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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jul 2008 - Oct 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
GXC SPDR S&P China ETF 30.00%
EWH iShares MSCI Hong Kong ETF 20.00%
VPL Vanguard FTSE Pacific ETF 15.00%
AXJL WisdomTree Asia Pacific ex-Japan ETF 10.00%
EWY iShares MSCI South Korea Capped ETF 5.00%
EWT iShares MSCI Taiwan Capped ETF 5.00%
EWM iShares MSCI Malaysia ETF 5.00%
VDE Vanguard Energy ETF 4.00%
GLD SPDR Gold Shares 3.00%
VAW Vanguard Materials ETF 3.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,955 4.77% 19.17%50.86%-34.22%-43.17% 0.310.450.82
Vanguard Total World Stock Index Inv$10,000$19,685 6.16% 16.43%33.30%-33.23%-45.87% 0.420.600.96
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2008 are based on full calendar months from July to December
  • The annual results for 2019 are based on full calendar months from January to October
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P China ETF (GXC)iShares MSCI Hong Kong ETF (EWH)Vanguard FTSE Pacific ETF (VPL)WisdomTree Asia Pacific ex-Japan ETF (AXJL)iShares MSCI South Korea Capped ETF (EWY)iShares MSCI Taiwan Capped ETF (EWT)iShares MSCI Malaysia ETF (EWM)Vanguard Energy ETF (VDE)SPDR Gold Shares (GLD)Vanguard Materials ETF (VAW)
Portfolio 1Vanguard Total World Stock Index InvPortfolio 1Vanguard Total World Stock Index Inv
2008-3.92%-34.22%-33.23%$6,578$6,677-31.96%-36.54%-28.45%-38.51%-44.81%-41.74%-28.15%-46.92%-5.34%-47.70%
20092.72%50.86%33.30%$9,924$8,90060.56%55.11%20.34%55.84%71.76%73.75%49.42%25.53%24.03%51.44%
20101.50%17.94%12.87%$11,705$10,0457.54%24.11%15.58%15.04%29.55%22.76%38.99%21.06%29.27%24.48%
20112.96%-13.02%-7.88%$10,181$9,253-16.77%-16.21%-13.76%-8.91%-13.53%-21.87%-2.67%2.79%9.57%-9.55%
20121.74%20.72%17.15%$12,290$10,84021.65%29.36%15.91%23.45%21.93%18.65%14.79%3.38%6.60%17.31%
20131.50%8.82%22.79%$13,375$13,3118.05%9.52%17.87%-0.63%3.54%7.85%7.80%25.83%-28.33%24.93%
20140.76%0.24%3.92%$13,407$13,8324.46%3.25%-4.82%1.65%-13.48%6.86%-11.55%-9.94%-2.19%5.86%
20150.73%-6.47%-2.02%$12,540$13,553-5.22%-1.17%2.03%-13.35%-8.03%-12.87%-20.67%-23.23%-10.67%-10.18%
20162.07%5.11%8.67%$13,181$14,7280.11%1.35%5.35%8.48%8.44%17.73%-4.04%29.19%8.03%21.51%
20172.11%35.58%24.06%$17,870$18,27251.67%36.50%28.86%26.44%45.00%26.85%24.32%-2.50%12.81%23.76%
20181.91%-13.85%-9.73%$15,395$16,495-19.38%-8.73%-14.40%-9.24%-20.38%-9.92%-6.27%-19.96%-1.94%-17.48%
20192.20%10.13%19.34%$16,955$19,68511.53%7.28%14.05%11.08%0.12%22.77%-3.84%0.90%17.47%16.23%
Annual returns for 2008 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P China ETF (GXC)iShares MSCI Hong Kong ETF (EWH)Vanguard FTSE Pacific ETF (VPL)WisdomTree Asia Pacific ex-Japan ETF (AXJL)iShares MSCI South Korea Capped ETF (EWY)iShares MSCI Taiwan Capped ETF (EWT)iShares MSCI Malaysia ETF (EWM)Vanguard Energy ETF (VDE)SPDR Gold Shares (GLD)Vanguard Materials ETF (VAW)
Portfolio 1Vanguard Total World Stock Index InvPortfolio 1Vanguard Total World Stock Index Inv
20087-2.15%-2.34%$9,785$9,7660.84%-1.42%-3.94%-2.59%-2.08%-7.01%-1.63%-14.44%-1.44%-3.76%
20088-5.49%-2.04%$9,248$9,567-5.09%-5.03%-5.12%-6.06%-13.43%-0.84%-8.99%-0.68%-9.29%-2.70%
20089-14.49%-11.04%$7,907$8,510-19.67%-16.71%-9.15%-10.83%-8.18%-17.11%-6.98%-15.13%4.11%-18.96%
200810-21.79%-19.73%$6,184$6,831-23.57%-21.12%-18.56%-25.62%-28.52%-18.43%-17.44%-20.05%-16.14%-23.48%
200811-2.40%-6.86%$6,036$6,3632.62%-1.34%-4.56%-8.12%-15.74%-11.69%-1.54%-2.82%12.57%-11.44%
2008128.98%4.93%$6,578$6,67712.83%4.58%11.16%10.27%17.70%5.82%6.14%-5.27%7.73%1.70%
20091-8.74%-9.98%$6,003$6,010-11.95%-3.38%-12.73%-14.77%-5.15%-10.28%-3.84%-1.90%5.54%-7.38%
20092-5.34%-9.92%$5,683$5,413-3.19%-3.99%-10.51%-4.18%-17.83%0.15%-0.29%-12.23%1.45%-8.70%
2009312.02%9.07%$6,365$5,90517.37%5.72%9.91%15.75%30.55%18.33%0.00%3.86%-2.54%14.40%
2009413.24%11.54%$7,208$6,58612.06%16.72%8.85%8.96%20.24%26.64%16.31%9.40%-3.33%16.14%
2009515.31%10.88%$8,312$7,30319.41%19.46%11.97%14.85%5.52%10.27%8.49%14.05%10.23%6.67%
20096-0.87%-0.89%$8,240$7,2381.17%-1.81%0.87%2.36%-3.08%-10.47%2.12%-6.91%-5.22%-4.37%
2009711.03%9.07%$9,149$7,89511.33%11.64%7.37%12.66%19.69%12.29%9.66%5.55%2.38%12.59%
20098-3.07%3.30%$8,868$8,155-6.61%-6.00%3.24%1.37%-0.12%-4.32%-0.82%1.21%0.05%2.85%
200996.76%4.73%$9,467$8,5415.59%7.63%1.95%8.75%13.92%13.65%4.75%6.78%5.84%5.63%
200910-0.58%-2.23%$9,412$8,3512.31%0.06%-3.21%-1.73%-9.50%-5.76%3.45%1.75%3.72%-5.47%
2009114.30%4.86%$9,817$8,7575.75%2.12%2.08%3.75%3.50%5.34%3.53%2.93%12.79%11.20%
2009121.09%1.63%$9,924$8,900-0.18%0.08%2.13%1.62%7.61%7.83%-0.89%1.16%-7.20%2.77%
20101-5.94%-4.63%$9,335$8,488-8.71%-6.58%-1.85%-6.65%-4.62%-6.94%-0.66%-4.28%-1.26%-8.15%
201023.52%1.62%$9,663$8,6254.54%5.47%2.28%4.45%0.26%-2.49%1.33%2.43%3.27%5.09%
201035.70%6.48%$10,214$9,1845.05%5.57%5.94%5.66%9.75%6.63%9.26%2.78%-0.44%8.13%
20104-0.55%-0.17%$10,158$9,169-1.11%-3.87%-1.10%-0.59%3.70%1.27%2.83%4.48%5.88%1.03%
20105-7.71%-9.53%$9,374$8,295-5.45%-5.62%-9.60%-11.42%-15.14%-10.62%-7.66%-11.94%3.05%-8.94%
20106-0.16%-3.06%$9,360$8,0410.07%1.73%-2.54%-0.29%2.20%-1.41%4.12%-5.76%2.36%-7.80%
201077.74%8.79%$10,084$8,7477.37%7.92%7.55%10.03%9.71%10.80%7.26%8.03%-5.09%11.94%
20108-1.45%-3.78%$9,938$8,417-2.97%0.31%-2.42%-2.69%-2.57%-2.18%5.05%-4.46%5.71%-2.72%
2010910.22%9.84%$10,953$9,2459.62%13.45%7.89%11.83%11.93%11.61%6.59%10.04%4.78%8.44%
2010103.41%3.63%$11,326$9,5814.84%3.25%1.99%1.81%1.68%2.58%2.40%5.10%3.68%6.70%
201011-0.80%-2.55%$11,236$9,337-3.42%0.85%0.64%-2.66%-0.77%1.37%-3.20%6.47%2.11%1.69%
2010124.17%7.59%$11,705$10,045-0.86%1.07%7.32%7.20%13.70%13.00%7.37%9.02%2.44%9.74%
201110.20%1.39%$11,728$10,185-0.10%1.43%-0.12%-0.74%0.34%-0.32%-1.18%7.03%-6.38%0.19%
20112-0.02%2.95%$11,726$10,485-0.83%-2.71%4.27%1.50%-5.44%-5.33%-0.99%7.53%6.00%2.94%
201132.51%-0.20%$12,020$10,4656.38%1.39%-6.01%2.72%10.83%0.81%5.12%1.76%1.60%2.55%
201143.33%4.30%$12,420$10,9152.27%2.27%3.51%4.87%7.18%7.67%1.49%1.17%8.94%2.58%
20115-1.65%-2.13%$12,215$10,682-1.39%0.46%-2.87%-2.87%-4.29%-1.50%0.47%-4.39%-1.79%-2.77%
20116-1.67%-1.50%$12,011$10,521-2.02%-3.52%0.73%-1.49%-1.01%-3.68%2.37%-2.09%-2.43%-1.22%
201170.32%-1.92%$12,049$10,320-1.15%1.46%0.97%0.16%1.05%-0.13%-1.37%1.57%8.42%-2.46%
20118-7.00%-7.22%$11,206$9,574-8.64%-6.07%-6.57%-5.19%-13.67%-9.37%-5.77%-10.69%12.27%-7.61%
20119-16.57%-10.11%$9,349$8,607-21.11%-18.81%-9.15%-14.72%-17.87%-14.05%-14.15%-13.91%-11.06%-16.88%
20111013.13%10.64%$10,577$9,52317.09%12.98%5.43%12.57%18.96%9.65%13.86%18.45%5.87%17.95%
201111-0.19%-1.74%$10,556$9,3570.41%-1.24%-0.51%-0.63%1.19%-4.63%1.15%1.62%1.67%0.54%
201112-3.56%-1.11%$10,181$9,253-4.60%-2.15%-3.23%-3.17%-6.10%-1.18%-1.32%-1.43%-10.66%-2.27%
201218.84%6.34%$11,081$9,84010.51%9.24%6.66%8.63%9.76%8.88%5.30%2.03%11.40%11.92%
201225.35%4.62%$11,674$10,2956.00%7.99%4.18%4.20%4.38%6.75%3.97%6.09%-2.96%-0.11%
20123-3.25%0.87%$11,294$10,385-6.32%-4.38%0.49%-2.12%-0.55%-1.40%-0.48%-3.61%-1.32%0.55%
201240.22%-1.22%$11,318$10,2582.49%0.57%-2.24%0.62%-0.50%-4.55%-0.62%-1.06%-0.15%-0.86%
20125-9.27%-8.87%$10,269$9,348-10.22%-9.29%-9.55%-9.46%-11.17%-5.78%-4.34%-11.08%-6.34%-8.63%
201264.48%4.92%$10,729$9,8093.11%5.43%6.66%6.11%4.16%1.33%3.50%5.14%2.35%4.40%
201270.57%0.75%$10,790$9,883-1.08%2.13%-0.90%3.36%1.42%-0.49%0.91%3.92%0.84%-0.59%
201280.51%2.62%$10,845$10,142-2.08%1.43%1.11%0.16%1.26%4.03%0.90%2.23%4.94%3.31%
201294.66%3.09%$11,350$10,4555.53%7.12%1.77%3.54%5.05%5.69%0.34%3.51%4.67%3.82%
2012101.44%-0.46%$11,514$10,4075.19%1.65%0.32%0.74%-2.62%-5.75%2.67%-2.43%-2.94%-1.46%
2012112.07%1.28%$11,752$10,5411.17%3.30%2.57%2.18%3.58%7.53%-1.87%-1.33%-0.47%1.43%
2012124.58%2.84%$12,290$10,8407.41%2.32%4.89%4.45%6.84%2.46%4.01%1.19%-2.43%3.54%
201312.07%4.29%$12,544$11,3052.56%4.48%3.11%1.14%-5.97%-1.62%-4.49%8.01%-0.51%3.94%
20132-1.24%-0.19%$12,388$11,283-4.71%-0.84%2.02%-0.43%3.56%0.90%1.18%0.33%-5.09%-1.37%
20133-0.70%2.11%$12,301$11,522-3.40%-1.39%3.57%-0.69%-3.66%-1.33%2.39%2.26%0.95%2.78%
201342.58%2.73%$12,618$11,8361.73%3.13%5.43%4.01%-1.70%4.95%5.68%-1.29%-7.56%-0.17%
20135-3.30%-0.46%$12,202$11,782-1.57%-3.71%-7.70%-6.88%-1.34%-2.57%1.20%2.68%-6.20%2.26%
20136-4.36%-2.60%$11,671$11,476-6.59%-4.78%-0.38%-3.71%-7.70%-2.49%-1.47%-2.10%-11.06%-4.47%
201373.74%5.00%$12,107$12,0495.48%4.42%1.86%2.13%4.94%2.48%-2.83%5.22%7.43%5.77%
20138-0.05%-2.27%$12,101$11,7763.03%-1.72%-1.48%-1.89%2.51%-1.10%-4.43%-1.50%5.20%-0.57%
201395.95%5.40%$12,820$12,4126.27%6.49%8.76%5.71%7.46%3.26%4.16%2.38%-4.78%4.58%
2013102.49%3.80%$13,139$12,8841.96%1.65%1.60%3.42%3.90%4.31%5.45%4.53%-0.34%4.29%
2013111.91%1.41%$13,390$13,0655.84%1.92%0.03%-1.18%1.77%-0.96%-0.69%0.17%-5.51%1.33%
201312-0.11%1.89%$13,375$13,311-1.82%0.16%0.61%-1.59%0.86%2.15%2.09%2.99%-3.79%4.60%
20141-7.00%-3.98%$12,439$12,781-8.17%-7.18%-6.82%-7.30%-8.71%-5.89%-7.08%-6.13%3.42%-4.34%
201424.51%5.14%$13,000$13,4383.76%5.54%4.03%4.76%3.46%3.61%4.29%5.57%6.27%6.74%
20143-0.56%0.43%$12,926$13,495-2.07%-1.98%-0.37%2.25%0.70%2.35%2.09%2.49%-3.14%0.83%
201440.26%0.74%$12,960$13,595-3.11%2.53%-0.07%1.77%1.69%1.74%1.60%5.07%0.49%0.16%
201453.29%2.08%$13,387$13,8784.32%4.68%3.22%2.27%3.33%3.21%0.75%1.28%-3.05%2.55%
201462.61%2.05%$13,735$14,1633.72%0.92%2.91%1.18%0.60%4.57%0.76%5.35%6.32%2.34%
201473.04%-1.70%$14,154$13,9226.57%5.36%0.92%2.65%1.66%-0.32%-0.57%-3.74%-3.63%-2.49%
201480.92%2.57%$14,284$14,2800.74%-0.73%-0.45%3.22%0.45%4.83%1.65%2.66%0.38%4.17%
20149-5.89%-3.52%$13,442$13,777-5.10%-6.91%-4.68%-6.50%-8.87%-7.51%-4.05%-7.83%-6.18%-2.94%
2014102.86%1.18%$13,827$13,9403.84%6.30%3.07%3.02%-3.11%2.95%-0.19%-3.99%-3.05%-1.62%
201411-0.97%1.05%$13,694$14,0861.47%0.32%-3.78%-2.33%-2.98%0.57%-5.07%-9.25%-0.49%1.07%
201412-2.10%-1.80%$13,407$13,832-0.50%-4.39%-2.24%-2.49%-1.63%-2.54%-5.66%-0.34%1.31%-0.24%
201511.05%-1.39%$13,548$13,640-0.48%5.50%1.18%0.51%0.65%0.79%-3.78%-4.86%8.69%-2.71%
201523.25%5.63%$13,988$14,4083.58%0.18%6.07%4.64%1.76%5.06%4.63%4.91%-5.91%7.75%
201530.65%-1.33%$14,079$14,2173.09%1.01%0.59%-1.84%1.08%-1.63%-2.06%-1.91%-2.15%-3.58%
201548.32%2.76%$15,251$14,60914.90%8.48%3.46%5.51%6.87%4.45%2.41%7.06%-0.17%2.34%
20155-2.08%0.23%$14,933$14,643-2.80%-0.46%-0.58%-3.09%-5.51%-0.61%-5.66%-5.08%0.56%0.50%
20156-3.95%-2.24%$14,343$14,315-5.31%-3.48%-2.47%-3.36%-4.65%-3.43%-4.45%-3.69%-1.52%-3.58%
20157-5.39%0.44%$13,570$14,378-10.84%-1.46%-0.54%-3.16%-7.13%-6.78%0.33%-8.54%-6.62%-5.22%
20158-10.47%-6.60%$12,149$13,429-12.21%-13.27%-7.68%-11.08%-6.53%-9.18%-16.13%-4.10%3.71%-5.50%
20159-1.98%-3.42%$11,908$12,969-0.96%-0.83%-3.85%-2.33%1.96%-1.50%-2.75%-7.58%-1.80%-7.83%
2015108.57%7.09%$12,929$13,88811.57%7.27%7.56%5.75%11.48%5.62%3.83%11.49%2.28%12.92%
201511-1.04%-0.37%$12,795$13,8370.10%-2.05%0.03%-3.23%-2.87%-2.66%3.01%-0.25%-6.75%0.79%
201512-1.99%-2.05%$12,540$13,553-2.61%-0.27%-0.81%-1.31%-3.73%-2.70%-0.41%-11.12%-0.45%-4.64%
20161-7.56%-5.63%$11,592$12,790-12.76%-9.33%-5.96%-5.50%-3.89%-3.45%4.78%-3.78%5.41%-10.02%
20162-0.37%-1.04%$11,549$12,657-1.40%0.67%-3.51%0.60%-2.41%4.14%-3.45%-2.21%10.93%6.50%
201639.47%7.56%$12,643$13,61510.41%9.29%7.72%9.85%13.37%7.94%13.79%10.58%-0.84%9.20%
201640.01%1.36%$12,644$13,800-0.54%0.05%0.47%-0.81%-1.08%-5.77%-4.04%10.28%5.11%5.37%
20165-0.92%0.50%$12,527$13,870-0.09%-0.15%1.06%-1.67%-4.77%2.14%-7.37%-1.70%-6.14%-0.27%
201662.37%-0.36%$12,825$13,8201.42%1.14%0.14%4.66%4.64%5.32%6.03%2.83%8.97%-0.31%
201674.41%4.15%$13,390$14,3933.13%6.74%5.76%5.02%6.89%6.98%-0.97%-1.92%1.98%5.51%
201681.92%0.45%$13,648$14,4576.41%0.62%0.19%-0.23%1.24%0.00%-0.37%1.90%-3.26%0.13%
201693.36%0.74%$14,106$14,5654.19%4.66%2.97%2.69%3.16%4.46%-0.86%3.45%0.69%-0.70%
201610-2.38%-1.98%$13,769$14,277-3.33%-2.00%-0.92%-2.38%-4.78%0.38%-1.60%-3.71%-2.94%-2.46%
201611-1.21%1.19%$13,603$14,447-0.44%-1.85%-1.37%-1.71%-3.78%-2.47%-8.24%9.76%-8.36%8.37%
201612-3.10%1.95%$13,181$14,728-4.95%-6.99%-0.57%-1.43%1.13%-2.19%0.14%1.95%-1.91%-0.03%
201716.28%2.89%$14,009$15,1547.26%7.96%4.92%6.02%8.76%7.32%4.06%-3.47%5.42%4.72%
201722.56%2.66%$14,368$15,5573.88%2.76%2.15%2.35%1.17%2.76%0.96%-2.65%3.18%1.05%
201732.48%1.35%$14,724$15,7672.20%2.96%1.79%3.94%5.65%2.59%3.36%-1.08%-0.43%0.39%
201741.51%1.58%$14,947$16,0172.11%2.92%0.76%-0.96%0.37%1.59%3.97%-3.49%1.73%1.09%
201753.04%1.97%$15,400$16,3314.49%3.28%2.21%2.16%9.05%1.84%0.66%-4.05%-0.12%-0.66%
201761.46%0.67%$15,626$16,4412.29%0.75%1.72%1.29%0.13%4.01%0.50%-0.51%-2.16%2.26%
201774.59%2.65%$16,343$16,8778.40%3.63%2.75%3.61%2.79%2.35%-0.06%2.58%2.31%1.46%
201781.82%0.43%$16,640$16,9494.00%1.69%0.16%1.18%-1.76%2.40%0.79%-5.57%4.20%0.67%
201790.91%2.08%$16,792$17,3021.85%0.00%1.14%-0.77%0.86%-3.68%1.41%10.45%-3.37%3.97%
2017102.61%2.08%$17,230$17,6623.17%-0.04%4.33%2.60%8.25%5.54%-0.71%-1.07%-0.75%3.69%
2017111.50%1.94%$17,489$18,0051.01%3.97%2.23%-0.17%0.52%-2.62%1.87%2.06%0.36%0.91%
2017122.18%1.49%$17,870$18,2721.99%1.89%1.56%2.68%2.69%0.42%5.36%5.39%2.11%2.09%
201817.30%5.49%$19,174$19,27612.61%4.64%4.75%5.85%4.42%6.71%8.01%3.15%3.23%3.56%
20182-5.47%-4.39%$18,126$18,429-7.32%-3.83%-4.01%-4.79%-7.86%-5.15%-1.77%-10.74%-2.08%-5.23%
20183-0.05%-1.38%$18,117$18,175-1.05%-1.06%-0.32%-0.82%4.66%4.61%3.32%2.03%0.63%-3.66%
20184-0.33%0.53%$18,057$18,272-2.10%1.58%0.34%0.40%0.20%-5.32%-2.99%9.69%-0.95%0.48%
201850.36%0.50%$18,122$18,3632.74%1.09%-1.11%-1.55%-4.58%0.91%-6.85%3.59%-1.20%2.38%
20186-4.00%-0.64%$17,396$18,246-5.42%-5.37%-2.61%-2.88%-6.14%-1.72%-2.62%0.73%-3.61%-0.28%
201871.00%2.95%$17,570$18,784-1.55%2.27%0.80%3.07%-0.66%5.00%5.97%1.08%-2.24%2.98%
20188-2.30%0.81%$17,165$18,937-4.75%-2.46%-0.95%0.18%0.09%0.34%-1.60%-2.96%-2.14%-0.92%
20189-0.22%0.23%$17,128$18,980-1.62%-0.95%2.11%0.72%1.41%-0.61%-0.49%2.62%-0.66%-1.91%
201810-10.15%-7.79%$15,389$17,501-10.88%-10.66%-9.90%-8.60%-14.65%-12.12%-6.52%-12.11%2.12%-10.75%
2018114.65%1.65%$16,106$17,7898.00%8.00%2.42%2.59%4.03%0.51%-0.60%-2.84%0.34%3.45%
201812-4.41%-7.28%$15,395$16,495-7.57%-1.05%-6.06%-3.00%-1.59%-2.05%0.79%-13.42%4.94%-7.93%
201919.37%8.14%$16,838$17,83712.81%9.57%7.37%8.04%9.96%5.28%3.33%11.71%2.89%7.48%
201921.69%2.70%$17,123$18,3191.86%4.57%0.86%0.83%-2.70%-0.27%-0.65%2.17%-0.61%3.47%
201931.43%1.15%$17,367$18,5292.92%1.35%0.50%1.63%-3.21%4.16%-2.03%2.30%-1.60%0.33%
201941.29%3.45%$17,592$19,1691.64%1.03%1.23%1.40%0.87%3.64%-0.77%-0.19%-0.66%3.14%
20195-8.03%-6.02%$16,180$18,014-12.13%-6.87%-4.99%-5.25%-9.61%-7.70%-0.30%-11.70%1.76%-9.29%
201966.83%6.46%$17,285$19,1777.63%6.86%5.18%6.55%7.74%5.68%2.18%8.81%8.00%11.94%
20197-2.37%-0.07%$16,875$19,165-1.68%-3.98%-1.44%-2.84%-7.47%0.89%-2.83%-2.41%0.01%-0.52%
20198-4.23%-2.12%$16,161$18,758-3.75%-8.09%-2.56%-4.49%-3.86%-1.05%-3.36%-8.71%7.91%-3.80%
201991.40%2.16%$16,387$19,163-0.22%-0.61%4.49%3.10%5.78%4.18%-0.25%3.89%-3.39%3.54%
2019103.46%2.72%$16,955$19,6853.91%4.76%3.24%2.44%4.60%6.77%0.97%-2.63%2.56%0.40%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard Total World Stock Index Inv
Large-cap Value0.00%18.91%
Large-cap Growth10.10%22.68%
Mid-cap Value0.00%3.87%
Mid-cap Growth0.00%2.87%
Small-cap Value0.00%0.00%
Small-cap Growth3.02%0.15%
Global ex-US Developed Markets13.97%38.71%
Emerging Markets64.81%12.26%
REITs0.00%0.00%
Corporate Bonds4.86%0.56%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries3.24%0.00%
Short-Term Treasuries0.00%0.00%
R Squared93.39%99.71%
Style analysis is based on monthly returns from Jul 2008 to Oct 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
GXCSPDR S&P China ETFChina Region0.59%30.00%$2,34036.27%
EWHiShares MSCI Hong Kong ETFChina Region0.48%20.00%$1,88920.39%
VPLVanguard FTSE Pacific ETFDiversified Pacific/Asia0.09%15.00%$89111.77%
AXJLWisdomTree Asia Pacific ex-Japan ETFPacific/Asia ex-Japan Stk0.48%10.00%$5619.92%
EWYiShares MSCI South Korea Capped ETFMiscellaneous Region0.59%5.00%$2376.18%
EWTiShares MSCI Taiwan Capped ETFChina Region0.59%5.00%$4964.90%
EWMiShares MSCI Malaysia ETFMiscellaneous Region0.47%5.00%$1563.38%
VDEVanguard Energy ETFEquity Energy0.10%4.00%-$64.693.43%
GLDSPDR Gold SharesCommodities Precious Metals0.40%3.00%$1670.81%
VAWVanguard Materials ETFNatural Resources0.10%3.00%$2812.94%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fund fundamentals data as of 11/05/2019. © 2019 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 1Vanguard Total World Stock Index Inv
Arithmetic Mean (monthly)0.54%0.61%
Arithmetic Mean (annualized)6.73%7.61%
Geometric Mean (monthly)0.39%0.50%
Geometric Mean (annualized)4.77%6.16%
Volatility (monthly)5.53%4.74%
Volatility (annualized)19.17%16.43%
Downside Deviation (monthly)3.84%3.31%
Max. Drawdown-43.17%-45.87%
US Market Correlation0.820.96
Beta(*)1.071.00
Alpha (annualized)-1.33%-0.00%
R283.77%100.00%
Sharpe Ratio0.310.42
Sortino Ratio0.450.60
Treynor Ratio (%)5.666.87
Calmar Ratio0.360.78
Active Return-1.39%N/A
Tracking Error7.80%N/A
Information Ratio-0.18N/A
Skewness-0.53-0.72
Excess Kurtosis2.252.26
Historical Value-at-Risk (5%)-8.82%-8.97%
Analytical Value-at-Risk (5%)-8.52%-7.19%
Conditional Value-at-Risk (5%)-13.79%-11.72%
Upside Capture Ratio (%)95.51100.00
Downside Capture Ratio (%)101.75100.00
Safe Withdrawal Rate10.15%9.94%
Perpetual Withdrawal Rate3.29%4.59%
Positive Periods76 out of 136 (55.88%)83 out of 136 (61.03%)
Gain/Loss Ratio1.040.91
* Vanguard Total World Stock Index Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2008Feb 20098 monthsMar 20101 year 1 month1 year 9 months-43.17%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-24.73%
3May 2015Feb 201610 monthsMay 20171 year 3 months2 years 1 month-24.27%
4Feb 2018Oct 20189 months-19.74%
5Apr 2010Jun 20103 monthsSep 20103 months6 months-8.37%
6May 2013Jun 20132 monthsSep 20133 months5 months-7.51%
7Dec 2013Jan 20142 monthsJun 20145 months7 months-7.10%
8Sep 2014Dec 20144 monthsApr 20154 months8 months-6.14%
9Feb 2013Mar 20132 monthsApr 20131 month3 months-1.94%
10Nov 2010Nov 20101 monthDec 20101 month2 months-0.80%
Worst 10 drawdowns included above

Drawdowns for Vanguard Total World Stock Index Inv

Drawdowns for Vanguard Total World Stock Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2008Feb 20098 monthsDec 20101 year 10 months2 years 6 months-45.87%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-21.15%
3Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.43%
4Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.56%
5Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.48%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.98%
7May 2013Jun 20132 monthsJul 20131 month3 months-3.04%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.27%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.70%
10Mar 2015Mar 20151 monthApr 20151 month2 months-1.33%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
GXCSPDR S&P China ETF4.99%24.22%60.56%-31.96%-42.49%0.300.440.73
EWHiShares MSCI Hong Kong ETF6.33%20.62%55.11%-36.54%-41.13%0.380.550.73
VPLVanguard FTSE Pacific ETF3.70%16.80%28.86%-28.45%-44.12%0.270.380.84
AXJLWisdomTree Asia Pacific ex-Japan ETF3.64%19.96%55.84%-38.51%-49.78%0.260.360.83
EWYiShares MSCI South Korea Capped ETF2.60%27.55%71.76%-44.81%-56.99%0.210.320.75
EWTiShares MSCI Taiwan Capped ETF5.88%22.17%73.75%-41.74%-47.72%0.350.530.76
EWMiShares MSCI Malaysia ETF2.72%17.20%49.42%-28.15%-36.13%0.210.310.60
VDEVanguard Energy ETF-2.41%22.58%29.19%-46.92%-54.29%-0.02-0.020.78
GLDSPDR Gold Shares3.99%17.86%29.27%-28.33%-42.91%0.280.430.06
VAWVanguard Materials ETF5.28%21.87%51.44%-47.70%-55.77%0.320.470.92

Monthly Correlations

Correlations for the portfolio assets
TickerNameGXCEWHVPLAXJLEWYEWTEWMVDEGLDVAWPortfolio 1Vanguard Total World Stock Index Inv
GXCSPDR S&P China ETF-0.890.790.870.770.740.650.650.270.780.960.82
EWHiShares MSCI Hong Kong ETF0.89-0.810.870.750.790.710.660.280.770.950.83
VPLVanguard FTSE Pacific ETF0.790.81-0.910.800.770.670.680.160.800.900.92
AXJLWisdomTree Asia Pacific ex-Japan ETF0.870.870.91-0.870.840.760.680.280.830.950.92
EWYiShares MSCI South Korea Capped ETF0.770.750.800.87-0.830.700.630.230.790.860.82
EWTiShares MSCI Taiwan Capped ETF0.740.790.770.840.83-0.670.600.170.800.850.83
EWMiShares MSCI Malaysia ETF0.650.710.670.760.700.67-0.540.220.610.750.70
VDEVanguard Energy ETF0.650.660.680.680.630.600.54-0.160.800.730.78
GLDSPDR Gold Shares0.270.280.160.280.230.170.220.16-0.200.290.16
VAWVanguard Materials ETF0.780.770.800.830.790.800.610.800.20-0.860.92

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
GXCSPDR S&P China ETF$2,340
EWHiShares MSCI Hong Kong ETF$1,889
VPLVanguard FTSE Pacific ETF$891
AXJLWisdomTree Asia Pacific ex-Japan ETF$561
EWYiShares MSCI South Korea Capped ETF$237
EWTiShares MSCI Taiwan Capped ETF$496
EWMiShares MSCI Malaysia ETF$156
VDEVanguard Energy ETF-$64.69
GLDSPDR Gold Shares$167
VAWVanguard Materials ETF$281

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
GXCSPDR S&P China ETF36.27%
EWHiShares MSCI Hong Kong ETF20.39%
VPLVanguard FTSE Pacific ETF11.77%
AXJLWisdomTree Asia Pacific ex-Japan ETF9.92%
EWYiShares MSCI South Korea Capped ETF6.18%
EWTiShares MSCI Taiwan Capped ETF4.90%
EWMiShares MSCI Malaysia ETF3.38%
VDEVanguard Energy ETF3.43%
GLDSPDR Gold Shares0.81%
VAWVanguard Materials ETF2.94%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard Total World Stock Index Inv
AverageHighLowAverageHighLow
1 year10.59%50.86%-13.85%10.31%33.30%-9.73%
3 years6.82%15.67%-0.49%8.76%14.34%3.43%
5 years6.46%15.25%1.39%9.22%14.80%4.38%
7 years6.53%9.65%4.14%8.91%10.64%7.46%
10 years8.87%8.87%8.87%9.47%9.47%9.47%
Result statistics are based on annualized rolling returns over full calendar year periods