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 Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jun 1993 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FNMIX Fidelity New Markets Income 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$110,437 9.84% 14.32%44.56%-22.38%-39.58% 0.570.740.54
   
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 1993 are based on monthly returns from June 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 backtested 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceFidelity New Markets Income (FNMIX)
19931.11%34.78%$13,47834.78%
19942.67%-16.55%$11,247-16.55%
19952.54%7.97%$12,1447.97%
19963.32%41.39%$17,17041.39%
19971.70%17.52%$20,17917.52%
19981.61%-22.38%$15,663-22.38%
19992.68%36.69%$21,41036.69%
20003.39%14.38%$24,48914.38%
20011.55%6.64%$26,1166.64%
20022.38%12.63%$29,41412.63%
20031.88%31.11%$38,56531.11%
20043.26%12.50%$43,38712.50%
20053.42%11.10%$48,20411.10%
20062.54%11.89%$53,93511.89%
20074.08%5.71%$57,0155.71%
20080.09%-18.24%$46,616-18.24%
20092.72%44.56%$67,38744.56%
20101.50%10.94%$74,76010.94%
20112.96%7.94%$80,6947.94%
20121.74%20.02%$96,85220.02%
20131.50%-6.41%$90,645-6.41%
20140.76%4.32%$94,5644.32%
20150.73%0.24%$94,7920.24%
20162.07%14.70%$108,72714.70%
20172.11%10.14%$119,74910.14%
20181.91%-7.78%$110,437-7.78%
Annual returns for 1993 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceFidelity New Markets Income (FNMIX)
199363.98%$10,3983.98%
199375.06%$10,9245.06%
199382.96%$11,2482.96%
199393.19%$11,6073.19%
1993107.90%$12,5247.90%
1993111.10%$12,6611.10%
1993126.45%$13,4786.45%
199413.75%$13,9833.75%
19942-10.07%$12,576-10.07%
19943-15.03%$10,685-15.03%
19944-4.21%$10,235-4.21%
199455.24%$10,7725.24%
19946-5.69%$10,159-5.69%
199472.75%$10,4382.75%
1994811.03%$11,58911.03%
199494.94%$12,1624.94%
199410-1.89%$11,932-1.89%
199411-0.42%$11,881-0.42%
199412-5.34%$11,247-5.34%
19951-11.58%$9,945-11.58%
19952-7.12%$9,237-7.12%
19953-3.17%$8,944-3.17%
199547.04%$9,5747.04%
199556.65%$10,2116.65%
199561.35%$10,3481.35%
199570.18%$10,3660.18%
199583.26%$10,7043.26%
199593.89%$11,1213.89%
199510-0.68%$11,045-0.68%
1995113.21%$11,4003.21%
1995126.53%$12,1446.53%
199617.33%$13,0357.33%
19962-5.40%$12,331-5.40%
199631.09%$12,4641.09%
199645.26%$13,1205.26%
199652.81%$13,4892.81%
199662.59%$13,8382.59%
199670.93%$13,9680.93%
199683.61%$14,4713.61%
199698.17%$15,6548.17%
1996102.78%$16,0902.78%
1996115.72%$17,0105.72%
1996120.95%$17,1700.95%
199714.27%$17,9044.27%
199721.75%$18,2171.75%
19973-4.00%$17,489-4.00%
199743.44%$18,0913.44%
199754.48%$18,9024.48%
199763.19%$19,5043.19%
199774.41%$20,3634.41%
19978-0.60%$20,241-0.60%
199793.21%$20,8893.21%
199710-9.81%$18,840-9.81%
1997113.77%$19,5513.77%
1997123.21%$20,1793.21%
199810.10%$20,1990.10%
199822.76%$20,7562.76%
199832.82%$21,3422.82%
199840.12%$21,3680.12%
19985-4.14%$20,483-4.14%
19986-3.20%$19,827-3.20%
199871.57%$20,1371.57%
19988-35.88%$12,911-35.88%
199898.74%$14,0408.74%
1998106.81%$14,9966.81%
1998117.48%$16,1187.48%
199812-2.82%$15,663-2.82%
19991-2.66%$15,245-2.66%
199921.81%$15,5211.81%
199938.74%$16,8778.74%
1999410.58%$18,66310.58%
19995-5.33%$17,669-5.33%
199965.01%$18,5545.01%
19997-2.69%$18,055-2.69%
199980.12%$18,0770.12%
199992.34%$18,5002.34%
1999104.10%$19,2594.10%
1999114.77%$20,1774.77%
1999126.11%$21,4106.11%
20001-0.78%$21,242-0.78%
200027.16%$22,7637.16%
200032.66%$23,3682.66%
20004-2.61%$22,758-2.61%
20005-2.71%$22,141-2.71%
200064.95%$23,2384.95%
200072.88%$23,9062.88%
200083.02%$24,6273.02%
20009-1.37%$24,290-1.37%
200010-2.57%$23,665-2.57%
200011-0.54%$23,537-0.54%
2000124.04%$24,4894.04%
200115.06%$25,7295.06%
20012-1.68%$25,298-1.68%
20013-1.43%$24,935-1.43%
200140.26%$25,0000.26%
200152.87%$25,7182.87%
200161.93%$26,2131.93%
20017-5.63%$24,738-5.63%
200184.52%$25,8554.52%
20019-3.31%$24,999-3.31%
2001100.06%$25,0150.06%
2001111.93%$25,4971.93%
2001122.43%$26,1162.43%
200212.01%$26,6412.01%
200224.71%$27,8964.71%
200230.51%$28,0370.51%
200240.97%$28,3080.97%
20025-0.76%$28,094-0.76%
20026-5.36%$26,588-5.36%
20027-4.90%$25,284-4.90%
200286.67%$26,9716.67%
20029-3.81%$25,943-3.81%
2002106.04%$27,5116.04%
2002113.63%$28,5103.63%
2002123.17%$29,4143.17%
200312.18%$30,0562.18%
200323.53%$31,1173.53%
200332.12%$31,7752.12%
200346.80%$33,9366.80%
200354.28%$35,3894.28%
200360.25%$35,4770.25%
20037-3.75%$34,146-3.75%
200383.04%$35,1843.04%
200392.95%$36,2212.95%
2003100.93%$36,5570.93%
2003111.59%$37,1401.59%
2003123.84%$38,5653.84%
200410.21%$38,6450.21%
200420.48%$38,8280.48%
200432.46%$39,7822.46%
20044-5.40%$37,634-5.40%
20045-2.05%$36,861-2.05%
200461.53%$37,4261.53%
200472.85%$38,4912.85%
200484.14%$40,0864.14%
200491.88%$40,8391.88%
2004101.96%$41,6381.96%
2004111.51%$42,2671.51%
2004122.65%$43,3872.65%
200510.42%$43,5690.42%
200521.22%$44,1001.22%
20053-2.84%$42,848-2.84%
200541.14%$43,3371.14%
200553.57%$44,8833.57%
200561.51%$45,5611.51%
200570.12%$45,6150.12%
200581.60%$46,3431.60%
200592.26%$47,3912.26%
200510-1.71%$46,581-1.71%
2005111.60%$47,3261.60%
2005121.86%$48,2041.86%
200612.38%$49,3532.38%
200622.51%$50,5942.51%
20063-1.43%$49,871-1.43%
200640.52%$50,1310.52%
20065-2.03%$49,112-2.03%
20066-0.35%$48,939-0.35%
200673.19%$50,5013.19%
200682.37%$51,7002.37%
200690.41%$51,9140.41%
2006101.99%$52,9501.99%
2006110.95%$53,4550.95%
2006120.90%$53,9350.90%
20071-0.25%$53,799-0.25%
200721.32%$54,5121.32%
200731.04%$55,0791.04%
200741.36%$55,8251.36%
20075-0.17%$55,731-0.17%
20076-2.00%$54,618-2.00%
20077-1.40%$53,851-1.40%
200780.80%$54,2830.80%
200792.88%$55,8472.88%
2007102.91%$57,4692.91%
200711-1.46%$56,629-1.46%
2007120.68%$57,0150.68%
200810.49%$57,2920.49%
20082-0.24%$57,154-0.24%
20083-0.22%$57,029-0.22%
200841.42%$57,8391.42%
200850.51%$58,1360.51%
20086-1.81%$57,083-1.81%
200870.55%$57,3970.55%
200880.19%$57,5060.19%
20089-7.34%$53,287-7.34%
200810-19.31%$42,996-19.31%
2008110.80%$43,3390.80%
2008127.56%$46,6167.56%
200912.07%$47,5812.07%
20092-1.91%$46,672-1.91%
200936.25%$49,5916.25%
200948.53%$53,8218.53%
200955.12%$56,5795.12%
200963.20%$58,3923.20%
200973.81%$60,6183.81%
200983.38%$62,6673.38%
200996.16%$66,5306.16%
2009100.55%$66,8950.55%
2009110.60%$67,2970.60%
2009120.13%$67,3870.13%
201010.56%$67,7670.56%
201020.71%$68,2470.71%
201033.22%$70,4433.22%
201040.85%$71,0410.85%
20105-2.56%$69,221-2.56%
201061.69%$70,3921.69%
201073.64%$72,9523.64%
201082.21%$74,5652.21%
201091.72%$75,8491.72%
2010101.71%$77,1471.71%
201011-3.25%$74,637-3.25%
2010120.16%$74,7600.16%
20111-0.80%$74,164-0.80%
201120.29%$74,3780.29%
201131.64%$75,5951.64%
201141.49%$76,7191.49%
201151.04%$77,5211.04%
201160.82%$78,1550.82%
201171.91%$79,6461.91%
201180.20%$79,8060.20%
20119-4.11%$76,528-4.11%
2011104.56%$80,0204.56%
201111-0.51%$79,608-0.51%
2011121.36%$80,6941.36%
201212.34%$82,5792.34%
201223.65%$85,5923.65%
20123-0.14%$85,476-0.14%
201241.66%$86,8981.66%
20125-2.83%$84,439-2.83%
201263.29%$87,2133.29%
201274.11%$90,8004.11%
201281.14%$91,8321.14%
201291.51%$93,2151.51%
2012100.83%$93,9880.83%
2012111.82%$95,6991.82%
2012121.20%$96,8521.20%
20131-0.44%$96,430-0.44%
20132-0.41%$96,034-0.41%
20133-0.94%$95,134-0.94%
201342.30%$97,3202.30%
20135-3.62%$93,802-3.62%
20136-4.87%$89,233-4.87%
201371.10%$90,2181.10%
20138-2.10%$88,323-2.10%
201392.12%$90,1932.12%
2013102.28%$92,2472.28%
201311-2.34%$90,085-2.34%
2013120.62%$90,6450.62%
20141-1.57%$89,226-1.57%
201423.46%$92,3143.46%
201431.76%$93,9361.76%
201441.70%$95,5361.70%
201453.31%$98,7023.31%
201461.40%$100,0791.40%
201470.03%$100,1060.03%
201480.76%$100,8640.76%
20149-3.07%$97,762-3.07%
2014101.45%$99,1771.45%
201411-1.20%$97,984-1.20%
201412-3.49%$94,564-3.49%
20151-0.48%$94,111-0.48%
201521.05%$95,1021.05%
201530.18%$95,2730.18%
201543.99%$99,0703.99%
20155-0.86%$98,215-0.86%
20156-1.54%$96,703-1.54%
20157-0.03%$96,673-0.03%
20158-1.14%$95,575-1.14%
20159-2.10%$93,567-2.10%
2015103.51%$96,8523.51%
2015110.57%$97,4010.57%
201512-2.68%$94,792-2.68%
20161-1.30%$93,559-1.30%
201621.88%$95,3161.88%
201633.97%$99,1043.97%
201643.15%$102,2243.15%
20165-0.84%$101,367-0.84%
201664.72%$106,1534.72%
201671.74%$107,9981.74%
201681.72%$109,8551.72%
201691.30%$111,2811.30%
201610-0.95%$110,225-0.95%
201611-3.59%$106,269-3.59%
2016122.31%$108,7272.31%
201711.90%$110,7921.90%
201722.13%$113,1552.13%
201730.46%$113,6770.46%
201741.86%$115,7921.86%
201750.61%$116,5000.61%
20176-0.45%$115,970-0.45%
201770.73%$116,8120.73%
201782.02%$119,1662.02%
20179-0.02%$119,143-0.02%
2017100.17%$119,3490.17%
201711-0.57%$118,666-0.57%
2017120.91%$119,7490.91%
201810.78%$120,6790.78%
20182-2.11%$118,127-2.11%
201830.18%$118,3460.18%
20184-1.72%$116,313-1.72%
20185-1.41%$114,675-1.41%
20186-1.92%$112,471-1.92%
201872.49%$115,2702.49%
20188-3.29%$111,479-3.29%
201891.96%$113,6581.96%
201810-2.62%$110,677-2.62%
201811-0.96%$109,620-0.96%
2018120.75%$110,4370.75%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
FNMIXFidelity New Markets IncomeEmerging Markets Bond100.00%0.82%4.72$100,437100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (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 1
Arithmetic Mean (monthly)0.88%
Arithmetic Mean (annualized)11.07%
Geometric Mean (monthly)0.79%
Geometric Mean (annualized)9.84%
Volatility (monthly)4.13%
Volatility (annualized)14.32%
Downside Deviation (monthly)3.09%
Max. Drawdown-39.58%
US Market Correlation0.54
Beta(*)0.53
Alpha (annualized)5.38%
R229.57%
Sharpe Ratio0.57
Sortino Ratio0.74
Treynor Ratio (%)15.28
Calmar Ratio0.57
Active Return0.86%
Tracking Error13.84%
Information Ratio0.06
Skewness-2.92
Excess Kurtosis22.10
Historical Value-at-Risk (5%)-5.16%
Analytical Value-at-Risk (5%)-5.92%
Conditional Value-at-Risk (5%)-10.29%
Upside Capture Ratio (%)58.98
Downside Capture Ratio (%)39.01
Safe Withdrawal Rate10.09%
Perpetual Withdrawal Rate6.86%
Positive Periods213 out of 307 (69.38%)
Gain/Loss Ratio0.83
* 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 1
Asian CrisisJul 1997Jan 1998-9.81%
Russian Debt DefaultJul 1998Oct 1998-35.88%
Dotcom CrashMar 2000Oct 2002-10.68%
Subprime CrisisNov 2007Mar 2009-26.04%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 1998Aug 19984 monthsDec 19991 year 4 months1 year 8 months-39.58%
2Feb 1994Mar 19951 year 2 monthsAug 19961 year 5 months2 years 7 months-36.04%
3Jun 2008Oct 20085 monthsJun 20098 months1 year 1 month-26.04%
4May 2002Jul 20023 monthsNov 20024 months7 months-10.68%
5Oct 1997Oct 19971 monthMar 19985 months6 months-9.81%
6May 2013Aug 20134 monthsMay 20149 months1 year 1 month-9.24%
7Feb 2018Nov 201810 months-9.16%
8Apr 2004May 20042 monthsAug 20043 months5 months-7.34%
9Sep 2014Jan 20161 year 5 monthsApr 20163 months1 year 8 months-7.24%
10Jul 2001Jul 20011 monthJan 20026 months7 months-5.63%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FNMIXFidelity New Markets Income9.84%14.32%44.56%-22.38%-39.58%0.570.740.54

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year10.04%44.56%-22.38%
3 years10.30%21.51%-1.11%
5 years10.00%19.75%3.05%
7 years10.46%17.42%4.58%
10 years10.72%14.78%7.00%
15 years10.49%12.88%7.27%
Result statistics are based on annualized rolling returns over full calendar year periods