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 2008 - Aug 2021)

Portfolio Allocations

Vanguard Emerging Mkts Stock Idx Adm
Ticker Name Allocation
VEMAX Vanguard Emerging Mkts Stock Idx Adm 100.00%
Save portfolio »
DFA Emerging Markets Value I
Ticker Name Allocation
DFEVX DFA Emerging Markets Value I 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Emerging Mkts Stock Idx Adm$10,000$14,108 2.55% 21.82%76.18%-52.76%-59.24% 0.200.280.80
DFA Emerging Markets Value I$10,000$13,030 1.96% 24.41%92.28%-53.94%-61.66% 0.180.260.80
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard Emerging Mkts Stock Idx Adm-2.39%4.79%20.44%10.35%9.69%4.52%2.55%18.78%16.18%
DFA Emerging Markets Value I-1.14%14.31%35.47%6.16%8.78%3.25%1.96%21.47%18.34%
Trailing annualized return and volatility are for full months ending in August 2021 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.
  • The annual results for 2021 are based on monthly returns from January to August
  • 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 Emerging Mkts Stock Idx AdmDFA Emerging Markets Value IVanguard Emerging Mkts Stock Idx Adm (VEMAX)DFA Emerging Markets Value I (DFEVX)
ReturnBalanceReturnBalance
20080.09%-52.76%$4,724-53.94%$4,606-52.76%-53.94%
20092.72%76.18%$8,32392.28%$8,85676.18%92.28%
20101.50%18.99%$9,90422.06%$10,81018.99%22.06%
20112.96%-18.67%$8,055-25.62%$8,041-18.67%-25.62%
20121.74%18.86%$9,57419.36%$9,59818.86%19.36%
20131.50%-5.02%$9,093-3.80%$9,233-5.02%-3.80%
20140.76%0.60%$9,148-4.41%$8,8250.60%-4.41%
20150.73%-15.35%$7,744-18.77%$7,168-15.35%-18.77%
20162.07%11.73%$8,65319.84%$8,59111.73%19.84%
20172.11%31.38%$11,36833.76%$11,49131.38%33.76%
20181.91%-14.58%$9,711-11.93%$10,120-14.58%-11.93%
20192.29%20.31%$11,6839.64%$11,09620.31%9.64%
20201.36%15.24%$13,4632.73%$11,39915.24%2.73%
20215.03%4.79%$14,10814.31%$13,0304.79%14.31%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthVanguard Emerging Mkts Stock Idx AdmDFA Emerging Markets Value IVanguard Emerging Mkts Stock Idx Adm (VEMAX)DFA Emerging Markets Value I (DFEVX)
ReturnBalanceReturnBalance
20081-11.06%$8,894-9.96%$9,004-11.06%-9.96%
200824.64%$9,3073.99%$9,3644.64%3.99%
20083-3.77%$8,956-3.36%$9,049-3.77%-3.36%
200848.09%$9,6817.71%$9,7478.09%7.71%
200851.85%$9,8600.85%$9,8301.85%0.85%
20086-10.37%$8,837-11.63%$8,686-10.37%-11.63%
20087-4.15%$8,470-1.96%$8,516-4.15%-1.96%
20088-7.77%$7,812-8.57%$7,786-7.77%-8.57%
20089-16.24%$6,544-17.25%$6,443-16.24%-17.25%
200810-27.69%$4,732-31.05%$4,442-27.69%-31.05%
200811-7.85%$4,360-7.59%$4,105-7.85%-7.59%
2008128.35%$4,72412.21%$4,6068.35%12.21%
20091-8.22%$4,336-9.03%$4,190-8.22%-9.03%
20092-6.01%$4,076-8.50%$3,834-6.01%-8.50%
2009315.98%$4,72717.30%$4,49815.98%17.30%
2009416.12%$5,48919.66%$5,38216.12%19.66%
2009518.28%$6,49222.50%$6,59318.28%22.50%
20096-2.27%$6,345-1.23%$6,511-2.27%-1.23%
2009711.59%$7,08013.41%$7,38411.59%13.41%
20098-0.65%$7,0340.74%$7,439-0.65%0.74%
200999.29%$7,6889.23%$8,1259.29%9.23%
200910-1.35%$7,584-2.36%$7,933-1.35%-2.36%
2009115.91%$8,0336.37%$8,4385.91%6.37%
2009123.62%$8,3234.95%$8,8563.62%4.95%
20101-6.25%$7,803-5.69%$8,352-6.25%-5.69%
201021.10%$7,8880.78%$8,4171.10%0.78%
201038.18%$8,5338.80%$9,1588.18%8.80%
201040.26%$8,5550.65%$9,2170.26%0.65%
20105-9.28%$7,761-10.48%$8,251-9.28%-10.48%
20106-0.06%$7,7560.62%$8,302-0.06%0.62%
201079.23%$8,4729.25%$9,0709.23%9.25%
20108-2.19%$8,287-1.81%$8,906-2.19%-1.81%
2010911.18%$9,21312.01%$9,97511.18%12.01%
2010102.97%$9,4863.42%$10,3172.97%3.42%
201011-2.68%$9,232-3.25%$9,981-2.68%-3.25%
2010127.28%$9,9048.31%$10,8107.28%8.31%
20111-2.73%$9,633-3.13%$10,472-2.73%-3.13%
20112-0.85%$9,551-1.68%$10,296-0.85%-1.68%
201135.62%$10,0885.75%$10,8885.62%5.75%
201143.45%$10,4363.57%$11,2763.45%3.57%
20115-2.81%$10,143-3.82%$10,846-2.81%-3.82%
20116-1.49%$9,991-2.05%$10,624-1.49%-2.05%
20117-0.80%$9,912-0.85%$10,534-0.80%-0.85%
20118-8.55%$9,064-10.15%$9,464-8.55%-10.15%
20119-16.17%$7,598-17.95%$7,765-16.17%-17.95%
20111013.51%$8,62413.14%$8,78513.51%13.14%
201111-3.40%$8,331-5.07%$8,340-3.40%-5.07%
201112-3.32%$8,055-3.59%$8,041-3.32%-3.59%
2012111.12%$8,95113.87%$9,15611.12%13.87%
201225.60%$9,4526.09%$9,7135.60%6.09%
20123-2.85%$9,182-4.30%$9,295-2.85%-4.30%
20124-1.75%$9,022-3.27%$8,992-1.75%-3.27%
20125-11.03%$8,027-11.06%$7,997-11.03%-11.06%
201264.79%$8,4114.52%$8,3594.79%4.52%
201270.67%$8,467-0.63%$8,3060.67%-0.63%
201280.45%$8,5051.39%$8,4210.45%1.39%
201295.36%$8,9626.43%$8,9635.36%6.43%
201210-0.40%$8,925-1.29%$8,847-0.40%-1.29%
2012111.30%$9,0411.10%$8,9441.30%1.10%
2012125.89%$9,5747.31%$9,5985.89%7.31%
201310.63%$9,6341.61%$9,7520.63%1.61%
20132-1.76%$9,465-1.68%$9,588-1.76%-1.68%
20133-1.49%$9,324-0.86%$9,506-1.49%-0.86%
201341.34%$9,4490.88%$9,5901.34%0.88%
20135-3.72%$9,097-2.85%$9,316-3.72%-2.85%
20136-6.14%$8,539-8.42%$8,532-6.14%-8.42%
201370.99%$8,6231.94%$8,6970.99%1.94%
20138-3.15%$8,351-2.13%$8,512-3.15%-2.13%
201397.15%$8,9487.39%$9,1417.15%7.39%
2013104.67%$9,3664.53%$9,5554.67%4.53%
201311-1.99%$9,180-2.42%$9,324-1.99%-2.42%
201312-0.95%$9,093-0.98%$9,233-0.95%-0.98%
20141-7.24%$8,434-6.99%$8,587-7.24%-6.99%
201423.43%$8,7242.22%$8,7783.43%2.22%
201433.87%$9,0614.46%$9,1693.87%4.46%
201440.53%$9,1100.66%$9,2290.53%0.66%
201453.71%$9,4484.06%$9,6043.71%4.06%
201463.04%$9,7352.61%$9,8543.04%2.61%
201471.48%$9,8791.87%$10,0381.48%1.87%
201483.57%$10,2312.24%$10,2633.57%2.24%
20149-7.15%$9,500-8.20%$9,421-7.15%-8.20%
2014102.34%$9,722-0.07%$9,4142.34%-0.07%
201411-0.99%$9,626-1.69%$9,255-0.99%-1.69%
201412-4.96%$9,148-4.65%$8,825-4.96%-4.65%
201510.69%$9,211-0.82%$8,7530.69%-0.82%
201523.55%$9,5393.56%$9,0653.55%3.56%
20153-2.08%$9,340-2.84%$8,808-2.08%-2.84%
201547.82%$10,0719.96%$9,6857.82%9.96%
20155-3.37%$9,732-4.46%$9,253-3.37%-4.46%
20156-2.39%$9,499-3.19%$8,959-2.39%-3.19%
20157-6.76%$8,857-8.03%$8,239-6.76%-8.03%
20158-9.33%$8,030-9.07%$7,492-9.33%-9.07%
20159-3.27%$7,768-3.34%$7,242-3.27%-3.34%
2015105.63%$8,2056.21%$7,6925.63%6.21%
201511-3.26%$7,937-3.92%$7,391-3.26%-3.92%
201512-2.43%$7,744-3.01%$7,168-2.43%-3.01%
20161-6.04%$7,277-5.64%$6,764-6.04%-5.64%
20162-0.82%$7,2170.62%$6,806-0.82%0.62%
2016313.03%$8,15714.69%$7,80613.03%14.69%
201640.80%$8,2222.71%$8,0170.80%2.71%
20165-3.38%$7,944-6.50%$7,496-3.38%-6.50%
201665.09%$8,3495.47%$7,9065.09%5.47%
201674.65%$8,7376.29%$8,4044.65%6.29%
201681.70%$8,8861.82%$8,5561.70%1.82%
201691.27%$8,9991.38%$8,6741.27%1.38%
2016100.67%$9,0592.18%$8,8640.67%2.18%
201611-4.34%$8,666-3.50%$8,553-4.34%-3.50%
201612-0.16%$8,6530.44%$8,591-0.16%0.44%
201714.94%$9,0806.30%$9,1324.94%6.30%
201723.30%$9,3794.56%$9,5483.30%4.56%
201732.26%$9,5912.74%$9,8102.26%2.74%
201741.43%$9,7270.73%$9,8821.43%0.73%
201751.26%$9,8501.81%$10,0611.26%1.81%
201760.75%$9,9230.26%$10,0880.75%0.26%
201775.37%$10,4565.35%$10,6275.37%5.35%
201783.11%$10,7822.50%$10,8933.11%2.50%
20179-0.80%$10,695-2.24%$10,648-0.80%-2.24%
2017102.49%$10,9623.55%$11,0272.49%3.55%
2017110.19%$10,9820.49%$11,0810.19%0.49%
2017123.51%$11,3683.70%$11,4913.51%3.70%
201818.41%$12,3238.78%$12,5008.41%8.78%
20182-4.69%$11,746-4.71%$11,911-4.69%-4.71%
20183-1.23%$11,601-1.36%$11,749-1.23%-1.36%
20184-2.03%$11,3660.38%$11,793-2.03%0.38%
20185-2.83%$11,044-4.34%$11,281-2.83%-4.34%
20186-4.49%$10,547-5.45%$10,667-4.49%-5.45%
201873.19%$10,8844.59%$11,1563.19%4.59%
20188-3.53%$10,499-2.38%$10,891-3.53%-2.38%
20189-1.30%$10,3630.09%$10,901-1.30%0.09%
201810-7.59%$9,576-8.40%$9,985-7.59%-8.40%
2018114.47%$10,0043.58%$10,3424.47%3.58%
201812-2.94%$9,711-2.15%$10,120-2.94%-2.15%
201918.53%$10,5397.30%$10,8598.53%7.30%
201920.64%$10,607-0.69%$10,7830.64%-0.69%
201931.92%$10,8100.56%$10,8441.92%0.56%
201942.10%$11,0370.76%$10,9272.10%0.76%
20195-6.44%$10,326-5.28%$10,350-6.44%-5.28%
201965.42%$10,8875.07%$10,8755.42%5.07%
20197-1.13%$10,763-4.41%$10,395-1.13%-4.41%
20198-3.78%$10,356-5.12%$9,863-3.78%-5.12%
201991.34%$10,4952.56%$10,1151.34%2.56%
2019103.87%$10,9013.48%$10,4683.87%3.48%
2019110.20%$10,922-0.11%$10,4560.20%-0.11%
2019126.96%$11,6836.12%$11,0966.96%6.12%
20201-5.03%$11,094-8.05%$10,203-5.03%-8.05%
20202-3.68%$10,687-5.99%$9,591-3.68%-5.99%
20203-17.52%$8,814-21.21%$7,557-17.52%-21.21%
202049.27%$9,63111.82%$8,4519.27%11.82%
202052.37%$9,8590.78%$8,5162.37%0.78%
202067.19%$10,5685.64%$8,9967.19%5.64%
202078.37%$11,4525.27%$9,4718.37%5.27%
202082.28%$11,7131.56%$9,6192.28%1.56%
20209-1.67%$11,518-2.03%$9,423-1.67%-2.03%
2020101.95%$11,7420.25%$9,4471.95%0.25%
2020118.23%$12,70912.95%$10,6718.23%12.95%
2020125.93%$13,4636.83%$11,3995.93%6.83%
202112.93%$13,857-0.56%$11,3362.93%-0.56%
202121.66%$14,0866.04%$12,0201.66%6.04%
20213-1.03%$13,9422.76%$12,352-1.03%2.76%
202141.88%$14,2043.52%$12,7861.88%3.52%
202151.75%$14,4533.09%$13,1811.75%3.09%
202161.44%$14,6600.16%$13,2021.44%0.16%
20217-6.27%$13,740-4.17%$12,651-6.27%-4.17%
202182.67%$14,1083.00%$13,0302.67%3.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Emerging Mkts Stock Idx AdmDFA Emerging Markets Value I
Large-cap Value0.00%0.00%
Large-cap Growth1.89%0.00%
Mid-cap Value0.00%1.51%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.57%0.90%
Emerging Markets96.63%97.60%
Corporate Bonds0.48%0.00%
Long-Term Treasuries0.42%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.59%93.85%
Style analysis is based on monthly returns from January 2008 to August 2021 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 Emerging Mkts Stock Idx Adm

Holdings Based Style Analysis for Vanguard Emerging Mkts Stock Idx Adm
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VEMAXVanguard Emerging Mkts Stock Idx AdmDiversified Emerging Mkts100.00%2.02%0.14%14.44$4,108100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for DFA Emerging Markets Value I

Holdings Based Style Analysis for DFA Emerging Markets Value I
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DFEVXDFA Emerging Markets Value IDiversified Emerging Mkts100.00%2.12%0.46%9.19$3,030100.00%

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 Emerging Mkts Stock Idx AdmDFA Emerging Markets Value I
Arithmetic Mean (monthly)0.41%0.42%
Arithmetic Mean (annualized)5.07%5.10%
Geometric Mean (monthly)0.21%0.16%
Geometric Mean (annualized)2.55%1.96%
Volatility (monthly)6.30%7.05%
Volatility (annualized)21.82%24.41%
Downside Deviation (monthly)4.42%4.91%
Max. Drawdown-59.24%-61.66%
US Market Correlation0.800.80
Beta(*)1.081.20
Alpha (annualized)-7.68%-9.04%
R264.22%63.31%
Sharpe Ratio0.200.18
Sortino Ratio0.280.26
Treynor Ratio (%)4.073.69
Calmar Ratio0.420.19
Active Return-8.35%-8.94%
Tracking Error13.12%15.13%
Information Ratio-0.64-0.59
Skewness-0.50-0.41
Excess Kurtosis2.542.87
Historical Value-at-Risk (5%)-9.17%-9.82%
Analytical Value-at-Risk (5%)-9.95%-11.18%
Conditional Value-at-Risk (5%)-14.30%-15.64%
Upside Capture Ratio (%)81.7089.99
Downside Capture Ratio (%)118.38132.10
Safe Withdrawal Rate6.12%6.05%
Perpetual Withdrawal Rate0.61%0.00%
Positive Periods90 out of 164 (54.88%)91 out of 164 (55.49%)
Gain/Loss Ratio0.980.94
* 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 Emerging Mkts Stock Idx AdmDFA Emerging Markets Value I
COVID-19 StartJan 2020Mar 2020-24.55%-31.89%

Drawdowns for Vanguard Emerging Mkts Stock Idx Adm

Drawdowns for Vanguard Emerging Mkts Stock Idx Adm
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsMar 20112 years 1 month3 years 3 months-59.24%
2May 2011Feb 20164 years 10 monthsJul 20171 year 5 months6 years 3 months-30.84%
3Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-28.48%
4Jul 2021Jul 20211 month-6.27%
5Mar 2021Mar 20211 monthApr 20211 month2 months-1.03%
6Sep 2017Sep 20171 monthOct 20171 month2 months-0.80%

Drawdowns for DFA Emerging Markets Value I

Drawdowns for DFA Emerging Markets Value I
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsOct 20101 year 8 months2 years 10 months-61.66%
2May 2011Jan 20164 years 9 monthsDec 20171 year 11 months6 years 8 months-40.01%
3Feb 2018Mar 20202 years 2 monthsApr 20211 year 1 month3 years 3 months-39.54%
4Jan 2011Feb 20112 monthsMar 20111 month3 months-4.76%
5Jul 2021Jul 20211 month-4.17%
6Nov 2010Nov 20101 monthDec 20101 month2 months-3.25%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VEMAXVanguard Emerging Mkts Stock Idx Adm2.55%21.82%76.18%-52.76%-59.24%0.200.280.80
DFEVXDFA Emerging Markets Value I1.96%24.41%92.28%-53.94%-61.66%0.180.260.80

Monthly Correlations

Correlations for the portfolio assets
TickerNameVEMAXDFEVXVanguard Emerging Mkts Stock Idx AdmDFA Emerging Markets Value I
VEMAXVanguard Emerging Mkts Stock Idx Adm1.000.981.000.98
DFEVXDFA Emerging Markets Value I0.981.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Emerging Mkts Stock Idx AdmDFA Emerging Markets Value I
VEMAXVanguard Emerging Mkts Stock Idx Adm$4,108
DFEVXDFA Emerging Markets Value I$3,030

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Emerging Mkts Stock Idx AdmDFA Emerging Markets Value I
VEMAXVanguard Emerging Mkts Stock Idx Adm100.00%
DFEVXDFA Emerging Markets Value I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Emerging Mkts Stock Idx AdmDFA Emerging Markets Value I
AverageHighLowAverageHighLow
1 year7.07%93.55%-56.21%6.92%119.52%-59.05%
3 years4.39%32.37%-8.93%3.49%36.32%-11.48%
5 years3.80%16.44%-5.46%3.00%18.02%-8.37%
7 years3.14%8.94%-1.26%2.12%8.76%-3.22%
10 years3.90%10.04%0.32%2.96%10.89%-1.90%