This 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 |
|---|---|---|
| ACWF | iShares Edge MSCI Multifactor Global ETF | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VT | Vanguard Total World Stock ETF | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $12,482 | 5.25% | 13.25% | 29.87% | -13.70% | -18.50% | 0.37 | 0.55 | 0.92 |
| Portfolio 2 | $10,000 | $13,131 | 6.49% | 12.14% | 24.49% | -9.76% | -14.45% | 0.49 | 0.73 | 0.97 |
| Year | Inflation | Return | Balance | iShares Edge MSCI Multifactor Global ETF (ACWF) | Vanguard Total World Stock ETF (VT) | ||
|---|---|---|---|---|---|---|---|
| Portfolio 1 | Portfolio 2 | Portfolio 1 | Portfolio 2 | ||||
| 2015 | -0.54% | -6.09% | -7.37% | $9,391 | $9,263 | -6.09% | -7.37% |
| 2016 | 2.07% | 4.99% | 8.51% | $9,860 | $10,052 | 4.99% | 8.51% |
| 2017 | 2.11% | 29.87% | 24.49% | $12,805 | $12,514 | 29.87% | 24.49% |
| 2018 | 1.91% | -13.70% | -9.76% | $11,051 | $11,293 | -13.70% | -9.76% |
| 2019 | 2.12% | 12.94% | 16.28% | $12,482 | $13,131 | 12.94% | 16.28% |
| Annual returns for 2015 and 2019 are based on partial years | |||||||
| Year | Month | Return | Balance | iShares Edge MSCI Multifactor Global ETF (ACWF) | Vanguard Total World Stock ETF (VT) | ||
|---|---|---|---|---|---|---|---|
| Portfolio 1 | Portfolio 2 | Portfolio 1 | Portfolio 2 | ||||
| 2015 | 6 | -1.68% | -2.22% | $9,832 | $9,778 | -1.68% | -2.22% |
| 2015 | 7 | -1.83% | 0.50% | $9,653 | $9,827 | -1.83% | 0.50% |
| 2015 | 8 | -4.47% | -6.63% | $9,221 | $9,176 | -4.47% | -6.63% |
| 2015 | 9 | -3.38% | -3.71% | $8,910 | $8,835 | -3.38% | -3.71% |
| 2015 | 10 | 7.13% | 7.29% | $9,545 | $9,479 | 7.13% | 7.29% |
| 2015 | 11 | -0.04% | -0.08% | $9,541 | $9,471 | -0.04% | -0.08% |
| 2015 | 12 | -1.57% | -2.19% | $9,391 | $9,263 | -1.57% | -2.19% |
| 2016 | 1 | -9.74% | -5.87% | $8,477 | $8,720 | -9.74% | -5.87% |
| 2016 | 2 | 1.69% | -1.11% | $8,620 | $8,624 | 1.69% | -1.11% |
| 2016 | 3 | 7.59% | 7.98% | $9,275 | $9,311 | 7.59% | 7.98% |
| 2016 | 4 | 0.65% | 1.01% | $9,335 | $9,405 | 0.65% | 1.01% |
| 2016 | 5 | -0.43% | 0.65% | $9,295 | $9,466 | -0.43% | 0.65% |
| 2016 | 6 | -1.47% | -0.18% | $9,158 | $9,449 | -1.47% | -0.18% |
| 2016 | 7 | 5.20% | 4.15% | $9,634 | $9,842 | 5.20% | 4.15% |
| 2016 | 8 | 0.76% | 0.35% | $9,707 | $9,876 | 0.76% | 0.35% |
| 2016 | 9 | 0.63% | 0.79% | $9,768 | $9,954 | 0.63% | 0.79% |
| 2016 | 10 | -1.00% | -1.97% | $9,671 | $9,757 | -1.00% | -1.97% |
| 2016 | 11 | 2.56% | 1.19% | $9,918 | $9,873 | 2.56% | 1.19% |
| 2016 | 12 | -0.58% | 1.81% | $9,860 | $10,052 | -0.58% | 1.81% |
| 2017 | 1 | 3.94% | 3.00% | $10,249 | $10,354 | 3.94% | 3.00% |
| 2017 | 2 | 1.68% | 2.69% | $10,421 | $10,632 | 1.68% | 2.69% |
| 2017 | 3 | 1.65% | 1.48% | $10,593 | $10,789 | 1.65% | 1.48% |
| 2017 | 4 | 1.41% | 1.63% | $10,742 | $10,965 | 1.41% | 1.63% |
| 2017 | 5 | 3.07% | 1.95% | $11,071 | $11,178 | 3.07% | 1.95% |
| 2017 | 6 | 1.83% | 0.63% | $11,273 | $11,248 | 1.83% | 0.63% |
| 2017 | 7 | 2.34% | 2.65% | $11,538 | $11,546 | 2.34% | 2.65% |
| 2017 | 8 | 0.93% | 0.42% | $11,645 | $11,594 | 0.93% | 0.42% |
| 2017 | 9 | 2.80% | 2.11% | $11,971 | $11,839 | 2.80% | 2.11% |
| 2017 | 10 | 3.07% | 2.11% | $12,338 | $12,088 | 3.07% | 2.11% |
| 2017 | 11 | 2.44% | 1.90% | $12,640 | $12,317 | 2.44% | 1.90% |
| 2017 | 12 | 1.31% | 1.60% | $12,805 | $12,514 | 1.31% | 1.60% |
| 2018 | 1 | 5.89% | 5.48% | $13,559 | $13,200 | 5.89% | 5.48% |
| 2018 | 2 | -3.20% | -4.44% | $13,125 | $12,613 | -3.20% | -4.44% |
| 2018 | 3 | -1.62% | -1.29% | $12,912 | $12,451 | -1.62% | -1.29% |
| 2018 | 4 | -0.74% | 0.42% | $12,816 | $12,504 | -0.74% | 0.42% |
| 2018 | 5 | 1.24% | 0.57% | $12,975 | $12,575 | 1.24% | 0.57% |
| 2018 | 6 | -2.69% | -0.60% | $12,626 | $12,499 | -2.69% | -0.60% |
| 2018 | 7 | 2.66% | 2.88% | $12,962 | $12,859 | 2.66% | 2.88% |
| 2018 | 8 | 0.16% | 0.86% | $12,983 | $12,969 | 0.16% | 0.86% |
| 2018 | 9 | -0.55% | 0.08% | $12,912 | $12,980 | -0.55% | 0.08% |
| 2018 | 10 | -7.95% | -7.82% | $11,886 | $11,965 | -7.95% | -7.82% |
| 2018 | 11 | 0.92% | 1.73% | $11,995 | $12,172 | 0.92% | 1.73% |
| 2018 | 12 | -7.87% | -7.22% | $11,051 | $11,293 | -7.87% | -7.22% |
| 2019 | 1 | 9.70% | 7.99% | $12,124 | $12,195 | 9.70% | 7.99% |
| 2019 | 2 | 2.07% | 2.82% | $12,375 | $12,538 | 2.07% | 2.82% |
| 2019 | 3 | -0.07% | 1.06% | $12,367 | $12,672 | -0.07% | 1.06% |
| 2019 | 4 | 2.06% | 3.47% | $12,622 | $13,112 | 2.06% | 3.47% |
| 2019 | 5 | -6.98% | -5.97% | $11,741 | $12,329 | -6.98% | -5.97% |
| 2019 | 6 | 7.35% | 6.37% | $12,603 | $13,114 | 7.35% | 6.37% |
| 2019 | 7 | -0.56% | 0.00% | $12,533 | $13,114 | -0.56% | 0.00% |
| 2019 | 8 | -2.56% | -2.10% | $12,212 | $12,838 | -2.56% | -2.10% |
| 2019 | 9 | 2.21% | 2.28% | $12,482 | $13,131 | 2.21% | 2.28% |
| Style Category | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Large-cap Value | 0.00% | 13.03% |
| Large-cap Growth | 27.42% | 27.68% |
| Mid-cap Value | 8.98% | 9.96% |
| Mid-cap Growth | 0.00% | 0.26% |
| Small-cap Value | 17.32% | 0.23% |
| Small-cap Growth | 0.00% | 1.86% |
| Global ex-US Developed Markets | 21.91% | 34.56% |
| Emerging Markets | 24.37% | 12.43% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 91.39% | 99.78% |
| Style analysis is based on monthly returns from Jun 2015 to Sep 2019 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. | ||
| Ticker | Name | Category | ER | Weight | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|
| ACWF | iShares Edge MSCI Multifactor Global ETF | World Large Stock | 0.35% | 100.00% | $2,482 | 100.00% |
| Ticker | Name | Category | Duration | ER | Weight | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|
| VT | Vanguard Total World Stock ETF | World Large Stock | 0.09% | 100.00% | $3,131 | 100.00% |
Fund fundamentals data as of 10/03/2019. © 2019 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 |
|---|---|---|
| Arithmetic Mean (monthly) | 0.50% | 0.59% |
| Arithmetic Mean (annualized) | 6.16% | 7.26% |
| Geometric Mean (monthly) | 0.43% | 0.53% |
| Geometric Mean (annualized) | 5.25% | 6.49% |
| Volatility (monthly) | 3.83% | 3.50% |
| Volatility (annualized) | 13.25% | 12.14% |
| Downside Deviation (monthly) | 2.56% | 2.33% |
| Max. Drawdown | -18.50% | -14.45% |
| US Market Correlation | 0.92 | 0.97 |
| Beta(*) | 0.97 | 0.93 |
| Alpha (annualized) | -3.81% | -2.38% |
| R2 | 84.84% | 93.26% |
| Sharpe Ratio | 0.37 | 0.49 |
| Sortino Ratio | 0.55 | 0.73 |
| Treynor Ratio (%) | 5.13 | 6.46 |
| Calmar Ratio | 0.46 | 0.67 |
| Active Return | -4.52% | -3.29% |
| Tracking Error | 5.18% | 3.28% |
| Information Ratio | -0.87 | -1.00 |
| Skewness | -0.32 | -0.34 |
| Excess Kurtosis | 1.03 | 0.66 |
| Historical Value-at-Risk (5%) | -7.90% | -6.84% |
| Analytical Value-at-Risk (5%) | -5.79% | -5.18% |
| Conditional Value-at-Risk (5%) | -8.84% | -7.52% |
| Upside Capture Ratio (%) | 77.61 | 85.69 |
| Downside Capture Ratio (%) | 98.22 | 101.72 |
| Safe Withdrawal Rate | 25.94% | 25.99% |
| Perpetual Withdrawal Rate | 3.58% | 4.79% |
| Positive Periods | 30 out of 52 (57.69%) | 35 out of 52 (67.31%) |
| Gain/Loss Ratio | 1.05 | 0.72 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2018 | Dec 2018 | 11 months | -18.50% | |||
| 2 | Jun 2015 | Jan 2016 | 8 months | Jan 2017 | 1 year | 1 year 8 months | -15.23% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2018 | Dec 2018 | 11 months | -14.45% | |||
| 2 | Jun 2015 | Feb 2016 | 9 months | Dec 2016 | 10 months | 1 year 7 months | -13.76% |
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| ACWF | iShares Edge MSCI Multifactor Global ETF | 5.25% | 13.25% | 29.87% | -13.70% | -18.50% | 0.37 | 0.55 | 0.92 |
| VT | Vanguard Total World Stock ETF | 6.49% | 12.14% | 24.49% | -9.76% | -14.45% | 0.49 | 0.73 | 0.97 |
| Ticker | Name | ACWF | VT | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|
| ACWF | iShares Edge MSCI Multifactor Global ETF | - | 0.95 | 1.00 | 0.95 |
| VT | Vanguard Total World Stock ETF | 0.95 | - | 0.95 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| ACWF | iShares Edge MSCI Multifactor Global ETF | $2,482 | |
| VT | Vanguard Total World Stock ETF | $3,131 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| ACWF | iShares Edge MSCI Multifactor Global ETF | 100.00% | |
| VT | Vanguard Total World Stock ETF | 100.00% |