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 Analysis Results (May 2016 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DDLS WisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETF 100.00%
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Portfolio 2
Ticker Name Allocation
DLS WisdomTree International SmallCp Div ETF 100.00%
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Portfolio 3
Ticker Name Allocation
SCZ iShares MSCI EAFE Small-Cap ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,481 5.32% 9.45%26.90%-16.91%-18.53% 0.470.590.76
Portfolio 2$10,000$11,133 4.11% 11.55%31.83%-18.92%-22.29% 0.310.420.70
Portfolio 3$10,000$11,122 4.07% 11.62%32.73%-17.63%-21.70% 0.300.400.71
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2016 are based on full calendar months from May to December
  • 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 excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceWisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETF (DDLS)WisdomTree International SmallCp Div ETF (DLS)iShares MSCI EAFE Small-Cap ETF (SCZ)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20160.91%8.88%4.16%1.73%$10,888$10,416$10,1738.88%4.16%1.73%
20172.11%26.90%31.83%32.73%$13,817$13,732$13,50326.90%31.83%32.73%
20181.91%-16.91%-18.92%-17.63%$11,481$11,133$11,122-16.91%-18.92%-17.63%
Annual returns for 2016 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceWisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETF (DDLS)WisdomTree International SmallCp Div ETF (DLS)iShares MSCI EAFE Small-Cap ETF (SCZ)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201650.59%1.46%1.77%$10,059$10,146$10,1770.59%1.46%1.77%
20166-1.29%-5.40%-4.62%$9,929$9,599$9,707-1.29%-5.40%-4.62%
201671.89%6.33%5.18%$10,116$10,206$10,2091.89%6.33%5.18%
201681.57%0.20%0.18%$10,276$10,227$10,2281.57%0.20%0.18%
201691.39%3.31%3.07%$10,418$10,565$10,5411.39%3.31%3.07%
2016100.27%-2.07%-2.88%$10,446$10,346$10,2380.27%-2.07%-2.88%
2016110.96%-1.36%-2.53%$10,547$10,205$9,9780.96%-1.36%-2.53%
2016123.24%2.07%1.96%$10,888$10,416$10,1733.24%2.07%1.96%
201712.23%4.48%3.83%$11,131$10,883$10,5632.23%4.48%3.83%
201722.33%2.30%2.03%$11,391$11,133$10,7772.33%2.30%2.03%
201732.10%2.19%2.54%$11,630$11,377$11,0512.10%2.19%2.54%
201742.78%3.60%4.21%$11,953$11,787$11,5162.78%3.60%4.21%
201753.07%2.68%3.28%$12,321$12,103$11,8943.07%2.68%3.28%
201761.09%1.25%0.61%$12,455$12,254$11,9661.09%1.25%0.61%
201772.30%3.83%3.41%$12,741$12,723$12,3742.30%3.83%3.41%
201780.44%0.28%0.72%$12,798$12,758$12,4630.44%0.28%0.72%
201793.26%2.88%2.92%$13,215$13,126$12,8273.26%2.88%2.92%
2017101.99%1.35%1.68%$13,479$13,304$13,0421.99%1.35%1.68%
201711-0.16%0.35%0.92%$13,456$13,350$13,162-0.16%0.35%0.92%
2017122.68%2.86%2.59%$13,817$13,732$13,5032.68%2.86%2.59%
201812.00%4.34%5.19%$14,093$14,327$14,2042.00%4.34%5.19%
20182-3.45%-4.07%-3.82%$13,607$13,744$13,662-3.45%-4.07%-3.82%
20183-0.70%-0.37%-0.11%$13,512$13,694$13,647-0.70%-0.37%-0.11%
201840.73%-0.13%0.66%$13,611$13,676$13,7370.73%-0.13%0.66%
20185-1.03%-1.24%-0.98%$13,471$13,505$13,603-1.03%-1.24%-0.98%
20186-1.56%-3.00%-2.29%$13,261$13,100$13,292-1.56%-3.00%-2.29%
201871.29%1.13%1.18%$13,432$13,248$13,4491.29%1.13%1.18%
20188-1.37%-1.86%-1.18%$13,248$13,002$13,290-1.37%-1.86%-1.18%
201891.76%0.21%-0.72%$13,481$13,030$13,1951.76%0.21%-0.72%
201810-8.88%-8.73%-9.68%$12,285$11,892$11,917-8.88%-8.73%-9.68%
2018110.55%0.34%-0.04%$12,352$11,933$11,9130.55%0.34%-0.04%
201812-7.05%-6.70%-6.64%$11,481$11,133$11,122-7.05%-6.70%-6.64%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DDLSWisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETFForeign Small/Mid Value0.43%100.00%$1,481100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DLSWisdomTree International SmallCp Div ETFForeign Small/Mid Value0.58%100.00%$1,133100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SCZiShares MSCI EAFE Small-Cap ETFForeign Small/Mid Blend0.40%100.00%$1,122100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/05/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)0.47%0.39%0.39%
Arithmetic Mean (annualized)5.79%4.79%4.76%
Geometric Mean (monthly)0.43%0.34%0.33%
Geometric Mean (annualized)5.32%4.11%4.07%
Volatility (monthly)2.73%3.34%3.35%
Volatility (annualized)9.45%11.55%11.62%
Downside Deviation (monthly)2.15%2.42%2.48%
Max. Drawdown-18.53%-22.29%-21.70%
US Market Correlation0.760.700.71
Beta(*)0.680.760.78
Alpha (annualized)-0.85%-2.60%-2.80%
R258.29%49.27%51.04%
Sharpe Ratio0.470.310.30
Sortino Ratio0.590.420.40
Treynor Ratio (%)6.694.704.56
Active Return-4.10%-5.31%-5.35%
Tracking Error7.02%8.62%8.47%
Information Ratio-0.58-0.62-0.63
Skewness-2.04-0.90-1.11
Excess Kurtosis4.730.921.52
Historical Value-at-Risk (5%)-7.69%-7.41%-7.70%
Analytical Value-at-Risk (5%)-4.02%-5.10%-5.13%
Conditional Value-at-Risk (5%)-8.88%-8.73%-9.68%
Upside Capture Ratio (%)67.4665.4967.98
Downside Capture Ratio (%)81.3789.4694.34
Safe Withdrawal Rate38.66%37.56%37.05%
Perpetual Withdrawal Rate2.93%1.93%1.90%
Positive Periods23 out of 32 (71.88%)21 out of 32 (65.63%)20 out of 32 (62.50%)
Gain/Loss Ratio0.620.710.81
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-18.53%
2Jun 2016Jun 20161 monthJul 20161 month2 months-1.29%
3Nov 2017Nov 20171 monthDec 20171 month2 months-0.16%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-22.29%
2Jun 2016Jun 20161 monthJul 20161 month2 months-5.40%
3Oct 2016Nov 20162 monthsJan 20172 months4 months-3.41%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-21.70%
2Oct 2016Nov 20162 monthsJan 20172 months4 months-5.34%
3Jun 2016Jun 20161 monthJul 20161 month2 months-4.62%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DDLSWisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETF5.32%9.45%26.90%-16.91%-18.53%0.470.590.76
DLSWisdomTree International SmallCp Div ETF4.11%11.55%31.83%-18.92%-22.29%0.310.420.70
SCZiShares MSCI EAFE Small-Cap ETF4.07%11.62%32.73%-17.63%-21.70%0.300.400.71

Monthly Correlations

Correlations for the portfolio assets
TickerNameDDLSDLSSCZPortfolio 1Portfolio 2Portfolio 3
DDLSWisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETF-0.890.881.000.890.88
DLSWisdomTree International SmallCp Div ETF0.89-0.980.891.000.98
SCZiShares MSCI EAFE Small-Cap ETF0.880.98-0.880.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DDLSWisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETF$1,481
DLSWisdomTree International SmallCp Div ETF$1,133
SCZiShares MSCI EAFE Small-Cap ETF$1,122

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
DDLSWisdomTree Dyn Ccy Hdgd Intl SmCp Eq ETF100.00%
DLSWisdomTree International SmallCp Div ETF100.00%
SCZiShares MSCI EAFE Small-Cap ETF100.00%

Annual Asset Returns