This online 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.
| Ticker | Name | Allocation |
|---|---|---|
| VWO | Vanguard FTSE Emerging Markets ETF | 100.00% |
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| Ticker | Name | Allocation |
|---|---|---|
| DEM | WisdomTree Emerging Markets High Div ETF | 100.00% |
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| Ticker | Name | Allocation |
|---|---|---|
| DGS | WisdomTree Emerging Markets SmCp Div ETF | 100.00% |
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| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $12,656 | 2.81% | 18.31% | 31.48% | -18.76% | -30.74% | 0.23 | 0.34 | 0.75 |
| Portfolio 2 | $10,000 | $12,063 | 2.23% | 17.91% | 26.25% | -21.46% | -41.92% | 0.20 | 0.30 | 0.69 |
| Portfolio 3 | $10,000 | $14,495 | 4.46% | 17.63% | 37.46% | -21.22% | -30.98% | 0.32 | 0.48 | 0.71 |
| Vanguard 500 Index Investor | $10,000 | $28,769 | 13.24% | 11.88% | 32.18% | 1.25% | -16.31% | 1.09 | 1.91 | 1.00 |
| Year | Inflation | Return | Balance | Income | Vanguard FTSE Emerging Markets ETF (VWO) | WisdomTree Emerging Markets High Div ETF (DEM) | WisdomTree Emerging Markets SmCp Div ETF (DGS) | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | Portfolio 1 | Portfolio 2 | Portfolio 3 | |||||
| 2010 | 1.50% | 19.47% | 24.63% | 30.15% | 14.91% | $11,947 | $12,463 | $13,015 | $11,491 | 1.99% [$199] | 3.95% [$395] | 3.03% [$303] | 19.47% | 24.63% | 30.15% |
| 2011 | 2.96% | -18.76% | -10.39% | -21.22% | 1.97% | $9,706 | $11,168 | $10,254 | $11,717 | 1.88% [$225] | 3.87% [$482] | 3.14% [$409] | -18.76% | -10.39% | -21.22% |
| 2012 | 1.74% | 19.20% | 15.56% | 23.52% | 15.82% | $11,570 | $12,905 | $12,665 | $13,572 | 2.57% [$249] | 3.72% [$415] | 3.56% [$365] | 19.20% | 15.56% | 23.52% |
| 2013 | 1.50% | -4.92% | -6.96% | -3.49% | 32.18% | $11,001 | $12,007 | $12,222 | $17,938 | 2.55% [$295] | 3.71% [$479] | 3.25% [$412] | -4.92% | -6.96% | -3.49% |
| 2014 | 0.76% | -0.07% | -13.32% | -3.55% | 13.51% | $10,994 | $10,408 | $11,789 | $20,361 | 2.80% [$308] | 4.62% [$555] | 3.02% [$369] | -0.07% | -13.32% | -3.55% |
| 2015 | 0.73% | -15.81% | -21.46% | -16.33% | 1.25% | $9,256 | $8,174 | $9,864 | $20,616 | 2.69% [$295] | 3.96% [$412] | 2.68% [$316] | -15.81% | -21.46% | -16.33% |
| 2016 | 2.07% | 12.21% | 22.45% | 15.37% | 11.82% | $10,386 | $10,009 | $11,380 | $23,052 | 2.78% [$257] | 4.33% [$354] | 3.86% [$381] | 12.21% | 22.45% | 15.37% |
| 2017 | 2.11% | 31.48% | 26.25% | 37.46% | 21.67% | $13,655 | $12,636 | $15,643 | $28,047 | 2.98% [$310] | 4.51% [$451] | 3.78% [$430] | 31.48% | 26.25% | 37.46% |
| 2018 | 2.22% | -7.32% | -4.54% | -7.34% | 2.58% | $12,656 | $12,063 | $14,495 | $28,769 | 0.79% [$108] | 0.93% [$117] | 1.23% [$192] | -7.32% | -4.54% | -7.34% |
| Annual returns for 2018 are based on partial year data | |||||||||||||||
| Year | Month | Return | Balance | Vanguard FTSE Emerging Markets ETF (VWO) | WisdomTree Emerging Markets High Div ETF (DEM) | WisdomTree Emerging Markets SmCp Div ETF (DGS) | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | |||||
| 2010 | 1 | -6.73% | -3.14% | -4.65% | -3.60% | $9,327 | $9,686 | $9,535 | $9,640 | -6.73% | -3.14% | -4.65% |
| 2010 | 2 | 1.88% | 1.58% | 0.76% | 3.09% | $9,502 | $9,839 | $9,607 | $9,938 | 1.88% | 1.58% | 0.76% |
| 2010 | 3 | 8.19% | 7.49% | 8.10% | 6.01% | $10,280 | $10,576 | $10,386 | $10,535 | 8.19% | 7.49% | 8.10% |
| 2010 | 4 | -0.21% | 0.17% | 1.27% | 1.58% | $10,259 | $10,594 | $10,518 | $10,702 | -0.21% | 0.17% | 1.27% |
| 2010 | 5 | -9.18% | -11.22% | -9.39% | -8.01% | $9,317 | $9,405 | $9,531 | $9,845 | -9.18% | -11.22% | -9.39% |
| 2010 | 6 | -0.55% | -0.64% | -0.41% | -5.24% | $9,266 | $9,346 | $9,491 | $9,329 | -0.55% | -0.64% | -0.41% |
| 2010 | 7 | 10.21% | 12.99% | 11.43% | 7.00% | $10,212 | $10,559 | $10,576 | $9,982 | 10.21% | 12.99% | 11.43% |
| 2010 | 8 | -2.56% | -0.72% | 1.27% | -4.53% | $9,951 | $10,483 | $10,711 | $9,530 | -2.56% | -0.72% | 1.27% |
| 2010 | 9 | 11.42% | 10.20% | 11.61% | 8.92% | $11,088 | $11,552 | $11,954 | $10,379 | 11.42% | 10.20% | 11.61% |
| 2010 | 10 | 3.10% | 3.11% | 4.23% | 3.79% | $11,432 | $11,911 | $12,460 | $10,773 | 3.10% | 3.11% | 4.23% |
| 2010 | 11 | -2.84% | -2.49% | -2.54% | 0.00% | $11,107 | $11,615 | $12,144 | $10,773 | -2.84% | -2.49% | -2.54% |
| 2010 | 12 | 7.56% | 7.30% | 7.17% | 6.67% | $11,947 | $12,463 | $13,015 | $11,491 | 7.56% | 7.30% | 7.17% |
| 2011 | 1 | -3.45% | -3.74% | -4.75% | 2.36% | $11,535 | $11,997 | $12,397 | $11,762 | -3.45% | -3.74% | -4.75% |
| 2011 | 2 | -0.17% | 1.06% | -3.12% | 3.42% | $11,516 | $12,125 | $12,010 | $12,164 | -0.17% | 1.06% | -3.12% |
| 2011 | 3 | 5.47% | 5.55% | 6.56% | 0.03% | $12,146 | $12,797 | $12,798 | $12,167 | 5.47% | 5.55% | 6.56% |
| 2011 | 4 | 3.37% | 5.73% | 5.68% | 2.95% | $12,555 | $13,530 | $13,526 | $12,526 | 3.37% | 5.73% | 5.68% |
| 2011 | 5 | -2.94% | -3.00% | -3.22% | -1.15% | $12,186 | $13,124 | $13,090 | $12,382 | -2.94% | -3.00% | -3.22% |
| 2011 | 6 | -1.00% | -1.19% | -2.68% | -1.67% | $12,064 | $12,968 | $12,739 | $12,175 | -1.00% | -1.19% | -2.68% |
| 2011 | 7 | -0.62% | -1.82% | 0.80% | -2.05% | $11,990 | $12,731 | $12,841 | $11,926 | -0.62% | -1.82% | 0.80% |
| 2011 | 8 | -9.09% | -4.19% | -9.86% | -5.45% | $10,900 | $12,198 | $11,575 | $11,277 | -9.09% | -4.19% | -9.86% |
| 2011 | 9 | -18.44% | -15.86% | -17.60% | -7.04% | $8,890 | $10,263 | $9,538 | $10,482 | -18.44% | -15.86% | -17.60% |
| 2011 | 10 | 15.91% | 11.15% | 12.16% | 10.91% | $10,305 | $11,408 | $10,697 | $11,626 | 15.91% | 11.15% | 12.16% |
| 2011 | 11 | -1.71% | -0.46% | -1.48% | -0.23% | $10,129 | $11,356 | $10,539 | $11,599 | -1.71% | -0.46% | -1.48% |
| 2011 | 12 | -4.17% | -1.66% | -2.71% | 1.02% | $9,706 | $11,168 | $10,254 | $11,717 | -4.17% | -1.66% | -2.71% |
| 2012 | 1 | 10.78% | 8.17% | 10.21% | 4.46% | $10,752 | $12,080 | $11,300 | $12,240 | 10.78% | 8.17% | 10.21% |
| 2012 | 2 | 5.43% | 5.19% | 5.58% | 4.31% | $11,337 | $12,708 | $11,930 | $12,768 | 5.43% | 5.19% | 5.58% |
| 2012 | 3 | -2.60% | -0.91% | 0.18% | 3.28% | $11,042 | $12,592 | $11,952 | $13,187 | -2.60% | -0.91% | 0.18% |
| 2012 | 4 | -2.09% | -1.58% | -1.25% | -0.64% | $10,811 | $12,393 | $11,803 | $13,102 | -2.09% | -1.58% | -1.25% |
| 2012 | 5 | -10.67% | -9.15% | -9.32% | -6.02% | $9,658 | $11,259 | $10,703 | $12,314 | -10.67% | -9.15% | -9.32% |
| 2012 | 6 | 5.02% | 2.00% | 1.70% | 4.11% | $10,143 | $11,484 | $10,885 | $12,820 | 5.02% | 2.00% | 1.70% |
| 2012 | 7 | 0.20% | -0.15% | 0.46% | 1.37% | $10,163 | $11,466 | $10,935 | $12,995 | 0.20% | -0.15% | 0.46% |
| 2012 | 8 | 0.25% | 1.57% | 2.76% | 2.24% | $10,189 | $11,645 | $11,237 | $13,286 | 0.25% | 1.57% | 2.76% |
| 2012 | 9 | 5.31% | 3.62% | 4.13% | 2.58% | $10,730 | $12,067 | $11,701 | $13,629 | 5.31% | 3.62% | 4.13% |
| 2012 | 10 | -0.55% | -1.30% | -0.50% | -1.86% | $10,670 | $11,910 | $11,643 | $13,375 | -0.55% | -1.30% | -0.50% |
| 2012 | 11 | 1.28% | 0.55% | 1.91% | 0.56% | $10,807 | $11,975 | $11,865 | $13,450 | 1.28% | 0.55% | 1.91% |
| 2012 | 12 | 7.06% | 7.77% | 6.75% | 0.90% | $11,570 | $12,905 | $12,665 | $13,572 | 7.06% | 7.77% | 6.75% |
| 2013 | 1 | 0.07% | -0.21% | 1.25% | 5.18% | $11,578 | $12,878 | $12,824 | $14,274 | 0.07% | -0.21% | 1.25% |
| 2013 | 2 | -2.36% | -2.40% | 1.68% | 1.34% | $11,305 | $12,569 | $13,039 | $14,465 | -2.36% | -2.40% | 1.68% |
| 2013 | 3 | -1.27% | -0.91% | 1.49% | 3.74% | $11,161 | $12,454 | $13,234 | $15,006 | -1.27% | -0.91% | 1.49% |
| 2013 | 4 | 2.00% | 1.65% | 2.09% | 1.91% | $11,385 | $12,660 | $13,511 | $15,292 | 2.00% | 1.65% | 2.09% |
| 2013 | 5 | -5.07% | -4.93% | -3.70% | 2.33% | $10,808 | $12,036 | $13,011 | $15,648 | -5.07% | -4.93% | -3.70% |
| 2013 | 6 | -5.33% | -7.34% | -7.58% | -1.35% | $10,232 | $11,152 | $12,025 | $15,437 | -5.33% | -7.34% | -7.58% |
| 2013 | 7 | 0.70% | 1.90% | 0.17% | 5.07% | $10,303 | $11,364 | $12,045 | $16,220 | 0.70% | 1.90% | 0.17% |
| 2013 | 8 | -3.43% | -1.75% | -5.36% | -2.91% | $9,950 | $11,166 | $11,400 | $15,748 | -3.43% | -1.75% | -5.36% |
| 2013 | 9 | 7.27% | 8.39% | 7.91% | 3.12% | $10,673 | $12,103 | $12,302 | $16,239 | 7.27% | 8.39% | 7.91% |
| 2013 | 10 | 4.34% | 3.31% | 3.52% | 4.59% | $11,136 | $12,503 | $12,735 | $16,984 | 4.34% | 3.31% | 3.52% |
| 2013 | 11 | -0.93% | -3.11% | -1.76% | 3.03% | $11,032 | $12,114 | $12,511 | $17,498 | -0.93% | -3.11% | -1.76% |
| 2013 | 12 | -0.28% | -0.89% | -2.31% | 2.51% | $11,001 | $12,007 | $12,222 | $17,938 | -0.28% | -0.89% | -2.31% |
| 2014 | 1 | -8.43% | -8.90% | -6.42% | -3.47% | $10,073 | $10,938 | $11,437 | $17,316 | -8.43% | -8.90% | -6.42% |
| 2014 | 2 | 3.24% | 2.19% | 4.75% | 4.56% | $10,399 | $11,178 | $11,981 | $18,106 | 3.24% | 2.19% | 4.75% |
| 2014 | 3 | 4.62% | 3.68% | 3.37% | 0.82% | $10,880 | $11,590 | $12,385 | $18,255 | 4.62% | 3.68% | 3.37% |
| 2014 | 4 | 0.89% | 0.98% | 0.99% | 0.72% | $10,977 | $11,703 | $12,507 | $18,387 | 0.89% | 0.98% | 0.99% |
| 2014 | 5 | 3.10% | 1.96% | 1.02% | 2.33% | $11,317 | $11,932 | $12,635 | $18,816 | 3.10% | 1.96% | 1.02% |
| 2014 | 6 | 3.17% | 3.48% | 1.86% | 2.05% | $11,676 | $12,348 | $12,870 | $19,202 | 3.17% | 3.48% | 1.86% |
| 2014 | 7 | 1.37% | -0.37% | 0.29% | -1.39% | $11,836 | $12,303 | $12,908 | $18,936 | 1.37% | -0.37% | 0.29% |
| 2014 | 8 | 3.84% | 2.09% | 3.53% | 3.98% | $12,291 | $12,560 | $13,364 | $19,690 | 3.84% | 2.09% | 3.53% |
| 2014 | 9 | -7.18% | -7.06% | -6.08% | -1.41% | $11,408 | $11,674 | $12,551 | $19,412 | -7.18% | -7.06% | -6.08% |
| 2014 | 10 | 2.23% | -0.57% | -1.64% | 2.42% | $11,663 | $11,608 | $12,345 | $19,882 | 2.23% | -0.57% | -1.64% |
| 2014 | 11 | -1.10% | -3.77% | -1.12% | 2.68% | $11,534 | $11,170 | $12,206 | $20,415 | -1.10% | -3.77% | -1.12% |
| 2014 | 12 | -4.69% | -6.83% | -3.42% | -0.26% | $10,994 | $10,408 | $11,789 | $20,361 | -4.69% | -6.83% | -3.42% |
| 2015 | 1 | -0.20% | -1.59% | 0.72% | -3.02% | $10,972 | $10,242 | $11,874 | $19,747 | -0.20% | -1.59% | 0.72% |
| 2015 | 2 | 4.66% | 6.19% | 2.81% | 5.74% | $11,483 | $10,877 | $12,207 | $20,880 | 4.66% | 6.19% | 2.81% |
| 2015 | 3 | -2.05% | -3.54% | -1.03% | -1.59% | $11,247 | $10,492 | $12,081 | $20,548 | -2.05% | -3.54% | -1.03% |
| 2015 | 4 | 7.41% | 11.55% | 5.67% | 0.95% | $12,081 | $11,704 | $12,767 | $20,743 | 7.41% | 11.55% | 5.67% |
| 2015 | 5 | -3.55% | -5.00% | -2.63% | 1.27% | $11,652 | $11,119 | $12,431 | $21,007 | -3.55% | -5.00% | -2.63% |
| 2015 | 6 | -2.54% | -2.78% | -3.84% | -1.93% | $11,355 | $10,809 | $11,953 | $20,601 | -2.54% | -2.78% | -3.84% |
| 2015 | 7 | -6.26% | -7.92% | -7.31% | 2.08% | $10,644 | $9,953 | $11,080 | $21,029 | -6.26% | -7.92% | -7.31% |
| 2015 | 8 | -9.86% | -8.85% | -8.95% | -6.04% | $9,594 | $9,072 | $10,088 | $19,759 | -9.86% | -8.85% | -8.95% |
| 2015 | 9 | -2.88% | -5.50% | -1.00% | -2.49% | $9,318 | $8,573 | $9,987 | $19,267 | -2.88% | -5.50% | -1.00% |
| 2015 | 10 | 5.29% | 5.02% | 4.07% | 8.42% | $9,811 | $9,003 | $10,394 | $20,889 | 5.29% | 5.02% | 4.07% |
| 2015 | 11 | -2.30% | -4.52% | -2.24% | 0.29% | $9,585 | $8,596 | $10,161 | $20,949 | -2.30% | -4.52% | -2.24% |
| 2015 | 12 | -3.44% | -4.91% | -2.92% | -1.59% | $9,256 | $8,174 | $9,864 | $20,616 | -3.44% | -4.91% | -2.92% |
| 2016 | 1 | -5.75% | -3.86% | -5.36% | -4.98% | $8,724 | $7,859 | $9,335 | $19,590 | -5.75% | -3.86% | -5.36% |
| 2016 | 2 | -0.32% | 1.87% | 3.01% | -0.15% | $8,695 | $8,006 | $9,616 | $19,561 | -0.32% | 1.87% | 3.01% |
| 2016 | 3 | 12.72% | 12.39% | 10.53% | 6.78% | $9,802 | $8,998 | $10,629 | $20,887 | 12.72% | 12.39% | 10.53% |
| 2016 | 4 | 1.01% | 3.45% | 2.20% | 0.37% | $9,901 | $9,308 | $10,863 | $20,965 | 1.01% | 3.45% | 2.20% |
| 2016 | 5 | -3.24% | -6.47% | -4.82% | 1.78% | $9,581 | $8,706 | $10,339 | $21,338 | -3.24% | -6.47% | -4.82% |
| 2016 | 6 | 4.93% | 5.95% | 6.59% | 0.25% | $10,053 | $9,224 | $11,021 | $21,392 | 4.93% | 5.95% | 6.59% |
| 2016 | 7 | 5.14% | 6.61% | 7.10% | 3.68% | $10,569 | $9,834 | $11,803 | $22,178 | 5.14% | 6.61% | 7.10% |
| 2016 | 8 | 0.78% | -0.29% | 0.00% | 0.13% | $10,652 | $9,805 | $11,803 | $22,207 | 0.78% | -0.29% | 0.00% |
| 2016 | 9 | 2.05% | 1.95% | 2.27% | 0.01% | $10,870 | $9,997 | $12,072 | $22,209 | 2.05% | 1.95% | 2.27% |
| 2016 | 10 | 0.32% | 0.96% | -1.68% | -1.83% | $10,905 | $10,092 | $11,869 | $21,802 | 0.32% | 0.96% | -1.68% |
| 2016 | 11 | -4.05% | -2.45% | -4.56% | 3.70% | $10,463 | $9,845 | $11,329 | $22,608 | -4.05% | -2.45% | -4.56% |
| 2016 | 12 | -0.74% | 1.67% | 0.45% | 1.96% | $10,386 | $10,009 | $11,380 | $23,052 | -0.74% | 1.67% | 0.45% |
| 2017 | 1 | 5.76% | 4.90% | 6.39% | 1.88% | $10,984 | $10,500 | $12,107 | $23,486 | 5.76% | 4.90% | 6.39% |
| 2017 | 2 | 2.25% | 1.97% | 4.23% | 3.96% | $11,230 | $10,706 | $12,620 | $24,417 | 2.25% | 1.97% | 4.23% |
| 2017 | 3 | 2.84% | 2.28% | 3.48% | 0.10% | $11,550 | $10,950 | $13,059 | $24,441 | 2.84% | 2.28% | 3.48% |
| 2017 | 4 | 1.56% | 0.73% | 0.74% | 1.02% | $11,730 | $11,030 | $13,155 | $24,690 | 1.56% | 0.73% | 0.74% |
| 2017 | 5 | 0.99% | -0.22% | 1.28% | 1.39% | $11,846 | $11,006 | $13,324 | $25,034 | 0.99% | -0.22% | 1.28% |
| 2017 | 6 | 0.85% | 0.87% | 1.13% | 0.61% | $11,947 | $11,102 | $13,474 | $25,187 | 0.85% | 0.87% | 1.13% |
| 2017 | 7 | 5.34% | 4.39% | 4.33% | 2.04% | $12,585 | $11,590 | $14,057 | $25,701 | 5.34% | 4.39% | 4.33% |
| 2017 | 8 | 3.00% | 3.55% | 3.06% | 0.29% | $12,962 | $12,001 | $14,487 | $25,777 | 3.00% | 3.55% | 3.06% |
| 2017 | 9 | -0.49% | -0.80% | 1.06% | 2.06% | $12,898 | $11,905 | $14,641 | $26,308 | -0.49% | -0.80% | 1.06% |
| 2017 | 10 | 2.43% | 1.28% | 0.59% | 2.32% | $13,212 | $12,058 | $14,728 | $26,917 | 2.43% | 1.28% | 0.59% |
| 2017 | 11 | -0.34% | -0.34% | 0.26% | 3.06% | $13,168 | $12,016 | $14,767 | $27,741 | -0.34% | -0.34% | 0.26% |
| 2017 | 12 | 3.70% | 5.16% | 5.93% | 1.10% | $13,655 | $12,636 | $15,643 | $28,047 | 3.70% | 5.16% | 5.93% |
| 2018 | 1 | 8.56% | 8.84% | 6.96% | 5.71% | $14,824 | $13,754 | $16,732 | $29,649 | 8.56% | 8.84% | 6.96% |
| 2018 | 2 | -5.36% | -4.05% | -4.28% | -3.69% | $14,030 | $13,196 | $16,015 | $28,553 | -5.36% | -4.05% | -4.28% |
| 2018 | 3 | -0.21% | 0.97% | 1.22% | -2.56% | $14,000 | $13,325 | $16,210 | $27,824 | -0.21% | 0.97% | 1.22% |
| 2018 | 4 | -2.77% | -3.14% | -3.33% | 0.37% | $13,612 | $12,907 | $15,670 | $27,928 | -2.77% | -3.14% | -3.33% |
| 2018 | 5 | -2.34% | -1.90% | -1.09% | 2.39% | $13,293 | $12,661 | $15,499 | $28,596 | -2.34% | -1.90% | -1.09% |
| 2018 | 6 | -4.79% | -4.73% | -6.48% | 0.61% | $12,656 | $12,063 | $14,495 | $28,769 | -4.79% | -4.73% | -6.48% |
| Style Category | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
|---|---|---|---|---|
| Large-cap Value | 0.00% | 0.00% | 0.00% | 47.06% |
| Large-cap Growth | 0.00% | 0.00% | 0.00% | 52.57% |
| Mid-cap Value | 0.00% | 0.00% | 0.00% | 0.00% |
| Mid-cap Growth | 0.00% | 0.00% | 3.27% | 0.00% |
| Small-cap Value | 0.00% | 0.00% | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% | 0.00% | 0.14% |
| Global ex-US Developed Markets | 0.00% | 1.13% | 0.00% | 0.00% |
| Emerging Markets | 100.00% | 92.57% | 90.28% | 0.07% |
| Corporate Bonds | 0.00% | 0.00% | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% | 5.45% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 6.30% | 1.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% | 0.00% | 0.17% |
| R Squared | 100.00% | 90.69% | 91.58% | 99.96% |
| Style analysis is based on monthly returns from Jan 2010 to Jun 2018 and uses total portfolio return with monthly rebalancing. | ||||
| Ticker | Name | Category | Weight | Return Contribution | Risk Contribution | Breakdowns |
|---|---|---|---|---|---|---|
| VWO | Vanguard FTSE Emerging Markets ETF | Diversified Emerging Mkts | 100.00% | $2,656 | 100.00% | Asset Allocation, Capitalization, Sector |
| Ticker | Name | Category | Weight | Return Contribution | Risk Contribution | Breakdowns |
|---|---|---|---|---|---|---|
| DEM | WisdomTree Emerging Markets High Div ETF | Diversified Emerging Mkts | 100.00% | $2,063 | 100.00% | Asset Allocation, Capitalization, Sector |
| Ticker | Name | Category | Weight | Return Contribution | Risk Contribution | Breakdowns |
|---|---|---|---|---|---|---|
| DGS | WisdomTree Emerging Markets SmCp Div ETF | Diversified Emerging Mkts | 100.00% | $4,495 | 100.00% | Asset Allocation, Capitalization, Sector |
Fund fundamentals data as of 07/05/2018. © 2018 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.
| Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
|---|---|---|---|---|
| Arithmetic Mean (monthly) | 0.37% | 0.32% | 0.49% | 1.10% |
| Arithmetic Mean (annualized) | 4.53% | 3.86% | 6.09% | 14.02% |
| Geometric Mean (monthly) | 0.23% | 0.18% | 0.36% | 1.04% |
| Geometric Mean (annualized) | 2.81% | 2.23% | 4.46% | 13.24% |
| Volatility (monthly) | 5.29% | 5.17% | 5.09% | 3.43% |
| Volatility (annualized) | 18.31% | 17.91% | 17.63% | 11.88% |
| Downside Deviation (monthly) | 3.52% | 3.43% | 3.42% | 1.95% |
| Max. Drawdown | -30.74% | -41.92% | -30.98% | -16.31% |
| US Market Correlation | 0.75 | 0.69 | 0.71 | 1.00 |
| Beta(*) | 1.16 | 1.04 | 1.05 | 1.00 |
| Alpha (annualized) | -10.87% | -9.98% | -7.90% | 0.00% |
| R2 | 56.74% | 48.04% | 49.90% | 100.00% |
| Sharpe Ratio | 0.23 | 0.20 | 0.32 | 1.09 |
| Sortino Ratio | 0.34 | 0.30 | 0.48 | 1.91 |
| Treynor Ratio (%) | 3.63 | 3.41 | 5.43 | 12.96 |
| Information Ratio | -0.72 | -0.73 | -0.58 | N/A |
| Diversification Ratio | 1.00 | 1.00 | 1.00 | N/A |
| Skewness | -0.09 | 0.00 | -0.27 | -0.13 |
| Excess Kurtosis | 1.37 | 0.55 | 0.94 | 0.51 |
| Historical Value-at-Risk (5%) | -8.99% | -8.71% | -8.74% | -5.42% |
| Analytical Value-at-Risk (5%) | -8.33% | -8.19% | -7.88% | -4.54% |
| Conditional Value-at-Risk (5%) | -11.45% | -10.80% | -11.02% | -6.51% |
| Upside Capture Ratio (%) | 79.02 | 71.29 | 77.69 | 100.00 |
| Downside Capture Ratio (%) | 142.81 | 133.65 | 126.96 | 100.00 |
| Positive Periods | 51 out of 102 (50.00%) | 50 out of 102 (49.02%) | 60 out of 102 (58.82%) | 71 out of 102 (69.61%) |
| Gain/Loss Ratio | 1.21 | 1.22 | 0.88 | 0.96 |
| * Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns. | ||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Feb 2016 | 4 years 10 months | Jul 2017 | 1 year 5 months | 6 years 3 months | -30.74% |
| 2 | Feb 2018 | Jun 2018 | 5 months | -14.62% | |||
| 3 | Apr 2010 | Jun 2010 | 3 months | Sep 2010 | 3 months | 6 months | -9.87% |
| 4 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -6.73% |
| 5 | Jan 2011 | Feb 2011 | 2 months | Mar 2011 | 1 month | 3 months | -3.61% |
| 6 | Nov 2010 | Nov 2010 | 1 month | Dec 2010 | 1 month | 2 months | -2.84% |
| 7 | Sep 2017 | Sep 2017 | 1 month | Oct 2017 | 1 month | 2 months | -0.49% |
| 8 | Nov 2017 | Nov 2017 | 1 month | Dec 2017 | 1 month | 2 months | -0.34% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Jan 2016 | 4 years 9 months | Jan 2018 | 2 years | 6 years 9 months | -41.92% |
| 2 | Feb 2018 | Jun 2018 | 5 months | -12.29% | |||
| 3 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -11.78% |
| 4 | Jan 2011 | Jan 2011 | 1 month | Mar 2011 | 2 months | 3 months | -3.74% |
| 5 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -3.14% |
| 6 | Nov 2010 | Nov 2010 | 1 month | Dec 2010 | 1 month | 2 months | -2.49% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Jan 2016 | 4 years 9 months | Jul 2017 | 1 year 6 months | 6 years 3 months | -30.98% |
| 2 | Feb 2018 | Jun 2018 | 5 months | -13.37% | |||
| 3 | May 2010 | Jun 2010 | 2 months | Jul 2010 | 1 month | 3 months | -9.76% |
| 4 | Jan 2011 | Feb 2011 | 2 months | Apr 2011 | 2 months | 4 months | -7.72% |
| 5 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -4.65% |
| 6 | Nov 2010 | Nov 2010 | 1 month | Dec 2010 | 1 month | 2 months | -2.54% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -16.31% |
| 2 | May 2010 | Jun 2010 | 2 months | Oct 2010 | 4 months | 6 months | -12.83% |
| 3 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 4 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.62% |
| 5 | Feb 2018 | Mar 2018 | 2 months | -6.16% | |||
| 6 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -3.60% |
| 7 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
| 8 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.27% |
| 9 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -2.91% |
| 10 | Jun 2015 | Jun 2015 | 1 month | Jul 2015 | 1 month | 2 months | -1.93% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VWO | Vanguard FTSE Emerging Markets ETF | 2.81% | 18.31% | 31.48% | -18.76% | -30.74% | 0.23 | 0.34 | 0.75 |
| DEM | WisdomTree Emerging Markets High Div ETF | 2.23% | 17.91% | 26.25% | -21.46% | -41.92% | 0.20 | 0.30 | 0.69 |
| DGS | WisdomTree Emerging Markets SmCp Div ETF | 4.46% | 17.63% | 37.46% | -21.22% | -30.98% | 0.32 | 0.48 | 0.71 |
| Ticker | Name | VWO | DEM | DGS | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
|---|---|---|---|---|---|---|---|---|
| VWO | Vanguard FTSE Emerging Markets ETF | - | 0.95 | 0.96 | 1.00 | 0.95 | 0.96 | 0.75 |
| DEM | WisdomTree Emerging Markets High Div ETF | 0.95 | - | 0.94 | 0.95 | 1.00 | 0.94 | 0.69 |
| DGS | WisdomTree Emerging Markets SmCp Div ETF | 0.96 | 0.94 | - | 0.96 | 0.94 | 1.00 | 0.71 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VWO | Vanguard FTSE Emerging Markets ETF | $2,656 | ||
| DEM | WisdomTree Emerging Markets High Div ETF | $2,063 | ||
| DGS | WisdomTree Emerging Markets SmCp Div ETF | $4,495 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| VWO | Vanguard FTSE Emerging Markets ETF | 100.00% | ||
| DEM | WisdomTree Emerging Markets High Div ETF | 100.00% | ||
| DGS | WisdomTree Emerging Markets SmCp Div ETF | 100.00% |