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 (Nov 2000 - Dec 2005)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SLYV SPDR S&P 600 Small Cap Value ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$22,515 17.01% 15.84%42.98%-3.88%-20.34% 0.931.550.71
Portfolio 2$10,000$9,455 -1.08% 15.11%28.50%-22.15%-41.49% -0.15-0.190.99
   
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.
  • The annual results for 2000 are based on monthly returns from November to December
  • 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 results assume annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 600 Small Cap Value ETF (SLYV)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20000.00%17.79%-7.41%$11,779$9,25917.79%-7.41%
20011.55%14.42%-12.02%$13,478$8,14614.42%-12.02%
20022.38%-3.88%-22.15%$12,955$6,342-3.88%-22.15%
20031.88%42.98%28.50%$18,523$8,14942.98%28.50%
20043.26%18.23%10.74%$21,900$9,02418.23%10.74%
20053.42%2.81%4.77%$22,515$9,4552.81%4.77%
Annual returns for 2000 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 600 Small Cap Value ETF (SLYV)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
2000115.70%-7.88%$10,570$9,2125.70%-7.88%
20001211.44%0.50%$11,779$9,25911.44%0.50%
200112.29%3.55%$12,049$9,5872.29%3.55%
200120.27%-9.14%$12,082$8,7110.27%-9.14%
20013-3.43%-6.36%$11,668$8,157-3.43%-6.36%
200146.39%7.77%$12,413$8,7916.39%7.77%
200153.22%0.65%$12,813$8,8483.22%0.65%
200161.78%-2.45%$13,041$8,6321.78%-2.45%
200170.88%-1.00%$13,156$8,5460.88%-1.00%
20018-0.27%-6.27%$13,121$8,009-0.27%-6.27%
20019-9.49%-8.09%$11,876$7,361-9.49%-8.09%
2001101.45%1.90%$12,048$7,5011.45%1.90%
2001116.85%7.65%$12,873$8,0756.85%7.65%
2001124.70%0.87%$13,478$8,1464.70%0.87%
200211.18%-1.47%$13,637$8,0261.18%-1.47%
200222.60%-1.94%$13,992$7,8702.60%-1.94%
200237.02%3.74%$14,974$8,1657.02%3.74%
200242.15%-6.07%$15,296$7,6692.15%-6.07%
20025-1.54%-0.75%$15,060$7,611-1.54%-0.75%
20026-3.90%-7.13%$14,473$7,068-3.90%-7.13%
20027-9.51%-7.72%$13,097$6,522-9.51%-7.72%
200283.86%0.65%$13,602$6,5653.86%0.65%
20029-7.46%-10.87%$12,587$5,851-7.46%-10.87%
2002100.09%8.78%$12,598$6,3650.09%8.78%
2002115.24%5.88%$13,258$6,7395.24%5.88%
200212-2.29%-5.89%$12,955$6,342-2.29%-5.89%
20031-3.27%-2.62%$12,531$6,175-3.27%-2.62%
20032-2.77%-1.52%$12,184$6,081-2.77%-1.52%
200330.25%0.96%$12,215$6,1400.25%0.96%
2003410.49%8.25%$13,496$6,64610.49%8.25%
200359.22%5.26%$14,741$6,9969.22%5.26%
200361.42%1.26%$14,949$7,0841.42%1.26%
200374.19%1.74%$15,576$7,2084.19%1.74%
200382.61%1.93%$15,983$7,3472.61%1.93%
20039-1.41%-1.07%$15,758$7,269-1.41%-1.07%
2003107.72%5.64%$16,975$7,6797.72%5.64%
2003114.43%0.86%$17,726$7,7454.43%0.86%
2003124.50%5.22%$18,523$8,1494.50%5.22%
200412.89%1.82%$19,059$8,2982.89%1.82%
200423.13%1.38%$19,656$8,4123.13%1.38%
200430.70%-1.51%$19,794$8,2850.70%-1.51%
20044-6.82%-1.58%$18,444$8,154-6.82%-1.58%
200452.15%1.36%$18,841$8,2652.15%1.36%
200463.71%1.93%$19,541$8,4243.71%1.93%
20047-5.08%-3.31%$18,547$8,145-5.08%-3.31%
200480.77%0.38%$18,690$8,1760.77%0.38%
200494.00%1.07%$19,437$8,2644.00%1.07%
2004101.78%1.51%$19,783$8,3891.78%1.51%
2004117.64%4.05%$21,294$8,7287.64%4.05%
2004122.84%3.39%$21,900$9,0242.84%3.39%
20051-5.30%-2.45%$20,738$8,803-5.30%-2.45%
200521.87%2.09%$21,126$8,9871.87%2.09%
20053-1.75%-1.76%$20,757$8,829-1.75%-1.76%
20054-5.46%-1.91%$19,623$8,660-5.46%-1.91%
200556.64%3.17%$20,926$8,9356.64%3.17%
200563.53%0.13%$21,664$8,9463.53%0.13%
200576.13%3.71%$22,991$9,2786.13%3.71%
20058-1.89%-0.91%$22,556$9,193-1.89%-0.91%
200591.11%0.79%$22,807$9,2661.11%0.79%
200510-2.45%-1.68%$22,249$9,110-2.45%-1.68%
2005114.03%3.76%$23,146$9,4534.03%3.76%
200512-2.72%0.02%$22,515$9,455-2.72%0.02%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SLYVSPDR S&P 600 Small Cap Value ETFSmall Value100.00%0.15%14.21$12,515100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%22.72-$545100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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)1.42%0.00%
Arithmetic Mean (annualized)18.44%0.05%
Geometric Mean (monthly)1.32%-0.09%
Geometric Mean (annualized)17.01%-1.08%
Volatility (monthly)4.57%4.36%
Volatility (annualized)15.84%15.11%
Downside Deviation (monthly)2.67%3.23%
Max. Drawdown-20.34%-41.49%
US Market Correlation0.710.99
Beta(*)0.730.96
Alpha (annualized)16.01%-1.31%
R250.96%98.55%
Sharpe Ratio0.93-0.15
Sortino Ratio1.55-0.19
Treynor Ratio (%)20.36-2.31
Calmar Ratio1.953.47
Active Return16.80%-1.29%
Tracking Error11.89%1.91%
Information Ratio1.41-0.67
Skewness-0.31-0.36
Excess Kurtosis0.030.05
Historical Value-at-Risk (5%)-7.37%-8.06%
Analytical Value-at-Risk (5%)-6.10%-7.17%
Conditional Value-at-Risk (5%)-8.82%-9.37%
Upside Capture Ratio (%)132.3990.18
Downside Capture Ratio (%)58.3697.35
Safe Withdrawal Rate25.14%13.03%
Perpetual Withdrawal Rate10.84%0.00%
Positive Periods43 out of 62 (69.35%)36 out of 62 (58.06%)
Gain/Loss Ratio0.950.72
* 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
1May 2002Feb 200310 monthsJul 20035 months1 year 3 months-20.34%
2Jan 2005Apr 20054 monthsJul 20053 months7 months-10.40%
3Aug 2001Sep 20012 monthsDec 20013 months5 months-9.73%
4Apr 2004Apr 20041 monthNov 20047 months8 months-6.82%
5Mar 2001Mar 20011 monthApr 20011 month2 months-3.43%
6Aug 2005Oct 20053 monthsNov 20051 month4 months-3.23%
7Dec 2005Dec 20051 month-2.72%
8Sep 2003Sep 20031 monthOct 20031 month2 months-1.41%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2000Sep 20021 year 11 months-41.49%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SLYVSPDR S&P 600 Small Cap Value ETF17.01%15.84%42.98%-3.88%-20.34%0.931.550.71
VFINXVanguard 500 Index Investor-1.08%15.11%28.50%-22.15%-41.49%-0.15-0.190.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameSLYVVFINXPortfolio 1Portfolio 2
SLYVSPDR S&P 600 Small Cap Value ETF1.000.691.000.69
VFINXVanguard 500 Index Investor0.691.000.691.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SLYVSPDR S&P 600 Small Cap Value ETF$12,515
VFINXVanguard 500 Index Investor-$545

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SLYVSPDR S&P 600 Small Cap Value ETF100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year14.91%42.98%-3.88%1.97%28.50%-22.15%
3 years18.03%20.23%16.29%4.52%14.24%-4.17%
5 years13.83%13.83%13.83%0.42%0.42%0.42%
Result statistics are based on annualized rolling returns over full calendar year periods