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.
| 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 » | ||
| Ticker | Name | Allocation |
|---|---|---|
| CASHX | Cash | 20.00% |
| ACWV | iShares MSCI Global Min Vol Factor ETF | 80.00% |
| 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 | $18,668 | 7.94% | 10.82% | 21.92% | -9.69% | -12.79% | 0.70 | 1.11 | 0.81 |
| Portfolio 2 | $10,000 | $19,621 | 8.60% | 6.70% | 17.04% | -0.68% | -5.72% | 1.17 | 1.97 | 0.75 |
| Name | 3 Month | 1 year | 3 year | 5 year | Full |
|---|---|---|---|---|---|
| Portfolio 1 | 5.77% | 21.92% | 9.57% | 6.60% | 7.94% |
| Portfolio 2 | 2.20% | 17.04% | 10.11% | 7.72% | 8.60% |
| Trailing returns are for full months ending in December 2019 excluding portfolio cashflows. | |||||
| Year | Inflation | Return | Balance | iShares 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 1 | Portfolio 2 | Portfolio 1 | Portfolio 2 | ||||||||
| 2011 | -0.33% | -3.02% | 1.00% | $9,698 | $10,100 | -1.95% | -0.70% | -6.18% | -3.17% | 0.00% | 1.22% |
| 2012 | 1.74% | 19.26% | 8.49% | $11,566 | $10,958 | 9.22% | 15.99% | 19.10% | 25.79% | 0.08% | 10.66% |
| 2013 | 1.50% | 10.33% | 13.82% | $12,760 | $12,472 | 25.97% | 26.67% | -3.69% | 2.38% | 0.05% | 17.41% |
| 2014 | 0.76% | 6.29% | 8.47% | $13,562 | $13,528 | -6.24% | 5.51% | -3.93% | 18.66% | 0.03% | 10.60% |
| 2015 | 0.73% | -1.35% | 2.41% | $13,380 | $13,854 | 9.17% | -1.62% | -16.18% | 1.00% | 0.05% | 2.92% |
| 2016 | 2.07% | 6.06% | 6.09% | $14,191 | $14,698 | 2.78% | 7.82% | 10.87% | 3.89% | 0.30% | 7.51% |
| 2017 | 2.11% | 19.48% | 14.84% | $16,955 | $16,879 | 24.27% | 22.10% | 37.28% | 7.78% | 0.88% | 18.58% |
| 2018 | 1.91% | -9.69% | -0.68% | $15,312 | $16,764 | -14.10% | -7.82% | -15.31% | -5.99% | 1.90% | -1.42% |
| 2019 | 2.29% | 21.92% | 17.04% | $18,668 | $19,621 | 19.33% | 30.04% | 18.20% | 20.60% | 2.13% | 21.03% |
| Annual returns for 2011 are based on partial year data | |||||||||||
| Year | Month | Return | Balance | iShares 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 1 | Portfolio 2 | Portfolio 1 | Portfolio 2 | ||||||||
| 2011 | 11 | -1.89% | -2.55% | $9,811 | $9,745 | 0.32% | -0.80% | -1.96% | -3.50% | 0.00% | -3.18% |
| 2011 | 12 | -1.16% | 3.64% | $9,698 | $10,100 | -2.26% | 0.10% | -4.30% | 0.34% | 0.00% | 4.55% |
| 2012 | 1 | 6.91% | 1.47% | $10,368 | $10,248 | 4.83% | 4.47% | 10.99% | 7.14% | 0.00% | 1.83% |
| 2012 | 2 | 3.76% | 2.16% | $10,758 | $10,470 | 4.61% | 5.44% | 5.27% | 1.74% | 0.01% | 2.70% |
| 2012 | 3 | 1.27% | 1.39% | $10,895 | $10,615 | 1.90% | 0.55% | -3.11% | 3.51% | 0.01% | 1.74% |
| 2012 | 4 | -0.71% | 0.12% | $10,818 | $10,628 | -4.32% | -1.62% | -1.70% | 2.04% | 0.01% | 0.15% |
| 2012 | 5 | -7.60% | -2.53% | $9,995 | $10,359 | -8.73% | -7.55% | -10.71% | -5.51% | 0.01% | -3.17% |
| 2012 | 6 | 5.68% | 2.74% | $10,563 | $10,643 | 6.88% | 3.98% | 5.08% | 6.23% | 0.01% | 3.42% |
| 2012 | 7 | 0.40% | 1.62% | $10,606 | $10,815 | -4.46% | 1.31% | -0.03% | 2.60% | 0.01% | 2.02% |
| 2012 | 8 | 1.27% | 0.65% | $10,740 | $10,885 | 0.78% | 3.87% | 0.41% | 0.64% | 0.01% | 0.81% |
| 2012 | 9 | 1.58% | 1.06% | $10,909 | $11,000 | 1.21% | 1.97% | 5.22% | -0.27% | 0.01% | 1.32% |
| 2012 | 10 | 0.09% | -0.22% | $10,919 | $10,976 | -1.20% | -0.36% | -0.44% | 1.21% | 0.01% | -0.28% |
| 2012 | 11 | 1.59% | 0.19% | $11,093 | $10,996 | 2.98% | 2.01% | 1.56% | 0.71% | 0.01% | 0.23% |
| 2012 | 12 | 4.27% | -0.35% | $11,566 | $10,958 | 5.61% | 1.52% | 6.80% | 3.70% | 0.01% | -0.44% |
| 2013 | 1 | 2.23% | 3.42% | $11,823 | $11,333 | 2.26% | 5.04% | -0.29% | 2.07% | 0.00% | 4.28% |
| 2013 | 2 | 0.19% | 1.77% | $11,846 | $11,533 | 2.41% | -0.20% | -2.28% | 0.51% | 0.01% | 2.21% |
| 2013 | 3 | 2.55% | 3.64% | $12,148 | $11,953 | 5.78% | 1.94% | -1.02% | 3.02% | 0.01% | 4.55% |
| 2013 | 4 | 5.14% | 2.43% | $12,772 | $12,244 | 8.33% | 2.15% | 1.22% | 6.99% | 0.01% | 3.03% |
| 2013 | 5 | -5.61% | -3.86% | $12,055 | $11,771 | -7.35% | 0.67% | -4.83% | -8.27% | 0.00% | -4.82% |
| 2013 | 6 | -1.43% | -0.34% | $11,883 | $11,732 | 3.94% | -2.41% | -5.35% | -1.65% | 0.00% | -0.42% |
| 2013 | 7 | 1.92% | 2.53% | $12,112 | $12,029 | 0.00% | 6.05% | 1.32% | 1.12% | 0.00% | 3.16% |
| 2013 | 8 | -3.91% | -2.41% | $11,638 | $11,739 | -3.12% | -2.26% | -2.54% | -5.83% | 0.00% | -3.01% |
| 2013 | 9 | 6.71% | 2.63% | $12,419 | $12,048 | 9.66% | 4.08% | 7.21% | 6.30% | 0.00% | 3.29% |
| 2013 | 10 | 3.10% | 3.17% | $12,804 | $12,430 | -0.08% | 4.89% | 4.17% | 3.26% | 0.00% | 3.96% |
| 2013 | 11 | -1.13% | -0.05% | $12,659 | $12,424 | 1.26% | 1.27% | -0.26% | -3.96% | 0.00% | -0.06% |
| 2013 | 12 | 0.80% | 0.39% | $12,760 | $12,472 | 1.41% | 3.07% | -0.42% | -0.04% | 0.01% | 0.48% |
| 2014 | 1 | -3.67% | -3.23% | $12,292 | $12,069 | -6.67% | -3.19% | -8.64% | 0.07% | 0.01% | -4.04% |
| 2014 | 2 | 4.07% | 3.21% | $12,792 | $12,457 | 2.47% | 4.12% | 3.38% | 5.20% | 0.00% | 4.01% |
| 2014 | 3 | 0.66% | 1.01% | $12,876 | $12,582 | -2.41% | 0.92% | 3.88% | 0.45% | 0.00% | 1.26% |
| 2014 | 4 | 1.37% | 1.26% | $13,053 | $12,740 | -2.21% | 1.42% | 0.78% | 3.43% | 0.00% | 1.57% |
| 2014 | 5 | 3.08% | 1.36% | $13,454 | $12,913 | 4.51% | 1.99% | 2.95% | 2.97% | 0.00% | 1.70% |
| 2014 | 6 | 2.42% | 1.36% | $13,780 | $13,089 | 4.68% | 2.43% | 2.40% | 1.29% | 0.00% | 1.70% |
| 2014 | 7 | -0.65% | -1.20% | $13,691 | $12,932 | -0.33% | -3.79% | 1.36% | -0.24% | 0.00% | -1.50% |
| 2014 | 8 | 1.91% | 2.81% | $13,953 | $13,296 | -1.67% | 3.76% | 2.83% | 2.32% | 0.00% | 3.51% |
| 2014 | 9 | -4.69% | -1.63% | $13,299 | $13,079 | -0.25% | -3.07% | -7.77% | -6.17% | 0.00% | -2.04% |
| 2014 | 10 | 3.88% | 2.91% | $13,814 | $13,460 | 2.46% | 0.70% | 1.42% | 7.40% | 0.00% | 3.64% |
| 2014 | 11 | -0.17% | 1.03% | $13,791 | $13,598 | -3.65% | 2.39% | -1.54% | 0.99% | 0.00% | 1.29% |
| 2014 | 12 | -1.66% | -0.52% | $13,562 | $13,528 | -2.70% | -1.87% | -3.99% | 0.13% | 0.00% | -0.65% |
| 2015 | 1 | 2.05% | 1.06% | $13,841 | $13,671 | 2.22% | -2.03% | -0.69% | 5.38% | 0.00% | 1.32% |
| 2015 | 2 | 3.16% | 2.40% | $14,279 | $13,999 | 7.48% | 5.71% | 4.41% | -0.89% | 0.00% | 3.00% |
| 2015 | 3 | -0.27% | -0.17% | $14,240 | $13,975 | 1.46% | -1.48% | -1.50% | 0.09% | 0.00% | -0.21% |
| 2015 | 4 | 1.19% | 1.29% | $14,410 | $14,156 | 2.63% | 1.70% | 6.85% | -2.62% | 0.00% | 1.62% |
| 2015 | 5 | -0.72% | -0.71% | $14,306 | $14,055 | 1.48% | 1.00% | -4.10% | -0.99% | 0.00% | -0.89% |
| 2015 | 6 | -2.73% | -1.98% | $13,916 | $13,777 | -1.34% | -2.17% | -2.93% | -3.60% | 0.00% | -2.48% |
| 2015 | 7 | 0.94% | 1.65% | $14,046 | $14,005 | 0.94% | 2.34% | -6.31% | 3.86% | 0.00% | 2.07% |
| 2015 | 8 | -6.91% | -4.12% | $13,075 | $13,428 | -6.26% | -6.95% | -8.84% | -6.26% | 0.01% | -5.15% |
| 2015 | 9 | -1.78% | -0.60% | $12,843 | $13,347 | -5.78% | -4.07% | -3.13% | 2.05% | 0.01% | -0.76% |
| 2015 | 10 | 6.70% | 4.31% | $13,703 | $13,923 | 7.88% | 7.68% | 6.38% | 5.78% | 0.00% | 5.39% |
| 2015 | 11 | -1.20% | -0.67% | $13,539 | $13,830 | 0.49% | -0.69% | -2.52% | -1.63% | 0.01% | -0.84% |
| 2015 | 12 | -1.17% | 0.17% | $13,380 | $13,854 | -1.39% | -1.77% | -3.83% | 0.56% | 0.02% | 0.21% |
| 2016 | 1 | -4.64% | -1.19% | $12,760 | $13,689 | -5.12% | -5.43% | -5.03% | -3.80% | 0.01% | -1.49% |
| 2016 | 2 | -1.38% | 1.34% | $12,583 | $13,873 | -5.30% | -0.20% | -0.82% | -0.29% | 0.03% | 1.67% |
| 2016 | 3 | 8.71% | 4.74% | $13,679 | $14,531 | 4.78% | 6.04% | 12.96% | 9.88% | 0.03% | 5.92% |
| 2016 | 4 | 0.05% | 0.08% | $13,686 | $14,543 | 0.09% | 1.83% | 0.41% | -1.04% | 0.02% | 0.10% |
| 2016 | 5 | 0.31% | 0.20% | $13,729 | $14,572 | 3.24% | 0.49% | -3.69% | 0.76% | 0.02% | 0.24% |
| 2016 | 6 | 2.04% | 3.73% | $14,009 | $15,116 | -1.68% | -0.59% | 4.56% | 3.96% | 0.03% | 4.66% |
| 2016 | 7 | 4.34% | 1.46% | $14,617 | $15,337 | 4.87% | 3.33% | 5.38% | 4.07% | 0.02% | 1.82% |
| 2016 | 8 | -0.61% | -1.97% | $14,528 | $15,034 | 1.82% | 0.24% | 0.88% | -3.00% | 0.02% | -2.47% |
| 2016 | 9 | 0.60% | 0.37% | $14,616 | $15,091 | 2.12% | 0.84% | 2.52% | -1.23% | 0.03% | 0.46% |
| 2016 | 10 | -2.97% | -2.47% | $14,182 | $14,717 | 0.72% | -2.51% | -0.83% | -6.12% | 0.02% | -3.10% |
| 2016 | 11 | -1.48% | -1.39% | $13,972 | $14,513 | -1.25% | 2.25% | -4.42% | -1.99% | 0.03% | -1.75% |
| 2016 | 12 | 1.57% | 1.28% | $14,191 | $14,698 | -0.92% | 1.71% | -0.25% | 3.65% | 0.04% | 1.59% |
| 2017 | 1 | 2.64% | 1.51% | $14,566 | $14,920 | 3.50% | 2.70% | 6.66% | 0.17% | 0.04% | 1.87% |
| 2017 | 2 | 2.21% | 2.56% | $14,887 | $15,302 | 1.31% | 2.67% | 1.74% | 2.66% | 0.04% | 3.19% |
| 2017 | 3 | 0.45% | 0.85% | $14,954 | $15,431 | 0.53% | 1.55% | 3.69% | -1.77% | 0.04% | 1.05% |
| 2017 | 4 | 1.05% | 0.88% | $15,111 | $15,568 | 0.70% | 1.67% | 1.70% | 0.59% | 0.06% | 1.09% |
| 2017 | 5 | 1.84% | 2.35% | $15,389 | $15,934 | 2.76% | 2.04% | 2.85% | 0.78% | 0.07% | 2.92% |
| 2017 | 6 | 0.84% | -0.29% | $15,519 | $15,887 | 1.32% | 0.43% | 0.93% | 0.77% | 0.08% | -0.39% |
| 2017 | 7 | 2.76% | 1.49% | $15,948 | $16,125 | 2.07% | 2.41% | 5.82% | 1.76% | 0.08% | 1.85% |
| 2017 | 8 | 0.22% | 0.71% | $15,984 | $16,240 | -0.09% | 0.00% | 2.35% | -0.58% | 0.09% | 0.87% |
| 2017 | 9 | 0.66% | 0.13% | $16,090 | $16,262 | 1.83% | 1.98% | -0.04% | -0.22% | 0.08% | 0.15% |
| 2017 | 10 | 1.68% | 1.22% | $16,359 | $16,459 | 5.28% | 1.62% | 3.28% | -0.90% | 0.09% | 1.50% |
| 2017 | 11 | 2.06% | 1.92% | $16,697 | $16,775 | 2.15% | 2.60% | -0.39% | 2.98% | 0.09% | 2.37% |
| 2017 | 12 | 1.55% | 0.62% | $16,955 | $16,879 | 0.70% | 0.51% | 3.77% | 1.38% | 0.10% | 0.75% |
| 2018 | 1 | 3.55% | 2.49% | $17,558 | $17,299 | 5.02% | 6.53% | 8.30% | -1.04% | 0.11% | 3.08% |
| 2018 | 2 | -5.40% | -3.18% | $16,609 | $16,749 | -2.97% | -4.62% | -5.90% | -6.76% | 0.12% | -4.00% |
| 2018 | 3 | 0.91% | 0.39% | $16,760 | $16,815 | -0.64% | -1.61% | 0.54% | 3.13% | 0.14% | 0.46% |
| 2018 | 4 | 0.16% | -0.31% | $16,787 | $16,763 | -0.07% | 0.53% | -2.82% | 1.58% | 0.14% | -0.42% |
| 2018 | 5 | -0.13% | 0.32% | $16,765 | $16,817 | -1.48% | 0.38% | -2.62% | 1.53% | 0.15% | 0.36% |
| 2018 | 6 | -0.55% | 0.20% | $16,672 | $16,850 | -2.30% | 0.24% | -4.54% | 1.92% | 0.16% | 0.21% |
| 2018 | 7 | 1.90% | 2.64% | $16,989 | $17,295 | 1.07% | 3.28% | 3.53% | 0.81% | 0.16% | 3.26% |
| 2018 | 8 | -0.06% | 1.05% | $16,979 | $17,477 | -0.53% | 1.58% | -3.77% | 1.22% | 0.17% | 1.27% |
| 2018 | 9 | -0.23% | 0.97% | $16,940 | $17,647 | 3.45% | 0.18% | -0.58% | -2.10% | 0.17% | 1.17% |
| 2018 | 10 | -6.33% | -3.71% | $15,868 | $16,993 | -8.95% | -7.09% | -8.76% | -3.43% | 0.18% | -4.68% |
| 2018 | 11 | 2.76% | 2.74% | $16,306 | $17,459 | 0.91% | 0.84% | 4.90% | 3.57% | 0.19% | 3.38% |
| 2018 | 12 | -6.09% | -3.98% | $15,312 | $16,764 | -7.69% | -7.42% | -3.50% | -5.93% | 0.19% | -5.02% |
| 2019 | 1 | 9.34% | 4.16% | $16,741 | $17,461 | 7.08% | 8.47% | 10.34% | 10.39% | 0.20% | 5.14% |
| 2019 | 2 | 0.33% | 2.07% | $16,797 | $17,823 | 0.15% | 2.92% | -1.53% | 0.06% | 0.20% | 2.54% |
| 2019 | 3 | 1.61% | 1.75% | $17,068 | $18,134 | 0.66% | 1.60% | 1.13% | 2.33% | 0.20% | 2.13% |
| 2019 | 4 | 1.12% | 0.74% | $17,259 | $18,268 | 1.28% | 3.54% | 2.35% | -0.78% | 0.20% | 0.87% |
| 2019 | 5 | -3.66% | -0.79% | $16,627 | $18,123 | -4.87% | -5.45% | -7.33% | -0.32% | 0.20% | -1.04% |
| 2019 | 6 | 4.13% | 3.47% | $17,315 | $18,752 | 4.47% | 6.42% | 6.20% | 1.79% | 0.19% | 4.29% |
| 2019 | 7 | -0.10% | -0.06% | $17,298 | $18,741 | -0.42% | 1.79% | -2.66% | 0.40% | 0.17% | -0.12% |
| 2019 | 8 | -0.70% | 1.43% | $17,176 | $19,008 | -0.79% | -2.26% | -3.78% | 1.66% | 0.17% | 1.74% |
| 2019 | 9 | 2.76% | 1.01% | $17,650 | $19,199 | 5.23% | 1.54% | 1.69% | 2.68% | 0.16% | 1.22% |
| 2019 | 10 | 2.94% | 0.80% | $18,169 | $19,353 | 3.42% | 2.54% | 4.18% | 2.28% | 0.15% | 0.96% |
| 2019 | 11 | 0.42% | -0.15% | $18,246 | $19,324 | 1.28% | 3.26% | -0.09% | -1.17% | 0.13% | -0.22% |
| 2019 | 12 | 2.31% | 1.54% | $18,668 | $19,621 | 0.86% | 2.89% | 7.71% | 0.05% | 0.13% | 1.89% |
| Style Category | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Large-cap Value | 0.00% | 25.27% |
| Large-cap Growth | 1.68% | 15.08% |
| Mid-cap Value | 11.73% | 0.00% |
| Mid-cap Growth | 5.32% | 0.00% |
| Small-cap Value | 3.05% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 39.19% | 11.03% |
| Emerging Markets | 23.10% | 3.21% |
| Corporate Bonds | 0.00% | 10.65% |
| Long-Term Treasuries | 15.93% | 9.74% |
| Intermediate-Term Treasuries | 0.00% | 25.03% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 91.39% | 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. | ||
| Ticker | Name | Category | Weight | ER | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|
| EWJ | iShares MSCI Japan ETF | Japan Stock | 20.00% | 0.49% | 19.00 | $1,754 | 19.82% |
| TOK | iShares MSCI Kokusai ETF | World Large Stock | 20.00% | 0.25% | 24.77 | $2,492 | 17.34% |
| EEM | iShares MSCI Emerging Markets ETF | Diversified Emerging Mkts | 20.00% | 0.68% | 15.71 | $980 | 25.07% |
| RWO | SPDR Dow Jones Global Real Estate ETF | Global Real Estate | 40.00% | 0.50% | 21.35 | $3,441 | 37.76% |
| 100.00% | 0.48% | 20.44 | $8,668 | 100.00% |
| Ticker | Name | Category | Weight | ER | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|
| CASHX | Cash | Cash | 20.00% | $184 | 0.01% | ||
| ACWV | iShares MSCI Global Min Vol Factor ETF | World Large Stock | 80.00% | 0.20% | 21.61 | $9,438 | 99.99% |
| 100.00% | 0.20% | 21.61 | $9,621 | 100.00% |
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.
| Metric | Portfolio 1 | Portfolio 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 Correlation | 0.81 | 0.75 |
| Beta(*) | 0.78 | 0.45 |
| Alpha (annualized) | -2.71% | 2.19% |
| R2 | 65.19% | 56.42% |
| Sharpe Ratio | 0.70 | 1.17 |
| Sortino Ratio | 1.11 | 1.97 |
| Treynor Ratio (%) | 9.69 | 17.37 |
| Calmar Ratio | 0.75 | 2.02 |
| Active Return | -6.28% | -5.62% |
| Tracking Error | 6.83% | 7.55% |
| Information Ratio | -0.92 | -0.74 |
| Skewness | -0.16 | -0.49 |
| Excess Kurtosis | 0.93 | 0.11 |
| 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 (%) | 68.18 | 51.03 |
| Downside Capture Ratio (%) | 89.39 | 43.54 |
| Safe Withdrawal Rate | 14.32% | 14.56% |
| Perpetual Withdrawal Rate | 5.38% | 5.90% |
| Positive Periods | 63 out of 98 (64.29%) | 68 out of 98 (69.39%) |
| Gain/Loss Ratio | 1.00 | 1.10 |
| * 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 | Sep 2019 | 9 months | 1 year 8 months | -12.79% |
| 2 | May 2015 | Feb 2016 | 10 months | Jul 2016 | 5 months | 1 year 3 months | -12.68% |
| 3 | May 2013 | Aug 2013 | 4 months | Oct 2013 | 2 months | 6 months | -8.88% |
| 4 | Apr 2012 | May 2012 | 2 months | Sep 2012 | 4 months | 6 months | -8.26% |
| 5 | Sep 2014 | Sep 2014 | 1 month | Feb 2015 | 5 months | 6 months | -4.69% |
| 6 | Aug 2016 | Nov 2016 | 4 months | Feb 2017 | 3 months | 7 months | -4.41% |
| 7 | Nov 2013 | Jan 2014 | 3 months | Mar 2014 | 2 months | 5 months | -4.00% |
| 8 | Nov 2011 | Dec 2011 | 2 months | Jan 2012 | 1 month | 3 months | -3.02% |
| 9 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -0.65% |
| 10 | Mar 2015 | Mar 2015 | 1 month | Apr 2015 | 1 month | 2 months | -0.27% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2015 | Sep 2015 | 5 months | Mar 2016 | 6 months | 11 months | -5.72% |
| 2 | Aug 2016 | Nov 2016 | 4 months | Mar 2017 | 4 months | 8 months | -5.37% |
| 3 | Oct 2018 | Dec 2018 | 3 months | Feb 2019 | 2 months | 5 months | -5.00% |
| 4 | May 2013 | Jun 2013 | 2 months | Oct 2013 | 4 months | 6 months | -4.18% |
| 5 | Jan 2014 | Jan 2014 | 1 month | Mar 2014 | 2 months | 3 months | -3.23% |
| 6 | Feb 2018 | Feb 2018 | 1 month | Aug 2018 | 6 months | 7 months | -3.18% |
| 7 | Nov 2011 | Nov 2011 | 1 month | Dec 2011 | 1 month | 2 months | -2.55% |
| 8 | May 2012 | May 2012 | 1 month | Jun 2012 | 1 month | 2 months | -2.53% |
| 9 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 1 month | 2 months | -1.63% |
| 10 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -1.20% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| EWJ | iShares MSCI Japan ETF | 7.52% | 13.03% | 25.97% | -14.10% | -18.20% | 0.57 | 0.87 | 0.69 |
| TOK | iShares MSCI Kokusai ETF | 11.26% | 11.10% | 30.04% | -7.82% | -13.47% | 0.96 | 1.53 | 0.96 |
| EEM | iShares MSCI Emerging Markets ETF | 3.46% | 15.83% | 37.28% | -16.18% | -30.19% | 0.25 | 0.38 | 0.66 |
| RWO | SPDR Dow Jones Global Real Estate ETF | 8.16% | 11.96% | 25.79% | -5.99% | -14.09% | 0.66 | 1.07 | 0.57 |
| CASHX | Cash | 0.66% | 0.24% | 2.13% | 0.00% | 0.00% | N/A | N/A | -0.03 |
| ACWV | iShares MSCI Global Min Vol Factor ETF | 10.60% | 8.38% | 21.03% | -1.42% | -7.13% | 1.17 | 1.97 | 0.75 |
| Ticker | Name | EWJ | TOK | EEM | RWO | CASHX | ACWV | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|---|---|---|---|
| EWJ | iShares MSCI Japan ETF | 1.00 | 0.71 | 0.68 | 0.54 | -0.06 | 0.62 | 0.82 | 0.62 |
| TOK | iShares MSCI Kokusai ETF | 0.71 | 1.00 | 0.74 | 0.57 | -0.01 | 0.77 | 0.85 | 0.77 |
| EEM | iShares MSCI Emerging Markets ETF | 0.68 | 0.74 | 1.00 | 0.56 | 0.02 | 0.66 | 0.86 | 0.66 |
| RWO | SPDR Dow Jones Global Real Estate ETF | 0.54 | 0.57 | 0.56 | 1.00 | 0.00 | 0.77 | 0.85 | 0.77 |
| CASHX | Cash | -0.06 | -0.01 | 0.02 | 0.00 | 1.00 | 0.01 | -0.01 | 0.02 |
| ACWV | iShares MSCI Global Min Vol Factor ETF | 0.62 | 0.77 | 0.66 | 0.77 | 0.01 | 1.00 | 0.84 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| EWJ | iShares MSCI Japan ETF | $1,754 | |
| TOK | iShares MSCI Kokusai ETF | $2,492 | |
| EEM | iShares MSCI Emerging Markets ETF | $980 | |
| RWO | SPDR Dow Jones Global Real Estate ETF | $3,441 | |
| CASHX | Cash | $184 | |
| ACWV | iShares MSCI Global Min Vol Factor ETF | $9,438 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| EWJ | iShares MSCI Japan ETF | 19.82% | |
| TOK | iShares MSCI Kokusai ETF | 17.34% | |
| EEM | iShares MSCI Emerging Markets ETF | 25.07% | |
| RWO | SPDR Dow Jones Global Real Estate ETF | 37.76% | |
| CASHX | Cash | 0.01% | |
| ACWV | iShares MSCI Global Min Vol Factor ETF | 99.99% |
| Roll Period | Portfolio 1 | Portfolio 2 | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 9.04% | 21.92% | -9.69% | 8.81% | 17.04% | -0.68% |
| 3 years | 7.05% | 11.83% | 3.61% | 8.05% | 10.23% | 5.63% |
| 5 years | 6.54% | 7.95% | 3.71% | 7.66% | 9.02% | 6.09% |
| 7 years | 6.91% | 7.08% | 6.74% | 8.09% | 8.68% | 7.51% |
| Result statistics are based on annualized rolling returns over full calendar year periods | ||||||