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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Asset 1

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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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Total

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Total allocation for portfolio 3 %

Portfolio Analysis Results (Jun 2015 - Dec 2019)

Note: The time period was constrained by the available data for iShares MSCI Global Multifactor ETF (ACWF) [Jun 2015 - Sep 2021].

Portfolio Allocations

iShares MSCI Global Multifactor ETF
Ticker	Name	Allocation
ACWF	iShares MSCI Global Multifactor ETF	100.00%
Save portfolio »

Vanguard Total World Stock ETF
Ticker	Name	Allocation
VT	Vanguard Total World Stock ETF	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
iShares MSCI Global Multifactor ETF	$10,000	$13,615	6.96%	13.03%	29.87%	-13.70%	-18.50%	0.50	0.73	0.92
Vanguard Total World Stock ETF	$10,000	$14,321	8.15%	11.95%	26.82%	-9.76%	-14.45%	0.62	0.93	0.96

Trailing Returns

Trailing Returns
Name	Annualized Return				Annualized Volatility
Name	3 Month	1 year	3 year	Full	3 year
iShares MSCI Global Multifactor ETF	9.08%	23.20%	11.35%	6.96%	12.66%
Vanguard Total World Stock ETF	9.07%	26.82%	12.52%	8.15%	11.46%
Trailing annualized return and volatility are for full months ending in December 2019 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.
The annual results for 2015 are based on monthly returns from June to December
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
Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.

Annual returns for the configured portfolios
Year	Inflation	iShares MSCI Global Multifactor ETF		Vanguard Total World Stock ETF		iShares MSCI Global Multifactor ETF (ACWF)	Vanguard Total World Stock ETF (VT)
Year	Inflation	Return	Balance	Return	Balance	iShares MSCI Global Multifactor ETF (ACWF)	Vanguard Total World Stock ETF (VT)
2015	-0.54%	-6.09%	$9,391	-7.37%	$9,263	-6.09%	-7.37%
2016	2.07%	4.99%	$9,860	8.51%	$10,052	4.99%	8.51%
2017	2.11%	29.87%	$12,805	24.49%	$12,514	29.87%	24.49%
2018	1.91%	-13.70%	$11,051	-9.76%	$11,293	-13.70%	-9.76%
2019	2.29%	23.20%	$13,615	26.82%	$14,321	23.20%	26.82%
Annual return for 2015 is from 06/01/2015 to 12/31/2015

Monthly returns for the configured portfolios
Year	Month	iShares MSCI Global Multifactor ETF		Vanguard Total World Stock ETF		iShares MSCI Global Multifactor ETF (ACWF)	Vanguard Total World Stock ETF (VT)
Year	Month	Return	Balance	Return	Balance	iShares MSCI Global Multifactor ETF (ACWF)	Vanguard Total World Stock ETF (VT)
2015	6	-1.68%	$9,832	-2.22%	$9,778	-1.68%	-2.22%
2015	7	-1.83%	$9,653	0.50%	$9,827	-1.83%	0.50%
2015	8	-4.47%	$9,221	-6.63%	$9,176	-4.47%	-6.63%
2015	9	-3.38%	$8,910	-3.71%	$8,835	-3.38%	-3.71%
2015	10	7.13%	$9,545	7.29%	$9,479	7.13%	7.29%
2015	11	-0.04%	$9,541	-0.08%	$9,471	-0.04%	-0.08%
2015	12	-1.57%	$9,391	-2.19%	$9,263	-1.57%	-2.19%
2016	1	-9.74%	$8,477	-5.87%	$8,720	-9.74%	-5.87%
2016	2	1.69%	$8,620	-1.11%	$8,624	1.69%	-1.11%
2016	3	7.59%	$9,275	7.98%	$9,311	7.59%	7.98%
2016	4	0.65%	$9,335	1.01%	$9,405	0.65%	1.01%
2016	5	-0.43%	$9,295	0.65%	$9,466	-0.43%	0.65%
2016	6	-1.47%	$9,158	-0.18%	$9,449	-1.47%	-0.18%
2016	7	5.20%	$9,634	4.15%	$9,842	5.20%	4.15%
2016	8	0.76%	$9,707	0.35%	$9,876	0.76%	0.35%
2016	9	0.63%	$9,768	0.79%	$9,954	0.63%	0.79%
2016	10	-1.00%	$9,671	-1.97%	$9,757	-1.00%	-1.97%
2016	11	2.56%	$9,918	1.19%	$9,873	2.56%	1.19%
2016	12	-0.58%	$9,860	1.81%	$10,052	-0.58%	1.81%
2017	1	3.94%	$10,249	3.00%	$10,354	3.94%	3.00%
2017	2	1.68%	$10,421	2.69%	$10,632	1.68%	2.69%
2017	3	1.65%	$10,593	1.48%	$10,789	1.65%	1.48%
2017	4	1.41%	$10,742	1.63%	$10,965	1.41%	1.63%
2017	5	3.07%	$11,071	1.95%	$11,178	3.07%	1.95%
2017	6	1.83%	$11,273	0.63%	$11,248	1.83%	0.63%
2017	7	2.34%	$11,538	2.65%	$11,546	2.34%	2.65%
2017	8	0.93%	$11,645	0.42%	$11,594	0.93%	0.42%
2017	9	2.80%	$11,971	2.11%	$11,839	2.80%	2.11%
2017	10	3.07%	$12,338	2.11%	$12,088	3.07%	2.11%
2017	11	2.44%	$12,640	1.90%	$12,317	2.44%	1.90%
2017	12	1.31%	$12,805	1.60%	$12,514	1.31%	1.60%
2018	1	5.89%	$13,559	5.48%	$13,200	5.89%	5.48%
2018	2	-3.20%	$13,125	-4.44%	$12,613	-3.20%	-4.44%
2018	3	-1.62%	$12,912	-1.29%	$12,451	-1.62%	-1.29%
2018	4	-0.74%	$12,816	0.42%	$12,504	-0.74%	0.42%
2018	5	1.24%	$12,975	0.57%	$12,575	1.24%	0.57%
2018	6	-2.69%	$12,626	-0.60%	$12,499	-2.69%	-0.60%
2018	7	2.66%	$12,962	2.88%	$12,859	2.66%	2.88%
2018	8	0.16%	$12,983	0.86%	$12,969	0.16%	0.86%
2018	9	-0.55%	$12,912	0.08%	$12,980	-0.55%	0.08%
2018	10	-7.95%	$11,886	-7.82%	$11,965	-7.95%	-7.82%
2018	11	0.92%	$11,995	1.73%	$12,172	0.92%	1.73%
2018	12	-7.87%	$11,051	-7.22%	$11,293	-7.87%	-7.22%
2019	1	9.70%	$12,124	7.99%	$12,195	9.70%	7.99%
2019	2	2.07%	$12,375	2.82%	$12,538	2.07%	2.82%
2019	3	-0.07%	$12,367	1.06%	$12,672	-0.07%	1.06%
2019	4	2.06%	$12,622	3.47%	$13,112	2.06%	3.47%
2019	5	-6.98%	$11,741	-5.97%	$12,329	-6.98%	-5.97%
2019	6	7.35%	$12,603	6.37%	$13,114	7.35%	6.37%
2019	7	-0.56%	$12,533	0.00%	$13,114	-0.56%	0.00%
2019	8	-2.56%	$12,212	-2.10%	$12,838	-2.56%	-2.10%
2019	9	2.21%	$12,482	2.28%	$13,131	2.21%	2.28%
2019	10	2.35%	$12,775	2.79%	$13,497	2.35%	2.79%
2019	11	3.15%	$13,178	2.56%	$13,843	3.15%	2.56%
2019	12	3.32%	$13,615	3.45%	$14,321	3.32%	3.45%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	iShares MSCI Global Multifactor ETF	Vanguard Total World Stock ETF
Large-cap Value	0.00%	13.91%
Large-cap Growth	28.49%	27.68%
Mid-cap Value	10.72%	9.45%
Mid-cap Growth	0.00%	0.00%
Small-cap Value	15.96%	0.11%
Small-cap Growth	0.00%	2.19%
Global ex-US Developed Markets	21.54%	34.25%
Emerging Markets	23.29%	12.41%
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	91.37%	99.77%
Style analysis is based on monthly returns from June 2015 to December 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.

Holdings Based Style Analysis for iShares MSCI Global Multifactor ETF

Holdings Based Style Analysis for iShares MSCI Global Multifactor ETF
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
ACWF	iShares MSCI Global Multifactor ETF	World Large-Stock Blend	100.00%	1.77%	0.35%	13.22	$3,615	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Total World Stock ETF

Holdings Based Style Analysis for Vanguard Total World Stock ETF
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
VT	Vanguard Total World Stock ETF	World Large-Stock Blend	100.00%	1.69%	0.08%	19.95	$4,321	100.00%

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
Metric	iShares MSCI Global Multifactor ETF	Vanguard Total World Stock ETF
Arithmetic Mean (monthly)	0.63%	0.71%
Arithmetic Mean (annualized)	7.86%	8.91%
Geometric Mean (monthly)	0.56%	0.66%
Geometric Mean (annualized)	6.96%	8.15%
Volatility (monthly)	3.76%	3.45%
Volatility (annualized)	13.03%	11.95%
Downside Deviation (monthly)	2.49%	2.27%
Max. Drawdown	-18.50%	-14.45%
US Market Correlation	0.92	0.96
Beta^(*)	0.97	0.93
Alpha (annualized)	-3.55%	-2.11%
R²	85.03%	93.02%
Sharpe Ratio	0.50	0.62
Sortino Ratio	0.73	0.93
Treynor Ratio (%)	6.66	8.00
Calmar Ratio	0.61	0.87
Active Return	-4.32%	-3.13%
Tracking Error	5.06%	3.28%
Information Ratio	-0.85	-0.95
Skewness	-0.41	-0.44
Excess Kurtosis	1.13	0.75
Historical Value-at-Risk (5%)	-7.25%	-6.17%
Analytical Value-at-Risk (5%)	-5.55%	-4.96%
Conditional Value-at-Risk (5%)	-8.52%	-7.22%
Upside Capture Ratio (%)	79.51	86.94
Downside Capture Ratio (%)	98.22	101.72
Safe Withdrawal Rate	21.51%	21.73%
Perpetual Withdrawal Rate	4.51%	5.48%
Positive Periods	33 out of 55 (60.00%)	38 out of 55 (69.09%)
Gain/Loss Ratio	1.05	0.73
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for iShares MSCI Global Multifactor ETF

Drawdowns for iShares MSCI Global Multifactor ETF
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2018	Dec 2018	11 months	Dec 2019	1 year	1 year 11 months	-18.50%
2	Jun 2015	Jan 2016	8 months	Jan 2017	1 year	1 year 8 months	-15.23%

Drawdowns for Vanguard Total World Stock ETF

Drawdowns for Vanguard Total World Stock ETF
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2018	Dec 2018	11 months	Oct 2019	10 months	1 year 9 months	-14.45%
2	Jun 2015	Feb 2016	9 months	Dec 2016	10 months	1 year 7 months	-13.76%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
ACWF	iShares MSCI Global Multifactor ETF	6.96%	13.03%	29.87%	-13.70%	-18.50%	0.50	0.73	0.92
VT	Vanguard Total World Stock ETF	8.15%	11.95%	26.82%	-9.76%	-14.45%	0.62	0.93	0.96

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	ACWF	VT	iShares MSCI Global Multifactor ETF	Vanguard Total World Stock ETF
ACWF	iShares MSCI Global Multifactor ETF	1.00	0.95	1.00	0.95
VT	Vanguard Total World Stock ETF	0.95	1.00	0.95	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	iShares MSCI Global Multifactor ETF	Vanguard Total World Stock ETF
ACWF	iShares MSCI Global Multifactor ETF	$3,615
VT	Vanguard Total World Stock ETF		$4,321

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	iShares MSCI Global Multifactor ETF	Vanguard Total World Stock ETF
ACWF	iShares MSCI Global Multifactor ETF	100.00%
VT	Vanguard Total World Stock ETF		100.00%

Backtest Portfolio Asset Allocation

Portfolio Analysis Results (Jun 2015 - Dec 2019)

Portfolio Allocations

Portfolio Returns

Trailing Returns

Returns Based Style Analysis

Holdings Based Style Analysis for iShares MSCI Global Multifactor ETF

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Total World Stock ETF

Asset Allocation

Equity Market Capitalization

Equity Sectors

Drawdowns for iShares MSCI Global Multifactor ETF

Drawdowns for Vanguard Total World Stock ETF

Portfolio Assets

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns