Factor Allocation

This tool supports optimizing the portfolio asset allocation based on the targeted risk factor exposures. The returns of the given portfolio are first regressed against the selected risk factor model consisting of equity risk factors (e.g. market, size, value), fixed income risk factors (e.g. term, credit), custom risk factor series, or any combination thereof. Based on the regression results, the targeted risk factor exposures of the portfolio can then be adjusted. You can also specify a list of optional assets that the optimizer can choose to add to the portfolio in order to meet the targeted risk factor exposures.

Portfolio Allocations

Provided Portfolio
Ticker	Name	Allocation
DFUSX	DFA US Large Company I	30.00%
DFLVX	DFA US Large Cap Value I	15.00%
DFSVX	DFA US Small Cap Value I	15.00%
DFIHX	DFA One-Year Fixed-Income I	10.00%
IEF	iShares 7-10 Year Treasury Bond ETF	10.00%
TLT	iShares 20+ Year Treasury Bond ETF	10.00%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	10.00%
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Adjusted Portfolio
Ticker	Name	Allocation	Diff
DFLVX	DFA US Large Cap Value I	25.80%	10.80%
DFUSX	DFA US Large Company I	21.23%	-8.77%
DFIHX	DFA One-Year Fixed-Income I	14.83%	4.83%
IEF	iShares 7-10 Year Treasury Bond ETF	10.00%	-0.00%
DFSVX	DFA US Small Cap Value I	13.16%	-1.84%
TLT	iShares 20+ Year Treasury Bond ETF	1.04%	-8.96%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	13.93%	3.93%
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Risk Factor Model Regressions

Portfolio regressions for the risk factor model
Name	Rm-Rf	SMB	HML	TRM	CDT	Annual Alpha	R²
Provided Portfolio	0.61	0.11	0.16	0.19	0.10	-0.62%	99.45%
Adjusted Portfolio	0.61	0.10	0.20	0.10	0.15	-0.78%	99.28%
Factor regression from Mar 2017 to Feb 2020. Statistically significant values in bold.

Portfolio Returns (Aug 2002 - Mar 2020)

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Provided Portfolio	$10,000	$34,446	7.25%	9.58%	23.54%	-19.62%	-34.21%	0.64	0.93	0.96
Adjusted Portfolio	$10,000	$31,450	6.70%	10.23%	23.97%	-22.18%	-36.99%	0.56	0.79	0.98

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.
Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
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 Fama-French, AQR, Alpha Architect, q-factor, and fixed income model factor returns are based on the US market
The risk factor exposures of the portfolio assets may vary over time
The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation
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
Drawdowns are calculated based on monthly returns

Portfolio return and risk metrics
Metric	Provided Portfolio	Adjusted Portfolio
Arithmetic Mean (monthly)	0.62%	0.59%
Arithmetic Mean (annualized)	7.75%	7.26%
Geometric Mean (monthly)	0.59%	0.54%
Geometric Mean (annualized)	7.25%	6.70%
Volatility (monthly)	2.77%	2.95%
Volatility (annualized)	9.58%	10.23%
Downside Deviation (monthly)	1.89%	2.05%
Max. Drawdown	-34.21%	-36.99%
US Market Correlation	0.96	0.98
Beta^(*)	0.63	0.68
Alpha (annualized)	1.69%	0.78%
R²	93.05%	95.13%
Sharpe Ratio	0.64	0.56
Sortino Ratio	0.93	0.79
Treynor Ratio (%)	9.81	8.43
Calmar Ratio	0.14	0.02
Active Return	-1.15%	-1.70%
Tracking Error	5.97%	5.19%
Information Ratio	-0.19	-0.33
Skewness	-0.99	-0.96
Excess Kurtosis	3.32	3.19
Historical Value-at-Risk (5%)	-4.53%	-5.15%
Analytical Value-at-Risk (5%)	-3.92%	-4.26%
Conditional Value-at-Risk (5%)	-6.98%	-7.46%
Upside Capture Ratio (%)	64.65	67.29
Downside Capture Ratio (%)	59.15	66.14
Safe Withdrawal Rate	8.94%	8.74%
Perpetual Withdrawal Rate	4.75%	4.26%
Positive Periods	146 out of 212 (68.87%)	143 out of 212 (67.45%)
Gain/Loss Ratio	0.83	0.82
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Factor Regressions

Asset regressions for the risk factor model
Name	Ticker	Rm-Rf	SMB	HML	TRM	CDT	Annual Alpha	R²
DFA US Large Company I	DFUSX	0.98	-0.10	0.02	0.02	0.01	-0.08%	99.78%
DFA US Large Cap Value I	DFLVX	1.03	0.02	0.41	0.01	0.14	-2.00%	98.13%
DFA US Small Cap Value I	DFSVX	1.10	0.85	0.66	0.02	-0.00	-2.05%	98.92%
DFA One-Year Fixed-Income I	DFIHX	0.00	0.01	-0.00	0.01	0.01	-0.03%	39.13%
iShares 7-10 Year Treasury Bond ETF	IEF	-0.03	-0.01	-0.05	0.39	0.03	-0.05%	92.17%
iShares 20+ Year Treasury Bond ETF	TLT	0.01	-0.01	-0.00	1.04	-0.03	-0.07%	99.94%
iShares iBoxx $ Invmt Grade Corp Bd ETF	LQD	-0.01	0.06	0.02	0.32	0.74	0.23%	94.73%
Factor regression from Mar 2017 to Feb 2020. Statistically significant values in bold.

Annual returns for the portfolios
Year	Inflation	Return		Balance		DFA US Large Company I (DFUSX)	DFA US Large Cap Value I (DFLVX)	DFA US Small Cap Value I (DFSVX)	DFA One-Year Fixed-Income I (DFIHX)	iShares 7-10 Year Treasury Bond ETF (IEF)	iShares 20+ Year Treasury Bond ETF (TLT)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Year	Inflation	Provided Portfolio	Adjusted Portfolio	Provided Portfolio	Adjusted Portfolio	DFA US Large Company I (DFUSX)	DFA US Large Cap Value I (DFLVX)	DFA US Small Cap Value I (DFSVX)	DFA One-Year Fixed-Income I (DFIHX)	iShares 7-10 Year Treasury Bond ETF (IEF)	iShares 20+ Year Treasury Bond ETF (TLT)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
2002	0.44%	1.26%	0.65%	$10,126	$10,065	-2.85%	-4.10%	-2.64%	1.41%	6.60%	9.72%	10.07%
2003	1.88%	23.54%	23.97%	$12,510	$12,478	28.53%	34.42%	59.40%	1.61%	5.29%	1.62%	9.08%
2004	3.26%	11.71%	11.70%	$13,974	$13,938	10.77%	18.25%	25.39%	0.89%	4.12%	8.71%	5.72%
2005	3.42%	5.87%	5.73%	$14,795	$14,736	4.98%	10.24%	7.79%	2.30%	2.64%	8.61%	1.16%
2006	2.54%	12.11%	12.84%	$16,587	$16,628	15.72%	20.18%	21.55%	4.78%	2.52%	0.71%	4.22%
2007	4.08%	2.63%	1.51%	$17,024	$16,879	5.52%	-2.76%	-10.75%	5.19%	10.37%	10.29%	3.73%
2008	0.09%	-19.62%	-22.18%	$13,684	$13,136	-36.76%	-40.80%	-36.79%	4.02%	17.91%	33.93%	2.40%
2009	2.72%	15.33%	18.62%	$15,781	$15,582	26.62%	30.19%	33.62%	1.92%	-6.59%	-21.80%	8.46%
2010	1.50%	15.86%	15.54%	$18,284	$18,004	15.00%	20.17%	30.90%	1.16%	9.37%	9.05%	9.33%
2011	2.96%	5.30%	2.36%	$19,254	$18,428	2.10%	-3.14%	-7.55%	0.59%	15.64%	33.96%	9.73%
2012	1.74%	13.22%	13.91%	$21,799	$20,991	15.82%	22.05%	21.72%	0.93%	3.66%	2.63%	10.58%
2013	1.50%	18.37%	20.43%	$25,804	$25,280	32.33%	40.32%	42.38%	0.34%	-6.09%	-13.37%	-2.00%
2014	0.76%	10.57%	8.37%	$28,532	$27,395	13.53%	10.07%	3.48%	0.26%	9.07%	27.30%	8.21%
2015	0.73%	-1.03%	-1.35%	$28,238	$27,026	1.38%	-3.49%	-7.81%	0.31%	1.51%	-1.79%	-1.25%
2016	2.07%	11.69%	12.25%	$31,538	$30,336	11.90%	18.89%	28.26%	0.84%	1.00%	1.18%	6.21%
2017	2.11%	12.27%	11.75%	$35,408	$33,899	21.73%	18.97%	7.21%	0.94%	2.55%	9.18%	7.06%
2018	1.91%	-5.34%	-5.91%	$33,517	$31,895	-4.43%	-11.65%	-15.13%	1.87%	0.99%	-1.61%	-3.79%
2019	2.29%	20.48%	19.48%	$40,380	$38,108	31.42%	25.45%	18.12%	2.44%	8.03%	14.12%	17.37%
2020	0.66%	-14.70%	-17.47%	$34,446	$31,450	-19.61%	-31.52%	-39.02%	0.36%	10.50%	22.15%	-2.97%
Annual returns for 2002 and 2020 are based on partial years

Monthly returns for the portfolios
Year	Month	Return		Balance		DFA US Large Company I (DFUSX)	DFA US Large Cap Value I (DFLVX)	DFA US Small Cap Value I (DFSVX)	DFA One-Year Fixed-Income I (DFIHX)	iShares 7-10 Year Treasury Bond ETF (IEF)	iShares 20+ Year Treasury Bond ETF (TLT)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Year	Month	Provided Portfolio	Adjusted Portfolio	Provided Portfolio	Adjusted Portfolio	DFA US Large Company I (DFUSX)	DFA US Large Cap Value I (DFLVX)	DFA US Small Cap Value I (DFSVX)	DFA One-Year Fixed-Income I (DFIHX)	iShares 7-10 Year Treasury Bond ETF (IEF)	iShares 20+ Year Treasury Bond ETF (TLT)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
2002	8	1.42%	1.23%	$10,142	$10,123	0.56%	1.62%	-1.25%	0.30%	2.52%	5.51%	3.64%
2002	9	-4.95%	-5.36%	$9,640	$9,581	-10.80%	-11.13%	-7.28%	0.30%	3.85%	4.25%	2.09%
2002	10	2.93%	2.88%	$9,922	$9,856	8.76%	3.92%	1.62%	0.29%	-1.25%	-3.69%	-0.61%
2002	11	3.87%	4.06%	$10,306	$10,257	5.90%	7.07%	8.52%	-0.11%	-2.09%	-0.91%	0.72%
2002	12	-1.75%	-1.87%	$10,126	$10,065	-5.97%	-4.55%	-3.58%	0.62%	3.55%	4.53%	3.93%
2003	1	-1.86%	-1.79%	$9,938	$9,885	-2.62%	-2.32%	-3.45%	0.10%	-0.77%	-0.58%	-0.81%
2003	2	-0.75%	-1.04%	$9,864	$9,782	-1.49%	-2.93%	-4.11%	0.29%	2.20%	3.10%	1.98%
2003	3	0.03%	0.03%	$9,867	$9,785	0.92%	-0.47%	-0.21%	0.15%	-0.38%	-1.37%	0.12%
2003	4	5.82%	5.91%	$10,441	$10,363	8.28%	9.20%	10.56%	0.21%	0.14%	1.05%	2.35%
2003	5	5.77%	5.41%	$11,044	$10,924	5.29%	6.69%	11.72%	0.22%	3.79%	6.32%	3.90%
2003	6	0.84%	0.94%	$11,137	$11,027	1.30%	1.08%	3.65%	0.11%	-0.69%	-1.80%	-0.18%
2003	7	-0.16%	0.48%	$11,119	$11,080	1.70%	2.52%	7.04%	-0.27%	-5.02%	-9.98%	-5.80%
2003	8	2.24%	2.30%	$11,368	$11,335	1.93%	3.55%	5.14%	0.09%	0.71%	1.31%	1.45%
2003	9	0.81%	0.35%	$11,459	$11,375	-1.13%	-2.20%	-0.78%	0.49%	4.98%	5.94%	4.54%
2003	10	3.64%	3.89%	$11,877	$11,817	5.77%	6.69%	10.00%	-0.18%	-1.47%	-3.03%	-1.26%
2003	11	1.28%	1.35%	$12,029	$11,976	0.85%	2.22%	4.16%	0.02%	0.02%	0.34%	0.31%
2003	12	4.00%	4.19%	$12,510	$12,478	5.14%	6.83%	5.33%	0.39%	2.03%	1.35%	2.55%
2004	1	1.96%	1.78%	$12,755	$12,699	1.84%	1.69%	4.89%	0.10%	1.02%	1.86%	1.22%
2004	2	1.57%	1.57%	$12,955	$12,899	1.35%	2.58%	1.41%	0.26%	1.61%	2.28%	1.51%
2004	3	0.03%	0.02%	$12,960	$12,902	-1.45%	-0.40%	0.94%	0.18%	1.30%	1.41%	0.99%
2004	4	-2.69%	-2.28%	$12,611	$12,607	-1.59%	-1.69%	-3.17%	-0.37%	-4.35%	-6.23%	-3.89%
2004	5	0.42%	0.35%	$12,664	$12,651	1.38%	0.57%	0.38%	-0.08%	-0.53%	-0.26%	-0.52%
2004	6	2.22%	2.15%	$12,945	$12,923	1.96%	2.99%	6.69%	-0.09%	0.65%	1.06%	0.13%
2004	7	-1.83%	-1.86%	$12,707	$12,684	-3.35%	-3.27%	-5.33%	0.31%	1.21%	1.53%	1.56%
2004	8	0.93%	0.70%	$12,825	$12,772	0.35%	0.00%	-1.49%	0.42%	2.83%	4.17%	3.08%
2004	9	1.68%	1.75%	$13,041	$12,995	1.09%	3.08%	4.93%	-0.07%	0.32%	0.95%	0.31%
2004	10	1.18%	1.06%	$13,195	$13,134	1.49%	1.17%	0.96%	0.24%	0.99%	1.77%	1.18%
2004	11	3.12%	3.44%	$13,607	$13,585	4.06%	6.55%	10.00%	-0.23%	-1.98%	-2.39%	-1.22%
2004	12	2.70%	2.59%	$13,974	$13,938	3.38%	3.99%	3.62%	0.21%	1.17%	2.66%	1.39%
2005	1	-1.06%	-1.32%	$13,825	$13,754	-2.43%	-2.49%	-3.57%	0.10%	0.87%	3.57%	1.23%
2005	2	1.14%	1.32%	$13,982	$13,935	2.17%	3.02%	2.70%	0.05%	-1.37%	-1.47%	-0.94%
2005	3	-1.08%	-0.92%	$13,831	$13,806	-1.81%	-0.26%	-1.95%	0.03%	-0.40%	-0.45%	-1.26%
2005	4	-1.32%	-1.66%	$13,649	$13,577	-1.84%	-3.44%	-7.28%	0.41%	2.52%	3.86%	1.62%
2005	5	3.16%	2.99%	$14,080	$13,983	3.09%	4.28%	6.65%	0.31%	1.84%	3.14%	0.62%
2005	6	1.39%	1.38%	$14,275	$14,175	0.18%	2.03%	4.17%	0.16%	0.48%	2.16%	1.22%
2005	7	2.30%	2.64%	$14,603	$14,550	3.75%	4.96%	7.11%	-0.02%	-2.18%	-3.38%	-0.82%
2005	8	0.09%	-0.12%	$14,616	$14,532	-0.93%	-0.83%	-1.67%	0.44%	2.00%	3.48%	1.50%
2005	9	-0.12%	0.21%	$14,598	$14,563	0.80%	1.54%	0.80%	0.09%	-1.75%	-3.61%	-1.86%
2005	10	-1.83%	-1.77%	$14,331	$14,306	-1.66%	-2.68%	-2.92%	0.18%	-1.24%	-2.24%	-1.58%
2005	11	2.59%	2.59%	$14,703	$14,676	3.81%	3.98%	4.21%	0.26%	0.63%	0.69%	0.66%
2005	12	0.62%	0.41%	$14,795	$14,736	0.03%	0.13%	0.34%	0.27%	1.37%	2.98%	0.86%
2006	1	2.61%	2.85%	$15,182	$15,156	2.66%	4.74%	8.82%	0.30%	-0.70%	-1.34%	-0.44%
2006	2	0.15%	0.05%	$15,205	$15,163	0.20%	-0.35%	-0.35%	0.31%	-0.10%	1.11%	0.68%
2006	3	0.83%	1.16%	$15,332	$15,339	1.26%	1.76%	6.09%	0.39%	-1.36%	-4.57%	-1.68%
2006	4	0.66%	1.08%	$15,433	$15,505	1.38%	2.82%	0.98%	0.33%	-0.63%	-2.75%	-0.20%
2006	5	-1.82%	-1.65%	$15,152	$15,249	-2.92%	-1.86%	-4.39%	0.41%	-0.10%	-0.19%	-0.19%
2006	6	0.36%	0.35%	$15,207	$15,301	0.20%	0.87%	0.05%	0.35%	0.23%	1.18%	-0.09%
2006	7	-0.03%	-0.28%	$15,203	$15,258	0.60%	-1.45%	-3.75%	0.43%	1.68%	2.16%	1.46%
2006	8	2.00%	1.76%	$15,507	$15,527	2.40%	1.61%	1.95%	0.43%	1.76%	3.06%	2.22%
2006	9	1.80%	1.74%	$15,786	$15,797	2.52%	2.76%	1.19%	0.46%	1.21%	1.91%	0.87%
2006	10	2.67%	2.70%	$16,207	$16,223	3.25%	3.96%	5.43%	0.45%	0.54%	0.85%	1.00%
2006	11	1.84%	1.69%	$16,505	$16,497	1.85%	1.89%	3.03%	0.36%	1.31%	2.31%	1.46%
2006	12	0.50%	0.79%	$16,587	$16,628	1.44%	2.01%	1.38%	0.45%	-1.28%	-2.69%	-0.90%
2007	1	1.14%	1.40%	$16,776	$16,860	1.53%	2.89%	2.20%	0.49%	-0.40%	-1.00%	0.09%
2007	2	-0.07%	-0.26%	$16,765	$16,816	-1.95%	-1.50%	-0.23%	0.35%	2.06%	3.39%	2.00%
2007	3	0.38%	0.48%	$16,828	$16,897	1.06%	0.66%	1.09%	0.49%	-0.14%	-1.70%	-0.68%
2007	4	2.54%	2.54%	$17,255	$17,327	4.50%	4.24%	1.81%	0.41%	0.61%	0.90%	0.89%
2007	5	1.75%	2.00%	$17,557	$17,673	3.44%	4.10%	3.65%	0.44%	-1.39%	-2.31%	-1.23%
2007	6	-1.15%	-1.07%	$17,355	$17,484	-1.61%	-1.62%	-1.55%	0.42%	-0.47%	-1.01%	-0.81%
2007	7	-2.51%	-3.07%	$16,920	$16,947	-3.14%	-6.21%	-7.64%	0.41%	2.26%	3.32%	-0.82%
2007	8	0.74%	0.37%	$17,045	$17,010	1.49%	-1.91%	-0.76%	0.45%	2.26%	1.79%	2.38%
2007	9	1.61%	1.59%	$17,319	$17,280	3.75%	2.58%	-0.28%	0.33%	0.09%	0.23%	0.73%
2007	10	1.16%	0.96%	$17,520	$17,446	1.59%	0.54%	1.11%	0.49%	1.08%	1.81%	0.97%
2007	11	-2.34%	-2.83%	$17,111	$16,951	-4.20%	-5.60%	-8.72%	0.32%	4.04%	5.35%	1.02%
2007	12	-0.51%	-0.42%	$17,024	$16,879	-0.63%	-0.32%	-1.20%	0.44%	0.05%	-0.64%	-0.81%
2008	1	-2.13%	-2.01%	$16,661	$16,540	-6.01%	-3.84%	-3.94%	0.39%	3.36%	2.10%	2.57%
2008	2	-1.83%	-1.80%	$16,356	$16,242	-3.24%	-3.09%	-2.84%	0.27%	1.24%	-0.46%	-0.71%
2008	3	0.18%	-0.11%	$16,386	$16,224	-0.38%	-0.93%	0.84%	0.19%	1.34%	2.14%	-0.60%
2008	4	2.29%	2.79%	$16,761	$16,677	4.83%	6.27%	1.66%	0.15%	-2.41%	-2.48%	1.25%
2008	5	0.72%	0.95%	$16,881	$16,835	1.29%	2.38%	4.14%	0.21%	-1.78%	-2.69%	-2.21%
2008	6	-5.40%	-5.93%	$15,970	$15,837	-8.39%	-10.96%	-10.10%	0.31%	1.14%	2.65%	-1.29%
2008	7	0.00%	-0.03%	$15,970	$15,832	-0.80%	-1.12%	2.07%	0.23%	0.72%	-0.37%	0.39%
2008	8	1.80%	1.59%	$16,258	$16,083	1.41%	1.96%	4.15%	0.23%	1.53%	2.74%	0.15%
2008	9	-6.01%	-6.66%	$15,281	$15,013	-8.81%	-9.00%	-6.89%	-0.44%	-0.14%	1.47%	-10.73%
2008	10	-12.11%	-12.55%	$13,430	$13,128	-16.72%	-22.53%	-22.14%	0.69%	-0.87%	-1.86%	-1.95%
2008	11	-2.93%	-4.25%	$13,036	$12,571	-7.09%	-9.81%	-12.99%	0.71%	7.75%	14.34%	3.35%
2008	12	4.97%	4.49%	$13,684	$13,136	1.09%	3.25%	5.25%	1.04%	5.15%	13.64%	13.80%
2009	1	-8.29%	-7.47%	$12,550	$12,154	-8.33%	-11.86%	-14.28%	0.10%	-3.89%	-13.07%	-1.80%
2009	2	-7.96%	-8.38%	$11,551	$11,136	-10.63%	-14.04%	-12.71%	-0.10%	-0.74%	-1.54%	-5.20%
2009	3	6.49%	6.26%	$12,300	$11,833	8.77%	9.83%	10.40%	0.37%	3.31%	4.04%	0.47%
2009	4	7.58%	8.88%	$13,233	$12,884	9.57%	16.18%	19.66%	0.30%	-2.75%	-6.95%	2.78%
2009	5	3.03%	3.74%	$13,634	$13,365	5.68%	7.67%	3.22%	0.38%	-2.08%	-3.69%	2.32%
2009	6	0.25%	0.16%	$13,667	$13,386	0.13%	-1.21%	0.35%	0.27%	-0.55%	0.76%	2.89%
2009	7	6.32%	6.56%	$14,532	$14,265	7.61%	9.43%	13.44%	0.07%	0.83%	0.58%	4.63%
2009	8	3.33%	3.52%	$15,016	$14,767	3.60%	6.80%	5.14%	0.32%	0.77%	2.24%	1.31%
2009	9	3.28%	3.17%	$15,509	$15,235	3.75%	4.35%	6.33%	0.20%	1.12%	2.46%	1.76%
2009	10	-2.67%	-2.61%	$15,095	$14,838	-1.92%	-4.30%	-7.53%	0.07%	-0.14%	-2.62%	-0.49%
2009	11	3.66%	3.66%	$15,647	$15,381	6.00%	5.63%	3.11%	0.27%	2.02%	1.21%	1.95%
2009	12	0.86%	1.30%	$15,781	$15,582	1.93%	2.70%	7.92%	-0.35%	-4.40%	-6.34%	-2.07%
2010	1	-1.23%	-1.29%	$15,587	$15,381	-3.54%	-2.34%	-3.16%	0.29%	2.37%	2.69%	1.25%
2010	2	2.56%	2.70%	$15,986	$15,796	3.08%	4.32%	6.15%	0.14%	0.33%	-0.34%	0.51%
2010	3	4.07%	4.42%	$16,636	$16,494	6.06%	7.80%	8.86%	-0.04%	-1.06%	-2.06%	0.65%
2010	4	2.84%	2.68%	$17,109	$16,936	1.52%	3.16%	8.11%	0.06%	1.65%	3.32%	1.91%
2010	5	-4.50%	-5.04%	$16,339	$16,082	-8.02%	-8.56%	-9.90%	0.05%	2.93%	5.11%	-1.31%
2010	6	-2.99%	-3.54%	$15,851	$15,513	-5.23%	-7.56%	-10.14%	0.24%	3.05%	5.80%	3.28%
2010	7	4.80%	5.05%	$16,613	$16,296	7.01%	7.82%	8.69%	0.16%	0.91%	-0.95%	2.11%
2010	8	-2.04%	-2.79%	$16,273	$15,842	-4.48%	-6.11%	-8.38%	0.15%	3.36%	8.40%	2.86%
2010	9	5.88%	6.16%	$17,230	$16,819	8.89%	9.80%	12.93%	0.05%	-0.00%	-2.51%	0.46%
2010	10	1.85%	2.24%	$17,549	$17,195	3.78%	3.68%	4.17%	0.15%	-0.01%	-4.47%	-0.26%
2010	11	0.13%	0.04%	$17,571	$17,203	0.00%	-0.75%	4.49%	-0.14%	-0.90%	-1.69%	-1.62%
2010	12	4.06%	4.66%	$18,284	$18,004	6.68%	9.72%	9.18%	0.04%	-3.43%	-3.68%	-0.75%
2011	1	0.96%	1.37%	$18,460	$18,251	2.42%	3.23%	0.31%	0.10%	-0.02%	-3.08%	0.04%
2011	2	3.01%	3.08%	$19,016	$18,813	3.35%	5.39%	6.28%	0.03%	-0.21%	1.65%	1.08%
2011	3	0.35%	0.33%	$19,082	$18,876	0.12%	0.45%	2.05%	0.06%	-0.15%	0.03%	-0.54%
2011	4	2.12%	2.01%	$19,486	$19,256	2.87%	2.51%	1.26%	0.23%	1.84%	2.34%	2.50%
2011	5	-0.28%	-0.53%	$19,431	$19,153	-1.12%	-1.42%	-3.12%	0.14%	2.51%	3.42%	1.27%
2011	6	-1.42%	-1.26%	$19,155	$18,912	-1.70%	-1.82%	-1.81%	-0.05%	-0.51%	-2.33%	-0.80%
2011	7	-0.71%	-1.26%	$19,020	$18,673	-2.02%	-4.57%	-2.88%	0.14%	3.17%	4.42%	2.43%
2011	8	-3.00%	-4.10%	$18,449	$17,907	-5.39%	-8.46%	-10.58%	0.04%	4.65%	9.66%	0.34%
2011	9	-3.95%	-5.36%	$17,719	$16,947	-7.08%	-10.10%	-12.58%	-0.06%	2.24%	13.20%	0.35%
2011	10	7.48%	8.16%	$19,045	$18,330	10.99%	13.81%	15.82%	0.05%	-1.29%	-3.84%	2.51%
2011	11	-0.38%	-0.74%	$18,972	$18,195	-0.30%	-0.83%	-0.68%	-0.06%	0.58%	1.98%	-3.16%
2011	12	1.48%	1.28%	$19,254	$18,428	1.08%	0.79%	1.01%	-0.03%	1.99%	3.44%	3.49%
2012	1	3.49%	3.63%	$19,925	$19,097	4.44%	4.96%	7.43%	0.29%	0.86%	-0.33%	2.14%
2012	2	2.42%	2.91%	$20,407	$19,652	4.26%	5.77%	3.18%	0.04%	-1.10%	-2.59%	1.63%
2012	3	0.90%	1.09%	$20,591	$19,866	3.35%	1.83%	2.30%	0.05%	-1.59%	-4.23%	-1.42%
2012	4	0.11%	-0.41%	$20,615	$19,785	-0.63%	-2.09%	-1.60%	0.14%	2.51%	4.83%	1.08%
2012	5	-2.69%	-3.58%	$20,060	$19,077	-6.07%	-7.10%	-7.12%	-0.05%	2.87%	9.03%	0.76%
2012	6	2.59%	2.92%	$20,580	$19,634	4.13%	5.37%	4.38%	0.14%	-0.42%	-1.68%	0.87%
2012	7	1.41%	1.20%	$20,871	$19,870	1.40%	0.97%	-0.24%	0.15%	1.40%	3.82%	3.48%
2012	8	1.74%	2.01%	$21,234	$20,270	2.20%	3.95%	4.21%	0.04%	-0.12%	-1.32%	-0.05%
2012	9	1.65%	2.03%	$21,583	$20,681	2.58%	3.65%	3.31%	0.05%	-0.35%	-2.53%	1.10%
2012	10	-0.59%	-0.28%	$21,457	$20,622	-1.85%	0.27%	-0.82%	0.04%	-0.40%	-0.48%	1.35%
2012	11	0.70%	0.49%	$21,606	$20,724	0.63%	0.22%	1.84%	0.04%	0.98%	1.38%	-0.42%
2012	12	0.89%	1.29%	$21,799	$20,991	0.85%	3.03%	3.72%	0.02%	-0.94%	-2.49%	-0.33%
2013	1	3.01%	3.42%	$22,455	$21,710	5.17%	6.94%	6.56%	0.10%	-1.29%	-3.19%	-1.30%
2013	2	1.21%	1.12%	$22,726	$21,954	1.36%	1.27%	1.75%	0.02%	1.13%	1.24%	1.08%
2013	3	2.57%	2.71%	$23,310	$22,548	3.76%	4.81%	4.91%	0.03%	0.29%	-0.42%	-0.05%
2013	4	1.41%	1.04%	$23,638	$22,782	1.94%	1.00%	-1.11%	0.04%	1.52%	4.68%	2.17%
2013	5	0.80%	1.42%	$23,828	$23,106	2.30%	4.13%	5.39%	-0.07%	-3.11%	-6.76%	-3.22%
2013	6	-1.58%	-1.41%	$23,453	$22,781	-1.30%	-1.15%	-0.70%	0.03%	-2.55%	-3.27%	-3.27%
2013	7	3.37%	3.69%	$24,242	$23,620	5.05%	6.00%	7.34%	0.03%	-0.35%	-2.26%	1.11%
2013	8	-2.33%	-2.23%	$23,679	$23,093	-2.93%	-2.99%	-4.17%	0.03%	-1.42%	-1.34%	-1.00%
2013	9	2.51%	2.43%	$24,273	$23,655	3.15%	2.95%	5.24%	0.13%	1.85%	0.66%	0.74%
2013	10	3.07%	3.09%	$25,019	$24,387	4.60%	5.05%	3.51%	0.04%	0.78%	1.43%	1.81%
2013	11	1.93%	2.26%	$25,501	$24,937	3.03%	4.17%	5.08%	0.02%	-0.88%	-2.70%	-0.14%
2013	12	1.19%	1.38%	$25,804	$25,280	2.55%	2.64%	2.72%	-0.05%	-2.09%	-1.87%	0.22%
2014	1	-1.28%	-1.79%	$25,474	$24,827	-3.50%	-3.95%	-5.14%	0.10%	3.06%	6.30%	1.88%
2014	2	2.92%	2.78%	$26,218	$25,518	4.63%	3.36%	5.45%	0.11%	0.36%	0.52%	1.14%
2014	3	0.78%	0.87%	$26,423	$25,740	0.81%	2.34%	1.19%	-0.07%	-0.56%	0.73%	-0.03%
2014	4	0.45%	0.36%	$26,543	$25,833	0.74%	0.66%	-1.93%	0.02%	0.76%	2.10%	1.33%
2014	5	1.78%	1.60%	$27,014	$26,245	2.28%	2.17%	0.83%	0.12%	1.82%	2.95%	1.51%
2014	6	1.64%	1.69%	$27,457	$26,689	2.06%	2.72%	4.44%	-0.07%	-0.22%	-0.25%	0.01%
2014	7	-1.37%	-1.29%	$27,081	$26,344	-1.36%	-0.74%	-5.76%	0.02%	-0.22%	0.67%	-0.32%
2014	8	3.41%	2.95%	$28,005	$27,122	4.00%	3.17%	5.83%	0.02%	1.88%	4.72%	2.00%
2014	9	-2.33%	-2.22%	$27,354	$26,520	-1.42%	-2.49%	-6.98%	0.03%	-1.05%	-2.11%	-1.68%
2014	10	2.10%	1.68%	$27,929	$26,967	2.44%	0.78%	4.61%	0.03%	1.53%	2.81%	1.23%
2014	11	1.47%	1.14%	$28,339	$27,274	2.70%	1.16%	-0.28%	0.12%	1.29%	2.97%	0.91%
2014	12	0.68%	0.45%	$28,532	$27,395	-0.31%	0.74%	2.29%	-0.17%	0.13%	3.25%	-0.02%
2015	1	-0.59%	-1.49%	$28,364	$26,987	-3.02%	-4.97%	-4.95%	0.19%	4.30%	9.82%	3.75%
2015	2	2.68%	3.32%	$29,124	$27,882	5.79%	7.06%	5.90%	0.02%	-2.47%	-6.14%	-1.42%
2015	3	-0.28%	-0.47%	$29,042	$27,752	-1.59%	-1.92%	1.78%	0.03%	0.86%	1.10%	0.20%
2015	4	-0.14%	0.29%	$29,001	$27,831	0.92%	2.04%	-1.34%	0.03%	-0.63%	-3.43%	-1.19%
2015	5	0.36%	0.51%	$29,106	$27,973	1.28%	1.07%	1.36%	0.03%	-0.42%	-2.37%	-1.12%
2015	6	-1.56%	-1.28%	$28,651	$27,615	-1.91%	-1.62%	0.05%	0.03%	-1.63%	-4.07%	-1.88%
2015	7	0.73%	0.21%	$28,860	$27,674	2.09%	-0.26%	-3.67%	0.03%	1.52%	4.55%	0.83%
2015	8	-3.47%	-3.50%	$27,858	$26,705	-6.02%	-6.08%	-4.04%	-0.06%	0.08%	-0.69%	-0.83%
2015	9	-1.42%	-1.59%	$27,463	$26,281	-2.47%	-3.23%	-4.51%	0.14%	1.58%	1.97%	1.19%
2015	10	4.49%	4.60%	$28,696	$27,489	8.38%	8.16%	5.28%	0.04%	-0.64%	-0.41%	0.57%
2015	11	0.48%	0.50%	$28,834	$27,625	0.37%	0.36%	3.17%	-0.13%	-0.43%	-0.87%	-0.15%
2015	12	-2.07%	-2.17%	$28,238	$27,026	-1.60%	-3.13%	-6.20%	-0.05%	-0.45%	-0.30%	-1.08%
2016	1	-2.67%	-3.32%	$27,483	$26,128	-5.01%	-6.81%	-7.18%	0.24%	3.33%	5.57%	0.12%
2016	2	0.75%	0.52%	$27,688	$26,263	-0.07%	0.17%	1.17%	0.04%	1.49%	3.09%	1.05%
2016	3	4.79%	4.98%	$29,016	$27,572	6.75%	7.26%	8.77%	0.17%	-0.06%	-0.09%	3.62%
2016	4	0.86%	1.22%	$29,265	$27,907	0.37%	2.71%	1.80%	0.05%	-0.16%	-0.74%	1.55%
2016	5	0.83%	0.71%	$29,506	$28,105	1.80%	1.33%	0.47%	-0.04%	-0.10%	0.81%	-0.51%
2016	6	1.22%	0.73%	$29,867	$28,310	0.22%	-0.10%	-1.16%	0.35%	3.09%	6.93%	3.09%
2016	7	2.72%	2.54%	$30,679	$29,028	3.72%	3.44%	4.85%	-0.04%	0.25%	2.10%	1.29%
2016	8	0.28%	0.46%	$30,766	$29,162	0.12%	1.16%	1.74%	-0.03%	-1.01%	-1.01%	0.18%
2016	9	0.12%	0.27%	$30,802	$29,240	0.05%	0.48%	1.21%	0.06%	0.24%	-1.51%	-0.32%
2016	10	-2.01%	-1.64%	$30,183	$28,761	-1.83%	-1.72%	-3.14%	0.07%	-1.49%	-4.38%	-1.53%
2016	11	2.93%	3.79%	$31,068	$29,851	3.66%	7.85%	14.87%	-0.12%	-4.23%	-8.21%	-3.17%
2016	12	1.51%	1.62%	$31,538	$30,336	1.98%	2.49%	3.41%	0.08%	-0.12%	-0.46%	0.84%
2017	1	0.84%	0.78%	$31,804	$30,573	1.90%	1.45%	-0.53%	0.16%	0.22%	0.81%	0.15%
2017	2	2.07%	1.95%	$32,462	$31,169	4.00%	3.01%	0.32%	0.07%	0.72%	1.59%	1.32%
2017	3	-0.36%	-0.40%	$32,344	$31,045	0.08%	-0.93%	-1.14%	0.09%	0.08%	-0.65%	-0.29%
2017	4	0.87%	0.76%	$32,627	$31,280	1.03%	0.66%	0.46%	0.08%	1.11%	1.57%	1.19%
2017	5	0.29%	0.11%	$32,722	$31,314	1.40%	-0.11%	-3.51%	0.09%	0.83%	1.89%	1.33%
2017	6	0.90%	0.93%	$33,017	$31,606	0.60%	1.65%	2.59%	0.10%	-0.51%	0.79%	0.48%
2017	7	1.05%	1.13%	$33,362	$31,962	2.07%	1.68%	0.77%	0.10%	0.38%	-0.66%	0.77%
2017	8	0.12%	-0.23%	$33,403	$31,889	0.26%	-0.94%	-2.55%	0.11%	1.46%	3.41%	0.68%
2017	9	2.02%	2.31%	$34,076	$32,627	2.08%	3.85%	7.92%	0.08%	-1.44%	-2.32%	-0.05%
2017	10	1.06%	1.00%	$34,438	$32,954	2.35%	1.44%	0.96%	0.01%	-0.19%	-0.04%	0.19%
2017	11	1.80%	1.80%	$35,056	$33,548	3.04%	3.55%	2.12%	-0.02%	-0.28%	0.74%	-0.12%
2017	12	1.00%	1.04%	$35,408	$33,899	1.09%	2.31%	0.03%	0.05%	0.18%	1.81%	1.22%
2018	1	2.05%	2.32%	$36,135	$34,686	5.75%	5.14%	1.50%	-0.02%	-2.15%	-3.26%	-1.23%
2018	2	-3.17%	-3.12%	$34,988	$33,605	-3.70%	-4.96%	-4.68%	0.01%	-0.93%	-3.04%	-2.24%
2018	3	-0.50%	-0.77%	$34,813	$33,347	-2.57%	-2.28%	0.93%	0.13%	1.16%	2.86%	0.56%
2018	4	-0.15%	-0.06%	$34,761	$33,326	0.39%	0.16%	1.32%	0.04%	-1.28%	-2.09%	-1.57%
2018	5	2.20%	1.83%	$35,525	$33,935	2.43%	0.92%	6.29%	0.35%	0.99%	2.01%	0.52%
2018	6	0.13%	-0.07%	$35,571	$33,910	0.62%	-0.70%	0.06%	0.06%	0.20%	0.65%	-0.49%
2018	7	1.93%	2.21%	$36,256	$34,659	3.70%	4.13%	1.61%	0.18%	-0.53%	-1.44%	1.34%
2018	8	1.88%	1.59%	$36,937	$35,210	3.24%	1.44%	2.84%	0.27%	1.01%	1.31%	0.02%
2018	9	-0.71%	-0.44%	$36,675	$35,056	0.58%	0.07%	-3.19%	0.06%	-1.20%	-2.86%	-0.14%
2018	10	-4.94%	-4.67%	$34,863	$33,420	-6.86%	-6.36%	-9.41%	0.09%	-0.30%	-2.93%	-2.05%
2018	11	1.40%	1.30%	$35,353	$33,854	2.04%	2.33%	0.91%	0.31%	1.33%	1.79%	-0.36%
2018	12	-5.19%	-5.79%	$33,517	$31,895	-9.04%	-11.00%	-12.79%	0.37%	2.80%	5.85%	1.86%
2019	1	5.97%	6.09%	$35,517	$33,836	8.03%	8.65%	12.00%	0.21%	0.65%	0.38%	3.37%
2019	2	1.64%	1.69%	$36,098	$34,407	3.21%	2.49%	3.27%	0.17%	-0.52%	-1.38%	-0.20%
2019	3	1.11%	0.58%	$36,497	$34,608	1.92%	-0.50%	-3.66%	0.38%	2.66%	5.57%	2.93%
2019	4	2.16%	2.30%	$37,285	$35,405	4.07%	3.44%	4.04%	0.20%	-0.52%	-1.99%	0.44%
2019	5	-3.63%	-4.23%	$35,931	$33,906	-6.38%	-7.75%	-11.52%	0.19%	3.05%	6.84%	1.65%
2019	6	5.04%	5.20%	$37,742	$35,669	7.04%	8.03%	7.77%	0.18%	1.22%	0.95%	3.25%
2019	7	0.73%	0.70%	$38,017	$35,920	1.46%	1.05%	0.39%	0.21%	0.04%	0.26%	0.25%
2019	8	-0.38%	-1.36%	$37,871	$35,430	-1.61%	-4.11%	-8.00%	0.28%	3.95%	11.04%	3.88%
2019	9	1.60%	1.97%	$38,476	$36,127	1.86%	3.94%	5.96%	0.15%	-1.19%	-2.68%	-0.76%
2019	10	1.22%	1.35%	$38,944	$36,614	2.18%	2.12%	1.83%	0.20%	0.19%	-1.11%	0.44%
2019	11	2.10%	2.20%	$39,761	$37,421	3.62%	3.91%	3.17%	0.11%	-0.69%	-0.41%	0.47%
2019	12	1.56%	1.84%	$40,380	$38,108	3.00%	2.79%	3.92%	0.12%	-0.93%	-3.20%	0.53%
2020	1	-0.28%	-1.18%	$40,266	$37,659	-0.04%	-4.11%	-6.88%	0.19%	3.47%	7.69%	2.45%
2020	2	-4.59%	-5.36%	$38,416	$35,640	-8.24%	-10.57%	-10.79%	0.13%	2.96%	6.63%	1.09%
2020	3	-10.34%	-11.76%	$34,446	$31,450	-12.36%	-20.15%	-26.60%	0.04%	3.72%	6.38%	-6.31%

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Provided Portfolio	Adjusted Portfolio
Subprime Crisis	Nov 2007	Mar 2009	-34.07%	-36.17%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Nov 2010	1 year 9 months	3 years 6 months	-34.21%
2	Jan 2020	Mar 2020	3 months				-14.70%
3	Sep 2018	Dec 2018	4 months	Apr 2019	4 months	8 months	-9.26%
4	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-9.07%
5	Mar 2015	Sep 2015	7 months	Apr 2016	7 months	1 year 2 months	-5.70%
6	Sep 2002	Sep 2002	1 month	Nov 2002	2 months	3 months	-4.95%
7	Dec 2002	Feb 2003	3 months	Apr 2003	2 months	5 months	-4.29%
8	Feb 2018	Apr 2018	3 months	Jul 2018	3 months	6 months	-3.80%
9	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-3.63%
10	May 2012	May 2012	1 month	Jul 2012	2 months	3 months	-2.69%
Worst 10 drawdowns included above

Drawdowns for Adjusted Portfolio

Drawdowns for Adjusted Portfolio (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Dec 2010	1 year 10 months	3 years 7 months	-36.99%
2	Jan 2020	Mar 2020	3 months				-17.47%
3	May 2011	Sep 2011	5 months	Feb 2012	5 months	10 months	-11.99%
4	Sep 2018	Dec 2018	4 months	Apr 2019	4 months	8 months	-9.42%
5	Jun 2015	Jan 2016	8 months	May 2016	4 months	1 year	-6.59%
6	Sep 2002	Sep 2002	1 month	Nov 2002	2 months	3 months	-5.36%
7	Dec 2002	Feb 2003	3 months	Apr 2003	2 months	5 months	-4.63%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-4.23%
9	Apr 2012	May 2012	2 months	Jul 2012	2 months	4 months	-3.97%
10	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-3.92%
Worst 10 drawdowns included above

Rolling returns summary
Roll Period	Provided Portfolio			Adjusted Portfolio
Roll Period	Average	High	Low	Average	High	Low
1 year	9.00%	23.54%	-19.62%	8.77%	23.97%	-22.18%
3 years	7.72%	14.01%	-2.57%	7.40%	14.13%	-3.76%
5 years	7.38%	13.53%	1.81%	7.03%	13.99%	1.03%
7 years	7.76%	10.90%	4.69%	7.43%	10.86%	4.07%
10 years	7.88%	9.85%	6.64%	7.53%	9.36%	6.20%
15 years	7.61%	8.70%	6.79%	7.27%	8.43%	6.46%
Result statistics are based on annualized rolling returns over full calendar year periods

Risk Factor Allocation

Step 2/2: Specify Targeted Risk Factor Exposures