ETF Portfolio Backtest: Historical Returns and Drawdowns of a Mix
Mix
Common Portfolio Designs, Backtested on Our Own Fund Series
Each of these portfolios is made up of funds we also carry in our database. The calculation is based on their daily net asset values and includes fund costs. It therefore shows how a portfolio of exactly these funds would have performed – not based on index data, which leaves fund costs out.
Compared From Oct 13, 2017
All lines are set to 100 on the shared starting day. Oct 13, 2017, is the earliest possible shared start, because the data series of the youngest building block across all portfolios begins on that day. An earlier start would therefore not be possible for every portfolio. The maximum drawdown is the largest decline from a peak.
- 70/30 With Small Caps
- One ETF for Everything
- 70/30 World and Emerging Markets
- Multi-Factor, Five Times 20
- Sustainable 70/30
- 60/40 World and Emerging Markets
- 50/30/20 With Europe
| Portfolio | Total | Per year | Max drawdown |
|---|---|---|---|
| 70/30 With Small Caps | 156.2% | 10.92% | -36.0% |
| One ETF for Everything | 152.9% | 10.76% | -34.7% |
| 70/30 World and Emerging Markets | 144.1% | 10.33% | -33.6% |
| Multi-Factor, Five Times 20 | 143.9% | 10.32% | -34.6% |
| Sustainable 70/30 | 133.3% | 9.78% | -33.3% |
| 60/40 World and Emerging Markets | 132.9% | 9.76% | -33.6% |
| 50/30/20 With Europe | 129.3% | 9.57% | -34.0% |
The Portfolios One by One
Here each portfolio counts from its own first day (column “From”). The returns are therefore not comparable with one another. For that, use the table above. The column “Per year” assumes the mix is reset to its target weights once a year. The column “Without rebalancing” shows the same mix left to run. TER is the funds' annual expense ratio, averaged by weight. The link “Open in the backtest” loads the mix into the tool above, in US dollars and with yearly rebalancing.
| Portfolio | From | Per year | Without rebalancing | Max drawdown | TER | Path |
|---|---|---|---|---|---|---|
One ETF for Everything
Developed markets, emerging markets and small caps in a single fund – the shortest form of a global portfolio.
| May 16, 2011 | 9.92% | – | -34.7% | 0.17% | |
70/30 World and Emerging Markets
The classic: emerging markets weighted above their market value, closer to their share of the world economy.
| May 16, 2011 | 8.94% | 9.30% | -33.6% | 0.19% | |
60/40 World and Emerging Markets
The same two funds, with emerging markets weighted higher still.
| May 16, 2011 | 8.33% | 8.76% | -33.6% | 0.19% | |
50/30/20 With Europe
Europe on top, against the roughly 73 percent US weight in the world index.
| May 16, 2011 | 8.18% | 8.52% | -34.0% | 0.15% | |
70/30 With Small Caps
Developed-market small companies, which the MSCI World leaves out.
| Nov 25, 2013 | 10.13% | 10.18% | -36.0% | 0.28% | |
Sustainable 70/30
The same split, but only the best-rated companies within each sector, so far fewer holdings.
| Oct 13, 2017 | 9.78% | 9.91% | -33.3% | 0.22% | |
Multi-Factor, Five Times 20
Five equal building blocks, none of them the world index itself.
| Oct 3, 2014 | 9.96% | 9.97% | -34.6% | 0.23% | |
Dividend 70/30
Companies with a long payout record, weighted by dividend yield rather than market value.
| No performance of our own, because both funds pay out their income; note below the table. | |||||
Dividend 70/30: For this portfolio we show no performance of our own. Both funds pay their income out, and the net-asset-value series does not contain it. Measured against the published returns, it is short by 4.8 percentage points a year. Putting such a series next to series that do contain the income would make the dividend portfolio look worse than it was.
| % per year | 1 yr | 3 yr | 5 yr | 10 yr |
|---|---|---|---|---|
| ZPRG | 16.25 | 17.97 | 7.46 | 6.76 |
| SPYV | 0.69 | 15.28 | 6.10 | 5.22 |
Returns per year as the fund company publishes them; as of Oct 31, 2026. Combining the two into one portfolio figure would be an estimate, so we leave it out. Once the payouts exist as a data series, this portfolio will be calculated like the others.
What These Numbers Leave Out
- Taxes and account costs: Taxes, trading costs and account fees are not included. After these costs, the actual return is correspondingly lower.
- Currency effects: The calculation is in US dollars. Euro share classes are converted at the ECB reference rate of the day. In euros, the results can therefore look different – because of exchange-rate moves, not because of different performance.
- Only the past: The longest series begins on May 16, 2011. It therefore covers certain market phases, but not every possible market condition. No statement about future performance can be derived from it.
- Checked data: Every fund series is reconciled against the published returns and matches them to within 0.01 percentage points a year. Where a series does not reach this accuracy, we say so.
Data Behind This Tool
The tool calculates with this data from our database or uses it to fill in its fields:
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Updated · Content and figures checked