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 Assets 
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Asset 4
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Asset 6
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Portfolio Analysis Results (Nov 2011 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
EWJ iShares MSCI Japan ETF 20.00%
TOK iShares MSCI Kokusai ETF 20.00%
EEM iShares MSCI Emerging Markets ETF 20.00%
RWO SPDR Dow Jones Global Real Estate ETF 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
CASHX Cash 20.00%
ACWV iShares MSCI Global Min Vol Factor ETF 80.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,668 7.94% 10.82%21.92%-9.69%-12.79% 0.701.110.81
Portfolio 2$10,000$19,621 8.60% 6.70%17.04%-0.68%-5.72% 1.171.970.75
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 15.77%21.92%9.57%6.60%7.94%
Portfolio 22.20%17.04%10.11%7.72%8.60%
Trailing returns 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 2011 are based on monthly returns from November 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 monthly 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
YearInflationReturnBalanceiShares MSCI Japan ETF (EWJ)iShares MSCI Kokusai ETF (TOK)iShares MSCI Emerging Markets ETF (EEM)SPDR Dow Jones Global Real Estate ETF (RWO)Cash (CASHX)iShares MSCI Global Min Vol Factor ETF (ACWV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
2011-0.33%-3.02%1.00%$9,698$10,100-1.95%-0.70%-6.18%-3.17%0.00%1.22%
20121.74%19.26%8.49%$11,566$10,9589.22%15.99%19.10%25.79%0.08%10.66%
20131.50%10.33%13.82%$12,760$12,47225.97%26.67%-3.69%2.38%0.05%17.41%
20140.76%6.29%8.47%$13,562$13,528-6.24%5.51%-3.93%18.66%0.03%10.60%
20150.73%-1.35%2.41%$13,380$13,8549.17%-1.62%-16.18%1.00%0.05%2.92%
20162.07%6.06%6.09%$14,191$14,6982.78%7.82%10.87%3.89%0.30%7.51%
20172.11%19.48%14.84%$16,955$16,87924.27%22.10%37.28%7.78%0.88%18.58%
20181.91%-9.69%-0.68%$15,312$16,764-14.10%-7.82%-15.31%-5.99%1.90%-1.42%
20192.29%21.92%17.04%$18,668$19,62119.33%30.04%18.20%20.60%2.13%21.03%
Annual returns for 2011 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares MSCI Japan ETF (EWJ)iShares MSCI Kokusai ETF (TOK)iShares MSCI Emerging Markets ETF (EEM)SPDR Dow Jones Global Real Estate ETF (RWO)Cash (CASHX)iShares MSCI Global Min Vol Factor ETF (ACWV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201111-1.89%-2.55%$9,811$9,7450.32%-0.80%-1.96%-3.50%0.00%-3.18%
201112-1.16%3.64%$9,698$10,100-2.26%0.10%-4.30%0.34%0.00%4.55%
201216.91%1.47%$10,368$10,2484.83%4.47%10.99%7.14%0.00%1.83%
201223.76%2.16%$10,758$10,4704.61%5.44%5.27%1.74%0.01%2.70%
201231.27%1.39%$10,895$10,6151.90%0.55%-3.11%3.51%0.01%1.74%
20124-0.71%0.12%$10,818$10,628-4.32%-1.62%-1.70%2.04%0.01%0.15%
20125-7.60%-2.53%$9,995$10,359-8.73%-7.55%-10.71%-5.51%0.01%-3.17%
201265.68%2.74%$10,563$10,6436.88%3.98%5.08%6.23%0.01%3.42%
201270.40%1.62%$10,606$10,815-4.46%1.31%-0.03%2.60%0.01%2.02%
201281.27%0.65%$10,740$10,8850.78%3.87%0.41%0.64%0.01%0.81%
201291.58%1.06%$10,909$11,0001.21%1.97%5.22%-0.27%0.01%1.32%
2012100.09%-0.22%$10,919$10,976-1.20%-0.36%-0.44%1.21%0.01%-0.28%
2012111.59%0.19%$11,093$10,9962.98%2.01%1.56%0.71%0.01%0.23%
2012124.27%-0.35%$11,566$10,9585.61%1.52%6.80%3.70%0.01%-0.44%
201312.23%3.42%$11,823$11,3332.26%5.04%-0.29%2.07%0.00%4.28%
201320.19%1.77%$11,846$11,5332.41%-0.20%-2.28%0.51%0.01%2.21%
201332.55%3.64%$12,148$11,9535.78%1.94%-1.02%3.02%0.01%4.55%
201345.14%2.43%$12,772$12,2448.33%2.15%1.22%6.99%0.01%3.03%
20135-5.61%-3.86%$12,055$11,771-7.35%0.67%-4.83%-8.27%0.00%-4.82%
20136-1.43%-0.34%$11,883$11,7323.94%-2.41%-5.35%-1.65%0.00%-0.42%
201371.92%2.53%$12,112$12,0290.00%6.05%1.32%1.12%0.00%3.16%
20138-3.91%-2.41%$11,638$11,739-3.12%-2.26%-2.54%-5.83%0.00%-3.01%
201396.71%2.63%$12,419$12,0489.66%4.08%7.21%6.30%0.00%3.29%
2013103.10%3.17%$12,804$12,430-0.08%4.89%4.17%3.26%0.00%3.96%
201311-1.13%-0.05%$12,659$12,4241.26%1.27%-0.26%-3.96%0.00%-0.06%
2013120.80%0.39%$12,760$12,4721.41%3.07%-0.42%-0.04%0.01%0.48%
20141-3.67%-3.23%$12,292$12,069-6.67%-3.19%-8.64%0.07%0.01%-4.04%
201424.07%3.21%$12,792$12,4572.47%4.12%3.38%5.20%0.00%4.01%
201430.66%1.01%$12,876$12,582-2.41%0.92%3.88%0.45%0.00%1.26%
201441.37%1.26%$13,053$12,740-2.21%1.42%0.78%3.43%0.00%1.57%
201453.08%1.36%$13,454$12,9134.51%1.99%2.95%2.97%0.00%1.70%
201462.42%1.36%$13,780$13,0894.68%2.43%2.40%1.29%0.00%1.70%
20147-0.65%-1.20%$13,691$12,932-0.33%-3.79%1.36%-0.24%0.00%-1.50%
201481.91%2.81%$13,953$13,296-1.67%3.76%2.83%2.32%0.00%3.51%
20149-4.69%-1.63%$13,299$13,079-0.25%-3.07%-7.77%-6.17%0.00%-2.04%
2014103.88%2.91%$13,814$13,4602.46%0.70%1.42%7.40%0.00%3.64%
201411-0.17%1.03%$13,791$13,598-3.65%2.39%-1.54%0.99%0.00%1.29%
201412-1.66%-0.52%$13,562$13,528-2.70%-1.87%-3.99%0.13%0.00%-0.65%
201512.05%1.06%$13,841$13,6712.22%-2.03%-0.69%5.38%0.00%1.32%
201523.16%2.40%$14,279$13,9997.48%5.71%4.41%-0.89%0.00%3.00%
20153-0.27%-0.17%$14,240$13,9751.46%-1.48%-1.50%0.09%0.00%-0.21%
201541.19%1.29%$14,410$14,1562.63%1.70%6.85%-2.62%0.00%1.62%
20155-0.72%-0.71%$14,306$14,0551.48%1.00%-4.10%-0.99%0.00%-0.89%
20156-2.73%-1.98%$13,916$13,777-1.34%-2.17%-2.93%-3.60%0.00%-2.48%
201570.94%1.65%$14,046$14,0050.94%2.34%-6.31%3.86%0.00%2.07%
20158-6.91%-4.12%$13,075$13,428-6.26%-6.95%-8.84%-6.26%0.01%-5.15%
20159-1.78%-0.60%$12,843$13,347-5.78%-4.07%-3.13%2.05%0.01%-0.76%
2015106.70%4.31%$13,703$13,9237.88%7.68%6.38%5.78%0.00%5.39%
201511-1.20%-0.67%$13,539$13,8300.49%-0.69%-2.52%-1.63%0.01%-0.84%
201512-1.17%0.17%$13,380$13,854-1.39%-1.77%-3.83%0.56%0.02%0.21%
20161-4.64%-1.19%$12,760$13,689-5.12%-5.43%-5.03%-3.80%0.01%-1.49%
20162-1.38%1.34%$12,583$13,873-5.30%-0.20%-0.82%-0.29%0.03%1.67%
201638.71%4.74%$13,679$14,5314.78%6.04%12.96%9.88%0.03%5.92%
201640.05%0.08%$13,686$14,5430.09%1.83%0.41%-1.04%0.02%0.10%
201650.31%0.20%$13,729$14,5723.24%0.49%-3.69%0.76%0.02%0.24%
201662.04%3.73%$14,009$15,116-1.68%-0.59%4.56%3.96%0.03%4.66%
201674.34%1.46%$14,617$15,3374.87%3.33%5.38%4.07%0.02%1.82%
20168-0.61%-1.97%$14,528$15,0341.82%0.24%0.88%-3.00%0.02%-2.47%
201690.60%0.37%$14,616$15,0912.12%0.84%2.52%-1.23%0.03%0.46%
201610-2.97%-2.47%$14,182$14,7170.72%-2.51%-0.83%-6.12%0.02%-3.10%
201611-1.48%-1.39%$13,972$14,513-1.25%2.25%-4.42%-1.99%0.03%-1.75%
2016121.57%1.28%$14,191$14,698-0.92%1.71%-0.25%3.65%0.04%1.59%
201712.64%1.51%$14,566$14,9203.50%2.70%6.66%0.17%0.04%1.87%
201722.21%2.56%$14,887$15,3021.31%2.67%1.74%2.66%0.04%3.19%
201730.45%0.85%$14,954$15,4310.53%1.55%3.69%-1.77%0.04%1.05%
201741.05%0.88%$15,111$15,5680.70%1.67%1.70%0.59%0.06%1.09%
201751.84%2.35%$15,389$15,9342.76%2.04%2.85%0.78%0.07%2.92%
201760.84%-0.29%$15,519$15,8871.32%0.43%0.93%0.77%0.08%-0.39%
201772.76%1.49%$15,948$16,1252.07%2.41%5.82%1.76%0.08%1.85%
201780.22%0.71%$15,984$16,240-0.09%0.00%2.35%-0.58%0.09%0.87%
201790.66%0.13%$16,090$16,2621.83%1.98%-0.04%-0.22%0.08%0.15%
2017101.68%1.22%$16,359$16,4595.28%1.62%3.28%-0.90%0.09%1.50%
2017112.06%1.92%$16,697$16,7752.15%2.60%-0.39%2.98%0.09%2.37%
2017121.55%0.62%$16,955$16,8790.70%0.51%3.77%1.38%0.10%0.75%
201813.55%2.49%$17,558$17,2995.02%6.53%8.30%-1.04%0.11%3.08%
20182-5.40%-3.18%$16,609$16,749-2.97%-4.62%-5.90%-6.76%0.12%-4.00%
201830.91%0.39%$16,760$16,815-0.64%-1.61%0.54%3.13%0.14%0.46%
201840.16%-0.31%$16,787$16,763-0.07%0.53%-2.82%1.58%0.14%-0.42%
20185-0.13%0.32%$16,765$16,817-1.48%0.38%-2.62%1.53%0.15%0.36%
20186-0.55%0.20%$16,672$16,850-2.30%0.24%-4.54%1.92%0.16%0.21%
201871.90%2.64%$16,989$17,2951.07%3.28%3.53%0.81%0.16%3.26%
20188-0.06%1.05%$16,979$17,477-0.53%1.58%-3.77%1.22%0.17%1.27%
20189-0.23%0.97%$16,940$17,6473.45%0.18%-0.58%-2.10%0.17%1.17%
201810-6.33%-3.71%$15,868$16,993-8.95%-7.09%-8.76%-3.43%0.18%-4.68%
2018112.76%2.74%$16,306$17,4590.91%0.84%4.90%3.57%0.19%3.38%
201812-6.09%-3.98%$15,312$16,764-7.69%-7.42%-3.50%-5.93%0.19%-5.02%
201919.34%4.16%$16,741$17,4617.08%8.47%10.34%10.39%0.20%5.14%
201920.33%2.07%$16,797$17,8230.15%2.92%-1.53%0.06%0.20%2.54%
201931.61%1.75%$17,068$18,1340.66%1.60%1.13%2.33%0.20%2.13%
201941.12%0.74%$17,259$18,2681.28%3.54%2.35%-0.78%0.20%0.87%
20195-3.66%-0.79%$16,627$18,123-4.87%-5.45%-7.33%-0.32%0.20%-1.04%
201964.13%3.47%$17,315$18,7524.47%6.42%6.20%1.79%0.19%4.29%
20197-0.10%-0.06%$17,298$18,741-0.42%1.79%-2.66%0.40%0.17%-0.12%
20198-0.70%1.43%$17,176$19,008-0.79%-2.26%-3.78%1.66%0.17%1.74%
201992.76%1.01%$17,650$19,1995.23%1.54%1.69%2.68%0.16%1.22%
2019102.94%0.80%$18,169$19,3533.42%2.54%4.18%2.28%0.15%0.96%
2019110.42%-0.15%$18,246$19,3241.28%3.26%-0.09%-1.17%0.13%-0.22%
2019122.31%1.54%$18,668$19,6210.86%2.89%7.71%0.05%0.13%1.89%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%25.27%
Large-cap Growth1.68%15.08%
Mid-cap Value11.73%0.00%
Mid-cap Growth5.32%0.00%
Small-cap Value3.05%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets39.19%11.03%
Emerging Markets23.10%3.21%
Corporate Bonds0.00%10.65%
Long-Term Treasuries15.93%9.74%
Intermediate-Term Treasuries0.00%25.03%
Short-Term Treasuries0.00%0.00%
R Squared91.39%78.81%
Style analysis is based on monthly returns from Nov 2011 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
EWJiShares MSCI Japan ETFJapan Stock20.00%0.49%19.00$1,75419.82%
TOKiShares MSCI Kokusai ETFWorld Large Stock20.00%0.25%24.77$2,49217.34%
EEMiShares MSCI Emerging Markets ETFDiversified Emerging Mkts20.00%0.68%15.71$98025.07%
RWOSPDR Dow Jones Global Real Estate ETFGlobal Real Estate40.00%0.50%21.35$3,44137.76%
100.00%0.48%20.44$8,668100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
CASHXCashCash20.00%$1840.01%
ACWViShares MSCI Global Min Vol Factor ETFWorld Large Stock80.00%0.20%21.61$9,43899.99%
100.00%0.20%21.61$9,621100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/29/2020. (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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.69%0.71%
Arithmetic Mean (annualized)8.57%8.84%
Geometric Mean (monthly)0.64%0.69%
Geometric Mean (annualized)7.94%8.60%
Volatility (monthly)3.12%1.94%
Volatility (annualized)10.82%6.70%
Downside Deviation (monthly)1.94%1.13%
Max. Drawdown-12.79%-5.72%
US Market Correlation0.810.75
Beta(*)0.780.45
Alpha (annualized)-2.71%2.19%
R265.19%56.42%
Sharpe Ratio0.701.17
Sortino Ratio1.111.97
Treynor Ratio (%)9.6917.37
Calmar Ratio0.752.02
Active Return-6.28%-5.62%
Tracking Error6.83%7.55%
Information Ratio-0.92-0.74
Skewness-0.16-0.49
Excess Kurtosis0.930.11
Historical Value-at-Risk (5%)-5.63%-3.25%
Analytical Value-at-Risk (5%)-4.42%-2.46%
Conditional Value-at-Risk (5%)-6.73%-3.91%
Upside Capture Ratio (%)68.1851.03
Downside Capture Ratio (%)89.3943.54
Safe Withdrawal Rate14.32%14.56%
Perpetual Withdrawal Rate5.38%5.90%
Positive Periods63 out of 98 (64.29%)68 out of 98 (69.39%)
Gain/Loss Ratio1.001.10
* 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 monthsSep 20199 months1 year 8 months-12.79%
2May 2015Feb 201610 monthsJul 20165 months1 year 3 months-12.68%
3May 2013Aug 20134 monthsOct 20132 months6 months-8.88%
4Apr 2012May 20122 monthsSep 20124 months6 months-8.26%
5Sep 2014Sep 20141 monthFeb 20155 months6 months-4.69%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.41%
7Nov 2013Jan 20143 monthsMar 20142 months5 months-4.00%
8Nov 2011Dec 20112 monthsJan 20121 month3 months-3.02%
9Jul 2014Jul 20141 monthAug 20141 month2 months-0.65%
10Mar 2015Mar 20151 monthApr 20151 month2 months-0.27%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2015Sep 20155 monthsMar 20166 months11 months-5.72%
2Aug 2016Nov 20164 monthsMar 20174 months8 months-5.37%
3Oct 2018Dec 20183 monthsFeb 20192 months5 months-5.00%
4May 2013Jun 20132 monthsOct 20134 months6 months-4.18%
5Jan 2014Jan 20141 monthMar 20142 months3 months-3.23%
6Feb 2018Feb 20181 monthAug 20186 months7 months-3.18%
7Nov 2011Nov 20111 monthDec 20111 month2 months-2.55%
8May 2012May 20121 monthJun 20121 month2 months-2.53%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.63%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.20%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
EWJiShares MSCI Japan ETF7.52%13.03%25.97%-14.10%-18.20%0.570.870.69
TOKiShares MSCI Kokusai ETF11.26%11.10%30.04%-7.82%-13.47%0.961.530.96
EEMiShares MSCI Emerging Markets ETF3.46%15.83%37.28%-16.18%-30.19%0.250.380.66
RWOSPDR Dow Jones Global Real Estate ETF8.16%11.96%25.79%-5.99%-14.09%0.661.070.57
CASHXCash0.66%0.24%2.13%0.00%0.00%N/AN/A-0.03
ACWViShares MSCI Global Min Vol Factor ETF10.60%8.38%21.03%-1.42%-7.13%1.171.970.75

Monthly Correlations

Correlations for the portfolio assets
TickerNameEWJTOKEEMRWOCASHXACWVPortfolio 1Portfolio 2
EWJiShares MSCI Japan ETF1.000.710.680.54-0.060.620.820.62
TOKiShares MSCI Kokusai ETF0.711.000.740.57-0.010.770.850.77
EEMiShares MSCI Emerging Markets ETF0.680.741.000.560.020.660.860.66
RWOSPDR Dow Jones Global Real Estate ETF0.540.570.561.000.000.770.850.77
CASHXCash-0.06-0.010.020.001.000.01-0.010.02
ACWViShares MSCI Global Min Vol Factor ETF0.620.770.660.770.011.000.841.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
EWJiShares MSCI Japan ETF$1,754
TOKiShares MSCI Kokusai ETF$2,492
EEMiShares MSCI Emerging Markets ETF$980
RWOSPDR Dow Jones Global Real Estate ETF$3,441
CASHXCash$184
ACWViShares MSCI Global Min Vol Factor ETF$9,438

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
EWJiShares MSCI Japan ETF19.82%
TOKiShares MSCI Kokusai ETF17.34%
EEMiShares MSCI Emerging Markets ETF25.07%
RWOSPDR Dow Jones Global Real Estate ETF37.76%
CASHXCash0.01%
ACWViShares MSCI Global Min Vol Factor ETF99.99%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.04%21.92%-9.69%8.81%17.04%-0.68%
3 years7.05%11.83%3.61%8.05%10.23%5.63%
5 years6.54%7.95%3.71%7.66%9.02%6.09%
7 years6.91%7.08%6.74%8.09%8.68%7.51%
Result statistics are based on annualized rolling returns over full calendar year periods