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 (Jan 2007 - Feb 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 100.00%
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Portfolio 2
Ticker Name Allocation
DES WisdomTree US SmallCap Dividend ETF 100.00%
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Portfolio 3
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$17,277 4.24% 21.49%42.38%-36.79%-61.18% 0.260.370.91
Portfolio 2$10,000$19,714 5.29% 19.70%36.73%-28.18%-58.38% 0.310.450.87
Portfolio 3$10,000$21,974 6.16% 19.70%39.34%-29.39%-54.13% 0.360.510.91
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to February
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceDFA US Small Cap Value I (DFSVX)WisdomTree US SmallCap Dividend ETF (DES)iShares S&P Small-Cap 600 Value ETF (IJS)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20074.08%-10.75%-12.43%-5.56%$8,925$8,757$9,444-10.75%-12.43%-5.56%
20080.09%-36.79%-28.18%-29.39%$5,642$6,290$6,668-36.79%-28.18%-29.39%
20092.72%33.62%22.17%22.36%$7,539$7,684$8,15933.62%22.17%22.36%
20101.50%30.90%27.00%24.69%$9,869$9,758$10,17330.90%27.00%24.69%
20112.96%-7.55%-2.03%-1.65%$9,124$9,561$10,005-7.55%-2.03%-1.65%
20121.74%21.72%18.31%18.24%$11,106$11,311$11,83121.72%18.31%18.24%
20131.50%42.38%36.73%39.34%$15,814$15,466$16,48642.38%36.73%39.34%
20140.76%3.48%7.57%7.56%$16,364$16,637$17,7323.48%7.57%7.56%
20150.73%-7.81%-5.71%-6.90%$15,086$15,687$16,509-7.81%-5.71%-6.90%
20162.07%28.26%31.39%31.25%$19,349$20,612$21,66728.26%31.39%31.25%
20172.11%7.21%8.63%11.35%$20,745$22,391$24,1277.21%8.63%11.35%
20181.91%-15.13%-12.83%-12.84%$17,607$19,519$21,029-15.13%-12.83%-12.84%
20192.29%18.12%20.26%24.12%$20,797$23,474$26,10118.12%20.26%24.12%
20200.66%-16.93%-16.02%-15.81%$17,277$19,714$21,974-16.93%-16.02%-15.81%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA US Small Cap Value I (DFSVX)WisdomTree US SmallCap Dividend ETF (DES)iShares S&P Small-Cap 600 Value ETF (IJS)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200712.20%1.53%2.14%$10,220$10,153$10,2142.20%1.53%2.14%
20072-0.23%-1.73%-0.92%$10,196$9,977$10,119-0.23%-1.73%-0.92%
200731.09%0.44%0.91%$10,307$10,021$10,2111.09%0.44%0.91%
200741.81%0.17%1.84%$10,493$10,039$10,3991.81%0.17%1.84%
200753.65%2.81%4.63%$10,876$10,320$10,8813.65%2.81%4.63%
20076-1.55%-2.05%-2.24%$10,708$10,109$10,637-1.55%-2.05%-2.24%
20077-7.64%-8.43%-6.26%$9,890$9,257$9,971-7.64%-8.43%-6.26%
20078-0.76%4.26%1.33%$9,815$9,651$10,104-0.76%4.26%1.33%
20079-0.28%-0.26%0.31%$9,788$9,626$10,136-0.28%-0.26%0.31%
2007101.11%0.06%1.06%$9,897$9,631$10,2431.11%0.06%1.06%
200711-8.72%-6.84%-7.15%$9,034$8,972$9,511-8.72%-6.84%-7.15%
200712-1.20%-2.39%-0.71%$8,925$8,757$9,444-1.20%-2.39%-0.71%
20081-3.94%0.21%-4.00%$8,574$8,776$9,066-3.94%0.21%-4.00%
20082-2.84%-5.51%-3.36%$8,330$8,292$8,761-2.84%-5.51%-3.36%
200830.84%1.76%0.83%$8,401$8,438$8,8330.84%1.76%0.83%
200841.66%1.79%2.64%$8,540$8,589$9,0671.66%1.79%2.64%
200854.14%0.72%3.92%$8,893$8,651$9,4224.14%0.72%3.92%
20086-10.10%-12.34%-8.41%$7,994$7,584$8,629-10.10%-12.34%-8.41%
200872.07%5.33%2.87%$8,160$7,989$8,8772.07%5.33%2.87%
200884.15%3.72%4.76%$8,499$8,286$9,3004.15%3.72%4.76%
20089-6.89%1.32%-4.82%$7,913$8,395$8,852-6.89%1.32%-4.82%
200810-22.14%-20.76%-19.86%$6,161$6,652$7,094-22.14%-20.76%-19.86%
200811-12.99%-9.70%-11.80%$5,361$6,007$6,257-12.99%-9.70%-11.80%
2008125.25%4.71%6.57%$5,642$6,290$6,6685.25%4.71%6.57%
20091-14.28%-16.55%-13.94%$4,837$5,249$5,738-14.28%-16.55%-13.94%
20092-12.71%-18.17%-13.03%$4,222$4,295$4,991-12.71%-18.17%-13.03%
2009310.40%7.29%7.58%$4,661$4,608$5,36910.40%7.29%7.58%
2009419.66%24.51%18.89%$5,577$5,738$6,38419.66%24.51%18.89%
200953.22%1.27%0.67%$5,757$5,811$6,4263.22%1.27%0.67%
200960.35%0.89%1.52%$5,777$5,862$6,5240.35%0.89%1.52%
2009713.44%11.67%11.00%$6,554$6,547$7,24213.44%11.67%11.00%
200985.14%5.82%3.48%$6,890$6,928$7,4945.14%5.82%3.48%
200996.33%6.91%4.21%$7,327$7,406$7,8096.33%6.91%4.21%
200910-7.53%-6.27%-6.07%$6,775$6,942$7,335-7.53%-6.27%-6.07%
2009113.11%3.27%2.90%$6,986$7,169$7,5483.11%3.27%2.90%
2009127.92%7.19%8.10%$7,539$7,684$8,1597.92%7.19%8.10%
20101-3.16%-2.16%-2.54%$7,301$7,518$7,952-3.16%-2.16%-2.54%
201026.15%4.37%4.76%$7,750$7,847$8,3316.15%4.37%4.76%
201038.86%8.56%7.80%$8,437$8,518$8,9818.86%8.56%7.80%
201048.11%5.98%6.63%$9,121$9,028$9,5768.11%5.98%6.63%
20105-9.90%-6.95%-8.54%$8,218$8,400$8,758-9.90%-6.95%-8.54%
20106-10.14%-6.00%-8.27%$7,384$7,897$8,033-10.14%-6.00%-8.27%
201078.69%7.02%6.71%$8,026$8,451$8,5738.69%7.02%6.71%
20108-8.38%-6.40%-7.91%$7,354$7,911$7,894-8.38%-6.40%-7.91%
2010912.93%9.03%10.93%$8,305$8,625$8,75712.93%9.03%10.93%
2010104.17%4.01%4.04%$8,651$8,971$9,1114.17%4.01%4.04%
2010114.49%1.84%2.47%$9,040$9,136$9,3364.49%1.84%2.47%
2010129.18%6.82%8.97%$9,869$9,758$10,1739.18%6.82%8.97%
201110.31%-1.18%-0.24%$9,900$9,643$10,1490.31%-1.18%-0.24%
201126.28%3.33%4.21%$10,521$9,964$10,5776.28%3.33%4.21%
201132.05%1.14%2.21%$10,737$10,078$10,8102.05%1.14%2.21%
201141.26%1.83%1.06%$10,872$10,262$10,9251.26%1.83%1.06%
20115-3.12%-1.37%-1.77%$10,533$10,121$10,732-3.12%-1.37%-1.77%
20116-1.81%-1.59%-1.59%$10,342$9,960$10,561-1.81%-1.59%-1.59%
20117-2.88%-2.77%-2.77%$10,045$9,684$10,268-2.88%-2.77%-2.77%
20118-10.58%-5.94%-7.98%$8,982$9,109$9,449-10.58%-5.94%-7.98%
20119-12.58%-8.61%-10.57%$7,853$8,324$8,450-12.58%-8.61%-10.57%
20111015.82%12.94%15.34%$9,095$9,402$9,74615.82%12.94%15.34%
201111-0.68%-0.16%0.63%$9,033$9,387$9,808-0.68%-0.16%0.63%
2011121.01%1.85%2.02%$9,124$9,561$10,0051.01%1.85%2.02%
201217.43%6.37%7.90%$9,802$10,170$10,7967.43%6.37%7.90%
201223.18%0.90%1.71%$10,113$10,261$10,9813.18%0.90%1.71%
201232.30%2.73%2.89%$10,346$10,542$11,2982.30%2.73%2.89%
20124-1.60%-1.16%-1.91%$10,180$10,420$11,083-1.60%-1.16%-1.91%
20125-7.12%-4.91%-7.18%$9,455$9,908$10,287-7.12%-4.91%-7.18%
201264.38%5.63%4.54%$9,870$10,466$10,7544.38%5.63%4.54%
20127-0.24%-0.85%-0.69%$9,846$10,377$10,680-0.24%-0.85%-0.69%
201284.21%3.01%4.08%$10,261$10,689$11,1164.21%3.01%4.08%
201293.31%3.46%3.14%$10,601$11,059$11,4643.31%3.46%3.14%
201210-0.82%-0.95%-1.96%$10,514$10,954$11,239-0.82%-0.95%-1.96%
2012111.84%0.08%1.65%$10,708$10,964$11,4251.84%0.08%1.65%
2012123.72%3.17%3.55%$11,106$11,311$11,8313.72%3.17%3.55%
201316.56%5.81%5.35%$11,835$11,968$12,4646.56%5.81%5.35%
201321.75%2.19%1.63%$12,043$12,231$12,6671.75%2.19%1.63%
201334.91%4.20%4.11%$12,634$12,744$13,1884.91%4.20%4.11%
20134-1.11%0.40%0.12%$12,494$12,795$13,204-1.11%0.40%0.12%
201355.39%2.14%4.29%$13,168$13,069$13,7705.39%2.14%4.29%
20136-0.70%0.37%-0.14%$13,075$13,118$13,750-0.70%0.37%-0.14%
201377.34%7.60%6.56%$14,034$14,116$14,6527.34%7.60%6.56%
20138-4.17%-4.96%-3.41%$13,449$13,415$14,152-4.17%-4.96%-3.41%
201395.24%5.61%6.59%$14,154$14,168$15,0855.24%5.61%6.59%
2013103.51%4.45%3.48%$14,651$14,798$15,6113.51%4.45%3.48%
2013115.08%3.07%4.25%$15,395$15,253$16,2755.08%3.07%4.25%
2013122.72%1.40%1.29%$15,814$15,466$16,4862.72%1.40%1.29%
20141-5.14%-3.94%-3.51%$15,001$14,857$15,906-5.14%-3.94%-3.51%
201425.45%3.86%4.63%$15,818$15,431$16,6435.45%3.86%4.63%
201431.19%1.47%1.34%$16,006$15,658$16,8661.19%1.47%1.34%
20144-1.93%-1.20%-2.29%$15,698$15,470$16,479-1.93%-1.20%-2.29%
201450.83%0.82%0.62%$15,827$15,596$16,5820.83%0.82%0.62%
201464.44%3.60%3.85%$16,529$16,158$17,2204.44%3.60%3.85%
20147-5.76%-5.03%-5.07%$15,577$15,345$16,347-5.76%-5.03%-5.07%
201485.83%4.61%4.46%$16,485$16,053$17,0765.83%4.61%4.46%
20149-6.98%-5.97%-5.94%$15,334$15,094$16,061-6.98%-5.97%-5.94%
2014104.61%8.06%7.13%$16,042$16,311$17,2074.61%8.06%7.13%
201411-0.28%0.02%0.48%$15,997$16,316$17,289-0.28%0.02%0.48%
2014122.29%1.97%2.56%$16,364$16,637$17,7322.29%1.97%2.56%
20151-4.95%-3.39%-5.32%$15,554$16,073$16,789-4.95%-3.39%-5.32%
201525.90%4.67%5.86%$16,472$16,824$17,7725.90%4.67%5.86%
201531.78%1.06%1.03%$16,764$17,003$17,9551.78%1.06%1.03%
20154-1.34%-2.18%-1.82%$16,539$16,632$17,627-1.34%-2.18%-1.82%
201551.36%0.18%0.75%$16,764$16,662$17,7601.36%0.18%0.75%
201560.05%0.39%0.42%$16,773$16,727$17,8350.05%0.39%0.42%
20157-3.67%-2.17%-2.70%$16,158$16,364$17,353-3.67%-2.17%-2.70%
20158-4.04%-4.87%-4.62%$15,505$15,568$16,552-4.04%-4.87%-4.62%
20159-4.51%-3.10%-3.77%$14,806$15,085$15,927-4.51%-3.10%-3.77%
2015105.28%6.65%6.57%$15,589$16,088$16,9735.28%6.65%6.57%
2015113.17%1.87%2.47%$16,083$16,388$17,3933.17%1.87%2.47%
201512-6.20%-4.28%-5.08%$15,086$15,687$16,509-6.20%-4.28%-5.08%
20161-7.18%-5.46%-5.85%$14,002$14,831$15,543-7.18%-5.46%-5.85%
201621.17%3.07%2.08%$14,165$15,287$15,8661.17%3.07%2.08%
201638.77%9.16%9.41%$15,407$16,687$17,3608.77%9.16%9.41%
201641.80%2.25%2.13%$15,685$17,063$17,7291.80%2.25%2.13%
201650.47%-0.06%0.44%$15,759$17,054$17,8070.47%-0.06%0.44%
20166-1.16%2.96%0.83%$15,577$17,559$17,956-1.16%2.96%0.83%
201674.85%4.79%5.06%$16,332$18,400$18,8644.85%4.79%5.06%
201681.74%0.18%1.13%$16,616$18,434$19,0781.74%0.18%1.13%
201691.21%0.82%0.87%$16,816$18,585$19,2431.21%0.82%0.87%
201610-3.14%-3.75%-3.74%$16,289$17,888$18,523-3.14%-3.75%-3.74%
20161114.87%11.09%13.34%$18,711$19,872$20,99514.87%11.09%13.34%
2016123.41%3.72%3.20%$19,349$20,612$21,6673.41%3.72%3.20%
20171-0.53%-1.41%-1.21%$19,246$20,322$21,405-0.53%-1.41%-1.21%
201720.32%0.35%1.35%$19,308$20,394$21,6950.32%0.35%1.35%
20173-1.14%-0.81%-0.65%$19,088$20,229$21,554-1.14%-0.81%-0.65%
201740.46%1.51%0.51%$19,176$20,535$21,6640.46%1.51%0.51%
20175-3.51%-3.29%-2.26%$18,503$19,860$21,174-3.51%-3.29%-2.26%
201762.59%2.34%2.96%$18,982$20,325$21,8012.59%2.34%2.96%
201770.77%1.23%0.75%$19,127$20,575$21,9650.77%1.23%0.75%
20178-2.55%-2.48%-2.72%$18,640$20,066$21,368-2.55%-2.48%-2.72%
201797.92%6.65%8.58%$20,115$21,400$23,2017.92%6.65%8.58%
2017100.96%0.73%0.59%$20,308$21,557$23,3380.96%0.73%0.59%
2017112.12%4.04%3.76%$20,739$22,428$24,2162.12%4.04%3.76%
2017120.03%-0.16%-0.37%$20,745$22,391$24,1270.03%-0.16%-0.37%
201811.50%-0.24%1.33%$21,057$22,337$24,4471.50%-0.24%1.33%
20182-4.68%-5.98%-4.04%$20,072$21,002$23,459-4.68%-5.98%-4.04%
201830.93%1.06%1.37%$20,259$21,225$23,7800.93%1.06%1.37%
201841.32%2.03%1.76%$20,527$21,654$24,2001.32%2.03%1.76%
201856.29%4.44%5.87%$21,818$22,616$25,6206.29%4.44%5.87%
201860.06%2.12%0.80%$21,831$23,096$25,8240.06%2.12%0.80%
201871.61%1.49%2.62%$22,182$23,440$26,5001.61%1.49%2.62%
201882.84%1.94%3.14%$22,813$23,893$27,3322.84%1.94%3.14%
20189-3.19%-2.10%-3.05%$22,085$23,391$26,498-3.19%-2.10%-3.05%
201810-9.41%-7.57%-9.94%$20,007$21,619$23,864-9.41%-7.57%-9.94%
2018110.91%1.96%0.57%$20,188$22,044$24,0010.91%1.96%0.57%
201812-12.79%-11.45%-12.38%$17,607$19,519$21,029-12.79%-11.45%-12.38%
2019112.00%11.09%12.26%$19,719$21,684$23,60612.00%11.09%12.26%
201923.27%4.13%4.13%$20,365$22,580$24,5823.27%4.13%4.13%
20193-3.66%-2.84%-3.91%$19,619$21,939$23,621-3.66%-2.84%-3.91%
201944.04%2.56%4.32%$20,413$22,500$24,6414.04%2.56%4.32%
20195-11.52%-9.02%-9.98%$18,062$20,470$22,182-11.52%-9.02%-9.98%
201967.77%6.40%7.66%$19,464$21,781$23,8817.77%6.40%7.66%
201970.39%0.65%1.30%$19,541$21,922$24,1910.39%0.65%1.30%
20198-8.00%-4.62%-5.14%$17,978$20,909$22,947-8.00%-4.62%-5.14%
201995.96%6.15%5.57%$19,049$22,193$24,2265.96%6.15%5.57%
2019101.83%1.54%2.00%$19,398$22,534$24,7121.83%1.54%2.00%
2019113.17%1.97%2.71%$20,014$22,977$25,3813.17%1.97%2.71%
2019123.92%2.16%2.84%$20,797$23,474$26,1013.92%2.16%2.84%
20201-6.88%-6.58%-6.31%$19,366$21,930$24,455-6.88%-6.58%-6.31%
20202-10.79%-10.10%-10.15%$17,277$19,714$21,974-10.79%-10.10%-10.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%2.51%0.00%
Large-cap Growth0.00%0.00%0.00%
Mid-cap Value3.87%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value95.05%80.85%100.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets1.08%0.00%0.00%
REITs0.00%15.68%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.96%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared97.11%95.25%100.00%
Style analysis is based on monthly returns from Jan 2007 to Feb 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value0.52%100.00%$7,277100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DESWisdomTree US SmallCap Dividend ETFSmall Value0.38%100.00%$9,714100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value0.25%100.00%$11,974100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/04/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)0.54%0.59%0.66%
Arithmetic Mean (annualized)6.69%7.36%8.24%
Geometric Mean (monthly)0.35%0.43%0.50%
Geometric Mean (annualized)4.24%5.29%6.16%
Volatility (monthly)6.20%5.69%5.69%
Volatility (annualized)21.49%19.70%19.70%
Downside Deviation (monthly)4.36%3.97%3.92%
Max. Drawdown-61.18%-58.38%-54.13%
US Market Correlation0.910.870.91
Beta(*)1.301.131.18
Alpha (annualized)-4.94%-2.88%-2.50%
R283.52%76.05%83.00%
Sharpe Ratio0.260.310.36
Sortino Ratio0.370.450.51
Treynor Ratio (%)4.315.485.94
Calmar Ratio-0.15-0.060.02
Active Return-3.69%-2.64%-1.77%
Tracking Error9.81%9.85%8.59%
Information Ratio-0.38-0.27-0.21
Skewness-0.36-0.34-0.35
Excess Kurtosis1.193.151.32
Historical Value-at-Risk (5%)-10.83%-9.06%-9.99%
Analytical Value-at-Risk (5%)-9.66%-8.76%-8.69%
Conditional Value-at-Risk (5%)-14.14%-14.15%-13.10%
Upside Capture Ratio (%)115.89101.78110.76
Downside Capture Ratio (%)136.57115.59121.38
Safe Withdrawal Rate7.98%8.32%8.83%
Perpetual Withdrawal Rate2.27%3.26%4.06%
Positive Periods98 out of 158 (62.03%)101 out of 158 (63.92%)102 out of 158 (64.56%)
Gain/Loss Ratio0.770.750.75
* 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 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-57.34%-55.40%-51.28%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20123 years 10 months5 years 7 months-61.18%
2Sep 2018Feb 20201 year 6 months-24.27%
3Jul 2015Jan 20167 monthsSep 20168 months1 year 3 months-16.52%
4Jul 2014Sep 20143 monthsMar 20156 months9 months-7.23%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-5.14%
6Feb 2018Feb 20181 monthMay 20183 months4 months-4.68%
7Jan 2017May 20175 monthsSep 20174 months9 months-4.37%
8Aug 2013Aug 20131 monthSep 20131 month2 months-4.17%
9Oct 2016Oct 20161 monthNov 20161 month2 months-3.14%
10Apr 2014Apr 20141 monthJun 20142 months3 months-1.93%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20123 years 1 month4 years 10 months-58.38%
2Sep 2018Dec 20184 months-18.31%
3Apr 2015Jan 201610 monthsApr 20163 months1 year 1 month-12.77%
4Jul 2014Sep 20143 monthsOct 20141 month4 months-6.58%
5Dec 2017Feb 20183 monthsMay 20183 months6 months-6.36%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.01%
7Aug 2013Aug 20131 monthSep 20131 month2 months-4.96%
8Jan 2014Jan 20141 monthMar 20142 months3 months-3.94%
9Oct 2016Oct 20161 monthNov 20161 month2 months-3.75%
10Jan 2017May 20175 monthsSep 20174 months9 months-3.65%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-54.13%
2Sep 2018Dec 20184 months-23.06%
3May 2011Sep 20115 monthsFeb 20125 months10 months-22.65%
4Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-13.44%
5Apr 2012May 20122 monthsSep 20124 months6 months-8.95%
6Jul 2014Sep 20143 monthsNov 20142 months5 months-6.73%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-5.32%
8Feb 2018Feb 20181 monthMay 20183 months4 months-4.04%
9Oct 2016Oct 20161 monthNov 20161 month2 months-3.74%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.51%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DFSVXDFA US Small Cap Value I4.24%21.49%42.38%-36.79%-61.18%0.260.370.91
DESWisdomTree US SmallCap Dividend ETF5.29%19.70%36.73%-28.18%-58.38%0.310.450.87
IJSiShares S&P Small-Cap 600 Value ETF6.16%19.70%39.34%-29.39%-54.13%0.360.510.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameDFSVXDESIJSPortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I1.000.950.991.000.950.99
DESWisdomTree US SmallCap Dividend ETF0.951.000.970.951.000.97
IJSiShares S&P Small-Cap 600 Value ETF0.990.971.000.990.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I$7,277
DESWisdomTree US SmallCap Dividend ETF$9,714
IJSiShares S&P Small-Cap 600 Value ETF$11,974

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DFSVXDFA US Small Cap Value I100.00%
DESWisdomTree US SmallCap Dividend ETF100.00%
IJSiShares S&P Small-Cap 600 Value ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.28%42.38%-36.79%8.53%36.73%-28.18%9.43%39.34%-29.39%
3 years8.89%21.50%-8.99%9.53%20.28%-8.41%9.91%21.01%-6.56%
5 years9.75%22.89%-1.82%10.43%19.72%-0.89%10.72%19.85%0.01%
7 years10.82%15.08%6.77%11.35%15.14%6.43%11.70%14.97%7.40%
10 years9.59%12.05%6.82%10.29%11.99%7.50%10.59%12.33%8.04%
Result statistics are based on annualized rolling returns over full calendar year periods