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 Analysis Results (Jul 2018 - Dec 2020)

Portfolio Allocations

iShares Aaa - A Rated Corporate Bond
Ticker Name Allocation
QLTA iShares Aaa - A Rated Corporate Bond ETF 100.00%
Save portfolio »
BBH Income
Ticker Name Allocation
BBNIX BBH Income I 100.00%
Save portfolio »
Janus Henderson Flexible Bond
Ticker Name Allocation
JANFX Janus Henderson Flexible Bond D 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
iShares Aaa - A Rated Corporate Bond$10,000$12,482 9.27% 4.98%12.54%1.17%-2.73% 1.523.460.35
BBH Income$10,000$12,335 8.76% 5.09%11.21%1.51%-4.75% 1.382.210.44
Janus Henderson Flexible Bond$10,000$12,219 8.35% 4.46%10.80%0.73%-3.30% 1.492.830.48
Vanguard LifeStrategy Income Inv$10,000$12,156 8.12% 5.00%12.05%-0.58%-4.31% 1.292.180.84
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
iShares Aaa - A Rated Corporate Bond1.95%9.62%9.27%
BBH Income2.66%11.21%8.76%
Janus Henderson Flexible Bond2.22%10.80%8.35%
Vanguard LifeStrategy Income Inv3.67%9.13%8.12%
Trailing annualized returns are for full months ending in December 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 2018 are based on monthly returns from July 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 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
YearInflationiShares Aaa - A Rated Corporate BondBBH IncomeJanus Henderson Flexible BondVanguard LifeStrategy Income InviShares Aaa - A Rated Corporate Bond ETF (QLTA)BBH Income I (BBNIX)Janus Henderson Flexible Bond D (JANFX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2018-0.30%1.17%$10,1171.51%$10,1510.73%$10,073-0.58%$9,9421.17%1.51%0.73%
20192.29%12.54%$11,3869.27%$11,0929.48%$11,02812.05%$11,13912.54%9.27%9.48%
20201.36%9.62%$12,48211.21%$12,33510.80%$12,2199.13%$12,1569.62%11.21%10.80%
Annual return for 2018 is from 07/01/2018 to 12/31/2018
Monthly returns for the configured portfolios
YearMonthiShares Aaa - A Rated Corporate Bond ReturnBBH Income ReturnJanus Henderson Flexible Bond ReturnVanguard LifeStrategy Income Inv ReturniShares Aaa - A Rated Corporate Bond ETF (QLTA)BBH Income I (BBNIX)Janus Henderson Flexible Bond D (JANFX)
201871.01%-0.28%0.14%0.59%1.01%-0.28%0.14%
201880.12%0.95%0.59%0.52%0.12%0.95%0.59%
20189-0.38%-0.79%-0.45%-0.30%-0.38%-0.79%-0.45%
201810-1.31%-0.44%-0.92%-1.95%-1.31%-0.44%-0.92%
201811-0.14%0.57%0.30%0.73%-0.14%0.57%0.30%
2018121.89%1.52%1.08%-0.15%1.89%1.52%1.08%
201912.38%1.20%1.16%2.42%2.38%1.20%1.16%
201920.02%0.20%0.06%0.53%0.02%0.20%0.06%
201932.29%1.90%1.86%1.85%2.29%1.90%1.86%
20194-0.07%0.31%-0.03%0.71%-0.07%0.31%-0.03%
201951.65%1.87%1.47%0.06%1.65%1.87%1.47%
201962.26%1.16%1.52%2.27%2.26%1.16%1.52%
201970.19%0.21%0.45%0.50%0.19%0.21%0.45%
201983.34%2.67%2.48%1.63%3.34%2.67%2.48%
20199-0.80%-0.57%-0.34%0.03%-0.80%-0.57%-0.34%
2019100.27%0.18%0.24%0.50%0.27%0.18%0.24%
2019110.34%-0.14%0.14%0.49%0.34%-0.14%0.14%
2019120.08%-0.03%0.13%0.48%0.08%-0.03%0.13%
202012.16%2.10%1.94%1.36%2.16%2.10%1.94%
202021.31%1.67%1.43%-0.37%1.31%1.67%1.43%
20203-2.08%-4.75%-3.30%-3.96%-2.08%-4.75%-3.30%
202042.82%2.95%3.57%3.51%2.82%2.95%3.57%
202051.32%1.73%1.61%1.36%1.32%1.73%1.61%
202061.34%1.79%1.58%1.18%1.34%1.79%1.58%
202072.59%2.36%2.20%2.12%2.59%2.36%2.20%
20208-1.71%0.10%-0.61%0.47%-1.71%0.10%-0.61%
20209-0.34%0.29%-0.16%-0.35%-0.34%0.29%-0.16%
202010-0.70%-0.26%-0.23%-0.65%-0.70%-0.26%-0.23%
2020112.69%2.23%1.79%3.11%2.69%2.23%1.79%
202012-0.02%0.69%0.66%1.21%-0.02%0.69%0.66%

Holdings Based Style Analysis for iShares Aaa - A Rated Corporate Bond

Holdings Based Style Analysis for iShares Aaa - A Rated Corporate Bond
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
QLTAiShares Aaa - A Rated Corporate Bond ETFCorporate Bond100.00%1.35%0.15%8.42$2,482100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for BBH Income

Holdings Based Style Analysis for BBH Income
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
BBNIXBBH Income IIntermediate Core-Plus Bond100.00%2.85%0.50%6.18$2,335100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Janus Henderson Flexible Bond

Holdings Based Style Analysis for Janus Henderson Flexible Bond
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
JANFXJanus Henderson Flexible Bond DIntermediate Core-Plus Bond100.00%1.14%0.59%6.40$2,219100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/26/2021. (c) 2021 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
MetriciShares Aaa - A Rated Corporate BondBBH IncomeJanus Henderson Flexible BondVanguard LifeStrategy Income Inv
Arithmetic Mean (monthly)0.75%0.71%0.68%0.66%
Arithmetic Mean (annualized)9.40%8.89%8.45%8.25%
Geometric Mean (monthly)0.74%0.70%0.67%0.65%
Geometric Mean (annualized)9.27%8.76%8.35%8.12%
Volatility (monthly)1.44%1.47%1.29%1.44%
Volatility (annualized)4.98%5.09%4.46%5.00%
Downside Deviation (monthly)0.59%0.89%0.65%0.82%
Max. Drawdown-2.73%-4.75%-3.30%-4.31%
US Market Correlation0.350.440.480.84
Beta(*)0.770.830.761.00
Alpha (annualized)2.88%1.94%2.09%-0.00%
R259.89%66.51%72.48%100.00%
Sharpe Ratio1.521.381.491.29
Sortino Ratio3.462.212.832.18
Treynor Ratio (%)9.818.558.816.51
Active Return1.15%0.64%0.23%N/A
Tracking Error3.36%3.06%2.63%N/A
Information Ratio0.340.210.09N/A
Skewness-0.03-1.60-0.56-0.85
Excess Kurtosis-0.885.462.202.89
Historical Value-at-Risk (5%)-1.53%-0.69%-0.78%-1.37%
Analytical Value-at-Risk (5%)-1.62%-1.70%-1.44%-1.71%
Conditional Value-at-Risk (5%)-1.90%-2.77%-2.11%-2.95%
Upside Capture Ratio (%)86.4986.7782.12100.00
Downside Capture Ratio (%)21.4437.5833.98100.00
Safe Withdrawal Rate36.91%36.50%36.23%36.12%
Perpetual Withdrawal Rate6.09%5.72%5.42%5.26%
Positive Periods20 out of 30 (66.67%)22 out of 30 (73.33%)22 out of 30 (73.33%)23 out of 30 (76.67%)
Gain/Loss Ratio1.991.431.591.09
* Vanguard LifeStrategy Income Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for iShares Aaa - A Rated Corporate Bond

Drawdowns for iShares Aaa - A Rated Corporate Bond
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2020Oct 20203 months-2.73%
2Mar 2020Mar 20201 monthApr 20201 month2 months-2.08%
3Sep 2018Nov 20183 monthsDec 20181 month4 months-1.82%
4Sep 2019Sep 20191 monthJan 20204 months5 months-0.80%
5Apr 2019Apr 20191 monthMay 20191 month2 months-0.07%

Drawdowns for BBH Income

Drawdowns for BBH Income
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthJun 20203 months4 months-4.75%
2Sep 2018Oct 20182 monthsDec 20182 months4 months-1.22%
3Sep 2019Sep 20191 monthJan 20204 months5 months-0.57%
4Jul 2018Jul 20181 monthAug 20181 month2 months-0.28%
5Oct 2020Oct 20201 monthNov 20201 month2 months-0.26%

Drawdowns for Janus Henderson Flexible Bond

Drawdowns for Janus Henderson Flexible Bond
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthApr 20201 month2 months-3.30%
2Sep 2018Oct 20182 monthsJan 20193 months5 months-1.37%
3Aug 2020Oct 20203 monthsNov 20201 month4 months-0.99%
4Sep 2019Sep 20191 monthNov 20192 months3 months-0.34%
5Apr 2019Apr 20191 monthMay 20191 month2 months-0.03%

Drawdowns for Vanguard LifeStrategy Income Inv

Drawdowns for Vanguard LifeStrategy Income Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-4.31%
2Sep 2018Oct 20182 monthsJan 20193 months5 months-2.24%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-1.00%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QLTAiShares Aaa - A Rated Corporate Bond ETF9.27%4.98%12.54%1.17%-2.73%1.523.460.35
BBNIXBBH Income I8.76%5.09%11.21%1.51%-4.75%1.382.210.44
JANFXJanus Henderson Flexible Bond D8.35%4.46%10.80%0.73%-3.30%1.492.830.48

Monthly Correlations

Correlations for the portfolio assets
TickerNameQLTABBNIXJANFXiShares Aaa - A Rated Corporate BondBBH IncomeJanus Henderson Flexible BondVanguard LifeStrategy Income Inv
QLTAiShares Aaa - A Rated Corporate Bond ETF1.000.840.911.000.840.910.77
BBNIXBBH Income I0.841.000.960.841.000.960.82
JANFXJanus Henderson Flexible Bond D0.910.961.000.910.961.000.85

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameiShares Aaa - A Rated Corporate BondBBH IncomeJanus Henderson Flexible Bond
QLTAiShares Aaa - A Rated Corporate Bond ETF$2,482
BBNIXBBH Income I$2,335
JANFXJanus Henderson Flexible Bond D$2,219

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameiShares Aaa - A Rated Corporate BondBBH IncomeJanus Henderson Flexible Bond
QLTAiShares Aaa - A Rated Corporate Bond ETF100.00%
BBNIXBBH Income I100.00%
JANFXJanus Henderson Flexible Bond D100.00%

Annual Asset Returns