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 
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Asset 6
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Portfolio Analysis Results (Jun 2007 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VNQ Vanguard Real Estate ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
REZ iShares Residential&Multisector RE ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$266,688 51.64% 4.19%7.14%23.69%30.36%-37.00%-66.57%
(-36.56%)
0.260.370.74
Portfolio 2$1,000$278,931 52.15% 5.06%7.76%21.79%35.19%-25.29%-63.39%
(-35.52%)
0.310.410.65
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 1-5.18%-15.39%-15.86%1.66%3.39%7.65%4.19%
Portfolio 2-1.77%-17.92%-22.34%1.93%3.84%8.30%5.06%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
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 2007 are based on monthly returns from June to December
  • The annual results for 2020 are based on monthly returns from January to October
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Real Estate ETF (VNQ)iShares Residential&Multisector RE ETF (REZ)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20071.00%-19.04%-25.29%$7,254$6,908$7,000-19.04%-25.29%
20080.09%-37.00%-24.81%$13,214$14,269$12,000-37.00%-24.81%
20092.72%30.08%20.75%$33,844$33,319$12,00030.08%20.75%
20101.50%28.37%31.55%$57,090$57,517$12,00028.37%31.55%
20112.96%8.62%16.03%$74,199$79,370$12,0008.62%16.03%
20121.74%17.63%13.16%$99,818$102,325$12,00017.63%13.16%
20131.50%2.31%-3.48%$113,745$109,933$12,0002.31%-3.48%
20140.76%30.36%35.19%$161,661$162,128$12,00030.36%35.19%
20150.73%2.42%11.37%$177,907$193,453$12,0002.42%11.37%
20162.07%8.60%3.17%$205,438$211,623$12,0008.60%3.17%
20172.11%4.91%3.91%$227,801$231,847$12,0004.91%3.91%
20181.91%-6.02%3.94%$225,753$253,465$12,000-6.02%3.94%
20192.29%28.87%24.47%$303,702$327,918$12,00028.87%24.47%
20201.29%-15.39%-17.92%$266,688$278,931$10,000-15.39%-17.92%
Annual returns for 2007 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Real Estate ETF (VNQ)iShares Residential&Multisector RE ETF (REZ)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20076-8.99%-5.10%$1,910$1,949-8.99%-5.10%
20077-8.26%-11.67%$2,752$2,722-8.26%-11.67%
200786.74%2.20%$3,938$3,7826.74%2.20%
200793.90%5.90%$5,091$5,0043.90%5.90%
2007102.10%-1.42%$6,198$5,9332.10%-1.42%
200711-9.47%-12.20%$6,611$6,209-9.47%-12.20%
200712-5.41%-4.85%$7,254$6,908-5.41%-4.85%
20081-0.78%4.80%$8,197$8,240-0.78%4.80%
20082-3.18%0.22%$8,936$9,258-3.18%0.22%
200836.48%6.29%$10,516$10,8416.48%6.29%
200846.38%3.26%$12,187$12,1956.38%3.26%
20085-0.21%-0.76%$13,161$13,103-0.21%-0.76%
20086-10.62%-10.13%$12,764$12,776-10.62%-10.13%
200873.12%10.53%$14,161$15,1213.12%10.53%
200882.37%0.02%$15,498$16,1252.37%0.02%
20089-0.11%0.17%$16,480$17,153-0.11%0.17%
200810-31.73%-26.54%$12,251$13,601-31.73%-26.54%
200811-22.72%-14.04%$10,468$12,691-22.72%-14.04%
20081216.67%4.55%$13,214$14,26916.67%4.55%
20091-17.53%-14.33%$11,897$13,223-17.53%-14.33%
20092-20.53%-23.93%$10,455$11,059-20.53%-23.93%
200933.61%5.29%$11,832$12,6443.61%5.29%
2009430.68%20.08%$16,463$16,18330.68%20.08%
200952.62%4.99%$17,894$17,9912.62%4.99%
20096-3.23%-2.95%$18,316$18,460-3.23%-2.95%
2009710.77%10.53%$21,288$21,40410.77%10.53%
2009814.32%10.93%$25,338$24,74414.32%10.93%
200996.63%6.27%$28,018$27,2966.63%6.27%
200910-4.46%-2.09%$27,768$27,727-4.46%-2.09%
2009116.57%6.25%$30,591$30,4596.57%6.25%
2009127.37%6.11%$33,844$33,3197.37%6.11%
20101-5.52%-4.75%$32,976$32,736-5.52%-4.75%
201025.58%4.75%$35,817$35,2915.58%4.75%
2010310.18%8.73%$40,465$39,37210.18%8.73%
201047.15%8.51%$44,358$43,7257.15%8.51%
20105-5.33%-2.13%$42,992$43,791-5.33%-2.13%
20106-5.19%-4.64%$41,759$42,759-5.19%-4.64%
201079.59%9.43%$46,765$47,7899.59%9.43%
20108-1.28%0.14%$47,169$48,854-1.28%0.14%
201094.45%2.88%$50,266$51,2604.45%2.88%
2010104.74%3.93%$53,649$54,2764.74%3.93%
201011-1.85%-2.32%$53,656$54,019-1.85%-2.32%
2010124.54%4.62%$57,090$57,5174.54%4.62%
201113.25%2.97%$59,946$60,2253.25%2.97%
201124.71%4.71%$63,767$64,0614.71%4.71%
20113-1.62%-0.56%$63,736$64,702-1.62%-0.56%
201145.75%5.54%$68,399$69,2885.75%5.54%
201151.37%0.84%$70,339$70,8681.37%0.84%
20116-3.30%-2.81%$69,019$69,877-3.30%-2.81%
201171.56%3.31%$71,098$73,1871.56%3.31%
20118-5.62%0.00%$68,103$74,187-5.62%0.00%
20119-10.85%-11.90%$61,715$66,361-10.85%-11.90%
20111014.29%12.51%$71,535$75,66114.29%12.51%
201111-3.80%-3.71%$69,816$73,852-3.80%-3.71%
2011124.85%6.12%$74,199$79,3704.85%6.12%
201216.38%4.23%$79,932$83,7276.38%4.23%
20122-1.15%-3.73%$80,012$81,602-1.15%-3.73%
201235.19%5.49%$85,165$87,0835.19%5.49%
201242.86%2.35%$88,600$90,1282.86%2.35%
20125-4.51%-2.74%$85,608$88,661-4.51%-2.74%
201265.52%4.87%$91,335$93,9775.52%4.87%
201272.00%4.64%$94,163$99,3342.00%4.64%
20128-0.01%-2.72%$95,149$97,630-0.01%-2.72%
20129-1.86%-3.05%$94,379$95,655-1.86%-3.05%
201210-0.91%0.87%$94,522$97,488-0.91%0.87%
201211-0.26%-0.46%$95,273$98,037-0.26%-0.46%
2012123.72%3.35%$99,818$102,3253.72%3.35%
201313.74%2.74%$104,550$106,1323.74%2.74%
201321.22%1.43%$106,821$108,6461.22%1.43%
201332.87%2.97%$110,885$112,8712.87%2.97%
201346.73%6.01%$119,352$120,6556.73%6.01%
20135-5.98%-6.04%$113,218$114,373-5.98%-6.04%
20136-1.98%0.43%$111,979$115,867-1.98%0.43%
201370.90%-1.15%$113,989$115,5310.90%-1.15%
20138-6.98%-7.49%$107,032$107,876-6.98%-7.49%
201393.49%3.40%$111,766$112,5433.49%3.40%
2013104.52%3.90%$117,819$117,9314.52%3.90%
201311-5.25%-7.93%$112,632$109,584-5.25%-7.93%
2013120.10%-0.59%$113,745$109,9330.10%-0.59%
201414.28%6.69%$119,608$118,2934.28%6.69%
201425.07%4.22%$126,667$124,2825.07%4.22%
201430.49%0.71%$128,288$126,1650.49%0.71%
201443.29%4.40%$133,503$132,7113.29%4.40%
201452.40%2.07%$137,706$136,4542.40%2.07%
201461.13%0.87%$140,267$138,6471.13%0.87%
201470.08%0.66%$141,379$140,5570.08%0.66%
201483.04%3.35%$146,683$146,2703.04%3.35%
20149-6.04%-7.03%$138,826$136,983-6.04%-7.03%
2014109.94%11.83%$153,622$154,1929.94%11.83%
2014112.00%2.34%$157,694$158,8052.00%2.34%
2014121.88%1.46%$161,661$162,1281.88%1.46%
201516.85%8.18%$173,738$176,3946.85%8.18%
20152-3.67%-3.86%$168,355$170,585-3.67%-3.86%
201531.74%2.26%$172,288$175,4351.74%2.26%
20154-5.85%-5.21%$163,214$167,289-5.85%-5.21%
20155-0.30%0.17%$163,720$168,573-0.30%0.17%
20156-4.68%-4.21%$157,066$162,478-4.68%-4.21%
201575.77%7.10%$167,129$175,0225.77%7.10%
20158-6.29%-4.95%$157,615$167,358-6.29%-4.95%
201593.05%4.88%$163,428$176,5263.05%4.88%
2015105.76%1.69%$173,839$180,5035.76%1.69%
201511-0.63%2.07%$173,751$185,246-0.63%2.07%
2015121.82%3.89%$177,907$193,4531.82%3.89%
20161-3.44%-3.17%$172,793$188,324-3.44%-3.17%
20162-0.36%-1.63%$173,165$186,259-0.36%-1.63%
2016310.48%10.90%$192,306$207,56410.48%10.90%
20164-2.35%-5.02%$188,786$198,152-2.35%-5.02%
201652.25%3.70%$194,031$206,4872.25%3.70%
201666.92%4.76%$208,467$217,3186.92%4.76%
201674.26%1.70%$218,354$222,0204.26%1.70%
20168-3.76%-3.57%$211,135$215,097-3.76%-3.57%
20169-1.82%-0.21%$208,302$215,637-1.82%-0.21%
201610-5.74%-4.55%$197,343$206,829-5.74%-4.55%
201611-1.68%-4.75%$195,036$198,007-1.68%-4.75%
2016124.82%6.37%$205,438$211,6234.82%6.37%
20171-0.19%-1.74%$206,040$208,937-0.19%-1.74%
201723.51%6.04%$214,269$222,5563.51%6.04%
20173-2.42%-1.40%$210,077$220,445-2.42%-1.40%
201740.24%0.73%$211,585$223,0500.24%0.73%
20175-0.72%1.43%$211,052$227,241-0.72%1.43%
201762.23%1.75%$216,757$232,2272.23%1.75%
201771.24%0.11%$220,439$233,4771.24%0.11%
20178-0.26%-0.26%$220,864$233,868-0.26%-0.26%
20179-0.11%-1.27%$221,628$231,891-0.11%-1.27%
201710-1.07%-1.04%$220,254$230,485-1.07%-1.04%
2017112.66%1.16%$227,122$234,1582.66%1.16%
201712-0.14%-1.41%$227,801$231,847-0.14%-1.41%
20181-4.25%-5.37%$219,110$220,406-4.25%-5.37%
20182-7.68%-6.94%$203,287$206,101-7.68%-6.94%
201833.88%6.25%$212,174$219,9793.88%6.25%
201840.82%0.71%$214,917$222,5440.82%0.71%
201853.68%4.34%$223,825$233,2033.68%4.34%
201864.20%5.04%$234,230$245,9544.20%5.04%
201870.60%-0.30%$236,639$246,2120.60%-0.30%
201882.58%3.82%$243,733$256,6132.58%3.82%
20189-2.64%-2.73%$238,299$250,614-2.64%-2.73%
201810-2.93%-0.35%$232,328$250,737-2.93%-0.35%
2018114.67%6.80%$244,185$268,7814.67%6.80%
201812-7.96%-6.07%$225,753$253,465-7.96%-6.07%
2019111.85%10.88%$253,515$282,03111.85%10.88%
201920.70%-0.71%$256,278$281,0320.70%-0.71%
201934.21%3.81%$268,065$292,7324.21%3.81%
20194-0.16%-1.07%$268,634$290,585-0.16%-1.07%
201950.14%3.80%$270,005$302,6370.14%3.80%
201961.54%1.11%$275,169$307,0111.54%1.11%
201971.70%1.69%$280,860$313,1891.70%1.69%
201983.75%6.95%$292,381$335,9423.75%6.95%
201991.93%0.87%$299,021$339,8791.93%0.87%
2019101.13%1.07%$303,388$344,5141.13%1.07%
201911-1.30%-3.59%$300,431$333,161-1.30%-3.59%
2019120.76%-1.87%$303,702$327,9180.76%-1.87%
202011.23%3.62%$308,434$340,8001.23%3.62%
20202-7.03%-7.37%$287,761$316,700-7.03%-7.37%
20203-19.42%-22.92%$232,886$245,120-19.42%-22.92%
202048.96%5.89%$254,758$260,5528.96%5.89%
202051.73%3.03%$260,176$269,4421.73%3.03%
202062.41%0.52%$267,452$271,8542.41%0.52%
202073.64%2.98%$278,193$280,9523.64%2.98%
202080.44%1.60%$280,423$286,4470.44%1.60%
20209-2.68%-2.24%$273,909$281,019-2.68%-2.24%
202010-3.00%-1.10%$266,688$278,931-3.00%-1.10%
* End-of-month balance includes the monthly contribution/withdrawal

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VNQVanguard Real Estate ETFReal Estate100.00%0.12%30.15$104,688100.00%

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
REZiShares Residential&Multisector RE ETFReal Estate100.00%0.48%29.36$116,931100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/27/2020. (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)0.59%0.62%
Arithmetic Mean (annualized)7.26%7.69%
Geometric Mean (monthly)0.34%0.41%
Geometric Mean (annualized)4.19%5.06%
Volatility (monthly)6.84%6.29%
Volatility (annualized)23.69%21.79%
Downside Deviation (monthly)4.93%4.67%
Max. Drawdown-66.57%-63.39%
US Market Correlation0.740.65
Beta(*)1.090.88
Alpha (annualized)-2.82%-0.52%
R254.93%42.34%
Sharpe Ratio0.260.31
Sortino Ratio0.370.41
Treynor Ratio (%)5.767.59
Calmar Ratio0.070.06
Active Return-3.81%-2.95%
Tracking Error15.97%16.66%
Information Ratio-0.24-0.18
Skewness-0.66-1.14
Excess Kurtosis5.834.03
Historical Value-at-Risk (5%)-9.42%-11.51%
Analytical Value-at-Risk (5%)-10.66%-9.73%
Conditional Value-at-Risk (5%)-17.86%-17.19%
Upside Capture Ratio (%)89.6069.33
Downside Capture Ratio (%)106.2977.00
Safe Withdrawal Rate7.38%7.86%
Perpetual Withdrawal Rate2.48%3.31%
Positive Periods94 out of 161 (58.39%)97 out of 161 (60.25%)
Gain/Loss Ratio0.920.85
* 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 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-64.64%-59.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20123 years 1 month4 years 10 months-66.57%
2Feb 2020Mar 20202 months-25.08%
3Aug 2016Feb 20181 year 7 monthsJan 201911 months2 years 6 months-14.88%
4May 2013Aug 20134 monthsApr 20148 months1 year-13.50%
5Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-13.08%
6Sep 2014Sep 20141 monthOct 20141 month2 months-6.04%
7May 2012May 20121 monthJun 20121 month2 months-4.51%
8Aug 2012Nov 20124 monthsDec 20121 month5 months-3.02%
9Apr 2016Apr 20161 monthJun 20162 months3 months-2.35%
10Nov 2019Nov 20191 monthJan 20202 months3 months-1.30%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-63.39%
2Nov 2019Mar 20205 months-30.00%
3May 2013Dec 20138 monthsMay 20145 months1 year 1 month-15.15%
4Aug 2016Feb 20181 year 7 monthsAug 20186 months2 years 1 month-14.84%
5Sep 2011Sep 20111 monthDec 20113 months4 months-11.90%
6Feb 2015Jun 20155 monthsDec 20156 months11 months-10.59%
7Sep 2014Sep 20141 monthOct 20141 month2 months-7.03%
8Dec 2018Dec 20181 monthJan 20191 month2 months-6.07%
9Aug 2012Sep 20122 monthsJan 20134 months6 months-5.69%
10Apr 2016Apr 20161 monthJun 20162 months3 months-5.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VNQVanguard Real Estate ETF4.19%23.69%30.36%-37.00%-66.57%0.260.370.74
REZiShares Residential&Multisector RE ETF5.06%21.79%35.19%-25.29%-63.39%0.310.410.65

Monthly Correlations

Correlations for the portfolio assets
TickerNameVNQREZPortfolio 1Portfolio 2
VNQVanguard Real Estate ETF1.000.941.000.94
REZiShares Residential&Multisector RE ETF0.941.000.941.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VNQVanguard Real Estate ETF$104,688
REZiShares Residential&Multisector RE ETF$116,931

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VNQVanguard Real Estate ETF100.00%
REZiShares Residential&Multisector RE ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.93%30.36%-37.00%11.27%35.19%-24.81%
3 years10.72%21.95%1.70%12.00%22.61%3.67%
5 years10.91%16.95%6.09%12.04%17.65%9.09%
7 years11.10%16.51%8.06%12.14%17.16%9.04%
10 years10.55%12.05%7.66%11.86%13.29%9.34%
Result statistics are based on annualized rolling returns over full calendar year periods