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 Analysis Results (Nov 2007 - Mar 2009)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
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Portfolio 2
Ticker Name Allocation
IEF iShares 7-10 Year Treasury Bond ETF 100.00%
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Portfolio 3
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$5,331 -35.86% 21.58%-4.96%-36.81%-50.80% -1.99-1.871.00
Portfolio 2$10,000$12,097 14.38% 10.06%17.91%-1.44%-4.60% 1.232.830.11
Portfolio 3$10,000$12,485 16.96% 21.48%33.93%-10.95%-14.41% 0.761.400.16
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2007 are based on full calendar months from November to December
  • The annual results for 2009 are based on full calendar months from January to March
  • 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 (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
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20070.53%-4.96%4.09%4.68%$9,504$10,409$10,468-4.96%4.09%4.68%
20080.09%-36.81%17.91%33.93%$6,006$12,273$14,019-36.81%17.91%33.93%
20091.18%-11.23%-1.44%-10.95%$5,331$12,097$12,485-11.23%-1.44%-10.95%
Annual returns for 2007 and 2009 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200711-3.87%4.04%5.35%$9,613$10,404$10,535-3.87%4.04%5.35%
200712-1.13%0.05%-0.64%$9,504$10,409$10,468-1.13%0.05%-0.64%
20081-6.05%3.36%2.10%$8,929$10,759$10,687-6.05%3.36%2.10%
20082-2.58%1.24%-0.46%$8,698$10,892$10,638-2.58%1.24%-0.46%
20083-0.90%1.34%2.14%$8,620$11,038$10,866-0.90%1.34%2.14%
200844.77%-2.41%-2.48%$9,031$10,771$10,5964.77%-2.41%-2.48%
200851.51%-1.78%-2.69%$9,167$10,580$10,3121.51%-1.78%-2.69%
20086-8.35%1.14%2.65%$8,402$10,701$10,585-8.35%1.14%2.65%
20087-0.90%0.72%-0.37%$8,326$10,778$10,546-0.90%0.72%-0.37%
200881.55%1.53%2.74%$8,455$10,942$10,8351.55%1.53%2.74%
20089-9.44%-0.14%1.47%$7,657$10,927$10,995-9.44%-0.14%1.47%
200810-16.52%-0.87%-1.86%$6,392$10,832$10,790-16.52%-0.87%-1.86%
200811-6.96%7.75%14.34%$5,947$11,672$12,337-6.96%7.75%14.34%
2008120.98%5.15%13.64%$6,006$12,273$14,0190.98%5.15%13.64%
20091-8.21%-3.89%-13.07%$5,513$11,796$12,187-8.21%-3.89%-13.07%
20092-10.74%-0.74%-1.54%$4,920$11,709$12,000-10.74%-0.74%-1.54%
200938.35%3.31%4.04%$5,331$12,097$12,4858.35%3.31%4.04%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%-$4,669100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.560.15%100.00%$2,097100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government17.320.15%100.00%$2,485100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/03/2019. © 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 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)-3.44%1.17%1.49%
Arithmetic Mean (annualized)-34.31%14.91%19.45%
Geometric Mean (monthly)-3.63%1.13%1.31%
Geometric Mean (annualized)-35.86%14.38%16.96%
Volatility (monthly)6.23%2.91%6.20%
Volatility (annualized)21.58%10.06%21.48%
Downside Deviation (monthly)6.53%1.22%3.35%
Max. Drawdown-50.80%-4.60%-14.41%
US Market Correlation1.000.110.16
Beta(*)0.950.050.15
Alpha (annualized)-2.31%16.05%24.23%
R299.54%1.29%2.65%
Sharpe Ratio-1.991.230.76
Sortino Ratio-1.872.831.40
Treynor Ratio (%)-45.08246.16105.86
Active Return-0.04%50.20%52.77%
Tracking Error1.84%23.71%28.56%
Information Ratio-0.022.121.85
Skewness-0.160.500.20
Excess Kurtosis-0.010.402.20
Historical Value-at-Risk (5%)-16.52%-3.89%-13.07%
Analytical Value-at-Risk (5%)-13.69%-3.61%-8.71%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)88.6928.3974.89
Downside Capture Ratio (%)98.26-22.82-13.24
Safe Withdrawal Rate36.59%56.00%59.59%
Perpetual Withdrawal Rate0.00%8.26%9.70%
Positive Periods5 out of 17 (29.41%)11 out of 17 (64.71%)9 out of 17 (52.94%)
Gain/Loss Ratio0.541.651.87
* 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 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-50.80%-4.60%-14.41%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.80%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 months-4.60%
2Apr 2008May 20082 monthsNov 20086 months8 months-4.15%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 months-14.41%
2Apr 2008May 20082 monthsSep 20084 months6 months-5.10%
3Oct 2008Oct 20081 monthNov 20081 month2 months-1.86%
4Dec 2007Dec 20071 monthJan 20081 month2 months-0.64%
5Feb 2008Feb 20081 monthMar 20081 month2 months-0.46%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF-35.86%21.58%-4.96%-36.81%-50.80%-1.99-1.871.00
IEFiShares 7-10 Year Treasury Bond ETF14.38%10.06%17.91%-1.44%-4.60%1.232.830.11
TLTiShares 20+ Year Treasury Bond ETF16.96%21.48%33.93%-10.95%-14.41%0.761.400.16

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIEFTLTPortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF-0.140.181.000.140.18
IEFiShares 7-10 Year Treasury Bond ETF0.14-0.930.141.000.93
TLTiShares 20+ Year Treasury Bond ETF0.180.93-0.180.931.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF-$4,669
IEFiShares 7-10 Year Treasury Bond ETF$2,097
TLTiShares 20+ Year Treasury Bond ETF$2,485

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF100.00%
IEFiShares 7-10 Year Treasury Bond ETF100.00%
TLTiShares 20+ Year Treasury Bond ETF100.00%

Annual Asset Returns