Backtest Portfolio Asset Allocation

This online 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 2007 - Dec 2009)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IEF iShares 7-10 Year Treasury Bond ETF 100.00%
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Portfolio 2
Ticker Name Allocation
SHY iShares 1-3 Year Treasury Bond 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$12,156 6.73% 8.34%17.91%-6.59%-6.65% 0.571.03-0.13
Portfolio 2$10,000$11,486 4.73% 2.01%7.35%0.35%-1.18% 1.332.75-0.38
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares 7-10 Year Treasury Bond ETF (IEF)iShares 1-3 Year Treasury Bond ETF (SHY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20074.08%10.37%7.35%$11,037$10,73510.37%7.35%
20080.09%17.91%6.62%$13,014$11,44617.91%6.62%
20092.72%-6.59%0.35%$12,156$11,486-6.59%0.35%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares 7-10 Year Treasury Bond ETF (IEF)iShares 1-3 Year Treasury Bond ETF (SHY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20071-0.40%0.16%$9,960$10,016-0.40%0.16%
200722.06%0.73%$10,165$10,0892.06%0.73%
20073-0.14%0.45%$10,151$10,134-0.14%0.45%
200740.61%0.31%$10,212$10,1650.61%0.31%
20075-1.39%-0.07%$10,070$10,159-1.39%-0.07%
20076-0.47%0.48%$10,023$10,207-0.47%0.48%
200772.26%0.90%$10,249$10,2992.26%0.90%
200782.26%1.05%$10,481$10,4072.26%1.05%
200790.09%0.55%$10,490$10,4650.09%0.55%
2007101.08%0.48%$10,603$10,5151.08%0.48%
2007114.04%1.79%$11,032$10,7034.04%1.79%
2007120.05%0.30%$11,037$10,7350.05%0.30%
200813.36%1.65%$11,408$10,9133.36%1.65%
200821.24%1.03%$11,549$11,0251.24%1.03%
200831.34%0.25%$11,704$11,0531.34%0.25%
20084-2.41%-0.84%$11,421$10,961-2.41%-0.84%
20085-1.78%-0.35%$11,218$10,923-1.78%-0.35%
200861.14%0.24%$11,346$10,9501.14%0.24%
200870.72%0.43%$11,428$10,9970.72%0.43%
200881.53%0.47%$11,603$11,0481.53%0.47%
20089-0.14%0.78%$11,586$11,134-0.14%0.78%
200810-0.87%1.10%$11,486$11,257-0.87%1.10%
2008117.75%1.10%$12,376$11,3827.75%1.10%
2008125.15%0.56%$13,014$11,4465.15%0.56%
20091-3.89%-0.44%$12,508$11,396-3.89%-0.44%
20092-0.74%-0.15%$12,416$11,379-0.74%-0.15%
200933.31%0.50%$12,827$11,4363.31%0.50%
20094-2.75%-0.17%$12,475$11,417-2.75%-0.17%
20095-2.08%0.06%$12,216$11,423-2.08%0.06%
20096-0.55%-0.09%$12,148$11,413-0.55%-0.09%
200970.83%0.11%$12,249$11,4250.83%0.11%
200980.77%0.41%$12,343$11,4720.77%0.41%
200991.12%0.24%$12,482$11,4991.12%0.24%
200910-0.14%0.14%$12,464$11,515-0.14%0.14%
2009112.02%0.60%$12,716$11,5832.02%0.60%
200912-4.40%-0.84%$12,156$11,486-4.40%-0.84%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries100.00%0.00%
Short-Term Treasuries0.00%100.00%
R Squared100.00%100.00%
Style analysis is based on monthly returns from Jan 2007 to Dec 2009 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.470.15%100.00%$2,156100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SHYiShares 1-3 Year Treasury Bond ETFShort Government1.900.15%100.00%$1,486100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 2018 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)0.57%0.39%
Arithmetic Mean (annualized)7.08%4.75%
Geometric Mean (monthly)0.54%0.39%
Geometric Mean (annualized)6.73%4.73%
Volatility (monthly)2.41%0.58%
Volatility (annualized)8.34%2.01%
Downside Deviation (monthly)1.28%0.22%
Max. Drawdown-6.65%-1.18%
US Market Correlation-0.13-0.38
Beta(*)-0.05-0.04
Alpha (annualized)6.70%4.53%
R21.61%14.53%
Sharpe Ratio0.571.33
Sortino Ratio1.032.75
Treynor Ratio (%)-92.62-68.81
Information Ratio0.430.36
Diversification Ratio1.001.00
Skewness0.530.17
Excess Kurtosis1.470.64
Historical Value-at-Risk (5%)-3.96%-0.84%
Analytical Value-at-Risk (5%)-3.39%-0.57%
Conditional Value-at-Risk (5%)-4.40%-0.84%
Upside Capture Ratio (%)2.814.19
Downside Capture Ratio (%)-22.50-13.36
Positive Periods21 out of 36 (58.33%)28 out of 36 (77.78%)
Gain/Loss Ratio1.381.64
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-4.60%-1.18%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Jun 20096 months-6.65%
2Apr 2008May 20082 monthsNov 20086 months8 months-4.15%
3May 2007Jun 20072 monthsJul 20071 month3 months-1.85%
4Jan 2007Jan 20071 monthFeb 20071 month2 months-0.40%
5Mar 2007Mar 20071 monthApr 20071 month2 months-0.14%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008May 20082 monthsSep 20084 months6 months-1.18%
2Dec 2009Dec 20091 month-0.84%
3Jan 2009Feb 20092 monthsAug 20096 months8 months-0.58%
4May 2007May 20071 monthJun 20071 month2 months-0.07%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IEFiShares 7-10 Year Treasury Bond ETF6.73%8.34%17.91%-6.59%-6.65%0.571.03-0.13
SHYiShares 1-3 Year Treasury Bond ETF4.73%2.01%7.35%0.35%-1.18%1.332.75-0.38

Monthly Correlations

Correlations for the portfolio assets
TickerNameIEFSHYPortfolio 1Portfolio 2
IEFiShares 7-10 Year Treasury Bond ETF-0.751.000.75
SHYiShares 1-3 Year Treasury Bond ETF0.75-0.751.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IEFiShares 7-10 Year Treasury Bond ETF$2,156
SHYiShares 1-3 Year Treasury Bond ETF$1,486

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
IEFiShares 7-10 Year Treasury Bond ETF100.00%
SHYiShares 1-3 Year Treasury Bond ETF100.00%

Annual Asset Returns