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.

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Portfolio Analysis Results (Jan 2013 - Oct 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
URTH iShares MSCI World ETF 88.00%
IEMG iShares Core MSCI Emerging Markets ETF 12.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,118 9.09% 11.25%24.69%-9.32%-14.07% 0.771.200.94
Portfolio 2$10,000$18,226 9.18% 11.24%24.49%-9.76%-14.45% 0.781.230.95
   
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 October
  • 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 MSCI World ETF (URTH)iShares Core MSCI Emerging Markets ETF (IEMG)Vanguard Total World Stock ETF (VT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20131.50%23.13%22.95%$12,313$12,29526.66%-2.81%22.95%
20140.76%3.42%3.67%$12,734$12,7464.36%-3.44%3.67%
20150.73%-2.28%-1.86%$12,444$12,509-0.64%-14.31%-1.86%
20162.07%7.67%8.51%$13,398$13,5747.31%10.29%8.51%
20172.11%24.69%24.49%$16,706$16,89922.96%37.40%24.49%
20181.91%-9.32%-9.76%$15,149$15,249-8.56%-14.92%-9.76%
20192.20%19.60%19.52%$18,118$18,22620.96%9.61%19.52%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares MSCI World ETF (URTH)iShares Core MSCI Emerging Markets ETF (IEMG)Vanguard Total World Stock ETF (VT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201314.11%4.01%$10,411$10,4014.71%-0.23%4.01%
201320.38%-0.31%$10,451$10,3680.63%-1.54%-0.31%
201331.76%2.35%$10,635$10,6122.11%-1.01%2.35%
201342.56%2.68%$10,907$10,8962.70%1.40%2.68%
201351.84%-0.56%$11,108$10,8352.60%-4.37%-0.56%
20136-4.45%-2.66%$10,613$10,547-4.33%-5.57%-2.66%
201375.34%5.16%$11,180$11,0925.82%1.04%5.16%
20138-1.76%-2.46%$10,982$10,820-1.69%-2.49%-2.46%
201395.78%5.59%$11,617$11,4245.62%7.21%5.59%
2013102.69%3.71%$11,929$11,8482.54%4.09%3.71%
2013111.78%1.54%$12,142$12,0312.04%-0.57%1.54%
2013121.41%2.19%$12,313$12,2951.57%-0.15%2.19%
20141-4.58%-4.44%$11,749$11,748-4.11%-7.99%-4.44%
201425.06%5.21%$12,344$12,3615.28%3.38%5.21%
201430.72%0.48%$12,433$12,4210.35%3.59%0.48%
20144-0.43%0.74%$12,379$12,512-0.62%0.98%0.74%
201453.14%2.05%$12,768$12,7683.18%2.80%2.05%
201461.42%2.21%$12,949$13,0511.30%2.35%2.21%
20147-1.33%-1.75%$12,777$12,822-1.64%1.01%-1.75%
201482.84%2.65%$13,140$13,1622.77%3.33%2.65%
20149-3.71%-3.34%$12,652$12,722-3.21%-7.26%-3.34%
2014100.85%0.94%$12,759$12,8420.85%0.78%0.94%
2014111.43%1.26%$12,941$13,0051.79%-1.29%1.26%
201412-1.60%-1.99%$12,734$12,746-1.26%-4.21%-1.99%
20151-2.20%-1.63%$12,454$12,539-2.50%-0.02%-1.63%
201526.38%5.95%$13,249$13,2856.68%4.21%5.95%
20153-1.43%-1.21%$13,059$13,125-1.44%-1.37%-1.21%
201542.44%2.55%$13,378$13,4591.78%7.26%2.55%
20155-0.08%0.33%$13,367$13,5040.43%-3.65%0.33%
20156-2.74%-2.22%$13,001$13,204-2.71%-2.94%-2.22%
201571.52%0.50%$13,198$13,2702.63%-6.56%0.50%
20158-6.88%-6.63%$12,290$12,390-6.57%-9.36%-6.63%
20159-3.38%-3.71%$11,874$11,931-3.55%-1.97%-3.71%
2015106.87%7.29%$12,691$12,8006.96%6.14%7.29%
201511-0.00%-0.08%$12,690$12,7890.28%-2.29%-0.08%
201512-1.94%-2.19%$12,444$12,509-1.76%-3.47%-2.19%
20161-6.00%-5.87%$11,697$11,775-6.11%-5.20%-5.87%
20162-0.63%-1.11%$11,624$11,645-0.58%-0.96%-1.11%
201637.47%7.98%$12,492$12,5746.77%12.55%7.98%
201641.02%1.01%$12,619$12,7001.07%0.67%1.01%
201650.28%0.65%$12,655$12,7830.81%-3.41%0.65%
20166-0.13%-0.18%$12,638$12,760-0.75%4.34%-0.18%
201674.27%4.15%$13,178$13,2904.15%5.09%4.15%
201680.42%0.35%$13,233$13,3360.33%1.00%0.35%
201690.60%0.79%$13,313$13,4410.29%2.70%0.79%
201610-1.98%-1.97%$13,049$13,176-2.12%-1.03%-1.97%
2016110.90%1.19%$13,167$13,3331.67%-4.14%1.19%
2016121.75%1.81%$13,398$13,5742.08%-0.52%1.81%
201713.23%3.00%$13,831$13,9822.78%6.57%3.00%
201722.55%2.69%$14,184$14,3582.62%2.03%2.69%
201731.33%1.48%$14,373$14,5701.02%3.53%1.48%
201741.71%1.63%$14,619$14,8061.68%1.90%1.63%
201752.12%1.95%$14,928$15,0942.08%2.34%1.95%
201760.50%0.63%$15,003$15,1890.41%1.13%0.63%
201772.82%2.65%$15,426$15,5922.43%5.50%2.65%
201780.38%0.42%$15,484$15,6570.09%2.31%0.42%
201791.83%2.11%$15,768$15,9872.11%0.02%2.11%
2017102.28%2.11%$16,127$16,3232.13%3.26%2.11%
2017111.71%1.90%$16,403$16,6331.96%0.13%1.90%
2017121.85%1.60%$16,706$16,8991.57%3.68%1.60%
201815.52%5.48%$17,629$17,8255.19%7.98%5.48%
20182-4.53%-4.44%$16,831$17,033-4.36%-5.71%-4.44%
20183-1.40%-1.29%$16,596$16,814-1.70%0.81%-1.29%
201840.32%0.42%$16,650$16,8850.75%-2.65%0.42%
201850.30%0.57%$16,700$16,9800.66%-2.32%0.57%
20186-0.40%-0.60%$16,632$16,8790.16%-4.65%-0.60%
201873.01%2.88%$17,133$17,3643.01%3.03%2.88%
201880.64%0.86%$17,243$17,5141.14%-3.31%0.86%
201890.56%0.08%$17,339$17,5280.75%-1.01%0.08%
201810-7.30%-7.82%$16,073$16,157-7.14%-8.73%-7.82%
2018111.50%1.73%$16,313$16,4371.13%4.68%1.73%
201812-7.14%-7.22%$15,149$15,249-7.64%-2.95%-7.22%
201917.95%7.99%$16,353$16,4687.72%9.61%7.99%
201922.48%2.82%$16,759$16,9312.98%-1.08%2.82%
201931.45%1.06%$17,002$17,1121.49%1.15%1.06%
201943.54%3.47%$17,603$17,7063.72%2.19%3.47%
20195-5.93%-5.97%$16,559$16,648-5.79%-7.04%-5.97%
201966.28%6.37%$17,598$17,7096.34%5.77%6.37%
201970.54%0.00%$17,693$17,7090.92%-2.45%0.00%
20198-2.38%-2.10%$17,272$17,337-2.20%-3.81%-2.10%
201992.09%2.28%$17,634$17,7312.16%1.55%2.28%
2019102.75%2.79%$18,118$18,2262.55%4.39%2.79%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value20.78%14.43%
Large-cap Growth28.56%26.50%
Mid-cap Value0.00%8.67%
Mid-cap Growth3.83%0.49%
Small-cap Value2.73%0.35%
Small-cap Growth0.00%1.63%
Global ex-US Developed Markets31.41%36.12%
Emerging Markets12.66%11.81%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.03%0.00%
R Squared97.46%99.67%
Style analysis is based on monthly returns from Jan 2013 to Oct 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
URTHiShares MSCI World ETFWorld Large Stock0.24%88.00%$7,79187.29%
IEMGiShares Core MSCI Emerging Markets ETFDiversified Emerging Mkts0.14%12.00%$32712.71%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock0.09%100.00%$8,226100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/05/2019. © 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)0.78%0.79%
Arithmetic Mean (annualized)9.77%9.86%
Geometric Mean (monthly)0.73%0.73%
Geometric Mean (annualized)9.09%9.18%
Volatility (monthly)3.25%3.24%
Volatility (annualized)11.25%11.24%
Downside Deviation (monthly)2.06%2.03%
Max. Drawdown-14.07%-14.45%
US Market Correlation0.940.95
Beta(*)0.930.93
Alpha (annualized)-3.03%-3.02%
R289.03%90.24%
Sharpe Ratio0.770.78
Sortino Ratio1.201.23
Treynor Ratio (%)9.369.40
Calmar Ratio0.820.79
Active Return-4.41%-4.32%
Tracking Error3.82%3.60%
Information Ratio-1.15-1.20
Skewness-0.39-0.35
Excess Kurtosis0.450.57
Historical Value-at-Risk (5%)-5.99%-5.95%
Analytical Value-at-Risk (5%)-4.53%-4.55%
Conditional Value-at-Risk (5%)-6.83%-6.91%
Upside Capture Ratio (%)85.5285.01
Downside Capture Ratio (%)109.31107.48
Safe Withdrawal Rate21.71%21.84%
Perpetual Withdrawal Rate7.73%7.82%
Positive Periods56 out of 82 (68.29%)55 out of 82 (67.07%)
Gain/Loss Ratio0.860.89
* 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 monthsJul 20197 months1 year 6 months-14.07%
2May 2015Feb 201610 monthsDec 201610 months1 year 8 months-13.11%
3Sep 2014Jan 20155 monthsFeb 20151 month6 months-5.22%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-4.58%
5Jun 2013Jun 20131 monthJul 20131 month2 months-4.45%
6Aug 2019Aug 20191 monthOct 20192 months3 months-2.38%
7Aug 2013Aug 20131 monthSep 20131 month2 months-1.76%
8Mar 2015Mar 20151 monthApr 20151 month2 months-1.43%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.33%
10Apr 2014Apr 20141 monthMay 20141 month2 months-0.43%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.45%
2Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%
3Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.73%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-4.44%
5May 2013Jun 20132 monthsJul 20131 month3 months-3.20%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.46%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.75%
8Mar 2015Mar 20151 monthApr 20151 month2 months-1.21%
9Feb 2013Feb 20131 monthMar 20131 month2 months-0.31%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
URTHiShares MSCI World ETF9.99%11.22%26.66%-8.56%-13.27%0.851.330.96
IEMGiShares Core MSCI Emerging Markets ETF1.89%14.81%37.40%-14.92%-28.91%0.150.230.65
VTVanguard Total World Stock ETF9.18%11.24%24.49%-9.76%-14.45%0.781.230.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameURTHIEMGVTPortfolio 1Portfolio 2
URTHiShares MSCI World ETF-0.740.980.990.98
IEMGiShares Core MSCI Emerging Markets ETF0.74-0.820.800.82
VTVanguard Total World Stock ETF0.980.82-0.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
URTHiShares MSCI World ETF$7,791
IEMGiShares Core MSCI Emerging Markets ETF$327
VTVanguard Total World Stock ETF$8,226

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
URTHiShares MSCI World ETF87.29%
IEMGiShares Core MSCI Emerging Markets ETF12.71%
VTVanguard Total World Stock ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.88%24.69%-9.32%8.00%24.49%-9.76%
3 years6.67%9.47%2.86%6.95%9.86%3.36%
5 years7.52%10.81%4.23%7.73%11.06%4.40%
Result statistics are based on annualized rolling returns over full calendar year periods