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 Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Asset 11
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Asset 12
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Asset 13
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Asset 14
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Asset 15
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Portfolio Analysis Results (Jan 2013 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
EWG iShares MSCI Germany ETF 3.34%
EWH iShares MSCI Hong Kong ETF 6.57%
EWJ iShares MSCI Japan ETF 14.76%
EWS iShares MSCI Singapore ETF 3.84%
EWT iShares MSCI Taiwan ETF 3.81%
EWU iShares MSCI United Kingdom ETF 8.27%
FM iShares MSCI Frontier and Select EM ETF 4.21%
QQQ Invesco QQQ Trust 20.96%
SUSA iShares MSCI USA ESG Select ETF 5.15%
VPL Vanguard FTSE Pacific ETF 9.10%
VTV Vanguard Value ETF 19.84%
CASHX Cash 0.15%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$2,406 11.60% 13.16%26.60%-8.82%-20.02% 0.851.340.95
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 114.49%16.04%9.82%12.47%11.60%17.47%14.47%
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceiShares MSCI Germany ETF (EWG)iShares MSCI Hong Kong ETF (EWH)iShares MSCI Japan ETF (EWJ)iShares MSCI Singapore ETF (EWS)iShares MSCI Taiwan ETF (EWT)iShares MSCI United Kingdom ETF (EWU)iShares MSCI Frontier and Select EM ETF (FM)Invesco QQQ Trust (QQQ)iShares MSCI USA ESG Select ETF (SUSA)Vanguard FTSE Pacific ETF (VPL)Vanguard Value ETF (VTV)Cash (CASHX)
20131.50%25.87%$1,25930.83%9.52%25.97%-0.02%7.85%19.50%23.69%36.63%31.16%17.87%33.10%0.05%
20140.76%5.66%$1,330-11.96%3.25%-6.24%2.68%6.86%-7.62%3.24%19.18%13.65%-4.82%13.17%0.03%
20150.73%0.56%$1,337-2.79%-1.17%9.17%-18.34%-12.87%-7.03%-17.21%9.45%-1.79%2.03%-0.98%0.05%
20162.07%7.30%$1,4353.60%1.35%2.78%0.70%17.73%-1.23%2.02%7.10%12.15%5.35%17.12%0.30%
20172.11%26.60%$1,81727.44%36.50%24.27%34.81%26.85%21.59%36.19%32.66%22.53%28.86%17.14%0.88%
20181.91%-8.82%$1,657-21.37%-8.73%-14.10%-11.33%-9.92%-14.28%-17.95%-0.12%-5.65%-14.40%-5.44%1.90%
20192.29%25.18%$2,07419.15%10.71%19.33%14.53%33.33%21.25%19.86%38.96%32.11%18.16%25.65%2.13%
20201.36%16.04%$2,40610.56%4.19%15.41%-8.49%31.50%-11.80%-3.42%48.40%24.67%16.67%2.26%0.44%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceiShares MSCI Germany ETF (EWG)iShares MSCI Hong Kong ETF (EWH)iShares MSCI Japan ETF (EWJ)iShares MSCI Singapore ETF (EWS)iShares MSCI Taiwan ETF (EWT)iShares MSCI United Kingdom ETF (EWU)iShares MSCI Frontier and Select EM ETF (FM)Invesco QQQ Trust (QQQ)iShares MSCI USA ESG Select ETF (SUSA)Vanguard FTSE Pacific ETF (VPL)Vanguard Value ETF (VTV)Cash (CASHX)
201313.63%$1,0364.09%4.48%2.26%0.58%-1.62%2.95%5.83%2.67%6.07%3.11%6.36%0.00%
201320.53%$1,042-4.05%-0.84%2.41%-0.80%0.90%-2.71%-0.62%0.34%1.76%2.02%1.31%0.01%
201332.95%$1,073-0.81%-1.39%5.78%2.20%-1.33%1.67%1.07%3.03%4.11%3.57%4.04%0.01%
201343.80%$1,1134.09%3.13%8.33%3.44%4.95%2.85%3.20%2.54%1.29%5.43%2.21%0.01%
20135-0.78%$1,1052.67%-3.71%-7.35%-6.30%-2.57%-0.11%5.25%3.58%2.09%-7.70%2.58%0.00%
20136-1.53%$1,088-3.89%-4.78%3.94%-3.71%-2.49%-4.52%-6.97%-2.39%-1.25%-0.38%-1.02%0.00%
201374.34%$1,1356.56%4.42%0.00%4.14%2.48%6.40%6.68%6.31%4.46%1.86%5.38%0.00%
20138-2.22%$1,110-2.51%-1.72%-3.12%-6.91%-1.10%-0.75%-2.20%-0.40%-2.83%-1.48%-3.68%0.00%
201395.46%$1,1708.38%6.49%9.66%7.66%3.26%5.20%2.87%4.83%3.37%8.76%2.29%0.00%
2013103.33%$1,2095.50%1.65%-0.08%3.45%4.31%3.72%2.76%4.96%4.38%1.60%4.59%0.00%
2013112.05%$1,2344.19%1.92%1.26%-1.67%-0.96%0.79%1.88%3.55%1.92%0.03%3.18%0.00%
2013122.00%$1,2593.89%0.16%1.41%-1.05%2.15%3.01%2.47%2.92%2.38%0.61%2.09%0.01%
20141-4.44%$1,203-6.08%-7.18%-6.67%-7.21%-5.89%-4.65%0.18%-1.92%-2.75%-6.82%-3.69%0.01%
201424.40%$1,2566.30%5.54%2.47%3.68%3.61%6.78%3.34%5.15%4.68%4.03%3.97%0.00%
20143-0.48%$1,250-1.14%-1.98%-2.41%3.08%2.35%-3.15%3.78%-2.73%0.29%-0.37%2.69%0.00%
201440.73%$1,2591.05%2.53%-2.21%4.21%1.74%4.52%2.57%-0.32%0.46%-0.07%0.86%0.00%
201453.09%$1,2981.45%4.68%4.51%1.84%3.21%0.98%4.60%4.49%2.50%3.22%1.38%0.00%
201462.08%$1,325-0.71%0.92%4.68%-1.08%4.57%0.81%-5.16%3.12%2.63%2.91%1.92%0.00%
201470.30%$1,329-6.81%5.36%-0.33%3.99%-0.32%-2.39%6.71%1.18%-2.13%0.92%-1.20%0.00%
201481.81%$1,353-0.79%-0.73%-1.67%-0.71%4.83%0.79%-0.91%5.01%3.99%-0.45%3.44%0.00%
20149-2.49%$1,319-4.22%-6.91%-0.25%-4.44%-7.51%-5.65%-0.79%-0.76%-1.44%-4.68%-1.28%0.00%
2014101.77%$1,343-1.70%6.30%2.46%-0.52%2.95%-1.91%-4.02%2.64%1.71%3.07%1.80%0.00%
2014110.96%$1,3565.73%0.32%-3.65%1.06%0.57%0.11%-4.65%4.55%3.80%-3.78%2.47%0.00%
201412-1.89%$1,330-4.79%-4.39%-2.70%-0.56%-2.54%-3.39%-1.63%-2.24%-0.54%-2.24%0.35%0.00%
20151-0.73%$1,3202.33%5.50%2.22%-2.37%0.79%0.06%-2.95%-2.08%-3.43%1.18%-4.10%0.00%
201525.47%$1,3925.88%0.18%7.48%0.39%5.06%5.88%2.41%7.22%4.91%6.07%5.31%0.00%
20153-1.11%$1,3770.47%1.01%1.46%-0.16%-1.63%-5.71%-2.84%-2.36%-1.30%0.59%-1.32%0.00%
201543.08%$1,419-0.74%8.48%2.63%6.87%4.45%6.66%4.24%1.92%0.45%3.46%1.28%0.00%
201550.51%$1,427-1.72%-0.46%1.48%-5.85%-0.61%0.62%-3.55%2.25%1.46%-0.58%1.18%0.00%
20156-2.33%$1,393-2.56%-3.48%-1.34%-1.03%-3.43%-3.86%-0.05%-2.48%-2.41%-2.47%-2.24%0.00%
201570.73%$1,4041.61%-1.46%0.94%-4.22%-6.78%1.59%-6.32%4.56%1.23%-0.54%1.02%0.00%
20158-7.27%$1,302-7.02%-13.27%-6.26%-12.13%-9.18%-7.98%-3.39%-6.82%-6.23%-7.68%-5.84%0.01%
20159-3.32%$1,258-6.07%-0.83%-5.78%-3.88%-1.50%-3.93%-5.10%-2.20%-2.13%-3.85%-2.54%0.01%
2015108.40%$1,3649.58%7.27%7.88%9.34%5.62%6.59%6.36%11.37%8.25%7.56%7.65%0.00%
201511-0.38%$1,3590.52%-2.05%0.49%-5.49%-2.66%-1.66%-5.57%0.61%0.30%0.03%0.54%0.01%
201512-1.58%$1,337-3.89%-0.27%-1.39%0.21%-2.70%-4.18%-1.09%-1.59%-2.12%-0.81%-1.15%0.02%
20161-6.04%$1,257-7.10%-9.33%-5.12%-8.66%-3.45%-4.83%-7.79%-6.91%-5.96%-5.96%-4.76%0.01%
20162-1.25%$1,241-3.99%0.67%-5.30%3.30%4.14%-3.12%4.18%-1.57%1.05%-3.51%0.10%0.03%
201636.85%$1,32610.15%9.29%4.78%11.96%7.94%5.38%2.76%6.85%7.90%7.72%6.70%0.03%
20164-0.04%$1,3251.94%0.05%0.09%0.09%-5.77%4.02%2.36%-3.19%-0.02%0.47%1.52%0.02%
201651.63%$1,347-1.14%-0.15%3.24%-4.14%2.14%-1.16%2.19%4.37%2.23%1.06%1.06%0.02%
20166-0.47%$1,341-5.00%1.14%-1.68%4.94%5.32%-2.30%-2.73%-2.27%-0.24%0.14%1.13%0.03%
201674.66%$1,4036.65%6.74%4.87%0.46%6.98%1.50%2.49%7.15%4.24%5.76%2.81%0.02%
201680.64%$1,4122.18%0.62%1.82%-3.02%0.00%1.09%-3.27%1.05%1.21%0.19%0.68%0.02%
201691.81%$1,4380.23%4.66%2.12%2.55%4.46%0.44%5.77%2.21%0.03%2.97%-0.46%0.03%
201610-1.56%$1,415-1.37%-2.00%0.72%-4.70%0.38%-5.30%-3.54%-1.46%-2.95%-0.92%-1.09%0.02%
2016110.84%$1,427-4.17%-1.85%-1.25%1.69%-2.47%0.20%-0.36%0.44%2.97%-1.37%6.00%0.03%
2016120.57%$1,4356.68%-6.99%-0.92%-2.23%-2.19%3.51%0.79%1.13%1.71%-0.57%2.73%0.04%
201714.18%$1,4953.89%7.96%3.50%9.23%7.32%2.48%11.11%5.14%1.63%4.92%0.49%0.04%
201722.66%$1,5350.04%2.76%1.31%2.53%2.76%1.46%-2.14%4.38%4.68%2.15%3.58%0.04%
201731.35%$1,5554.47%2.96%0.53%2.20%2.59%2.01%2.66%2.03%0.69%1.79%-0.92%0.04%
201741.52%$1,5793.23%2.92%0.70%0.75%1.59%1.69%3.53%2.73%1.50%0.76%-0.03%0.06%
201752.55%$1,6204.51%3.28%2.76%3.09%1.84%4.56%0.59%3.90%2.33%2.21%0.06%0.07%
201760.28%$1,624-0.52%0.75%1.32%0.80%4.01%-1.54%-0.13%-2.32%0.54%1.72%1.80%0.08%
201772.69%$1,6681.45%3.63%2.07%5.21%2.35%2.37%2.45%4.06%1.18%2.75%1.54%0.08%
201780.68%$1,6790.16%1.69%-0.09%-0.36%2.40%-0.82%3.59%2.07%0.32%0.16%-0.47%0.09%
201791.25%$1,7005.43%0.00%1.83%-1.33%-3.68%2.98%3.30%-0.29%1.12%1.14%2.98%0.08%
2017103.22%$1,7551.97%-0.04%5.28%4.50%5.54%0.60%1.12%4.61%3.13%4.33%1.83%0.09%
2017112.18%$1,7930.51%3.97%2.15%3.56%-2.62%-0.11%3.44%1.97%2.25%2.23%3.52%0.09%
2017121.33%$1,817-0.41%1.89%0.70%0.52%0.42%4.22%2.30%0.60%1.20%1.56%1.65%0.10%
201815.82%$1,9226.03%4.64%5.02%6.13%6.71%3.74%6.64%8.76%5.56%4.75%4.71%0.11%
20182-3.57%$1,854-7.37%-3.83%-2.97%-3.02%-5.15%-6.70%-2.43%-1.29%-3.31%-4.01%-4.44%0.12%
20183-1.43%$1,827-1.20%-1.06%-0.64%-0.07%4.61%0.23%1.89%-4.08%-1.95%-0.32%-2.45%0.14%
201840.45%$1,8361.31%1.58%-0.07%4.46%-5.32%4.32%-5.07%0.51%0.33%0.34%0.42%0.14%
201850.43%$1,843-2.53%1.09%-1.48%-5.13%0.91%-0.61%-9.30%5.67%0.80%-1.11%0.61%0.15%
20186-1.19%$1,821-2.96%-5.37%-2.30%-7.43%-1.72%-1.17%-2.11%1.15%1.07%-2.61%0.20%0.16%
201872.68%$1,8704.44%2.27%1.07%1.79%5.00%0.95%3.16%2.80%3.22%0.80%4.65%0.16%
201880.76%$1,884-3.45%-2.46%-0.53%-2.54%0.34%-4.39%-5.99%5.78%2.22%-0.95%1.90%0.17%
201890.88%$1,901-1.62%-0.95%3.45%1.97%-0.61%1.64%1.79%-0.28%0.68%2.11%0.62%0.17%
201810-7.91%$1,751-8.37%-10.66%-8.95%-8.36%-12.12%-6.77%-4.82%-8.60%-7.10%-9.90%-4.98%0.18%
2018111.63%$1,779-1.50%8.00%0.91%3.10%0.51%-1.19%1.96%-0.26%2.90%2.42%3.27%0.19%
201812-6.90%$1,657-5.55%-1.05%-7.69%-1.69%-2.05%-4.58%-4.14%-8.65%-9.18%-6.06%-9.12%0.19%
201917.61%$1,7835.68%9.57%7.08%6.61%5.28%7.29%8.15%9.01%7.91%7.37%6.95%0.20%
201922.18%$1,8211.90%4.57%0.15%-0.38%-0.27%3.43%0.71%2.99%4.29%0.86%2.86%0.20%
201931.56%$1,850-1.39%1.35%0.66%1.11%4.16%1.35%-0.07%3.92%2.22%0.50%0.57%0.20%
201943.16%$1,9086.98%1.03%1.28%5.94%3.64%2.27%-0.42%5.50%3.42%1.23%3.36%0.20%
20195-6.35%$1,787-6.53%-6.87%-4.87%-9.15%-7.70%-6.13%1.31%-8.23%-7.07%-4.99%-6.33%0.20%
201966.48%$1,9037.05%6.86%4.47%10.24%5.68%4.60%5.99%7.59%7.68%5.18%7.11%0.19%
20197-0.05%$1,902-4.39%-3.98%-0.42%-2.15%0.89%-2.41%0.20%2.33%1.83%-1.44%0.83%0.17%
20198-2.74%$1,850-2.13%-8.09%-0.79%-5.50%-1.05%-3.80%-2.83%-1.90%-2.36%-2.56%-2.97%0.17%
201992.60%$1,8982.51%-0.61%5.23%1.58%4.18%3.59%-2.43%0.92%2.53%4.49%3.46%0.16%
2019103.45%$1,9636.09%4.76%3.42%4.78%6.77%3.50%0.46%4.38%1.78%3.24%1.90%0.15%
2019112.34%$2,0091.37%-1.01%1.28%-0.95%1.62%1.23%3.40%4.07%3.74%1.11%3.44%0.13%
2019123.20%$2,0741.59%4.25%0.86%3.11%6.87%5.37%4.38%3.89%3.09%2.46%2.64%0.13%
20201-1.83%$2,036-2.96%-5.84%-2.52%-5.18%-7.71%-4.28%0.89%3.04%0.31%-3.59%-2.50%0.13%
20202-7.26%$1,888-8.10%0.26%-8.29%-4.63%-1.42%-10.23%-10.29%-6.06%-7.40%-7.42%-9.71%0.13%
20203-12.15%$1,659-18.08%-13.19%-6.74%-20.52%-11.89%-18.50%-22.28%-7.29%-11.42%-11.15%-14.87%0.10%
202049.52%$1,8169.78%6.07%4.80%6.74%12.31%5.74%6.23%14.97%12.23%6.31%10.67%0.01%
202054.18%$1,8929.37%-6.19%7.05%-1.51%0.41%1.90%3.97%6.60%5.91%6.05%2.88%0.01%
202063.30%$1,9556.22%9.81%-0.09%4.09%8.18%1.64%5.40%6.28%2.83%2.71%-1.02%0.01%
202073.26%$2,0194.21%-1.22%-1.07%-0.75%10.89%0.66%-1.57%7.35%6.15%0.53%3.74%0.01%
202086.74%$2,1556.55%7.53%6.79%2.31%-1.46%2.74%7.22%10.94%7.75%6.19%4.18%0.01%
20209-2.45%$2,102-3.22%-3.44%1.81%-1.78%2.16%-4.32%0.20%-5.78%-3.51%0.61%-2.22%0.01%
202010-2.25%$2,054-9.78%-1.92%-1.41%-3.69%0.58%-4.51%2.70%-3.04%-1.73%-1.10%-1.82%0.01%
20201111.64%$2,29416.29%10.65%10.56%17.30%9.52%16.11%3.50%11.23%10.61%11.98%12.76%0.01%
2020124.92%$2,4065.27%4.52%5.33%3.26%9.36%4.83%4.93%4.90%3.35%6.82%3.51%0.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value14.52%
Large-cap Growth33.61%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.78%
Small-cap Growth0.00%
Global ex-US Developed Markets38.29%
Emerging Markets10.58%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries2.22%
R Squared97.67%
Style analysis is based on monthly returns from January 2013 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
EWGiShares MSCI Germany ETFMiscellaneous Region3.34%3.02%0.51%14.53$23.744.10%
EWHiShares MSCI Hong Kong ETFChina Region6.57%2.49%0.51%18.70$50.456.74%
EWJiShares MSCI Japan ETFJapan Stock14.76%1.09%0.51%11.55$15812.91%
EWSiShares MSCI Singapore ETFMiscellaneous Region3.84%2.78%0.51%15.68$6.044.42%
EWTiShares MSCI Taiwan ETFChina Region3.81%1.56%0.59%14.00$62.523.57%
EWUiShares MSCI United Kingdom ETFMiscellaneous Region8.27%2.79%0.51%14.85$12.158.81%
FMiShares MSCI Frontier and Select EM ETFDiversified Emerging Mkts4.21%1.98%0.79%14.16$22.193.52%
QQQInvesco QQQ TrustLarge Growth20.96%0.49%0.20%31.87$61722.83%
SUSAiShares MSCI USA ESG Select ETFLarge Blend5.15%1.06%0.25%25.13$97.145.09%
VPLVanguard FTSE Pacific ETFDiversified Pacific/Asia9.10%2.34%0.08%15.31$92.438.99%
VTVVanguard Value ETFLarge Value19.84%2.25%0.04%17.73$26419.01%
CASHXCashCash0.15%0.04%$0.15-0.00%
100.00%1.72%0.31%19.29$1,406100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (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
MetricPortfolio 1
Arithmetic Mean (monthly)0.99%
Arithmetic Mean (annualized)12.56%
Geometric Mean (monthly)0.92%
Geometric Mean (annualized)11.60%
Volatility (monthly)3.80%
Volatility (annualized)13.16%
Downside Deviation (monthly)2.37%
Max. Drawdown-20.02%
US Market Correlation0.95
Beta(*)0.88
Alpha (annualized)-1.39%
R290.04%
Sharpe Ratio0.85
Sortino Ratio1.34
Treynor Ratio (%)12.69
Calmar Ratio0.49
Active Return-3.42%
Tracking Error4.49%
Information Ratio-0.76
Skewness-0.44
Excess Kurtosis1.54
Historical Value-at-Risk (5%)-6.48%
Analytical Value-at-Risk (5%)-5.22%
Conditional Value-at-Risk (5%)-8.30%
Upside Capture Ratio (%)85.78
Downside Capture Ratio (%)97.61
Safe Withdrawal Rate18.72%
Perpetual Withdrawal Rate8.97%
Positive Periods64 out of 96 (66.67%)
Gain/Loss Ratio1.00
* 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 PeriodStartEndPortfolio 1
COVID-19 StartJan 2020Mar 2020-20.02%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-20.02%
2Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-13.83%
3Jun 2015Feb 20169 monthsSep 20167 months1 year 4 months-13.02%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-4.65%
5Jan 2014Jan 20141 monthApr 20143 months4 months-4.44%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.61%
7Sep 2014Sep 20141 monthNov 20142 months3 months-2.49%
8May 2013Jun 20132 monthsJul 20131 month3 months-2.30%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.22%
10Oct 2016Oct 20161 monthJan 20173 months4 months-1.56%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
EWGiShares MSCI Germany ETF5.47%18.36%30.83%-21.37%-35.44%0.340.520.83
EWHiShares MSCI Hong Kong ETF6.28%17.12%36.50%-8.73%-23.05%0.400.590.64
EWJiShares MSCI Japan ETF8.69%13.70%25.97%-14.10%-18.62%0.620.990.71
EWSiShares MSCI Singapore ETF0.70%18.34%34.81%-18.34%-32.07%0.090.130.71
EWTiShares MSCI Taiwan ETF11.38%16.25%33.33%-12.87%-22.68%0.701.110.66
EWUiShares MSCI United Kingdom ETF1.54%15.78%21.59%-14.28%-29.97%0.130.180.82
FMiShares MSCI Frontier and Select EM ETF4.25%16.32%36.19%-17.95%-35.13%0.300.390.60
QQQInvesco QQQ Trust22.93%15.76%48.40%-0.12%-16.96%1.352.560.91
SUSAiShares MSCI USA ESG Select ETF15.31%13.72%32.11%-5.65%-17.98%1.061.740.99
VPLVanguard FTSE Pacific ETF7.87%14.03%28.86%-14.40%-23.43%0.560.850.80
VTVVanguard Value ETF12.06%13.78%33.10%-5.44%-25.07%0.841.290.97
CASHXCash0.72%0.24%2.13%0.03%0.00%N/AN/A-0.14

Monthly Correlations

Correlations for the portfolio assets
TickerNameEWGEWHEWJEWSEWTEWUFMQQQSUSAVPLVTVCASHXPortfolio 1
EWGiShares MSCI Germany ETF1.000.650.700.710.630.860.600.780.820.790.79-0.150.88
EWHiShares MSCI Hong Kong ETF0.651.000.620.820.710.710.580.640.640.780.60-0.080.79
EWJiShares MSCI Japan ETF0.700.621.000.640.580.690.480.680.710.940.68-0.160.84
EWSiShares MSCI Singapore ETF0.710.820.641.000.720.780.670.620.710.810.73-0.040.82
EWTiShares MSCI Taiwan ETF0.630.710.580.721.000.630.510.650.670.740.62-0.090.76
EWUiShares MSCI United Kingdom ETF0.860.710.690.780.631.000.640.730.800.810.82-0.090.89
FMiShares MSCI Frontier and Select EM ETF0.600.580.480.670.510.641.000.520.600.610.61-0.110.67
QQQInvesco QQQ Trust0.780.640.680.620.650.730.521.000.920.740.80-0.110.91
SUSAiShares MSCI USA ESG Select ETF0.820.640.710.710.670.800.600.921.000.790.95-0.120.95
VPLVanguard FTSE Pacific ETF0.790.780.940.810.740.810.610.740.791.000.77-0.150.92
VTVVanguard Value ETF0.790.600.680.730.620.820.610.800.950.771.00-0.140.91
CASHXCash-0.15-0.08-0.16-0.04-0.09-0.09-0.11-0.11-0.12-0.15-0.141.00-0.14

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
EWGiShares MSCI Germany ETF$23.74
EWHiShares MSCI Hong Kong ETF$50.45
EWJiShares MSCI Japan ETF$158
EWSiShares MSCI Singapore ETF$6.04
EWTiShares MSCI Taiwan ETF$62.52
EWUiShares MSCI United Kingdom ETF$12.15
FMiShares MSCI Frontier and Select EM ETF$22.19
QQQInvesco QQQ Trust$617
SUSAiShares MSCI USA ESG Select ETF$97.14
VPLVanguard FTSE Pacific ETF$92.43
VTVVanguard Value ETF$264
CASHXCash$0.15

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
EWGiShares MSCI Germany ETF4.10%
EWHiShares MSCI Hong Kong ETF6.74%
EWJiShares MSCI Japan ETF12.91%
EWSiShares MSCI Singapore ETF4.42%
EWTiShares MSCI Taiwan ETF3.57%
EWUiShares MSCI United Kingdom ETF8.81%
FMiShares MSCI Frontier and Select EM ETF3.52%
QQQInvesco QQQ Trust22.83%
SUSAiShares MSCI USA ESG Select ETF5.09%
VPLVanguard FTSE Pacific ETF8.99%
VTVVanguard Value ETF19.01%
CASHXCash-0.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.25%28.59%-10.89%
3 years8.73%14.74%2.16%
5 years8.81%13.15%3.79%
7 years8.80%10.98%6.42%