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 (Jun 2011 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPHB Invesco S&P 500 High Beta ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$26,504 10.71% 24.16%40.68%-22.62%-36.22% 0.520.800.93
Portfolio 2$10,000$33,583 13.47% 13.77%32.18%-5.37%-19.63% 0.941.531.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 137.27%25.03%12.22%16.02%10.71%32.02%27.05%
Portfolio 212.12%18.25%14.03%15.07%13.47%18.80%15.26%
Trailing annualized return and volatility 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 2011 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 results assume bands based (5.00% absolute, 25.00% relative) 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 1Portfolio 2Invesco S&P 500 High Beta ETF (SPHB)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
2011-0.13%-22.62%$7,738-5.37%$9,463-22.62%-5.37%
20121.74%17.93%$9,12515.82%$10,96017.93%15.82%
20131.50%40.68%$12,83732.18%$14,48740.68%32.18%
20140.76%12.68%$14,46413.51%$16,44412.68%13.51%
20150.73%-12.83%$12,6091.25%$16,649-12.83%1.25%
20162.07%26.23%$15,91611.82%$18,61726.23%11.82%
20172.11%17.85%$18,75621.67%$22,65017.85%21.67%
20181.91%-15.54%$15,842-4.52%$21,626-15.54%-4.52%
20192.29%33.81%$21,19831.33%$28,40033.81%31.33%
20201.36%25.03%$26,50418.25%$33,58325.03%18.25%
Annual return for 2011 is from 06/01/2011 to 12/31/2011
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnInvesco S&P 500 High Beta ETF (SPHB)Vanguard 500 Index Investor (VFINX)
20116-4.29%-1.67%-4.29%-1.67%
20117-3.90%-2.05%-3.90%-2.05%
20118-13.56%-5.45%-13.56%-5.45%
20119-14.81%-7.04%-14.81%-7.04%
20111019.08%10.91%19.08%10.91%
201111-1.63%-0.23%-1.63%-0.23%
201112-2.48%1.02%-2.48%1.02%
2012110.77%4.46%10.77%4.46%
201225.00%4.31%5.00%4.31%
201230.51%3.28%0.51%3.28%
20124-3.24%-0.64%-3.24%-0.64%
20125-13.17%-6.02%-13.17%-6.02%
201263.93%4.11%3.93%4.11%
20127-0.42%1.37%-0.42%1.37%
201285.06%2.24%5.06%2.24%
201293.74%2.58%3.74%2.58%
201210-1.26%-1.86%-1.26%-1.86%
2012111.81%0.56%1.81%0.56%
2012125.88%0.90%5.88%0.90%
201317.66%5.18%7.66%5.18%
20132-1.78%1.34%-1.78%1.34%
201333.32%3.74%3.32%3.74%
20134-0.38%1.91%-0.38%1.91%
201357.01%2.33%7.01%2.33%
20136-2.49%-1.35%-2.49%-1.35%
201375.52%5.07%5.52%5.07%
20138-2.18%-2.91%-2.18%-2.91%
201395.64%3.12%5.64%3.12%
2013105.59%4.59%5.59%4.59%
2013113.05%3.03%3.05%3.03%
2013124.39%2.51%4.39%2.51%
20141-3.66%-3.47%-3.66%-3.47%
201425.70%4.56%5.70%4.56%
201430.23%0.82%0.23%0.82%
201440.16%0.72%0.16%0.72%
201452.25%2.33%2.25%2.33%
201464.63%2.05%4.63%2.05%
20147-2.86%-1.39%-2.86%-1.39%
201485.51%3.98%5.51%3.98%
20149-2.64%-1.41%-2.64%-1.41%
2014102.53%2.42%2.53%2.42%
2014111.23%2.68%1.23%2.68%
201412-0.52%-0.26%-0.52%-0.26%
20151-4.51%-3.02%-4.51%-3.02%
201527.52%5.74%7.52%5.74%
20153-1.98%-1.59%-1.98%-1.59%
201542.71%0.95%2.71%0.95%
20155-1.45%1.27%-1.45%1.27%
20156-2.99%-1.93%-2.99%-1.93%
20157-4.11%2.08%-4.11%2.08%
20158-5.07%-6.05%-5.07%-6.05%
20159-6.43%-2.48%-6.43%-2.48%
20151010.37%8.42%10.37%8.42%
2015110.41%0.29%0.41%0.29%
201512-6.55%-1.59%-6.55%-1.59%
20161-12.30%-4.98%-12.30%-4.98%
201620.16%-0.15%0.16%-0.15%
2016312.02%6.78%12.02%6.78%
201646.56%0.37%6.56%0.37%
20165-0.03%1.78%-0.03%1.78%
20166-4.04%0.25%-4.04%0.25%
201676.27%3.68%6.27%3.68%
201683.40%0.13%3.40%0.13%
201692.06%0.01%2.06%0.01%
201610-1.73%-1.83%-1.73%-1.83%
20161112.88%3.70%12.88%3.70%
2016120.88%1.96%0.88%1.96%
201711.97%1.88%1.97%1.88%
201721.23%3.96%1.23%3.96%
20173-0.35%0.10%-0.35%0.10%
20174-1.38%1.02%-1.38%1.02%
20175-1.59%1.39%-1.59%1.39%
201762.51%0.61%2.51%0.61%
201772.61%2.04%2.61%2.04%
20178-2.83%0.29%-2.83%0.29%
201796.83%2.06%6.83%2.06%
2017101.75%2.32%1.75%2.32%
2017113.56%3.06%3.56%3.06%
2017122.61%1.10%2.61%1.10%
201815.88%5.71%5.88%5.71%
20182-3.78%-3.69%-3.78%-3.69%
20183-1.57%-2.56%-1.57%-2.56%
20184-1.29%0.37%-1.29%0.37%
201854.72%2.39%4.72%2.39%
20186-1.60%0.61%-1.60%0.61%
201872.91%3.71%2.91%3.71%
201882.33%3.25%2.33%3.25%
20189-0.36%0.55%-0.36%0.55%
201810-12.88%-6.85%-12.88%-6.85%
2018111.97%2.03%1.97%2.03%
201812-11.16%-9.04%-11.16%-9.04%
2019112.95%8.00%12.95%8.00%
201923.86%3.20%3.86%3.20%
201930.41%1.94%0.41%1.94%
201946.23%4.04%6.23%4.04%
20195-11.68%-6.36%-11.68%-6.36%
2019610.27%7.03%10.27%7.03%
201970.37%1.43%0.37%1.43%
20198-5.89%-1.59%-5.89%-1.59%
201992.64%1.86%2.64%1.86%
2019102.39%2.15%2.39%2.15%
2019114.70%3.62%4.70%3.62%
2019125.63%3.01%5.63%3.01%
20201-4.07%-0.05%-4.07%-0.05%
20202-9.21%-8.24%-9.21%-8.24%
20203-26.77%-12.37%-26.77%-12.37%
2020419.31%12.81%19.31%12.81%
202059.15%4.76%9.15%4.76%
202065.63%1.98%5.63%1.98%
202072.22%5.63%2.22%5.63%
202086.92%7.18%6.92%7.18%
20209-5.01%-3.81%-5.01%-3.81%
2020101.76%-2.67%1.76%-2.67%
20201125.90%10.94%25.90%10.94%
2020127.14%3.84%7.14%3.84%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%44.96%
Large-cap Growth0.00%54.86%
Mid-cap Value39.07%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value50.21%0.18%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets10.73%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared87.87%99.94%
Style analysis is based on monthly returns from June 2011 to December 2020 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPHBInvesco S&P 500 High Beta ETFLarge Blend100.00%1.77%0.25%20.63$16,504100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%1.40%0.14%27.41$23,583100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 03/05/2021. (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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.10%1.14%
Arithmetic Mean (annualized)13.96%14.54%
Geometric Mean (monthly)0.85%1.06%
Geometric Mean (annualized)10.71%13.47%
Volatility (monthly)6.98%3.98%
Volatility (annualized)24.16%13.77%
Downside Deviation (monthly)4.52%2.42%
Max. Drawdown-36.22%-19.63%
US Market Correlation0.931.00
Beta(*)1.570.96
Alpha (annualized)-8.24%0.64%
R287.15%99.34%
Sharpe Ratio0.520.94
Sortino Ratio0.801.53
Treynor Ratio (%)7.9913.65
Calmar Ratio0.340.71
Active Return-2.64%0.13%
Tracking Error11.92%1.29%
Information Ratio-0.220.10
Skewness-0.20-0.33
Excess Kurtosis3.151.51
Historical Value-at-Risk (5%)-11.87%-6.14%
Analytical Value-at-Risk (5%)-10.38%-5.40%
Conditional Value-at-Risk (5%)-15.58%-8.32%
Upside Capture Ratio (%)132.0898.20
Downside Capture Ratio (%)164.0096.29
Safe Withdrawal Rate13.02%15.95%
Perpetual Withdrawal Rate7.99%10.14%
Positive Periods68 out of 115 (59.13%)81 out of 115 (70.43%)
Gain/Loss Ratio1.070.89
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-36.22%
2Jun 2011Sep 20114 monthsMay 20131 year 8 months2 years-32.26%
3May 2015Jan 20169 monthsNov 201610 months1 year 7 months-26.03%
4Sep 2018Dec 20184 monthsDec 20191 year1 year 4 months-21.37%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-6.51%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-5.01%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.66%
8Mar 2017May 20173 monthsJul 20172 months5 months-3.30%
9Jul 2014Jul 20141 monthAug 20141 month2 months-2.86%
10Aug 2017Aug 20171 monthSep 20171 month2 months-2.83%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Jun 2011Sep 20114 monthsFeb 20125 months9 months-15.34%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPHBInvesco S&P 500 High Beta ETF10.71%24.16%40.68%-22.62%-36.22%0.520.800.93
VFINXVanguard 500 Index Investor13.47%13.77%32.18%-5.37%-19.63%0.941.531.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPHBVFINXPortfolio 1Portfolio 2
SPHBInvesco S&P 500 High Beta ETF1.000.911.000.91
VFINXVanguard 500 Index Investor0.911.000.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPHBInvesco S&P 500 High Beta ETF$16,504
VFINXVanguard 500 Index Investor$23,583

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPHBInvesco S&P 500 High Beta ETF100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.30%48.34%-27.55%13.52%32.18%-7.11%
3 years10.96%27.40%-6.18%13.08%22.80%4.96%
5 years10.22%16.27%-1.47%12.54%16.20%6.58%
7 years10.87%16.79%4.45%13.10%16.74%9.47%