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

Vanguard Global ex-US Real Est ETF
Ticker Name Allocation
VNQI Vanguard Global ex-US Real Est ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Global ex-US Real Est ETF$10,000$19,434 7.66% 15.40%43.03%-9.42%-27.38% 0.520.750.70
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Vanguard Global ex-US Real Est ETF12.79%-7.21%-7.21%0.73%5.76%7.66%18.92%16.06%
Trailing return and volatility are as of last full calendar month ending December 2020
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationVanguard Global ex-US Real Est ETFVanguard Global ex-US Real Est ETF (VNQI)
ReturnBalanceYieldIncome
20121.74%43.03%$14,3037.63%$76343.03%
20131.50%2.32%$14,6363.25%$4652.32%
20140.76%2.22%$14,9614.08%$5962.22%
20150.73%-1.84%$14,6862.75%$412-1.84%
20162.07%2.01%$14,9815.09%$7482.01%
20172.11%26.93%$19,0154.75%$71126.93%
20181.91%-9.42%$17,2244.05%$771-9.42%
20192.29%21.60%$20,9448.65%$1,48921.60%
20201.36%-7.21%$19,4340.85%$179-7.21%
Monthly returns for the configured portfolios
YearMonthVanguard Global ex-US Real Est ETF ReturnVanguard Global ex-US Real Est ETF BalanceVanguard Global ex-US Real Est ETF (VNQI)
201219.48%$10,9489.48%
201226.91%$11,7056.91%
20123-1.32%$11,550-1.32%
201241.87%$11,7671.87%
20125-7.45%$10,889-7.45%
201267.85%$11,7447.85%
201272.93%$12,0882.93%
201283.15%$12,4693.15%
201292.79%$12,8172.79%
2012102.84%$13,1812.84%
2012112.63%$13,5272.63%
2012125.74%$14,3035.74%
201311.62%$14,5351.62%
20132-0.09%$14,522-0.09%
201332.70%$14,9142.70%
201346.87%$15,9386.87%
20135-9.98%$14,347-9.98%
20136-3.07%$13,907-3.07%
201371.20%$14,0731.20%
20138-2.81%$13,677-2.81%
201398.21%$14,8008.21%
2013101.99%$15,0941.99%
201311-2.68%$14,690-2.68%
201312-0.37%$14,636-0.37%
20141-5.32%$13,857-5.32%
201423.97%$14,4073.97%
201430.82%$14,5260.82%
201442.26%$14,8532.26%
201454.67%$15,5464.67%
201460.93%$15,6910.93%
201471.03%$15,8531.03%
201480.26%$15,8930.26%
20149-6.58%$14,847-6.58%
2014104.43%$15,5044.43%
201411-1.13%$15,330-1.13%
201412-2.41%$14,961-2.41%
201512.65%$15,3582.65%
201523.68%$15,9223.68%
20153-1.18%$15,735-1.18%
201545.08%$16,5355.08%
20155-2.33%$16,149-2.33%
20156-3.30%$15,617-3.30%
20157-0.65%$15,515-0.65%
20158-7.44%$14,361-7.44%
201590.43%$14,4220.43%
2015105.06%$15,1525.06%
201511-2.33%$14,798-2.33%
201512-0.76%$14,686-0.76%
20161-4.77%$13,985-4.77%
201620.95%$14,1170.95%
201639.10%$15,4029.10%
201642.09%$15,7242.09%
20165-1.70%$15,456-1.70%
201661.59%$15,7021.59%
201674.03%$16,3354.03%
20168-0.55%$16,245-0.55%
201691.12%$16,4281.12%
201610-4.84%$15,632-4.84%
201611-3.89%$15,024-3.89%
201612-0.28%$14,981-0.28%
201713.35%$15,4833.35%
201722.67%$15,8972.67%
201731.25%$16,0961.25%
201742.25%$16,4592.25%
201753.64%$17,0573.64%
201760.15%$17,0840.15%
201774.09%$17,7824.09%
201781.26%$18,0071.26%
201790.50%$18,0970.50%
2017100.42%$18,1740.42%
2017111.39%$18,4261.39%
2017123.19%$19,0153.19%
201815.49%$20,0585.49%
20182-7.05%$18,644-7.05%
201832.83%$19,1712.83%
201840.53%$19,2720.53%
20185-1.39%$19,004-1.39%
20186-2.61%$18,509-2.61%
201871.58%$18,8021.58%
20188-2.03%$18,419-2.03%
20189-2.40%$17,978-2.40%
201810-5.77%$16,941-5.77%
2018114.02%$17,6224.02%
201812-2.26%$17,224-2.26%
201919.46%$18,8549.46%
20192-0.75%$18,712-0.75%
201934.62%$19,5774.62%
20194-1.80%$19,225-1.80%
20195-1.78%$18,883-1.78%
201963.40%$19,5253.40%
20197-2.07%$19,121-2.07%
201980.21%$19,1610.21%
201991.93%$19,5301.93%
2019103.94%$20,3013.94%
201911-0.72%$20,154-0.72%
2019123.92%$20,9443.92%
20201-2.67%$20,384-2.67%
20202-5.86%$19,189-5.86%
20203-20.74%$15,209-20.74%
202044.05%$15,8264.05%
202052.42%$16,2092.42%
202062.03%$16,5382.03%
202071.59%$16,8001.59%
202084.85%$17,6164.85%
20209-2.19%$17,229-2.19%
202010-3.35%$16,652-3.35%
20201112.62%$18,75312.62%
2020123.63%$19,4343.63%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Global ex-US Real Est ETF
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets46.49%
Emerging Markets42.11%
Corporate Bonds0.00%
Long-Term Treasuries11.40%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared82.87%
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 Global ex-US Real Est ETF

Holdings Based Style Analysis for Vanguard Global ex-US Real Est ETF
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
VNQIVanguard Global ex-US Real Est ETFGlobal Real Estate100.00%6.49%0.12%0.12%9.98$9,434100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 01/19/2022. (c) 2022 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 Global ex-US Real Est ETF
Arithmetic Mean (monthly)0.72%
Arithmetic Mean (annualized)8.96%
Geometric Mean (monthly)0.62%
Geometric Mean (annualized)7.66%
Standard Deviation (monthly)4.45%
Standard Deviation (annualized)15.40%
Downside Deviation (monthly)3.06%
Max. Drawdown-27.38%
US Market Correlation0.70
Beta(*)0.78
Alpha (annualized)-3.13%
R248.33%
Sharpe Ratio0.52
Sortino Ratio0.75
Treynor Ratio (%)10.28
Calmar Ratio0.03
Active Return-7.50%
Tracking Error11.50%
Information Ratio-0.65
Skewness-0.97
Excess Kurtosis4.49
Historical Value-at-Risk (5%)-6.33%
Analytical Value-at-Risk (5%)-6.60%
Conditional Value-at-Risk (5%)-9.88%
Upside Capture Ratio (%)65.70
Downside Capture Ratio (%)88.54
Safe Withdrawal Rate16.95%
Perpetual Withdrawal Rate5.62%
Positive Periods66 out of 108 (61.11%)
Gain/Loss Ratio0.98
* 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 Global ex-US Real Est ETF
COVID-19 StartJan 2020Mar 2020-27.38%

Drawdowns for Vanguard Global ex-US Real Est ETF

Drawdowns for Vanguard Global ex-US Real Est ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-27.38%
2Feb 2018Oct 20189 monthsOct 20191 year1 year 9 months-15.54%
3May 2015Jan 20169 monthsMay 20171 year 4 months2 years 1 month-15.42%
4May 2013Aug 20134 monthsApr 20151 year 8 months2 years-14.18%
5May 2012May 20121 monthJul 20122 months3 months-7.45%
6Mar 2012Mar 20121 monthApr 20121 month2 months-1.32%
7Nov 2019Nov 20191 monthDec 20191 month2 months-0.72%
8Feb 2013Feb 20131 monthMar 20131 month2 months-0.09%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VNQIVanguard Global ex-US Real Est ETF7.66%15.40%43.03%-9.42%-27.38%0.520.750.70

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Vanguard Global ex-US Real Est ETF12.79%-7.21%-7.21%0.73%5.76%0.12%0.12%
Trailing returns as of last calendar month ending December 2020

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year5.59%43.03%-22.31%
3 years5.02%14.37%-2.87%
5 years5.03%9.39%-0.87%
7 years4.88%8.18%-0.10%