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 Analysis Results (Dec 2004 - Jul 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PSPAX PIMCO StocksPLUS A 50.00%
GLD SPDR Gold Shares 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$35,350 8.99% 11.86%32.73%-20.34%-29.07% 0.681.100.65
Vanguard 500 Index Investor$10,000$33,839 8.67% 13.92%32.18%-37.02%-50.97% 0.580.831.00
   
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 2004 are based on full calendar months from December to December
  • The annual results for 2019 are based on full calendar months from January to July
  • 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
  • Monthly return series of the selected benchmark is used for results comparisons
  • 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
YearInflationReturnBalancePIMCO StocksPLUS A (PSPAX)SPDR Gold Shares (GLD)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
2004-0.37%0.20%3.39%$10,020$10,3393.33%-2.93%
20053.42%10.23%4.77%$11,045$10,8332.70%17.76%
20062.54%18.39%15.64%$13,076$12,52714.23%22.55%
20074.08%18.24%5.39%$15,462$13,2026.03%30.45%
20080.09%-20.34%-37.02%$12,317$8,315-45.60%4.92%
20092.72%32.73%26.49%$16,349$10,51741.44%24.03%
20101.50%23.56%14.91%$20,200$12,08517.85%29.27%
20112.96%5.39%1.97%$21,289$12,3231.21%9.57%
20121.74%13.55%15.82%$24,173$14,27320.50%6.60%
20131.50%2.14%32.18%$24,691$18,86532.61%-28.33%
20140.76%5.76%13.51%$26,113$21,41413.71%-2.19%
20150.73%-5.45%1.25%$24,691$21,681-0.22%-10.67%
20162.07%10.02%11.82%$27,164$24,24312.00%8.03%
20172.11%17.39%21.67%$31,887$29,49621.97%12.81%
20181.91%-3.95%-4.52%$30,627$28,162-5.96%-1.94%
20192.12%15.42%20.16%$35,350$33,83920.98%9.86%
Annual returns for 2004 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalancePIMCO StocksPLUS A (PSPAX)SPDR Gold Shares (GLD)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
2004120.20%3.39%$10,020$10,3393.33%-2.93%
20051-3.13%-2.45%$9,707$10,086-2.65%-3.61%
200522.54%2.09%$9,954$10,2971.99%3.10%
20053-1.80%-1.76%$9,774$10,116-1.97%-1.63%
20054-0.33%-1.91%$9,742$9,922-1.90%1.24%
20055-0.52%3.17%$9,692$10,2363.01%-3.92%
200562.03%0.13%$9,889$10,249-0.15%4.30%
200571.01%3.71%$9,989$10,6293.47%-1.43%
200580.30%-0.91%$10,019$10,532-0.71%1.35%
200593.95%0.79%$10,414$10,6160.36%7.60%
200510-1.33%-1.68%$10,276$10,438-2.05%-0.64%
2005114.73%3.76%$10,762$10,8313.56%5.82%
2005122.64%0.02%$11,045$10,8330.00%5.05%
200616.33%2.65%$11,744$11,1202.73%9.93%
20062-0.53%0.26%$11,682$11,1490.10%-1.11%
200632.31%1.23%$11,952$11,2860.92%3.62%
200646.97%1.33%$12,785$11,4361.48%12.03%
20065-2.13%-2.90%$12,512$11,105-3.11%-1.32%
20066-2.67%0.13%$12,178$11,119-0.23%-4.67%
200672.07%0.61%$12,430$11,1870.81%3.15%
200680.26%2.36%$12,462$11,4512.21%-1.38%
20069-1.26%2.56%$12,305$11,7452.50%-4.53%
2006102.21%3.25%$12,578$12,1263.20%1.29%
2006114.49%1.89%$13,143$12,3561.97%6.89%
200612-0.50%1.39%$13,076$12,5270.96%-1.83%
200711.93%1.49%$13,328$12,7151.29%2.56%
200720.38%-1.97%$13,378$12,464-1.82%2.55%
200730.02%1.11%$13,381$12,6031.22%-1.11%
200743.14%4.42%$13,801$13,1594.26%2.05%
200750.38%3.48%$13,854$13,6173.11%-2.31%
20076-1.84%-1.68%$13,599$13,389-1.75%-1.94%
20077-0.38%-3.08%$13,547$12,976-3.01%2.37%
200781.19%1.50%$13,709$13,1701.28%1.11%
200797.62%3.72%$14,754$13,6614.72%10.51%
2007104.43%1.58%$15,407$13,8761.75%6.95%
200711-2.78%-4.19%$14,979$13,295-4.03%-1.65%
2007123.22%-0.70%$15,462$13,202-0.70%6.65%
200812.97%-6.02%$15,921$12,408-4.90%10.84%
200821.27%-3.25%$16,123$12,005-3.34%5.23%
20083-4.33%-0.44%$15,425$11,952-2.22%-6.00%
200840.36%4.85%$15,481$12,5325.88%-4.16%
200850.95%1.29%$15,628$12,6940.97%0.92%
20086-2.38%-8.44%$15,256$11,623-9.99%4.52%
20087-1.20%-0.83%$15,073$11,526-0.88%-1.44%
20088-4.67%1.45%$14,369$11,6931.22%-9.29%
20089-4.98%-8.91%$13,654$10,651-15.35%4.11%
200810-16.25%-16.79%$11,436$8,863-16.40%-16.14%
2008111.20%-7.17%$11,572$8,227-14.83%12.57%
2008126.44%1.07%$12,317$8,3154.02%7.73%
200910.37%-8.41%$12,363$7,615-4.79%5.54%
20092-5.57%-10.66%$11,675$6,804-13.35%1.45%
200931.58%8.76%$11,859$7,4006.92%-2.54%
200944.22%9.56%$12,359$8,10713.15%-3.33%
200959.73%5.62%$13,562$8,5629.23%10.23%
20096-2.13%0.22%$13,273$8,5811.01%-5.22%
200975.44%7.58%$13,994$9,2328.36%2.38%
200982.70%3.60%$14,372$9,5645.09%0.05%
200995.38%3.72%$15,146$9,9194.99%5.84%
2009101.13%-1.87%$15,317$9,734-1.12%3.72%
2009119.35%5.98%$16,749$10,3166.22%12.79%
200912-2.39%1.95%$16,349$10,5172.26%-7.20%
20101-2.06%-3.60%$16,012$10,138-2.86%-1.26%
201023.18%3.09%$16,521$10,4513.08%3.27%
201032.98%6.01%$17,014$11,0806.47%-0.44%
201043.77%1.58%$17,655$11,2551.75%5.88%
20105-2.74%-8.01%$17,171$10,354-8.48%3.05%
20106-1.28%-5.24%$16,952$9,811-5.34%2.36%
201070.80%7.00%$17,087$10,4987.89%-5.09%
201080.77%-4.53%$17,218$10,022-4.47%5.71%
201097.00%8.92%$18,424$10,9169.62%4.78%
2010103.95%3.79%$19,152$11,3304.25%3.68%
2010110.87%0.00%$19,319$11,330-0.51%2.11%
2010124.56%6.67%$20,200$12,0857.00%2.44%
20111-1.89%2.36%$19,818$12,3702.59%-6.38%
201124.88%3.42%$20,784$12,7933.85%6.00%
201130.93%0.03%$20,977$12,7960.30%1.60%
201146.14%2.95%$22,264$13,1733.48%8.94%
20115-1.51%-1.15%$21,927$13,022-1.23%-1.79%
20116-2.08%-1.67%$21,471$12,805-1.73%-2.43%
201173.11%-2.05%$22,137$12,543-2.10%8.42%
201183.30%-5.45%$22,868$11,859-6.44%12.27%
20119-10.02%-7.04%$20,576$11,024-8.67%-11.06%
2011108.49%10.91%$22,323$12,22711.81%5.87%
2011110.62%-0.23%$22,463$12,199-0.63%1.67%
201112-5.23%1.02%$21,289$12,3231.46%-10.66%
201218.48%4.46%$23,095$12,8735.57%11.40%
201220.67%4.31%$23,249$13,4284.50%-2.96%
201231.03%3.28%$23,488$13,8683.32%-1.32%
20124-0.20%-0.64%$23,442$13,779-0.24%-0.15%
20125-6.24%-6.02%$21,979$12,950-6.15%-6.34%
201263.51%4.11%$22,751$13,4824.59%2.35%
201271.50%1.37%$23,092$13,6672.10%0.84%
201283.68%2.24%$23,942$13,9732.55%4.94%
201293.84%2.58%$24,861$14,3333.07%4.67%
201210-2.26%-1.86%$24,299$14,067-1.62%-2.94%
2012110.14%0.56%$24,333$14,1450.71%-0.47%
201212-0.66%0.90%$24,173$14,2730.96%-2.43%
201312.44%5.18%$24,764$15,0125.40%-0.51%
20132-1.67%1.34%$24,349$15,2131.55%-5.09%
201332.44%3.74%$24,943$15,7823.75%0.95%
20134-2.33%1.91%$24,361$16,0832.16%-7.56%
20135-1.58%2.33%$23,975$16,4572.00%-6.20%
20136-5.66%-1.35%$22,617$16,235-1.81%-11.06%
201375.99%5.07%$23,972$17,0585.06%7.43%
201380.14%-2.91%$24,006$16,562-3.21%5.20%
201390.22%3.12%$24,059$17,0793.82%-4.78%
2013102.72%4.59%$24,714$17,8624.75%-0.34%
201311-0.10%3.03%$24,690$18,4033.30%-5.51%
2013120.00%2.51%$24,691$18,8652.19%-3.79%
201410.10%-3.47%$24,715$18,211-3.22%3.42%
201425.60%4.56%$26,099$19,0424.88%6.27%
20143-1.30%0.82%$25,759$19,1980.69%-3.14%
201440.66%0.72%$25,930$19,3370.84%0.49%
20145-0.43%2.33%$25,820$19,7892.30%-3.05%
201464.12%2.05%$26,885$20,1951.97%6.32%
20147-2.53%-1.39%$26,204$19,915-1.40%-3.63%
201482.17%3.98%$26,773$20,7083.96%0.38%
20149-3.73%-1.41%$25,775$20,415-1.36%-6.18%
201410-0.28%2.42%$25,704$20,9102.28%-3.05%
2014111.22%2.68%$26,018$21,4712.71%-0.49%
2014120.37%-0.26%$26,113$21,414-0.43%1.31%
201512.93%-3.02%$26,879$20,768-2.82%8.69%
20152-0.26%5.74%$26,808$21,9606.05%-5.91%
20153-1.84%-1.59%$26,314$21,610-1.54%-2.15%
201540.31%0.95%$26,395$21,8150.78%-0.17%
201550.95%1.27%$26,645$22,0921.33%0.56%
20156-1.79%-1.93%$26,167$21,665-2.06%-1.52%
20157-2.25%2.08%$25,579$22,1162.01%-6.62%
20158-1.79%-6.04%$25,122$20,780-6.69%3.71%
20159-2.55%-2.49%$24,480$20,263-3.30%-1.80%
2015105.36%8.42%$25,792$21,9698.46%2.28%
201511-3.23%0.29%$24,959$22,0320.11%-6.75%
201512-1.07%-1.59%$24,691$21,681-1.62%-0.45%
20161-0.07%-4.98%$24,675$20,602-5.54%5.41%
201625.45%-0.15%$26,019$20,572-0.67%10.93%
201632.79%6.78%$26,745$21,9667.31%-0.84%
201643.08%0.37%$27,569$22,0480.75%5.11%
20165-2.50%1.78%$26,880$22,4411.87%-6.14%
201664.77%0.25%$28,162$22,4970.12%8.97%
201672.91%3.68%$28,982$23,3254.03%1.98%
20168-1.71%0.13%$28,487$23,3550.12%-3.26%
201690.43%0.01%$28,609$23,3570.13%0.69%
201610-2.39%-1.83%$27,924$22,928-1.76%-2.94%
201611-2.76%3.70%$27,153$23,7773.58%-8.36%
2016120.04%1.96%$27,164$24,2432.00%-1.91%
201713.73%1.88%$28,177$24,7002.04%5.42%
201723.59%3.96%$29,187$25,6794.00%3.18%
20173-0.15%0.10%$29,144$25,7040.14%-0.43%
201741.35%1.02%$29,537$25,9660.96%1.73%
201750.62%1.39%$29,720$26,3281.38%-0.12%
20176-0.75%0.61%$29,496$26,4890.67%-2.16%
201772.20%2.04%$30,145$27,0302.09%2.31%
201782.19%0.29%$30,804$27,1090.20%4.20%
20179-0.67%2.06%$30,597$27,6672.09%-3.37%
2017100.85%2.32%$30,857$28,3092.40%-0.75%
2017111.73%3.06%$31,391$29,1753.03%0.36%
2017121.58%1.10%$31,887$29,4961.10%2.11%
201814.49%5.71%$33,318$31,1815.74%3.23%
20182-2.96%-3.69%$32,331$30,029-3.83%-2.08%
20183-1.10%-2.56%$31,975$29,262-2.82%0.63%
20184-0.30%0.37%$31,881$29,3710.38%-0.95%
201850.53%2.39%$32,051$30,0742.29%-1.20%
20186-1.54%0.61%$31,558$30,2560.50%-3.61%
201870.83%3.71%$31,821$31,3793.73%-2.24%
201880.66%3.25%$32,031$32,3973.14%-2.14%
201890.02%0.55%$32,038$32,5770.60%-0.66%
201810-2.84%-6.85%$31,129$30,346-6.96%2.12%
2018110.99%2.03%$31,438$30,9611.59%0.34%
201812-2.58%-9.04%$30,627$28,162-9.35%4.94%
201915.62%8.00%$32,348$30,4158.35%2.89%
201921.37%3.20%$32,790$31,3893.24%-0.61%
201930.37%1.94%$32,912$31,9972.17%-1.60%
201941.86%4.04%$33,524$33,2904.08%-0.66%
20195-2.67%-6.36%$32,628$31,171-6.39%1.76%
201967.58%7.03%$35,100$33,3637.18%8.00%
201970.71%1.43%$35,350$33,8391.36%0.01%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value0.00%47.24%
Large-cap Growth12.04%52.57%
Mid-cap Value8.34%0.00%
Mid-cap Growth4.55%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets28.30%0.00%
Corporate Bonds8.57%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries31.29%0.19%
Short-Term Treasuries6.90%0.00%
R Squared61.45%99.92%
Style analysis is based on monthly returns from Apr 2005 to Jul 2019 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
PSPAXPIMCO StocksPLUS ALarge Blend0.98%50.00%$16,60343.06%
GLDSPDR Gold SharesCommodities Precious Metals0.40%50.00%$8,74756.94%

Asset Allocation

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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.78%0.78%
Arithmetic Mean (annualized)9.76%9.73%
Geometric Mean (monthly)0.72%0.70%
Geometric Mean (annualized)8.99%8.67%
Volatility (monthly)3.42%4.02%
Volatility (annualized)11.86%13.92%
Downside Deviation (monthly)2.09%2.75%
Max. Drawdown-29.07%-50.97%
US Market Correlation0.651.00
Beta(*)0.551.00
Alpha (annualized)4.19%0.00%
R242.16%100.00%
Sharpe Ratio0.680.58
Sortino Ratio1.100.83
Treynor Ratio (%)14.628.07
Calmar Ratio0.850.97
Active Return0.32%N/A
Tracking Error10.96%N/A
Information Ratio0.03N/A
Skewness-0.50-0.80
Excess Kurtosis3.262.05
Historical Value-at-Risk (5%)-4.38%-7.06%
Analytical Value-at-Risk (5%)-4.87%-5.83%
Conditional Value-at-Risk (5%)-7.33%-9.68%
Upside Capture Ratio (%)61.15100.00
Downside Capture Ratio (%)43.29100.00
Safe Withdrawal Rate10.62%8.36%
Perpetual Withdrawal Rate6.25%5.97%
Positive Periods109 out of 176 (61.93%)120 out of 176 (68.18%)
Gain/Loss Ratio1.150.76
* Vanguard 500 Index Investor 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 1Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-29.07%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsNov 20091 year 1 month1 year 9 months-29.07%
2Sep 2011Sep 20111 monthJan 20124 months5 months-10.02%
3Apr 2013Jun 20133 monthsFeb 20148 months11 months-9.32%
4Jul 2014Sep 20151 year 3 monthsApr 20167 months1 year 10 months-8.94%
5Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.08%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.43%
7Aug 2016Nov 20164 monthsFeb 20173 months7 months-6.31%
8May 2006Jun 20062 monthsNov 20065 months7 months-4.75%
9Dec 2009Jan 20102 monthsMar 20102 months4 months-4.40%
10May 2010Jun 20102 monthsSep 20103 months5 months-3.98%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4May 2019May 20191 monthJun 20191 month2 months-6.36%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
7Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PSPAXPIMCO StocksPLUS A8.53%15.59%41.44%-45.60%-57.23%0.520.740.98
GLDSPDR Gold Shares7.66%17.48%30.45%-28.33%-42.91%0.440.700.04

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSPAXGLDPortfolio 1Vanguard 500 Index Investor
PSPAXPIMCO StocksPLUS A-0.030.650.98
GLDSPDR Gold Shares0.03-0.770.04

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
PSPAXPIMCO StocksPLUS A$16,603
GLDSPDR Gold Shares$8,747

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
PSPAXPIMCO StocksPLUS A43.06%
GLDSPDR Gold Shares56.94%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year9.12%32.73%-20.34%8.85%32.18%-37.02%
3 years8.54%20.01%0.71%8.04%20.22%-8.44%
5 years8.66%14.92%4.10%8.77%17.81%-0.33%
7 years8.82%11.84%5.33%9.15%14.67%2.54%
10 years8.61%10.05%7.51%8.58%12.97%6.82%
Result statistics are based on annualized rolling returns over full calendar year periods