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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 5
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Portfolio Analysis Results (Jan 2007 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,032,046 43.19% 8.53%12.15%14.60%32.31%-36.81%-50.80%
(-19.08%)
0.580.831.00
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
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 2019 are based on full calendar months from January to November
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $2,500 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentSPDR S&P 500 ETF Trust (SPY)
20074.08%5.14%$41,334$30,8245.14%
20080.09%-36.81%$50,801$32,007-36.81%
20092.72%26.36%$102,654$31,89426.36%
20101.50%15.06%$154,622$32,41715.06%
20112.96%1.89%$190,752$33,4401.89%
20121.74%15.99%$256,768$34,13215.99%
20131.50%32.31%$379,015$34,63232.31%
20140.76%13.46%$467,720$35,19413.46%
20150.73%1.25%$509,029$35,2351.25%
20162.07%12.00%$608,535$35,68012.00%
20172.11%21.70%$780,581$36,44021.70%
20181.91%-4.56%$779,555$37,330-4.56%
20192.43%27.52%$1,032,046$34,82527.52%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceSPDR S&P 500 ETF Trust (SPY)
200711.50%$12,6581.50%
20072-1.96%$14,931-1.96%
200731.16%$17,6481.16%
200744.43%$20,9904.43%
200753.39%$24,2783.39%
20076-1.46%$26,504-1.46%
20077-3.13%$28,255-3.13%
200781.28%$31,1931.28%
200793.87%$34,9833.87%
2007101.36%$38,0461.36%
200711-3.87%$39,176-3.87%
200712-1.13%$41,334-1.13%
20081-6.05%$41,450-6.05%
20082-2.58%$43,002-2.58%
20083-0.90%$45,258-0.90%
200844.77%$50,0774.77%
200851.51%$53,5181.51%
20086-8.35%$51,760-8.35%
20087-0.90%$54,020-0.90%
200881.55%$57,5691.55%
20089-9.44%$54,846-9.44%
200810-16.52%$48,469-16.52%
200811-6.96%$47,727-6.96%
2008120.98%$50,8010.98%
20091-8.21%$49,245-8.21%
20092-10.74%$46,582-10.74%
200938.35%$53,1068.35%
200949.93%$61,0249.93%
200955.85%$67,2405.85%
20096-0.07%$69,867-0.07%
200977.46%$77,7477.46%
200983.69%$83,2933.69%
200993.55%$88,9223.55%
200910-1.92%$89,890-1.92%
2009116.16%$98,1086.16%
2009121.91%$102,6541.91%
20101-3.63%$101,608-3.63%
201023.12%$107,4633.12%
201036.09%$116,7046.09%
201041.55%$121,2101.55%
20105-7.95%$114,282-7.95%
20106-5.17%$111,069-5.17%
201076.83%$121,3566.83%
20108-4.50%$118,602-4.50%
201098.96%$131,9298.96%
2010103.82%$139,6783.82%
2010110.00%$142,3890.00%
2010126.68%$154,6226.68%
201112.33%$160,9532.33%
201123.47%$169,2863.47%
201130.01%$172,0720.01%
201142.90%$179,8422.90%
20115-1.12%$180,624-1.12%
20116-1.69%$180,371-1.69%
20117-2.00%$179,562-2.00%
20118-5.50%$172,497-5.50%
20119-6.94%$163,328-6.94%
20111010.91%$183,96010.91%
201111-0.41%$186,015-0.41%
2011121.04%$190,7521.04%
201214.64%$202,4064.64%
201224.34%$214,0124.34%
201233.22%$223,7363.22%
20124-0.67%$225,093-0.67%
20125-6.01%$214,422-6.01%
201264.05%$225,9554.05%
201271.18%$231,4661.18%
201282.51%$240,1192.51%
201292.54%$249,0732.54%
201210-1.82%$247,406-1.82%
2012110.57%$251,6590.57%
2012120.90%$256,7680.90%
201315.12%$272,7655.12%
201321.28%$279,1211.28%
201333.80%$292,6053.80%
201341.92%$301,1071.92%
201352.36%$311,1022.36%
20136-1.34%$309,838-1.34%
201375.17%$328,7445.17%
20138-3.00%$321,781-3.00%
201393.17%$334,8763.17%
2013104.63%$353,2774.63%
2013112.96%$366,6342.96%
2013122.59%$379,0152.59%
20141-3.52%$368,554-3.52%
201424.55%$388,2374.55%
201430.83%$394,3920.83%
201440.70%$400,0700.70%
201452.32%$412,3022.32%
201462.06%$423,7622.06%
20147-1.34%$421,020-1.34%
201483.95%$440,5813.95%
20149-1.38%$437,453-1.38%
2014102.36%$450,6972.36%
2014112.75%$466,0042.75%
201412-0.26%$467,720-0.26%
20151-2.96%$456,758-2.96%
201525.62%$485,3375.62%
20153-1.57%$480,621-1.57%
201540.98%$488,2790.98%
201551.29%$497,5021.29%
20156-2.03%$490,364-2.03%
201572.26%$504,3972.26%
20158-6.10%$476,607-6.10%
20159-2.54%$467,433-2.54%
2015108.51%$510,1398.51%
2015110.37%$514,9440.37%
201512-1.72%$509,029-1.72%
20161-4.98%$486,621-4.98%
20162-0.08%$489,157-0.08%
201636.72%$525,0006.72%
201640.39%$530,0330.39%
201651.70%$542,0261.70%
201660.35%$546,9070.35%
201673.65%$569,8343.65%
201680.12%$573,5000.12%
201690.01%$576,5360.01%
201610-1.73%$569,535-1.73%
2016113.68%$593,5063.68%
2016122.03%$608,5352.03%
201711.79%$622,4331.79%
201723.93%$649,9073.93%
201730.13%$653,7450.13%
201740.99%$663,2630.99%
201751.41%$675,6561.41%
201760.64%$682,9970.64%
201772.06%$700,0682.06%
201780.29%$705,1520.29%
201792.01%$722,4132.01%
2017102.36%$742,4922.36%
2017113.06%$768,2433.06%
2017121.21%$780,5811.21%
201815.64%$827,6455.64%
20182-3.64%$800,636-3.64%
20183-2.74%$781,779-2.74%
201840.52%$788,9230.52%
201852.43%$811,2182.43%
201860.58%$819,0090.58%
201873.70%$852,4733.70%
201883.19%$882,8073.19%
201890.59%$891,1870.59%
201810-6.91%$832,735-6.91%
2018111.85%$851,3041.85%
201812-8.79%$779,555-8.79%
201918.01%$845,0898.01%
201923.24%$875,6143.24%
201931.81%$894,5931.81%
201944.09%$934,3054.09%
20195-6.38%$877,896-6.38%
201966.96%$942,1666.96%
201971.51%$959,5891.51%
20198-1.67%$946,701-1.67%
201991.95%$968,3241.95%
2019102.21%$992,9162.21%
2019113.62%$1,032,0463.62%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value46.04%
Large-cap Growth53.24%
Mid-cap Value0.00%
Mid-cap Growth0.34%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.01%
REITs0.00%
Corporate Bonds0.38%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.92%
Style analysis is based on monthly returns from Jan 2007 to Nov 2019 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%100.00%$577,997100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/04/2019. (c) 2019 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 1
Arithmetic Mean (monthly)0.77%
Arithmetic Mean (annualized)9.70%
Geometric Mean (monthly)0.68%
Geometric Mean (annualized)8.53%
Volatility (monthly)4.21%
Volatility (annualized)14.60%
Downside Deviation (monthly)2.90%
Max. Drawdown-50.80%
US Market Correlation1.00
Beta(*)0.96
Alpha (annualized)0.21%
R299.33%
Sharpe Ratio0.58
Sortino Ratio0.83
Treynor Ratio (%)8.72
Calmar Ratio1.09
Active Return-0.05%
Tracking Error1.30%
Information Ratio-0.04
Skewness-0.76
Excess Kurtosis1.63
Historical Value-at-Risk (5%)-7.16%
Analytical Value-at-Risk (5%)-6.16%
Conditional Value-at-Risk (5%)-10.00%
Upside Capture Ratio (%)97.18
Downside Capture Ratio (%)96.77
Safe Withdrawal Rate9.18%
Perpetual Withdrawal Rate6.56%
Positive Periods103 out of 155 (66.45%)
Gain/Loss Ratio0.80
* 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 1
Subprime CrisisNov 2007Mar 2009-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5May 2019May 20191 monthJun 20191 month2 months-6.38%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust8.53%14.60%32.31%-36.81%-50.80%0.580.831.00

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.65%32.31%-36.81%
3 years9.70%20.31%-5.66%
5 years10.70%17.85%-0.32%
7 years11.16%14.70%6.07%
10 years9.44%13.01%6.87%
Result statistics are based on annualized rolling returns over full calendar year periods