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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2013 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWO Vanguard FTSE Emerging Markets ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DEM WisdomTree Emerging Markets High Div ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
DGS WisdomTree Emerging Markets SmCp Div ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,060 0.10% 14.90%31.48%-15.81%-29.25% 0.040.060.60
Portfolio 2$10,000$9,038 -1.67% 16.14%26.25%-21.46%-39.11% -0.06-0.080.53
Portfolio 3$10,000$10,313 0.51% 14.73%37.46%-16.50%-30.91% 0.070.100.57
Vanguard 500 Index Investor$10,000$19,731 11.99% 10.74%32.18%-4.52%-13.55% 1.061.700.99
   
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
  • 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.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard FTSE Emerging Markets ETF (VWO)WisdomTree Emerging Markets High Div ETF (DEM)WisdomTree Emerging Markets SmCp Div ETF (DGS)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3
20131.50%-4.92%-6.96%-3.49%32.18%$9,508$9,304$9,651$13,2182.55% [$255]3.71% [$371]3.25% [$325]-4.92%-6.96%-3.49%
20140.76%-0.07%-13.32%-3.55%13.51%$9,502$8,065$9,308$15,0032.80% [$267]4.62% [$430]3.02% [$292]-0.07%-13.32%-3.55%
20150.73%-15.81%-21.46%-16.33%1.25%$8,000$6,334$7,788$15,1902.69% [$255]3.96% [$319]2.68% [$250]-15.81%-21.46%-16.33%
20162.07%12.21%22.45%15.37%11.82%$8,977$7,756$8,985$16,9852.78% [$222]4.33% [$274]3.86% [$301]12.21%22.45%15.37%
20172.11%31.48%26.25%37.46%21.67%$11,802$9,792$12,351$20,6662.98% [$268]4.51% [$350]3.78% [$340]31.48%26.25%37.46%
20181.91%-14.77%-7.69%-16.50%-4.52%$10,060$9,038$10,313$19,7312.41% [$285]4.00% [$392]3.45% [$426]-14.77%-7.69%-16.50%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard FTSE Emerging Markets ETF (VWO)WisdomTree Emerging Markets High Div ETF (DEM)WisdomTree Emerging Markets SmCp Div ETF (DGS)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
201310.07%-0.21%1.25%5.18%$10,007$9,979$10,125$10,5180.07%-0.21%1.25%
20132-2.36%-2.40%1.68%1.34%$9,771$9,739$10,295$10,658-2.36%-2.40%1.68%
20133-1.27%-0.91%1.49%3.74%$9,647$9,651$10,449$11,057-1.27%-0.91%1.49%
201342.00%1.65%2.09%1.91%$9,841$9,810$10,668$11,2682.00%1.65%2.09%
20135-5.07%-4.93%-3.70%2.33%$9,341$9,326$10,273$11,530-5.07%-4.93%-3.70%
20136-5.33%-7.34%-7.58%-1.35%$8,844$8,641$9,494$11,374-5.33%-7.34%-7.58%
201370.70%1.90%0.17%5.07%$8,905$8,806$9,511$11,9510.70%1.90%0.17%
20138-3.43%-1.75%-5.36%-2.91%$8,600$8,652$9,001$11,603-3.43%-1.75%-5.36%
201397.27%8.39%7.91%3.12%$9,225$9,378$9,714$11,9667.27%8.39%7.91%
2013104.34%3.31%3.52%4.59%$9,625$9,688$10,055$12,5144.34%3.31%3.52%
201311-0.93%-3.11%-1.76%3.03%$9,535$9,387$9,878$12,893-0.93%-3.11%-1.76%
201312-0.28%-0.89%-2.31%2.51%$9,508$9,304$9,651$13,218-0.28%-0.89%-2.31%
20141-8.43%-8.90%-6.42%-3.47%$8,706$8,476$9,031$12,759-8.43%-8.90%-6.42%
201423.24%2.19%4.75%4.56%$8,988$8,662$9,460$13,3413.24%2.19%4.75%
201434.62%3.68%3.37%0.82%$9,404$8,981$9,779$13,4514.62%3.68%3.37%
201440.89%0.98%0.99%0.72%$9,487$9,069$9,876$13,5480.89%0.98%0.99%
201453.10%1.96%1.02%2.33%$9,782$9,246$9,976$13,8653.10%1.96%1.02%
201463.17%3.48%1.86%2.05%$10,092$9,568$10,162$14,1493.17%3.48%1.86%
201471.37%-0.37%0.29%-1.39%$10,230$9,533$10,192$13,9531.37%-0.37%0.29%
201483.84%2.09%3.53%3.98%$10,623$9,732$10,552$14,5083.84%2.09%3.53%
20149-7.18%-7.06%-6.08%-1.41%$9,861$9,046$9,910$14,303-7.18%-7.06%-6.08%
2014102.23%-0.57%-1.64%2.42%$10,080$8,995$9,747$14,6502.23%-0.57%-1.64%
201411-1.10%-3.77%-1.12%2.68%$9,969$8,656$9,638$15,043-1.10%-3.77%-1.12%
201412-4.69%-6.83%-3.42%-0.26%$9,502$8,065$9,308$15,003-4.69%-6.83%-3.42%
20151-0.20%-1.59%0.72%-3.02%$9,483$7,937$9,375$14,550-0.20%-1.59%0.72%
201524.66%6.19%2.81%5.74%$9,925$8,428$9,638$15,3854.66%6.19%2.81%
20153-2.05%-3.54%-1.03%-1.59%$9,721$8,130$9,539$15,140-2.05%-3.54%-1.03%
201547.41%11.55%5.67%0.95%$10,442$9,069$10,080$15,2847.41%11.55%5.67%
20155-3.55%-5.00%-2.63%1.27%$10,071$8,616$9,815$15,478-3.55%-5.00%-2.63%
20156-2.54%-2.78%-3.84%-1.93%$9,814$8,376$9,438$15,179-2.54%-2.78%-3.84%
20157-6.26%-7.92%-7.31%2.08%$9,200$7,712$8,749$15,495-6.26%-7.92%-7.31%
20158-9.86%-8.85%-8.95%-6.04%$8,292$7,030$7,966$14,559-9.86%-8.85%-8.95%
20159-2.88%-5.50%-1.00%-2.49%$8,054$6,643$7,886$14,196-2.88%-5.50%-1.00%
2015105.29%5.02%4.07%8.42%$8,480$6,976$8,207$15,3925.29%5.02%4.07%
201511-2.30%-4.52%-2.24%0.29%$8,285$6,661$8,023$15,436-2.30%-4.52%-2.24%
201512-3.44%-4.91%-2.92%-1.59%$8,000$6,334$7,788$15,190-3.44%-4.91%-2.92%
20161-5.75%-3.86%-5.36%-4.98%$7,540$6,089$7,371$14,434-5.75%-3.86%-5.36%
20162-0.32%1.87%3.01%-0.15%$7,516$6,204$7,593$14,413-0.32%1.87%3.01%
2016312.72%12.39%10.53%6.78%$8,472$6,972$8,393$15,39012.72%12.39%10.53%
201641.01%3.45%2.20%0.37%$8,558$7,213$8,577$15,4471.01%3.45%2.20%
20165-3.24%-6.47%-4.82%1.78%$8,281$6,746$8,164$15,723-3.24%-6.47%-4.82%
201664.93%5.95%6.59%0.25%$8,689$7,148$8,702$15,7624.93%5.95%6.59%
201675.14%6.61%7.10%3.68%$9,135$7,620$9,320$16,3425.14%6.61%7.10%
201680.78%-0.29%0.00%0.13%$9,207$7,598$9,320$16,3630.78%-0.29%0.00%
201692.05%1.95%2.27%0.01%$9,395$7,746$9,532$16,3642.05%1.95%2.27%
2016100.32%0.96%-1.68%-1.83%$9,425$7,820$9,372$16,0640.32%0.96%-1.68%
201611-4.05%-2.45%-4.56%3.70%$9,043$7,629$8,945$16,658-4.05%-2.45%-4.56%
201612-0.74%1.67%0.45%1.96%$8,977$7,756$8,985$16,985-0.74%1.67%0.45%
201715.76%4.90%6.39%1.88%$9,493$8,136$9,560$17,3055.76%4.90%6.39%
201722.25%1.97%4.23%3.96%$9,707$8,296$9,964$17,9912.25%1.97%4.23%
201732.84%2.28%3.48%0.10%$9,983$8,485$10,311$18,0092.84%2.28%3.48%
201741.56%0.73%0.74%1.02%$10,139$8,547$10,387$18,1921.56%0.73%0.74%
201750.99%-0.22%1.28%1.39%$10,239$8,528$10,520$18,4460.99%-0.22%1.28%
201760.85%0.87%1.13%0.61%$10,326$8,603$10,639$18,5590.85%0.87%1.13%
201775.34%4.39%4.33%2.04%$10,877$8,981$11,099$18,9385.34%4.39%4.33%
201783.00%3.55%3.06%0.29%$11,203$9,300$11,439$18,9933.00%3.55%3.06%
20179-0.49%-0.80%1.06%2.06%$11,148$9,225$11,560$19,384-0.49%-0.80%1.06%
2017102.43%1.28%0.59%2.32%$11,420$9,343$11,629$19,8342.43%1.28%0.59%
201711-0.34%-0.34%0.26%3.06%$11,381$9,311$11,659$20,440-0.34%-0.34%0.26%
2017123.70%5.16%5.93%1.10%$11,802$9,792$12,351$20,6663.70%5.16%5.93%
201818.56%8.84%6.96%5.71%$12,813$10,657$13,211$21,8468.56%8.84%6.96%
20182-5.36%-4.05%-4.28%-3.69%$12,126$10,226$12,645$21,039-5.36%-4.05%-4.28%
20183-0.21%0.97%1.22%-2.56%$12,100$10,325$12,799$20,502-0.21%0.97%1.22%
20184-2.77%-3.14%-3.33%0.37%$11,765$10,001$12,373$20,578-2.77%-3.14%-3.33%
20185-2.34%-1.90%-1.09%2.39%$11,490$9,811$12,238$21,071-2.34%-1.90%-1.09%
20186-4.79%-4.73%-6.48%0.61%$10,939$9,347$11,445$21,198-4.79%-4.73%-6.48%
201873.98%5.64%2.31%3.71%$11,374$9,875$11,709$21,9853.98%5.64%2.31%
20188-4.19%-3.38%-3.24%3.25%$10,898$9,541$11,330$22,698-4.19%-3.38%-3.24%
20189-1.35%2.45%-1.54%0.55%$10,751$9,775$11,155$22,824-1.35%2.45%-1.54%
201810-7.66%-7.63%-10.10%-6.85%$9,927$9,029$10,029$21,261-7.66%-7.63%-10.10%
2018114.83%2.55%5.46%2.03%$10,407$9,260$10,576$21,6924.83%2.55%5.46%
201812-3.34%-2.39%-2.49%-9.04%$10,060$9,038$10,313$19,731-3.34%-2.39%-2.49%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value0.00%0.00%0.00%46.77%
Large-cap Growth0.00%0.00%0.00%52.83%
Mid-cap Value0.00%0.00%3.23%0.00%
Mid-cap Growth0.00%0.00%0.75%0.00%
Small-cap Value0.00%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%0.40%
Global ex-US Developed Markets0.00%0.00%0.00%0.00%
Emerging Markets100.00%100.00%86.90%0.00%
Corporate Bonds0.00%0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%9.12%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%0.01%
Short-Term Treasuries0.00%0.00%0.00%0.00%
R Squared100.00%89.46%88.84%99.94%
Style analysis is based on monthly returns from Jan 2013 to Dec 2018 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts100.00%0.10%14.14$59.55100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DEMWisdomTree Emerging Markets High Div ETFDiversified Emerging Mkts100.00%0.63%8.71-$962100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DGSWisdomTree Emerging Markets SmCp Div ETFDiversified Emerging Mkts100.00%0.63%10.07$313100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/12/2020. (c) 2020 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 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.10%-0.03%0.13%1.00%
Arithmetic Mean (annualized)1.20%-0.40%1.60%12.63%
Geometric Mean (monthly)0.01%-0.14%0.04%0.95%
Geometric Mean (annualized)0.10%-1.67%0.51%11.99%
Volatility (monthly)4.30%4.66%4.25%3.10%
Volatility (annualized)14.90%16.14%14.73%10.74%
Downside Deviation (monthly)2.93%3.21%2.99%1.91%
Max. Drawdown-29.25%-39.11%-30.91%-13.55%
US Market Correlation0.600.530.570.99
Beta(*)0.840.810.781.00
Alpha (annualized)-8.90%-10.06%-7.75%0.00%
R237.02%28.91%32.47%100.00%
Sharpe Ratio0.04-0.060.071.06
Sortino Ratio0.06-0.080.101.70
Treynor Ratio (%)0.78-1.161.3511.42
Calmar Ratio0.350.820.410.67
Active Return-11.89%-13.66%-11.48%N/A
Tracking Error11.94%13.76%12.33%N/A
Information Ratio-1.00-0.99-0.93N/A
Skewness0.130.26-0.12-0.65
Excess Kurtosis0.11-0.02-0.221.22
Historical Value-at-Risk (5%)-7.35%-7.73%-7.40%-5.35%
Analytical Value-at-Risk (5%)-6.97%-7.70%-6.86%-4.10%
Conditional Value-at-Risk (5%)-8.65%-8.56%-8.88%-7.31%
Upside Capture Ratio (%)56.1749.8053.58100.00
Downside Capture Ratio (%)125.00129.42115.83100.00
Safe Withdrawal Rate15.15%13.08%15.21%26.17%
Perpetual Withdrawal Rate0.00%0.00%0.00%9.36%
Positive Periods36 out of 72 (50.00%)35 out of 72 (48.61%)41 out of 72 (56.94%)53 out of 72 (73.61%)
Gain/Loss Ratio1.061.040.790.81
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2014Feb 20161 year 6 monthsJul 20171 year 5 months2 years 11 months-29.25%
2Feb 2018Oct 20189 months-22.52%
3Feb 2013Aug 20137 monthsJun 201410 months1 year 5 months-14.06%
4Sep 2017Sep 20171 monthOct 20171 month2 months-0.49%
5Nov 2017Nov 20171 monthDec 20171 month2 months-0.34%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2013Jan 20163 years 1 monthJan 20182 years5 years 1 month-39.11%
2Feb 2018Oct 20189 months-15.28%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Jan 20162 years 9 monthsJul 20171 year 6 months4 years 3 months-30.91%
2Feb 2018Oct 20189 months-24.09%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-13.55%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
7Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
8Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
9Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWOVanguard FTSE Emerging Markets ETF0.10%14.90%31.48%-15.81%-29.25%0.040.060.60
DEMWisdomTree Emerging Markets High Div ETF-1.67%16.14%26.25%-21.46%-39.11%-0.06-0.080.53
DGSWisdomTree Emerging Markets SmCp Div ETF0.51%14.73%37.46%-16.50%-30.91%0.070.100.57

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWODEMDGSPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VWOVanguard FTSE Emerging Markets ETF1.000.950.941.000.950.940.61
DEMWisdomTree Emerging Markets High Div ETF0.951.000.910.951.000.910.54
DGSWisdomTree Emerging Markets SmCp Div ETF0.940.911.000.940.911.000.57

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWOVanguard FTSE Emerging Markets ETF$59.55
DEMWisdomTree Emerging Markets High Div ETF-$962
DGSWisdomTree Emerging Markets SmCp Div ETF$313

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWOVanguard FTSE Emerging Markets ETF100.00%
DEMWisdomTree Emerging Markets High Div ETF100.00%
DGSWisdomTree Emerging Markets SmCp Div ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year1.36%31.48%-15.81%-0.12%26.25%-21.46%2.16%37.46%-16.50%12.65%32.18%-4.52%
3 years1.59%7.94%-7.17%-0.19%12.58%-14.12%2.34%9.89%-7.99%11.01%14.95%8.72%
5 years2.25%3.37%1.13%-0.50%-0.42%-0.58%2.83%4.31%1.34%11.98%15.62%8.34%
Result statistics are based on annualized rolling returns over full calendar year periods