Backtest Portfolio Asset Allocation

This online 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 Analysis Results (Jan 2012 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VXUS Vanguard Total International Stock ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VSS Vanguard FTSE All-Wld ex-US SmCp ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
DLS WisdomTree International SmallCp Div ETF 80.00%
DGS WisdomTree Emerging Markets SmCp Div ETF 20.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,574 8.79% 12.24%27.45%-4.74%-20.26% 0.741.170.78
Portfolio 2$10,000$18,197 10.49% 12.48%30.60%-5.06%-18.53% 0.851.420.75
Portfolio 3$10,000$20,361 12.58% 12.38%32.95%-7.90%-15.04% 1.011.760.73
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total International Stock ETF (VXUS)Vanguard FTSE All-Wld ex-US SmCp ETF (VSS)WisdomTree International SmallCp Div ETF (DLS)WisdomTree Emerging Markets SmCp Div ETF (DGS)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20121.74%18.61%20.73%23.94%$11,861$12,073$12,39418.61%20.73%24.05%23.52%
20131.50%14.61%16.60%20.40%$13,594$14,077$14,92314.61%16.60%26.37%-3.49%
20140.76%-4.74%-5.06%-7.90%$12,949$13,366$13,744-4.74%-5.06%-8.99%-3.55%
20150.73%-4.19%-0.01%2.70%$12,408$13,364$14,115-4.19%-0.01%7.46%-16.33%
20162.07%4.81%4.26%8.50%$13,004$13,933$15,3144.81%4.26%6.78%15.37%
20172.11%27.45%30.60%32.95%$16,574$18,197$20,36127.45%30.60%31.83%37.46%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total International Stock ETF (VXUS)Vanguard FTSE All-Wld ex-US SmCp ETF (VSS)WisdomTree International SmallCp Div ETF (DLS)WisdomTree Emerging Markets SmCp Div ETF (DGS)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201217.33%9.01%8.44%$10,733$10,901$10,8447.33%9.01%8.00%10.21%
201224.56%6.42%4.27%$11,222$11,601$11,3084.56%6.42%3.94%5.58%
20123-0.54%-1.13%1.19%$11,161$11,470$11,442-0.54%-1.13%1.45%0.18%
20124-2.08%-1.37%-1.73%$10,929$11,312$11,244-2.08%-1.37%-1.86%-1.25%
20125-10.83%-10.99%-9.87%$9,746$10,070$10,134-10.83%-10.99%-10.01%-9.32%
201265.97%4.19%3.23%$10,328$10,491$10,4615.97%4.19%3.63%1.70%
201270.31%0.00%-0.53%$10,359$10,491$10,4060.31%0.00%-0.79%0.46%
201282.60%3.11%4.00%$10,628$10,817$10,8222.60%3.11%4.32%2.76%
201293.41%5.11%3.70%$10,991$11,370$11,2233.41%5.11%3.59%4.13%
2012100.81%-0.17%1.15%$11,081$11,351$11,3510.81%-0.17%1.57%-0.50%
2012112.06%1.33%2.12%$11,309$11,502$11,5912.06%1.33%2.17%1.91%
2012124.88%4.97%6.93%$11,861$12,073$12,3944.88%4.97%6.98%6.75%
201312.40%3.03%3.64%$12,146$12,438$12,8462.40%3.03%4.24%1.25%
20132-1.14%-0.23%0.85%$12,007$12,409$12,955-1.14%-0.23%0.64%1.68%
201330.93%1.10%1.73%$12,119$12,546$13,1790.93%1.10%1.79%1.49%
201343.50%2.47%3.78%$12,544$12,855$13,6773.50%2.47%4.19%2.09%
20135-3.30%-2.50%-3.75%$12,129$12,534$13,164-3.30%-2.50%-3.76%-3.70%
20136-3.57%-4.53%-4.23%$11,697$11,966$12,608-3.57%-4.53%-3.42%-7.58%
201374.62%5.18%4.69%$12,237$12,586$13,1994.62%5.18%5.72%0.17%
20138-1.95%-1.00%-0.56%$11,999$12,460$13,125-1.95%-1.00%0.49%-5.36%
201397.51%7.32%8.70%$12,900$13,372$14,2687.51%7.32%8.86%7.91%
2013103.67%3.57%3.48%$13,373$13,850$14,7653.67%3.57%3.48%3.52%
2013110.13%-0.52%-0.66%$13,391$13,779$14,6680.13%-0.52%-0.43%-1.76%
2013121.52%2.17%1.74%$13,594$14,077$14,9231.52%2.17%2.55%-2.31%
20141-5.40%-2.59%-3.11%$12,860$13,712$14,458-5.40%-2.59%-2.29%-6.42%
201425.59%7.17%5.29%$13,579$14,695$15,2245.59%7.17%5.42%4.75%
201430.49%-0.56%1.08%$13,645$14,613$15,3890.49%-0.56%0.54%3.37%
201441.26%1.02%-0.45%$13,817$14,762$15,3201.26%1.02%-0.80%0.99%
201451.93%1.33%1.36%$14,084$14,959$15,5281.93%1.33%1.44%1.02%
201461.89%2.31%0.78%$14,350$15,305$15,6491.89%2.31%0.51%1.86%
20147-1.73%-3.02%-1.26%$14,101$14,843$15,451-1.73%-3.02%-1.65%0.29%
201481.16%1.46%0.78%$14,265$15,059$15,5721.16%1.46%0.08%3.53%
20149-5.01%-6.27%-6.51%$13,551$14,114$14,558-5.01%-6.27%-6.63%-6.08%
201410-0.08%-1.49%-0.69%$13,540$13,904$14,457-0.08%-1.49%-0.44%-1.64%
201411-0.51%-1.89%-2.58%$13,471$13,642$14,083-0.51%-1.89%-2.97%-1.12%
201412-3.87%-2.02%-2.41%$12,949$13,366$13,744-3.87%-2.02%-2.14%-3.42%
201510.27%-0.62%0.40%$12,984$13,283$13,7990.27%-0.62%0.32%0.72%
201525.78%6.28%6.40%$13,734$14,117$14,6835.78%6.28%7.31%2.81%
20153-1.49%-1.34%-0.77%$13,530$13,929$14,569-1.49%-1.34%-0.71%-1.03%
201544.81%5.58%5.37%$14,180$14,706$15,3524.81%5.58%5.30%5.67%
20155-0.91%0.18%0.05%$14,051$14,733$15,359-0.91%0.18%0.69%-2.63%
20156-2.73%-2.27%-2.91%$13,667$14,398$14,912-2.73%-2.27%-2.69%-3.84%
20157-0.56%-2.92%-1.39%$13,591$13,977$14,704-0.56%-2.92%-0.03%-7.31%
20158-7.43%-5.68%-5.84%$12,581$13,183$13,846-7.43%-5.68%-5.17%-8.95%
20159-3.85%-2.32%-2.65%$12,096$12,877$13,479-3.85%-2.32%-2.99%-1.00%
2015106.25%4.70%5.16%$12,852$13,482$14,1746.25%4.70%5.38%4.07%
201511-1.32%0.21%-0.08%$12,683$13,510$14,162-1.32%0.21%0.36%-2.24%
201512-2.17%-1.08%-0.33%$12,408$13,364$14,115-2.17%-1.08%0.19%-2.92%
20161-5.45%-6.70%-5.55%$11,731$12,469$13,332-5.45%-6.70%-5.59%-5.36%
20162-2.46%0.46%-0.27%$11,442$12,527$13,296-2.46%0.46%-1.09%3.01%
201638.33%7.30%9.08%$12,395$13,442$14,5038.33%7.30%8.70%10.53%
201642.16%3.02%1.25%$12,663$13,848$14,6842.16%3.02%1.00%2.20%
20165-0.98%-0.36%0.13%$12,539$13,797$14,704-0.98%-0.36%1.46%-4.82%
20166-0.90%-2.04%-2.98%$12,426$13,515$14,265-0.90%-2.04%-5.40%6.59%
201674.52%4.96%6.50%$12,988$14,186$15,1924.52%4.96%6.33%7.10%
201680.45%-0.52%0.16%$13,047$14,112$15,2160.45%-0.52%0.20%0.00%
201691.70%2.90%3.08%$13,268$14,521$15,6841.70%2.90%3.31%2.27%
201610-1.91%-2.95%-1.98%$13,015$14,092$15,373-1.91%-2.95%-2.07%-1.68%
201611-2.01%-2.17%-2.07%$12,753$13,785$15,055-2.01%-2.17%-1.36%-4.56%
2016121.96%1.07%1.72%$13,004$13,933$15,3141.96%1.07%2.07%0.45%
201714.08%4.80%4.86%$13,534$14,602$16,0594.08%4.80%4.48%6.39%
201721.34%1.63%2.69%$13,715$14,840$16,4911.34%1.63%2.30%4.23%
201733.00%2.57%2.46%$14,126$15,222$16,8963.00%2.57%2.19%3.48%
201742.05%2.76%3.01%$14,416$15,641$17,4042.05%2.76%3.60%0.74%
201752.96%2.08%2.40%$14,843$15,966$17,8212.96%2.08%2.68%1.28%
201760.63%1.19%1.22%$14,937$16,156$18,0390.63%1.19%1.25%1.13%
201773.37%3.62%3.93%$15,440$16,740$18,7483.37%3.62%3.83%4.33%
201780.54%0.94%0.84%$15,523$16,897$18,9050.54%0.94%0.28%3.06%
201791.88%2.05%2.51%$15,815$17,245$19,3791.88%2.05%2.88%1.06%
2017102.03%1.48%1.20%$16,136$17,500$19,6112.03%1.48%1.35%0.59%
2017110.63%0.87%0.33%$16,237$17,651$19,6760.63%0.87%0.35%0.26%
2017122.07%3.09%3.48%$16,574$18,197$20,3612.07%3.09%2.86%5.93%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%0.00%
Large-cap Growth0.00%0.00%0.00%
Mid-cap Value1.57%13.18%10.11%
Mid-cap Growth0.00%0.00%0.15%
Small-cap Value1.28%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets70.63%58.83%62.49%
Emerging Markets25.34%26.18%25.46%
Corporate Bonds1.18%1.81%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%1.79%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.42%88.62%88.41%
Style analysis is based on monthly returns from Jan 2012 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VXUSVanguard Total International Stock ETFForeign Large Blend100.00%$6,574100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VSSVanguard FTSE All-Wld ex-US SmCp ETFForeign Small/Mid Blend100.00%$8,197100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
DLSWisdomTree International SmallCp Div ETFForeign Small/Mid Value80.00%$8,95179.98%Asset Allocation, Capitalization, Sector
DGSWisdomTree Emerging Markets SmCp Div ETFDiversified Emerging Mkts20.00%$1,41020.02%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/03/2018. © 2018 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)0.77%0.90%1.06%
Arithmetic Mean (annualized)9.59%11.34%13.42%
Geometric Mean (monthly)0.70%0.83%0.99%
Geometric Mean (annualized)8.79%10.49%12.58%
Volatility (monthly)3.53%3.60%3.57%
Volatility (annualized)12.24%12.48%12.38%
Downside Deviation (monthly)2.22%2.16%2.04%
Max. Drawdown-20.26%-18.53%-15.04%
US Market Correlation0.780.750.73
Beta(*)0.970.950.91
Alpha (annualized)-5.44%-3.50%-1.08%
R261.28%56.20%52.83%
Sharpe Ratio0.740.851.01
Sortino Ratio1.171.421.76
Treynor Ratio (%)9.2511.1613.65
Information Ratio-0.76-0.51-0.28
Diversification Ratio1.001.001.05
Skewness-0.44-0.36-0.22
Excess Kurtosis0.850.860.63
Historical Value-at-Risk (5%)-5.42%-5.89%-5.65%
Analytical Value-at-Risk (5%)-5.05%-5.03%-4.79%
Conditional Value-at-Risk (5%)-7.90%-7.99%-7.41%
Upside Capture Ratio (%)84.3086.6090.72
Downside Capture Ratio (%)136.34122.74109.64
Positive Periods45 out of 72 (62.50%)42 out of 72 (58.33%)46 out of 72 (63.89%)
Gain/Loss Ratio1.051.321.22
* 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
1Jul 2014Feb 20161 year 8 monthsApr 20171 year 2 months2 years 10 months-20.26%
2Mar 2012May 20123 monthsNov 20126 months9 months-13.16%
3May 2013Jun 20132 monthsSep 20133 months5 months-6.75%
4Jan 2014Jan 20141 monthMar 20142 months3 months-5.40%
5Feb 2013Feb 20131 monthApr 20132 months3 months-1.14%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2014Jan 20161 year 7 monthsApr 20171 year 3 months2 years 10 months-18.53%
2Mar 2012May 20123 monthsDec 20127 months10 months-13.20%
3May 2013Jun 20132 monthsSep 20133 months5 months-6.92%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-2.59%
5Mar 2014Mar 20141 monthApr 20141 month2 months-0.56%
6Nov 2013Nov 20131 monthDec 20131 month2 months-0.52%
7Feb 2013Feb 20131 monthMar 20131 month2 months-0.23%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2014Feb 20161 year 8 monthsSep 20167 months2 years 3 months-15.04%
2Apr 2012May 20122 monthsNov 20126 months8 months-11.43%
3May 2013Jun 20132 monthsSep 20133 months5 months-7.82%
4Oct 2016Nov 20162 monthsJan 20172 months4 months-4.01%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
6Nov 2013Nov 20131 monthDec 20131 month2 months-0.66%
7Apr 2014Apr 20141 monthMay 20141 month2 months-0.45%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VXUSVanguard Total International Stock ETF8.79%12.24%27.45%-4.74%-20.26%0.741.170.78
VSSVanguard FTSE All-Wld ex-US SmCp ETF10.49%12.48%30.60%-5.06%-18.53%0.851.420.75
DLSWisdomTree International SmallCp Div ETF13.68%12.53%31.83%-8.99%-13.12%1.081.880.72
DGSWisdomTree Emerging Markets SmCp Div ETF7.29%14.68%37.46%-16.33%-30.91%0.540.840.60

Monthly Correlations

Correlations for the portfolio assets
TickerNameVXUSVSSDLSDGSPortfolio 1Portfolio 2Portfolio 3
VXUSVanguard Total International Stock ETF-0.950.930.841.000.950.95
VSSVanguard FTSE All-Wld ex-US SmCp ETF0.95-0.950.840.951.000.96
DLSWisdomTree International SmallCp Div ETF0.930.95-0.750.930.950.99
DGSWisdomTree Emerging Markets SmCp Div ETF0.840.840.75-0.840.840.84

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VXUSVanguard Total International Stock ETF$6,574
VSSVanguard FTSE All-Wld ex-US SmCp ETF$8,197
DLSWisdomTree International SmallCp Div ETF$8,951
DGSWisdomTree Emerging Markets SmCp Div ETF$1,410

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VXUSVanguard Total International Stock ETF100.00%
VSSVanguard FTSE All-Wld ex-US SmCp ETF100.00%
DLSWisdomTree International SmallCp Div ETF79.98%
DGSWisdomTree Emerging Markets SmCp Div ETF20.02%

Annual Asset Returns