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 (Aug 2013 - Dec 2019)

Portfolio Allocations

IJR
Ticker Name Allocation
IJR iShares Core S&P Small-Cap ETF 100.00%
Save portfolio »
DGRS
Ticker Name Allocation
DGRS WisdomTree US SmallCap Qual Div Gr ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJR$10,000$18,981 10.50% 15.46%26.61%-8.49%-22.64% 0.671.040.87
DGRS$10,000$17,149 8.77% 15.68%30.79%-10.73%-17.57% 0.560.880.84
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
IJR8.26%22.82%8.34%9.53%10.50%
DGRS6.70%24.20%6.01%7.67%8.77%
Trailing returns are for full months ending in December 2019 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.
  • 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 2013 are based on monthly returns from August 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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The 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
YearInflationReturnBalanceiShares Core S&P Small-Cap ETF (IJR)WisdomTree US SmallCap Qual Div Gr ETF (DGRS)
IJRDGRSIJRDGRS
2013-0.23%13.73%13.41%$11,373$11,34113.73%13.41%
20140.76%5.85%4.49%$12,038$11,8495.85%4.49%
20150.73%-2.07%-7.13%$11,789$11,004-2.07%-7.13%
20162.07%26.61%30.79%$14,926$14,39326.61%30.79%
20172.11%13.15%7.46%$16,888$15,46713.15%7.46%
20181.91%-8.49%-10.73%$15,454$13,808-8.49%-10.73%
20192.29%22.82%24.20%$18,981$17,14922.82%24.20%
Annual returns for 2013 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P Small-Cap ETF (IJR)WisdomTree US SmallCap Qual Div Gr ETF (DGRS)
IJRDGRSIJRDGRS
20138-2.33%-3.49%$9,767$9,651-2.33%-3.49%
201396.15%6.48%$10,368$10,2766.15%6.48%
2013103.58%4.17%$10,738$10,7053.58%4.17%
2013114.48%4.19%$11,219$11,1544.48%4.19%
2013121.37%1.67%$11,373$11,3411.37%1.67%
20141-3.70%-4.95%$10,952$10,780-3.70%-4.95%
201424.41%2.82%$11,435$11,0834.41%2.82%
201430.67%2.06%$11,511$11,3120.67%2.06%
20144-2.73%-2.27%$11,197$11,055-2.73%-2.27%
201450.16%0.45%$11,214$11,1050.16%0.45%
201464.77%3.59%$11,749$11,5044.77%3.59%
20147-5.56%-5.56%$11,096$10,864-5.56%-5.56%
201484.25%4.38%$11,567$11,3414.25%4.38%
20149-5.21%-4.28%$10,964$10,855-5.21%-4.28%
2014106.91%6.67%$11,722$11,5796.91%6.67%
201411-0.19%0.31%$11,700$11,615-0.19%0.31%
2014122.89%2.02%$12,038$11,8492.89%2.02%
20151-3.59%-4.15%$11,607$11,357-3.59%-4.15%
201526.01%5.94%$12,304$12,0326.01%5.94%
201531.61%1.89%$12,502$12,2591.61%1.89%
20154-2.30%-2.39%$12,214$11,966-2.30%-2.39%
201551.46%0.07%$12,392$11,9741.46%0.07%
201561.06%0.68%$12,523$12,0551.06%0.68%
20157-0.83%-3.08%$12,419$11,683-0.83%-3.08%
20158-5.19%-4.21%$11,774$11,191-5.19%-4.21%
20159-3.53%-4.52%$11,359$10,686-3.53%-4.52%
2015106.08%6.70%$12,050$11,4026.08%6.70%
2015112.70%2.26%$12,375$11,6592.70%2.26%
201512-4.74%-5.62%$11,789$11,004-4.74%-5.62%
20161-6.16%-5.07%$11,063$10,447-6.16%-5.07%
201621.09%2.86%$11,184$10,7461.09%2.86%
201638.18%9.32%$12,098$11,7478.18%9.32%
201641.20%0.92%$12,243$11,8551.20%0.92%
201651.61%-0.96%$12,440$11,7411.61%-0.96%
201660.71%2.20%$12,528$11,9990.71%2.20%
201674.99%5.88%$13,153$12,7054.99%5.88%
201681.40%1.70%$13,338$12,9211.40%1.70%
201690.64%0.47%$13,422$12,9820.64%0.47%
201610-4.41%-3.44%$12,830$12,536-4.41%-3.44%
20161112.52%11.82%$14,436$14,01812.52%11.82%
2016123.39%2.68%$14,926$14,3933.39%2.68%
20171-0.58%-0.97%$14,839$14,253-0.58%-0.97%
201721.61%-0.79%$15,077$14,1411.61%-0.79%
20173-0.10%-0.44%$15,062$14,079-0.10%-0.44%
201740.91%1.39%$15,199$14,2750.91%1.39%
20175-2.09%-2.60%$14,881$13,904-2.09%-2.60%
201762.91%2.27%$15,314$14,2202.91%2.27%
201771.00%1.11%$15,467$14,3781.00%1.11%
20178-2.46%-4.32%$15,087$13,757-2.46%-4.32%
201797.79%7.84%$16,263$14,8367.79%7.84%
2017100.86%0.68%$16,403$14,9370.86%0.68%
2017113.50%4.10%$16,977$15,5493.50%4.10%
201712-0.52%-0.53%$16,888$15,467-0.52%-0.53%
201812.51%0.81%$17,313$15,5922.51%0.81%
20182-3.81%-5.09%$16,653$14,799-3.81%-5.09%
201831.99%1.05%$16,984$14,9541.99%1.05%
201841.05%0.63%$17,163$15,0481.05%0.63%
201856.45%4.41%$18,270$15,7126.45%4.41%
201861.04%2.02%$18,461$16,0301.04%2.02%
201873.24%2.43%$19,058$16,4193.24%2.43%
201884.82%2.03%$19,976$16,7514.82%2.03%
20189-3.08%-1.12%$19,361$16,564-3.08%-1.12%
201810-10.53%-8.06%$17,321$15,228-10.53%-8.06%
2018111.60%1.88%$17,598$15,5151.60%1.88%
201812-12.19%-11.01%$15,454$13,808-12.19%-11.01%
2019110.63%11.09%$17,097$15,33910.63%11.09%
201924.34%5.12%$17,839$16,1244.34%5.12%
20193-3.26%-4.02%$17,257$15,476-3.26%-4.02%
201943.86%5.44%$17,924$16,3173.86%5.44%
20195-8.69%-9.89%$16,367$14,703-8.69%-9.89%
201967.34%8.54%$17,568$15,9587.34%8.54%
201971.19%1.24%$17,777$16,1561.19%1.24%
20198-4.58%-6.20%$16,962$15,154-4.58%-6.20%
201993.37%6.05%$17,533$16,0723.37%6.05%
2019102.03%1.84%$17,889$16,3682.03%1.84%
2019113.01%3.84%$18,427$16,9963.01%3.84%
2019123.00%0.90%$18,981$17,1493.00%0.90%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryIJRDGRS
Large-cap Value0.24%2.27%
Large-cap Growth0.00%0.00%
Mid-cap Value0.87%9.21%
Mid-cap Growth0.00%0.00%
Small-cap Value48.90%85.35%
Small-cap Growth49.86%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.46%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.13%2.71%
R Squared99.98%96.31%
Style analysis is based on monthly returns from Aug 2013 to Dec 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 IJR

Holdings Based Style Analysis for IJR
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IJRiShares Core S&P Small-Cap ETFSmall Blend100.00%0.06%18.10$8,981100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for DGRS

Holdings Based Style Analysis for DGRS
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DGRSWisdomTree US SmallCap Qual Div Gr ETFSmall Blend100.00%0.38%14.58$7,149100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2020. (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
MetricIJRDGRS
Arithmetic Mean (monthly)0.93%0.80%
Arithmetic Mean (annualized)11.81%10.08%
Geometric Mean (monthly)0.84%0.70%
Geometric Mean (annualized)10.50%8.77%
Volatility (monthly)4.46%4.53%
Volatility (annualized)15.46%15.68%
Downside Deviation (monthly)2.85%2.85%
Max. Drawdown-22.64%-17.57%
US Market Correlation0.870.84
Beta(*)1.171.15
Alpha (annualized)-3.24%-4.52%
R276.47%71.36%
Sharpe Ratio0.670.56
Sortino Ratio1.040.88
Treynor Ratio (%)8.877.68
Calmar Ratio0.370.34
Active Return-1.82%-3.55%
Tracking Error7.76%8.57%
Information Ratio-0.23-0.41
Skewness-0.34-0.12
Excess Kurtosis0.750.19
Historical Value-at-Risk (5%)-6.41%-6.39%
Analytical Value-at-Risk (5%)-6.41%-6.64%
Conditional Value-at-Risk (5%)-10.47%-9.65%
Upside Capture Ratio (%)100.9294.03
Downside Capture Ratio (%)116.33118.19
Safe Withdrawal Rate19.36%18.28%
Perpetual Withdrawal Rate7.50%6.14%
Positive Periods51 out of 77 (66.23%)50 out of 77 (64.94%)
Gain/Loss Ratio0.870.85
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for IJR

Drawdowns for IJR (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 months-22.64%
2Jul 2015Jan 20167 monthsJun 20165 months1 year-11.66%
3Jul 2014Sep 20143 monthsDec 20143 months6 months-6.68%
4Oct 2016Oct 20161 monthNov 20161 month2 months-4.41%
5Feb 2018Feb 20181 monthMay 20183 months4 months-3.81%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.70%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-3.59%
8Apr 2014Apr 20141 monthJun 20142 months3 months-2.73%
9Aug 2017Aug 20171 monthSep 20171 month2 months-2.46%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.33%
Worst 10 drawdowns included above

Drawdowns for DGRS

Drawdowns for DGRS
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-17.57%
2Apr 2015Jan 201610 monthsJul 20166 months1 year 4 months-14.79%
3Jul 2014Sep 20143 monthsOct 20141 month4 months-5.64%
4Feb 2018Feb 20181 monthMay 20183 months4 months-5.09%
5Jan 2014Jan 20141 monthJun 20145 months6 months-4.95%
6Jan 2017Aug 20178 monthsSep 20171 month9 months-4.42%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-4.15%
8Aug 2013Aug 20131 monthSep 20131 month2 months-3.49%
9Oct 2016Oct 20161 monthNov 20161 month2 months-3.44%
10Dec 2017Dec 20171 monthJan 20181 month2 months-0.53%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJRiShares Core S&P Small-Cap ETF10.50%15.46%26.61%-8.49%-22.64%0.671.040.87
DGRSWisdomTree US SmallCap Qual Div Gr ETF8.77%15.68%30.79%-10.73%-17.57%0.560.880.84

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJRDGRSIJRDGRS
IJRiShares Core S&P Small-Cap ETF1.000.971.000.97
DGRSWisdomTree US SmallCap Qual Div Gr ETF0.971.000.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameIJRDGRS
IJRiShares Core S&P Small-Cap ETF$8,981
DGRSWisdomTree US SmallCap Qual Div Gr ETF$7,149

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameIJRDGRS
IJRiShares Core S&P Small-Cap ETF100.00%
DGRSWisdomTree US SmallCap Qual Div Gr ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodIJRDGRS
AverageHighLowAverageHighLow
1 year9.64%26.61%-8.49%8.18%30.79%-10.73%
3 years9.80%11.95%8.34%7.86%9.29%6.01%
5 years7.93%9.53%6.32%5.84%7.67%4.01%
Result statistics are based on annualized rolling returns over full calendar year periods