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 Analysis Results (Jan 2007 - May 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DLS WisdomTree International SmallCp Div ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DISVX DFA International Small Cap Value I 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$15,545 3.62% 18.35%37.16%-44.35%-60.75% 0.240.340.86
Portfolio 2$10,000$14,322 2.94% 19.25%39.51%-41.68%-57.69% 0.200.290.86
   
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
  • The annual results for 2019 are based on full calendar months from January to May
  • 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
  • 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
YearInflationReturnBalanceWisdomTree International SmallCp Div ETF (DLS)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20074.08%4.52%2.95%$10,452$10,2954.52%2.95%
20080.09%-44.35%-41.68%$5,817$6,004-44.35%-41.68%
20092.72%37.16%39.51%$7,979$8,37637.16%39.51%
20101.50%19.40%18.10%$9,526$9,89219.40%18.10%
20112.96%-12.32%-17.46%$8,352$8,165-12.32%-17.46%
20121.74%24.05%22.26%$10,361$9,98224.05%22.26%
20131.50%26.37%32.39%$13,094$13,21426.37%32.39%
20140.76%-8.99%-4.99%$11,917$12,555-8.99%-4.99%
20150.73%7.46%3.99%$12,806$13,0567.46%3.99%
20162.07%6.78%8.00%$13,674$14,1016.78%8.00%
20172.11%31.83%27.98%$18,026$18,04731.83%27.98%
20181.91%-18.92%-23.31%$14,615$13,840-18.92%-23.31%
20191.72%6.37%3.48%$15,545$14,3226.37%3.48%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceWisdomTree International SmallCp Div ETF (DLS)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200712.07%2.67%$10,207$10,2672.07%2.67%
200721.23%1.81%$10,332$10,4521.23%1.81%
200734.77%4.35%$10,824$10,9064.77%4.35%
200744.68%2.97%$11,331$11,2304.68%2.97%
200752.20%1.91%$11,581$11,4442.20%1.91%
20076-1.92%-0.42%$11,358$11,396-1.92%-0.42%
20077-0.88%-0.25%$11,258$11,367-0.88%-0.25%
20078-3.34%-4.10%$10,882$10,901-3.34%-4.10%
200792.01%2.08%$11,101$11,1282.01%2.08%
2007106.31%3.94%$11,801$11,5666.31%3.94%
200711-6.33%-8.12%$11,055$10,627-6.33%-8.12%
200712-5.45%-3.12%$10,452$10,295-5.45%-3.12%
20081-5.56%-6.60%$9,871$9,616-5.56%-6.60%
200820.03%2.19%$9,875$9,8260.03%2.19%
200831.14%0.93%$9,987$9,9171.14%0.93%
200842.26%1.70%$10,213$10,0862.26%1.70%
200851.51%2.20%$10,367$10,3081.51%2.20%
20086-11.31%-8.74%$9,195$9,407-11.31%-8.74%
20087-3.73%-4.44%$8,851$8,989-3.73%-4.44%
20088-2.30%-3.22%$8,648$8,700-2.30%-3.22%
20089-13.81%-14.39%$7,454$7,448-13.81%-14.39%
200810-23.72%-21.76%$5,686$5,827-23.72%-21.76%
200811-7.67%-5.55%$5,250$5,504-7.67%-5.55%
20081210.81%9.09%$5,817$6,00410.81%9.09%
20091-10.87%-8.43%$5,185$5,498-10.87%-8.43%
20092-10.66%-10.99%$4,632$4,894-10.66%-10.99%
200939.91%6.52%$5,091$5,2139.91%6.52%
2009411.49%16.21%$5,676$6,05811.49%16.21%
2009513.49%13.77%$6,442$6,89213.49%13.77%
200960.70%-0.33%$6,486$6,8690.70%-0.33%
200978.46%9.31%$7,035$7,5098.46%9.31%
200986.90%8.66%$7,521$8,1606.90%8.66%
200995.36%4.71%$7,924$8,5445.36%4.71%
200910-1.88%-3.62%$7,775$8,235-1.88%-3.62%
2009112.05%0.54%$7,935$8,2792.05%0.54%
2009120.55%1.17%$7,979$8,3760.55%1.17%
20101-1.70%-1.92%$7,843$8,215-1.70%-1.92%
201020.52%-0.95%$7,884$8,1370.52%-0.95%
201036.93%8.12%$8,430$8,7986.93%8.12%
201041.21%1.26%$8,532$8,9091.21%1.26%
20105-12.77%-13.46%$7,443$7,710-12.77%-13.46%
20106-0.52%-2.01%$7,404$7,555-0.52%-2.01%
201078.80%9.73%$8,055$8,2908.80%9.73%
20108-3.18%-4.67%$7,800$7,903-3.18%-4.67%
2010911.07%11.23%$8,663$8,79011.07%11.23%
2010104.32%3.13%$9,037$9,0654.32%3.13%
201011-4.79%-2.85%$8,605$8,807-4.79%-2.85%
20101210.71%12.32%$9,526$9,89210.71%12.32%
201110.73%2.09%$9,596$10,0990.73%2.09%
201122.19%2.90%$9,806$10,3932.19%2.90%
20113-0.21%0.50%$9,785$10,444-0.21%0.50%
201144.92%4.30%$10,267$10,8934.92%4.30%
20115-2.77%-3.43%$9,983$10,519-2.77%-3.43%
20116-1.46%-2.18%$9,837$10,290-1.46%-2.18%
20117-1.76%-1.92%$9,664$10,092-1.76%-1.92%
20118-5.34%-9.51%$9,148$9,132-5.34%-9.51%
20119-9.65%-11.80%$8,265$8,055-9.65%-11.80%
2011105.79%7.61%$8,743$8,6685.79%7.61%
201111-1.76%-3.23%$8,589$8,387-1.76%-3.23%
201112-2.76%-2.66%$8,352$8,165-2.76%-2.66%
201218.00%10.01%$9,021$8,9828.00%10.01%
201223.94%5.96%$9,376$9,5173.94%5.96%
201231.45%0.13%$9,512$9,5291.45%0.13%
20124-1.86%-2.78%$9,336$9,265-1.86%-2.78%
20125-10.01%-12.72%$8,401$8,086-10.01%-12.72%
201263.63%4.93%$8,705$8,4853.63%4.93%
20127-0.79%-0.29%$8,637$8,461-0.79%-0.29%
201284.32%3.67%$9,010$8,7724.32%3.67%
201293.59%4.67%$9,334$9,1823.59%4.67%
2012101.57%0.93%$9,480$9,2671.57%0.93%
2012112.17%1.39%$9,686$9,3962.17%1.39%
2012126.98%6.24%$10,361$9,9826.98%6.24%
201314.24%5.13%$10,801$10,4944.24%5.13%
201320.64%0.60%$10,870$10,5560.64%0.60%
201331.79%2.04%$11,065$10,7711.79%2.04%
201344.19%2.84%$11,528$11,0774.19%2.84%
20135-3.76%-1.97%$11,095$10,859-3.76%-1.97%
20136-3.42%-3.04%$10,715$10,528-3.42%-3.04%
201375.72%7.46%$11,329$11,3135.72%7.46%
201380.49%-1.23%$11,384$11,1740.49%-1.23%
201398.86%9.69%$12,393$12,2578.86%9.69%
2013103.48%4.18%$12,824$12,7693.48%4.18%
201311-0.43%0.15%$12,768$12,788-0.43%0.15%
2013122.55%3.33%$13,094$13,2142.55%3.33%
20141-2.29%-1.38%$12,795$13,033-2.29%-1.38%
201425.42%6.88%$13,489$13,9295.42%6.88%
201430.54%0.65%$13,561$14,0200.54%0.65%
20144-0.80%-0.42%$13,453$13,961-0.80%-0.42%
201451.44%0.79%$13,647$14,0721.44%0.79%
201460.51%1.57%$13,717$14,2920.51%1.57%
20147-1.65%-3.51%$13,490$13,791-1.65%-3.51%
201480.08%0.66%$13,501$13,8820.08%0.66%
20149-6.63%-5.82%$12,606$13,074-6.63%-5.82%
201410-0.44%-2.20%$12,550$12,786-0.44%-2.20%
201411-2.97%-0.72%$12,178$12,695-2.97%-0.72%
201412-2.14%-1.10%$11,917$12,555-2.14%-1.10%
201510.32%-0.65%$11,956$12,4740.32%-0.65%
201527.31%7.47%$12,829$13,4067.31%7.47%
20153-0.71%-1.96%$12,738$13,143-0.71%-1.96%
201545.30%5.03%$13,413$13,8045.30%5.03%
201550.69%1.56%$13,505$14,0200.69%1.56%
20156-2.69%-1.39%$13,141$13,825-2.69%-1.39%
20157-0.03%-1.23%$13,137$13,655-0.03%-1.23%
20158-5.17%-4.27%$12,457$13,072-5.17%-4.27%
20159-2.99%-3.99%$12,085$12,550-2.99%-3.99%
2015105.38%5.25%$12,736$13,2095.38%5.25%
2015110.36%-0.77%$12,782$13,1080.36%-0.77%
2015120.19%-0.39%$12,806$13,0560.19%-0.39%
20161-5.59%-7.39%$12,089$12,092-5.59%-7.39%
20162-1.09%-0.87%$11,957$11,987-1.09%-0.87%
201638.70%8.04%$12,997$12,9508.70%8.04%
201641.00%3.41%$13,127$13,3931.00%3.41%
201651.46%-0.79%$13,319$13,2871.46%-0.79%
20166-5.40%-5.61%$12,600$12,541-5.40%-5.61%
201676.33%7.20%$13,397$13,4446.33%7.20%
201680.20%0.37%$13,424$13,4940.20%0.37%
201693.31%2.74%$13,869$13,8643.31%2.74%
201610-2.07%-0.82%$13,582$13,750-2.07%-0.82%
201611-1.36%-0.57%$13,396$13,671-1.36%-0.57%
2016122.07%3.15%$13,674$14,1012.07%3.15%
201714.48%4.31%$14,286$14,7094.48%4.31%
201722.30%1.31%$14,614$14,9022.30%1.31%
201732.19%1.94%$14,934$15,1912.19%1.94%
201743.60%2.54%$15,473$15,5773.60%2.54%
201752.68%1.86%$15,888$15,8662.68%1.86%
201761.25%1.81%$16,086$16,1531.25%1.81%
201773.83%3.77%$16,701$16,7633.83%3.77%
201780.28%0.49%$16,748$16,8450.28%0.49%
201792.88%3.18%$17,231$17,3802.88%3.18%
2017101.35%0.86%$17,464$17,5291.35%0.86%
2017110.35%0.09%$17,524$17,5440.35%0.09%
2017122.86%2.86%$18,026$18,0472.86%2.86%
201814.34%4.40%$18,807$18,8404.34%4.40%
20182-4.07%-4.92%$18,042$17,913-4.07%-4.92%
20183-0.37%-1.54%$17,976$17,638-0.37%-1.54%
20184-0.13%2.00%$17,952$17,992-0.13%2.00%
20185-1.24%-2.88%$17,729$17,473-1.24%-2.88%
20186-3.00%-2.56%$17,197$17,025-3.00%-2.56%
201871.13%1.57%$17,390$17,2921.13%1.57%
20188-1.86%-2.95%$17,068$16,782-1.86%-2.95%
201890.21%0.46%$17,104$16,8600.21%0.46%
201810-8.73%-9.93%$15,611$15,186-8.73%-9.93%
2018110.34%-1.87%$15,664$14,9020.34%-1.87%
201812-6.70%-7.13%$14,615$13,840-6.70%-7.13%
201917.51%7.51%$15,712$14,8797.51%7.51%
201921.90%2.68%$16,010$15,2781.90%2.68%
20193-0.11%-1.58%$15,992$15,037-0.11%-1.58%
201942.66%3.32%$16,417$15,5362.66%3.32%
20195-5.31%-7.81%$15,545$14,322-5.31%-7.81%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value7.77%9.98%
Mid-cap Growth0.00%0.00%
Small-cap Value1.28%5.19%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets80.93%78.11%
Emerging Markets7.35%6.73%
Corporate Bonds2.61%0.00%
Long-Term Treasuries0.06%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared91.49%90.26%
Style analysis is based on monthly returns from Jan 2007 to May 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DLSWisdomTree International SmallCp Div ETFForeign Small/Mid Value0.58%100.00%$5,545100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DISVXDFA International Small Cap Value IForeign Small/Mid Value0.68%100.00%$4,322100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 06/05/2019. © 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 1Portfolio 2
Arithmetic Mean (monthly)0.44%0.40%
Arithmetic Mean (annualized)5.41%4.88%
Geometric Mean (monthly)0.30%0.24%
Geometric Mean (annualized)3.62%2.94%
Volatility (monthly)5.30%5.56%
Volatility (annualized)18.35%19.25%
Downside Deviation (monthly)3.79%3.91%
Max. Drawdown-60.75%-57.69%
US Market Correlation0.860.86
Beta(*)1.031.09
Alpha (annualized)-3.67%-4.64%
R273.55%73.88%
Sharpe Ratio0.240.20
Sortino Ratio0.340.29
Treynor Ratio (%)4.313.63
Calmar Ratio0.240.10
Active Return-4.14%-4.82%
Tracking Error9.45%9.93%
Information Ratio-0.44-0.49
Skewness-0.76-0.47
Excess Kurtosis2.711.78
Historical Value-at-Risk (5%)-9.83%-9.72%
Analytical Value-at-Risk (5%)-8.27%-8.74%
Conditional Value-at-Risk (5%)-13.31%-13.58%
Upside Capture Ratio (%)87.9491.09
Downside Capture Ratio (%)106.98114.25
Safe Withdrawal Rate7.76%7.84%
Perpetual Withdrawal Rate1.69%1.02%
Positive Periods88 out of 149 (59.06%)83 out of 149 (55.70%)
Gain/Loss Ratio0.870.97
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-60.75%-57.69%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-60.75%
2Feb 2018Dec 201811 months-22.29%
3Jul 2014Dec 20146 monthsSep 20161 year 9 months2 years 3 months-13.12%
4Jun 2007Aug 20073 monthsOct 20072 months5 months-6.04%
5Oct 2016Nov 20162 monthsJan 20172 months4 months-3.41%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-2.29%
7Apr 2014Apr 20141 monthMay 20141 month2 months-0.80%
8Nov 2013Nov 20131 monthDec 20131 month2 months-0.43%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-57.69%
2Feb 2018Dec 201811 months-26.54%
3Jul 2014Feb 20161 year 8 monthsJan 201711 months2 years 7 months-16.13%
4Jun 2007Aug 20073 monthsOct 20072 months5 months-4.75%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-1.38%
6Apr 2014Apr 20141 monthMay 20141 month2 months-0.42%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DLSWisdomTree International SmallCp Div ETF3.62%18.35%37.16%-44.35%-60.75%0.240.340.86
DISVXDFA International Small Cap Value I2.94%19.25%39.51%-41.68%-57.69%0.200.290.86

Monthly Correlations

Correlations for the portfolio assets
TickerNameDLSDISVXPortfolio 1Portfolio 2
DLSWisdomTree International SmallCp Div ETF-0.971.000.97
DISVXDFA International Small Cap Value I0.97-0.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DLSWisdomTree International SmallCp Div ETF$5,545
DISVXDFA International Small Cap Value I$4,322

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DLSWisdomTree International SmallCp Div ETF100.00%
DISVXDFA International Small Cap Value I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.08%37.16%-44.35%5.64%39.51%-41.68%
3 years6.34%14.79%-7.25%6.17%15.42%-5.74%
5 years6.58%17.62%-3.54%6.46%17.09%-3.97%
7 years7.27%11.93%1.89%7.20%11.74%2.88%
10 years6.14%9.65%3.18%5.99%8.71%3.50%
Result statistics are based on annualized rolling returns over full calendar year periods