$7,168	-16.33%	$9,799	-15.47%	-18.77%	-16.33%
2016	2.07%	11.50%	$8,534	19.84%	$8,591	15.37%	$11,306	11.50%	19.84%	15.37%
2017	2.11%	31.15%	$11,193	33.76%	$11,491	37.46%	$15,541	31.15%	33.76%	37.46%
2018	1.91%	-14.71%	$9,546	-11.93%	$10,120	-16.50%	$12,976	-14.71%	-11.93%	-16.50%
2019	2.29%	20.13%	$11,468	9.64%	$11,096	18.92%	$15,431	20.13%	9.64%	18.92%
2020	1.36%	15.05%	$13,195	2.73%	$11,399	4.08%	$16,060	15.05%	2.73%	4.08%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Portfolio 3 Return	Vanguard Emerging Mkts Stock Idx Inv (VEIEX)	DFA Emerging Markets Value I (DFEVX)	WisdomTree Emerging Markets SmCp Div ETF (DGS)
2008	1	-11.08%	-9.96%	-9.52%	-11.08%	-9.96%	-9.52%
2008	2	4.65%	3.99%	4.64%	4.65%	3.99%	4.64%
2008	3	-3.80%	-3.36%	-0.34%	-3.80%	-3.36%	-0.34%
2008	4	8.09%	7.71%	3.41%	8.09%	7.71%	3.41%
2008	5	1.84%	0.85%	-0.93%	1.84%	0.85%	-0.93%
2008	6	-10.39%	-11.63%	-12.39%	-10.39%	-11.63%	-12.39%
2008	7	-4.14%	-1.96%	-0.43%	-4.14%	-1.96%	-0.43%
2008	8	-7.81%	-8.57%	-2.51%	-7.81%	-8.57%	-2.51%
2008	9	-16.25%	-17.25%	-15.60%	-16.25%	-17.25%	-15.60%
2008	10	-27.67%	-31.05%	-25.18%	-27.67%	-31.05%	-25.18%
2008	11	-7.85%	-7.59%	-7.72%	-7.85%	-7.59%	-7.72%
2008	12	8.30%	12.21%	13.17%	8.30%	12.21%	13.17%
2009	1	-8.19%	-9.03%	-8.02%	-8.19%	-9.03%	-8.02%
2009	2	-6.07%	-8.50%	-2.24%	-6.07%	-8.50%	-2.24%
2009	3	16.03%	17.30%	12.79%	16.03%	17.30%	12.79%
2009	4	16.03%	19.66%	21.79%	16.03%	19.66%	21.79%
2009	5	18.27%	22.50%	13.68%	18.27%	22.50%	13.68%
2009	6	-2.25%	-1.23%	-2.58%	-2.25%	-1.23%	-2.58%
2009	7	11.55%	13.41%	14.25%	11.55%	13.41%	14.25%
2009	8	-0.63%	0.74%	-0.59%	-0.63%	0.74%	-0.59%
2009	9	9.29%	9.23%	9.92%	9.29%	9.23%	9.92%
2009	10	-1.36%	-2.36%	-3.82%	-1.36%	-2.36%	-3.82%
2009	11	5.90%	6.37%	5.13%	5.90%	6.37%	5.13%
2009	12	3.60%	4.95%	6.09%	3.60%	4.95%	6.09%
2010	1	-6.25%	-5.69%	-4.65%	-6.25%	-5.69%	-4.65%
2010	2	1.07%	0.78%	0.76%	1.07%	0.78%	0.76%
2010	3	8.15%	8.80%	8.10%	8.15%	8.80%	8.10%
2010	4	0.26%	0.65%	1.27%	0.26%	0.65%	1.27%
2010	5	-9.32%	-10.48%	-9.39%	-9.32%	-10.48%	-9.39%
2010	6	-0.04%	0.62%	-0.41%	-0.04%	0.62%	-0.41%
2010	7	9.25%	9.25%	11.43%	9.25%	9.25%	11.43%
2010	8	-2.24%	-1.81%	1.27%	-2.24%	-1.81%	1.27%
2010	9	11.18%	12.01%	11.61%	11.18%	12.01%	11.61%
2010	10	2.97%	3.42%	4.23%	2.97%	3.42%	4.23%
2010	11	-2.71%	-3.25%	-2.54%	-2.71%	-3.25%	-2.54%
2010	12	7.30%	8.31%	7.17%	7.30%	8.31%	7.17%
2011	1	-2.77%	-3.13%	-4.75%	-2.77%	-3.13%	-4.75%
2011	2	-0.85%	-1.68%	-3.12%	-0.85%	-1.68%	-3.12%
2011	3	5.57%	5.75%	6.56%	5.57%	5.75%	6.56%
2011	4	3.47%	3.57%	5.68%	3.47%	3.57%	5.68%
2011	5	-2.82%	-3.82%	-3.22%	-2.82%	-3.82%	-3.22%
2011	6	-1.51%	-2.05%	-2.68%	-1.51%	-2.05%	-2.68%
2011	7	-0.82%	-0.85%	0.80%	-0.82%	-0.85%	0.80%
2011	8	-8.54%	-10.15%	-9.86%	-8.54%	-10.15%	-9.86%
2011	9	-16.19%	-17.95%	-17.60%	-16.19%	-17.95%	-17.60%
2011	10	13.51%	13.14%	12.16%	13.51%	13.14%	12.16%
2011	11	-3.41%	-5.07%	-1.48%	-3.41%	-5.07%	-1.48%
2011	12	-3.32%	-3.59%	-2.71%	-3.32%	-3.59%	-2.71%
2012	1	11.12%	13.87%	10.21%	11.12%	13.87%	10.21%
2012	2	5.56%	6.09%	5.58%	5.56%	6.09%	5.58%
2012	3	-2.86%	-4.30%	0.18%	-2.86%	-4.30%	0.18%
2012	4	-1.75%	-3.27%	-1.25%	-1.75%	-3.27%	-1.25%
2012	5	-11.08%	-11.06%	-9.32%	-11.08%	-11.06%	-9.32%
2012	6	4.83%	4.52%	1.70%	4.83%	4.52%	1.70%
2012	7	0.64%	-0.63%	0.46%	0.64%	-0.63%	0.46%
2012	8	0.43%	1.39%	2.76%	0.43%	1.39%	2.76%
2012	9	5.32%	6.43%	4.13%	5.32%	6.43%	4.13%
2012	10	-0.42%	-1.29%	-0.50%	-0.42%	-1.29%	-0.50%
2012	11	1.33%	1.10%	1.91%	1.33%	1.10%	1.91%
2012	12	5.84%	7.31%	6.75%	5.84%	7.31%	6.75%
2013	1	0.61%	1.61%	1.25%	0.61%	1.61%	1.25%
2013	2	-1.74%	-1.68%	1.68%	-1.74%	-1.68%	1.68%
2013	3	-1.54%	-0.86%	1.49%	-1.54%	-0.86%	1.49%
2013	4	1.32%	0.88%	2.09%	1.32%	0.88%	2.09%
2013	5	-3.73%	-2.85%	-3.70%	-3.73%	-2.85%	-3.70%
2013	6	-6.14%	-8.42%	-7.58%	-6.14%	-8.42%	-7.58%
2013	7	0.97%	1.94%	0.17%	0.97%	1.94%	0.17%
2013	8	-3.18%	-2.13%	-5.36%	-3.18%	-2.13%	-5.36%
2013	9	7.15%	7.39%	7.91%	7.15%	7.39%	7.91%
2013	10	4.65%	4.53%	3.52%	4.65%	4.53%	3.52%
2013	11	-2.02%	-2.42%	-1.76%	-2.02%	-2.42%	-1.76%
2013	12	-0.96%	-0.98%	-2.31%	-0.96%	-0.98%	-2.31%
2014	1	-7.27%	-6.99%	-6.42%	-7.27%	-6.99%	-6.42%
2014	2	3.42%	2.22%	4.75%	3.42%	2.22%	4.75%
2014	3	3.86%	4.46%	3.37%	3.86%	4.46%	3.37%
2014	4	0.51%	0.66%	0.99%	0.51%	0.66%	0.99%
2014	5	3.72%	4.06%	1.02%	3.72%	4.06%	1.02%
2014	6	3.00%	2.61%	1.86%	3.00%	2.61%	1.86%
2014	7	1.46%	1.87%	0.29%	1.46%	1.87%	0.29%
2014	8	3.57%	2.24%	3.53%	3.57%	2.24%	3.53%
2014	9	-7.16%	-8.20%	-6.08%	-7.16%	-8.20%	-6.08%
2014	10	2.31%	-0.07%	-1.64%	2.31%	-0.07%	-1.64%
2014	11	-1.00%	-1.69%	-1.12%	-1.00%	-1.69%	-1.12%
2014	12	-4.97%	-4.65%	-3.42%	-4.97%	-4.65%	-3.42%
2015	1	0.67%	-0.82%	0.72%	0.67%	-0.82%	0.72%
2015	2	3.53%	3.56%	2.81%	3.53%	3.56%	2.81%
2015	3	-2.08%	-2.84%	-1.03%	-2.08%	-2.84%	-1.03%
2015	4	7.79%	9.96%	5.67%	7.79%	9.96%	5.67%
2015	5	-3.38%	-4.46%	-2.63%	-3.38%	-4.46%	-2.63%
2015	6	-2.39%	-3.19%	-3.84%	-2.39%	-3.19%	-3.84%
2015	7	-6.81%	-8.03%	-7.31%	-6.81%	-8.03%	-7.31%
2015	8	-9.32%	-9.07%	-8.95%	-9.32%	-9.07%	-8.95%
2015	9	-3.25%	-3.34%	-1.00%	-3.25%	-3.34%	-1.00%
2015	10	5.57%	6.21%	4.07%	5.57%	6.21%	4.07%
2015	11	-3.25%	-3.92%	-2.24%	-3.25%	-3.92%	-2.24%
2015	12	-2.45%	-3.01%	-2.92%	-2.45%	-3.01%	-2.92%
2016	1	-6.05%	-5.64%	-5.36%	-6.05%	-5.64%	-5.36%
2016	2	-0.87%	0.62%	3.01%	-0.87%	0.62%	3.01%
2016	3	13.04%	14.69%	10.53%	13.04%	14.69%	10.53%
2016	4	0.78%	2.71%	2.20%	0.78%	2.71%	2.20%
2016	5	-3.40%	-6.50%	-4.82%	-3.40%	-6.50%	-4.82%
2016	6	5.04%	5.47%	6.59%	5.04%	5.47%	6.59%
2016	7	4.67%	6.29%	7.10%	4.67%	6.29%	7.10%
2016	8	1.67%	1.82%	0.00%	1.67%	1.82%	0.00%
2016	9	1.27%	1.38%	2.27%	1.27%	1.38%	2.27%
2016	10	0.63%	2.18%	-1.68%	0.63%	2.18%	-1.68%
2016	11	-4.36%	-3.50%	-4.56%	-4.36%	-3.50%	-4.56%
2016	12	-0.16%	0.44%	0.45%	-0.16%	0.44%	0.45%
2017	1	4.94%	6.30%	6.39%	4.94%	6.30%	6.39%
2017	2	3.28%	4.56%	4.23%	3.28%	4.56%	4.23%
2017	3	2.25%	2.74%	3.48%	2.25%	2.74%	3.48%
2017	4	1.39%	0.73%	0.74%	1.39%	0.73%	0.74%
2017	5	1.22%	1.81%	1.28%	1.22%	1.81%	1.28%
2017	6	0.78%	0.26%	1.13%	0.78%	0.26%	1.13%
2017	7	5.35%	5.35%	4.33%	5.35%	5.35%	4.33%
2017	8	3.05%	2.50%	3.06%	3.05%	2.50%	3.06%
2017	9	-0.78%	-2.24%	1.06%	-0.78%	-2.24%	1.06%
2017	10	2.44%	3.55%	0.59%	2.44%	3.55%	0.59%
2017	11	0.21%	0.49%	0.26%	0.21%	0.49%	0.26%
2017	12	3.49%	3.70%	5.93%	3.49%	3.70%	5.93%
2018	1	8.39%	8.78%	6.96%	8.39%	8.78%	6.96%
2018	2	-4.73%	-4.71%	-4.28%	-4.73%	-4.71%	-4.28%
2018	3	-1.22%	-1.36%	1.22%	-1.22%	-1.36%	1.22%
2018	4	-2.03%	0.38%	-3.33%	-2.03%	0.38%	-3.33%
2018	5	-2.86%	-4.34%	-1.09%	-2.86%	-4.34%	-1.09%
2018	6	-4.50%	-5.45%	-6.48%	-4.50%	-5.45%	-6.48%
2018	7	3.18%	4.59%	2.31%	3.18%	4.59%	2.31%
2018	8	-3.55%	-2.38%	-3.24%	-3.55%	-2.38%	-3.24%
2018	9	-1.31%	0.09%	-1.54%	-1.31%	0.09%	-1.54%
2018	10	-7.58%	-8.40%	-10.10%	-7.58%	-8.40%	-10.10%
2018	11	4.45%	3.58%	5.46%	4.45%	3.58%	5.46%
2018	12	-2.97%	-2.15%	-2.49%	-2.97%	-2.15%	-2.49%
2019	1	8.52%	7.30%	10.50%	8.52%	7.30%	10.50%
2019	2	0.65%	-0.69%	0.17%	0.65%	-0.69%	0.17%
2019	3	1.90%	0.56%	1.81%	1.90%	0.56%	1.81%
2019	4	2.08%	0.76%	1.49%	2.08%	0.76%	1.49%
2019	5	-6.45%	-5.28%	-6.04%	-6.45%	-5.28%	-6.04%
2019	6	5.42%	5.07%	6.22%	5.42%	5.07%	6.22%
2019	7	-1.19%	-4.41%	-1.42%	-1.19%	-4.41%	-1.42%
2019	8	-3.76%	-5.12%	-4.03%	-3.76%	-5.12%	-4.03%
2019	9	1.33%	2.56%	1.20%	1.33%	2.56%	1.20%
2019	10	3.87%	3.48%	2.69%	3.87%	3.48%	2.69%
2019	11	0.15%	-0.11%	-0.18%	0.15%	-0.11%	-0.18%
2019	12	6.96%	6.12%	6.16%	6.96%	6.12%	6.16%
2020	1	-5.05%	-8.05%	-7.49%	-5.05%	-8.05%	-7.49%
2020	2	-3.71%	-5.99%	-5.79%	-3.71%	-5.99%	-5.79%
2020	3	-17.52%	-21.21%	-20.59%	-17.52%	-21.21%	-20.59%
2020	4	9.29%	11.82%	10.08%	9.29%	11.82%	10.08%
2020	5	2.33%	0.78%	3.38%	2.33%	0.78%	3.38%
2020	6	7.16%	5.64%	5.29%	7.16%	5.64%	5.29%
2020	7	8.38%	5.27%	5.51%	8.38%	5.27%	5.51%
2020	8	2.26%	1.56%	2.96%	2.26%	1.56%	2.96%
2020	9	-1.67%	-2.03%	-0.94%	-1.67%	-2.03%	-0.94%
2020	10	1.94%	0.25%	-0.75%	1.94%	0.25%	-0.75%
2020	11	8.22%	12.95%	11.40%	8.22%	12.95%	11.40%
2020	12	5.89%	6.83%	5.47%	5.89%	6.83%	5.47%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2	Portfolio 3
Large-cap Value	0.00%	0.00%	0.00%
Large-cap Growth	1.92%	0.00%	0.00%
Mid-cap Value	0.00%	0.00%	0.00%
Mid-cap Growth	0.00%	0.00%	0.00%
Small-cap Value	0.00%	0.00%	10.84%
Small-cap Growth	0.00%	0.00%	0.00%
Global ex-US Developed Markets	1.06%	0.00%	0.00%
Emerging Markets	96.12%	100.00%	85.58%
Corporate Bonds	0.56%	0.00%	3.58%
Long-Term Treasuries	0.35%	0.00%	0.00%
Intermediate-Term Treasuries	0.00%	0.00%	0.00%
Short-Term Treasuries	0.00%	0.00%	0.00%
R Squared	98.57%	94.46%	93.04%
Style analysis is based on monthly returns from January 2008 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.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
VEIEX	Vanguard Emerging Mkts Stock Idx Inv	Diversified Emerging Mkts	100.00%	1.72%	0.29%	18.19	$3,195	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	Yield	Fees	P/E	Return Contribution	Risk Contribution
DFEVX	DFA Emerging Markets Value I	Diversified Emerging Mkts	100.00%	2.47%	0.51%	9.76	$1,399	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
DGS	WisdomTree Emerging Markets SmCp Div ETF	Diversified Emerging Mkts	100.00%	3.71%	0.63%	10.46	$6,060	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/26/2021. (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.

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	0.39%	0.35%	0.52%
Arithmetic Mean (annualized)	4.77%	4.26%	6.41%
Geometric Mean (monthly)	0.18%	0.08%	0.30%
Geometric Mean (annualized)	2.16%	1.01%	3.71%
Volatility (monthly)	6.43%	7.19%	6.50%
Volatility (annualized)	22.27%	24.91%	22.51%
Downside Deviation (monthly)	4.51%	5.02%	4.50%
Max. Drawdown	-59.31%	-61.66%	-52.09%
US Market Correlation	0.81	0.80	0.80
Beta^(*)	1.09	1.20	1.09
Alpha (annualized)	-7.16%	-8.86%	-5.60%
R²	65.50%	63.66%	64.13%
Sharpe Ratio	0.18	0.14	0.25
Sortino Ratio	0.26	0.20	0.36
Treynor Ratio (%)	3.74	2.99	5.17
Calmar Ratio	0.20	-0.01	0.03
Active Return	-7.75%	-8.89%	-6.19%
Tracking Error	13.16%	15.38%	13.56%
Information Ratio	-0.59	-0.58	-0.46
Skewness	-0.48	-0.38	-0.42
Excess Kurtosis	2.36	2.68	2.19
Historical Value-at-Risk (5%)	-9.32%	-10.01%	-9.42%
Analytical Value-at-Risk (5%)	-10.18%	-11.48%	-10.17%
Conditional Value-at-Risk (5%)	-14.94%	-16.35%	-15.10%
Upside Capture Ratio (%)	85.66	91.06	88.14
Downside Capture Ratio (%)	119.78	131.88	115.20
Safe Withdrawal Rate	6.06%	6.05%	7.76%
Perpetual Withdrawal Rate	0.47%	0.00%	1.97%
Positive Periods	84 out of 156 (53.85%)	85 out of 156 (54.49%)	87 out of 156 (55.77%)
Gain/Loss Ratio	1.01	0.95	0.97
^* 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 2008	Feb 2009	1 year 2 months	Mar 2011	2 years 1 month	3 years 3 months	-59.31%
2	May 2011	Feb 2016	4 years 10 months	Aug 2017	1 year 6 months	6 years 4 months	-31.41%
3	Feb 2018	Mar 2020	2 years 2 months	Nov 2020	8 months	2 years 10 months	-28.72%
4	Sep 2017	Sep 2017	1 month	Oct 2017	1 month	2 months	-0.78%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2008	Feb 2009	1 year 2 months	Oct 2010	1 year 8 months	2 years 10 months	-61.66%
2	May 2011	Jan 2016	4 years 9 months	Dec 2017	1 year 11 months	6 years 8 months	-40.01%
3	Feb 2018	Mar 2020	2 years 2 months				-39.54%
4	Jan 2011	Feb 2011	2 months	Mar 2011	1 month	3 months	-4.76%
5	Nov 2010	Nov 2010	1 month	Dec 2010	1 month	2 months	-3.25%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2008	Nov 2008	11 months	Mar 2010	1 year 4 months	2 years 3 months	-52.09%
2	Feb 2018	Mar 2020	2 years 2 months				-35.75%
3	May 2011	Jan 2016	4 years 9 months	Jul 2017	1 year 6 months	6 years 3 months	-30.98%
4	May 2010	Jun 2010	2 months	Jul 2010	1 month	3 months	-9.76%
5	Jan 2011	Feb 2011	2 months	Apr 2011	2 months	4 months	-7.72%
6	Nov 2010	Nov 2010	1 month	Dec 2010	1 month	2 months	-2.54%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
VEIEX	Vanguard Emerging Mkts Stock Idx Inv	2.16%	22.27%	75.98%	-52.81%	-59.31%	0.18	0.26	0.81
DFEVX	DFA Emerging Markets Value I	1.01%	24.91%	92.28%	-53.94%	-61.66%	0.14	0.20	0.80
DGS	WisdomTree Emerging Markets SmCp Div ETF	3.71%	22.51%	83.22%	-45.78%	-52.09%	0.25	0.36	0.80

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VEIEX	DFEVX	DGS	Portfolio 1	Portfolio 2	Portfolio 3
VEIEX	Vanguard Emerging Mkts Stock Idx Inv	1.00	0.99	0.96	1.00	0.99	0.96
DFEVX	DFA Emerging Markets Value I	0.99	1.00	0.96	0.99	1.00	0.96
DGS	WisdomTree Emerging Markets SmCp Div ETF	0.96	0.96	1.00	0.96	0.96	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
VEIEX	Vanguard Emerging Mkts Stock Idx Inv	$3,195
DFEVX	DFA Emerging Markets Value I		$1,399
DGS	WisdomTree Emerging Markets SmCp Div ETF			$6,060

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
VEIEX	Vanguard Emerging Mkts Stock Idx Inv	100.00%
DFEVX	DFA Emerging Markets Value I		100.00%
DGS	WisdomTree Emerging Markets SmCp Div ETF			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	5.31%	93.34%	-56.27%	5.08%	119.52%	-59.05%	7.00%	95.76%	-48.50%
3 years	3.99%	32.20%	-9.08%	3.52%	36.32%	-11.48%	5.59%	34.46%	-10.04%
5 years	2.97%	16.27%	-5.61%	2.40%	18.02%	-8.37%	4.34%	21.00%	-5.52%
7 years	2.64%	8.77%	-1.41%	1.90%	8.76%	-3.22%	3.72%	11.23%	-2.93%
10 years	3.78%	9.87%	0.16%	3.21%	10.89%	-1.90%	5.28%	11.41%	0.35%