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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2016 - Aug 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ISCF iShares Edge MSCI Mltfct Intl SmCp ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VINEX Vanguard International Explorer Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,215 5.61% 13.39%38.16%-18.75%-22.43% 0.380.560.82
Portfolio 2$10,000$11,155 3.03% 14.67%38.77%-23.02%-26.77% 0.190.270.81
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to August
  • 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 (1-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 include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
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%
20192.12%10.22%6.30%$12,215$11,15510.22%6.30%
Annual returns for 2019 are based on partial year data
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%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth17.54%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth1.43%7.08%
Small-cap Value3.25%3.27%
Small-cap Growth0.07%0.00%
Global ex-US Developed Markets68.56%89.14%
Emerging Markets9.16%0.51%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared87.77%88.14%
Style analysis is based on monthly returns from Jan 2016 to Aug 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
ISCFiShares Edge MSCI Mltfct Intl SmCp ETFForeign Small/Mid Blend0.40%100.00%$2,215100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VINEXVanguard International Explorer InvForeign Small/Mid Growth0.39%100.00%$1,155100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/05/2019. © 2019 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)0.53%0.34%
Arithmetic Mean (annualized)6.54%4.13%
Geometric Mean (monthly)0.46%0.25%
Geometric Mean (annualized)5.61%3.03%
Volatility (monthly)3.87%4.23%
Volatility (annualized)13.39%14.67%
Downside Deviation (monthly)2.60%3.01%
Max. Drawdown-22.43%-26.77%
US Market Correlation0.820.81
Beta(*)0.890.96
Alpha (annualized)-4.54%-7.75%
R267.68%66.19%
Sharpe Ratio0.380.19
Sortino Ratio0.560.27
Treynor Ratio (%)5.812.98
Calmar Ratio0.290.14
Active Return-6.52%-9.10%
Tracking Error7.74%8.54%
Information Ratio-0.84-1.07
Skewness-0.44-0.60
Excess Kurtosis0.630.58
Historical Value-at-Risk (5%)-8.17%-7.84%
Analytical Value-at-Risk (5%)-5.83%-6.63%
Conditional Value-at-Risk (5%)-8.99%-9.82%
Upside Capture Ratio (%)74.1370.79
Downside Capture Ratio (%)105.71120.80
Safe Withdrawal Rate36.28%35.51%
Perpetual Withdrawal Rate3.88%0.92%
Positive Periods24 out of 44 (54.55%)26 out of 44 (59.09%)
Gain/Loss Ratio1.130.85
* 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 ETF5.61%13.39%38.16%-18.75%-22.43%0.380.560.82
VINEXVanguard International Explorer Inv3.03%14.67%38.77%-23.02%-26.77%0.190.270.81

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$2,215
VINEXVanguard International Explorer Inv$1,155

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