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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Asset 5
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Asset 6
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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 not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 1993 are based on full calendar months 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 (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
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • 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%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth0.65%
Mid-cap Value7.48%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets1.35%
Emerging Markets24.06%
Corporate Bonds37.63%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries25.69%
Short-Term Treasuries3.14%
R Squared67.28%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
FNMIXFidelity New Markets IncomeEmerging Markets Bond0.84%100.00%$100,437100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/05/2019. © 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 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 (%)15.38
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