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 Assets 
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Asset 5
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Portfolio Analysis Results (Feb 2018 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 120.00%
VXX iPath B S&P 500 VIX S/T Futs ETN 10.00%
BND Vanguard Total Bond Market ETF 20.00%
CASHX Cash -50.00%
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Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 80.00%
BND Vanguard Total Bond Market ETF 20.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$9,317 -6.83% 10.36%-6.83%-6.83%-10.27% -0.87-0.980.92
Portfolio 2$10,000$9,251 -7.49% 11.47%-7.49%-7.49%-10.61% -0.84-0.941.00
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 2018 are based on full calendar months from February to December
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)iPath B S&P 500 VIX S/T Futs ETN (VXX)Vanguard Total Bond Market ETF (BND)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20181.36%-6.83%-7.49%$9,317$9,251-9.65%53.31%1.14%1.69%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)iPath B S&P 500 VIX S/T Futs ETN (VXX)Vanguard Total Bond Market ETF (BND)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20182-0.22%-3.12%$9,978$9,688-3.64%44.08%-1.04%0.11%
20183-1.52%-2.04%$9,827$9,491-2.74%10.96%0.69%0.12%
20184-2.30%0.23%$9,601$9,5120.52%-16.29%-0.85%0.14%
201851.54%2.07%$9,749$9,7092.43%-9.95%0.68%0.14%
201860.60%0.45%$9,807$9,7530.58%-0.05%-0.04%0.14%
201872.46%2.94%$10,048$10,0403.70%-15.01%-0.04%0.16%
201883.33%2.69%$10,383$10,3103.19%-5.39%0.67%0.16%
20189-0.40%0.37%$10,341$10,3480.59%-10.07%-0.55%0.15%
201810-5.18%-5.75%$9,805$9,754-6.91%40.75%-0.86%0.19%
2018111.20%1.61%$9,923$9,9111.85%-8.28%0.64%0.18%
201812-6.11%-6.66%$9,317$9,251-8.79%36.32%1.87%0.19%

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%80.00%-$772100.22%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.180.04%20.00%$22.74-0.22%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/04/2019. (c) 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)-0.60%-0.65%
Arithmetic Mean (annualized)-6.96%-7.58%
Geometric Mean (monthly)-0.64%-0.71%
Geometric Mean (annualized)-7.43%-8.14%
Volatility (monthly)2.99%3.31%
Volatility (annualized)10.36%11.47%
Downside Deviation (monthly)2.56%2.88%
Max. Drawdown-10.27%-10.61%
US Market Correlation0.921.00
Beta(*)0.640.76
Alpha (annualized)-0.53%0.12%
R285.31%99.28%
Sharpe Ratio-0.87-0.84
Sortino Ratio-0.98-0.94
Treynor Ratio (%)-14.11-12.67
Active Return3.46%2.75%
Tracking Error6.69%3.65%
Information Ratio0.520.75
Skewness-0.74-0.83
Excess Kurtosis-0.19-0.53
Historical Value-at-Risk (5%)-6.11%-6.66%
Analytical Value-at-Risk (5%)-5.26%-5.84%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)47.9779.78
Downside Capture Ratio (%)60.6179.74
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods5 out of 11 (45.45%)7 out of 11 (63.64%)
Gain/Loss Ratio0.700.34
* 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
1Sep 2018Dec 20184 months-10.27%
2Feb 2018Apr 20183 monthsJul 20183 months6 months-3.99%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-10.61%
2Feb 2018Mar 20182 monthsJul 20184 months6 months-5.09%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust-9.65%14.38%-9.65%-9.65%-13.52%-0.82-0.921.00
VXXiPath B S&P 500 VIX S/T Futs ETN53.31%80.66%53.31%53.31%-45.51%0.882.40-0.88
BNDVanguard Total Bond Market ETF1.14%3.10%1.14%1.14%-1.40%-0.18-0.27-0.07
CASHXCash1.69%0.09%1.69%1.69%0.00%6.39N/A-0.30

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYVXXBNDCASHXPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust--0.89-0.10-0.260.921.00
VXXiPath B S&P 500 VIX S/T Futs ETN-0.89--0.040.10-0.66-0.90
BNDVanguard Total Bond Market ETF-0.10-0.04-0.36-0.04-0.04
CASHXCash-0.260.100.36--0.36-0.24

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust-$1,153-$772
VXXiPath B S&P 500 VIX S/T Futs ETN$531
BNDVanguard Total Bond Market ETF$22.56$22.74
CASHXCash-$84.00

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust150.64%100.22%
VXXiPath B S&P 500 VIX S/T Futs ETN-50.58%
BNDVanguard Total Bond Market ETF-0.22%-0.22%
CASHXCash0.16%

Annual Asset Returns