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 (Jan 2009 - Dec 2018)

Portfolio Allocations

Vanguard Total World Stock ETF
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
Save portfolio »
iShares MSCI Japan ETF
Ticker Name Allocation
EWJ iShares MSCI Japan ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total World Stock ETF$10,000$24,779 9.50% 15.39%32.65%-9.76%-21.87% 0.641.020.95
iShares MSCI Japan ETF$10,000$15,425 4.43% 15.23%25.97%-14.78%-23.07% 0.340.470.71
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Vanguard Total World Stock ETF-13.00%-9.76%6.83%4.40%9.50%9.50%10.79%10.99%
iShares MSCI Japan ETF-15.19%-14.10%3.14%2.35%4.43%4.43%11.44%12.15%
Trailing annualized return and volatility are for full months ending in December 2018 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.
  • 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
Annual returns for the configured portfolios
YearInflationVanguard Total World Stock ETFiShares MSCI Japan ETFVanguard Total World Stock ETF (VT)iShares MSCI Japan ETF (EWJ)
ReturnBalanceReturnBalance
20092.72%32.65%$13,2653.13%$10,31332.65%3.13%
20101.50%13.08%$15,00013.59%$11,71513.08%13.59%
20112.96%-7.50%$13,874-14.78%$9,983-7.50%-14.78%
20121.74%17.12%$16,2509.22%$10,90417.12%9.22%
20131.50%22.95%$19,97925.97%$13,73522.95%25.97%
20140.76%3.67%$20,712-6.24%$12,8783.67%-6.24%
20150.73%-1.86%$20,3279.17%$14,059-1.86%9.17%
20162.07%8.51%$22,0582.78%$14,4498.51%2.78%
20172.11%24.49%$27,46024.27%$17,95624.49%24.27%
20181.91%-9.76%$24,779-14.10%$15,425-9.76%-14.10%
Monthly returns for the configured portfolios
YearMonthVanguard Total World Stock ETFiShares MSCI Japan ETFVanguard Total World Stock ETF (VT)iShares MSCI Japan ETF (EWJ)
ReturnBalanceReturnBalance
20091-10.86%$8,914-12.00%$8,800-10.86%-12.00%
20092-9.52%$8,065-12.57%$7,693-9.52%-12.57%
200938.83%$8,7787.19%$8,2468.83%7.19%
2009412.06%$9,8367.72%$8,88312.06%7.72%
2009510.60%$10,87910.11%$9,78110.60%10.11%
20096-1.73%$10,6911.18%$9,896-1.73%1.18%
2009710.12%$11,7744.67%$10,35810.12%4.67%
200982.68%$12,0893.55%$10,7262.68%3.55%
200995.24%$12,723-2.74%$10,4325.24%-2.74%
200910-2.53%$12,401-3.92%$10,022-2.53%-3.92%
2009115.33%$13,0620.10%$10,0335.33%0.10%
2009121.55%$13,2652.79%$10,3131.55%2.79%
20101-5.11%$12,5881.03%$10,419-5.11%1.03%
201022.08%$12,8501.02%$10,5252.08%1.02%
201036.66%$13,7055.03%$11,0556.66%5.03%
20104-0.45%$13,644-0.48%$11,002-0.45%-0.48%
20105-9.88%$12,295-8.47%$10,070-9.88%-8.47%
20106-2.80%$11,951-2.56%$9,812-2.80%-2.56%
201079.20%$13,0504.67%$10,2719.20%4.67%
20108-3.99%$12,529-2.60%$10,004-3.99%-2.60%
2010910.05%$13,7885.44%$10,54810.05%5.44%
2010103.80%$14,3121.31%$10,6873.80%1.31%
201011-2.65%$13,9332.50%$10,953-2.65%2.50%
2010127.66%$15,0006.96%$11,7157.66%6.96%
201111.40%$15,2100.18%$11,7371.40%0.18%
201122.93%$15,6565.49%$12,3812.93%5.49%
20113-0.06%$15,646-10.49%$11,082-0.06%-10.49%
201144.35%$16,3272.03%$11,3074.35%2.03%
20115-2.27%$15,957-2.47%$11,028-2.27%-2.47%
20116-1.34%$15,7442.44%$11,297-1.34%2.44%
20117-2.15%$15,4052.68%$11,601-2.15%2.68%
20118-7.25%$14,287-8.03%$10,669-7.25%-8.03%
20119-10.72%$12,756-3.96%$10,247-10.72%-3.96%
20111011.27%$14,193-0.63%$10,18211.27%-0.63%
201111-1.24%$14,0180.32%$10,214-1.24%0.32%
201112-1.02%$13,874-2.26%$9,983-1.02%-2.26%
201215.47%$14,6334.83%$10,4665.47%4.83%
201224.77%$15,3304.61%$10,9484.77%4.61%
201231.17%$15,5101.90%$11,1561.17%1.90%
20124-1.18%$15,327-4.32%$10,674-1.18%-4.32%
20125-8.93%$13,958-8.73%$9,742-8.93%-8.73%
201265.13%$14,6746.88%$10,4135.13%6.88%
201270.72%$14,780-4.46%$9,9480.72%-4.46%
201282.48%$15,1470.78%$10,0262.48%0.78%
201293.11%$15,6181.21%$10,1473.11%1.21%
201210-0.60%$15,524-1.20%$10,026-0.60%-1.20%
2012111.53%$15,7612.98%$10,3241.53%2.98%
2012123.10%$16,2505.61%$10,9043.10%5.61%
201314.01%$16,9012.26%$11,1504.01%2.26%
20132-0.31%$16,8482.41%$11,418-0.31%2.41%
201332.35%$17,2445.78%$12,0782.35%5.78%
201342.68%$17,7068.33%$13,0842.68%8.33%
20135-0.56%$17,607-7.35%$12,123-0.56%-7.35%
20136-2.66%$17,1393.94%$12,601-2.66%3.94%
201375.16%$18,0240.00%$12,6015.16%0.00%
20138-2.46%$17,581-3.12%$12,207-2.46%-3.12%
201395.59%$18,5649.66%$13,3875.59%9.66%
2013103.71%$19,252-0.08%$13,3753.71%-0.08%
2013111.54%$19,5501.26%$13,5441.54%1.26%
2013122.19%$19,9791.41%$13,7352.19%1.41%
20141-4.44%$19,091-6.67%$12,818-4.44%-6.67%
201425.21%$20,0862.47%$13,1355.21%2.47%
201430.48%$20,183-2.41%$12,8180.48%-2.41%
201440.74%$20,332-2.21%$12,5360.74%-2.21%
201452.05%$20,7484.51%$13,1012.05%4.51%
201462.21%$21,2074.68%$13,7142.21%4.68%
20147-1.75%$20,835-0.33%$13,669-1.75%-0.33%
201482.65%$21,387-1.67%$13,4412.65%-1.67%
20149-3.34%$20,673-0.25%$13,407-3.34%-0.25%
2014100.94%$20,8682.46%$13,7370.94%2.46%
2014111.26%$21,132-3.65%$13,2361.26%-3.65%
201412-1.99%$20,712-2.70%$12,878-1.99%-2.70%
20151-1.63%$20,3752.22%$13,165-1.63%2.22%
201525.95%$21,5877.48%$14,1505.95%7.48%
20153-1.21%$21,3271.46%$14,356-1.21%1.46%
201542.55%$21,8702.63%$14,7342.55%2.63%
201550.33%$21,9431.48%$14,9520.33%1.48%
20156-2.22%$21,456-1.34%$14,751-2.22%-1.34%
201570.50%$21,5640.94%$14,8890.50%0.94%
20158-6.63%$20,134-6.26%$13,957-6.63%-6.26%
20159-3.71%$19,387-5.78%$13,151-3.71%-5.78%
2015107.29%$20,7997.88%$14,1877.29%7.88%
201511-0.08%$20,7820.49%$14,256-0.08%0.49%
201512-2.19%$20,327-1.39%$14,059-2.19%-1.39%
20161-5.87%$19,135-5.12%$13,339-5.87%-5.12%
20162-1.11%$18,923-5.30%$12,632-1.11%-5.30%
201637.98%$20,4324.78%$13,2357.98%4.78%
201641.01%$20,6370.09%$13,2471.01%0.09%
201650.65%$20,7723.24%$13,6760.65%3.24%
20166-0.18%$20,735-1.68%$13,446-0.18%-1.68%
201674.15%$21,5954.87%$14,1004.15%4.87%
201680.35%$21,6701.82%$14,3580.35%1.82%
201690.79%$21,8412.12%$14,6620.79%2.12%
201610-1.97%$21,4100.72%$14,767-1.97%0.72%
2016111.19%$21,665-1.25%$14,5831.19%-1.25%
2016121.81%$22,058-0.92%$14,4491.81%-0.92%
201713.00%$22,7193.50%$14,9553.00%3.50%
201722.69%$23,3301.31%$15,1502.69%1.31%
201731.48%$23,6750.53%$15,2301.48%0.53%
201741.63%$24,0600.70%$15,3361.63%0.70%
201751.95%$24,5282.76%$15,7591.95%2.76%
201760.63%$24,6811.32%$15,9680.63%1.32%
201772.65%$25,3362.07%$16,2982.65%2.07%
201780.42%$25,442-0.09%$16,2830.42%-0.09%
201792.11%$25,9771.83%$16,5812.11%1.83%
2017102.11%$26,5255.28%$17,4562.11%5.28%
2017111.90%$27,0282.15%$17,8311.90%2.15%
2017121.60%$27,4600.70%$17,9561.60%0.70%
201815.48%$28,9655.02%$18,8585.48%5.02%
20182-4.44%$27,678-2.97%$18,298-4.44%-2.97%
20183-1.29%$27,322-0.64%$18,181-1.29%-0.64%
201840.42%$27,437-0.07%$18,1690.42%-0.07%
201850.57%$27,592-1.48%$17,8990.57%-1.48%
20186-0.60%$27,427-2.30%$17,487-0.60%-2.30%
201872.88%$28,2161.07%$17,6742.88%1.07%
201880.86%$28,459-0.53%$17,5800.86%-0.53%
201890.08%$28,4813.45%$18,1870.08%3.45%
201810-7.82%$26,254-8.95%$16,559-7.82%-8.95%
2018111.73%$26,7090.91%$16,7101.73%0.91%
201812-7.22%$24,779-7.69%$15,425-7.22%-7.69%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total World Stock ETF
Large-cap Value16.27%
Large-cap Growth22.19%
Mid-cap Value3.76%
Mid-cap Growth0.00%
Small-cap Value1.32%
Small-cap Growth2.71%
Global ex-US Developed Markets40.10%
Emerging Markets13.64%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.58%
Style analysis is based on monthly returns from January 2009 to December 2018 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 Vanguard Total World Stock ETF

Holdings Based Style Analysis for Vanguard Total World Stock ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large-Stock Blend100.00%1.61%0.08%19.95$14,779100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for iShares MSCI Japan ETF

Holdings Based Style Analysis for iShares MSCI Japan ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
EWJiShares MSCI Japan ETFJapan Stock100.00%1.11%0.51%14.83$5,425100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (c) 2021 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
MetricVanguard Total World Stock ETFiShares MSCI Japan ETF
Arithmetic Mean (monthly)0.86%0.46%
Arithmetic Mean (annualized)10.78%5.65%
Geometric Mean (monthly)0.76%0.36%
Geometric Mean (annualized)9.50%4.43%
Volatility (monthly)4.44%4.40%
Volatility (annualized)15.39%15.23%
Downside Deviation (monthly)2.79%3.11%
Max. Drawdown-21.87%-23.07%
US Market Correlation0.950.71
Beta(*)1.050.77
Alpha (annualized)-3.75%-4.82%
R291.18%50.47%
Sharpe Ratio0.640.34
Sortino Ratio1.020.47
Treynor Ratio (%)9.456.66
Calmar Ratio0.470.17
Active Return-3.63%-8.70%
Tracking Error4.62%11.18%
Information Ratio-0.78-0.78
Skewness-0.17-0.57
Excess Kurtosis0.740.57
Historical Value-at-Risk (5%)-7.28%-8.05%
Analytical Value-at-Risk (5%)-6.45%-6.77%
Conditional Value-at-Risk (5%)-9.62%-10.20%
Upside Capture Ratio (%)92.7260.53
Downside Capture Ratio (%)111.1390.42
Safe Withdrawal Rate16.68%11.54%
Perpetual Withdrawal Rate7.03%2.52%
Positive Periods75 out of 120 (62.50%)72 out of 120 (60.00%)
Gain/Loss Ratio1.010.86
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Vanguard Total World Stock ETF

Drawdowns for Vanguard Total World Stock ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-21.87%
2Jan 2009Feb 20092 monthsMay 20093 months5 months-19.35%
3Feb 2018Dec 201811 months-14.45%
4Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%
5Apr 2010Jun 20103 monthsSep 20103 months6 months-12.80%
6Jan 2010Jan 20101 monthMar 20102 months3 months-5.11%
7Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.73%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-4.44%
9May 2013Jun 20132 monthsJul 20131 month3 months-3.20%
10Nov 2010Nov 20101 monthDec 20101 month2 months-2.65%
Worst 10 drawdowns included above

Drawdowns for iShares MSCI Japan ETF

Drawdowns for iShares MSCI Japan ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsJul 20095 months7 months-23.07%
2Mar 2011May 20121 year 3 monthsApr 201311 months2 years 2 months-21.31%
3Feb 2018Dec 201811 months-18.20%
4Jun 2015Feb 20169 monthsJan 201711 months1 year 8 months-15.52%
5Apr 2010Jun 20103 monthsDec 20106 months9 months-11.24%
6Jan 2014Apr 20144 monthsOct 20146 months10 months-8.73%
7May 2013May 20131 monthSep 20134 months5 months-7.35%
8Sep 2009Oct 20092 monthsMar 20105 months7 months-6.56%
9Nov 2014Dec 20142 monthsFeb 20152 months4 months-6.25%
10Aug 2017Aug 20171 monthSep 20171 month2 months-0.09%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTVanguard Total World Stock ETF9.50%15.39%32.65%-9.76%-21.87%0.641.020.95
EWJiShares MSCI Japan ETF4.43%15.23%25.97%-14.78%-23.07%0.340.470.71

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTEWJVanguard Total World Stock ETFiShares MSCI Japan ETF
VTVanguard Total World Stock ETF1.000.761.000.76
EWJiShares MSCI Japan ETF0.761.000.761.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total World Stock ETFiShares MSCI Japan ETF
VTVanguard Total World Stock ETF$14,779
EWJiShares MSCI Japan ETF$5,425

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total World Stock ETFiShares MSCI Japan ETF
VTVanguard Total World Stock ETF100.00%
EWJiShares MSCI Japan ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Total World Stock ETFiShares MSCI Japan ETF
AverageHighLowAverageHighLow
1 year11.69%59.32%-12.53%7.60%36.81%-14.78%
3 years9.53%23.87%3.36%6.23%15.35%-2.22%
5 years9.98%20.02%3.86%6.77%11.73%0.40%
7 years9.48%12.96%7.50%6.21%8.54%4.25%