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 2014 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FNDC Schwab Fundamental Intl Sm Co ETF 100.00%
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Portfolio 2
Ticker Name Allocation
DLS WisdomTree International SmallCp 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$13,633 5.30% 11.71%29.20%-19.13%-22.41% 0.420.640.83
Portfolio 2$10,000$13,640 5.31% 12.27%31.83%-18.92%-22.29% 0.410.630.77
   
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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceSchwab Fundamental Intl Sm Co ETF (FNDC)WisdomTree International SmallCp Div ETF (DLS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20140.76%-5.15%-8.99%$9,485$9,101-5.15%-8.99%
20150.73%4.91%7.46%$9,951$9,7804.91%7.46%
20162.07%8.75%6.78%$10,822$10,4438.75%6.78%
20172.11%29.20%31.83%$13,982$13,76629.20%31.83%
20181.91%-19.13%-18.92%$11,308$11,161-19.13%-18.92%
20192.29%20.56%22.21%$13,633$13,64020.56%22.21%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSchwab Fundamental Intl Sm Co ETF (FNDC)WisdomTree International SmallCp Div ETF (DLS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20141-3.34%-2.29%$9,666$9,771-3.34%-2.29%
201425.26%5.42%$10,174$10,3025.26%5.42%
20143-0.50%0.54%$10,124$10,357-0.50%0.54%
201440.39%-0.80%$10,163$10,2740.39%-0.80%
201452.00%1.44%$10,367$10,4222.00%1.44%
201461.93%0.51%$10,567$10,4761.93%0.51%
20147-2.13%-1.65%$10,341$10,303-2.13%-1.65%
201480.07%0.08%$10,349$10,3110.07%0.08%
20149-5.19%-6.63%$9,811$9,627-5.19%-6.63%
201410-0.26%-0.44%$9,786$9,585-0.26%-0.44%
201411-1.71%-2.97%$9,619$9,300-1.71%-2.97%
201412-1.39%-2.14%$9,485$9,101-1.39%-2.14%
201510.47%0.32%$9,530$9,1310.47%0.32%
201526.12%7.31%$10,113$9,7986.12%7.31%
20153-0.80%-0.71%$10,032$9,728-0.80%-0.71%
201543.64%5.30%$10,397$10,2433.64%5.30%
201550.43%0.69%$10,441$10,3140.43%0.69%
20156-1.41%-2.69%$10,294$10,036-1.41%-2.69%
20157-0.32%-0.03%$10,260$10,033-0.32%-0.03%
20158-4.60%-5.17%$9,788$9,514-4.60%-5.17%
20159-3.73%-2.99%$9,423$9,229-3.73%-2.99%
2015105.91%5.38%$9,980$9,7265.91%5.38%
2015110.30%0.36%$10,009$9,7610.30%0.36%
201512-0.58%0.19%$9,951$9,780-0.58%0.19%
20161-5.86%-5.59%$9,368$9,233-5.86%-5.59%
20162-1.52%-1.09%$9,226$9,132-1.52%-1.09%
201638.59%8.70%$10,018$9,9268.59%8.70%
201642.05%1.00%$10,224$10,0252.05%1.00%
201651.32%1.46%$10,359$10,1721.32%1.46%
20166-2.56%-5.40%$10,093$9,623-2.56%-5.40%
201675.56%6.33%$10,654$10,2325.56%6.33%
20168-0.32%0.20%$10,621$10,252-0.32%0.20%
201693.13%3.31%$10,953$10,5923.13%3.31%
201610-1.37%-2.07%$10,804$10,372-1.37%-2.07%
201611-1.56%-1.36%$10,636$10,231-1.56%-1.36%
2016121.76%2.07%$10,822$10,4431.76%2.07%
201713.98%4.48%$11,253$10,9113.98%4.48%
201721.56%2.30%$11,429$11,1611.56%2.30%
201732.20%2.19%$11,680$11,4062.20%2.19%
201743.04%3.60%$12,035$11,8173.04%3.60%
201752.53%2.68%$12,340$12,1342.53%2.68%
201761.21%1.25%$12,489$12,2851.21%1.25%
201773.27%3.83%$12,897$12,7553.27%3.83%
201780.53%0.28%$12,965$12,7900.53%0.28%
201792.53%2.88%$13,293$13,1592.53%2.88%
2017101.75%1.35%$13,526$13,3371.75%1.35%
2017110.93%0.35%$13,652$13,3830.93%0.35%
2017122.42%2.86%$13,982$13,7662.42%2.86%
201814.23%4.34%$14,573$14,3634.23%4.34%
20182-4.19%-4.07%$13,963$13,779-4.19%-4.07%
20183-0.25%-0.37%$13,928$13,728-0.25%-0.37%
201840.75%-0.13%$14,033$13,7100.75%-0.13%
20185-1.27%-1.24%$13,854$13,540-1.27%-1.24%
20186-2.13%-3.00%$13,559$13,133-2.13%-3.00%
201870.72%1.13%$13,656$13,2810.72%1.13%
20188-1.82%-1.86%$13,407$13,035-1.82%-1.86%
201890.15%0.21%$13,426$13,0630.15%0.21%
201810-9.59%-8.73%$12,139$11,922-9.59%-8.73%
2018110.35%0.34%$12,182$11,9630.35%0.34%
201812-7.18%-6.70%$11,308$11,161-7.18%-6.70%
201918.08%7.51%$12,221$12,0008.08%7.51%
201921.86%1.90%$12,449$12,2271.86%1.90%
20193-0.45%-0.11%$12,393$12,213-0.45%-0.11%
201942.57%2.66%$12,712$12,5382.57%2.66%
20195-5.99%-5.31%$11,950$11,872-5.99%-5.31%
201964.75%3.50%$12,518$12,2874.75%3.50%
20197-2.08%-2.72%$12,257$11,953-2.08%-2.72%
20198-2.45%-3.04%$11,956$11,590-2.45%-3.04%
201993.05%4.19%$12,321$12,0753.05%4.19%
2019104.04%4.55%$12,818$12,6254.04%4.55%
2019112.10%2.64%$13,087$12,9582.10%2.64%
2019124.18%5.27%$13,633$13,6404.18%5.27%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value9.93%3.32%
Mid-cap Growth0.00%0.00%
Small-cap Value3.78%5.72%
Small-cap Growth0.54%0.00%
Global ex-US Developed Markets73.00%78.91%
Emerging Markets9.79%10.41%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries2.95%1.64%
R Squared91.98%86.02%
Style analysis is based on monthly returns from Jan 2014 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
FNDCSchwab Fundamental Intl Sm Co ETFForeign Small/Mid Blend0.39%100.00%$3,633100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DLSWisdomTree International SmallCp Div ETFForeign Small/Mid Value0.58%100.00%$3,640100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 04/03/2020. (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 2
Arithmetic Mean (monthly)0.49%0.49%
Arithmetic Mean (annualized)6.01%6.09%
Geometric Mean (monthly)0.43%0.43%
Geometric Mean (annualized)5.30%5.31%
Volatility (monthly)3.38%3.54%
Volatility (annualized)11.71%12.27%
Downside Deviation (monthly)2.21%2.28%
Max. Drawdown-22.41%-22.29%
US Market Correlation0.830.77
Beta(*)0.830.82
Alpha (annualized)-3.64%-3.39%
R268.45%59.98%
Sharpe Ratio0.420.41
Sortino Ratio0.640.63
Treynor Ratio (%)5.996.20
Calmar Ratio0.360.42
Active Return-6.00%-5.99%
Tracking Error6.87%8.06%
Information Ratio-0.87-0.74
Skewness-0.28-0.15
Excess Kurtosis0.680.04
Historical Value-at-Risk (5%)-5.91%-5.96%
Analytical Value-at-Risk (5%)-5.07%-5.33%
Conditional Value-at-Risk (5%)-7.58%-7.35%
Upside Capture Ratio (%)70.8770.55
Downside Capture Ratio (%)97.9297.26
Safe Withdrawal Rate17.99%17.61%
Perpetual Withdrawal Rate3.48%3.48%
Positive Periods42 out of 72 (58.33%)43 out of 72 (59.72%)
Gain/Loss Ratio1.040.97
* 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
1Feb 2018Dec 201811 months-22.41%
2Jul 2014Feb 20161 year 8 monthsJul 20165 months2 years 1 month-12.69%
3Jan 2014Jan 20141 monthFeb 20141 month2 months-3.34%
4Oct 2016Nov 20162 monthsJan 20172 months4 months-2.90%
5Mar 2014Mar 20141 monthMay 20142 months3 months-0.50%
6Aug 2016Aug 20161 monthSep 20161 month2 months-0.32%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-22.29%
2Jul 2014Dec 20146 monthsSep 20161 year 9 months2 years 3 months-13.12%
3Oct 2016Nov 20162 monthsJan 20172 months4 months-3.41%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-2.29%
5Apr 2014Apr 20141 monthMay 20141 month2 months-0.80%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FNDCSchwab Fundamental Intl Sm Co ETF5.30%11.71%29.20%-19.13%-22.41%0.420.640.83
DLSWisdomTree International SmallCp Div ETF5.31%12.27%31.83%-18.92%-22.29%0.410.630.77

Monthly Correlations

Correlations for the portfolio assets
TickerNameFNDCDLSPortfolio 1Portfolio 2
FNDCSchwab Fundamental Intl Sm Co ETF1.000.981.000.98
DLSWisdomTree International SmallCp Div ETF0.981.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
FNDCSchwab Fundamental Intl Sm Co ETF$3,633
DLSWisdomTree International SmallCp Div ETF$3,640

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
FNDCSchwab Fundamental Intl Sm Co ETF100.00%
DLSWisdomTree International SmallCp Div ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.53%29.20%-19.13%6.73%31.83%-18.92%
3 years7.21%13.81%2.67%7.52%14.79%1.45%
5 years5.01%7.53%2.49%5.33%8.43%2.22%
Result statistics are based on annualized rolling returns over full calendar year periods