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.
| Ticker | Name | Allocation |
|---|---|---|
| SPHB | Invesco S&P 500 High Beta ETF | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VFINX | Vanguard 500 Index Investor | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $26,504 | 10.71% | 24.16% | 40.68% | -22.62% | -36.22% | 0.52 | 0.80 | 0.93 |
| Portfolio 2 | $10,000 | $33,583 | 13.47% | 13.77% | 32.18% | -5.37% | -19.63% | 0.94 | 1.53 | 1.00 |
| Name | Annualized Return | Annualized Volatility | |||||
|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
| Portfolio 1 | 37.27% | 25.03% | 12.22% | 16.02% | 10.71% | 32.02% | 27.05% |
| Portfolio 2 | 12.12% | 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. | |||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Invesco S&P 500 High Beta ETF (SPHB) | Vanguard 500 Index Investor (VFINX) | ||
|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | ||||
| 2011 | -0.13% | -22.62% | $7,738 | -5.37% | $9,463 | -22.62% | -5.37% |
| 2012 | 1.74% | 17.93% | $9,125 | 15.82% | $10,960 | 17.93% | 15.82% |
| 2013 | 1.50% | 40.68% | $12,837 | 32.18% | $14,487 | 40.68% | 32.18% |
| 2014 | 0.76% | 12.68% | $14,464 | 13.51% | $16,444 | 12.68% | 13.51% |
| 2015 | 0.73% | -12.83% | $12,609 | 1.25% | $16,649 | -12.83% | 1.25% |
| 2016 | 2.07% | 26.23% | $15,916 | 11.82% | $18,617 | 26.23% | 11.82% |
| 2017 | 2.11% | 17.85% | $18,756 | 21.67% | $22,650 | 17.85% | 21.67% |
| 2018 | 1.91% | -15.54% | $15,842 | -4.52% | $21,626 | -15.54% | -4.52% |
| 2019 | 2.29% | 33.81% | $21,198 | 31.33% | $28,400 | 33.81% | 31.33% |
| 2020 | 1.36% | 25.03% | $26,504 | 18.25% | $33,583 | 25.03% | 18.25% |
| Annual return for 2011 is from 06/01/2011 to 12/31/2011 | |||||||
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Invesco S&P 500 High Beta ETF (SPHB) | Vanguard 500 Index Investor (VFINX) |
|---|---|---|---|---|---|
| 2011 | 6 | -4.29% | -1.67% | -4.29% | -1.67% |
| 2011 | 7 | -3.90% | -2.05% | -3.90% | -2.05% |
| 2011 | 8 | -13.56% | -5.45% | -13.56% | -5.45% |
| 2011 | 9 | -14.81% | -7.04% | -14.81% | -7.04% |
| 2011 | 10 | 19.08% | 10.91% | 19.08% | 10.91% |
| 2011 | 11 | -1.63% | -0.23% | -1.63% | -0.23% |
| 2011 | 12 | -2.48% | 1.02% | -2.48% | 1.02% |
| 2012 | 1 | 10.77% | 4.46% | 10.77% | 4.46% |
| 2012 | 2 | 5.00% | 4.31% | 5.00% | 4.31% |
| 2012 | 3 | 0.51% | 3.28% | 0.51% | 3.28% |
| 2012 | 4 | -3.24% | -0.64% | -3.24% | -0.64% |
| 2012 | 5 | -13.17% | -6.02% | -13.17% | -6.02% |
| 2012 | 6 | 3.93% | 4.11% | 3.93% | 4.11% |
| 2012 | 7 | -0.42% | 1.37% | -0.42% | 1.37% |
| 2012 | 8 | 5.06% | 2.24% | 5.06% | 2.24% |
| 2012 | 9 | 3.74% | 2.58% | 3.74% | 2.58% |
| 2012 | 10 | -1.26% | -1.86% | -1.26% | -1.86% |
| 2012 | 11 | 1.81% | 0.56% | 1.81% | 0.56% |
| 2012 | 12 | 5.88% | 0.90% | 5.88% | 0.90% |
| 2013 | 1 | 7.66% | 5.18% | 7.66% | 5.18% |
| 2013 | 2 | -1.78% | 1.34% | -1.78% | 1.34% |
| 2013 | 3 | 3.32% | 3.74% | 3.32% | 3.74% |
| 2013 | 4 | -0.38% | 1.91% | -0.38% | 1.91% |
| 2013 | 5 | 7.01% | 2.33% | 7.01% | 2.33% |
| 2013 | 6 | -2.49% | -1.35% | -2.49% | -1.35% |
| 2013 | 7 | 5.52% | 5.07% | 5.52% | 5.07% |
| 2013 | 8 | -2.18% | -2.91% | -2.18% | -2.91% |
| 2013 | 9 | 5.64% | 3.12% | 5.64% | 3.12% |
| 2013 | 10 | 5.59% | 4.59% | 5.59% | 4.59% |
| 2013 | 11 | 3.05% | 3.03% | 3.05% | 3.03% |
| 2013 | 12 | 4.39% | 2.51% | 4.39% | 2.51% |
| 2014 | 1 | -3.66% | -3.47% | -3.66% | -3.47% |
| 2014 | 2 | 5.70% | 4.56% | 5.70% | 4.56% |
| 2014 | 3 | 0.23% | 0.82% | 0.23% | 0.82% |
| 2014 | 4 | 0.16% | 0.72% | 0.16% | 0.72% |
| 2014 | 5 | 2.25% | 2.33% | 2.25% | 2.33% |
| 2014 | 6 | 4.63% | 2.05% | 4.63% | 2.05% |
| 2014 | 7 | -2.86% | -1.39% | -2.86% | -1.39% |
| 2014 | 8 | 5.51% | 3.98% | 5.51% | 3.98% |
| 2014 | 9 | -2.64% | -1.41% | -2.64% | -1.41% |
| 2014 | 10 | 2.53% | 2.42% | 2.53% | 2.42% |
| 2014 | 11 | 1.23% | 2.68% | 1.23% | 2.68% |
| 2014 | 12 | -0.52% | -0.26% | -0.52% | -0.26% |
| 2015 | 1 | -4.51% | -3.02% | -4.51% | -3.02% |
| 2015 | 2 | 7.52% | 5.74% | 7.52% | 5.74% |
| 2015 | 3 | -1.98% | -1.59% | -1.98% | -1.59% |
| 2015 | 4 | 2.71% | 0.95% | 2.71% | 0.95% |
| 2015 | 5 | -1.45% | 1.27% | -1.45% | 1.27% |
| 2015 | 6 | -2.99% | -1.93% | -2.99% | -1.93% |
| 2015 | 7 | -4.11% | 2.08% | -4.11% | 2.08% |
| 2015 | 8 | -5.07% | -6.05% | -5.07% | -6.05% |
| 2015 | 9 | -6.43% | -2.48% | -6.43% | -2.48% |
| 2015 | 10 | 10.37% | 8.42% | 10.37% | 8.42% |
| 2015 | 11 | 0.41% | 0.29% | 0.41% | 0.29% |
| 2015 | 12 | -6.55% | -1.59% | -6.55% | -1.59% |
| 2016 | 1 | -12.30% | -4.98% | -12.30% | -4.98% |
| 2016 | 2 | 0.16% | -0.15% | 0.16% | -0.15% |
| 2016 | 3 | 12.02% | 6.78% | 12.02% | 6.78% |
| 2016 | 4 | 6.56% | 0.37% | 6.56% | 0.37% |
| 2016 | 5 | -0.03% | 1.78% | -0.03% | 1.78% |
| 2016 | 6 | -4.04% | 0.25% | -4.04% | 0.25% |
| 2016 | 7 | 6.27% | 3.68% | 6.27% | 3.68% |
| 2016 | 8 | 3.40% | 0.13% | 3.40% | 0.13% |
| 2016 | 9 | 2.06% | 0.01% | 2.06% | 0.01% |
| 2016 | 10 | -1.73% | -1.83% | -1.73% | -1.83% |
| 2016 | 11 | 12.88% | 3.70% | 12.88% | 3.70% |
| 2016 | 12 | 0.88% | 1.96% | 0.88% | 1.96% |
| 2017 | 1 | 1.97% | 1.88% | 1.97% | 1.88% |
| 2017 | 2 | 1.23% | 3.96% | 1.23% | 3.96% |
| 2017 | 3 | -0.35% | 0.10% | -0.35% | 0.10% |
| 2017 | 4 | -1.38% | 1.02% | -1.38% | 1.02% |
| 2017 | 5 | -1.59% | 1.39% | -1.59% | 1.39% |
| 2017 | 6 | 2.51% | 0.61% | 2.51% | 0.61% |
| 2017 | 7 | 2.61% | 2.04% | 2.61% | 2.04% |
| 2017 | 8 | -2.83% | 0.29% | -2.83% | 0.29% |
| 2017 | 9 | 6.83% | 2.06% | 6.83% | 2.06% |
| 2017 | 10 | 1.75% | 2.32% | 1.75% | 2.32% |
| 2017 | 11 | 3.56% | 3.06% | 3.56% | 3.06% |
| 2017 | 12 | 2.61% | 1.10% | 2.61% | 1.10% |
| 2018 | 1 | 5.88% | 5.71% | 5.88% | 5.71% |
| 2018 | 2 | -3.78% | -3.69% | -3.78% | -3.69% |
| 2018 | 3 | -1.57% | -2.56% | -1.57% | -2.56% |
| 2018 | 4 | -1.29% | 0.37% | -1.29% | 0.37% |
| 2018 | 5 | 4.72% | 2.39% | 4.72% | 2.39% |
| 2018 | 6 | -1.60% | 0.61% | -1.60% | 0.61% |
| 2018 | 7 | 2.91% | 3.71% | 2.91% | 3.71% |
| 2018 | 8 | 2.33% | 3.25% | 2.33% | 3.25% |
| 2018 | 9 | -0.36% | 0.55% | -0.36% | 0.55% |
| 2018 | 10 | -12.88% | -6.85% | -12.88% | -6.85% |
| 2018 | 11 | 1.97% | 2.03% | 1.97% | 2.03% |
| 2018 | 12 | -11.16% | -9.04% | -11.16% | -9.04% |
| 2019 | 1 | 12.95% | 8.00% | 12.95% | 8.00% |
| 2019 | 2 | 3.86% | 3.20% | 3.86% | 3.20% |
| 2019 | 3 | 0.41% | 1.94% | 0.41% | 1.94% |
| 2019 | 4 | 6.23% | 4.04% | 6.23% | 4.04% |
| 2019 | 5 | -11.68% | -6.36% | -11.68% | -6.36% |
| 2019 | 6 | 10.27% | 7.03% | 10.27% | 7.03% |
| 2019 | 7 | 0.37% | 1.43% | 0.37% | 1.43% |
| 2019 | 8 | -5.89% | -1.59% | -5.89% | -1.59% |
| 2019 | 9 | 2.64% | 1.86% | 2.64% | 1.86% |
| 2019 | 10 | 2.39% | 2.15% | 2.39% | 2.15% |
| 2019 | 11 | 4.70% | 3.62% | 4.70% | 3.62% |
| 2019 | 12 | 5.63% | 3.01% | 5.63% | 3.01% |
| 2020 | 1 | -4.07% | -0.05% | -4.07% | -0.05% |
| 2020 | 2 | -9.21% | -8.24% | -9.21% | -8.24% |
| 2020 | 3 | -26.77% | -12.37% | -26.77% | -12.37% |
| 2020 | 4 | 19.31% | 12.81% | 19.31% | 12.81% |
| 2020 | 5 | 9.15% | 4.76% | 9.15% | 4.76% |
| 2020 | 6 | 5.63% | 1.98% | 5.63% | 1.98% |
| 2020 | 7 | 2.22% | 5.63% | 2.22% | 5.63% |
| 2020 | 8 | 6.92% | 7.18% | 6.92% | 7.18% |
| 2020 | 9 | -5.01% | -3.81% | -5.01% | -3.81% |
| 2020 | 10 | 1.76% | -2.67% | 1.76% | -2.67% |
| 2020 | 11 | 25.90% | 10.94% | 25.90% | 10.94% |
| 2020 | 12 | 7.14% | 3.84% | 7.14% | 3.84% |
| Style Category | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Large-cap Value | 0.00% | 44.96% |
| Large-cap Growth | 0.00% | 54.86% |
| Mid-cap Value | 39.07% | 0.00% |
| Mid-cap Growth | 0.00% | 0.00% |
| Small-cap Value | 50.21% | 0.18% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 0.00% | 0.00% |
| Emerging Markets | 10.73% | 0.00% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 87.87% | 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. | ||
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| SPHB | Invesco S&P 500 High Beta ETF | Large Blend | 100.00% | 1.77% | 0.25% | 20.63 | $16,504 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | Large Blend | 100.00% | 1.40% | 0.14% | 27.41 | $23,583 | 100.00% |
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.
| Metric | Portfolio 1 | Portfolio 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 Correlation | 0.93 | 1.00 |
| Beta(*) | 1.57 | 0.96 |
| Alpha (annualized) | -8.24% | 0.64% |
| R2 | 87.15% | 99.34% |
| Sharpe Ratio | 0.52 | 0.94 |
| Sortino Ratio | 0.80 | 1.53 |
| Treynor Ratio (%) | 7.99 | 13.65 |
| Calmar Ratio | 0.34 | 0.71 |
| Active Return | -2.64% | 0.13% |
| Tracking Error | 11.92% | 1.29% |
| Information Ratio | -0.22 | 0.10 |
| Skewness | -0.20 | -0.33 |
| Excess Kurtosis | 3.15 | 1.51 |
| 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 (%) | 132.08 | 98.20 |
| Downside Capture Ratio (%) | 164.00 | 96.29 |
| Safe Withdrawal Rate | 13.02% | 15.95% |
| Perpetual Withdrawal Rate | 7.99% | 10.14% |
| Positive Periods | 68 out of 115 (59.13%) | 81 out of 115 (70.43%) |
| Gain/Loss Ratio | 1.07 | 0.89 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jan 2020 | Mar 2020 | 3 months | Nov 2020 | 8 months | 11 months | -36.22% |
| 2 | Jun 2011 | Sep 2011 | 4 months | May 2013 | 1 year 8 months | 2 years | -32.26% |
| 3 | May 2015 | Jan 2016 | 9 months | Nov 2016 | 10 months | 1 year 7 months | -26.03% |
| 4 | Sep 2018 | Dec 2018 | 4 months | Dec 2019 | 1 year | 1 year 4 months | -21.37% |
| 5 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -6.51% |
| 6 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -5.01% |
| 7 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.66% |
| 8 | Mar 2017 | May 2017 | 3 months | Jul 2017 | 2 months | 5 months | -3.30% |
| 9 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -2.86% |
| 10 | Aug 2017 | Aug 2017 | 1 month | Sep 2017 | 1 month | 2 months | -2.83% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.63% |
| 2 | Jun 2011 | Sep 2011 | 4 months | Feb 2012 | 5 months | 9 months | -15.34% |
| 3 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
| 4 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.62% |
| 6 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -6.38% |
| 7 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
| 8 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
| 9 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
| 10 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.27% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| SPHB | Invesco S&P 500 High Beta ETF | 10.71% | 24.16% | 40.68% | -22.62% | -36.22% | 0.52 | 0.80 | 0.93 |
| VFINX | Vanguard 500 Index Investor | 13.47% | 13.77% | 32.18% | -5.37% | -19.63% | 0.94 | 1.53 | 1.00 |
| Ticker | Name | SPHB | VFINX | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|
| SPHB | Invesco S&P 500 High Beta ETF | 1.00 | 0.91 | 1.00 | 0.91 |
| VFINX | Vanguard 500 Index Investor | 0.91 | 1.00 | 0.91 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| SPHB | Invesco S&P 500 High Beta ETF | $16,504 | |
| VFINX | Vanguard 500 Index Investor | $23,583 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| SPHB | Invesco S&P 500 High Beta ETF | 100.00% | |
| VFINX | Vanguard 500 Index Investor | 100.00% |
| Roll Period | Portfolio 1 | Portfolio 2 | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 11.30% | 48.34% | -27.55% | 13.52% | 32.18% | -7.11% |
| 3 years | 10.96% | 27.40% | -6.18% | 13.08% | 22.80% | 4.96% |
| 5 years | 10.22% | 16.27% | -1.47% | 12.54% | 16.20% | 6.58% |
| 7 years | 10.87% | 16.79% | 4.45% | 13.10% | 16.74% | 9.47% |