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 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 (Jan 2008 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWO Vanguard FTSE Emerging Markets ETF 100.00%
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Portfolio 2
Ticker Name Allocation
DEM WisdomTree Emerging Markets High Div ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
DGS WisdomTree Emerging Markets SmCp Div 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$9,748 -0.23% 22.63%76.28%-52.49%-57.75% 0.080.120.80
Portfolio 2$10,000$12,063 1.72% 20.65%58.12%-34.60%-47.85% 0.160.240.77
Portfolio 3$10,000$12,976 2.40% 22.35%83.22%-45.78%-52.09% 0.200.290.78
Vanguard 500 Index Investor$10,000$21,331 7.13% 15.08%32.18%-37.02%-48.47% 0.500.711.00
   
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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard FTSE Emerging Markets ETF (VWO)WisdomTree Emerging Markets High Div ETF (DEM)WisdomTree Emerging Markets SmCp Div ETF (DGS)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3
20080.09%-52.49%-34.60%-45.78%-37.02%$4,751$6,540$5,422$6,2982.26% [$226]3.61% [$361]2.59% [$259]-52.49%-34.60%-45.78%
20092.72%76.28%58.12%83.22%26.49%$8,376$10,342$9,935$7,9662.31% [$110]4.54% [$297]5.11% [$277]76.28%58.12%83.22%
20101.50%19.47%24.63%30.15%14.91%$10,007$12,889$12,930$9,1541.99% [$166]3.95% [$408]3.03% [$301]19.47%24.63%30.15%
20112.96%-18.76%-10.39%-21.22%1.97%$8,129$11,549$10,187$9,3341.88% [$188]3.87% [$498]3.14% [$406]-18.76%-10.39%-21.22%
20121.74%19.20%15.56%23.52%15.82%$9,690$13,346$12,582$10,8112.57% [$209]3.72% [$430]3.56% [$363]19.20%15.56%23.52%
20131.50%-4.92%-6.96%-3.49%32.18%$9,214$12,417$12,142$14,2902.55% [$247]3.71% [$495]3.25% [$409]-4.92%-6.96%-3.49%
20140.76%-0.07%-13.32%-3.55%13.51%$9,208$10,763$11,712$16,2202.80% [$258]4.62% [$574]3.02% [$367]-0.07%-13.32%-3.55%
20150.73%-15.81%-21.46%-16.33%1.25%$7,752$8,453$9,799$16,4222.69% [$247]3.96% [$426]2.68% [$314]-15.81%-21.46%-16.33%
20162.07%12.21%22.45%15.37%11.82%$8,699$10,351$11,306$18,3632.78% [$215]4.33% [$366]3.86% [$378]12.21%22.45%15.37%
20172.11%31.48%26.25%37.46%21.67%$11,437$13,068$15,541$22,3422.98% [$259]4.51% [$467]3.78% [$427]31.48%26.25%37.46%
20181.91%-14.77%-7.69%-16.50%-4.52%$9,748$12,063$12,976$21,3312.41% [$276]4.00% [$523]3.45% [$536]-14.77%-7.69%-16.50%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard FTSE Emerging Markets ETF (VWO)WisdomTree Emerging Markets High Div ETF (DEM)WisdomTree Emerging Markets SmCp Div ETF (DGS)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20081-9.02%-4.59%-9.52%-6.02%$9,098$9,541$9,048$9,398-9.02%-4.59%-9.52%
200822.88%5.44%4.64%-3.25%$9,360$10,061$9,468$9,0932.88%5.44%4.64%
20083-3.68%-1.87%-0.34%-0.44%$9,015$9,873$9,436$9,053-3.68%-1.87%-0.34%
200848.43%6.62%3.41%4.85%$9,776$10,527$9,758$9,4928.43%6.62%3.41%
200851.79%1.96%-0.93%1.29%$9,950$10,734$9,667$9,6151.79%1.96%-0.93%
20086-9.81%-8.19%-12.39%-8.44%$8,974$9,854$8,469$8,804-9.81%-8.19%-12.39%
20087-4.72%1.67%-0.43%-0.83%$8,550$10,019$8,433$8,730-4.72%1.67%-0.43%
20088-7.92%-5.77%-2.51%1.45%$7,873$9,441$8,221$8,857-7.92%-5.77%-2.51%
20089-15.59%-12.57%-15.60%-8.91%$6,646$8,254$6,939$8,068-15.59%-12.57%-15.60%
200810-27.26%-20.76%-25.18%-16.79%$4,834$6,541$5,192$6,713-27.26%-20.76%-25.18%
200811-8.65%-6.58%-7.72%-7.17%$4,416$6,111$4,791$6,231-8.65%-6.58%-7.72%
2008127.59%7.03%13.17%1.07%$4,751$6,540$5,422$6,2987.59%7.03%13.17%
20091-8.91%-9.25%-8.02%-8.41%$4,328$5,935$4,987$5,768-8.91%-9.25%-8.02%
20092-2.38%-5.69%-2.24%-10.66%$4,225$5,598$4,876$5,153-2.38%-5.69%-2.24%
2009312.40%12.36%12.79%8.76%$4,749$6,290$5,499$5,60512.40%12.36%12.79%
2009417.44%17.45%21.79%9.56%$5,578$7,387$6,698$6,14117.44%17.45%21.79%
2009517.89%9.87%13.68%5.62%$6,576$8,116$7,614$6,48617.89%9.87%13.68%
20096-2.45%-1.90%-2.58%0.22%$6,414$7,961$7,418$6,500-2.45%-1.90%-2.58%
2009710.91%10.97%14.25%7.58%$7,114$8,835$8,475$6,99210.91%10.97%14.25%
20098-0.71%2.27%-0.59%3.60%$7,063$9,035$8,425$7,244-0.71%2.27%-0.59%
200999.96%8.86%9.92%3.72%$7,767$9,835$9,261$7,5139.96%8.86%9.92%
200910-2.41%-4.57%-3.82%-1.87%$7,579$9,385$8,907$7,373-2.41%-4.57%-3.82%
2009117.18%6.14%5.13%5.98%$8,124$9,962$9,364$7,8147.18%6.14%5.13%
2009123.10%3.82%6.09%1.95%$8,376$10,342$9,935$7,9663.10%3.82%6.09%
20101-6.73%-3.14%-4.65%-3.60%$7,812$10,017$9,473$7,679-6.73%-3.14%-4.65%
201021.88%1.58%0.76%3.09%$7,959$10,175$9,545$7,9161.88%1.58%0.76%
201038.19%7.49%8.10%6.01%$8,611$10,937$10,318$8,3928.19%7.49%8.10%
20104-0.21%0.17%1.27%1.58%$8,592$10,956$10,449$8,525-0.21%0.17%1.27%
20105-9.18%-11.22%-9.39%-8.01%$7,804$9,727$9,468$7,842-9.18%-11.22%-9.39%
20106-0.55%-0.64%-0.41%-5.24%$7,761$9,665$9,429$7,431-0.55%-0.64%-0.41%
2010710.21%12.99%11.43%7.00%$8,553$10,920$10,507$7,95110.21%12.99%11.43%
20108-2.56%-0.72%1.27%-4.53%$8,335$10,842$10,640$7,591-2.56%-0.72%1.27%
2010911.42%10.20%11.61%8.92%$9,287$11,947$11,876$8,26811.42%10.20%11.61%
2010103.10%3.11%4.23%3.79%$9,575$12,319$12,379$8,5813.10%3.11%4.23%
201011-2.84%-2.49%-2.54%0.00%$9,303$12,012$12,065$8,581-2.84%-2.49%-2.54%
2010127.56%7.30%7.17%6.67%$10,007$12,889$12,930$9,1547.56%7.30%7.17%
20111-3.45%-3.74%-4.75%2.36%$9,662$12,407$12,316$9,370-3.45%-3.74%-4.75%
20112-0.17%1.06%-3.12%3.42%$9,645$12,539$11,931$9,690-0.17%1.06%-3.12%
201135.47%5.55%6.56%0.03%$10,173$13,235$12,715$9,6925.47%5.55%6.56%
201143.37%5.73%5.68%2.95%$10,516$13,993$13,437$9,9783.37%5.73%5.68%
20115-2.94%-3.00%-3.22%-1.15%$10,206$13,572$13,005$9,864-2.94%-3.00%-3.22%
20116-1.00%-1.19%-2.68%-1.67%$10,104$13,411$12,656$9,699-1.00%-1.19%-2.68%
20117-0.62%-1.82%0.80%-2.05%$10,042$13,167$12,757$9,500-0.62%-1.82%0.80%
20118-9.09%-4.19%-9.86%-5.45%$9,130$12,615$11,499$8,983-9.09%-4.19%-9.86%
20119-18.44%-15.86%-17.60%-7.04%$7,446$10,614$9,475$8,350-18.44%-15.86%-17.60%
20111015.91%11.15%12.16%10.91%$8,631$11,798$10,627$9,26215.91%11.15%12.16%
201111-1.71%-0.46%-1.48%-0.23%$8,483$11,744$10,470$9,240-1.71%-0.46%-1.48%
201112-4.17%-1.66%-2.71%1.02%$8,129$11,549$10,187$9,334-4.17%-1.66%-2.71%
2012110.78%8.17%10.21%4.46%$9,006$12,493$11,226$9,75110.78%8.17%10.21%
201225.43%5.19%5.58%4.31%$9,495$13,142$11,852$10,1715.43%5.19%5.58%
20123-2.60%-0.91%0.18%3.28%$9,248$13,022$11,874$10,504-2.60%-0.91%0.18%
20124-2.09%-1.58%-1.25%-0.64%$9,055$12,817$11,726$10,437-2.09%-1.58%-1.25%
20125-10.67%-9.15%-9.32%-6.02%$8,089$11,643$10,633$9,809-10.67%-9.15%-9.32%
201265.02%2.00%1.70%4.11%$8,495$11,876$10,814$10,2125.02%2.00%1.70%
201270.20%-0.15%0.46%1.37%$8,512$11,858$10,864$10,3520.20%-0.15%0.46%
201280.25%1.57%2.76%2.24%$8,534$12,044$11,163$10,5840.25%1.57%2.76%
201295.31%3.62%4.13%2.58%$8,987$12,479$11,625$10,8575.31%3.62%4.13%
201210-0.55%-1.30%-0.50%-1.86%$8,937$12,317$11,566$10,655-0.55%-1.30%-0.50%
2012111.28%0.55%1.91%0.56%$9,051$12,384$11,787$10,7141.28%0.55%1.91%
2012127.06%7.77%6.75%0.90%$9,690$13,346$12,582$10,8117.06%7.77%6.75%
201310.07%-0.21%1.25%5.18%$9,697$13,318$12,740$11,3710.07%-0.21%1.25%
20132-2.36%-2.40%1.68%1.34%$9,468$12,999$12,954$11,523-2.36%-2.40%1.68%
20133-1.27%-0.91%1.49%3.74%$9,348$12,880$13,147$11,954-1.27%-0.91%1.49%
201342.00%1.65%2.09%1.91%$9,536$13,093$13,422$12,1822.00%1.65%2.09%
20135-5.07%-4.93%-3.70%2.33%$9,052$12,447$12,925$12,465-5.07%-4.93%-3.70%
20136-5.33%-7.34%-7.58%-1.35%$8,570$11,533$11,946$12,297-5.33%-7.34%-7.58%
201370.70%1.90%0.17%5.07%$8,630$11,753$11,967$12,9210.70%1.90%0.17%
20138-3.43%-1.75%-5.36%-2.91%$8,334$11,547$11,326$12,545-3.43%-1.75%-5.36%
201397.27%8.39%7.91%3.12%$8,939$12,516$12,222$12,9367.27%8.39%7.91%
2013104.34%3.31%3.52%4.59%$9,327$12,930$12,651$13,5294.34%3.31%3.52%
201311-0.93%-3.11%-1.76%3.03%$9,240$12,528$12,429$13,939-0.93%-3.11%-1.76%
201312-0.28%-0.89%-2.31%2.51%$9,214$12,417$12,142$14,290-0.28%-0.89%-2.31%
20141-8.43%-8.90%-6.42%-3.47%$8,437$11,312$11,363$13,794-8.43%-8.90%-6.42%
201423.24%2.19%4.75%4.56%$8,710$11,561$11,903$14,4233.24%2.19%4.75%
201434.62%3.68%3.37%0.82%$9,113$11,986$12,304$14,5424.62%3.68%3.37%
201440.89%0.98%0.99%0.72%$9,194$12,103$12,425$14,6470.89%0.98%0.99%
201453.10%1.96%1.02%2.33%$9,479$12,340$12,552$14,9893.10%1.96%1.02%
201463.17%3.48%1.86%2.05%$9,780$12,770$12,786$15,2973.17%3.48%1.86%
201471.37%-0.37%0.29%-1.39%$9,913$12,723$12,823$15,0841.37%-0.37%0.29%
201483.84%2.09%3.53%3.98%$10,294$12,989$13,276$15,6853.84%2.09%3.53%
20149-7.18%-7.06%-6.08%-1.41%$9,555$12,073$12,469$15,463-7.18%-7.06%-6.08%
2014102.23%-0.57%-1.64%2.42%$9,768$12,005$12,264$15,8382.23%-0.57%-1.64%
201411-1.10%-3.77%-1.12%2.68%$9,661$11,552$12,126$16,263-1.10%-3.77%-1.12%
201412-4.69%-6.83%-3.42%-0.26%$9,208$10,763$11,712$16,220-4.69%-6.83%-3.42%
20151-0.20%-1.59%0.72%-3.02%$9,190$10,592$11,796$15,730-0.20%-1.59%0.72%
201524.66%6.19%2.81%5.74%$9,617$11,248$12,127$16,6334.66%6.19%2.81%
20153-2.05%-3.54%-1.03%-1.59%$9,420$10,850$12,002$16,368-2.05%-3.54%-1.03%
201547.41%11.55%5.67%0.95%$10,118$12,104$12,683$16,5247.41%11.55%5.67%
20155-3.55%-5.00%-2.63%1.27%$9,759$11,499$12,349$16,734-3.55%-5.00%-2.63%
20156-2.54%-2.78%-3.84%-1.93%$9,511$11,179$11,875$16,410-2.54%-2.78%-3.84%
20157-6.26%-7.92%-7.31%2.08%$8,915$10,293$11,008$16,752-6.26%-7.92%-7.31%
20158-9.86%-8.85%-8.95%-6.04%$8,036$9,382$10,022$15,740-9.86%-8.85%-8.95%
20159-2.88%-5.50%-1.00%-2.49%$7,804$8,866$9,922$15,348-2.88%-5.50%-1.00%
2015105.29%5.02%4.07%8.42%$8,217$9,310$10,326$16,6405.29%5.02%4.07%
201511-2.30%-4.52%-2.24%0.29%$8,028$8,889$10,094$16,688-2.30%-4.52%-2.24%
201512-3.44%-4.91%-2.92%-1.59%$7,752$8,453$9,799$16,422-3.44%-4.91%-2.92%
20161-5.75%-3.86%-5.36%-4.98%$7,307$8,127$9,274$15,605-5.75%-3.86%-5.36%
20162-0.32%1.87%3.01%-0.15%$7,283$8,280$9,553$15,582-0.32%1.87%3.01%
2016312.72%12.39%10.53%6.78%$8,210$9,305$10,560$16,63812.72%12.39%10.53%
201641.01%3.45%2.20%0.37%$8,293$9,626$10,792$16,7001.01%3.45%2.20%
20165-3.24%-6.47%-4.82%1.78%$8,024$9,004$10,272$16,998-3.24%-6.47%-4.82%
201664.93%5.95%6.59%0.25%$8,420$9,540$10,949$17,0414.93%5.95%6.59%
201675.14%6.61%7.10%3.68%$8,852$10,170$11,726$17,6675.14%6.61%7.10%
201680.78%-0.29%0.00%0.13%$8,921$10,140$11,726$17,6900.78%-0.29%0.00%
201692.05%1.95%2.27%0.01%$9,105$10,338$11,993$17,6912.05%1.95%2.27%
2016100.32%0.96%-1.68%-1.83%$9,134$10,437$11,792$17,3670.32%0.96%-1.68%
201611-4.05%-2.45%-4.56%3.70%$8,763$10,182$11,254$18,009-4.05%-2.45%-4.56%
201612-0.74%1.67%0.45%1.96%$8,699$10,351$11,306$18,363-0.74%1.67%0.45%
201715.76%4.90%6.39%1.88%$9,199$10,858$12,028$18,7095.76%4.90%6.39%
201722.25%1.97%4.23%3.96%$9,406$11,072$12,537$19,4502.25%1.97%4.23%
201732.84%2.28%3.48%0.10%$9,674$11,324$12,973$19,4702.84%2.28%3.48%
201741.56%0.73%0.74%1.02%$9,825$11,407$13,069$19,6681.56%0.73%0.74%
201750.99%-0.22%1.28%1.39%$9,922$11,382$13,236$19,9420.99%-0.22%1.28%
201760.85%0.87%1.13%0.61%$10,006$11,482$13,386$20,0640.85%0.87%1.13%
201775.34%4.39%4.33%2.04%$10,540$11,986$13,965$20,4745.34%4.39%4.33%
201783.00%3.55%3.06%0.29%$10,857$12,412$14,393$20,5343.00%3.55%3.06%
20179-0.49%-0.80%1.06%2.06%$10,803$12,312$14,545$20,957-0.49%-0.80%1.06%
2017102.43%1.28%0.59%2.32%$11,066$12,470$14,631$21,4422.43%1.28%0.59%
201711-0.34%-0.34%0.26%3.06%$11,029$12,427$14,670$22,098-0.34%-0.34%0.26%
2017123.70%5.16%5.93%1.10%$11,437$13,068$15,541$22,3423.70%5.16%5.93%
201818.56%8.84%6.96%5.71%$12,416$14,224$16,622$23,6188.56%8.84%6.96%
20182-5.36%-4.05%-4.28%-3.69%$11,751$13,647$15,910$22,745-5.36%-4.05%-4.28%
20183-0.21%0.97%1.22%-2.56%$11,726$13,780$16,104$22,164-0.21%0.97%1.22%
20184-2.77%-3.14%-3.33%0.37%$11,401$13,348$15,567$22,247-2.77%-3.14%-3.33%
20185-2.34%-1.90%-1.09%2.39%$11,134$13,094$15,397$22,780-2.34%-1.90%-1.09%
20186-4.79%-4.73%-6.48%0.61%$10,600$12,475$14,400$22,918-4.79%-4.73%-6.48%
201873.98%5.64%2.31%3.71%$11,022$13,179$14,733$23,7683.98%5.64%2.31%
20188-4.19%-3.38%-3.24%3.25%$10,560$12,734$14,255$24,539-4.19%-3.38%-3.24%
20189-1.35%2.45%-1.54%0.55%$10,418$13,046$14,036$24,675-1.35%2.45%-1.54%
201810-7.66%-7.63%-10.10%-6.85%$9,620$12,051$12,618$22,985-7.66%-7.63%-10.10%
2018114.83%2.55%5.46%2.03%$10,085$12,359$13,307$23,4514.83%2.55%5.46%
201812-3.34%-2.39%-2.49%-9.04%$9,748$12,063$12,976$21,331-3.34%-2.39%-2.49%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value0.00%0.00%0.00%47.02%
Large-cap Growth0.00%0.00%0.00%52.81%
Mid-cap Value0.00%0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%0.00%
Small-cap Value0.00%6.32%7.35%0.00%
Small-cap Growth0.00%0.00%0.00%0.00%
Global ex-US Developed Markets0.00%1.70%0.00%0.00%
Emerging Markets100.00%82.08%87.51%0.00%
Corporate Bonds0.00%0.00%2.36%0.00%
Long-Term Treasuries0.00%0.00%2.78%0.04%
Intermediate-Term Treasuries0.00%9.90%0.00%0.13%
Short-Term Treasuries0.00%0.00%0.00%0.00%
R Squared100.00%91.23%92.45%99.93%
Style analysis is based on monthly returns from Jan 2008 to Dec 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts100.00%0.10%14.14-$252100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DEMWisdomTree Emerging Markets High Div ETFDiversified Emerging Mkts100.00%0.63%8.71$2,063100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DGSWisdomTree Emerging Markets SmCp Div ETFDiversified Emerging Mkts100.00%0.63%10.07$2,976100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/12/2020. (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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.20%0.32%0.41%0.67%
Arithmetic Mean (annualized)2.40%3.91%5.00%8.36%
Geometric Mean (monthly)-0.02%0.14%0.20%0.58%
Geometric Mean (annualized)-0.23%1.72%2.40%7.13%
Volatility (monthly)6.53%5.96%6.45%4.35%
Volatility (annualized)22.63%20.65%22.35%15.08%
Downside Deviation (monthly)4.60%4.06%4.43%3.06%
Max. Drawdown-57.75%-47.85%-52.09%-48.47%
US Market Correlation0.800.770.781.00
Beta(*)1.201.051.141.00
Alpha (annualized)-7.29%-4.62%-4.32%0.00%
R263.77%58.72%59.43%100.00%
Sharpe Ratio0.080.160.200.50
Sortino Ratio0.120.240.290.71
Treynor Ratio (%)1.593.213.877.59
Calmar Ratio0.350.820.410.67
Active Return-7.36%-5.41%-4.73%N/A
Tracking Error13.95%13.29%14.40%N/A
Information Ratio-0.53-0.41-0.33N/A
Skewness-0.36-0.15-0.27-0.79
Excess Kurtosis2.380.962.221.66
Historical Value-at-Risk (5%)-9.40%-8.99%-9.64%-8.15%
Analytical Value-at-Risk (5%)-10.55%-9.49%-10.20%-6.49%
Conditional Value-at-Risk (5%)-15.27%-13.13%-15.12%-10.37%
Upside Capture Ratio (%)92.2485.9894.31100.00
Downside Capture Ratio (%)128.00110.73116.73100.00
Safe Withdrawal Rate7.00%8.81%8.83%9.95%
Perpetual Withdrawal Rate0.00%0.08%0.74%5.12%
Positive Periods64 out of 132 (48.48%)66 out of 132 (50.00%)72 out of 132 (54.55%)88 out of 132 (66.67%)
Gain/Loss Ratio1.151.150.970.73
* Vanguard 500 Index Investor 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
1Jan 2008Feb 20091 year 2 monthsDec 20101 year 10 months3 years-57.75%
2May 2011Feb 20164 years 10 monthsJul 20171 year 5 months6 years 3 months-30.74%
3Feb 2018Oct 20189 months-22.52%
4Jan 2011Feb 20112 monthsMar 20111 month3 months-3.61%
5Sep 2017Sep 20171 monthOct 20171 month2 months-0.49%
6Nov 2017Nov 20171 monthDec 20171 month2 months-0.34%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsMar 20101 year 1 month1 year 10 months-47.85%
2May 2011Jan 20164 years 9 monthsJan 20182 years6 years 9 months-41.92%
3Feb 2018Oct 20189 months-15.28%
4May 2010Jun 20102 monthsSep 20103 months5 months-11.78%
5Jan 2008Jan 20081 monthFeb 20081 month2 months-4.59%
6Jan 2011Jan 20111 monthMar 20112 months3 months-3.74%
7Nov 2010Nov 20101 monthDec 20101 month2 months-2.49%
8Mar 2008Mar 20081 monthApr 20081 month2 months-1.87%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Nov 200811 monthsMar 20101 year 4 months2 years 3 months-52.09%
2May 2011Jan 20164 years 9 monthsJul 20171 year 6 months6 years 3 months-30.98%
3Feb 2018Oct 20189 months-24.09%
4May 2010Jun 20102 monthsJul 20101 month3 months-9.76%
5Jan 2011Feb 20112 monthsApr 20112 months4 months-7.72%
6Nov 2010Nov 20101 monthDec 20101 month2 months-2.54%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20123 years4 years 2 months-48.47%
2Oct 2018Dec 20183 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
9Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWOVanguard FTSE Emerging Markets ETF-0.23%22.63%76.28%-52.49%-57.75%0.080.120.80
DEMWisdomTree Emerging Markets High Div ETF1.72%20.65%58.12%-34.60%-47.85%0.160.240.77
DGSWisdomTree Emerging Markets SmCp Div ETF2.40%22.35%83.22%-45.78%-52.09%0.200.290.78

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWODEMDGSPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VWOVanguard FTSE Emerging Markets ETF1.000.950.961.000.950.960.80
DEMWisdomTree Emerging Markets High Div ETF0.951.000.940.951.000.940.77
DGSWisdomTree Emerging Markets SmCp Div ETF0.960.941.000.960.941.000.77

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWOVanguard FTSE Emerging Markets ETF-$252
DEMWisdomTree Emerging Markets High Div ETF$2,063
DGSWisdomTree Emerging Markets SmCp Div ETF$2,976

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWOVanguard FTSE Emerging Markets ETF100.00%
DEMWisdomTree Emerging Markets High Div ETF100.00%
DGSWisdomTree Emerging Markets SmCp Div ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year4.71%76.28%-52.49%4.78%58.12%-34.60%7.53%83.22%-45.78%8.91%32.18%-37.02%
3 years3.61%19.60%-7.17%3.81%20.87%-14.12%5.84%23.39%-7.99%11.34%20.22%-2.90%
5 years2.33%14.16%-4.98%1.31%13.68%-8.09%3.99%17.50%-5.39%12.22%17.81%1.57%
7 years2.23%7.24%-1.17%1.12%3.73%0.01%3.83%8.82%1.86%12.13%14.67%7.15%
10 years4.40%7.45%1.35%4.51%6.31%2.71%6.81%9.12%4.51%10.67%12.97%8.37%
Result statistics are based on annualized rolling returns over full calendar year periods