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 (Jan 2016 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ISCF iShares Edge MSCI Mltfct Intl SmCp ETF 100.00%
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Portfolio 2
Ticker Name Allocation
VINEX Vanguard International Explorer Inv 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$13,997 8.77% 13.19%38.16%-18.75%-22.43% 0.610.910.82
Portfolio 2$10,000$12,792 6.35% 14.38%38.77%-23.02%-26.77% 0.410.580.81
   
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.
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares Edge MSCI Mltfct Intl SmCp ETF (ISCF)Vanguard International Explorer Inv (VINEX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20162.07%-1.27%-1.77%$9,873$9,823-1.27%-1.77%
20172.11%38.16%38.77%$13,641$13,63238.16%38.77%
20181.91%-18.75%-23.02%$11,083$10,493-18.75%-23.02%
20192.29%26.29%21.91%$13,997$12,79226.29%21.91%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Edge MSCI Mltfct Intl SmCp ETF (ISCF)Vanguard International Explorer Inv (VINEX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20161-8.60%-6.67%$9,140$9,333-8.60%-6.67%
20162-0.92%-2.40%$9,056$9,109-0.92%-2.40%
201638.01%7.58%$9,782$9,7998.01%7.58%
20164-0.20%0.66%$9,762$9,864-0.20%0.66%
201652.07%1.44%$9,964$10,0062.07%1.44%
20166-3.11%-5.54%$9,654$9,451-3.11%-5.54%
201674.82%5.62%$10,120$9,9824.82%5.62%
201680.00%-0.18%$10,120$9,9650.00%-0.18%
201693.64%2.84%$10,488$10,2483.64%2.84%
201610-4.32%-3.17%$10,035$9,923-4.32%-3.17%
201611-2.22%-2.50%$9,812$9,676-2.22%-2.50%
2016120.63%1.53%$9,873$9,8230.63%1.53%
201715.46%4.41%$10,412$10,2575.46%4.41%
201722.53%1.82%$10,675$10,4432.53%1.82%
201732.34%3.74%$10,925$10,8342.34%3.74%
201744.05%5.39%$11,367$11,4184.05%5.39%
201753.48%4.27%$11,762$11,9053.48%4.27%
201760.12%0.51%$11,776$11,9650.12%0.51%
201773.84%3.47%$12,229$12,3803.84%3.47%
201781.54%0.39%$12,417$12,4281.54%0.39%
201793.03%3.97%$12,794$12,9213.03%3.97%
2017102.56%1.82%$13,122$13,1562.56%1.82%
2017111.01%0.46%$13,255$13,2161.01%0.46%
2017122.91%3.14%$13,641$13,6322.91%3.14%
201814.75%5.12%$14,288$14,3304.75%5.12%
20182-3.88%-4.02%$13,733$13,753-3.88%-4.02%
20183-0.21%-0.33%$13,704$13,709-0.21%-0.33%
201840.95%0.28%$13,834$13,7470.95%0.28%
20185-0.49%-0.84%$13,767$13,632-0.49%-0.84%
20186-2.20%-2.16%$13,465$13,337-2.20%-2.16%
201870.87%0.10%$13,582$13,3500.87%0.10%
20188-0.90%-1.77%$13,460$13,113-0.90%-1.77%
20189-1.01%-1.17%$13,324$12,959-1.01%-1.17%
201810-9.39%-11.76%$12,074$11,436-9.39%-11.76%
201811-1.42%-0.39%$11,903$11,391-1.42%-0.39%
201812-6.89%-7.88%$11,083$10,493-6.89%-7.88%
201918.93%8.36%$12,073$11,3718.93%8.36%
201922.02%1.78%$12,316$11,5732.02%1.78%
20193-0.43%0.06%$12,263$11,580-0.43%0.06%
201942.78%4.27%$12,604$12,0742.78%4.27%
20195-4.88%-7.73%$11,989$11,141-4.88%-7.73%
201964.96%5.69%$12,584$11,7754.96%5.69%
20197-0.97%-2.13%$12,462$11,524-0.97%-2.13%
20198-1.98%-3.20%$12,215$11,155-1.98%-3.20%
201991.65%2.68%$12,418$11,4541.65%2.68%
2019103.57%4.68%$12,860$11,9903.57%4.68%
2019113.21%2.90%$13,273$12,3393.21%2.90%
2019125.45%3.68%$13,997$12,7925.45%3.68%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth18.47%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%6.16%
Small-cap Value0.00%2.42%
Small-cap Growth4.89%1.55%
Global ex-US Developed Markets64.02%88.04%
Emerging Markets12.62%1.83%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared87.36%88.04%
Style analysis is based on monthly returns from Jan 2016 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
ISCFiShares Edge MSCI Mltfct Intl SmCp ETFForeign Small/Mid Blend0.40%100.00%$3,997100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VINEXVanguard International Explorer InvForeign Small/Mid Growth0.39%100.00%$2,792100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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)0.77%0.60%
Arithmetic Mean (annualized)9.70%7.44%
Geometric Mean (monthly)0.70%0.51%
Geometric Mean (annualized)8.77%6.35%
Volatility (monthly)3.81%4.15%
Volatility (annualized)13.19%14.38%
Downside Deviation (monthly)2.49%2.88%
Max. Drawdown-22.43%-26.77%
US Market Correlation0.820.81
Beta(*)0.900.97
Alpha (annualized)-3.22%-6.28%
R267.39%65.91%
Sharpe Ratio0.610.41
Sortino Ratio0.910.58
Treynor Ratio (%)8.866.07
Calmar Ratio0.550.34
Active Return-5.18%-7.60%
Tracking Error7.62%8.40%
Information Ratio-0.68-0.91
Skewness-0.56-0.73
Excess Kurtosis0.700.74
Historical Value-at-Risk (5%)-7.83%-7.81%
Analytical Value-at-Risk (5%)-5.49%-6.23%
Conditional Value-at-Risk (5%)-8.99%-9.82%
Upside Capture Ratio (%)80.7577.84
Downside Capture Ratio (%)105.74120.92
Safe Withdrawal Rate28.31%27.29%
Perpetual Withdrawal Rate6.14%4.00%
Positive Periods28 out of 48 (58.33%)30 out of 48 (62.50%)
Gain/Loss Ratio1.150.87
* 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 months-22.43%
2Jan 2016Feb 20162 monthsJul 20165 months7 months-9.44%
3Oct 2016Nov 20162 monthsFeb 20173 months5 months-6.45%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-26.77%
2Jan 2016Feb 20162 monthsMay 20163 months5 months-8.91%
3Oct 2016Nov 20162 monthsJan 20172 months4 months-5.58%
4Jun 2016Jun 20161 monthSep 20163 months4 months-5.54%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ISCFiShares Edge MSCI Mltfct Intl SmCp ETF8.77%13.19%38.16%-18.75%-22.43%0.610.910.82
VINEXVanguard International Explorer Inv6.35%14.38%38.77%-23.02%-26.77%0.410.580.81

Monthly Correlations

Correlations for the portfolio assets
TickerNameISCFVINEXPortfolio 1Portfolio 2
ISCFiShares Edge MSCI Mltfct Intl SmCp ETF-0.971.000.97
VINEXVanguard International Explorer Inv0.97-0.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
ISCFiShares Edge MSCI Mltfct Intl SmCp ETF$3,997
VINEXVanguard International Explorer Inv$2,792

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
ISCFiShares Edge MSCI Mltfct Intl SmCp ETF100.00%
VINEXVanguard International Explorer Inv100.00%

Annual Asset Returns