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.
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
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
2.29%
23.20%
26.82%
$13,615
$14,321
23.20%
26.82%
Annual returns for 2015 are based on partial year data
Monthly returns for the configured portfolios
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%
2019
10
2.35%
2.79%
$12,775
$13,497
2.35%
2.79%
2019
11
3.15%
2.56%
$13,178
$13,843
3.15%
2.56%
2019
12
3.32%
3.45%
$13,615
$14,321
3.32%
3.45%
Returns Based Style Analysis
Returns Based Style Analysis
Style Category
Portfolio 1
Portfolio 2
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 Jun 2015 to Dec 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
Ticker
Name
Category
Weight
ER
P/E
Return Contribution
Risk Contribution
ACWF
iShares Edge MSCI Multifactor Global ETF
World Large Stock
100.00%
0.35%
15.91
$3,615
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Holdings Based Style Analysis for Portfolio 2
Holdings Based Style Analysis for Portfolio 2
Ticker
Name
Category
Weight
ER
P/E
Return Contribution
Risk Contribution
VT
Vanguard Total World Stock ETF
World Large Stock
100.00%
0.08%
18.93
$4,321
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fund fundamentals data as of 08/07/2020. (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
Metric
Portfolio 1
Portfolio 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 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%)
-7.88%
-6.75%
Analytical Value-at-Risk (5%)
-5.55%
-4.96%
Conditional Value-at-Risk (5%)
-8.84%
-7.52%
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.