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 1997 - Dec 2020)

Note: The time period was constrained by the available data for Vanguard Total Intl Stock Index Inv (VGTSX) [May 1996 - Feb 2021].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
VTSMX	Vanguard Total Stock Mkt Idx Inv	50.00%
VGTSX	Vanguard Total Intl Stock Index Inv	50.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
VTSMX	Vanguard Total Stock Mkt Idx Inv	25.00%
VGTSX	Vanguard Total Intl Stock Index Inv	25.00%
DFSVX	DFA US Small Cap Value I	25.00%
DISVX	DFA International Small Cap Value I	25.00%
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	$54,570	7.33%	16.09%	35.85%	-40.57%	-54.79%	0.40	0.56	0.96
Portfolio 2	$10,000	$67,819	8.30%	16.91%	49.39%	-39.90%	-56.08%	0.44	0.63	0.93

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	15.70%	16.02%	9.65%	12.20%	9.42%	7.33%	18.81%	15.37%
Portfolio 2	20.27%	8.77%	4.51%	9.37%	8.22%	8.30%	21.97%	17.95%
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		Vanguard Total Stock Mkt Idx Inv (VTSMX)	Vanguard Total Intl Stock Index Inv (VGTSX)	DFA US Small Cap Value I (DFSVX)	DFA International Small Cap Value I (DISVX)
Year	Inflation	Return	Balance	Return	Balance	Vanguard Total Stock Mkt Idx Inv (VTSMX)	Vanguard Total Intl Stock Index Inv (VGTSX)	DFA US Small Cap Value I (DFSVX)	DFA International Small Cap Value I (DISVX)
1997	1.70%	15.11%	$11,511	9.56%	$10,956	30.99%	-0.77%	30.75%	-22.72%
1998	1.61%	19.43%	$13,748	9.21%	$11,965	23.26%	15.60%	-7.30%	5.27%
1999	2.68%	26.87%	$17,442	21.45%	$14,532	23.81%	29.92%	13.05%	19.04%
2000	3.39%	-13.09%	$15,158	-5.07%	$13,796	-10.57%	-15.61%	9.01%	-3.08%
2001	1.55%	-15.56%	$12,799	-3.27%	$13,346	-10.97%	-20.15%	22.65%	-4.59%
2002	2.38%	-18.02%	$10,493	-9.88%	$12,027	-20.96%	-15.08%	-9.27%	5.79%
2003	1.88%	35.85%	$14,254	49.39%	$17,968	31.35%	40.34%	59.40%	66.48%
2004	3.26%	16.68%	$16,631	23.39%	$22,170	12.51%	20.84%	25.39%	34.80%
2005	3.42%	10.78%	$18,423	13.14%	$25,084	5.98%	15.57%	7.79%	23.23%
2006	2.54%	21.07%	$22,305	23.02%	$30,859	15.51%	26.64%	21.55%	28.39%
2007	4.08%	10.51%	$24,649	3.30%	$31,878	5.49%	15.52%	-10.75%	2.95%
2008	0.09%	-40.57%	$14,649	-39.90%	$19,158	-37.04%	-44.10%	-36.79%	-41.68%
2009	2.72%	32.71%	$19,441	34.64%	$25,795	28.70%	36.73%	33.62%	39.51%
2010	1.50%	14.11%	$22,183	19.30%	$30,774	17.09%	11.12%	30.90%	18.10%
2011	2.96%	-6.80%	$20,675	-9.65%	$27,803	0.96%	-14.56%	-7.55%	-17.46%
2012	1.74%	17.20%	$24,230	19.59%	$33,251	16.25%	18.14%	21.72%	22.26%
2013	1.50%	24.20%	$30,093	30.79%	$43,490	33.35%	15.04%	42.38%	32.39%
2014	0.76%	4.10%	$31,326	1.67%	$44,216	12.43%	-4.24%	3.48%	-4.99%
2015	0.73%	-2.04%	$30,687	-1.98%	$43,343	0.29%	-4.37%	-7.81%	3.99%
2016	2.07%	8.59%	$33,324	13.36%	$49,135	12.53%	4.65%	28.26%	8.00%
2017	2.11%	24.22%	$41,396	20.91%	$59,409	21.05%	27.40%	7.21%	27.98%
2018	1.91%	-9.85%	$37,318	-14.53%	$50,774	-5.26%	-14.44%	-15.13%	-23.31%
2019	2.29%	26.04%	$47,036	22.80%	$62,351	30.65%	21.43%	18.12%	21.00%
2020	1.36%	16.02%	$54,570	8.77%	$67,819	20.87%	11.16%	2.23%	0.81%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Vanguard Total Stock Mkt Idx Inv (VTSMX)	Vanguard Total Intl Stock Index Inv (VGTSX)	DFA US Small Cap Value I (DFSVX)	DFA International Small Cap Value I (DISVX)
1997	1	1.55%	0.79%	5.46%	-2.37%	2.54%	-2.47%
1997	2	0.82%	0.62%	-0.11%	1.82%	0.00%	0.84%
1997	3	-2.34%	-2.05%	-4.45%	-0.10%	-2.65%	-0.84%
1997	4	2.36%	0.52%	4.50%	0.20%	-0.41%	-2.32%
1997	5	6.83%	7.45%	7.10%	6.54%	9.46%	6.69%
1997	6	4.87%	4.42%	4.37%	5.40%	6.25%	1.52%
1997	7	4.76%	3.08%	7.77%	1.59%	5.98%	-3.88%
1997	8	-6.02%	-3.18%	-3.72%	-8.60%	3.52%	-4.56%
1997	9	5.65%	4.64%	5.77%	5.51%	7.69%	-1.85%
1997	10	-6.01%	-4.89%	-3.40%	-9.10%	-3.55%	-3.98%
1997	11	1.32%	-1.27%	3.33%	-1.19%	-0.85%	-8.41%
1997	12	1.36%	-0.28%	1.70%	0.92%	0.09%	-5.41%
1998	1	1.74%	2.35%	0.44%	3.04%	-1.23%	7.16%
1998	2	7.11%	7.96%	7.34%	6.88%	7.54%	9.96%
1998	3	4.13%	3.55%	5.06%	3.22%	4.07%	2.03%
1998	4	0.82%	0.41%	1.10%	0.53%	1.93%	-1.75%
1998	5	-2.11%	-2.23%	-2.71%	-1.51%	-3.83%	-0.95%
1998	6	1.63%	-0.41%	3.54%	-0.27%	-1.97%	-2.88%
1998	7	-0.62%	-2.85%	-2.27%	1.08%	-7.37%	-3.09%
1998	8	-14.65%	-14.57%	-15.65%	-13.66%	-18.43%	-10.97%
1998	9	2.24%	1.10%	6.68%	-2.07%	2.84%	-2.58%
1998	10	9.10%	7.29%	7.51%	10.77%	4.26%	6.18%
1998	11	5.76%	5.33%	6.17%	5.34%	5.30%	4.43%
1998	12	4.88%	2.97%	6.45%	3.26%	2.32%	-0.59%
1999	1	1.51%	0.62%	3.65%	-0.63%	1.56%	-2.09%
1999	2	-2.96%	-3.88%	-3.73%	-2.16%	-8.24%	-1.28%
1999	3	4.44%	3.28%	3.93%	4.97%	-1.92%	5.91%
1999	4	4.88%	7.60%	4.68%	5.08%	10.68%	10.34%
1999	5	-3.49%	-0.88%	-2.00%	-5.00%	4.69%	-0.86%
1999	6	4.78%	5.59%	5.16%	4.39%	6.11%	6.59%
1999	7	-0.53%	0.50%	-3.20%	2.27%	-0.45%	3.27%
1999	8	-0.29%	-0.70%	-0.92%	0.33%	-2.74%	0.45%
1999	9	-0.80%	-1.18%	-2.44%	0.82%	-2.67%	-0.56%
1999	10	4.98%	1.09%	6.29%	3.74%	-3.42%	-1.81%
1999	11	3.75%	2.33%	3.42%	4.08%	4.53%	-2.19%
1999	12	8.50%	5.84%	7.59%	9.37%	5.73%	0.67%
2000	1	-5.20%	-3.18%	-4.18%	-6.22%	-0.75%	-1.56%
2000	2	2.69%	3.07%	2.54%	2.83%	9.28%	-2.44%
2000	3	4.59%	3.25%	5.69%	3.48%	0.30%	3.87%
2000	4	-5.31%	-5.06%	-5.21%	-5.41%	-3.51%	-6.25%
2000	5	-3.05%	-2.25%	-3.41%	-2.67%	-4.16%	1.54%
2000	6	4.35%	5.60%	4.42%	4.27%	4.98%	8.71%
2000	7	-3.18%	-2.51%	-1.95%	-4.46%	-0.10%	-3.72%
2000	8	4.23%	4.47%	7.28%	1.00%	7.40%	1.81%
2000	9	-4.83%	-3.61%	-4.67%	-5.00%	-1.85%	-3.20%
2000	10	-2.51%	-3.54%	-2.04%	-3.03%	-3.78%	-5.26%
2000	11	-7.36%	-4.72%	-9.90%	-4.44%	-5.44%	1.29%
2000	12	2.71%	4.21%	1.78%	3.72%	7.73%	3.10%
2001	1	2.46%	4.50%	3.83%	1.10%	10.31%	2.75%
2001	2	-8.52%	-4.43%	-9.41%	-7.61%	-1.92%	1.02%
2001	3	-6.93%	-5.27%	-6.72%	-7.15%	-2.46%	-5.18%
2001	4	8.03%	7.35%	8.16%	7.89%	6.12%	7.46%
2001	5	-1.24%	1.25%	1.01%	-3.52%	6.16%	0.50%
2001	6	-2.70%	-0.36%	-1.64%	-3.84%	3.74%	-0.86%
2001	7	-2.06%	-1.98%	-1.71%	-2.43%	-1.63%	-2.24%
2001	8	-4.23%	-1.72%	-6.00%	-2.30%	-1.34%	2.16%
2001	9	-9.84%	-11.57%	-9.00%	-10.73%	-14.56%	-10.96%
2001	10	2.74%	3.10%	2.52%	2.97%	3.93%	2.80%
2001	11	5.66%	4.93%	7.63%	3.56%	7.81%	0.54%
2001	12	1.58%	2.44%	1.78%	1.35%	7.02%	-1.50%
2002	1	-2.94%	-1.33%	-1.24%	-4.63%	1.54%	-0.99%
2002	2	-0.60%	0.67%	-2.05%	0.90%	-0.16%	3.98%
2002	3	5.04%	6.21%	4.38%	5.71%	9.86%	4.79%
2002	4	-2.23%	1.13%	-4.90%	0.42%	4.53%	3.92%
2002	5	0.01%	0.79%	-1.22%	1.16%	-3.15%	6.28%
2002	6	-5.61%	-3.62%	-7.06%	-4.28%	-2.07%	-1.77%
2002	7	-8.96%	-9.70%	-8.02%	-9.80%	-15.60%	-5.29%
2002	8	0.19%	-0.30%	0.53%	-0.12%	-1.25%	-0.25%
2002	9	-10.49%	-8.55%	-10.07%	-10.88%	-7.28%	-6.62%
2002	10	6.63%	3.08%	7.65%	5.70%	1.62%	-0.95%
2002	11	5.38%	5.23%	6.06%	4.75%	8.52%	2.20%
2002	12	-4.47%	-2.64%	-5.57%	-3.43%	-3.58%	1.23%
2003	1	-3.15%	-2.37%	-2.54%	-3.76%	-3.45%	0.27%
2003	2	-2.05%	-1.90%	-1.69%	-2.42%	-4.11%	0.54%
2003	3	-0.41%	-0.50%	1.09%	-1.93%	-0.21%	-0.94%
2003	4	8.94%	9.49%	8.21%	9.70%	10.56%	9.52%
2003	5	6.13%	8.53%	6.11%	6.15%	11.72%	10.06%
2003	6	2.03%	3.40%	1.43%	2.66%	3.65%	5.64%
2003	7	2.76%	4.19%	2.36%	3.18%	7.04%	4.06%
2003	8	2.45%	3.99%	2.39%	2.51%	5.14%	5.54%
2003	9	0.80%	1.72%	-1.15%	2.78%	-0.78%	5.64%
2003	10	6.31%	7.08%	6.12%	6.49%	10.00%	5.71%
2003	11	1.76%	2.02%	1.38%	2.13%	4.16%	0.44%
2003	12	6.17%	5.97%	4.48%	7.80%	5.33%	6.27%
2004	1	1.91%	3.70%	2.23%	1.60%	4.89%	6.10%
2004	2	1.96%	2.11%	1.43%	2.50%	1.41%	3.07%
2004	3	-0.31%	1.17%	-1.07%	0.45%	0.94%	4.20%
2004	4	-2.63%	-3.00%	-2.11%	-3.14%	-3.17%	-3.52%
2004	5	0.90%	0.27%	1.35%	0.46%	0.38%	-0.99%
2004	6	2.24%	3.96%	2.09%	2.40%	6.69%	4.55%
2004	7	-3.57%	-4.00%	-3.80%	-3.34%	-5.33%	-3.48%
2004	8	0.53%	0.20%	0.31%	0.75%	-1.49%	1.23%
2004	9	2.36%	3.08%	1.74%	2.96%	4.93%	2.66%
2004	10	2.47%	2.30%	1.68%	3.24%	0.96%	3.26%
2004	11	5.98%	7.73%	4.68%	7.23%	10.00%	8.75%
2004	12	4.05%	4.24%	3.63%	4.44%	3.62%	5.16%
2005	1	-2.17%	-1.28%	-2.68%	-1.67%	-3.57%	2.79%
2005	2	3.38%	3.57%	2.07%	4.68%	2.70%	4.74%
2005	3	-2.35%	-1.88%	-1.75%	-2.93%	-1.95%	-0.94%
2005	4	-2.19%	-3.36%	-2.32%	-2.07%	-7.28%	-1.95%
2005	5	1.90%	2.09%	3.77%	0.08%	6.65%	-1.49%
2005	6	1.05%	2.15%	0.81%	1.30%	4.17%	2.35%
2005	7	3.89%	4.67%	4.11%	3.68%	7.11%	3.80%
2005	8	0.95%	1.05%	-0.94%	2.85%	-1.67%	3.90%
2005	9	2.82%	2.19%	0.86%	4.73%	0.80%	2.34%
2005	10	-2.64%	-2.62%	-1.86%	-3.37%	-2.92%	-2.32%
2005	11	3.30%	3.14%	3.97%	2.67%	4.21%	1.86%
2005	12	2.69%	3.10%	0.14%	5.14%	0.34%	6.44%
2006	1	5.18%	6.63%	3.50%	6.87%	8.82%	7.33%
2006	2	-0.37%	-0.22%	0.00%	-0.72%	-0.35%	0.21%
2006	3	2.49%	3.99%	1.80%	3.17%	6.09%	4.77%
2006	4	3.15%	2.84%	1.11%	5.12%	0.98%	4.15%
2006	5	-3.86%	-4.24%	-3.23%	-4.45%	-4.39%	-4.80%
2006	6	-0.11%	-0.52%	0.17%	-0.38%	0.05%	-1.86%
2006	7	0.53%	-0.79%	-0.13%	1.15%	-3.75%	-0.36%
2006	8	2.43%	2.34%	2.31%	2.53%	1.95%	2.55%
2006	9	1.22%	1.14%	2.27%	0.25%	1.19%	0.95%
2006	10	3.77%	4.34%	3.53%	4.00%	5.43%	4.39%
2006	11	3.00%	3.47%	2.23%	3.73%	3.03%	4.83%
2006	12	2.15%	2.37%	1.13%	3.09%	1.38%	3.75%
2007	1	1.42%	1.93%	1.88%	0.96%	2.20%	2.67%
2007	2	-0.78%	0.01%	-1.61%	0.06%	-0.23%	1.81%
2007	3	1.96%	2.35%	1.11%	2.80%	1.09%	4.35%
2007	4	3.97%	3.17%	4.01%	3.92%	1.81%	2.97%
2007	5	3.39%	3.06%	3.69%	3.09%	3.65%	1.91%
2007	6	-0.52%	-0.75%	-1.67%	0.61%	-1.55%	-0.42%
2007	7	-2.21%	-3.03%	-3.41%	-1.06%	-7.64%	-0.25%
2007	8	0.33%	-1.10%	1.45%	-0.72%	-0.76%	-4.10%
2007	9	5.02%	3.03%	3.59%	6.38%	-0.28%	2.08%
2007	10	3.95%	3.31%	1.85%	5.90%	1.11%	3.94%
2007	11	-4.53%	-6.38%	-4.49%	-4.57%	-8.72%	-8.12%
2007	12	-1.49%	-1.84%	-0.60%	-2.28%	-1.20%	-3.12%
2008	1	-7.31%	-6.29%	-6.08%	-8.55%	-3.94%	-6.60%
2008	2	-1.39%	-0.87%	-3.07%	0.33%	-2.84%	2.19%
2008	3	-0.65%	0.13%	-0.58%	-0.71%	0.84%	0.93%
2008	4	5.44%	3.51%	5.02%	5.85%	1.66%	1.70%
2008	5	1.80%	2.48%	2.09%	1.51%	4.14%	2.20%
2008	6	-8.59%	-9.01%	-8.19%	-8.99%	-10.10%	-8.74%
2008	7	-2.22%	-1.71%	-0.77%	-3.67%	2.07%	-4.44%
2008	8	-1.71%	-0.56%	1.58%	-5.10%	4.15%	-3.22%
2008	9	-11.08%	-10.74%	-9.26%	-13.09%	-6.89%	-14.39%
2008	10	-19.70%	-20.87%	-17.63%	-22.09%	-22.14%	-21.76%
2008	11	-7.18%	-8.42%	-7.90%	-6.29%	-12.99%	-5.55%
2008	12	4.72%	5.89%	1.86%	8.16%	5.25%	9.09%
2009	1	-10.11%	-10.73%	-8.26%	-11.96%	-14.28%	-8.43%
2009	2	-10.02%	-10.92%	-10.45%	-9.58%	-12.71%	-10.99%
2009	3	8.98%	8.68%	8.65%	9.31%	10.40%	6.52%
2009	4	11.68%	14.72%	10.61%	12.78%	19.66%	16.21%
2009	5	9.85%	9.20%	5.38%	14.35%	3.22%	13.77%
2009	6	-0.52%	-0.26%	0.34%	-1.32%	0.35%	-0.33%
2009	7	8.92%	10.10%	7.82%	9.96%	13.44%	9.31%
2009	8	3.56%	5.29%	3.63%	3.50%	5.14%	8.66%
2009	9	4.70%	5.10%	4.23%	5.15%	6.33%	4.71%
2009	10	-2.36%	-3.98%	-2.57%	-2.17%	-7.53%	-3.62%
2009	11	4.70%	3.19%	5.63%	3.86%	3.11%	0.54%
2009	12	2.17%	3.27%	2.86%	1.53%	7.92%	1.17%
2010	1	-4.28%	-3.41%	-3.50%	-5.07%	-3.16%	-1.92%
2010	2	1.80%	2.20%	3.36%	0.22%	6.15%	-0.95%
2010	3	6.49%	7.51%	6.27%	6.71%	8.86%	8.12%
2010	4	0.27%	2.58%	2.17%	-1.71%	8.11%	1.26%
2010	5	-9.33%	-10.50%	-8.00%	-10.78%	-9.90%	-13.46%
2010	6	-3.54%	-5.03%	-5.66%	-1.17%	-10.14%	-2.01%
2010	7	8.61%	8.90%	6.99%	10.33%	8.69%	9.73%
2010	8	-4.00%	-5.32%	-4.75%	-3.22%	-8.38%	-4.67%
2010	9	9.94%	11.02%	9.47%	10.41%	12.93%	11.23%
2010	10	3.74%	3.70%	3.94%	3.55%	4.17%	3.13%
2010	11	-1.95%	-0.49%	0.58%	-4.52%	4.49%	-2.85%
2010	12	7.55%	9.14%	6.81%	8.34%	9.18%	12.32%
2011	1	1.44%	1.32%	2.19%	0.70%	0.31%	2.09%
2011	2	3.16%	3.87%	3.60%	2.71%	6.28%	2.90%
2011	3	0.01%	0.65%	0.45%	-0.43%	2.05%	0.50%
2011	4	4.10%	3.42%	2.99%	5.24%	1.26%	4.30%
2011	5	-2.01%	-2.65%	-1.16%	-2.87%	-3.12%	-3.43%
2011	6	-1.65%	-1.82%	-1.79%	-1.51%	-1.81%	-2.18%
2011	7	-1.91%	-2.16%	-2.28%	-1.53%	-2.88%	-1.92%
2011	8	-7.21%	-8.62%	-5.99%	-8.45%	-10.58%	-9.51%
2011	9	-9.97%	-11.05%	-7.75%	-12.29%	-12.58%	-11.80%
2011	10	10.89%	11.27%	11.51%	10.22%	15.82%	7.61%
2011	11	-1.51%	-1.71%	-0.29%	-2.88%	-0.68%	-3.23%
2011	12	-0.81%	-0.78%	0.80%	-2.64%	1.01%	-2.66%
2012	1	6.18%	7.45%	5.08%	7.27%	7.43%	10.01%
2012	2	4.70%	4.64%	4.26%	5.14%	3.18%	5.96%
2012	3	1.13%	1.16%	3.07%	-0.75%	2.30%	0.13%
2012	4	-1.21%	-1.71%	-0.65%	-1.78%	-1.60%	-2.78%
2012	5	-8.66%	-9.31%	-6.24%	-11.14%	-7.12%	-12.72%
2012	6	4.93%	4.79%	3.91%	6.03%	4.38%	4.93%
2012	7	0.75%	0.24%	1.03%	0.44%	-0.24%	-0.29%
2012	8	2.60%	3.27%	2.48%	2.72%	4.21%	3.67%
2012	9	3.08%	3.53%	2.58%	3.62%	3.31%	4.67%
2012	10	-0.63%	-0.29%	-1.76%	0.56%	-0.82%	0.93%
2012	11	1.27%	1.45%	0.74%	1.82%	1.84%	1.39%
2012	12	2.67%	3.83%	1.19%	4.17%	3.72%	6.24%
2013	1	4.42%	5.13%	5.50%	3.34%	6.56%	5.13%
2013	2	0.04%	0.61%	1.28%	-1.23%	1.75%	0.60%
2013	3	2.36%	2.93%	3.88%	0.77%	4.91%	2.04%
2013	4	2.60%	1.69%	1.70%	3.58%	-1.11%	2.84%
2013	5	-0.24%	0.76%	2.32%	-2.95%	5.39%	-1.97%
2013	6	-2.44%	-2.13%	-1.27%	-3.75%	-0.70%	-3.04%
2013	7	5.06%	6.25%	5.49%	4.56%	7.34%	7.46%
2013	8	-2.27%	-2.53%	-2.82%	-1.63%	-4.17%	-1.23%
2013	9	5.32%	6.38%	3.66%	7.21%	5.24%	9.69%
2013	10	3.84%	3.84%	4.22%	3.41%	3.51%	4.18%
2013	11	1.57%	2.13%	2.88%	0.12%	5.08%	0.15%
2013	12	1.99%	2.52%	2.63%	1.25%	2.72%	3.33%
2014	1	-3.94%	-3.60%	-3.11%	-4.78%	-5.14%	-1.38%
2014	2	5.06%	5.62%	4.73%	5.39%	5.45%	6.88%
2014	3	0.46%	0.69%	0.51%	0.41%	1.19%	0.65%
2014	4	0.68%	-0.24%	0.06%	1.31%	-1.93%	-0.42%
2014	5	2.03%	1.42%	2.17%	1.88%	0.83%	0.79%
2014	6	2.14%	2.55%	2.54%	1.74%	4.44%	1.57%
2014	7	-1.79%	-3.21%	-1.98%	-1.61%	-5.76%	-3.51%
2014	8	2.62%	2.89%	4.18%	1.05%	5.83%	0.66%
2014	9	-3.55%	-4.95%	-2.14%	-5.01%	-6.98%	-5.82%
2014	10	1.27%	1.22%	2.74%	-0.31%	4.61%	-2.20%
2014	11	1.15%	0.35%	2.41%	-0.25%	-0.28%	-0.72%
2014	12	-1.72%	-0.58%	-0.01%	-3.65%	2.29%	-1.10%
2015	1	-1.32%	-2.06%	-2.77%	0.13%	-4.95%	-0.65%
2015	2	5.64%	6.17%	5.76%	5.52%	5.90%	7.47%
2015	3	-1.29%	-0.72%	-1.04%	-1.54%	1.78%	-1.96%
2015	4	2.78%	2.33%	0.42%	5.08%	-1.34%	5.03%
2015	5	0.18%	0.82%	1.39%	-0.94%	1.36%	1.56%
2015	6	-2.21%	-1.45%	-1.71%	-2.69%	0.05%	-1.39%
2015	7	0.39%	-1.02%	1.63%	-0.80%	-3.67%	-1.23%
2015	8	-6.66%	-5.41%	-6.03%	-7.29%	-4.04%	-4.27%
2015	9	-3.41%	-3.83%	-2.93%	-3.90%	-4.51%	-3.99%
2015	10	7.06%	6.16%	7.84%	6.26%	5.28%	5.25%
2015	11	-0.38%	0.36%	0.54%	-1.32%	3.17%	-0.77%
2015	12	-2.05%	-2.63%	-2.03%	-2.07%	-6.20%	-0.39%
2016	1	-5.63%	-6.46%	-5.67%	-5.59%	-7.18%	-7.39%
2016	2	-1.15%	-0.51%	-0.04%	-2.27%	1.17%	-0.87%
2016	3	7.59%	8.00%	7.01%	8.19%	8.77%	8.04%
2016	4	1.42%	2.01%	0.63%	2.22%	1.80%	3.41%
2016	5	0.38%	0.11%	1.79%	-1.02%	0.47%	-0.79%
2016	6	-0.35%	-1.86%	0.23%	-0.94%	-1.16%	-5.61%
2016	7	4.18%	5.07%	3.95%	4.41%	4.85%	7.20%
2016	8	0.49%	0.78%	0.26%	0.74%	1.74%	0.37%
2016	9	0.75%	1.35%	0.15%	1.37%	1.21%	2.74%
2016	10	-1.97%	-1.99%	-2.21%	-1.72%	-3.14%	-0.82%
2016	11	1.16%	4.22%	4.44%	-2.15%	14.87%	-0.57%
2016	12	1.97%	2.65%	1.92%	2.02%	3.41%	3.15%
2017	1	2.89%	2.39%	1.91%	3.87%	-0.53%	4.31%
2017	2	2.60%	1.72%	3.71%	1.50%	0.32%	1.31%
2017	3	1.44%	0.95%	0.07%	2.82%	-1.14%	1.94%
2017	4	1.63%	1.59%	1.05%	2.20%	0.46%	2.54%
2017	5	2.03%	0.70%	1.01%	3.01%	-3.51%	1.86%
2017	6	0.72%	1.42%	0.92%	0.52%	2.59%	1.81%
2017	7	2.66%	2.53%	1.87%	3.42%	0.77%	3.77%
2017	8	0.40%	-0.23%	0.15%	0.64%	-2.55%	0.49%
2017	9	2.12%	3.65%	2.45%	1.81%	7.92%	3.18%
2017	10	2.04%	1.48%	2.16%	1.94%	0.96%	0.86%
2017	11	1.88%	1.46%	3.04%	0.78%	2.12%	0.09%
2017	12	1.51%	1.53%	0.99%	2.01%	0.03%	2.86%
2018	1	5.45%	4.20%	5.31%	5.59%	1.50%	4.40%
2018	2	-4.43%	-4.61%	-3.72%	-5.14%	-4.68%	-4.92%
2018	3	-1.32%	-0.83%	-1.99%	-0.64%	0.93%	-1.54%
2018	4	0.60%	1.13%	0.38%	0.83%	1.32%	2.00%
2018	5	0.43%	1.06%	2.79%	-1.92%	6.29%	-2.88%
2018	6	-0.67%	-0.94%	0.68%	-2.08%	0.06%	-2.56%
2018	7	2.92%	2.26%	3.34%	2.48%	1.61%	1.57%
2018	8	0.73%	0.42%	3.44%	-2.19%	2.84%	-2.95%
2018	9	0.23%	-0.64%	0.16%	0.30%	-3.19%	0.46%
2018	10	-7.85%	-8.73%	-7.40%	-8.35%	-9.41%	-9.93%
2018	11	1.69%	0.68%	2.06%	1.26%	0.91%	-1.87%
2018	12	-7.24%	-8.66%	-9.29%	-4.85%	-12.79%	-7.13%
2019	1	8.08%	8.92%	8.59%	7.58%	12.00%	7.51%
2019	2	2.61%	2.80%	3.50%	1.72%	3.27%	2.68%
2019	3	1.09%	-0.80%	1.44%	0.72%	-3.66%	-1.58%
2019	4	3.38%	3.53%	3.98%	2.76%	4.04%	3.32%
2019	5	-6.01%	-7.84%	-6.45%	-5.55%	-11.52%	-7.81%
2019	6	6.41%	6.43%	6.97%	5.83%	7.77%	5.15%
2019	7	-0.19%	-0.38%	1.44%	-1.89%	0.39%	-1.56%
2019	8	-2.18%	-3.70%	-2.03%	-2.35%	-8.00%	-2.54%
2019	9	2.19%	3.43%	1.70%	2.72%	5.96%	3.65%
2019	10	2.71%	2.90%	2.10%	3.38%	1.83%	4.38%
2019	11	2.48%	2.45%	3.77%	1.11%	3.17%	1.67%
2019	12	3.53%	4.07%	2.85%	4.27%	3.92%	5.36%
2020	1	-1.69%	-3.88%	-0.08%	-3.30%	-6.88%	-5.27%
2020	2	-7.46%	-8.74%	-8.18%	-6.72%	-10.79%	-9.38%
2020	3	-14.94%	-19.61%	-13.78%	-16.11%	-26.60%	-22.76%
2020	4	10.72%	11.94%	13.25%	8.09%	15.81%	11.22%
2020	5	5.10%	4.57%	5.38%	4.80%	2.85%	4.98%
2020	6	3.21%	2.86%	2.28%	4.24%	2.65%	2.25%
2020	7	4.90%	3.94%	5.64%	4.10%	3.21%	2.36%
2020	8	5.81%	5.92%	7.18%	4.31%	5.58%	6.52%
2020	9	-2.81%	-3.25%	-3.57%	-1.96%	-5.13%	-2.51%
2020	10	-2.18%	-1.18%	-2.16%	-2.21%	3.95%	-3.51%
2020	11	12.54%	14.46%	12.19%	12.93%	17.89%	15.72%
2020	12	5.10%	6.33%	4.45%	5.82%	8.25%	7.31%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2
Large-cap Value	15.41%	1.82%
Large-cap Growth	25.55%	5.13%
Mid-cap Value	7.44%	18.25%
Mid-cap Growth	1.89%	1.62%
Small-cap Value	1.16%	23.72%
Small-cap Growth	0.00%	0.00%
Global ex-US Developed Markets	37.37%	42.23%
Emerging Markets	11.03%	7.23%
Corporate Bonds	0.14%	0.00%
Long-Term Treasuries	0.00%	0.00%
Intermediate-Term Treasuries	0.00%	0.00%
Short-Term Treasuries	0.00%	0.00%
R Squared	99.79%	98.77%
Style analysis is based on monthly returns from April 2005 to December 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

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
VTSMX	Vanguard Total Stock Mkt Idx Inv	Large Blend	50.00%	1.27%	0.14%	27.11	$28,418	47.65%
VGTSX	Vanguard Total Intl Stock Index Inv	Foreign Large Blend	50.00%	2.05%	0.17%	19.90	$16,152	52.35%
			100.00%	1.66%	0.16%	23.51	$44,570	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
VTSMX	Vanguard Total Stock Mkt Idx Inv	Large Blend	25.00%	1.27%	0.14%	27.11	$19,087	21.83%
VGTSX	Vanguard Total Intl Stock Index Inv	Foreign Large Blend	25.00%	2.05%	0.17%	19.90	$11,011	24.24%
DFSVX	DFA US Small Cap Value I	Small Value	25.00%	1.86%	0.51%	14.00	$14,629	29.19%
DISVX	DFA International Small Cap Value I	Foreign Small/Mid Value	25.00%	1.87%	0.64%	13.67	$13,093	24.74%
			100.00%	1.76%	0.37%	18.67	$57,819	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 02/26/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.70%	0.79%
Arithmetic Mean (annualized)	8.74%	9.88%
Geometric Mean (monthly)	0.59%	0.67%
Geometric Mean (annualized)	7.33%	8.30%
Volatility (monthly)	4.65%	4.88%
Volatility (annualized)	16.09%	16.91%
Downside Deviation (monthly)	3.22%	3.37%
Max. Drawdown	-54.79%	-56.08%
US Market Correlation	0.96	0.93
Beta^(*)	0.97	0.99
Alpha (annualized)	-1.41%	-0.48%
R²	92.85%	86.32%
Sharpe Ratio	0.40	0.44
Sortino Ratio	0.56	0.63
Treynor Ratio (%)	6.58	7.56
Calmar Ratio	0.43	0.15
Active Return	-1.83%	-0.86%
Tracking Error	4.32%	6.26%
Information Ratio	-0.42	-0.14
Skewness	-0.71	-0.76
Excess Kurtosis	1.62	2.39
Historical Value-at-Risk (5%)	-7.71%	-8.64%
Analytical Value-at-Risk (5%)	-6.94%	-7.26%
Conditional Value-at-Risk (5%)	-10.85%	-11.65%
Upside Capture Ratio (%)	93.29	96.38
Downside Capture Ratio (%)	100.59	99.68
Safe Withdrawal Rate	6.62%	7.92%
Perpetual Withdrawal Rate	4.88%	5.74%
Positive Periods	179 out of 288 (62.15%)	177 out of 288 (61.46%)
Gain/Loss Ratio	0.90	0.96
^* 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 Period	Start	End	Portfolio 1	Portfolio 2
Asian Crisis	Jul 1997	Jan 1998	-6.68%	-6.36%
Russian Debt Default	Jul 1998	Oct 1998	-15.18%	-17.01%
Dotcom Crash	Mar 2000	Oct 2002	-44.96%	-23.96%
Subprime Crisis	Nov 2007	Mar 2009	-54.79%	-56.08%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Apr 2013	4 years 2 months	5 years 6 months	-54.79%
2	Apr 2000	Sep 2002	2 years 6 months	Sep 2005	3 years	5 years 6 months	-44.96%
3	Jan 2020	Mar 2020	3 months	Aug 2020	5 months	8 months	-22.61%
4	May 1998	Aug 1998	4 months	Dec 1998	4 months	8 months	-15.62%
5	Feb 2018	Dec 2018	11 months	Oct 2019	10 months	1 year 9 months	-14.51%
6	Jun 2015	Feb 2016	9 months	Dec 2016	10 months	1 year 7 months	-13.76%
7	Aug 1997	Oct 1997	3 months	Feb 1998	4 months	7 months	-6.68%
8	Jan 2000	Jan 2000	1 month	Mar 2000	2 months	3 months	-5.20%
9	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-4.93%
10	Sep 2014	Jan 2015	5 months	Feb 2015	1 month	6 months	-4.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Jan 2013	3 years 11 months	5 years 3 months	-56.08%
2	Jan 2020	Mar 2020	3 months	Nov 2020	8 months	11 months	-29.48%
3	Apr 2000	Sep 2002	2 years 6 months	Aug 2003	11 months	3 years 5 months	-23.96%
4	May 1998	Aug 1998	4 months	Apr 1999	8 months	1 year	-19.20%
5	Feb 2018	Dec 2018	11 months	Dec 2019	1 year	1 year 11 months	-17.98%
6	Jun 2015	Feb 2016	9 months	Nov 2016	9 months	1 year 6 months	-14.34%
7	Jul 2014	Jan 2015	7 months	Apr 2015	3 months	10 months	-6.38%
8	Oct 1997	Dec 1997	3 months	Feb 1998	2 months	5 months	-6.36%
9	May 2006	Jul 2006	3 months	Oct 2006	3 months	6 months	-5.49%
10	Mar 2005	Apr 2005	2 months	Jul 2005	3 months	5 months	-5.18%
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
VTSMX	Vanguard Total Stock Mkt Idx Inv	9.16%	15.93%	33.35%	-37.04%	-50.89%	0.51	0.73	1.00
VGTSX	Vanguard Total Intl Stock Index Inv	5.23%	17.43%	40.34%	-44.10%	-58.50%	0.27	0.37	0.87
DFSVX	DFA US Small Cap Value I	9.71%	21.40%	59.40%	-36.79%	-61.18%	0.45	0.65	0.86
DISVX	DFA International Small Cap Value I	7.50%	18.31%	66.48%	-41.68%	-57.69%	0.38	0.55	0.74

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VTSMX	VGTSX	DFSVX	DISVX	Portfolio 1	Portfolio 2
VTSMX	Vanguard Total Stock Mkt Idx Inv	1.00	0.87	0.86	0.74	0.96	0.93
VGTSX	Vanguard Total Intl Stock Index Inv	0.87	1.00	0.77	0.89	0.97	0.94
DFSVX	DFA US Small Cap Value I	0.86	0.77	1.00	0.77	0.84	0.92
DISVX	DFA International Small Cap Value I	0.74	0.89	0.77	1.00	0.85	0.92

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2
VTSMX	Vanguard Total Stock Mkt Idx Inv	$28,418	$19,087
VGTSX	Vanguard Total Intl Stock Index Inv	$16,152	$11,011
DFSVX	DFA US Small Cap Value I		$14,629
DISVX	DFA International Small Cap Value I		$13,093

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2
VTSMX	Vanguard Total Stock Mkt Idx Inv	47.65%	21.83%
VGTSX	Vanguard Total Intl Stock Index Inv	52.35%	24.24%
DFSVX	DFA US Small Cap Value I		29.19%
DISVX	DFA International Small Cap Value I		24.74%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	7.93%	59.88%	-47.40%	9.06%	67.94%	-48.55%
3 years	6.45%	25.91%	-17.66%	8.22%	34.28%	-17.04%
5 years	5.96%	20.87%	-5.37%	8.13%	24.20%	-4.35%
7 years	6.39%	13.43%	-0.59%	8.51%	14.92%	2.01%
10 years	6.18%	13.32%	-1.33%	8.00%	14.07%	2.79%
15 years	6.29%	10.20%	3.89%	8.19%	11.72%	4.65%