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Risk Factor Allocation

Step 2/2: Specify Targeted Risk Factor Exposures

Factor Exposure Adjustments

Factor
Exposure Target
Existing
Min
Max
Market (Rm-Rf)
0.57
-0.07
0.98
Size (SMB)
0.08
-0.09
0.75
Value (HML)
0.22
-0.02
0.75
Term Risk (TRM)
0.20
-0.13
1.08
Credit Risk (CDT)
0.04
-0.28
0.70

Factor Allocation Results (Aug 2002 - Sep 2026)

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%

Adjusted Portfolio

Ticker Name Allocation Diff
DFLVX DFA US Large Cap Value I 10.25% -4.75%
DFUSX DFA US Large Company I 35.61% 5.61%
DFIHX DFA One-Year Fixed-Income I 10.93% 0.93%
IEF iShares 7-10 Year Treasury Bond ETF 1.04% -8.96%
DFSVX DFA US Small Cap Value I 17.35% 2.35%
TLT iShares 20+ Year Treasury Bond ETF 0.00% -10.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 24.82% 14.82%

Risk Factor Model Regressions

NameRm-RfSMBHMLTRMCDTAnnual AlphaR 2
Provided Portfolio0.570.080.220.200.04-1.32%98.44%
Adjusted Portfolio0.610.100.200.100.15-1.13%98.63%
Factor regression from Jul 2023 to Jun 2026. Statistically significant values in bold.

Performance Summary

MetricProvided PortfolioAdjusted Portfolio
Start Balance$10,000$10,000
End Balance$68,441$73,174
Annualized Return (CAGR)8.28%8.58%
Standard Deviation10.13%11.15%
Best Year22.81%24.72%
Worst Year-19.62%-23.91%
Maximum Drawdown -34.21% -38.44%
Sharpe Ratio0.670.64
Sortino Ratio1.000.96

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 year20 yearFull3 year5 year
Provided Portfolio-1.40%7.13%9.40%13.30%6.76%8.38%7.64%8.28%9.55%11.67%
Adjusted Portfolio-0.84%8.02%10.41%14.58%8.16%9.42%7.96%8.58%9.54%11.96%
Trailing return and volatility are as of last calendar month ending September 2026

Risk and Return Metrics

MetricProvided PortfolioAdjusted Portfolio
Arithmetic Mean (monthly)0.71%0.74%
Arithmetic Mean (annualized)8.84%9.26%
Geometric Mean (monthly)0.67%0.69%
Geometric Mean (annualized)8.28%8.58%
Standard Deviation (monthly)2.93%3.22%
Standard Deviation (annualized)10.13%11.15%
Downside Deviation (monthly)1.90%2.10%
Maximum Drawdown-34.21%-38.44%
Benchmark Correlation0.960.97
Beta(*)0.640.72
Alpha (annualized)0.88%0.37%
R292.04%94.89%
Sharpe Ratio0.670.64
Sortino Ratio1.000.96
Treynor Ratio (%)10.539.97
Calmar Ratio1.992.06
Modigliani–Modigliani Measure11.81%11.43%
Active Return-2.96%-2.66%
Tracking Error6.11%4.95%
Information Ratio-0.48-0.54
Skewness-0.63-0.61
Excess Kurtosis2.102.03
Historical Value-at-Risk (5%)4.06%5.03%
Analytical Value-at-Risk (5%)4.10%4.54%
Conditional Value-at-Risk (5%)6.57%7.31%
Upside Capture Ratio (%)62.0268.61
Downside Capture Ratio (%)66.1974.15
Safe Withdrawal Rate7.61%7.57%
Perpetual Withdrawal Rate5.34%5.60%
Positive Periods197 out of 290 (67.93%)198 out of 290 (68.28%)
Gain/Loss Ratio0.890.85
* U.S. Stock Market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Factor Regressions

NameTickerRm-RfSMBHMLTRMCDTAnnual AlphaR 2
DFA US Large Company IDFUSX0.98-0.09-0.000.02-0.03-0.07%99.69%
DFA US Large Cap Value IDFLVX0.91-0.040.730.04-0.28-5.36%89.99%
DFA US Small Cap Value IDFSVX0.960.750.75-0.130.06-4.30%94.88%
DFA One-Year Fixed-Income IDFIHX-0.00-0.00-0.000.000.010.06%8.52%
iShares 7-10 Year Treasury Bond ETFIEF-0.070.02-0.020.500.131.59%91.58%
iShares 20+ Year Treasury Bond ETFTLT-0.01-0.01-0.011.080.03-0.80%99.72%
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD-0.020.010.000.440.700.67%98.86%
Factor regression from Jul 2023 to Jun 2026. Statistically significant values in bold.

Annual Returns

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
20261.95%7.13%$68,4418.02%$73,17412.72%17.86%15.30%2.17%-4.63%-8.01%-4.35%
20252.67%11.66%$63,88312.11%$67,73917.76%16.36%8.38%4.39%8.03%4.25%7.90%
20242.89%10.35%$57,21212.53%$60,42024.91%12.75%9.57%5.41%-0.64%-8.06%0.86%
20233.35%14.57%$51,84716.82%$53,69426.25%11.47%18.91%4.98%3.64%2.77%9.40%
20226.45%-13.36%$45,253-12.28%$45,962-18.19%-5.78%-3.52%-1.19%-15.16%-31.24%-17.93%
20217.04%17.01%$52,23318.71%$52,40028.60%28.07%39.84%-0.19%-3.33%-4.60%-1.84%
20201.36%11.20%$44,63910.74%$44,14018.40%-0.61%2.23%0.62%10.01%18.15%10.97%
20192.29%20.48%$40,14221.73%$39,85931.42%25.45%18.12%2.44%8.03%14.12%17.37%
20181.91%-5.34%$33,319-5.92%$32,743-4.43%-11.65%-15.13%1.87%0.99%-1.61%-3.79%
20172.11%12.27%$35,19912.65%$34,80221.73%18.97%7.21%0.94%2.55%9.18%7.06%
20162.07%11.69%$31,35312.74%$30,89311.90%18.89%28.26%0.84%1.01%1.18%6.21%
20150.73%-1.03%$28,072-1.24%$27,4031.38%-3.49%-7.81%0.31%1.51%-1.79%-1.25%
20140.76%10.57%$28,3648.69%$27,74713.53%10.07%3.48%0.26%9.07%27.30%8.21%
20131.50%18.37%$25,65221.26%$25,52932.33%40.32%42.38%0.34%-6.09%-13.37%-2.00%
20121.74%13.22%$21,67114.46%$21,05315.82%22.05%21.72%0.93%3.66%2.63%10.58%
20112.96%5.30%$19,1402.05%$18,3932.10%-3.14%-7.55%0.59%15.64%33.96%9.73%
20101.50%15.86%$18,17615.79%$18,02315.00%20.17%30.90%1.16%9.37%9.05%9.33%
20092.72%15.33%$15,68820.99%$15,56626.62%30.19%33.62%1.92%-6.59%-21.80%8.46%
20080.09%-19.62%$13,603-23.91%$12,865-36.76%-40.80%-36.79%4.02%17.91%33.93%2.40%
20074.08%2.63%$16,9231.42%$16,9085.52%-2.76%-10.75%5.19%10.37%10.29%3.73%
20062.54%12.11%$16,48912.94%$16,67215.72%20.18%21.55%4.78%2.52%0.71%4.22%
20053.42%5.87%$14,7084.89%$14,7614.98%10.24%7.79%2.30%2.64%8.61%1.16%
20043.26%11.71%$13,89211.63%$14,07310.77%18.25%25.39%0.89%4.13%8.71%5.72%
20031.88%22.81%$12,43624.72%$12,60728.53%34.42%59.40%1.61%2.09%1.62%5.93%
20020.44%1.26%$10,1261.08%$10,108-2.85%-4.10%-2.64%1.41%6.60%9.72%10.07%
Annual return for 2002 is from 08/01/2002 to 12/31/2002 and annual return for 2026 is from 01/01/2026 to 09/30/2026

Monthly Returns

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
20269-2.64%$68,441-2.28%$73,174-0.36%-3.57%-5.19%-0.05%-3.35%-5.38%-3.39%
202681.37%$70,2961.39%$74,8782.71%2.54%0.23%0.22%0.12%0.73%0.39%
20267-0.10%$69,3430.08%$73,853-0.06%2.37%2.29%0.33%-1.39%-4.47%-2.24%
202660.58%$69,4100.40%$73,792-0.95%1.70%2.96%0.14%0.25%1.17%0.11%
202652.29%$69,0092.51%$73,5005.27%3.40%0.22%0.30%-0.02%0.53%0.86%
202645.20%$67,4645.81%$71,70210.48%6.39%7.60%0.31%-0.15%-0.84%0.28%
20263-3.38%$64,127-3.23%$67,766-4.96%-3.75%-3.35%0.33%-2.32%-4.23%-2.07%
202621.64%$66,3711.04%$70,030-0.78%3.26%3.39%0.28%2.47%4.63%1.38%
202612.22%$65,3012.32%$69,3081.45%4.72%6.91%0.30%-0.23%-0.03%0.34%
2025120.10%$63,8830.27%$67,7390.04%2.00%1.11%0.40%-0.76%-2.65%-0.73%
2025111.29%$63,8171.30%$67,5600.24%2.46%3.97%0.32%0.99%0.27%0.93%
2025100.71%$63,0050.62%$66,6902.32%0.06%-1.67%0.35%0.71%1.38%0.15%
202591.76%$62,5591.75%$66,2773.64%1.17%-1.05%0.37%0.65%3.59%1.88%
202582.81%$61,4782.92%$65,1392.02%4.36%8.29%0.35%1.64%0.01%1.04%
202570.85%$59,8001.13%$63,2932.24%0.78%1.36%0.40%-0.59%-1.14%-0.09%
202563.59%$59,2963.67%$62,5885.10%4.52%4.73%0.36%1.60%2.67%2.08%
202552.80%$57,2433.63%$60,3716.28%2.64%6.05%0.36%-1.24%-3.21%0.21%
20254-1.73%$55,684-1.67%$58,254-0.67%-4.69%-5.32%0.29%1.05%-1.36%-0.27%
20253-3.04%$56,666-3.35%$59,242-5.66%-2.46%-5.84%0.35%0.34%-1.21%-0.46%
20252-0.02%$58,443-0.69%$61,298-1.30%0.27%-5.27%0.33%2.80%5.69%2.37%
202512.17%$58,4542.16%$61,7272.77%4.59%2.93%0.44%0.62%0.49%0.58%
202412-4.11%$57,212-3.63%$60,420-2.39%-7.48%-7.90%0.43%-2.26%-6.38%-2.67%
2024114.78%$59,6655.04%$62,6945.89%6.30%10.35%0.38%1.02%1.99%1.79%
202410-1.77%$56,941-1.44%$59,688-0.92%-0.67%-1.48%0.33%-3.39%-5.46%-3.18%
202491.31%$57,9651.37%$60,5602.12%0.56%0.03%0.51%1.38%1.99%1.96%
202481.14%$57,2171.11%$59,7402.43%1.30%-2.36%0.36%1.34%2.11%1.87%
202473.61%$56,5733.45%$59,0861.22%5.00%10.19%0.48%2.90%3.64%2.64%
202460.93%$54,6030.93%$57,1153.58%-1.26%-2.42%0.42%1.22%1.81%0.59%
202453.46%$54,1013.61%$56,5884.94%2.85%5.42%0.45%1.80%2.88%2.21%
20244-4.01%$52,294-3.72%$54,617-4.10%-4.44%-5.85%0.48%-3.13%-6.45%-3.24%
202433.06%$54,4783.15%$56,7253.22%6.34%5.28%0.44%0.73%0.78%1.54%
202421.98%$52,8612.29%$54,9935.32%3.86%2.59%0.47%-2.08%-2.26%-1.94%
20241-0.03%$51,8340.13%$53,7621.68%0.67%-2.80%0.52%0.07%-2.25%-0.44%
2023125.70%$51,8475.46%$53,6944.52%5.89%11.26%0.41%3.77%8.67%4.87%
2023117.35%$49,0527.45%$50,9159.15%7.26%8.45%0.45%4.55%9.92%7.57%
202310-2.89%$45,692-2.57%$47,387-2.12%-3.98%-4.85%0.47%-1.93%-5.46%-2.41%
20239-3.91%$47,053-3.59%$48,638-4.75%-2.82%-4.25%0.41%-3.14%-7.95%-3.55%
20238-1.79%$48,967-1.62%$50,447-1.57%-2.73%-3.06%0.53%-0.73%-3.14%-1.23%
202372.35%$49,8612.81%$51,2793.20%4.30%6.83%0.36%-0.65%-2.54%0.05%
202364.62%$48,7165.11%$49,8776.59%7.13%10.38%0.44%-1.26%0.22%0.81%
20235-1.71%$46,563-1.37%$47,4500.42%-4.75%-3.54%0.30%-1.44%-3.01%-1.76%
202340.57%$47,3720.55%$48,1101.57%1.11%-1.84%0.32%0.81%0.34%0.60%
202331.06%$47,1040.95%$47,8483.67%-1.88%-7.13%0.67%3.72%4.84%3.85%
20232-2.63%$46,610-2.46%$47,399-2.45%-3.54%-0.94%0.05%-3.27%-4.85%-4.17%
202315.78%$47,8695.73%$48,5956.27%6.14%8.63%0.45%3.58%7.64%5.16%
202212-3.83%$45,253-3.90%$45,962-5.76%-4.60%-5.87%0.38%-1.49%-2.63%-1.56%
2022115.10%$47,0545.21%$47,8285.59%5.87%5.12%0.36%3.61%7.15%6.65%
2022105.75%$44,7706.55%$45,4628.08%12.93%14.66%0.07%-1.46%-5.97%-0.75%
20229-7.43%$42,336-7.40%$42,667-9.25%-8.65%-9.42%-0.46%-4.73%-8.23%-5.98%
20228-3.28%$45,732-3.29%$46,076-4.08%-2.83%-2.17%-0.28%-3.85%-4.56%-4.43%
202276.20%$47,2856.80%$47,6429.21%6.29%9.93%0.21%2.96%2.43%4.44%
20226-6.32%$44,525-6.86%$44,608-8.26%-10.68%-10.80%-0.41%-0.86%-1.27%-3.62%
202251.35%$47,5271.70%$47,8940.17%4.39%3.91%0.35%0.62%-2.25%1.86%
20224-6.39%$46,891-6.42%$47,095-8.72%-5.75%-5.74%-0.16%-4.23%-9.42%-6.70%
202230.22%$50,0930.83%$50,3243.71%1.88%0.85%-0.67%-4.06%-5.45%-2.89%
20222-1.09%$49,985-1.32%$49,910-2.99%-0.51%2.04%-0.19%-0.30%-1.63%-2.13%
20221-3.25%$50,537-3.48%$50,575-5.19%-1.69%-2.90%-0.38%-2.11%-3.91%-3.59%
2021122.84%$52,2333.18%$52,4004.50%6.14%5.59%-0.09%-0.52%-2.01%-0.03%
202111-0.59%$50,789-0.95%$50,786-0.72%-2.59%-2.31%-0.10%1.09%2.77%-0.12%
2021103.55%$51,0893.71%$51,2747.00%4.15%3.83%0.00%-0.44%2.46%0.53%
20219-2.62%$49,337-2.54%$49,441-4.66%-3.34%-0.83%0.00%-1.60%-2.91%-1.51%
202181.46%$50,6671.59%$50,7273.03%2.16%2.20%0.00%-0.39%-0.34%-0.34%
202171.07%$49,9400.83%$49,9322.36%-0.22%-2.08%0.00%1.99%3.72%1.42%
202160.75%$49,4090.70%$49,5222.32%-1.94%-2.79%0.00%1.02%4.42%2.21%
202151.51%$49,0401.55%$49,1760.70%3.35%4.61%0.00%0.43%0.00%0.62%
202142.97%$48,3112.96%$48,4255.34%3.82%2.28%0.00%1.00%2.49%1.04%
202132.35%$46,9182.98%$47,0344.37%6.20%6.80%0.00%-2.39%-5.24%-1.48%
202122.77%$45,8393.30%$45,6722.76%7.70%12.16%0.00%-2.36%-5.73%-2.26%
20211-0.08%$44,6030.17%$44,215-1.03%0.29%5.61%0.00%-1.09%-3.63%-1.83%
2020122.83%$44,6393.24%$44,1403.92%3.66%8.25%0.01%-0.24%-1.23%0.15%
2020118.91%$43,4109.55%$42,75610.92%15.80%17.89%0.01%0.34%1.66%3.77%
202010-0.93%$39,860-0.54%$39,029-2.68%-1.26%3.95%0.00%-1.38%-3.39%-0.51%
20209-2.19%$40,232-2.59%$39,239-3.80%-2.35%-5.13%0.01%0.33%0.77%-0.44%
202082.87%$41,1353.52%$40,2827.17%4.43%5.58%0.01%-0.97%-5.05%-1.78%
202073.49%$39,9863.67%$38,9115.64%3.16%3.21%0.03%0.85%4.44%3.10%
202061.12%$38,6391.61%$37,5342.01%-0.85%2.65%-0.06%0.04%0.34%2.13%
202052.55%$38,2123.22%$36,9394.79%3.83%2.85%0.13%0.33%-1.76%2.46%
202048.81%$37,2609.85%$35,78612.77%13.08%15.81%0.12%0.27%1.22%4.85%
20203-10.34%$34,243-12.60%$32,577-12.36%-20.15%-26.60%0.04%3.72%6.38%-6.31%
20202-4.59%$38,190-5.57%$37,275-8.24%-10.57%-10.79%0.13%2.96%6.63%1.09%
20201-0.28%$40,029-0.97%$39,474-0.04%-4.11%-6.88%0.19%3.47%7.69%2.45%
2019121.56%$40,1422.17%$39,8593.00%2.79%3.92%0.12%-0.93%-3.20%0.53%
2019112.10%$39,5262.36%$39,0143.62%3.91%3.17%0.11%-0.69%-0.41%0.47%
2019101.22%$38,7151.44%$38,1132.18%2.12%1.83%0.20%0.19%-1.11%0.44%
201991.60%$38,2491.92%$37,5711.86%3.94%5.96%0.15%-1.19%-2.68%-0.76%
20198-0.38%$37,648-1.35%$36,864-1.61%-4.11%-8.00%0.28%3.95%11.04%3.88%
201970.73%$37,7930.78%$37,3671.46%1.05%0.39%0.21%0.04%0.26%0.25%
201965.04%$37,5205.51%$37,0787.04%8.03%7.77%0.18%1.22%0.95%3.25%
20195-3.63%$35,719-4.60%$35,140-6.38%-7.75%-11.52%0.19%3.05%6.84%1.65%
201942.16%$37,0652.63%$36,8354.07%3.44%4.04%0.20%-0.52%-1.99%0.44%
201931.11%$36,2820.79%$35,8911.92%-0.50%-3.66%0.38%2.66%5.57%2.93%
201921.64%$35,8851.93%$35,6083.21%2.49%3.27%0.17%-0.52%-1.38%-0.20%
201915.97%$35,3086.69%$34,9348.03%8.65%12.00%0.21%0.65%0.38%3.37%
201812-5.19%$33,319-6.03%$32,743-9.04%-11.00%-12.79%0.37%2.80%5.85%1.86%
2018111.40%$35,1441.08%$34,8452.04%2.33%0.91%0.31%1.33%1.79%-0.36%
201810-4.94%$34,658-5.23%$34,473-6.86%-6.36%-9.41%0.09%-0.30%-2.93%-2.05%
20189-0.71%$36,459-0.38%$36,3740.58%0.07%-3.19%0.06%-1.20%-2.86%-0.14%
201881.88%$36,7191.84%$36,5133.24%1.44%2.84%0.27%1.01%1.31%0.02%
201871.93%$36,0432.37%$35,8533.70%4.13%1.61%0.18%-0.53%-1.44%1.34%
201860.13%$35,3620.05%$35,0240.62%-0.70%0.06%0.06%0.20%0.65%-0.49%
201852.20%$35,3152.23%$35,0082.43%0.92%6.29%0.35%0.99%2.01%0.52%
20184-0.15%$34,556-0.01%$34,2440.39%0.16%1.32%0.04%-1.28%-2.09%-1.57%
20183-0.50%$34,608-0.82%$34,249-2.57%-2.28%0.93%0.13%1.16%2.86%0.56%
20182-3.17%$34,782-3.20%$34,532-3.70%-4.96%-4.68%0.01%-0.93%-3.04%-2.24%
201812.05%$35,9232.50%$35,6735.75%5.14%1.50%-0.02%-2.15%-3.26%-1.23%
2017121.00%$35,1990.94%$34,8021.09%2.31%0.03%0.05%0.18%1.81%1.22%
2017111.80%$34,8501.78%$34,4783.04%3.55%2.12%-0.02%-0.28%0.74%-0.12%
2017101.06%$34,2351.20%$33,8752.35%1.44%0.96%0.01%-0.19%-0.04%0.19%
201792.02%$33,8752.49%$33,4752.08%3.85%7.92%0.08%-1.44%-2.32%-0.05%
201780.12%$33,206-0.25%$32,6610.26%-0.94%-2.55%0.11%1.46%3.41%0.68%
201771.05%$33,1661.25%$32,7432.07%1.68%0.77%0.10%0.38%-0.66%0.77%
201760.90%$32,8220.96%$32,3400.60%1.65%2.59%0.10%-0.51%0.79%0.48%
201750.29%$32,5290.23%$32,0331.40%-0.11%-3.51%0.09%0.83%1.89%1.33%
201740.87%$32,4340.83%$31,9601.03%0.66%0.46%0.08%1.11%1.57%1.19%
20173-0.36%$32,153-0.33%$31,6970.08%-0.93%-1.14%0.09%0.08%-0.65%-0.29%
201722.07%$32,2712.13%$31,8014.00%3.01%0.32%0.07%0.72%1.59%1.32%
201710.84%$31,6160.79%$31,1371.90%1.45%-0.53%0.16%0.22%0.81%0.15%
2016121.51%$31,3531.77%$30,8931.98%2.49%3.41%0.08%-0.12%-0.46%0.84%
2016112.93%$30,8853.84%$30,3563.66%7.85%14.87%-0.12%-4.23%-8.21%-3.17%
201610-2.01%$30,006-1.76%$29,233-1.83%-1.72%-3.14%0.07%-1.49%-4.38%-1.53%
201690.12%$30,6200.21%$29,7560.05%0.48%1.21%0.06%0.24%-1.51%-0.32%
201680.28%$30,5850.49%$29,6940.12%1.16%1.74%-0.03%-1.01%-1.01%0.18%
201672.72%$30,4992.84%$29,5483.72%3.44%4.85%-0.04%0.24%2.10%1.29%
201661.22%$29,6910.70%$28,7330.22%-0.10%-1.16%0.35%3.09%6.93%3.09%
201650.83%$29,3330.73%$28,5321.80%1.33%0.47%-0.04%-0.10%0.81%-0.51%
201640.86%$29,0931.11%$28,3260.37%2.71%1.80%0.05%-0.16%-0.74%1.55%
201634.79%$28,8455.59%$28,0156.75%7.26%8.77%0.17%-0.06%-0.09%3.62%
201620.75%$27,5250.48%$26,533-0.07%0.17%1.17%0.04%1.49%3.09%1.05%
20161-2.67%$27,321-3.64%$26,407-5.01%-6.81%-7.18%0.24%3.33%5.57%0.12%
201512-2.07%$28,072-2.24%$27,403-1.60%-3.13%-6.20%-0.05%-0.45%-0.30%-1.08%
2015110.48%$28,6640.66%$28,0320.37%0.36%3.17%-0.13%-0.43%-0.87%-0.15%
2015104.49%$28,5274.88%$27,8488.38%8.16%5.28%0.04%-0.64%-0.41%0.57%
20159-1.42%$27,302-1.67%$26,553-2.47%-3.23%-4.51%0.14%1.58%1.97%1.19%
20158-3.47%$27,694-3.68%$27,003-6.02%-6.08%-4.04%-0.06%0.08%-0.69%-0.83%
201570.73%$28,6900.31%$28,0342.09%-0.26%-3.67%0.03%1.52%4.55%0.83%
20156-1.56%$28,482-1.32%$27,948-1.91%-1.62%0.05%0.03%-1.63%-4.07%-1.88%
201550.36%$28,9340.52%$28,3211.28%1.07%1.36%0.03%-0.42%-2.37%-1.12%
20154-0.14%$28,8310.01%$28,1750.92%2.04%-1.34%0.03%-0.63%-3.43%-1.19%
20153-0.28%$28,871-0.39%$28,173-1.59%-1.92%1.78%0.03%0.86%1.10%0.20%
201522.68%$28,9523.43%$28,2845.79%7.06%5.90%0.02%-2.47%-6.14%-1.42%
20151-0.59%$28,197-1.45%$27,346-3.02%-4.97%-4.95%0.19%4.30%9.82%3.75%
2014120.68%$28,3640.34%$27,747-0.31%0.74%2.29%-0.17%0.13%3.25%-0.02%
2014111.47%$28,1721.28%$27,6532.70%1.16%-0.28%0.12%1.29%2.97%0.91%
2014102.10%$27,7642.07%$27,3032.44%0.78%4.61%0.03%1.53%2.81%1.23%
20149-2.33%$27,193-2.40%$26,748-1.42%-2.49%-6.98%0.03%-1.05%-2.11%-1.68%
201483.41%$27,8413.28%$27,4054.00%3.17%5.83%0.02%1.88%4.72%2.00%
20147-1.37%$26,922-1.64%$26,535-1.36%-0.74%-5.76%0.02%-0.22%0.67%-0.32%
201461.64%$27,2951.77%$26,9762.06%2.72%4.44%-0.07%-0.22%-0.25%0.01%
201451.78%$26,8551.59%$26,5062.28%2.17%0.83%0.12%1.82%2.95%1.51%
201440.45%$26,3870.34%$26,0920.74%0.66%-1.93%0.02%0.76%2.10%1.33%
201430.78%$26,2670.72%$26,0040.81%2.34%1.19%-0.07%-0.56%0.73%-0.03%
201422.92%$26,0643.24%$25,8194.63%3.36%5.45%0.11%0.36%0.52%1.14%
20141-1.28%$25,324-2.03%$25,010-3.50%-3.95%-5.14%0.10%3.06%6.30%1.88%
2013121.19%$25,6521.68%$25,5292.55%2.64%2.72%-0.05%-2.09%-1.87%0.21%
2013111.93%$25,3512.34%$25,1083.03%4.17%5.08%0.02%-0.88%-2.70%-0.14%
2013103.07%$24,8713.23%$24,5334.60%5.05%3.51%0.04%0.78%1.43%1.81%
201392.51%$24,1302.55%$23,7663.15%2.95%5.24%0.13%1.85%0.66%0.74%
20138-2.33%$23,539-2.33%$23,175-2.93%-2.99%-4.17%0.03%-1.42%-1.34%-1.00%
201373.37%$24,1003.96%$23,7285.05%6.00%7.34%0.03%-0.35%-2.26%1.11%
20136-1.58%$23,314-1.54%$22,824-1.30%-1.15%-0.70%0.03%-2.55%-3.27%-3.27%
201350.80%$23,6881.34%$23,1812.30%4.13%5.39%-0.07%-3.11%-6.76%-3.22%
201341.41%$23,4991.16%$22,8751.94%1.00%-1.11%0.04%1.52%4.68%2.17%
201332.57%$23,1732.68%$22,6123.76%4.81%4.91%0.03%0.29%-0.42%-0.05%
201321.21%$22,5921.20%$22,0231.36%1.27%1.75%0.02%1.13%1.24%1.08%
201313.01%$22,3233.37%$21,7625.17%6.94%6.56%0.10%-1.29%-3.19%-1.30%
2012120.89%$21,6711.17%$21,0530.85%3.03%3.72%0.02%-0.94%-2.49%-0.33%
2012110.70%$21,4790.48%$20,8100.63%0.22%1.84%0.04%0.98%1.38%-0.42%
201210-0.59%$21,330-0.44%$20,711-1.85%0.27%-0.82%0.04%-0.40%-0.49%1.35%
201291.65%$21,4562.14%$20,8032.58%3.65%3.31%0.05%-0.35%-2.53%1.10%
201281.74%$21,1091.91%$20,3662.20%3.95%4.21%0.04%-0.12%-1.32%-0.05%
201271.41%$20,7481.45%$19,9841.40%0.97%-0.24%0.15%1.40%3.81%3.48%
201262.59%$20,4593.01%$19,6994.13%5.37%4.38%0.14%-0.42%-1.68%0.87%
20125-2.69%$19,942-3.91%$19,124-6.07%-7.10%-7.12%-0.05%2.87%9.03%0.76%
201240.11%$20,494-0.41%$19,902-0.63%-2.09%-1.60%0.14%2.51%4.83%1.08%
201230.90%$20,4701.42%$19,9833.35%1.83%2.30%0.05%-1.59%-4.23%-1.42%
201222.42%$20,2873.06%$19,7044.26%5.77%3.18%0.04%-1.10%-2.59%1.63%
201213.49%$19,8083.95%$19,1204.44%4.96%7.43%0.29%0.86%-0.33%2.14%
2011121.48%$19,1401.52%$18,3931.08%0.79%1.01%-0.03%1.99%3.44%3.49%
201111-0.38%$18,861-1.10%$18,117-0.30%-0.83%-0.68%-0.06%0.58%1.98%-3.16%
2011107.48%$18,9338.69%$18,31810.99%13.81%15.82%0.05%-1.29%-3.84%2.51%
20119-3.95%$17,615-5.63%$16,854-7.08%-10.10%-12.58%-0.06%2.24%13.20%0.35%
20118-3.00%$18,340-4.49%$17,860-5.39%-8.46%-10.58%0.04%4.65%9.66%0.34%
20117-0.71%$18,908-1.03%$18,699-2.02%-4.57%-2.88%0.14%3.17%4.41%2.43%
20116-1.42%$19,042-1.31%$18,894-1.70%-1.82%-1.81%-0.05%-0.51%-2.33%-0.80%
20115-0.28%$19,317-0.73%$19,145-1.12%-1.42%-3.12%0.14%2.51%3.42%1.27%
201142.12%$19,3722.16%$19,2862.87%2.51%1.26%0.23%1.84%2.34%2.50%
201130.35%$18,9700.31%$18,8780.12%0.45%2.05%0.06%-0.15%0.03%-0.54%
201123.01%$18,9043.10%$18,8183.35%5.39%6.28%0.03%-0.21%1.65%1.08%
201110.96%$18,3511.27%$18,2522.42%3.23%0.31%0.10%-0.02%-3.08%0.04%
2010124.06%$18,1764.75%$18,0236.68%9.72%9.18%0.04%-3.42%-3.68%-0.75%
2010110.13%$17,4680.28%$17,2060.00%-0.75%4.49%-0.14%-0.90%-1.69%-1.62%
2010101.85%$17,4462.40%$17,1583.78%3.68%4.17%0.15%-0.01%-4.47%-0.26%
201095.88%$17,1286.53%$16,7578.89%9.80%12.93%0.05%-0.00%-2.51%0.46%
20108-2.04%$16,177-2.91%$15,729-4.48%-6.11%-8.38%0.15%3.36%8.40%2.86%
201074.80%$16,5155.36%$16,2017.01%7.82%8.69%0.16%0.91%-0.95%2.11%
20106-2.99%$15,758-3.52%$15,377-5.23%-7.56%-10.14%0.24%3.05%5.80%3.28%
20105-4.50%$16,243-5.74%$15,939-8.02%-8.56%-9.90%0.05%2.93%5.11%-1.31%
201042.84%$17,0082.77%$16,9101.52%3.16%8.11%0.06%1.65%3.32%1.91%
201034.07%$16,5384.64%$16,4546.06%7.80%8.86%-0.04%-1.05%-2.06%0.65%
201022.56%$15,8922.75%$15,7253.08%4.32%6.15%0.14%0.32%-0.34%0.51%
20101-1.23%$15,496-1.68%$15,304-3.54%-2.34%-3.16%0.29%2.37%2.69%1.25%
2009120.86%$15,6881.74%$15,5661.93%2.70%7.92%-0.35%-4.40%-6.34%-2.07%
2009113.66%$15,5553.79%$15,2996.00%5.63%3.11%0.27%2.02%1.21%1.95%
200910-2.67%$15,006-2.55%$14,741-1.92%-4.30%-7.53%0.07%-0.14%-2.62%-0.49%
200993.28%$15,4183.35%$15,1263.75%4.35%6.33%0.20%1.12%2.46%1.76%
200983.33%$14,9283.24%$14,6353.60%6.80%5.14%0.32%0.77%2.24%1.31%
200976.32%$14,4467.17%$14,1767.61%9.43%13.44%0.07%0.83%0.58%4.63%
200960.25%$13,5870.72%$13,2280.13%-1.21%0.35%0.27%-0.55%0.76%2.89%
200953.03%$13,5543.96%$13,1335.68%7.67%3.22%0.38%-2.08%-3.69%2.32%
200947.58%$13,1559.17%$12,6329.57%16.18%19.66%0.30%-2.75%-6.95%2.78%
200936.49%$12,2286.13%$11,5718.77%9.83%10.40%0.37%3.31%4.04%0.47%
20092-7.96%$11,483-8.74%$10,903-10.63%-14.04%-12.71%-0.10%-0.74%-1.54%-5.20%
20091-8.29%$12,476-7.14%$11,947-8.33%-11.86%-14.28%0.10%-3.89%-13.07%-1.80%
2008124.97%$13,6035.23%$12,8651.09%3.25%5.25%1.04%5.15%13.64%13.80%
200811-2.93%$12,960-4.79%$12,226-7.09%-9.81%-12.99%0.71%7.75%14.34%3.35%
200810-12.11%$13,351-12.52%$12,842-16.72%-22.53%-22.14%0.69%-0.87%-1.86%-1.95%
20089-6.01%$15,191-7.97%$14,680-8.81%-9.00%-6.89%-0.44%-0.14%1.47%-10.73%
200881.80%$16,1631.50%$15,9501.41%1.96%4.15%0.23%1.53%2.74%0.15%
200870.00%$15,8760.09%$15,715-0.80%-1.12%2.07%0.23%0.72%-0.37%0.39%
20086-5.40%$15,876-6.14%$15,701-8.39%-10.96%-10.10%0.31%1.14%2.65%-1.29%
200850.72%$16,7820.88%$16,7271.29%2.38%4.14%0.21%-1.78%-2.70%-2.21%
200842.29%$16,6622.95%$16,5824.83%6.27%1.66%0.15%-2.41%-2.47%1.25%
200830.18%$16,289-0.20%$16,107-0.38%-0.93%0.84%0.19%1.34%2.14%-0.60%
20082-1.83%$16,260-2.10%$16,139-3.24%-3.09%-2.84%0.27%1.24%-0.46%-0.71%
20081-2.13%$16,563-2.50%$16,485-6.01%-3.84%-3.94%0.39%3.36%2.10%2.57%
200712-0.51%$16,923-0.62%$16,908-0.63%-0.32%-1.20%0.44%0.05%-0.64%-0.81%
200711-2.34%$17,011-3.25%$17,013-4.20%-5.60%-8.72%0.32%4.04%5.35%1.02%
2007101.16%$17,4171.12%$17,5851.59%0.54%1.11%0.49%1.08%1.81%0.97%
200791.61%$17,2171.77%$17,3903.75%2.58%-0.28%0.33%0.09%0.23%0.73%
200780.74%$16,9450.87%$17,0881.49%-1.91%-0.76%0.45%2.26%1.79%2.38%
20077-2.51%$16,821-3.22%$16,940-3.14%-6.21%-7.64%0.41%2.26%3.32%-0.82%
20076-1.15%$17,253-1.17%$17,503-1.61%-1.62%-1.55%0.42%-0.47%-1.01%-0.81%
200751.75%$17,4532.01%$17,7113.44%4.10%3.65%0.44%-1.39%-2.31%-1.23%
200742.54%$17,1542.62%$17,3624.50%4.24%1.81%0.41%0.61%0.90%0.89%
200730.38%$16,7290.52%$16,9181.06%0.66%1.09%0.49%-0.14%-1.70%-0.66%
20072-0.07%$16,666-0.34%$16,831-1.95%-1.50%-0.23%0.35%2.06%3.39%1.98%
200711.14%$16,6781.30%$16,8881.53%2.89%2.20%0.49%-0.40%-1.00%0.09%
2006120.50%$16,4890.77%$16,6721.44%2.01%1.38%0.45%-1.28%-2.69%-0.89%
2006111.83%$16,4071.78%$16,5441.85%1.89%3.03%0.36%1.31%2.31%1.41%
2006102.68%$16,1122.82%$16,2543.25%3.96%5.43%0.45%0.61%0.87%1.05%
200691.79%$15,6911.67%$15,8082.52%2.76%1.19%0.46%1.13%1.89%0.87%
200682.00%$15,4161.97%$15,5492.40%1.61%1.95%0.43%1.76%3.07%2.22%
20067-0.03%$15,114-0.16%$15,2480.60%-1.45%-3.75%0.43%1.68%2.15%1.46%
200660.36%$15,1180.19%$15,2720.20%0.87%0.05%0.35%0.23%1.18%-0.09%
20065-1.82%$15,063-1.99%$15,244-2.92%-1.86%-4.39%0.41%-0.10%-0.19%-0.19%
200640.66%$15,3420.93%$15,5541.38%2.82%0.98%0.33%-0.63%-2.75%-0.20%
200630.83%$15,2411.30%$15,4101.26%1.76%6.09%0.39%-1.36%-4.57%-1.68%
200620.15%$15,1160.18%$15,2130.20%-0.35%-0.35%0.31%-0.10%1.11%0.68%
200612.61%$15,0922.88%$15,1862.66%4.74%8.82%0.30%-0.70%-1.34%-0.44%
2005120.62%$14,7080.34%$14,7610.03%0.13%0.34%0.27%1.37%2.98%0.86%
2005112.59%$14,6162.69%$14,7113.81%3.98%4.21%0.26%0.63%0.69%0.66%
200510-1.83%$14,247-1.76%$14,326-1.66%-2.68%-2.92%0.18%-1.24%-2.24%-1.58%
20059-0.12%$14,5120.11%$14,5820.80%1.54%0.80%0.09%-1.75%-3.61%-1.86%
200580.09%$14,530-0.26%$14,566-0.93%-0.83%-1.67%0.44%2.00%3.48%1.50%
200572.30%$14,5172.85%$14,6043.75%4.96%7.11%-0.02%-2.18%-3.38%-0.83%
200561.39%$14,1911.32%$14,2000.18%2.03%4.17%0.16%0.48%2.16%1.22%
200553.16%$13,9972.90%$14,0153.09%4.28%6.65%0.31%1.84%3.14%0.62%
20054-1.32%$13,568-1.80%$13,620-1.84%-3.44%-7.28%0.41%2.52%3.86%1.62%
20053-1.08%$13,750-1.32%$13,869-1.81%-0.26%-1.95%0.03%-0.40%-0.45%-1.26%
200521.14%$13,9001.31%$14,0552.17%3.02%2.70%0.05%-1.37%-1.47%-0.94%
20051-1.06%$13,744-1.42%$13,873-2.43%-2.49%-3.57%0.10%0.87%3.57%1.23%
2004122.70%$13,8922.62%$14,0733.38%3.99%3.62%0.21%1.17%2.66%1.39%
2004113.12%$13,5273.50%$13,7134.06%6.55%10.00%-0.23%-1.98%-2.39%-1.22%
2004101.18%$13,1181.15%$13,2491.49%1.17%0.96%0.24%0.99%1.77%1.18%
200491.68%$12,9641.63%$13,0991.09%3.08%4.93%-0.07%0.32%0.95%0.31%
200480.93%$12,7500.70%$12,8880.35%0.00%-1.49%0.42%2.83%4.17%3.08%
20047-1.83%$12,632-2.02%$12,798-3.35%-3.27%-5.33%0.31%1.21%1.53%1.56%
200462.22%$12,8682.20%$13,0621.96%2.99%6.69%-0.09%0.66%1.06%0.13%
200450.42%$12,5890.47%$12,7811.38%0.57%0.38%-0.08%-0.53%-0.26%-0.52%
20044-2.69%$12,537-2.34%$12,721-1.59%-1.69%-3.17%-0.37%-4.35%-6.23%-3.89%
200430.03%$12,883-0.11%$13,026-1.45%-0.40%0.94%0.18%1.30%1.41%0.99%
200421.57%$12,8791.41%$13,0411.35%2.58%1.41%0.26%1.61%2.28%1.51%
200411.96%$12,6792.00%$12,8591.84%1.69%4.89%0.10%1.02%1.86%1.22%
2003123.78%$12,4363.83%$12,6075.14%6.83%5.33%0.39%1.08%1.35%1.28%
2003111.28%$11,9831.33%$12,1420.85%2.22%4.16%0.02%0.02%0.34%0.31%
2003103.56%$11,8324.06%$11,9835.77%6.69%10.00%-0.18%-1.99%-3.03%-1.51%
200390.72%$11,4250.39%$11,515-1.13%-2.20%-0.78%0.49%4.36%5.94%4.27%
200382.16%$11,3432.25%$11,4701.93%3.55%5.14%0.09%0.15%1.31%1.21%
20037-0.23%$11,1040.51%$11,2171.70%2.52%7.04%-0.27%-5.47%-9.98%-6.00%
200360.82%$11,1291.12%$11,1601.30%1.08%3.65%0.11%-0.69%-1.80%-0.39%
200355.74%$11,0385.55%$11,0375.29%6.69%11.72%0.22%3.79%6.32%3.59%
200345.80%$10,4396.28%$10,4568.28%9.20%10.56%0.21%0.14%1.05%2.12%
200330.03%$9,8670.29%$9,8390.92%-0.47%-0.21%0.15%-0.38%-1.36%0.12%
20032-0.75%$9,864-1.00%$9,811-1.49%-2.93%-4.11%0.29%2.20%3.10%1.98%
20031-1.86%$9,938-1.97%$9,910-2.62%-2.32%-3.45%0.10%-0.77%-0.58%-0.81%
200212-1.75%$10,126-2.13%$10,108-5.97%-4.55%-3.58%0.62%3.55%4.53%3.93%
2002113.87%$10,3064.45%$10,3295.90%7.07%8.52%-0.11%-2.09%-0.91%0.72%
2002102.93%$9,9223.67%$9,8898.76%3.92%1.62%0.29%-1.25%-3.69%-0.61%
20029-4.95%$9,640-5.66%$9,539-10.80%-11.13%-7.28%0.30%3.85%4.25%2.09%
200281.42%$10,1421.11%$10,1110.56%1.62%-1.25%0.30%2.52%5.51%3.64%

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndProvided PortfolioAdjusted Portfolio
Subprime CrisisNov 2007Mar 2009-34.07%-38.00%
COVID-19 StartJan 2020Mar 2020-14.70%-18.27%

Drawdowns for Provided Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsNov 20101 year 9 months3 years 6 months-34.21%
2Jan 2022Sep 20229 monthsFeb 20241 year 5 months2 years 2 months-18.95%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-14.70%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-9.26%
5May 2011Sep 20115 monthsJan 20124 months9 months-9.07%
6Dec 2024Apr 20255 monthsJul 20253 months8 months-6.67%
7Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-5.70%
8Sep 2002Sep 20021 monthNov 20022 months3 months-4.95%
9Dec 2002Feb 20033 monthsApr 20032 months5 months-4.29%
10Apr 2024Apr 20241 monthJun 20242 months3 months-4.01%
Worst 10 drawdowns included above

Drawdowns for Adjusted Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-38.44%
2Jan 2022Sep 20229 monthsDec 20231 year 3 months2 years-18.57%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-18.27%
4May 2011Sep 20115 monthsFeb 20125 months10 months-12.61%
5Sep 2018Dec 20184 monthsApr 20194 months8 months-10.33%
6Dec 2024Apr 20255 monthsJul 20253 months8 months-7.08%
7Jun 2015Jan 20168 monthsApr 20163 months11 months-6.76%
8Sep 2002Sep 20021 monthNov 20022 months3 months-5.66%
9Dec 2002Feb 20033 monthsApr 20032 months5 months-5.02%
10May 2019May 20191 monthJun 20191 month2 months-4.60%
Worst 10 drawdowns included above

Rolling Returns

Roll PeriodProvided PortfolioAdjusted Portfolio
AverageHighLowAverageHighLow
1 year8.93%38.40%-29.38%9.35%44.38%-32.44%
3 years7.96%20.89%-8.75%8.21%21.81%-10.51%
5 years7.65%17.81%-2.27%7.82%18.82%-3.52%
7 years7.87%13.30%4.48%8.01%13.55%3.67%
10 years8.14%12.07%6.11%8.28%12.56%5.69%
15 years8.09%10.71%6.18%8.22%11.39%5.86%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
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  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. 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 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 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 (U.S. 3-Month Treasury Bill Rate)
  • Drawdowns are calculated based on monthly returns