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 4
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Portfolio Analysis Results (Jan 1999 - Aug 2021)

Portfolio Allocations

Vanguard Emerging Mkts Stock Idx Inv
Ticker Name Allocation
VEIEX Vanguard Emerging Mkts Stock Idx Inv 100.00%
Save portfolio »
DFA Emerging Markets Value I
Ticker Name Allocation
DFEVX DFA Emerging Markets Value I 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Emerging Mkts Stock Idx Inv$10,000$68,608 8.87% 21.76%75.98%-52.81%-62.70% 0.420.630.79
DFA Emerging Markets Value I$10,000$99,421 10.66% 23.60%92.28%-53.94%-64.51% 0.480.730.76
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard Emerging Mkts Stock Idx Inv-2.64%4.71%20.28%10.19%9.52%4.35%8.87%18.78%16.18%
DFA Emerging Markets Value I-1.14%14.31%35.47%6.16%8.78%3.25%10.66%21.47%18.34%
Trailing annualized return and volatility are for full months ending in August 2021 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.
  • The annual results for 2021 are based on monthly returns from January to August
  • 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
YearInflationVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value IVanguard Emerging Mkts Stock Idx Inv (VEIEX)DFA Emerging Markets Value I (DFEVX)
ReturnBalanceReturnBalance
19992.68%61.57%$16,15784.26%$18,42661.57%84.26%
20003.39%-27.56%$11,705-34.15%$12,134-27.56%-34.15%
20011.55%-2.88%$11,368-0.99%$12,014-2.88%-0.99%
20022.38%-7.43%$10,523-1.70%$11,809-7.43%-1.70%
20031.88%57.65%$16,59076.21%$20,81057.65%76.21%
20043.26%26.12%$20,92339.53%$29,03626.12%39.53%
20053.42%32.05%$27,62930.81%$37,98432.05%30.81%
20062.54%29.39%$35,75037.93%$52,39029.39%37.93%
20074.08%38.90%$49,65745.64%$76,29938.90%45.64%
20080.09%-52.81%$23,431-53.94%$35,143-52.81%-53.94%
20092.72%75.98%$41,23392.28%$67,57475.98%92.28%
20101.50%18.86%$49,01022.06%$82,47918.86%22.06%
20112.96%-18.78%$39,808-25.62%$61,350-18.78%-25.62%
20121.74%18.64%$47,22819.36%$73,22918.64%19.36%
20131.50%-5.19%$44,776-3.80%$70,444-5.19%-3.80%
20140.76%0.42%$44,964-4.41%$67,3340.42%-4.41%
20150.73%-15.47%$38,010-18.77%$54,694-15.47%-18.77%
20162.07%11.50%$42,38019.84%$65,54611.50%19.84%
20172.11%31.15%$55,58333.76%$87,67631.15%33.76%
20181.91%-14.71%$47,405-11.93%$77,214-14.71%-11.93%
20192.29%20.13%$56,9489.64%$84,66120.13%9.64%
20201.36%15.05%$65,5212.73%$86,97615.05%2.73%
20215.03%4.71%$68,60814.31%$99,4214.71%14.31%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value IVanguard Emerging Mkts Stock Idx Inv (VEIEX)DFA Emerging Markets Value I (DFEVX)
ReturnBalanceReturnBalance
19991-2.91%$9,709-1.44%$9,856-2.91%-1.44%
199922.21%$9,9240.85%$9,9402.21%0.85%
1999311.72%$11,08711.12%$11,04611.72%11.12%
1999415.39%$12,79425.14%$13,82215.39%25.14%
19995-4.15%$12,263-0.09%$13,810-4.15%-0.09%
199967.94%$13,23612.18%$15,4937.94%12.18%
19997-3.44%$12,781-2.17%$15,156-3.44%-2.17%
19998-0.99%$12,6550.87%$15,288-0.99%0.87%
19999-0.50%$12,592-3.22%$14,796-0.50%-3.22%
1999103.82%$13,0724.39%$15,4453.82%4.39%
1999118.12%$14,1346.38%$16,4308.12%6.38%
19991214.31%$16,15712.15%$18,42614.31%12.15%
20001-4.88%$15,369-0.29%$18,373-4.88%-0.29%
200023.53%$15,912-2.64%$17,8873.53%-2.64%
20003-0.90%$15,769-1.40%$17,638-0.90%-1.40%
20004-7.47%$14,592-6.03%$16,574-7.47%-6.03%
20005-5.32%$13,816-7.05%$15,405-5.32%-7.05%
200066.27%$14,6820.17%$15,4316.27%0.17%
20007-5.20%$13,919-4.26%$14,775-5.20%-4.26%
200081.49%$14,1260.09%$14,7881.49%0.09%
20009-6.14%$13,259-7.28%$13,711-6.14%-7.28%
200010-7.61%$12,250-7.09%$12,739-7.61%-7.09%
200011-9.82%$11,047-7.53%$11,780-9.82%-7.53%
2000125.95%$11,7053.00%$12,1345.95%3.00%
2001111.76%$13,0829.56%$13,29411.76%9.56%
20012-8.70%$11,943-8.12%$12,214-8.70%-8.12%
20013-10.42%$10,698-9.61%$11,041-10.42%-9.61%
200149.29%$11,6924.71%$11,5619.29%4.71%
200151.47%$11,8652.31%$11,8271.47%2.31%
20016-2.12%$11,613-1.13%$11,694-2.12%-1.13%
20017-6.74%$10,831-2.74%$11,374-6.74%-2.74%
20018-0.98%$10,7251.17%$11,507-0.98%1.17%
20019-15.57%$9,054-16.22%$9,641-15.57%-16.22%
2001106.59%$9,6514.01%$10,0276.59%4.01%
2001119.34%$10,55212.10%$11,2419.34%12.10%
2001127.73%$11,3686.88%$12,0147.73%6.88%
200212.87%$11,6947.94%$12,9682.87%7.94%
200222.67%$12,006-1.34%$12,7942.67%-1.34%
200234.52%$12,5505.99%$13,5614.52%5.99%
200240.32%$12,5902.77%$13,9370.32%2.77%
20025-0.43%$12,536-1.24%$13,763-0.43%-1.24%
20026-8.23%$11,504-7.14%$12,780-8.23%-7.14%
20027-8.50%$10,526-3.96%$12,274-8.50%-3.96%
200281.42%$10,6750.24%$12,3031.42%0.24%
20029-10.69%$9,534-11.99%$10,828-10.69%-11.99%
2002106.55%$10,1594.27%$11,2916.55%4.27%
2002117.09%$10,8797.81%$12,1737.09%7.81%
200212-3.27%$10,523-2.98%$11,809-3.27%-2.98%
200310.13%$10,5371.51%$11,9880.13%1.51%
20032-3.80%$10,137-0.87%$11,884-3.80%-0.87%
20033-2.04%$9,930-2.25%$11,617-2.04%-2.25%
200348.75%$10,79913.15%$13,1458.75%13.15%
200356.39%$11,4897.45%$14,1246.39%7.45%
200365.88%$12,1654.41%$14,7475.88%4.41%
200377.03%$13,0202.31%$15,0887.03%2.31%
200386.36%$13,8476.59%$16,0826.36%6.59%
200390.80%$13,9584.89%$16,8690.80%4.89%
2003109.09%$15,2268.88%$18,3679.09%8.88%
2003111.09%$15,3921.13%$18,5751.09%1.13%
2003127.78%$16,59012.03%$20,8107.78%12.03%
200413.12%$17,1082.75%$21,3813.12%2.75%
200424.17%$17,8226.47%$22,7644.17%6.47%
200430.39%$17,8921.25%$23,0500.39%1.25%
20044-7.90%$16,478-7.05%$21,426-7.90%-7.05%
20045-0.85%$16,338-2.95%$20,795-0.85%-2.95%
20046-0.09%$16,3241.82%$21,174-0.09%1.82%
20047-1.80%$16,0301.29%$21,446-1.80%1.29%
200484.10%$16,6884.44%$22,3994.10%4.44%
200495.62%$17,6266.59%$23,8745.62%6.59%
2004102.30%$18,0323.12%$24,6202.30%3.12%
20041110.17%$19,86610.82%$27,28310.17%10.82%
2004125.32%$20,9236.43%$29,0365.32%6.43%
20051-0.14%$20,8951.64%$29,513-0.14%1.64%
200528.87%$22,7479.11%$32,2038.87%9.11%
20053-6.70%$21,222-7.31%$29,848-6.70%-7.31%
20054-2.89%$20,609-3.56%$28,786-2.89%-3.56%
200553.39%$21,3081.44%$29,2023.39%1.44%
200563.28%$22,0063.29%$30,1613.28%3.29%
200576.87%$23,5177.28%$32,3566.87%7.28%
200580.97%$23,7451.59%$32,8690.97%1.59%
200598.64%$25,7978.02%$35,5078.64%8.02%
200510-6.57%$24,101-6.26%$33,286-6.57%-6.26%
2005117.98%$26,0267.38%$35,7417.98%7.38%
2005126.16%$27,6296.27%$37,9846.16%6.27%
2006111.48%$30,8029.56%$41,61311.48%9.56%
20062-1.46%$30,3530.38%$41,772-1.46%0.38%
200631.24%$30,7303.38%$43,1841.24%3.38%
200647.12%$32,9178.72%$46,9507.12%8.72%
20065-10.74%$29,382-10.84%$41,859-10.74%-10.84%
20066-0.20%$29,324-0.91%$41,479-0.20%-0.91%
200671.19%$29,6722.36%$42,4591.19%2.36%
200682.05%$30,2811.82%$43,2302.05%1.82%
200690.72%$30,4982.03%$44,1060.72%2.03%
2006104.75%$31,9476.94%$47,1664.75%6.94%
2006117.44%$34,3237.24%$50,5837.44%7.24%
2006124.16%$35,7503.57%$52,3904.16%3.57%
20071-0.58%$35,5441.54%$53,195-0.58%1.54%
20072-1.28%$35,0870.56%$53,491-1.28%0.56%
200734.11%$36,5315.21%$56,2764.11%5.21%
200744.23%$38,0777.97%$60,7604.23%7.97%
200755.96%$40,3467.60%$65,3755.96%7.60%
200764.49%$42,1582.84%$67,2324.49%2.84%
200774.30%$43,9694.74%$70,4174.30%4.74%
20078-0.94%$43,557-3.23%$68,144-0.94%-3.23%
2007910.75%$48,2419.01%$74,28510.75%9.01%
20071012.31%$54,17710.97%$82,43612.31%10.97%
200711-7.99%$49,847-7.30%$76,419-7.99%-7.30%
200712-0.38%$49,657-0.16%$76,299-0.38%-0.16%
20081-11.08%$44,155-9.96%$68,702-11.08%-9.96%
200824.65%$46,2093.99%$71,4464.65%3.99%
20083-3.80%$44,455-3.36%$69,042-3.80%-3.36%
200848.09%$48,0537.71%$74,3668.09%7.71%
200851.84%$48,9380.85%$75,0011.84%0.85%
20086-10.39%$43,855-11.63%$66,276-10.39%-11.63%
20087-4.14%$42,041-1.96%$64,976-4.14%-1.96%
20088-7.81%$38,757-8.57%$59,409-7.81%-8.57%
20089-16.25%$32,460-17.25%$49,160-16.25%-17.25%
200810-27.67%$23,479-31.05%$33,894-27.67%-31.05%
200811-7.85%$21,635-7.59%$31,320-7.85%-7.59%
2008128.30%$23,43112.21%$35,1438.30%12.21%
20091-8.19%$21,513-9.03%$31,971-8.19%-9.03%
20092-6.07%$20,207-8.50%$29,255-6.07%-8.50%
2009316.03%$23,44717.30%$34,31616.03%17.30%
2009416.03%$27,20519.66%$41,06216.03%19.66%
2009518.27%$32,17422.50%$50,30018.27%22.50%
20096-2.25%$31,451-1.23%$49,681-2.25%-1.23%
2009711.55%$35,08413.41%$56,34211.55%13.41%
20098-0.63%$34,8640.74%$56,760-0.63%0.74%
200999.29%$38,1039.23%$61,9979.29%9.23%
200910-1.36%$37,584-2.36%$60,531-1.36%-2.36%
2009115.90%$39,8016.37%$64,3845.90%6.37%
2009123.60%$41,2334.95%$67,5743.60%4.95%
20101-6.25%$38,654-5.69%$63,726-6.25%-5.69%
201021.07%$39,0680.78%$64,2211.07%0.78%
201038.15%$42,2528.80%$69,8738.15%8.80%
201040.26%$42,3640.65%$70,3250.26%0.65%
20105-9.32%$38,415-10.48%$62,953-9.32%-10.48%
20106-0.04%$38,3990.62%$63,345-0.04%0.62%
201079.25%$41,9509.25%$69,2069.25%9.25%
20108-2.24%$41,010-1.81%$67,952-2.24%-1.81%
2010911.18%$45,59512.01%$76,11011.18%12.01%
2010102.97%$46,9493.42%$78,7142.97%3.42%
201011-2.71%$45,675-3.25%$76,153-2.71%-3.25%
2010127.30%$49,0108.31%$82,4797.30%8.31%
20111-2.77%$47,653-3.12%$79,901-2.77%-3.13%
20112-0.85%$47,249-1.68%$78,555-0.85%-1.68%
201135.57%$49,8825.75%$83,0725.57%5.75%
201143.47%$51,6103.57%$86,0373.47%3.57%
20115-2.82%$50,157-3.82%$82,752-2.82%-3.82%
20116-1.51%$49,397-2.05%$81,058-1.51%-2.05%
20117-0.82%$48,994-0.85%$80,370-0.82%-0.85%
20118-8.54%$44,810-10.15%$72,212-8.54%-10.15%
20119-16.19%$37,557-17.95%$59,247-16.19%-17.95%
20111013.51%$42,62913.14%$67,03113.51%13.14%
201111-3.41%$41,175-5.07%$63,636-3.41%-5.07%
201112-3.32%$39,808-3.59%$61,350-3.32%-3.59%
2012111.12%$44,23313.87%$69,85811.12%13.87%
201225.56%$46,6936.09%$74,1125.56%6.09%
20123-2.86%$45,355-4.30%$70,921-2.86%-4.30%
20124-1.75%$44,563-3.27%$68,605-1.75%-3.27%
20125-11.08%$39,626-11.06%$61,019-11.08%-11.06%
201264.83%$41,5414.52%$63,7774.83%4.52%
201270.64%$41,806-0.63%$63,3730.64%-0.63%
201280.43%$41,9871.39%$64,2530.43%1.39%
201295.32%$44,2206.43%$68,3855.32%6.43%
201210-0.42%$44,037-1.29%$67,500-0.42%-1.29%
2012111.33%$44,6211.10%$68,2421.33%1.10%
2012125.84%$47,2287.31%$73,2295.84%7.31%
201310.61%$47,5151.61%$74,4070.61%1.61%
20132-1.74%$46,688-1.68%$73,156-1.74%-1.68%
20133-1.54%$45,971-0.86%$72,529-1.54%-0.86%
201341.32%$46,5780.88%$73,1671.32%0.88%
20135-3.73%$44,840-2.85%$71,080-3.73%-2.85%
20136-6.14%$42,087-8.42%$65,095-6.14%-8.42%
201370.97%$42,4981.94%$66,3580.97%1.94%
20138-3.18%$41,147-2.13%$64,947-3.18%-2.13%
201397.15%$44,0917.39%$69,7447.15%7.39%
2013104.65%$46,1414.53%$72,9074.65%4.53%
201311-2.02%$45,211-2.42%$71,139-2.02%-2.42%
201312-0.96%$44,776-0.98%$70,444-0.96%-0.98%
20141-7.27%$41,521-6.99%$65,520-7.27%-6.99%
201423.42%$42,9412.22%$66,9743.42%2.22%
201433.86%$44,5994.46%$69,9593.86%4.46%
201440.51%$44,8240.66%$70,4180.51%0.66%
201453.72%$46,4904.06%$73,2763.72%4.06%
201463.00%$47,8852.61%$75,1863.00%2.61%
201471.46%$48,5851.87%$76,5921.46%1.87%
201483.57%$50,3192.24%$78,3043.57%2.24%
20149-7.16%$46,717-8.20%$71,883-7.16%-8.20%
2014102.31%$47,796-0.07%$71,8312.31%-0.07%
201411-1.00%$47,318-1.69%$70,618-1.00%-1.69%
201412-4.97%$44,964-4.65%$67,334-4.97%-4.65%
201510.67%$45,266-0.82%$66,7850.67%-0.82%
201523.53%$46,8653.56%$69,1653.53%3.56%
20153-2.08%$45,891-2.84%$67,203-2.08%-2.84%
201547.79%$49,4659.96%$73,8987.79%9.96%
20155-3.38%$47,794-4.46%$70,603-3.38%-4.46%
20156-2.39%$46,654-3.19%$68,354-2.39%-3.19%
20157-6.81%$43,479-8.03%$62,863-6.81%-8.03%
20158-9.32%$39,425-9.07%$57,162-9.32%-9.07%
20159-3.25%$38,146-3.34%$55,255-3.25%-3.34%
2015105.57%$40,2726.21%$58,6885.57%6.21%
201511-3.25%$38,963-3.92%$56,390-3.25%-3.92%
201512-2.45%$38,010-3.01%$54,694-2.45%-3.01%
20161-6.05%$35,709-5.64%$51,611-6.05%-5.64%
20162-0.87%$35,3990.62%$51,932-0.87%0.62%
2016313.04%$40,01614.69%$59,56013.04%14.69%
201640.78%$40,3272.71%$61,1730.78%2.71%
20165-3.40%$38,956-6.50%$57,195-3.40%-6.50%
201665.04%$40,9215.47%$60,3245.04%5.47%
201674.67%$42,8346.29%$64,1184.67%6.29%
201681.67%$43,5511.82%$65,2841.67%1.82%
201691.27%$44,1041.38%$66,1851.27%1.38%
2016100.63%$44,3832.18%$67,6280.63%2.18%
201611-4.36%$42,448-3.50%$65,259-4.36%-3.50%
201612-0.16%$42,3800.44%$65,546-0.16%0.44%
201714.94%$44,4726.30%$69,6784.94%6.30%
201723.28%$45,9304.56%$72,8533.28%4.56%
201732.25%$46,9652.74%$74,8512.25%2.74%
201741.39%$47,6200.73%$75,3981.39%0.73%
201751.22%$48,2001.81%$76,7671.22%1.81%
201760.78%$48,5750.26%$76,9670.78%0.26%
201775.35%$51,1725.35%$81,0815.35%5.35%
201783.05%$52,7342.50%$83,1113.05%2.50%
20179-0.78%$52,321-2.24%$81,247-0.78%-2.24%
2017102.44%$53,5973.55%$84,1332.44%3.55%
2017110.21%$53,7110.49%$84,5490.21%0.49%
2017123.49%$55,5833.70%$87,6763.49%3.70%
201818.39%$60,2478.78%$95,3718.39%8.78%
20182-4.73%$57,399-4.71%$90,877-4.73%-4.71%
20183-1.22%$56,697-1.36%$89,642-1.22%-1.36%
20184-2.03%$55,5490.38%$89,979-2.03%0.38%
20185-2.86%$53,960-4.34%$86,075-2.86%-4.34%
20186-4.50%$51,529-5.45%$81,385-4.50%-5.45%
201873.18%$53,1664.59%$85,1203.18%4.59%
20188-3.55%$51,279-2.38%$83,098-3.55%-2.38%
20189-1.31%$50,6090.09%$83,174-1.31%0.09%
201810-7.58%$46,773-8.40%$76,184-7.58%-8.40%
2018114.45%$48,8563.58%$78,9124.45%3.58%
201812-2.97%$47,405-2.15%$77,214-2.97%-2.15%
201918.52%$51,4427.30%$82,8518.52%7.30%
201920.65%$51,775-0.69%$82,2760.65%-0.69%
201931.90%$52,7610.56%$82,7361.90%0.56%
201942.08%$53,8610.76%$83,3692.08%0.76%
20195-6.45%$50,386-5.28%$78,969-6.45%-5.28%
201965.42%$53,1205.07%$82,9725.42%5.07%
20197-1.19%$52,487-4.41%$79,314-1.19%-4.41%
20198-3.76%$50,512-5.12%$75,251-3.76%-5.12%
201991.33%$51,1832.56%$77,1791.33%2.56%
2019103.87%$53,1623.48%$79,8663.87%3.48%
2019110.15%$53,242-0.11%$79,7790.15%-0.11%
2019126.96%$56,9486.12%$84,6616.96%6.12%
20201-5.05%$54,074-8.05%$77,844-5.05%-8.05%
20202-3.71%$52,071-5.99%$73,182-3.71%-5.99%
20203-17.52%$42,947-21.21%$57,660-17.52%-21.21%
202049.29%$46,93711.82%$64,4779.29%11.82%
202052.33%$48,0310.78%$64,9792.33%0.78%
202067.16%$51,4685.64%$68,6417.16%5.64%
202078.38%$55,7795.27%$72,2618.38%5.27%
202082.26%$57,0401.56%$73,3892.26%1.56%
20209-1.67%$56,090-2.03%$71,900-1.67%-2.03%
2020101.94%$57,1770.25%$72,0801.94%0.25%
2020118.22%$61,87712.95%$81,4188.22%12.95%
2020125.89%$65,5216.83%$86,9765.89%6.83%
202112.93%$67,440-0.56%$86,4912.93%-0.56%
202121.65%$68,5546.04%$91,7121.65%6.04%
20213-1.03%$67,8472.76%$94,243-1.03%2.76%
202141.86%$69,1073.52%$97,5581.86%3.52%
202151.97%$70,4703.09%$100,5701.97%3.09%
202161.18%$71,3060.16%$100,7311.18%0.16%
20217-6.29%$66,823-4.17%$96,526-6.29%-4.17%
202182.67%$68,6083.00%$99,4212.67%3.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value I
Large-cap Value0.00%0.00%
Large-cap Growth1.78%0.00%
Mid-cap Value0.00%1.44%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.21%3.16%
Emerging Markets97.27%95.40%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.74%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.62%93.73%
Style analysis is based on monthly returns from April 2005 to August 2021 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 Vanguard Emerging Mkts Stock Idx Inv

Holdings Based Style Analysis for Vanguard Emerging Mkts Stock Idx Inv
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts100.00%1.87%0.29%14.44$58,608100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for DFA Emerging Markets Value I

Holdings Based Style Analysis for DFA Emerging Markets Value I
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DFEVXDFA Emerging Markets Value IDiversified Emerging Mkts100.00%2.12%0.46%9.19$89,421100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (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
MetricVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value I
Arithmetic Mean (monthly)0.91%1.08%
Arithmetic Mean (annualized)11.49%13.79%
Geometric Mean (monthly)0.71%0.85%
Geometric Mean (annualized)8.87%10.66%
Volatility (monthly)6.28%6.81%
Volatility (annualized)21.76%23.60%
Downside Deviation (monthly)4.15%4.39%
Max. Drawdown-62.70%-64.51%
US Market Correlation0.790.76
Beta(*)1.111.16
Alpha (annualized)0.69%2.29%
R261.95%57.64%
Sharpe Ratio0.420.48
Sortino Ratio0.630.73
Treynor Ratio (%)8.329.74
Calmar Ratio0.410.19
Active Return0.55%2.35%
Tracking Error13.53%15.56%
Information Ratio0.040.15
Skewness-0.42-0.29
Excess Kurtosis1.432.36
Historical Value-at-Risk (5%)-8.98%-9.05%
Analytical Value-at-Risk (5%)-9.42%-10.12%
Conditional Value-at-Risk (5%)-13.29%-14.18%
Upside Capture Ratio (%)113.98119.60
Downside Capture Ratio (%)113.14111.30
Safe Withdrawal Rate9.93%12.99%
Perpetual Withdrawal Rate6.22%7.79%
Positive Periods156 out of 272 (57.35%)163 out of 272 (59.93%)
Gain/Loss Ratio1.081.02
* 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 PeriodStartEndVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value I
Dotcom CrashMar 2000Oct 2002-43.10%-46.10%
Subprime CrisisNov 2007Mar 2009-62.70%-64.51%
COVID-19 StartJan 2020Mar 2020-24.59%-31.89%

Drawdowns for Vanguard Emerging Mkts Stock Idx Inv

Drawdowns for Vanguard Emerging Mkts Stock Idx Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20178 years 10 months10 years 2 months-62.70%
2Jan 2000Sep 20011 year 9 monthsDec 20032 years 3 months4 years-43.96%
3Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-28.72%
4May 2006Jun 20062 monthsNov 20065 months7 months-10.92%
5Apr 2004Jul 20044 monthsOct 20043 months7 months-10.41%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-9.40%
7Oct 2005Oct 20051 monthNov 20051 month2 months-6.57%
8Jul 2021Jul 20211 month-6.29%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-4.87%
10May 1999May 19991 monthJun 19991 month2 months-4.15%
Worst 10 drawdowns included above

Drawdowns for DFA Emerging Markets Value I

Drawdowns for DFA Emerging Markets Value I (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-64.51%
2Jan 2000Sep 20011 year 9 monthsNov 20032 years 2 months3 years 11 months-47.68%
3May 2011Jan 20164 years 9 monthsDec 20171 year 11 months6 years 8 months-40.01%
4Feb 2018Mar 20202 years 2 monthsApr 20211 year 1 month3 years 3 months-39.54%
5May 2006Jun 20062 monthsOct 20064 months6 months-11.65%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-10.61%
7Apr 2004May 20042 monthsSep 20044 months6 months-9.78%
8Oct 2005Oct 20051 monthNov 20051 month2 months-6.26%
9Jan 2011Feb 20112 monthsMar 20111 month3 months-4.76%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-4.50%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VEIEXVanguard Emerging Mkts Stock Idx Inv8.87%21.76%75.98%-52.81%-62.70%0.420.630.79
DFEVXDFA Emerging Markets Value I10.66%23.60%92.28%-53.94%-64.51%0.480.730.76

Monthly Correlations

Correlations for the portfolio assets
TickerNameVEIEXDFEVXVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value I
VEIEXVanguard Emerging Mkts Stock Idx Inv1.000.961.000.96
DFEVXDFA Emerging Markets Value I0.961.000.961.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value I
VEIEXVanguard Emerging Mkts Stock Idx Inv$58,608
DFEVXDFA Emerging Markets Value I$89,421

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value I
VEIEXVanguard Emerging Mkts Stock Idx Inv100.00%
DFEVXDFA Emerging Markets Value I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Emerging Mkts Stock Idx InvDFA Emerging Markets Value I
AverageHighLowAverageHighLow
1 year11.43%93.34%-56.66%13.72%119.52%-59.05%
3 years8.71%45.72%-14.29%10.71%54.91%-13.78%
5 years9.17%39.76%-5.61%11.32%48.83%-8.37%
7 years8.71%24.02%-1.77%10.61%30.62%-3.22%
10 years7.88%16.64%-0.11%9.55%22.36%-1.90%
15 years8.34%12.33%4.81%10.03%14.83%4.49%