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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2012 - Dec 2020)

Portfolio Allocations

Vanguard Total World Stock ETF
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
Save portfolio »
iShares Core High Dividend ETF
Ticker Name Allocation
HDV iShares Core High Dividend 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$26,411 11.39% 13.72%26.82%-9.76%-22.15% 0.811.240.96
iShares Core High Dividend ETF$10,000$21,812 9.05% 12.91%23.59%-6.47%-26.06% 0.691.060.85
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard Total World Stock ETF15.50%16.61%10.09%12.51%11.39%18.64%15.29%
iShares Core High Dividend ETF10.08%-6.47%2.95%7.47%9.05%18.63%15.03%
Trailing annualized return and volatility are for full months ending in December 2020 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 Core High Dividend ETFVanguard Total World Stock ETF (VT)iShares Core High Dividend ETF (HDV)
ReturnBalanceReturnBalance
20121.74%17.12%$11,7129.67%$10,96717.12%9.67%
20131.50%22.95%$14,40023.59%$13,55322.95%23.59%
20140.76%3.67%$14,92912.56%$15,2563.67%12.56%
20150.73%-1.86%$14,651-0.26%$15,216-1.86%-0.26%
20162.07%8.51%$15,89815.86%$17,6298.51%15.86%
20172.11%24.49%$19,79213.41%$19,99324.49%13.41%
20181.91%-9.76%$17,860-2.98%$19,398-9.76%-2.98%
20192.29%26.82%$22,64920.23%$23,32226.82%20.23%
20201.36%16.61%$26,411-6.47%$21,81216.61%-6.47%
Monthly returns for the configured portfolios
YearMonthVanguard Total World Stock ETFiShares Core High Dividend ETFVanguard Total World Stock ETF (VT)iShares Core High Dividend ETF (HDV)
ReturnBalanceReturnBalance
201215.47%$10,547-1.71%$9,8295.47%-1.71%
201224.77%$11,0493.06%$10,1304.77%3.06%
201231.17%$11,1792.59%$10,3921.17%2.59%
20124-1.18%$11,0471.42%$10,539-1.18%1.42%
20125-8.93%$10,060-1.57%$10,374-8.93%-1.57%
201265.13%$10,5774.98%$10,8915.13%4.98%
201270.72%$10,6533.34%$11,2540.72%3.34%
201282.48%$10,917-1.73%$11,0602.48%-1.73%
201293.11%$11,2571.95%$11,2753.11%1.95%
201210-0.60%$11,189-0.87%$11,177-0.60%-0.87%
2012111.53%$11,360-0.73%$11,0961.53%-0.73%
2012123.10%$11,712-1.16%$10,9673.10%-1.16%
201314.01%$12,1815.57%$11,5774.01%5.57%
20132-0.31%$12,1432.05%$11,814-0.31%2.05%
201332.35%$12,4294.12%$12,3012.35%4.12%
201342.68%$12,7624.93%$12,9072.68%4.93%
20135-0.56%$12,690-2.25%$12,617-0.56%-2.25%
20136-2.66%$12,353-0.22%$12,589-2.66%-0.22%
201375.16%$12,9913.39%$13,0165.16%3.39%
20138-2.46%$12,672-3.67%$12,538-2.46%-3.67%
201395.59%$13,3801.15%$12,6825.59%1.15%
2013103.71%$13,8765.19%$13,3403.71%5.19%
2013111.54%$14,0910.96%$13,4681.54%0.96%
2013122.19%$14,4000.63%$13,5532.19%0.63%
20141-4.44%$13,760-3.81%$13,036-4.44%-3.81%
201425.21%$14,4773.27%$13,4635.21%3.27%
201430.48%$14,5473.20%$13,8940.48%3.20%
201440.74%$14,6543.29%$14,3510.74%3.29%
201452.05%$14,9540.57%$14,4332.05%0.57%
201462.21%$15,2852.39%$14,7772.21%2.39%
20147-1.75%$15,017-2.18%$14,456-1.75%-2.18%
201482.65%$15,4153.36%$14,9422.65%3.36%
20149-3.34%$14,900-0.48%$14,870-3.34%-0.48%
2014100.94%$15,0411.85%$15,1440.94%1.85%
2014111.26%$15,2311.94%$15,4391.26%1.94%
201412-1.99%$14,929-1.18%$15,256-1.99%-1.18%
20151-1.63%$14,685-1.91%$14,965-1.63%-1.91%
201525.95%$15,5593.41%$15,4755.95%3.41%
20153-1.21%$15,371-2.49%$15,090-1.21%-2.49%
201542.55%$15,7632.91%$15,5292.55%2.91%
201550.33%$15,816-0.75%$15,4120.33%-0.75%
20156-2.22%$15,464-3.01%$14,948-2.22%-3.01%
201570.50%$15,5421.45%$15,1650.50%1.45%
20158-6.63%$14,512-4.86%$14,427-6.63%-4.86%
20159-3.71%$13,973-0.99%$14,284-3.71%-0.99%
2015107.29%$14,9918.11%$15,4427.29%8.11%
201511-0.08%$14,979-1.13%$15,267-0.08%-1.13%
201512-2.19%$14,651-0.34%$15,216-2.19%-0.34%
20161-5.87%$13,7910.11%$15,232-5.87%0.11%
20162-1.11%$13,6390.97%$15,380-1.11%0.97%
201637.98%$14,7276.05%$16,3107.98%6.05%
201641.01%$14,8751.08%$16,4861.01%1.08%
201650.65%$14,9721.60%$16,7500.65%1.60%
20166-0.18%$14,9453.41%$17,321-0.18%3.41%
201674.15%$15,5650.73%$17,4474.15%0.73%
201680.35%$15,619-1.08%$17,2590.35%-1.08%
201690.79%$15,7420.14%$17,2840.79%0.14%
201610-1.97%$15,432-2.46%$16,858-1.97%-2.46%
2016111.19%$15,6151.30%$17,0771.19%1.30%
2016121.81%$15,8983.23%$17,6291.81%3.23%
201713.00%$16,375-0.73%$17,5003.00%-0.73%
201722.69%$16,8163.74%$18,1542.69%3.74%
201731.48%$17,064-0.14%$18,1291.48%-0.14%
201741.63%$17,341-0.72%$17,9991.63%-0.72%
201751.95%$17,6791.37%$18,2461.95%1.37%
201760.63%$17,789-0.66%$18,1250.63%-0.66%
201772.65%$18,2611.66%$18,4262.65%1.66%
201780.42%$18,337-0.44%$18,3460.42%-0.44%
201792.11%$18,7233.02%$18,9002.11%3.02%
2017102.11%$19,118-0.31%$18,8412.11%-0.31%
2017111.90%$19,4813.72%$19,5421.90%3.72%
2017121.60%$19,7922.31%$19,9931.60%2.31%
201815.48%$20,8762.32%$20,4575.48%2.32%
20182-4.44%$19,949-6.61%$19,104-4.44%-6.61%
20183-1.29%$19,692-0.98%$18,917-1.29%-0.98%
201840.42%$19,775-0.02%$18,9120.42%-0.02%
201850.57%$19,8870.31%$18,9700.57%0.31%
20186-0.60%$19,7681.26%$19,210-0.60%1.26%
201872.88%$20,3373.93%$19,9652.88%3.93%
201880.86%$20,5121.23%$20,2110.86%1.23%
201890.08%$20,5282.14%$20,6440.08%2.14%
201810-7.82%$18,923-2.21%$20,188-7.82%-2.21%
2018111.73%$19,2504.26%$21,0471.73%4.26%
201812-7.22%$17,860-7.84%$19,398-7.22%-7.84%
201917.99%$19,2874.82%$20,3347.99%4.82%
201922.82%$19,8304.32%$21,2122.82%4.32%
201931.06%$20,0412.00%$21,6361.06%2.00%
201943.47%$20,7372.26%$22,1263.47%2.26%
20195-5.97%$19,499-6.17%$20,760-5.97%-6.17%
201966.37%$20,7416.42%$22,0936.37%6.42%
201970.00%$20,741-0.21%$22,0460.00%-0.21%
20198-2.10%$20,305-1.74%$21,663-2.10%-1.74%
201992.28%$20,7672.54%$22,2142.28%2.54%
2019102.79%$21,3470.62%$22,3512.79%0.62%
2019112.56%$21,8941.42%$22,6692.56%1.42%
2019123.45%$22,6492.88%$23,3223.45%2.88%
20201-1.56%$22,297-4.13%$22,358-1.56%-4.13%
20202-7.22%$20,686-9.91%$20,142-7.22%-9.91%
20203-14.76%$17,634-14.39%$17,244-14.76%-14.39%
2020410.37%$19,46214.27%$19,70510.37%14.27%
202055.21%$20,4752.63%$20,2235.21%2.63%
202063.07%$21,103-2.25%$19,7673.07%-2.25%
202075.29%$22,2202.56%$20,2745.29%2.56%
202086.01%$23,5551.80%$20,6396.01%1.80%
20209-2.92%$22,866-3.99%$19,816-2.92%-3.99%
202010-2.05%$22,398-3.28%$19,166-2.05%-3.28%
20201112.37%$25,16911.42%$21,35512.37%11.42%
2020124.94%$26,4112.14%$21,8124.94%2.14%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total World Stock ETFiShares Core High Dividend ETF
Large-cap Value12.54%84.64%
Large-cap Growth28.95%0.00%
Mid-cap Value8.86%0.00%
Mid-cap Growth0.76%0.00%
Small-cap Value0.69%0.00%
Small-cap Growth0.89%0.00%
Global ex-US Developed Markets34.99%0.00%
Emerging Markets12.32%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%15.36%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.72%81.22%
Style analysis is based on monthly returns from January 2012 to December 2020 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$16,411100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for iShares Core High Dividend ETF

Holdings Based Style Analysis for iShares Core High Dividend ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
HDViShares Core High Dividend ETFLarge Value100.00%3.56%0.08%21.85$11,812100.00%

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 Core High Dividend ETF
Arithmetic Mean (monthly)0.98%0.79%
Arithmetic Mean (annualized)12.44%9.95%
Geometric Mean (monthly)0.90%0.72%
Geometric Mean (annualized)11.39%9.05%
Volatility (monthly)3.96%3.73%
Volatility (annualized)13.72%12.91%
Downside Deviation (monthly)2.55%2.38%
Max. Drawdown-22.15%-26.06%
US Market Correlation0.960.85
Beta(*)0.960.80
Alpha (annualized)-2.72%-2.53%
R292.82%72.46%
Sharpe Ratio0.810.69
Sortino Ratio1.241.06
Treynor Ratio (%)11.6411.16
Calmar Ratio0.460.11
Active Return-3.77%-6.11%
Tracking Error3.72%7.34%
Information Ratio-1.01-0.83
Skewness-0.62-0.36
Excess Kurtosis2.333.82
Historical Value-at-Risk (5%)-6.40%-4.61%
Analytical Value-at-Risk (5%)-5.53%-5.34%
Conditional Value-at-Risk (5%)-8.76%-8.30%
Upside Capture Ratio (%)89.7070.16
Downside Capture Ratio (%)107.4887.06
Safe Withdrawal Rate17.28%17.23%
Perpetual Withdrawal Rate8.79%6.83%
Positive Periods73 out of 108 (67.59%)65 out of 108 (60.19%)
Gain/Loss Ratio0.901.19
* 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 PeriodStartEndVanguard Total World Stock ETFiShares Core High Dividend ETF
COVID-19 StartJan 2020Mar 2020-22.15%-26.06%

Drawdowns for Vanguard Total World Stock ETF

Drawdowns for Vanguard Total World Stock ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-22.15%
2Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.45%
3Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%
4Apr 2012May 20122 monthsSep 20124 months6 months-10.01%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.91%
6Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.73%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-4.44%
8May 2013Jun 20132 monthsJul 20131 month3 months-3.20%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.46%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.75%
Worst 10 drawdowns included above

Drawdowns for iShares Core High Dividend ETF

Drawdowns for iShares Core High Dividend ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-26.06%
2May 2015Sep 20155 monthsMar 20166 months11 months-8.02%
3Dec 2018Dec 20181 monthFeb 20192 months3 months-7.84%
4Feb 2018Apr 20183 monthsSep 20185 months8 months-7.55%
5May 2019May 20191 monthSep 20194 months5 months-6.17%
6Jan 2014Jan 20141 monthMar 20142 months3 months-3.81%
7Aug 2013Aug 20131 monthOct 20132 months3 months-3.67%
8Aug 2016Oct 20163 monthsDec 20162 months5 months-3.37%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.07%
10Oct 2012Dec 20123 monthsJan 20131 month4 months-2.74%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTVanguard Total World Stock ETF11.39%13.72%26.82%-9.76%-22.15%0.811.240.96
HDViShares Core High Dividend ETF9.05%12.91%23.59%-6.47%-26.06%0.691.060.85

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTHDVVanguard Total World Stock ETFiShares Core High Dividend ETF
VTVanguard Total World Stock ETF1.000.821.000.82
HDViShares Core High Dividend ETF0.821.000.821.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total World Stock ETFiShares Core High Dividend ETF
VTVanguard Total World Stock ETF$16,411
HDViShares Core High Dividend ETF$11,812

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total World Stock ETFiShares Core High Dividend ETF
VTVanguard Total World Stock ETF100.00%
HDViShares Core High Dividend ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Total World Stock ETFiShares Core High Dividend ETF
AverageHighLowAverageHighLow
1 year9.58%27.49%-12.34%8.59%23.59%-20.30%
3 years8.47%16.28%1.10%8.73%15.17%-1.65%
5 years8.49%12.51%2.78%8.89%12.76%2.70%
7 years8.62%10.10%5.12%8.82%11.38%4.94%