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 (Sep 2001 - Dec 2002)

Portfolio Allocations

300 ITT 27% drawdown
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 300.00%
CASHX Cash -350.00%
VSCGX Vanguard LifeStrategy Cnsrv Gr Inv 150.00%
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Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
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Portfolio 3
Ticker Name Allocation
VSCGX Vanguard LifeStrategy Cnsrv Gr Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
300 ITT 27% drawdown$10,000$3,134 -58.12% 73.31%-4.55%-67.17%-75.42% -0.80-0.970.99
Portfolio 2$10,000$7,908 -16.14% 20.33%0.85%-21.59%-28.01% -0.85-1.030.99
Portfolio 3$10,000$9,611 -2.93% 8.36%1.56%-5.36%-10.27% -0.53-0.670.97
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
300 ITT 27% drawdown27.50%-67.17%-58.12%
Portfolio 28.40%-21.59%-16.14%
Portfolio 35.02%-5.36%-2.93%
Trailing annualized returns are for full months ending in December 2002 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 2001 are based on monthly returns from September 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 monthly 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
YearInflation300 ITT 27% drawdownPortfolio 2Portfolio 3SPDR S&P 500 ETF Trust (SPY)Cash (CASHX)Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)
ReturnBalanceReturnBalanceReturnBalance
2001-0.45%-4.55%$9,5450.85%$10,0851.56%$10,1560.85%0.79%1.56%
20022.38%-67.17%$3,134-21.59%$7,908-5.36%$9,611-21.59%1.65%-5.36%
Annual return for 2001 is from 09/01/2001 to 12/31/2001
Monthly returns for the configured portfolios
YearMonth300 ITT 27% drawdownPortfolio 2Portfolio 3SPDR S&P 500 ETF Trust (SPY)Cash (CASHX)Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)
ReturnBalanceReturnBalanceReturnBalance
20019-30.06%$6,994-8.16%$9,184-3.08%$9,692-8.16%0.28%-3.08%
2001106.42%$7,4431.30%$9,3042.13%$9,8991.30%0.20%2.13%
20011126.37%$9,4057.80%$10,0292.38%$10,1347.80%0.17%2.38%
2001121.49%$9,5450.56%$10,0850.21%$10,1560.56%0.15%0.21%
20021-3.76%$9,186-0.98%$9,987-0.21%$10,134-0.98%0.14%-0.21%
20022-6.31%$8,606-1.79%$9,808-0.29%$10,105-1.79%0.14%-0.29%
2002310.85%$9,5403.32%$10,1340.93%$10,1993.32%0.15%0.93%
20024-19.67%$7,663-5.82%$9,544-1.14%$10,083-5.82%0.15%-1.14%
20025-2.07%$7,505-0.59%$9,4880.14%$10,097-0.59%0.15%0.14%
20026-26.84%$5,490-7.38%$8,788-2.81%$9,813-7.38%0.14%-2.81%
20027-28.85%$3,906-7.88%$8,095-3.14%$9,505-7.88%0.14%-3.14%
200283.06%$4,0260.68%$8,1501.00%$9,6000.68%0.14%1.00%
20029-38.95%$2,458-10.49%$7,296-4.67%$9,152-10.49%0.14%-4.67%
20021029.82%$3,1918.23%$7,8963.72%$9,4938.23%0.13%3.72%
20021122.54%$3,9106.17%$8,3832.97%$9,7746.17%0.12%2.97%
200212-19.85%$3,134-5.66%$7,908-1.67%$9,611-5.66%0.10%-1.67%

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%1.32%0.09%24.09-$2,092100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSCGXVanguard LifeStrategy Cnsrv Gr Inv30% to 50% Equity100.00%1.54%0.12%20.057.29-$389100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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
Metric300 ITT 27% drawdownPortfolio 2Portfolio 3
Arithmetic Mean (monthly)-4.74%-1.29%-0.22%
Arithmetic Mean (annualized)-44.16%-14.46%-2.61%
Geometric Mean (monthly)-7.00%-1.46%-0.25%
Geometric Mean (annualized)-58.12%-16.14%-2.93%
Volatility (monthly)21.16%5.87%2.41%
Volatility (annualized)73.31%20.33%8.36%
Downside Deviation (monthly)17.34%4.77%1.83%
Max. Drawdown-75.42%-28.01%-10.27%
US Market Correlation0.990.990.97
Beta(*)3.570.990.40
Alpha (annualized)-7.13%-1.72%2.88%
R298.75%98.74%93.71%
Sharpe Ratio-0.80-0.85-0.53
Sortino Ratio-0.97-1.03-0.67
Treynor Ratio (%)-16.43-17.49-11.24
Active Return-43.33%-1.35%11.85%
Tracking Error53.09%2.29%12.47%
Information Ratio-0.82-0.590.95
Skewness0.080.14-0.16
Excess Kurtosis-1.00-1.02-0.75
Historical Value-at-Risk (5%)-32.28%-8.74%-3.53%
Analytical Value-at-Risk (5%)-38.44%-10.95%-4.19%
Conditional Value-at-Risk (5%)-38.95%-10.49%-4.67%
Upside Capture Ratio (%)391.6690.7841.66
Downside Capture Ratio (%)247.8999.4537.96
Safe Withdrawal Rate23.28%43.94%49.00%
Perpetual Withdrawal Rate0.00%0.00%0.00%
Positive Periods7 out of 16 (43.75%)7 out of 16 (43.75%)8 out of 16 (50.00%)
Gain/Loss Ratio0.730.740.79
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for 300 ITT 27% drawdown

Drawdowns for 300 ITT 27% drawdown
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2001Sep 20021 year 1 month-75.42%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2002Sep 20026 months-28.01%
2Sep 2001Sep 20011 monthNov 20012 months3 months-8.16%
3Jan 2002Feb 20022 monthsMar 20021 month3 months-2.76%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2002Sep 20026 months-10.27%
2Sep 2001Sep 20011 monthNov 20012 months3 months-3.08%
3Jan 2002Feb 20022 monthsMar 20021 month3 months-0.50%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust-16.14%20.33%0.85%-21.59%-28.01%-0.85-1.030.99
CASHXCash1.83%0.14%1.65%0.79%0.00%N/AN/A-0.19
VSCGXVanguard LifeStrategy Cnsrv Gr Inv-2.93%8.36%1.56%-5.36%-10.27%-0.53-0.670.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYCASHXVSCGX300 ITT 27% drawdownPortfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust1.00-0.180.971.001.000.97
CASHXCash-0.181.00-0.16-0.18-0.18-0.16
VSCGXVanguard LifeStrategy Cnsrv Gr Inv0.97-0.161.000.980.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerName300 ITT 27% drawdownPortfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust-$5,605-$2,092
CASHXCash-$605
VSCGXVanguard LifeStrategy Cnsrv Gr Inv-$657-$389

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName300 ITT 27% drawdownPortfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust83.14%100.00%
CASHXCash0.12%
VSCGXVanguard LifeStrategy Cnsrv Gr Inv16.74%100.00%

Annual Asset Returns