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 2012 - Dec 2020)

Portfolio Allocations

Global X SuperDividend ETF
Ticker Name Allocation
SDIV Global X SuperDividend ETF 100.00%
Save portfolio »
S&P 500 Vanguard ETF
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Global X SuperDividend ETF$10,000$12,128 2.17% 19.77%16.61%-21.53%-49.96% 0.190.240.82
S&P 500 Vanguard ETF$10,000$35,810 15.23% 13.27%32.39%-4.50%-19.58% 1.091.771.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 yearFull3 year5 year
Global X SuperDividend ETF22.46%-21.53%-21.53%-9.02%-0.91%2.17%29.54%23.81%
S&P 500 Vanguard ETF12.17%18.29%18.29%14.06%15.18%15.23%18.70%15.18%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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
YearInflationGlobal X SuperDividend ETFS&P 500 Vanguard ETFGlobal X SuperDividend ETF (SDIV)Vanguard S&P 500 ETF (VOO)
ReturnBalanceReturnBalance
20121.74%16.61%$11,66116.00%$11,60016.61%16.00%
20131.50%13.95%$13,28832.39%$15,35813.95%32.39%
20140.76%4.54%$13,89113.55%$17,4384.54%13.55%
20150.73%-8.61%$12,6951.31%$17,668-8.61%1.31%
20162.07%13.34%$14,38812.17%$19,81813.34%12.17%
20172.11%11.94%$16,10721.77%$24,13311.94%21.77%
20181.91%-15.09%$13,677-4.50%$23,046-15.09%-4.50%
20192.29%13.01%$15,45731.35%$30,27313.01%31.35%
20201.36%-21.53%$12,12818.29%$35,810-21.53%18.29%
Monthly returns for the configured portfolios
YearMonthGlobal X SuperDividend ETFS&P 500 Vanguard ETFGlobal X SuperDividend ETF (SDIV)Vanguard S&P 500 ETF (VOO)
ReturnBalanceReturnBalance
201216.64%$10,6644.47%$10,4476.64%4.47%
201222.99%$10,9844.28%$10,8952.99%4.28%
201230.06%$10,9903.30%$11,2540.06%3.30%
20124-0.53%$10,931-0.64%$11,182-0.53%-0.64%
20125-7.98%$10,059-6.00%$10,511-7.98%-6.00%
201265.99%$10,6624.14%$10,9465.99%4.14%
201272.69%$10,9491.20%$11,0782.69%1.20%
201281.76%$11,1422.51%$11,3561.76%2.51%
201291.36%$11,2942.55%$11,6461.36%2.55%
2012100.20%$11,317-1.96%$11,4180.20%-1.96%
201211-0.62%$11,2470.57%$11,483-0.62%0.57%
2012123.68%$11,6611.02%$11,6003.68%1.02%
201315.20%$12,2685.17%$12,2005.20%5.17%
20132-0.37%$12,2221.33%$12,361-0.37%1.33%
201332.11%$12,4803.61%$12,8082.11%3.61%
201344.03%$12,9832.09%$13,0764.03%2.09%
20135-7.23%$12,0432.32%$13,380-7.23%2.32%
20136-3.31%$11,645-1.50%$13,179-3.31%-1.50%
201375.68%$12,3075.30%$13,8785.68%5.30%
20138-2.65%$11,981-3.08%$13,450-2.65%-3.08%
201395.84%$12,6813.39%$13,9065.84%3.39%
2013104.54%$13,2574.47%$14,5284.54%4.47%
201311-1.38%$13,0743.00%$14,963-1.38%3.00%
2013121.64%$13,2882.64%$15,3581.64%2.64%
20141-3.11%$12,874-3.53%$14,816-3.11%-3.53%
201426.65%$13,7304.57%$15,4926.65%4.57%
201432.30%$14,0460.88%$15,6292.30%0.88%
201442.62%$14,4150.72%$15,7422.62%0.72%
201452.33%$14,7512.29%$16,1032.33%2.29%
201462.60%$15,1352.09%$16,4392.60%2.09%
20147-1.39%$14,925-1.38%$16,213-1.39%-1.38%
201482.91%$15,3603.97%$16,8572.91%3.97%
20149-8.09%$14,118-1.38%$16,625-8.09%-1.38%
2014102.02%$14,4032.40%$17,0252.02%2.40%
201411-0.28%$14,3622.76%$17,494-0.28%2.76%
201412-3.28%$13,891-0.32%$17,438-3.28%-0.32%
20151-0.65%$13,801-2.87%$16,938-0.65%-2.87%
201524.38%$14,4065.58%$17,8834.38%5.58%
20153-2.28%$14,078-1.57%$17,602-2.28%-1.57%
201544.22%$14,6711.00%$17,7794.22%1.00%
20155-3.52%$14,1551.25%$18,001-3.52%1.25%
20156-3.31%$13,686-1.95%$17,650-3.31%-1.95%
20157-0.36%$13,6362.18%$18,034-0.36%2.18%
20158-6.59%$12,738-6.14%$16,928-6.59%-6.14%
20159-3.04%$12,351-2.47%$16,510-3.04%-2.47%
2015105.53%$13,0348.45%$17,9055.53%8.45%
201511-1.03%$12,9000.43%$17,981-1.03%0.43%
201512-1.59%$12,695-1.74%$17,668-1.59%-1.74%
20161-6.19%$11,910-4.91%$16,800-6.19%-4.91%
201620.33%$11,949-0.21%$16,7650.33%-0.21%
2016310.20%$13,1686.87%$17,91710.20%6.87%
201643.25%$13,5960.35%$17,9803.25%0.35%
201650.10%$13,6091.75%$18,2950.10%1.75%
201661.52%$13,8160.32%$18,3541.52%0.32%
201674.64%$14,4573.68%$19,0304.64%3.68%
20168-0.27%$14,4180.12%$19,053-0.27%0.12%
201690.57%$14,5000.04%$19,0600.57%0.04%
201610-4.26%$13,882-1.79%$18,718-4.26%-1.79%
2016110.60%$13,9663.73%$19,4160.60%3.73%
2016123.02%$14,3882.07%$19,8183.02%2.07%
201712.35%$14,7271.78%$20,1722.35%1.78%
201721.47%$14,9443.88%$20,9531.47%3.88%
201730.33%$14,9930.13%$20,9810.33%0.13%
201741.51%$15,2191.04%$21,1991.51%1.04%
20175-1.11%$15,0491.40%$21,497-1.11%1.40%
201762.45%$15,4190.63%$21,6322.45%0.63%
201772.04%$15,7332.06%$22,0782.04%2.06%
20178-0.54%$15,6480.29%$22,142-0.54%0.29%
201791.76%$15,9232.04%$22,5951.76%2.04%
201710-1.73%$15,6472.33%$23,120-1.73%2.33%
2017110.33%$15,6983.06%$23,8270.33%3.06%
2017122.60%$16,1071.28%$24,1332.60%1.28%
201811.74%$16,3885.59%$25,4811.74%5.59%
20182-6.13%$15,383-3.73%$24,532-6.13%-3.73%
201830.74%$15,496-2.48%$23,9230.74%-2.48%
201840.79%$15,6190.35%$24,0060.79%0.35%
201851.25%$15,8142.42%$24,5861.25%2.42%
201861.08%$15,9840.76%$24,7721.08%0.76%
201871.26%$16,1863.56%$25,6551.26%3.56%
20188-1.26%$15,9823.22%$26,481-1.26%3.22%
20189-0.75%$15,8620.58%$26,634-0.75%0.58%
201810-5.79%$14,945-6.84%$24,813-5.79%-6.84%
2018111.07%$15,1041.89%$25,2801.07%1.89%
201812-9.45%$13,677-8.84%$23,046-9.45%-8.84%
2019112.28%$15,3577.92%$24,87212.28%7.92%
20192-2.13%$15,0303.25%$25,680-2.13%3.25%
20193-1.80%$14,7591.92%$26,173-1.80%1.92%
20194-1.14%$14,5904.03%$27,229-1.14%4.03%
20195-4.89%$13,877-6.35%$25,500-4.89%-6.35%
201962.95%$14,2876.99%$27,2822.95%6.99%
20197-0.24%$14,2521.46%$27,681-0.24%1.46%
20198-3.84%$13,705-1.64%$27,227-3.84%-1.64%
201995.16%$14,4121.97%$27,7645.16%1.97%
2019102.34%$14,7502.18%$28,3702.34%2.18%
2019110.30%$14,7943.63%$29,3980.30%3.63%
2019124.48%$15,4572.97%$30,2734.48%2.97%
20201-3.11%$14,976-0.04%$30,261-3.11%-0.04%
20202-10.70%$13,374-8.10%$27,810-10.70%-8.10%
20203-38.68%$8,201-12.46%$24,345-38.68%-12.46%
2020412.04%$9,18812.79%$27,45712.04%12.79%
202052.32%$9,4004.74%$28,7582.32%4.74%
202065.64%$9,9301.83%$29,2855.64%1.83%
202071.71%$10,1005.88%$31,0081.71%5.88%
202081.97%$10,2996.97%$33,1691.97%6.97%
20209-3.84%$9,904-3.75%$31,924-3.84%-3.75%
202010-0.48%$9,857-2.55%$31,112-0.48%-2.55%
20201116.03%$11,43610.95%$34,51716.03%10.95%
2020126.05%$12,1283.75%$35,8106.05%3.75%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryGlobal X SuperDividend ETFS&P 500 Vanguard ETF
Large-cap Value0.00%45.12%
Large-cap Growth0.00%54.54%
Mid-cap Value57.07%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.27%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets15.46%0.00%
Emerging Markets27.47%0.07%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared81.04%99.94%
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 Global X SuperDividend ETF

Holdings Based Style Analysis for Global X SuperDividend ETF
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
SDIVGlobal X SuperDividend ETFWorld Small/Mid Stock100.00%9.18%8.32%0.59%0.59%5.22$2,128100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for S&P 500 Vanguard ETF

Holdings Based Style Analysis for S&P 500 Vanguard ETF
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VOOVanguard S&P 500 ETFLarge Blend100.00%1.23%1.26%0.03%0.03%24.91$25,810100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/03/2021. (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
MetricGlobal X SuperDividend ETFS&P 500 Vanguard ETF
Arithmetic Mean (monthly)0.36%1.26%
Arithmetic Mean (annualized)4.46%16.23%
Geometric Mean (monthly)0.18%1.19%
Geometric Mean (annualized)2.17%15.23%
Standard Deviation (monthly)5.71%3.83%
Standard Deviation (annualized)19.77%13.27%
Downside Deviation (monthly)4.53%2.33%
Max. Drawdown-49.96%-19.58%
US Market Correlation0.821.00
Beta(*)1.170.96
Alpha (annualized)-13.35%0.64%
R266.79%99.26%
Sharpe Ratio0.191.09
Sortino Ratio0.241.77
Treynor Ratio (%)3.1915.14
Calmar Ratio-0.180.72
Active Return-12.99%0.07%
Tracking Error11.63%1.28%
Information Ratio-1.120.05
Skewness-2.82-0.49
Excess Kurtosis20.141.93
Historical Value-at-Risk (5%)-7.01%-6.09%
Analytical Value-at-Risk (5%)-9.02%-5.04%
Conditional Value-at-Risk (5%)-13.69%-8.12%
Upside Capture Ratio (%)73.2398.70
Downside Capture Ratio (%)143.8197.17
Safe Withdrawal Rate13.99%20.35%
Perpetual Withdrawal Rate0.55%11.82%
Positive Periods64 out of 108 (59.26%)79 out of 108 (73.15%)
Gain/Loss Ratio0.850.87
* 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 PeriodStartEndGlobal X SuperDividend ETFS&P 500 Vanguard ETF
COVID-19 StartJan 2020Mar 2020-46.95%-19.58%

Drawdowns for Global X SuperDividend ETF

Drawdowns for Global X SuperDividend ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Mar 20202 years 2 months-49.96%
2Sep 2014Jan 20161 year 5 monthsJun 20171 year 5 months2 years 10 months-22.46%
3May 2013Jun 20132 monthsOct 20134 months6 months-10.30%
4Apr 2012May 20122 monthsAug 20123 months5 months-8.47%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
6Oct 2017Oct 20171 monthDec 20172 months3 months-1.73%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%
8Nov 2013Nov 20131 monthDec 20131 month2 months-1.38%
9Nov 2012Nov 20121 monthDec 20121 month2 months-0.62%
10Aug 2017Aug 20171 monthSep 20171 month2 months-0.54%
Worst 10 drawdowns included above

Drawdowns for S&P 500 Vanguard ETF

Drawdowns for S&P 500 Vanguard ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.58%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.47%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.45%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
5May 2019May 20191 monthJun 20191 month2 months-6.35%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-6.20%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.11%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.53%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.18%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.08%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SDIVGlobal X SuperDividend ETF2.17%19.77%16.61%-21.53%-49.96%0.190.240.82
VOOVanguard S&P 500 ETF15.23%13.27%32.39%-4.50%-19.58%1.091.771.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 yearNetGross
Global X SuperDividend ETF22.46%-21.53%-21.53%-9.02%-0.91%0.59%0.59%
Vanguard S&P 500 ETF12.17%18.29%18.29%14.06%15.18%0.03%0.03%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameSDIVVOOGlobal X SuperDividend ETFS&P 500 Vanguard ETF
SDIVGlobal X SuperDividend ETF1.000.801.000.80
VOOVanguard S&P 500 ETF0.801.000.801.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameGlobal X SuperDividend ETFS&P 500 Vanguard ETF
SDIVGlobal X SuperDividend ETF$2,128
VOOVanguard S&P 500 ETF$25,810

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameGlobal X SuperDividend ETFS&P 500 Vanguard ETF
SDIVGlobal X SuperDividend ETF100.00%
VOOVanguard S&P 500 ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodGlobal X SuperDividend ETFS&P 500 Vanguard ETF
AverageHighLowAverageHighLow
1 year0.97%29.96%-44.44%13.67%32.39%-6.98%
3 years1.49%12.06%-18.22%12.65%20.37%5.08%
5 years1.91%8.39%-10.24%12.52%15.87%6.70%
7 years1.06%5.35%-5.82%12.89%14.69%9.61%