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
VTI Vanguard Total Stock Market ETF 100.00%
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Portfolio 2
Ticker Name Allocation
EWZ iShares MSCI Brazil Capped ETF 100.00%
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Portfolio 3
Ticker Name Allocation
ERUS iShares MSCI Russia Capped ETF 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$16,939 14.08% 11.97%30.67%-5.21%-14.20% 1.061.601.00
Portfolio 2$10,000$25,294 26.11% 32.08%64.47%-2.57%-30.09% 0.841.680.16
Portfolio 3$10,000$23,060 23.23% 19.43%54.57%-3.86%-14.23% 1.112.250.43
   
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
  • Drawdown analysis is 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
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares MSCI Brazil Capped ETF (EWZ)iShares MSCI Russia Capped ETF (ERUS)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20162.07%12.83%64.47%54.57%$11,283$16,447$15,45712.83%64.47%54.57%
20172.11%21.21%23.65%3.93%$13,676$20,337$16,06421.21%23.65%3.93%
20181.91%-5.21%-2.57%-3.86%$12,963$19,815$15,443-5.21%-2.57%-3.86%
20192.29%30.67%27.65%49.33%$16,939$25,294$23,06030.67%27.65%49.33%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares MSCI Brazil Capped ETF (EWZ)iShares MSCI Russia Capped ETF (ERUS)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20161-5.72%-4.11%-0.54%$9,428$9,589$9,946-5.72%-4.11%-0.54%
20162-0.01%3.33%1.63%$9,427$9,908$10,108-0.01%3.33%1.63%
201637.11%28.36%14.04%$10,097$12,718$11,5277.11%28.36%14.04%
201640.66%12.21%9.59%$10,164$14,270$12,6330.66%12.21%9.59%
201651.73%-13.79%-7.47%$10,340$12,302$11,6891.73%-13.79%-7.47%
201660.27%19.52%3.19%$10,368$14,702$12,0620.27%19.52%3.19%
201673.98%10.14%2.46%$10,780$16,193$12,3603.98%10.14%2.46%
201680.21%0.84%1.75%$10,803$16,330$12,5760.21%0.84%1.75%
201690.21%0.63%4.30%$10,825$16,432$13,1160.21%0.63%4.30%
201610-2.19%11.95%-0.07%$10,588$18,395$13,107-2.19%11.95%-0.07%
2016114.49%-11.31%5.57%$11,063$16,315$13,8374.49%-11.31%5.57%
2016121.98%0.81%11.71%$11,283$16,447$15,4571.98%0.81%11.71%
201711.86%10.59%0.51%$11,492$18,188$15,5351.86%10.59%0.51%
201723.69%2.33%-6.83%$11,917$18,613$14,4753.69%2.33%-6.83%
201730.06%-0.72%2.33%$11,923$18,479$14,8110.06%-0.72%2.33%
201741.06%-0.77%-0.34%$12,050$18,336$14,7611.06%-0.77%-0.34%
201751.01%-5.38%-6.44%$12,172$17,350$13,8111.01%-5.38%-6.44%
201760.95%-2.11%-3.08%$12,287$16,984$13,3850.95%-2.11%-3.08%
201771.88%10.72%3.85%$12,518$18,804$13,9011.88%10.72%3.85%
201780.15%5.82%7.59%$12,537$19,899$14,9560.15%5.82%7.59%
201792.44%4.22%4.51%$12,843$20,740$15,6302.44%4.22%4.51%
2017102.17%-3.65%-1.61%$13,121$19,983$15,3792.17%-3.65%-1.61%
2017113.03%-3.66%2.42%$13,519$19,252$15,7513.03%-3.66%2.42%
2017121.16%5.64%1.99%$13,676$20,337$16,0641.16%5.64%1.99%
201815.23%15.18%12.08%$14,391$23,424$18,0055.23%15.18%12.08%
20182-3.76%-2.38%-0.51%$13,850$22,866$17,913-3.76%-2.38%-0.51%
20183-1.95%-1.32%-2.51%$13,580$22,565$17,463-1.95%-1.32%-2.51%
201840.45%-5.75%-8.62%$13,641$21,268$15,9580.45%-5.75%-8.62%
201852.72%-15.79%1.14%$14,012$17,909$16,1402.72%-15.79%1.14%
201860.70%-8.56%0.61%$14,111$16,376$16,2380.70%-8.56%0.61%
201873.32%12.64%3.73%$14,579$18,445$16,8433.32%12.64%3.73%
201883.43%-10.11%-7.70%$15,079$16,580$15,5473.43%-10.11%-7.70%
201890.20%3.94%8.68%$15,109$17,234$16,8960.20%3.94%8.68%
201810-7.41%19.03%-4.32%$13,989$20,514$16,166-7.41%19.03%-4.32%
2018112.01%-0.87%-0.68%$14,271$20,335$16,0562.01%-0.87%-0.68%
201812-9.16%-2.56%-3.82%$12,963$19,815$15,443-9.16%-2.56%-3.82%
201918.54%18.77%14.45%$14,070$23,535$17,6748.54%18.77%14.45%
201923.56%-5.22%-3.26%$14,571$22,305$17,0983.56%-5.22%-3.26%
201931.42%-4.67%1.14%$14,777$21,263$17,2931.42%-4.67%1.14%
201943.93%0.98%3.62%$15,357$21,470$17,9203.93%0.98%3.62%
20195-6.45%0.63%2.29%$14,367$21,605$18,331-6.45%0.63%2.29%
201967.08%6.31%9.51%$15,384$22,967$20,0757.08%6.31%9.51%
201971.41%1.78%-0.76%$15,601$23,377$19,9221.41%1.78%-0.76%
20198-2.08%-7.89%-3.40%$15,276$21,533$19,244-2.08%-7.89%-3.40%
201991.78%2.78%3.07%$15,548$22,132$19,8351.78%2.78%3.07%
2019102.11%5.86%7.25%$15,876$23,430$21,2732.11%5.86%7.25%
2019113.79%-4.78%-0.34%$16,477$22,311$21,2023.79%-4.78%-0.34%
2019122.80%13.37%8.77%$16,939$25,294$23,0602.80%13.37%8.77%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value36.84%
Large-cap Growth46.15%
Mid-cap Value5.81%
Mid-cap Growth4.04%
Small-cap Value0.82%
Small-cap Growth5.25%
Global ex-US Developed Markets0.40%
Emerging Markets0.69%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.83%
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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%0.03%21.62$6,939100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
EWZiShares MSCI Brazil Capped ETFLatin America Stock100.00%0.59%17.37$15,294100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
ERUSiShares MSCI Russia Capped ETFMiscellaneous Region100.00%0.59%5.88$13,060100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/09/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)1.16%2.35%1.91%
Arithmetic Mean (annualized)14.89%32.20%25.43%
Geometric Mean (monthly)1.10%1.95%1.76%
Geometric Mean (annualized)14.08%26.11%23.23%
Volatility (monthly)3.46%9.26%5.61%
Volatility (annualized)11.97%32.08%19.43%
Downside Deviation (monthly)2.24%4.57%2.71%
Max. Drawdown-14.20%-30.09%-14.23%
US Market Correlation1.000.160.43
Beta(*)1.000.440.70
Alpha (annualized)0.13%22.15%13.18%
R299.98%2.70%18.63%
Sharpe Ratio1.060.841.11
Sortino Ratio1.601.682.25
Treynor Ratio (%)12.6861.2630.83
Calmar Ratio1.020.511.00
Active Return0.13%12.16%9.28%
Tracking Error0.19%32.35%17.90%
Information Ratio0.700.380.52
Skewness-0.900.550.32
Excess Kurtosis1.790.29-0.17
Historical Value-at-Risk (5%)-6.98%-12.67%-7.59%
Analytical Value-at-Risk (5%)-4.52%-12.88%-7.32%
Conditional Value-at-Risk (5%)-8.29%-14.79%-8.16%
Upside Capture Ratio (%)100.4784.03103.39
Downside Capture Ratio (%)99.84-37.0029.86
Safe Withdrawal Rate31.97%47.65%40.52%
Perpetual Withdrawal Rate10.51%19.05%17.15%
Positive Periods39 out of 48 (81.25%)27 out of 48 (56.25%)29 out of 48 (60.42%)
Gain/Loss Ratio0.561.541.62
* 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
1Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
2May 2019May 20191 monthJun 20191 month2 months-6.45%
3Jan 2016Feb 20162 monthsMar 20161 month3 months-5.73%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
5Oct 2016Oct 20161 monthNov 20161 month2 months-2.19%
6Aug 2019Aug 20191 monthOct 20192 months3 months-2.08%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Jun 20185 monthsJan 20197 months1 year-30.09%
2May 2016May 20161 monthJun 20161 month2 months-13.79%
3Nov 2016Nov 20161 monthFeb 20173 months4 months-11.31%
4Feb 2019Mar 20192 monthsDec 20199 months11 months-9.65%
5Mar 2017Jun 20174 monthsJul 20171 month5 months-8.75%
6Oct 2017Nov 20172 monthsJan 20182 months4 months-7.17%
7Jan 2016Jan 20161 monthMar 20162 months3 months-4.11%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsMay 20195 months1 year 4 months-14.23%
2Feb 2017Jun 20175 monthsSep 20173 months8 months-13.84%
3May 2016May 20161 monthSep 20164 months5 months-7.47%
4Jul 2019Aug 20192 monthsOct 20192 months4 months-4.14%
5Oct 2017Oct 20171 monthNov 20171 month2 months-1.61%
6Jan 2016Jan 20161 monthFeb 20161 month2 months-0.54%
7Nov 2019Nov 20191 monthDec 20191 month2 months-0.34%
8Oct 2016Oct 20161 monthNov 20161 month2 months-0.07%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF14.08%11.97%30.67%-5.21%-14.20%1.061.601.00
EWZiShares MSCI Brazil Capped ETF26.11%32.08%64.47%-2.57%-30.09%0.841.680.16
ERUSiShares MSCI Russia Capped ETF23.23%19.43%54.57%-3.86%-14.23%1.112.250.43

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIEWZERUSPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.000.170.431.000.170.43
EWZiShares MSCI Brazil Capped ETF0.171.000.590.171.000.59
ERUSiShares MSCI Russia Capped ETF0.430.591.000.430.591.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$6,939
EWZiShares MSCI Brazil Capped ETF$15,294
ERUSiShares MSCI Russia Capped ETF$13,060

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF100.00%
EWZiShares MSCI Brazil Capped ETF100.00%
ERUSiShares MSCI Russia Capped ETF100.00%

Annual Asset Returns