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 1994 - Jun 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 25.00%
DFLVX DFA US Large Cap Value I 25.00%
DFSCX DFA US Micro Cap I 25.00%
DFSVX DFA US Small Cap Value I 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$111,329 9.52% 17.46%46.47%-37.84%-57.28% 0.480.670.94
Portfolio 2$10,000$107,348 9.37% 15.22%35.79%-37.04%-50.89% 0.510.731.00
   
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 June
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)DFA US Large Cap Value I (DFLVX)DFA US Micro Cap I (DFSCX)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19942.67%-0.10%-0.17%$9,990$9,983-0.17%-4.55%3.09%1.23%
19952.54%34.48%35.79%$13,435$13,55635.79%38.36%34.48%29.28%
19963.32%20.29%20.96%$16,161$16,39720.96%20.24%17.65%22.33%
19971.70%28.16%30.99%$20,712$21,47930.99%28.12%22.78%30.75%
19981.61%5.16%23.26%$21,780$26,47623.26%11.98%-7.32%-7.30%
19992.68%17.86%23.81%$25,669$32,78123.81%4.79%29.79%13.05%
20003.39%1.26%-10.57%$25,994$29,315-10.57%10.22%-3.60%9.01%
20011.55%9.58%-10.97%$28,483$26,100-10.97%3.84%22.77%22.65%
20022.38%-14.60%-20.96%$24,323$20,629-20.96%-14.92%-13.27%-9.27%
20031.88%46.47%31.35%$35,627$27,09731.35%34.42%60.72%59.40%
20043.26%18.63%12.51%$42,266$30,48812.51%18.25%18.39%25.39%
20053.42%7.42%5.98%$45,404$32,3125.98%10.24%5.69%7.79%
20062.54%18.35%15.51%$53,736$37,32415.51%20.18%16.16%21.55%
20074.08%-3.31%5.49%$51,957$39,3725.49%-2.76%-5.22%-10.75%
20080.09%-37.84%-37.04%$32,299$24,790-37.04%-40.80%-36.72%-36.79%
20092.72%30.14%28.70%$42,034$31,90428.70%30.19%28.06%33.62%
20101.50%24.86%17.09%$52,486$37,35817.09%20.17%31.29%30.90%
20112.96%-3.24%0.96%$50,784$37,7170.96%-3.14%-3.25%-7.55%
20121.74%19.57%16.25%$60,721$43,84716.25%22.05%18.24%21.72%
20131.50%40.28%33.35%$85,179$58,47033.35%40.32%45.06%42.38%
20140.76%7.22%12.43%$91,333$65,73712.43%10.07%2.92%3.48%
20150.73%-3.66%0.29%$87,991$65,9300.29%-3.49%-3.62%-7.81%
20162.07%21.33%12.53%$106,760$74,19412.53%18.89%25.63%28.26%
20172.11%14.60%21.05%$122,349$89,81321.05%18.97%11.18%7.21%
20181.91%-10.91%-5.26%$109,004$85,092-5.26%-11.65%-11.60%-15.13%
20192.29%23.72%30.65%$134,860$111,17130.65%25.45%20.66%18.12%
2020-0.23%-17.45%-3.44%$111,329$107,348-3.44%-20.28%-20.63%-25.45%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)DFA US Large Cap Value I (DFLVX)DFA US Micro Cap I (DFSCX)DFA US Small Cap Value I (DFSVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199414.30%3.08%$10,430$10,3083.08%2.78%6.18%5.16%
19942-1.81%-2.24%$10,242$10,077-2.24%-4.50%-0.23%-0.34%
19943-4.07%-4.44%$9,825$9,629-4.44%-4.05%-4.46%-3.31%
199440.93%0.89%$9,917$9,7150.89%1.57%0.60%0.70%
199450.11%0.97%$9,928$9,8100.97%-0.68%-0.12%0.26%
19946-2.31%-2.73%$9,698$9,542-2.73%-2.08%-2.62%-1.83%
199472.70%3.08%$9,960$9,8363.08%4.33%1.84%1.68%
199483.51%4.39%$10,310$10,2694.39%2.90%3.37%3.40%
19949-0.99%-1.85%$10,208$10,079-1.85%-2.92%1.05%-0.34%
1994100.77%1.55%$10,287$10,2351.55%1.95%1.15%-1.44%
199411-3.69%-3.65%$9,907$9,861-3.65%-4.49%-3.26%-3.43%
1994120.84%1.23%$9,990$9,9831.23%1.11%0.02%1.05%
199512.08%2.20%$10,198$10,2032.20%2.30%2.83%0.98%
199523.94%4.04%$10,599$10,6154.04%5.67%2.52%3.53%
199531.72%2.65%$10,782$10,8972.65%1.57%1.45%1.19%
199543.28%2.51%$11,136$11,1702.51%3.57%3.52%3.54%
199553.62%3.48%$11,539$11,5593.48%5.21%2.98%2.76%
199563.68%2.98%$11,963$11,9032.98%2.19%5.68%3.96%
199575.06%4.02%$12,569$12,3824.02%4.38%6.45%5.40%
199582.70%1.07%$12,908$12,5151.07%2.93%3.58%3.18%
199592.57%3.61%$13,240$12,9673.61%3.46%1.95%1.26%
199510-3.78%-1.17%$12,739$12,815-1.17%-4.11%-4.87%-4.91%
1995113.83%4.17%$13,227$13,3494.17%5.48%1.92%3.72%
1995121.57%1.54%$13,435$13,5561.54%0.66%2.39%1.73%
199611.36%2.66%$13,617$13,9162.66%2.85%0.28%-0.35%
199622.23%1.62%$13,921$14,1411.62%1.46%3.69%2.19%
199632.41%1.14%$14,256$14,3031.14%3.45%2.28%2.76%
199644.43%2.41%$14,887$14,6482.41%1.67%8.48%5.18%
199653.97%2.66%$15,479$15,0382.66%1.64%7.49%3.90%
19966-3.00%-0.84%$15,015$14,911-0.84%-2.93%-5.82%-2.09%
19967-6.43%-5.37%$14,050$14,110-5.37%-4.47%-9.43%-6.22%
199684.11%3.09%$14,628$14,5473.09%4.02%4.76%4.56%
199693.39%5.38%$15,123$15,3305.38%1.94%2.91%3.33%
1996100.90%1.43%$15,259$15,5491.43%3.25%-1.75%0.74%
1996115.43%6.81%$16,087$16,6086.81%7.24%2.88%4.74%
1996120.46%-1.27%$16,161$16,397-1.27%-1.02%2.04%2.19%
199713.94%5.46%$16,798$17,2925.46%3.58%4.20%2.54%
19972-0.06%-0.11%$16,788$17,274-0.11%1.95%-2.06%0.00%
19973-4.15%-4.45%$16,092$16,504-4.45%-4.58%-4.90%-2.65%
199741.20%4.50%$16,284$17,2474.50%3.30%-2.76%-0.41%
199758.57%7.10%$17,679$18,4717.10%7.71%10.22%9.46%
199764.65%4.37%$18,501$19,2784.37%3.07%4.98%6.25%
199777.48%7.77%$19,885$20,7767.77%10.03%6.05%5.98%
199780.73%-3.72%$20,031$20,004-3.72%-1.49%5.09%3.52%
199796.79%5.77%$21,390$21,1585.77%5.26%8.44%7.69%
199710-3.98%-3.40%$20,538$20,440-3.40%-5.13%-3.86%-3.55%
1997110.47%3.33%$20,634$21,1213.33%1.05%-1.55%-0.85%
1997120.37%1.70%$20,712$21,4791.70%1.38%-1.71%0.09%
19981-0.02%0.44%$20,707$21,5740.44%1.30%-0.59%-1.23%
199827.54%7.34%$22,267$23,1597.34%8.74%6.49%7.54%
199834.89%5.06%$23,355$24,3315.06%5.57%4.81%4.07%
199841.31%1.10%$23,661$24,5981.10%0.56%1.68%1.93%
19985-3.08%-2.71%$22,933$23,931-2.71%-0.88%-4.97%-3.83%
19986-0.15%3.54%$22,898$24,7793.54%-0.24%-2.06%-1.97%
19987-4.87%-2.27%$21,784$24,215-2.27%-3.47%-6.71%-7.37%
19988-18.02%-15.65%$17,857$20,425-15.65%-18.24%-20.10%-18.43%
199894.68%6.68%$18,693$21,7896.68%5.07%3.69%2.84%
1998106.06%7.51%$19,826$23,4267.51%8.19%3.56%4.26%
1998116.29%6.17%$21,073$24,8716.17%6.20%7.58%5.30%
1998123.35%6.45%$21,780$26,4766.45%1.64%2.52%2.32%
199912.48%3.65%$22,320$27,4423.65%1.92%2.79%1.56%
19992-5.35%-3.73%$21,126$26,418-3.73%-2.58%-6.87%-8.24%
199930.45%3.93%$21,220$27,4573.93%3.24%-3.79%-1.92%
199948.79%4.68%$23,085$28,7424.68%10.64%9.49%10.68%
199951.49%-2.00%$23,430$28,168-2.00%-0.13%3.87%4.69%
199964.61%5.16%$24,509$29,6215.16%1.69%5.68%6.11%
19997-1.74%-3.20%$24,081$28,675-3.20%-4.16%0.92%-0.45%
19998-2.30%-0.92%$23,527$28,411-0.92%-3.60%-1.91%-2.74%
19999-3.16%-2.44%$22,783$27,718-2.44%-5.39%-2.21%-2.67%
1999101.40%6.29%$23,102$29,4616.29%3.81%-0.87%-3.42%
1999114.03%3.42%$24,034$30,4693.42%-1.57%9.71%4.53%
1999126.80%7.59%$25,669$32,7817.59%1.87%11.37%5.73%
20001-1.51%-4.18%$25,282$31,410-4.18%-7.05%5.95%-0.75%
200027.18%2.54%$27,097$32,2092.54%-8.98%23.58%9.28%
200031.90%5.69%$27,613$34,0405.69%14.14%-7.51%0.30%
20004-5.00%-5.21%$26,233$32,268-5.21%2.99%-12.51%-3.51%
20005-4.04%-3.41%$25,175$31,168-3.41%-0.22%-8.08%-4.16%
200063.98%4.42%$26,178$32,5464.42%-6.96%13.68%4.98%
20007-0.38%-1.95%$26,077$31,910-1.95%4.38%-3.22%-0.10%
200087.49%7.28%$28,030$34,2347.28%5.84%9.25%7.40%
20009-2.56%-4.67%$27,314$32,635-4.67%-1.61%-2.17%-1.85%
200010-2.44%-2.04%$26,649$31,968-2.04%3.94%-7.06%-3.78%
200011-7.39%-9.90%$24,679$28,802-9.90%-3.27%-11.10%-5.44%
2000125.33%1.78%$25,994$29,3151.78%9.23%1.89%7.73%
200118.21%3.83%$28,129$30,4373.83%4.91%13.80%10.31%
20012-4.61%-9.41%$26,833$27,571-9.41%-0.06%-7.02%-1.92%
20013-4.19%-6.72%$25,708$25,719-6.72%-3.09%-4.80%-2.46%
200146.84%8.16%$27,466$27,8188.16%5.96%7.31%6.12%
200155.04%1.01%$28,851$28,1001.01%2.87%9.60%6.16%
200161.31%-1.64%$29,230$27,640-1.64%-1.18%3.59%3.74%
20017-1.54%-1.71%$28,780$27,167-1.71%-0.16%-2.54%-1.63%
20018-3.51%-6.00%$27,770$25,536-6.00%-4.42%-2.95%-1.34%
20019-12.11%-9.00%$24,408$23,238-9.00%-11.14%-12.78%-14.56%
2001103.33%2.52%$25,220$23,8242.52%-0.06%6.45%3.93%
2001117.86%7.63%$27,202$25,6437.63%9.41%6.74%7.81%
2001124.71%1.78%$28,483$26,1001.78%2.34%6.72%7.02%
200210.61%-1.24%$28,656$25,776-1.24%1.04%1.10%1.54%
20022-0.91%-2.05%$28,394$25,248-2.05%1.28%-2.77%-0.16%
200236.82%4.38%$30,329$26,3544.38%4.16%8.84%9.86%
200240.41%-4.90%$30,452$25,062-4.90%-0.91%2.43%4.53%
20025-1.68%-1.22%$29,941$24,757-1.22%0.62%-2.73%-3.15%
20026-4.59%-7.06%$28,566$23,009-7.06%-6.08%-3.56%-2.07%
20027-12.53%-8.02%$24,987$21,163-8.02%-11.10%-14.48%-15.60%
200280.06%0.53%$25,001$21,2750.53%1.62%-0.57%-1.25%
20029-8.78%-10.07%$22,806$19,134-10.07%-11.13%-6.74%-7.28%
2002103.82%7.65%$23,676$20,5977.65%3.92%2.57%1.62%
2002117.53%6.06%$25,460$21,8456.06%7.07%8.36%8.52%
200212-4.47%-5.57%$24,323$20,629-5.57%-4.55%-4.29%-3.58%
20031-2.63%-2.54%$23,682$20,105-2.54%-2.32%-2.23%-3.45%
20032-2.90%-1.69%$22,996$19,766-1.69%-2.93%-2.88%-4.11%
200330.38%1.09%$23,085$19,9811.09%-0.47%1.11%-0.21%
200349.30%8.21%$25,231$21,6218.21%9.20%9.28%10.56%
200359.00%6.11%$27,502$22,9416.11%6.69%11.51%11.72%
200362.70%1.43%$28,245$23,2701.43%1.08%4.51%3.65%
200374.91%2.36%$29,632$23,8182.36%2.52%7.38%7.04%
200384.01%2.39%$30,819$24,3872.39%3.55%4.73%5.14%
20039-0.96%-1.15%$30,523$24,108-1.15%-2.20%0.09%-0.78%
2003108.04%6.12%$32,978$25,5826.12%6.69%8.94%10.00%
2003113.12%1.38%$34,008$25,9351.38%2.22%4.30%4.16%
2003124.76%4.48%$35,627$27,0974.48%6.83%2.77%5.33%
200413.65%2.23%$36,927$27,7022.23%1.69%5.78%4.89%
200421.47%1.43%$37,469$28,0981.43%2.58%0.50%1.41%
20043-0.09%-1.07%$37,436$27,797-1.07%-0.40%0.14%0.94%
20044-2.78%-2.11%$36,396$27,211-2.11%-1.69%-4.09%-3.17%
200450.57%1.35%$36,604$27,5771.35%0.57%0.00%0.38%
200464.06%2.09%$38,090$28,1532.09%2.99%4.41%6.69%
20047-4.98%-3.80%$36,192$27,083-3.80%-3.27%-7.47%-5.33%
20048-0.68%0.31%$35,946$27,1670.31%0.00%-1.52%-1.49%
200493.69%1.74%$37,271$27,6401.74%3.08%5.01%4.93%
2004101.40%1.68%$37,794$28,1031.68%1.17%1.84%0.96%
2004117.58%4.68%$40,659$29,4194.68%6.55%8.97%10.00%
2004123.95%3.63%$42,266$30,4883.63%3.99%4.58%3.62%
20051-3.21%-2.68%$40,909$29,672-2.68%-2.49%-4.10%-3.57%
200522.16%2.07%$41,792$30,2872.07%3.02%0.83%2.70%
20053-1.78%-1.75%$41,047$29,758-1.75%-0.26%-3.23%-1.95%
20054-4.79%-2.32%$39,081$29,067-2.32%-3.44%-6.22%-7.28%
200555.14%3.77%$41,091$30,1623.77%4.28%6.03%6.65%
200562.85%0.81%$42,260$30,4070.81%2.03%4.52%4.17%
200575.93%4.11%$44,768$31,6554.11%4.96%7.63%7.11%
20058-1.21%-0.94%$44,227$31,357-0.94%-0.83%-1.39%-1.67%
200590.96%0.86%$44,650$31,6250.86%1.54%0.61%0.80%
200510-2.57%-1.86%$43,502$31,036-1.86%-2.68%-2.81%-2.92%
2005114.17%3.97%$45,316$32,2683.97%3.98%4.53%4.21%
2005120.19%0.14%$45,404$32,3120.14%0.13%0.18%0.34%
200616.55%3.50%$48,378$33,4433.50%4.74%9.14%8.82%
20062-0.11%0.00%$48,324$33,4430.00%-0.35%0.25%-0.35%
200633.59%1.80%$50,059$34,0451.80%1.76%4.55%6.09%
200641.09%1.11%$50,607$34,4241.11%2.82%-0.41%0.98%
20065-3.87%-3.23%$48,646$33,310-3.23%-1.86%-5.89%-4.39%
200660.05%0.17%$48,669$33,3670.17%0.87%-0.89%0.05%
20067-2.22%-0.13%$47,587$33,324-0.13%-1.45%-3.45%-3.75%
200682.15%2.31%$48,612$34,0952.31%1.61%2.78%1.95%
200691.70%2.27%$49,437$34,8672.27%2.76%0.56%1.19%
2006104.59%3.53%$51,706$36,0993.53%3.96%5.45%5.43%
2006112.35%2.23%$52,923$36,9052.23%1.89%2.25%3.03%
2006121.54%1.13%$53,736$37,3241.13%2.01%1.61%1.38%
200712.03%1.88%$54,826$38,0241.88%2.89%1.15%2.20%
20072-0.96%-1.61%$54,298$37,411-1.61%-1.50%-0.50%-0.23%
200730.97%1.11%$54,823$37,8261.11%0.66%1.02%1.09%
200742.89%4.01%$56,406$39,3434.01%4.24%1.50%1.81%
200753.65%3.69%$58,465$40,7943.69%4.10%3.15%3.65%
20076-1.30%-1.67%$57,705$40,112-1.67%-1.62%-0.33%-1.55%
20077-5.94%-3.41%$54,277$38,744-3.41%-6.21%-6.51%-7.64%
20078-0.01%1.45%$54,272$39,3071.45%-1.91%1.16%-0.76%
200791.88%3.59%$55,290$40,7193.59%2.58%1.48%-0.28%
2007101.31%1.85%$56,016$41,4721.85%0.54%1.70%1.11%
200711-6.74%-4.49%$52,239$39,611-4.49%-5.60%-8.42%-8.72%
200712-0.54%-0.60%$51,957$39,372-0.60%-0.32%-0.06%-1.20%
20081-5.38%-6.08%$49,164$36,979-6.08%-3.84%-7.65%-3.94%
20082-3.03%-3.07%$47,673$35,843-3.07%-3.09%-3.14%-2.84%
20083-0.09%-0.58%$47,629$35,634-0.58%-0.93%0.31%0.84%
200843.75%5.02%$49,415$37,4235.02%6.27%2.07%1.66%
200853.13%2.09%$50,964$38,2062.09%2.38%3.98%4.14%
20086-9.59%-8.19%$46,074$35,076-8.19%-10.96%-9.05%-10.10%
200871.14%-0.77%$46,600$34,807-0.77%-1.12%4.48%2.07%
200882.78%1.58%$47,897$35,3571.58%1.96%3.38%4.15%
20089-8.10%-9.26%$44,016$32,082-9.26%-9.00%-7.37%-6.89%
200810-20.78%-17.63%$34,868$26,426-17.63%-22.53%-20.71%-22.14%
200811-10.93%-7.90%$31,058$24,338-7.90%-9.81%-12.84%-12.99%
2008123.99%1.86%$32,299$24,7901.86%3.25%5.66%5.25%
20091-11.58%-8.26%$28,560$22,743-8.26%-11.86%-11.91%-14.28%
20092-12.56%-10.45%$24,974$20,366-10.45%-14.04%-13.11%-12.71%
200939.59%8.65%$27,370$22,1298.65%9.83%9.58%10.40%
2009415.86%10.61%$31,710$24,47610.61%16.18%17.39%19.66%
200954.91%5.38%$33,267$25,7925.38%7.67%3.43%3.22%
200960.55%0.34%$33,450$25,8810.34%-1.21%2.76%0.35%
2009710.11%7.82%$36,833$27,9057.82%9.43%9.82%13.44%
200984.57%3.63%$38,515$28,9173.63%6.80%2.73%5.14%
200995.18%4.23%$40,509$30,1394.23%4.35%5.76%6.33%
200910-5.45%-2.57%$38,300$29,365-2.57%-4.30%-7.27%-7.53%
2009114.05%5.63%$39,851$31,0175.63%5.63%1.78%3.11%
2009125.48%2.86%$42,034$31,9042.86%2.70%8.69%7.92%
20101-2.98%-3.50%$40,780$30,788-3.50%-2.34%-2.94%-3.16%
201024.56%3.36%$42,638$31,8233.36%4.32%4.39%6.15%
201037.76%6.27%$45,949$33,8186.27%7.80%8.08%8.86%
201045.21%2.17%$48,345$34,5532.17%3.16%7.27%8.11%
20105-8.49%-8.00%$44,241$31,788-8.00%-8.56%-7.42%-9.90%
20106-7.70%-5.66%$40,835$29,989-5.66%-7.56%-7.24%-10.14%
201077.66%6.99%$43,965$32,0866.99%7.82%7.14%8.69%
20108-6.84%-4.75%$40,956$30,563-4.75%-6.11%-7.98%-8.38%
2010911.11%9.47%$45,504$33,4579.47%9.80%12.16%12.93%
2010104.04%3.94%$47,342$34,7763.94%3.68%4.34%4.17%
2010112.20%0.58%$48,382$34,9760.58%-0.75%4.24%4.49%
2010128.48%6.81%$52,486$37,3586.81%9.72%8.19%9.18%
201111.16%2.19%$53,095$38,1742.19%3.23%-1.09%0.31%
201125.28%3.60%$55,896$39,5473.60%5.39%5.87%6.28%
201131.54%0.45%$56,757$39,7250.45%0.45%3.25%2.05%
201142.11%2.99%$57,952$40,9132.99%2.51%1.68%1.26%
20115-1.91%-1.16%$56,847$40,438-1.16%-1.42%-1.92%-3.12%
20116-1.89%-1.79%$55,772$39,715-1.79%-1.82%-2.16%-1.81%
20117-3.11%-2.28%$54,036$38,809-2.28%-4.57%-2.69%-2.88%
20118-8.48%-5.99%$49,454$36,482-5.99%-8.46%-8.93%-10.58%
20119-10.21%-7.75%$44,405$33,654-7.75%-10.10%-10.58%-12.58%
20111014.07%11.51%$50,653$37,52611.51%13.81%15.43%15.82%
201111-0.60%-0.29%$50,350$37,418-0.29%-0.83%-0.60%-0.68%
2011120.86%0.80%$50,784$37,7170.80%0.79%0.86%1.01%
201216.11%5.08%$53,885$39,6345.08%4.96%6.96%7.43%
201223.77%4.26%$55,915$41,3214.26%5.77%1.91%3.18%
201232.54%3.07%$57,336$42,5883.07%1.83%2.98%2.30%
20124-1.44%-0.65%$56,511$42,310-0.65%-2.09%-1.42%-1.60%
20125-6.86%-6.24%$52,637$39,671-6.24%-7.10%-6.97%-7.12%
201264.69%3.91%$55,105$41,2223.91%5.37%5.12%4.38%
201270.22%1.03%$55,224$41,6481.03%0.97%-0.91%-0.24%
201283.44%2.48%$57,122$42,6812.48%3.95%3.12%4.21%
201293.43%2.58%$59,081$43,7822.58%3.65%4.19%3.31%
201210-1.08%-1.76%$58,441$43,012-1.76%0.27%-2.05%-0.82%
2012110.93%0.74%$58,987$43,3300.74%0.22%0.94%1.84%
2012122.94%1.19%$60,721$43,8471.19%3.03%3.80%3.72%
201316.17%5.50%$64,469$46,2585.50%6.94%5.68%6.56%
201321.35%1.28%$65,339$46,8491.28%1.27%1.10%1.75%
201334.62%3.88%$68,357$48,6683.88%4.81%4.87%4.91%
201340.19%1.70%$68,490$49,4961.70%1.00%-0.79%-1.11%
201354.25%2.32%$71,400$50,6452.32%4.13%5.18%5.39%
20136-0.67%-1.27%$70,923$50,000-1.27%-1.15%0.46%-0.70%
201376.57%5.49%$75,580$52,7425.49%6.00%7.41%7.34%
20138-3.37%-2.82%$73,030$51,253-2.82%-2.99%-3.48%-4.17%
201394.74%3.66%$76,492$53,1313.66%2.95%7.05%5.24%
2013104.06%4.22%$79,595$55,3754.22%5.05%3.48%3.51%
2013114.44%2.88%$83,132$56,9712.88%4.17%5.55%5.08%
2013122.46%2.63%$85,179$58,4702.63%2.64%1.89%2.72%
20141-4.16%-3.11%$81,639$56,653-3.11%-3.95%-4.43%-5.14%
201424.44%4.73%$85,260$59,3344.73%3.36%4.21%5.45%
201431.25%0.51%$86,326$59,6390.51%2.34%0.97%1.19%
20144-1.15%0.06%$85,336$59,6770.06%0.66%-3.41%-1.93%
201451.34%2.17%$86,476$60,9732.17%2.17%0.10%0.83%
201463.49%2.54%$89,490$62,5202.54%2.72%4.34%4.44%
20147-3.54%-1.98%$86,324$61,283-1.98%-0.74%-5.84%-5.76%
201484.40%4.18%$90,123$63,8464.18%3.17%4.54%5.83%
20149-4.26%-2.14%$86,283$62,482-2.14%-2.49%-5.69%-6.98%
2014103.55%2.74%$89,344$64,1942.74%0.78%6.52%4.61%
2014110.68%2.41%$89,953$65,7412.41%1.16%-0.75%-0.28%
2014121.53%-0.01%$91,333$65,737-0.01%0.74%3.37%2.29%
20151-4.40%-2.77%$87,315$63,915-2.77%-4.97%-4.90%-4.95%
201526.18%5.76%$92,714$67,5985.76%7.06%6.03%5.90%
201530.26%-1.04%$92,959$66,897-1.04%-1.92%2.29%1.78%
20154-0.23%0.42%$92,749$67,1780.42%2.04%-1.95%-1.34%
201551.30%1.39%$93,955$68,1131.39%1.07%1.38%1.36%
20156-0.42%-1.71%$93,562$66,948-1.71%-1.62%1.63%0.05%
20157-1.20%1.63%$92,444$68,0401.63%-0.26%-2.44%-3.67%
20158-5.15%-6.03%$87,678$63,941-6.03%-6.08%-4.43%-4.04%
20159-3.74%-2.93%$84,396$62,065-2.93%-3.23%-4.31%-4.51%
2015106.84%7.84%$90,167$66,9337.84%8.16%6.03%5.28%
2015111.70%0.54%$91,705$67,2950.54%0.36%2.84%3.17%
201512-4.05%-2.03%$87,991$65,930-2.03%-3.13%-4.90%-6.20%
20161-6.62%-5.67%$82,170$62,191-5.67%-6.81%-6.80%-7.18%
201620.60%-0.04%$82,661$62,165-0.04%0.17%1.10%1.17%
201637.53%7.01%$88,884$66,5247.01%7.26%7.08%8.77%
201641.55%0.63%$90,263$66,9410.63%2.71%1.08%1.80%
201651.16%1.79%$91,312$68,1411.79%1.33%1.07%0.47%
20166-0.30%0.23%$91,034$68,2950.23%-0.10%-0.17%-1.16%
201674.31%3.95%$94,959$70,9923.95%3.44%5.02%4.85%
201681.19%0.26%$96,086$71,1760.26%1.16%1.59%1.74%
201690.64%0.15%$96,703$71,2820.15%0.48%0.72%1.21%
201610-2.66%-2.21%$94,136$69,704-2.21%-1.72%-3.53%-3.14%
20161110.11%4.44%$103,650$72,7954.44%7.85%13.19%14.87%
2016123.00%1.92%$106,760$74,1941.92%2.49%4.06%3.41%
201710.35%1.91%$107,131$75,6101.91%1.45%-1.44%-0.53%
201721.95%3.71%$109,219$78,4153.71%3.01%0.68%0.32%
20173-0.46%0.07%$108,719$78,4680.07%-0.93%0.17%-1.14%
201740.94%1.05%$109,742$79,2921.05%0.66%1.59%0.46%
20175-1.35%1.01%$108,264$80,0891.01%-0.11%-2.99%-3.51%
201762.18%0.92%$110,620$80,8270.92%1.65%3.72%2.59%
201771.22%1.87%$111,967$82,3351.87%1.68%0.47%0.77%
20178-1.33%0.15%$110,480$82,4550.15%-0.94%-2.16%-2.55%
201795.52%2.45%$116,575$84,4782.45%3.85%8.39%7.92%
2017101.43%2.16%$118,241$86,3012.16%1.44%1.11%0.96%
2017112.85%3.04%$121,616$88,9283.04%3.55%2.64%2.12%
2017120.60%0.99%$122,349$89,8130.99%2.31%-1.03%0.03%
201813.50%5.31%$126,629$94,5795.31%5.14%2.04%1.50%
20182-4.41%-3.72%$121,038$91,065-3.72%-4.96%-4.31%-4.68%
20183-0.44%-1.99%$120,510$89,249-1.99%-2.28%1.71%0.93%
201840.67%0.38%$121,318$89,5870.38%0.16%0.82%1.32%
201854.00%2.79%$126,168$92,0882.79%0.92%5.94%6.29%
201860.38%0.68%$126,644$92,7120.68%-0.70%1.40%0.06%
201872.79%3.34%$130,178$95,8063.34%4.13%2.20%1.61%
201882.90%3.44%$133,947$99,1043.44%1.44%3.77%2.84%
20189-1.38%0.16%$132,099$99,2620.16%0.07%-2.44%-3.19%
201810-8.42%-7.40%$120,977$91,915-7.40%-6.36%-10.40%-9.41%
2018111.46%2.06%$122,748$93,8102.06%2.33%0.55%0.91%
201812-11.20%-9.29%$109,004$85,092-9.29%-11.00%-11.83%-12.79%
201919.84%8.59%$119,727$92,3988.59%8.65%10.11%12.00%
201923.60%3.50%$124,032$95,6323.50%2.49%5.11%3.27%
20193-1.60%1.44%$122,042$97,0051.44%-0.50%-3.56%-3.66%
201943.72%3.98%$126,578$100,8633.98%3.44%3.40%4.04%
20195-8.70%-6.45%$115,572$94,360-6.45%-7.75%-9.11%-11.52%
201967.51%6.97%$124,254$100,9366.97%8.03%7.31%7.77%
201970.91%1.44%$125,385$102,3881.44%1.05%0.72%0.39%
20198-5.02%-2.03%$119,084$100,314-2.03%-4.11%-6.23%-8.00%
201993.86%1.70%$123,678$102,0231.70%3.94%4.14%5.96%
2019102.04%2.10%$126,205$104,1612.10%2.12%2.11%1.83%
2019113.48%3.77%$130,600$108,0913.77%3.91%3.03%3.17%
2019123.26%2.85%$134,860$111,1712.85%2.79%3.57%3.92%
20201-4.13%-0.08%$129,295$111,088-0.08%-4.11%-5.44%-6.88%
20202-9.88%-8.18%$116,518$102,002-8.18%-10.57%-10.09%-10.79%
20203-20.77%-13.78%$92,318$87,949-13.78%-20.15%-23.25%-26.60%
2020413.79%13.25%$105,053$99,60013.25%13.08%13.32%15.81%
202054.20%5.38%$109,463$104,9565.38%3.83%4.44%2.85%
202061.70%2.28%$111,329$107,3482.28%-0.85%2.78%2.65%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value27.28%36.49%
Large-cap Growth0.00%45.06%
Mid-cap Value5.62%4.37%
Mid-cap Growth10.83%7.67%
Small-cap Value44.81%2.67%
Small-cap Growth7.26%3.02%
Global ex-US Developed Markets2.30%0.22%
Emerging Markets1.91%0.51%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.08%99.87%
Style analysis is based on monthly returns from Apr 2005 to Jun 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend25.00%0.14%21.62$31,84420.50%
DFLVXDFA US Large Cap Value ILarge Value25.00%0.26%12.45$24,97123.14%
DFSCXDFA US Micro Cap ISmall Blend25.00%0.51%13.29$24,12128.03%
DFSVXDFA US Small Cap Value ISmall Value25.00%0.51%9.92$20,39328.33%
100.00%0.36%14.32$101,329100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%21.62$97,348100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (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)0.89%0.85%
Arithmetic Mean (annualized)11.23%10.65%
Geometric Mean (monthly)0.76%0.75%
Geometric Mean (annualized)9.52%9.37%
Volatility (monthly)5.04%4.39%
Volatility (annualized)17.46%15.22%
Downside Deviation (monthly)3.50%3.00%
Max. Drawdown-57.28%-50.89%
US Market Correlation0.941.00
Beta(*)1.081.00
Alpha (annualized)-0.28%0.00%
R288.42%100.00%
Sharpe Ratio0.480.51
Sortino Ratio0.670.73
Treynor Ratio (%)7.717.80
Calmar Ratio0.010.47
Active Return0.15%-0.00%
Tracking Error6.06%0.00%
Information Ratio0.02-0.01
Skewness-0.84-0.75
Excess Kurtosis2.391.49
Historical Value-at-Risk (5%)-8.48%-7.91%
Analytical Value-at-Risk (5%)-7.38%-6.38%
Conditional Value-at-Risk (5%)-12.41%-10.34%
Upside Capture Ratio (%)107.81100.00
Downside Capture Ratio (%)108.81100.00
Safe Withdrawal Rate10.35%9.06%
Perpetual Withdrawal Rate6.85%6.72%
Positive Periods206 out of 318 (64.78%)209 out of 318 (65.72%)
Gain/Loss Ratio0.860.84
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-3.98%-3.72%
Russian Debt DefaultJul 1998Oct 1998-22.01%-17.57%
Dotcom CrashMar 2000Oct 2002-25.11%-44.11%
Subprime CrisisNov 2007Mar 2009-55.42%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsSep 20123 years 7 months5 years 4 months-57.28%
2Jan 2020Mar 20203 months-31.55%
3May 2002Sep 20025 monthsAug 200311 months1 year 4 months-25.11%
4May 1998Aug 19984 monthsJun 199910 months1 year 2 months-24.53%
5Sep 2018Dec 20184 monthsDec 20191 year1 year 4 months-18.62%
6Jul 2001Sep 20013 monthsMar 20026 months9 months-16.50%
7Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-12.54%
8Sep 2000Nov 20003 monthsJan 20012 months5 months-11.96%
9Jun 1996Jul 19962 monthsNov 19964 months6 months-9.23%
10Apr 2000May 20002 monthsAug 20003 months5 months-8.83%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

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

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.37%15.22%35.79%-37.04%-50.89%0.510.731.00
DFLVXDFA US Large Cap Value I8.96%17.60%40.32%-40.80%-60.60%0.440.630.90
DFSCXDFA US Micro Cap I9.60%20.70%60.72%-36.72%-56.88%0.430.630.84
DFSVXDFA US Small Cap Value I9.40%20.26%59.40%-36.79%-61.18%0.430.620.86

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXDFLVXDFSCXDFSVXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.900.840.860.941.00
DFLVXDFA US Large Cap Value I0.901.000.750.870.920.90
DFSCXDFA US Micro Cap I0.840.751.000.950.950.84
DFSVXDFA US Small Cap Value I0.860.870.951.000.980.86

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$31,844$97,348
DFLVXDFA US Large Cap Value I$24,971
DFSCXDFA US Micro Cap I$24,121
DFSVXDFA US Small Cap Value I$20,393

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv20.50%100.00%
DFLVXDFA US Large Cap Value I23.14%
DFSCXDFA US Micro Cap I28.03%
DFSVXDFA US Small Cap Value I28.33%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year12.14%46.47%-37.84%11.31%35.79%-37.04%
3 years10.89%27.51%-10.73%9.90%29.10%-14.31%
5 years10.26%21.40%-1.94%8.90%26.84%-1.76%
7 years9.94%16.15%1.81%7.95%16.61%-0.73%
10 years9.51%15.52%4.02%7.34%13.30%-0.66%
15 years8.85%11.37%7.43%6.84%10.30%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods