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 (Jun 2015 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ACWF iShares MSCI Global Multifactor ETF 100.00%
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Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,615 6.96% 13.03%29.87%-13.70%-18.50% 0.500.730.92
Portfolio 2$10,000$14,321 8.15% 11.95%26.82%-9.76%-14.45% 0.620.930.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 yearFull3 year
Portfolio 19.08%23.20%11.35%6.96%12.66%
Portfolio 29.07%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
YearInflationPortfolio 1Portfolio 2iShares MSCI Global Multifactor ETF (ACWF)Vanguard Total World Stock ETF (VT)
ReturnBalanceReturnBalance
2015-0.54%-6.09%$9,391-7.37%$9,263-6.09%-7.37%
20162.07%4.99%$9,8608.51%$10,0524.99%8.51%
20172.11%29.87%$12,80524.49%$12,51429.87%24.49%
20181.91%-13.70%$11,051-9.76%$11,293-13.70%-9.76%
20192.29%23.20%$13,61526.82%$14,32123.20%26.82%
Annual return for 2015 is from 06/01/2015 to 12/31/2015
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturniShares MSCI Global Multifactor ETF (ACWF)Vanguard Total World Stock ETF (VT)
20156-1.68%-2.22%-1.68%-2.22%
20157-1.83%0.50%-1.83%0.50%
20158-4.47%-6.63%-4.47%-6.63%
20159-3.38%-3.71%-3.38%-3.71%
2015107.13%7.29%7.13%7.29%
201511-0.04%-0.08%-0.04%-0.08%
201512-1.57%-2.19%-1.57%-2.19%
20161-9.74%-5.87%-9.74%-5.87%
201621.69%-1.11%1.69%-1.11%
201637.59%7.98%7.59%7.98%
201640.65%1.01%0.65%1.01%
20165-0.43%0.65%-0.43%0.65%
20166-1.47%-0.18%-1.47%-0.18%
201675.20%4.15%5.20%4.15%
201680.76%0.35%0.76%0.35%
201690.63%0.79%0.63%0.79%
201610-1.00%-1.97%-1.00%-1.97%
2016112.56%1.19%2.56%1.19%
201612-0.58%1.81%-0.58%1.81%
201713.94%3.00%3.94%3.00%
201721.68%2.69%1.68%2.69%
201731.65%1.48%1.65%1.48%
201741.41%1.63%1.41%1.63%
201753.07%1.95%3.07%1.95%
201761.83%0.63%1.83%0.63%
201772.34%2.65%2.34%2.65%
201780.93%0.42%0.93%0.42%
201792.80%2.11%2.80%2.11%
2017103.07%2.11%3.07%2.11%
2017112.44%1.90%2.44%1.90%
2017121.31%1.60%1.31%1.60%
201815.89%5.48%5.89%5.48%
20182-3.20%-4.44%-3.20%-4.44%
20183-1.62%-1.29%-1.62%-1.29%
20184-0.74%0.42%-0.74%0.42%
201851.24%0.57%1.24%0.57%
20186-2.69%-0.60%-2.69%-0.60%
201872.66%2.88%2.66%2.88%
201880.16%0.86%0.16%0.86%
20189-0.55%0.08%-0.55%0.08%
201810-7.95%-7.82%-7.95%-7.82%
2018110.92%1.73%0.92%1.73%
201812-7.87%-7.22%-7.87%-7.22%
201919.70%7.99%9.70%7.99%
201922.07%2.82%2.07%2.82%
20193-0.07%1.06%-0.07%1.06%
201942.06%3.47%2.06%3.47%
20195-6.98%-5.97%-6.98%-5.97%
201967.35%6.37%7.35%6.37%
20197-0.56%0.00%-0.56%0.00%
20198-2.56%-2.10%-2.56%-2.10%
201992.21%2.28%2.21%2.28%
2019102.35%2.79%2.35%2.79%
2019113.15%2.56%3.15%2.56%
2019123.32%3.45%3.32%3.45%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%13.91%
Large-cap Growth28.49%27.68%
Mid-cap Value10.72%9.45%
Mid-cap Growth0.00%0.00%
Small-cap Value15.96%0.11%
Small-cap Growth0.00%2.19%
Global ex-US Developed Markets21.54%34.25%
Emerging Markets23.29%12.41%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared91.37%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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
ACWFiShares MSCI Global Multifactor ETFWorld Large Stock100.00%1.72%0.35%18.13$3,615100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock100.00%1.66%0.08%23.55$4,321100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/26/2021. (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
MetricPortfolio 1Portfolio 2
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 Correlation0.920.96
Beta(*)0.970.93
Alpha (annualized)-3.55%-2.11%
R285.03%93.02%
Sharpe Ratio0.500.62
Sortino Ratio0.730.93
Treynor Ratio (%)6.668.00
Calmar Ratio0.610.87
Active Return-4.32%-3.13%
Tracking Error5.06%3.28%
Information Ratio-0.85-0.95
Skewness-0.41-0.44
Excess Kurtosis1.130.75
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 (%)79.5186.94
Downside Capture Ratio (%)98.22101.72
Safe Withdrawal Rate21.51%21.73%
Perpetual Withdrawal Rate4.51%5.48%
Positive Periods33 out of 55 (60.00%)38 out of 55 (69.09%)
Gain/Loss Ratio1.050.73
* US stock market 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
1Feb 2018Dec 201811 monthsDec 20191 year1 year 11 months-18.50%
2Jun 2015Jan 20168 monthsJan 20171 year1 year 8 months-15.23%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.45%
2Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ACWFiShares MSCI Global Multifactor ETF6.96%13.03%29.87%-13.70%-18.50%0.500.730.92
VTVanguard Total World Stock ETF8.15%11.95%26.82%-9.76%-14.45%0.620.930.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameACWFVTPortfolio 1Portfolio 2
ACWFiShares MSCI Global Multifactor ETF1.000.951.000.95
VTVanguard Total World Stock ETF0.951.000.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
ACWFiShares MSCI Global Multifactor ETF$3,615
VTVanguard Total World Stock ETF$4,321

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
ACWFiShares MSCI Global Multifactor ETF100.00%
VTVanguard Total World Stock ETF100.00%

Annual Asset Returns