Risk 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.

Step 2/2: Specify Targeted Risk Factor Exposures

Factor
Exposure Target
Existing
Min
Max
Market (Rm-Rf)
0.62
-0.00
1.13
Size (SMB)
0.08
-0.13
0.75
Value (HML)
0.18
-0.05
0.75
Term Risk (TRM)
0.19
0.01
1.04
Credit Risk (CDT)
0.02
-0.17
0.65

Factor Allocation Results

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 16.13% 1.13%
DFUSX DFA US Large Company I 25.91% -4.09%
DFIHX DFA One-Year Fixed-Income I 10.00% 0.00%
IEF iShares 7-10 Year Treasury Bond ETF 2.37% -7.63%
DFSVX DFA US Small Cap Value I 16.73% 1.73%
TLT iShares 20+ Year Treasury Bond ETF 0.24% -9.76%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 28.62% 18.62%
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Risk Factor Model Regressions

Portfolio regressions for the risk factor model
NameRm-RfSMBHMLTRMCDTAnnual AlphaR2
Provided Portfolio0.620.080.180.190.02-0.24%99.50%
Adjusted Portfolio0.610.100.200.110.14-0.28%99.47%
Factor regression from Mar 2018 to Feb 2021. Statistically significant values in bold.

Portfolio Returns (Aug 2002 - Mar 2021)

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Provided Portfolio$10,000$47,1968.67%9.81%23.54%-19.62%-34.21% 0.771.160.97
Adjusted Portfolio$10,000$45,9768.52%10.70%24.94%-22.30%-37.12% 0.701.050.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Provided Portfolio5.11%5.11%37.02%10.68%10.22%9.48%8.67%12.70%10.22%
Adjusted Portfolio6.31%6.31%42.08%10.39%10.26%9.12%8.52%14.17%11.36%
Trailing annualized return and volatility are for full months ending in March 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.
  • 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
MetricProvided PortfolioAdjusted Portfolio
Arithmetic Mean (monthly)0.74%0.73%
Arithmetic Mean (annualized)9.19%9.14%
Geometric Mean (monthly)0.70%0.68%
Geometric Mean (annualized)8.67%8.52%
Volatility (monthly)2.83%3.09%
Volatility (annualized)9.81%10.70%
Downside Deviation (monthly)1.84%2.04%
Max. Drawdown-34.21%-37.12%
US Market Correlation0.970.97
Beta(*)0.630.69
Alpha (annualized)1.62%0.90%
R293.38%93.90%
Sharpe Ratio0.770.70
Sortino Ratio1.161.05
Treynor Ratio (%)12.0410.94
Calmar Ratio0.730.58
Active Return-2.11%-2.26%
Tracking Error6.10%5.36%
Information Ratio-0.35-0.42
Skewness-0.76-0.74
Excess Kurtosis3.223.14
Historical Value-at-Risk (5%)-3.90%-4.87%
Analytical Value-at-Risk (5%)-3.91%-4.34%
Conditional Value-at-Risk (5%)-6.52%-7.18%
Upside Capture Ratio (%)63.9968.17
Downside Capture Ratio (%)58.9966.50
Safe Withdrawal Rate8.69%8.63%
Perpetual Withdrawal Rate5.98%5.86%
Positive Periods155 out of 224 (69.20%)153 out of 224 (68.30%)
Gain/Loss Ratio0.900.88
* 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
NameTickerRm-RfSMBHMLTRMCDTAnnual AlphaR2
DFA US Large Company IDFUSX0.98-0.130.030.01-0.03-0.17%99.83%
DFA US Large Cap Value IDFLVX1.030.030.490.04-0.02-2.20%97.45%
DFA US Small Cap Value IDFSVX1.130.750.750.05-0.17-0.30%99.05%
DFA One-Year Fixed-Income IDFIHX0.000.00-0.000.010.000.08%28.32%
iShares 7-10 Year Treasury Bond ETFIEF-0.00-0.01-0.050.36-0.061.43%94.41%
iShares 20+ Year Treasury Bond ETFTLT0.00-0.010.011.04-0.04-0.12%99.88%
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.020.03-0.050.260.650.45%95.96%
Factor regression from Mar 2018 to Feb 2021. Statistically significant values in bold.
Annual returns for the portfolios
YearInflationProvided PortfolioAdjusted PortfolioDFA 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)
ReturnBalanceReturnBalance
20020.44%1.26%$10,1261.61%$10,161-2.85%-4.10%-2.64%1.41%6.60%9.72%10.07%
20031.88%23.54%$12,51024.94%$12,69528.53%34.42%59.40%1.61%5.29%1.62%9.08%
20043.26%11.71%$13,97411.78%$14,19110.77%18.25%25.39%0.89%4.12%8.71%5.72%
20053.42%5.87%$14,7955.05%$14,9074.98%10.24%7.79%2.30%2.64%8.61%1.16%
20062.54%12.11%$16,58712.61%$16,78615.72%20.18%21.55%4.78%2.52%0.71%4.22%
20074.08%2.63%$17,0241.06%$16,9655.52%-2.76%-10.75%5.19%10.37%10.29%3.73%
20080.09%-19.62%$13,684-22.30%$13,182-36.76%-40.80%-36.79%4.02%17.91%33.93%2.40%
20092.72%15.33%$15,78120.13%$15,83726.62%30.19%33.62%1.92%-6.59%-21.80%8.46%
20101.50%15.86%$18,28415.89%$18,35315.00%20.17%30.90%1.16%9.37%9.05%9.33%
20112.96%5.30%$19,2542.39%$18,7922.10%-3.14%-7.55%0.59%15.64%33.96%9.73%
20121.74%13.22%$21,79914.55%$21,52615.82%22.05%21.72%0.93%3.66%2.63%10.58%
20131.50%18.37%$25,80419.91%$25,81232.33%40.32%42.38%0.34%-6.09%-13.37%-2.00%
20140.76%10.57%$28,5328.46%$27,99513.53%10.07%3.48%0.26%9.07%27.30%8.21%
20150.73%-1.03%$28,238-1.54%$27,5631.38%-3.49%-7.81%0.31%1.51%-1.79%-1.25%
20162.07%11.69%$31,53812.78%$31,08611.90%18.89%28.26%0.84%1.00%1.18%6.21%
20172.11%12.27%$35,40811.95%$34,80021.73%18.97%7.21%0.94%2.55%9.18%7.06%
20181.91%-5.34%$33,517-6.22%$32,636-4.43%-11.65%-15.13%1.87%0.99%-1.61%-3.79%
20192.29%20.48%$40,38020.92%$39,46531.42%25.45%18.12%2.44%8.03%14.12%17.37%
20201.36%11.20%$44,9039.58%$43,24618.40%-0.61%2.23%0.62%10.01%18.15%10.97%
20210.98%5.11%$47,1966.31%$45,9766.15%14.72%26.50%0.00%-5.73%-13.92%-5.47%
Annual return for 2002 is from 08/01/2002 to 12/31/2002 and annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the portfolios
YearMonthProvided PortfolioAdjusted PortfolioDFA 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)
ReturnBalanceReturnBalance
200281.42%$10,1421.34%$10,1340.56%1.62%-1.25%0.30%2.52%5.51%3.64%
20029-4.95%$9,640-5.08%$9,619-10.80%-11.13%-7.28%0.30%3.85%4.25%2.09%
2002102.93%$9,9222.99%$9,9068.76%3.92%1.62%0.29%-1.25%-3.69%-0.61%
2002113.87%$10,3064.24%$10,3265.90%7.07%8.52%-0.11%-2.09%-0.91%0.72%
200212-1.75%$10,126-1.60%$10,161-5.97%-4.55%-3.58%0.62%3.55%4.53%3.93%
20031-1.86%$9,938-1.87%$9,971-2.62%-2.32%-3.45%0.10%-0.77%-0.58%-0.81%
20032-0.75%$9,864-0.89%$9,882-1.49%-2.93%-4.11%0.29%2.20%3.10%1.98%
200330.03%$9,8670.16%$9,8990.92%-0.47%-0.21%0.15%-0.38%-1.37%0.12%
200345.82%$10,4416.10%$10,5028.28%9.20%10.56%0.21%0.14%1.05%2.35%
200355.77%$11,0445.65%$11,0965.29%6.69%11.72%0.22%3.79%6.32%3.90%
200360.84%$11,1371.06%$11,2131.30%1.08%3.65%0.11%-0.69%-1.80%-0.18%
20037-0.16%$11,1190.19%$11,2351.70%2.52%7.04%-0.27%-5.02%-9.98%-5.80%
200382.24%$11,3682.38%$11,5021.93%3.55%5.14%0.09%0.71%1.31%1.45%
200390.81%$11,4590.70%$11,583-1.13%-2.20%-0.78%0.49%4.98%5.94%4.54%
2003103.64%$11,8773.82%$12,0265.77%6.69%10.00%-0.18%-1.47%-3.03%-1.26%
2003111.28%$12,0291.36%$12,1900.85%2.22%4.16%0.02%0.02%0.34%0.31%
2003124.00%$12,5104.15%$12,6955.14%6.83%5.33%0.39%2.03%1.35%2.55%
200411.96%$12,7551.95%$12,9431.84%1.69%4.89%0.10%1.02%1.86%1.22%
200421.57%$12,9551.50%$13,1381.35%2.58%1.41%0.26%1.61%2.28%1.51%
200430.03%$12,9600.05%$13,145-1.45%-0.40%0.94%0.18%1.30%1.41%0.99%
20044-2.69%$12,611-2.48%$12,819-1.59%-1.69%-3.17%-0.37%-4.35%-6.23%-3.89%
200450.42%$12,6640.34%$12,8631.38%0.57%0.38%-0.08%-0.53%-0.26%-0.52%
200462.22%$12,9452.16%$13,1401.96%2.99%6.69%-0.09%0.65%1.06%0.13%
20047-1.83%$12,707-1.78%$12,907-3.35%-3.27%-5.33%0.31%1.21%1.53%1.56%
200480.93%$12,8250.84%$13,0150.35%0.00%-1.49%0.42%2.83%4.17%3.08%
200491.68%$13,0411.70%$13,2361.09%3.08%4.93%-0.07%0.32%0.95%0.31%
2004101.18%$13,1951.13%$13,3851.49%1.17%0.96%0.24%0.99%1.77%1.18%
2004113.12%$13,6073.36%$13,8354.06%6.55%10.00%-0.23%-1.98%-2.39%-1.22%
2004122.70%$13,9742.58%$14,1913.38%3.99%3.62%0.21%1.17%2.66%1.39%
20051-1.06%$13,825-1.24%$14,015-2.43%-2.49%-3.57%0.10%0.87%3.57%1.23%
200521.14%$13,9821.20%$14,1842.17%3.02%2.70%0.05%-1.37%-1.47%-0.94%
20053-1.08%$13,831-1.21%$14,013-1.81%-0.26%-1.95%0.03%-0.40%-0.45%-1.26%
20054-1.32%$13,649-1.67%$13,778-1.84%-3.44%-7.28%0.41%2.52%3.86%1.62%
200553.16%$14,0802.86%$14,1733.09%4.28%6.65%0.31%1.84%3.14%0.62%
200561.39%$14,2751.45%$14,3790.18%2.03%4.17%0.16%0.48%2.16%1.22%
200572.30%$14,6032.66%$14,7623.75%4.96%7.11%-0.02%-2.18%-3.38%-0.82%
200580.09%$14,616-0.12%$14,743-0.93%-0.83%-1.67%0.44%2.00%3.48%1.50%
20059-0.12%$14,5980.02%$14,7460.80%1.54%0.80%0.09%-1.75%-3.61%-1.86%
200510-1.83%$14,331-1.82%$14,477-1.66%-2.68%-2.92%0.18%-1.24%-2.24%-1.58%
2005112.59%$14,7032.56%$14,8483.81%3.98%4.21%0.26%0.63%0.69%0.66%
2005120.62%$14,7950.40%$14,9070.03%0.13%0.34%0.27%1.37%2.98%0.86%
200612.61%$15,1822.81%$15,3272.66%4.74%8.82%0.30%-0.70%-1.34%-0.44%
200620.15%$15,2050.16%$15,3520.20%-0.35%-0.35%0.31%-0.10%1.11%0.68%
200630.83%$15,3321.14%$15,5271.26%1.76%6.09%0.39%-1.36%-4.57%-1.68%
200640.66%$15,4330.93%$15,6721.38%2.82%0.98%0.33%-0.63%-2.75%-0.20%
20065-1.82%$15,152-1.80%$15,389-2.92%-1.86%-4.39%0.41%-0.10%-0.19%-0.19%
200660.36%$15,2070.22%$15,4220.20%0.87%0.05%0.35%0.23%1.18%-0.09%
20067-0.03%$15,203-0.20%$15,3920.60%-1.45%-3.75%0.43%1.68%2.16%1.46%
200682.00%$15,5071.94%$15,6892.40%1.61%1.95%0.43%1.76%3.06%2.22%
200691.80%$15,7861.63%$15,9452.52%2.76%1.19%0.46%1.21%1.91%0.87%
2006102.67%$16,2072.74%$16,3813.25%3.96%5.43%0.45%0.54%0.85%1.00%
2006111.84%$16,5051.78%$16,6731.85%1.89%3.03%0.36%1.31%2.31%1.46%
2006120.50%$16,5870.68%$16,7861.44%2.01%1.38%0.45%-1.28%-2.69%-0.90%
200711.14%$16,7761.30%$17,0041.53%2.89%2.20%0.49%-0.40%-1.00%0.09%
20072-0.07%$16,765-0.12%$16,983-1.95%-1.50%-0.23%0.35%2.06%3.39%2.00%
200730.38%$16,8280.41%$17,0531.06%0.66%1.09%0.49%-0.14%-1.70%-0.68%
200742.54%$17,2552.46%$17,4734.50%4.24%1.81%0.41%0.61%0.90%0.89%
200751.75%$17,5571.82%$17,7903.44%4.10%3.65%0.44%-1.39%-2.31%-1.23%
20076-1.15%$17,355-1.14%$17,587-1.61%-1.62%-1.55%0.42%-0.47%-1.01%-0.81%
20077-2.51%$16,920-3.23%$17,020-3.14%-6.21%-7.64%0.41%2.26%3.32%-0.82%
200780.74%$17,0450.74%$17,1451.49%-1.91%-0.76%0.45%2.26%1.79%2.38%
200791.61%$17,3191.59%$17,4173.75%2.58%-0.28%0.33%0.09%0.23%0.73%
2007101.16%$17,5201.04%$17,5991.59%0.54%1.11%0.49%1.08%1.81%0.97%
200711-2.34%$17,111-3.02%$17,068-4.20%-5.60%-8.72%0.32%4.04%5.35%1.02%
200712-0.51%$17,024-0.60%$16,965-0.63%-0.32%-1.20%0.44%0.05%-0.64%-0.81%
20081-2.13%$16,661-1.98%$16,630-6.01%-3.84%-3.94%0.39%3.36%2.10%2.57%
20082-1.83%$16,356-1.96%$16,303-3.24%-3.09%-2.84%0.27%1.24%-0.46%-0.71%
200830.18%$16,386-0.22%$16,267-0.38%-0.93%0.84%0.19%1.34%2.14%-0.60%
200842.29%$16,7612.85%$16,7304.83%6.27%1.66%0.15%-2.41%-2.48%1.25%
200850.72%$16,8810.75%$16,8561.29%2.38%4.14%0.21%-1.78%-2.69%-2.21%
20086-5.40%$15,970-5.94%$15,855-8.39%-10.96%-10.10%0.31%1.14%2.65%-1.29%
200870.00%$15,9700.11%$15,872-0.80%-1.12%2.07%0.23%0.72%-0.37%0.39%
200881.80%$16,2581.48%$16,1081.41%1.96%4.15%0.23%1.53%2.74%0.15%
20089-6.01%$15,281-8.00%$14,819-8.81%-9.00%-6.89%-0.44%-0.14%1.47%-10.73%
200810-12.11%$13,430-12.18%$13,014-16.72%-22.53%-22.14%0.69%-0.87%-1.86%-1.95%
200811-2.93%$13,036-4.34%$12,449-7.09%-9.81%-12.99%0.71%7.75%14.34%3.35%
2008124.97%$13,6845.89%$13,1821.09%3.25%5.25%1.04%5.15%13.64%13.80%
20091-8.29%$12,550-7.09%$12,248-8.33%-11.86%-14.28%0.10%-3.89%-13.07%-1.80%
20092-7.96%$11,551-8.67%$11,187-10.63%-14.04%-12.71%-0.10%-0.74%-1.54%-5.20%
200936.49%$12,3005.86%$11,8428.77%9.83%10.40%0.37%3.31%4.04%0.47%
200947.58%$13,2339.12%$12,9229.57%16.18%19.66%0.30%-2.75%-6.95%2.78%
200953.03%$13,6343.89%$13,4255.68%7.67%3.22%0.38%-2.08%-3.69%2.32%
200960.25%$13,6670.74%$13,5240.13%-1.21%0.35%0.27%-0.55%0.76%2.89%
200976.32%$14,5327.09%$14,4837.61%9.43%13.44%0.07%0.83%0.58%4.63%
200983.33%$15,0163.32%$14,9643.60%6.80%5.14%0.32%0.77%2.24%1.31%
200993.28%$15,5093.29%$15,4563.75%4.35%6.33%0.20%1.12%2.46%1.76%
200910-2.67%$15,095-2.59%$15,055-1.92%-4.30%-7.53%0.07%-0.14%-2.62%-0.49%
2009113.66%$15,6473.62%$15,6006.00%5.63%3.11%0.27%2.02%1.21%1.95%
2009120.86%$15,7811.51%$15,8371.93%2.70%7.92%-0.35%-4.40%-6.34%-2.07%
20101-1.23%$15,587-1.37%$15,619-3.54%-2.34%-3.16%0.29%2.37%2.69%1.25%
201022.56%$15,9862.69%$16,0393.08%4.32%6.15%0.14%0.33%-0.34%0.51%
201034.07%$16,6364.46%$16,7556.06%7.80%8.86%-0.04%-1.06%-2.06%0.65%
201042.84%$17,1092.86%$17,2341.52%3.16%8.11%0.06%1.65%3.32%1.91%
20105-4.50%$16,339-5.40%$16,303-8.02%-8.56%-9.90%0.05%2.93%5.11%-1.31%
20106-2.99%$15,851-3.22%$15,777-5.23%-7.56%-10.14%0.24%3.05%5.80%3.28%
201074.80%$16,6135.17%$16,5937.01%7.82%8.69%0.16%0.91%-0.95%2.11%
20108-2.04%$16,273-2.62%$16,159-4.48%-6.11%-8.38%0.15%3.36%8.40%2.86%
201095.88%$17,2306.18%$17,1578.89%9.80%12.93%0.05%-0.00%-2.51%0.46%
2010101.85%$17,5492.20%$17,5353.78%3.68%4.17%0.15%-0.01%-4.47%-0.26%
2010110.13%$17,5710.13%$17,5570.00%-0.75%4.49%-0.14%-0.90%-1.69%-1.62%
2010124.06%$18,2844.53%$18,3536.68%9.72%9.18%0.04%-3.43%-3.68%-0.75%
201110.96%$18,4601.21%$18,5762.42%3.23%0.31%0.10%-0.02%-3.08%0.04%
201123.01%$19,0163.10%$19,1523.35%5.39%6.28%0.03%-0.21%1.65%1.08%
201130.35%$19,0820.29%$19,2080.12%0.45%2.05%0.06%-0.15%0.03%-0.54%
201142.12%$19,4862.15%$19,6212.87%2.51%1.26%0.23%1.84%2.34%2.50%
20115-0.28%$19,431-0.60%$19,504-1.12%-1.42%-3.12%0.14%2.51%3.42%1.27%
20116-1.42%$19,155-1.29%$19,253-1.70%-1.82%-1.81%-0.05%-0.51%-2.33%-0.80%
20117-0.71%$19,020-0.95%$19,071-2.02%-4.57%-2.88%0.14%3.17%4.42%2.43%
20118-3.00%$18,449-4.30%$18,252-5.39%-8.46%-10.58%0.04%4.65%9.66%0.34%
20119-3.95%$17,719-5.39%$17,268-7.08%-10.10%-12.58%-0.06%2.24%13.20%0.35%
2011107.48%$19,0458.40%$18,71910.99%13.81%15.82%0.05%-1.29%-3.84%2.51%
201111-0.38%$18,972-1.22%$18,491-0.30%-0.83%-0.68%-0.06%0.58%1.98%-3.16%
2011121.48%$19,2541.63%$18,7921.08%0.79%1.01%-0.03%1.99%3.44%3.49%
201213.49%$19,9253.86%$19,5174.44%4.96%7.43%0.29%0.86%-0.33%2.14%
201222.42%$20,4073.00%$20,1034.26%5.77%3.18%0.04%-1.10%-2.59%1.63%
201230.90%$20,5911.10%$20,3243.35%1.83%2.30%0.05%-1.59%-4.23%-1.42%
201240.11%$20,615-0.37%$20,248-0.63%-2.09%-1.60%0.14%2.51%4.83%1.08%
20125-2.69%$20,060-3.61%$19,518-6.07%-7.10%-7.12%-0.05%2.87%9.03%0.76%
201262.59%$20,5802.92%$20,0874.13%5.37%4.38%0.14%-0.42%-1.68%0.87%
201271.41%$20,8711.53%$20,3951.40%0.97%-0.24%0.15%1.40%3.82%3.48%
201281.74%$21,2341.90%$20,7812.20%3.95%4.21%0.04%-0.12%-1.32%-0.05%
201291.65%$21,5832.12%$21,2212.58%3.65%3.31%0.05%-0.35%-2.53%1.10%
201210-0.59%$21,457-0.19%$21,180-1.85%0.27%-0.82%0.04%-0.40%-0.48%1.35%
2012110.70%$21,6060.42%$21,2690.63%0.22%1.84%0.04%0.98%1.38%-0.42%
2012120.89%$21,7991.21%$21,5260.85%3.03%3.72%0.02%-0.94%-2.49%-0.33%
201313.01%$22,4553.16%$22,2065.17%6.94%6.56%0.10%-1.29%-3.19%-1.30%
201321.21%$22,7261.19%$22,4701.36%1.27%1.75%0.02%1.13%1.24%1.08%
201332.57%$23,3102.56%$23,0463.76%4.81%4.91%0.03%0.29%-0.42%-0.05%
201341.41%$23,6381.15%$23,3121.94%1.00%-1.11%0.04%1.52%4.68%2.17%
201350.80%$23,8281.15%$23,5792.30%4.13%5.39%-0.07%-3.11%-6.76%-3.22%
20136-1.58%$23,453-1.64%$23,192-1.30%-1.15%-0.70%0.03%-2.55%-3.27%-3.27%
201373.37%$24,2423.81%$24,0755.05%6.00%7.34%0.03%-0.35%-2.26%1.11%
20138-2.33%$23,679-2.26%$23,531-2.93%-2.99%-4.17%0.03%-1.42%-1.34%-1.00%
201392.51%$24,2732.44%$24,1053.15%2.95%5.24%0.13%1.85%0.66%0.74%
2013103.07%$25,0193.14%$24,8624.60%5.05%3.51%0.04%0.78%1.43%1.81%
2013111.93%$25,5012.24%$25,4193.03%4.17%5.08%0.02%-0.88%-2.70%-0.14%
2013121.19%$25,8041.55%$25,8122.55%2.64%2.72%-0.05%-2.09%-1.87%0.22%
20141-1.28%$25,474-1.77%$25,356-3.50%-3.95%-5.14%0.10%3.06%6.30%1.88%
201422.92%$26,2183.00%$26,1164.63%3.36%5.45%0.11%0.36%0.52%1.14%
201430.78%$26,4230.76%$26,3150.81%2.34%1.19%-0.07%-0.56%0.73%-0.03%
201440.45%$26,5430.38%$26,4150.74%0.66%-1.93%0.02%0.76%2.10%1.33%
201451.78%$27,0141.58%$26,8322.28%2.17%0.83%0.12%1.82%2.95%1.51%
201461.64%$27,4571.70%$27,2892.06%2.72%4.44%-0.07%-0.22%-0.25%0.01%
20147-1.37%$27,081-1.53%$26,872-1.36%-0.74%-5.76%0.02%-0.22%0.67%-0.32%
201483.41%$28,0053.15%$27,7194.00%3.17%5.83%0.02%1.88%4.72%2.00%
20149-2.33%$27,354-2.45%$27,042-1.42%-2.49%-6.98%0.03%-1.05%-2.11%-1.68%
2014102.10%$27,9291.93%$27,5632.44%0.78%4.61%0.03%1.53%2.81%1.23%
2014111.47%$28,3391.15%$27,8802.70%1.16%-0.28%0.12%1.29%2.97%0.91%
2014120.68%$28,5320.41%$27,995-0.31%0.74%2.29%-0.17%0.13%3.25%-0.02%
20151-0.59%$28,364-1.19%$27,661-3.02%-4.97%-4.95%0.19%4.30%9.82%3.75%
201522.68%$29,1243.15%$28,5315.79%7.06%5.90%0.02%-2.47%-6.14%-1.42%
20153-0.28%$29,042-0.34%$28,433-1.59%-1.92%1.78%0.03%0.86%1.10%0.20%
20154-0.14%$29,001-0.02%$28,4280.92%2.04%-1.34%0.03%-0.63%-3.43%-1.19%
201550.36%$29,1060.40%$28,5421.28%1.07%1.36%0.03%-0.42%-2.37%-1.12%
20156-1.56%$28,651-1.33%$28,162-1.91%-1.62%0.05%0.03%-1.63%-4.07%-1.88%
201570.73%$28,8600.17%$28,2112.09%-0.26%-3.67%0.03%1.52%4.55%0.83%
20158-3.47%$27,858-3.46%$27,235-6.02%-6.08%-4.04%-0.06%0.08%-0.69%-0.83%
20159-1.42%$27,463-1.52%$26,821-2.47%-3.23%-4.51%0.14%1.58%1.97%1.19%
2015104.49%$28,6964.52%$28,0358.38%8.16%5.28%0.04%-0.64%-0.41%0.57%
2015110.48%$28,8340.61%$28,2070.37%0.36%3.17%-0.13%-0.43%-0.87%-0.15%
201512-2.07%$28,238-2.28%$27,563-1.60%-3.13%-6.20%-0.05%-0.45%-0.30%-1.08%
20161-2.67%$27,483-3.45%$26,613-5.01%-6.81%-7.18%0.24%3.33%5.57%0.12%
201620.75%$27,6880.55%$26,761-0.07%0.17%1.17%0.04%1.49%3.09%1.05%
201634.79%$29,0165.44%$28,2166.75%7.26%8.77%0.17%-0.06%-0.09%3.62%
201640.86%$29,2651.28%$28,5770.37%2.71%1.80%0.05%-0.16%-0.74%1.55%
201650.83%$29,5060.61%$28,7511.80%1.33%0.47%-0.04%-0.10%0.81%-0.51%
201661.22%$29,8670.86%$28,9970.22%-0.10%-1.16%0.35%3.09%6.93%3.09%
201672.72%$30,6792.71%$29,7823.72%3.44%4.85%-0.04%0.25%2.10%1.29%
201680.28%$30,7660.53%$29,9390.12%1.16%1.74%-0.03%-1.01%-1.01%0.18%
201690.12%$30,8020.21%$30,0030.05%0.48%1.21%0.06%0.24%-1.51%-0.32%
201610-2.01%$30,183-1.75%$29,477-1.83%-1.72%-3.14%0.07%-1.49%-4.38%-1.53%
2016112.93%$31,0683.66%$30,5573.66%7.85%14.87%-0.12%-4.23%-8.21%-3.17%
2016121.51%$31,5381.73%$31,0861.98%2.49%3.41%0.08%-0.12%-0.46%0.84%
201710.84%$31,8040.70%$31,3031.90%1.45%-0.53%0.16%0.22%0.81%0.15%
201722.07%$32,4621.98%$31,9244.00%3.01%0.32%0.07%0.72%1.59%1.32%
20173-0.36%$32,344-0.39%$31,7980.08%-0.93%-1.14%0.09%0.08%-0.65%-0.29%
201740.87%$32,6270.83%$32,0621.03%0.66%0.46%0.08%1.11%1.57%1.19%
201750.29%$32,7220.17%$32,1181.40%-0.11%-3.51%0.09%0.83%1.89%1.33%
201760.90%$33,0170.99%$32,4360.60%1.65%2.59%0.10%-0.51%0.79%0.48%
201771.05%$33,3621.17%$32,8162.07%1.68%0.77%0.10%0.38%-0.66%0.77%
201780.12%$33,403-0.26%$32,7300.26%-0.94%-2.55%0.11%1.46%3.41%0.68%
201792.02%$34,0762.44%$33,5292.08%3.85%7.92%0.08%-1.44%-2.32%-0.05%
2017101.06%$34,4381.05%$33,8812.35%1.44%0.96%0.01%-0.19%-0.04%0.19%
2017111.80%$35,0561.67%$34,4493.04%3.55%2.12%-0.02%-0.28%0.74%-0.12%
2017121.00%$35,4081.02%$34,8001.09%2.31%0.03%0.05%0.18%1.81%1.22%
201812.05%$36,1352.16%$35,5515.75%5.14%1.50%-0.02%-2.15%-3.26%-1.23%
20182-3.17%$34,988-3.21%$34,410-3.70%-4.96%-4.68%0.01%-0.93%-3.04%-2.24%
20183-0.50%$34,813-0.67%$34,180-2.57%-2.28%0.93%0.13%1.16%2.86%0.56%
20184-0.15%$34,761-0.13%$34,1350.39%0.16%1.32%0.04%-1.28%-2.09%-1.57%
201852.20%$35,5252.04%$34,8332.43%0.92%6.29%0.35%0.99%2.01%0.52%
201860.13%$35,571-0.07%$34,8080.62%-0.70%0.06%0.06%0.20%0.65%-0.49%
201871.93%$36,2562.28%$35,6023.70%4.13%1.61%0.18%-0.53%-1.44%1.34%
201881.88%$36,9371.61%$36,1743.24%1.44%2.84%0.27%1.01%1.31%0.02%
20189-0.71%$36,675-0.44%$36,0150.58%0.07%-3.19%0.06%-1.20%-2.86%-0.14%
201810-4.94%$34,863-4.97%$34,226-6.86%-6.36%-9.41%0.09%-0.30%-2.93%-2.05%
2018111.40%$35,3531.02%$34,5752.04%2.33%0.91%0.31%1.33%1.79%-0.36%
201812-5.19%$33,517-5.61%$32,636-9.04%-11.00%-12.79%0.37%2.80%5.85%1.86%
201915.97%$35,5176.48%$34,7528.03%8.65%12.00%0.21%0.65%0.38%3.37%
201921.64%$36,0981.72%$35,3523.21%2.49%3.27%0.17%-0.52%-1.38%-0.20%
201931.11%$36,4970.76%$35,6201.92%-0.50%-3.66%0.38%2.66%5.57%2.93%
201942.16%$37,2852.42%$36,4804.07%3.44%4.04%0.20%-0.52%-1.99%0.44%
20195-3.63%$35,931-4.25%$34,930-6.38%-7.75%-11.52%0.19%3.05%6.84%1.65%
201965.04%$37,7425.40%$36,8157.04%8.03%7.77%0.18%1.22%0.95%3.25%
201970.73%$38,0170.71%$37,0751.46%1.05%0.39%0.21%0.04%0.26%0.25%
20198-0.38%$37,871-1.16%$36,646-1.61%-4.11%-8.00%0.28%3.95%11.04%3.88%
201991.60%$38,4761.88%$37,3341.86%3.94%5.96%0.15%-1.19%-2.68%-0.76%
2019101.22%$38,9441.36%$37,8422.18%2.12%1.83%0.20%0.19%-1.11%0.44%
2019112.10%$39,7612.23%$38,6863.62%3.91%3.17%0.11%-0.69%-0.41%0.47%
2019121.56%$40,3802.01%$39,4653.00%2.79%3.92%0.12%-0.93%-3.20%0.53%
20201-0.28%$40,266-1.00%$39,069-0.04%-4.11%-6.88%0.19%3.47%7.69%2.45%
20202-4.59%$38,416-5.23%$37,025-8.24%-10.57%-10.79%0.13%2.96%6.63%1.09%
20203-10.34%$34,446-12.60%$32,360-12.36%-20.15%-26.60%0.04%3.72%6.38%-6.31%
202048.81%$37,4819.47%$35,42512.77%13.08%15.81%0.12%0.27%1.22%4.85%
202052.55%$38,4383.06%$36,5084.79%3.83%2.85%0.13%0.33%-1.76%2.46%
202061.12%$38,8671.43%$37,0302.01%-0.85%2.65%-0.06%0.04%0.34%2.13%
202073.49%$40,2233.43%$38,3005.64%3.16%3.21%0.03%0.85%4.44%3.10%
202082.87%$41,3792.96%$39,4347.17%4.43%5.58%0.01%-0.97%-5.05%-1.78%
20209-2.19%$40,471-2.34%$38,512-3.80%-2.35%-5.13%0.01%0.33%0.77%-0.44%
202010-0.93%$40,096-0.42%$38,350-2.68%-1.26%3.95%0.00%-1.38%-3.39%-0.51%
2020118.91%$43,6679.46%$41,97810.92%15.80%17.89%0.01%0.34%1.66%3.77%
2020122.83%$44,9033.02%$43,2463.92%3.66%8.25%0.01%-0.24%-1.23%0.15%
20211-0.08%$44,8670.16%$43,315-1.03%0.29%5.61%0.00%-1.09%-3.63%-1.83%
202122.77%$46,1113.27%$44,7332.76%7.70%12.16%0.00%-2.36%-5.73%-2.26%
202132.35%$47,1962.78%$45,9764.37%6.20%6.80%0.00%-2.39%-5.24%-1.48%

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioAdjusted Portfolio
Subprime CrisisNov 2007Mar 2009-34.07%-36.44%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsNov 20101 year 9 months3 years 6 months-34.21%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-14.70%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-9.26%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.07%
5Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-5.70%
6Sep 2002Sep 20021 monthNov 20022 months3 months-4.95%
7Dec 2002Feb 20033 monthsApr 20032 months5 months-4.29%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.80%
9May 2019May 20191 monthJun 20191 month2 months-3.63%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.10%
Worst 10 drawdowns included above

Drawdowns for Adjusted Portfolio

Drawdowns for Adjusted Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-37.12%
2Jan 2020Mar 20203 monthsNov 20208 months11 months-18.00%
3May 2011Sep 20115 monthsFeb 20125 months10 months-11.99%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-9.78%
5Jun 2015Jan 20168 monthsApr 20163 months11 months-6.76%
6Sep 2002Sep 20021 monthNov 20022 months3 months-5.08%
7Dec 2002Feb 20033 monthsApr 20032 months5 months-4.30%
8May 2019May 20191 monthJun 20191 month2 months-4.25%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.98%
10Apr 2012May 20122 monthsJul 20122 months4 months-3.97%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodProvided PortfolioAdjusted Portfolio
AverageHighLowAverageHighLow
1 year8.79%38.40%-29.38%8.63%43.38%-31.38%
3 years7.85%20.89%-8.75%7.58%21.58%-10.01%
5 years7.55%17.81%-2.27%7.27%18.48%-3.16%
7 years7.85%13.30%4.48%7.59%13.27%3.87%
10 years8.10%12.07%6.11%7.84%12.19%5.67%
15 years7.66%8.99%6.27%7.38%8.84%5.74%