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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Portfolio Analysis Results (Jan 2009 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$36,861 12.59% 20.71%42.38%-15.13%-27.77% 0.651.030.91
Portfolio 2$10,000$44,480 14.53% 13.55%32.18%-4.52%-18.17% 1.041.691.00
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 19.18%18.12%2.44%4.91%10.68%12.59%
Portfolio 29.03%31.33%15.12%11.55%13.40%14.53%
Trailing returns are for full months ending in December 2019 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
YearInflationReturnBalanceDFA US Small Cap Value I (DFSVX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20092.72%33.62%26.49%$13,362$12,64933.62%26.49%
20101.50%30.90%14.91%$17,491$14,53530.90%14.91%
20112.96%-7.55%1.97%$16,172$14,821-7.55%1.97%
20121.74%21.72%15.82%$19,685$17,16621.72%15.82%
20131.50%42.38%32.18%$28,028$22,68942.38%32.18%
20140.76%3.48%13.51%$29,003$25,7543.48%13.51%
20150.73%-7.81%1.25%$26,737$26,076-7.81%1.25%
20162.07%28.26%11.82%$34,294$29,15728.26%11.82%
20172.11%7.21%21.67%$36,767$35,4757.21%21.67%
20181.91%-15.13%-4.52%$31,205$33,870-15.13%-4.52%
20192.29%18.12%31.33%$36,861$44,48018.12%31.33%
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA US Small Cap Value I (DFSVX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20091-14.28%-8.41%$8,572$9,159-14.28%-8.41%
20092-12.71%-10.66%$7,483$8,183-12.71%-10.66%
2009310.40%8.76%$8,261$8,90010.40%8.76%
2009419.66%9.56%$9,885$9,75019.66%9.56%
200953.22%5.62%$10,203$10,2983.22%5.62%
200960.35%0.22%$10,239$10,3210.35%0.22%
2009713.44%7.58%$11,616$11,10313.44%7.58%
200985.14%3.60%$12,212$11,5025.14%3.60%
200996.33%3.72%$12,986$11,9306.33%3.72%
200910-7.53%-1.87%$12,008$11,707-7.53%-1.87%
2009113.11%5.98%$12,382$12,4073.11%5.98%
2009127.92%1.95%$13,362$12,6497.92%1.95%
20101-3.16%-3.60%$12,940$12,193-3.16%-3.60%
201026.15%3.09%$13,737$12,5706.15%3.09%
201038.86%6.01%$14,954$13,3268.86%6.01%
201048.11%1.58%$16,166$13,5368.11%1.58%
20105-9.90%-8.01%$14,566$12,452-9.90%-8.01%
20106-10.14%-5.24%$13,088$11,800-10.14%-5.24%
201078.69%7.00%$14,225$12,6258.69%7.00%
20108-8.38%-4.53%$13,033$12,054-8.38%-4.53%
2010912.93%8.92%$14,719$13,12912.93%8.92%
2010104.17%3.79%$15,333$13,6264.17%3.79%
2010114.49%0.00%$16,021$13,6264.49%0.00%
2010129.18%6.67%$17,491$14,5359.18%6.67%
201110.31%2.36%$17,546$14,8780.31%2.36%
201126.28%3.42%$18,647$15,3866.28%3.42%
201132.05%0.03%$19,031$15,3902.05%0.03%
201141.26%2.95%$19,270$15,8431.26%2.95%
20115-3.12%-1.15%$18,668$15,662-3.12%-1.15%
20116-1.81%-1.67%$18,330$15,400-1.81%-1.67%
20117-2.88%-2.05%$17,803$15,085-2.88%-2.05%
20118-10.58%-5.45%$15,920$14,263-10.58%-5.45%
20119-12.58%-7.04%$13,918$13,259-12.58%-7.04%
20111015.82%10.91%$16,120$14,70615.82%10.91%
201111-0.68%-0.23%$16,010$14,671-0.68%-0.23%
2011121.01%1.02%$16,172$14,8211.01%1.02%
201217.43%4.46%$17,373$15,4827.43%4.46%
201223.18%4.31%$17,924$16,1493.18%4.31%
201232.30%3.28%$18,336$16,6792.30%3.28%
20124-1.60%-0.64%$18,043$16,572-1.60%-0.64%
20125-7.12%-6.02%$16,758$15,575-7.12%-6.02%
201264.38%4.11%$17,492$16,2154.38%4.11%
20127-0.24%1.37%$17,450$16,437-0.24%1.37%
201284.21%2.24%$18,186$16,8054.21%2.24%
201293.31%2.58%$18,789$17,2383.31%2.58%
201210-0.82%-1.86%$18,634$16,918-0.82%-1.86%
2012111.84%0.56%$18,978$17,0131.84%0.56%
2012123.72%0.90%$19,685$17,1663.72%0.90%
201316.56%5.18%$20,976$18,0556.56%5.18%
201321.75%1.34%$21,344$18,2961.75%1.34%
201334.91%3.74%$22,391$18,9804.91%3.74%
20134-1.11%1.91%$22,143$19,343-1.11%1.91%
201355.39%2.33%$23,338$19,7935.39%2.33%
20136-0.70%-1.35%$23,174$19,525-0.70%-1.35%
201377.34%5.07%$24,874$20,5167.34%5.07%
20138-4.17%-2.91%$23,836$19,918-4.17%-2.91%
201395.24%3.12%$25,086$20,5405.24%3.12%
2013103.51%4.59%$25,967$21,4823.51%4.59%
2013115.08%3.03%$27,285$22,1335.08%3.03%
2013122.72%2.51%$28,028$22,6892.72%2.51%
20141-5.14%-3.47%$26,587$21,902-5.14%-3.47%
201425.45%4.56%$28,036$22,9015.45%4.56%
201431.19%0.82%$28,368$23,0901.19%0.82%
20144-1.93%0.72%$27,822$23,257-1.93%0.72%
201450.83%2.33%$28,051$23,8000.83%2.33%
201464.44%2.05%$29,296$24,2884.44%2.05%
20147-5.76%-1.39%$27,608$23,951-5.76%-1.39%
201485.83%3.98%$29,217$24,9055.83%3.98%
20149-6.98%-1.41%$27,178$24,553-6.98%-1.41%
2014104.61%2.42%$28,432$25,1484.61%2.42%
201411-0.28%2.68%$28,353$25,823-0.28%2.68%
2014122.29%-0.26%$29,003$25,7542.29%-0.26%
20151-4.95%-3.02%$27,568$24,977-4.95%-3.02%
201525.90%5.74%$29,194$26,4115.90%5.74%
201531.78%-1.59%$29,712$25,9901.78%-1.59%
20154-1.34%0.95%$29,314$26,236-1.34%0.95%
201551.36%1.27%$29,712$26,5701.36%1.27%
201560.05%-1.93%$29,727$26,0570.05%-1.93%
20157-3.67%2.08%$28,637$26,599-3.67%2.08%
20158-4.04%-6.04%$27,481$24,992-4.04%-6.04%
20159-4.51%-2.49%$26,242$24,370-4.51%-2.49%
2015105.28%8.42%$27,629$26,4225.28%8.42%
2015113.17%0.29%$28,506$26,4983.17%0.29%
201512-6.20%-1.59%$26,737$26,076-6.20%-1.59%
20161-7.18%-4.98%$24,817$24,778-7.18%-4.98%
201621.17%-0.15%$25,106$24,7421.17%-0.15%
201638.77%6.78%$27,307$26,4188.77%6.78%
201641.80%0.37%$27,799$26,5171.80%0.37%
201650.47%1.78%$27,931$26,9900.47%1.78%
20166-1.16%0.25%$27,608$27,057-1.16%0.25%
201674.85%3.68%$28,947$28,0524.85%3.68%
201681.74%0.13%$29,449$28,0881.74%0.13%
201691.21%0.01%$29,804$28,0911.21%0.01%
201610-3.14%-1.83%$28,870$27,576-3.14%-1.83%
20161114.87%3.70%$33,163$28,59614.87%3.70%
2016123.41%1.96%$34,294$29,1573.41%1.96%
20171-0.53%1.88%$34,111$29,706-0.53%1.88%
201720.32%3.96%$34,221$30,8830.32%3.96%
20173-1.14%0.10%$33,831$30,914-1.14%0.10%
201740.46%1.02%$33,987$31,2290.46%1.02%
20175-3.51%1.39%$32,795$31,664-3.51%1.39%
201762.59%0.61%$33,643$31,8582.59%0.61%
201770.77%2.04%$33,900$32,5090.77%2.04%
20178-2.55%0.29%$33,036$32,604-2.55%0.29%
201797.92%2.06%$35,652$33,2757.92%2.06%
2017100.96%2.32%$35,993$34,0470.96%2.32%
2017112.12%3.06%$36,757$35,0882.12%3.06%
2017120.03%1.10%$36,767$35,4750.03%1.10%
201811.50%5.71%$37,320$37,5011.50%5.71%
20182-4.68%-3.69%$35,575$36,116-4.68%-3.69%
201830.93%-2.56%$35,906$35,1930.93%-2.56%
201841.32%0.37%$36,381$35,3241.32%0.37%
201856.29%2.39%$38,669$36,1706.29%2.39%
201860.06%0.61%$38,693$36,3890.06%0.61%
201871.61%3.71%$39,315$37,7391.61%3.71%
201882.84%3.25%$40,433$38,9642.84%3.25%
20189-3.19%0.55%$39,142$39,180-3.19%0.55%
201810-9.41%-6.85%$35,459$36,496-9.41%-6.85%
2018110.91%2.03%$35,781$37,2360.91%2.03%
201812-12.79%-9.04%$31,205$33,870-12.79%-9.04%
2019112.00%8.00%$34,950$36,58012.00%8.00%
201923.27%3.20%$36,094$37,7513.27%3.20%
20193-3.66%1.94%$34,773$38,482-3.66%1.94%
201944.04%4.04%$36,179$40,0374.04%4.04%
20195-11.52%-6.36%$32,012$37,489-11.52%-6.36%
201967.77%7.03%$34,498$40,1257.77%7.03%
201970.39%1.43%$34,634$40,6980.39%1.43%
20198-8.00%-1.59%$31,864$40,050-8.00%-1.59%
201995.96%1.86%$33,762$40,7955.96%1.86%
2019101.83%2.15%$34,381$41,6741.83%2.15%
2019113.17%3.62%$35,472$43,1823.17%3.62%
2019123.92%3.01%$36,861$44,4803.92%3.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%46.58%
Large-cap Growth0.00%53.10%
Mid-cap Value3.22%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value96.09%0.00%
Small-cap Growth0.00%0.20%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.69%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.12%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared96.89%99.95%
Style analysis is based on monthly returns from Jan 2009 to Dec 2019 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
DFSVXDFA US Small Cap Value ISmall Value100.00%0.51%12.58$26,861100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%25.27$34,480100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 11/27/2020. (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)1.17%1.21%
Arithmetic Mean (annualized)14.98%15.57%
Geometric Mean (monthly)0.99%1.14%
Geometric Mean (annualized)12.59%14.53%
Volatility (monthly)5.98%3.91%
Volatility (annualized)20.71%13.55%
Downside Deviation (monthly)3.77%2.38%
Max. Drawdown-27.77%-18.17%
US Market Correlation0.911.00
Beta(*)1.360.97
Alpha (annualized)-5.86%0.34%
R283.42%99.33%
Sharpe Ratio0.651.04
Sortino Ratio1.031.69
Treynor Ratio (%)9.9814.50
Calmar Ratio0.111.12
Active Return-2.02%-0.08%
Tracking Error9.78%1.20%
Information Ratio-0.21-0.07
Skewness-0.11-0.45
Excess Kurtosis0.700.65
Historical Value-at-Risk (5%)-10.30%-6.53%
Analytical Value-at-Risk (5%)-8.66%-5.22%
Conditional Value-at-Risk (5%)-12.41%-8.33%
Upside Capture Ratio (%)119.3297.72
Downside Capture Ratio (%)143.5896.66
Safe Withdrawal Rate19.41%17.87%
Perpetual Withdrawal Rate9.55%11.08%
Positive Periods87 out of 132 (65.91%)94 out of 132 (71.21%)
Gain/Loss Ratio0.860.87
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-27.77%
2Jan 2009Feb 20092 monthsMay 20093 months5 months-25.17%
3Sep 2018Dec 20184 months-22.82%
4May 2010Aug 20104 monthsDec 20104 months8 months-19.38%
5Jul 2015Jan 20167 monthsSep 20168 months1 year 3 months-16.52%
6Oct 2009Oct 20091 monthDec 20092 months3 months-7.53%
7Jul 2014Sep 20143 monthsMar 20156 months9 months-7.23%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-5.14%
9Feb 2018Feb 20181 monthMay 20183 months4 months-4.68%
10Jan 2017May 20175 monthsSep 20174 months9 months-4.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-18.17%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
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 I12.59%20.71%42.38%-15.13%-27.77%0.651.030.91
VFINXVanguard 500 Index Investor14.53%13.55%32.18%-4.52%-18.17%1.041.691.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameDFSVXVFINXPortfolio 1Portfolio 2
DFSVXDFA US Small Cap Value I1.000.891.000.89
VFINXVanguard 500 Index Investor0.891.000.891.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DFSVXDFA US Small Cap Value I$26,861
VFINXVanguard 500 Index Investor$34,480

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DFSVXDFA US Small Cap Value I100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year14.11%42.38%-15.13%15.13%32.18%-4.52%
3 years11.48%21.50%2.44%13.35%20.22%8.72%
5 years12.16%22.89%2.17%13.64%17.81%8.34%
7 years11.98%15.08%9.38%13.61%14.67%12.53%
10 years11.37%12.05%10.68%13.19%13.40%12.97%
Result statistics are based on annualized rolling returns over full calendar year periods