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 Assets 
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Portfolio Analysis Results (Jan 2008 - Jan 2010)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 50.00%
BND Vanguard Total Bond Market ETF 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 75.00%
BND Vanguard Total Bond Market ETF 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$9,663 -1.63% 12.34%15.00%-14.97%-23.78% -0.14-0.180.96
Portfolio 2$10,000$8,729 -6.32% 17.41%20.68%-25.89%-36.43% -0.33-0.420.99
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 13.03%19.81%-1.63%
Portfolio 23.72%26.21%-6.32%
Trailing returns are for full months ending in January 2010 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 2010 are based on monthly returns from January to January
  • 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20080.09%-14.97%-25.89%$8,503$7,411-36.81%6.86%
20092.72%15.00%20.68%$9,778$8,94426.36%3.64%
20100.34%-1.17%-2.40%$9,663$8,729-3.63%1.29%
Annual returns for 2010 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-2.40%-4.22%$9,760$9,578-6.05%1.25%
20082-1.20%-1.88%$9,643$9,398-2.58%0.09%
20083-0.22%-0.55%$9,622$9,346-0.90%0.40%
200842.07%3.38%$9,821$9,6624.77%-0.34%
200850.22%0.85%$9,843$9,7441.51%-0.99%
20086-4.07%-6.19%$9,442$9,141-8.35%0.04%
20087-0.41%-0.65%$9,403$9,082-0.90%0.02%
200881.17%1.35%$9,513$9,2051.55%0.84%
20089-4.69%-6.98%$9,067$8,562-9.44%-0.52%
200810-8.98%-12.52%$8,253$7,490-16.52%-2.95%
200811-0.51%-3.41%$8,211$7,234-6.96%3.92%
2008123.55%2.44%$8,503$7,4110.98%5.13%
20091-5.14%-6.68%$8,065$6,916-8.21%-2.08%
20092-5.50%-8.08%$7,622$6,357-10.74%-0.59%
200934.41%6.29%$7,958$6,7578.35%1.09%
200944.96%7.38%$8,352$7,2569.93%0.46%
200953.24%4.54%$8,623$7,5855.85%0.67%
200960.27%0.10%$8,646$7,593-0.07%0.62%
200974.43%5.96%$9,029$8,0457.46%1.31%
200982.41%3.07%$9,247$8,2923.69%1.01%
200992.35%2.96%$9,464$8,5383.55%1.00%
200910-0.90%-1.43%$9,379$8,416-1.92%0.27%
2009113.88%5.05%$9,742$8,8416.16%1.30%
2009120.37%1.17%$9,778$8,9441.91%-1.45%
20101-1.17%-2.40%$9,663$8,729-3.63%1.29%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend50.00%0.09%25.89-$89787.37%
BNDVanguard Total Bond Market ETFIntermediate Core Bond50.00%0.04%6.55$56012.63%
100.00%0.06%25.896.55-$337100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend75.00%0.09%25.89-$1,53996.57%
BNDVanguard Total Bond Market ETFIntermediate Core Bond25.00%0.04%6.55$2683.43%
100.00%0.08%25.896.55-$1,271100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (c) 2020 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)-0.07%-0.42%
Arithmetic Mean (annualized)-0.90%-4.91%
Geometric Mean (monthly)-0.14%-0.54%
Geometric Mean (annualized)-1.63%-6.32%
Volatility (monthly)3.56%5.03%
Volatility (annualized)12.34%17.41%
Downside Deviation (monthly)2.73%3.98%
Max. Drawdown-23.78%-36.43%
US Market Correlation0.960.99
Beta(*)0.500.72
Alpha (annualized)3.53%1.42%
R292.42%98.24%
Sharpe Ratio-0.14-0.33
Sortino Ratio-0.18-0.42
Treynor Ratio (%)-3.44-8.06
Active Return9.50%4.82%
Tracking Error12.48%7.01%
Information Ratio0.760.69
Skewness-0.68-0.55
Excess Kurtosis0.12-0.13
Historical Value-at-Risk (5%)-7.93%-11.19%
Analytical Value-at-Risk (5%)-6.12%-8.79%
Conditional Value-at-Risk (5%)-8.98%-12.52%
Upside Capture Ratio (%)53.1572.52
Downside Capture Ratio (%)48.7573.34
Safe Withdrawal Rate44.87%40.00%
Perpetual Withdrawal Rate0.00%0.00%
Positive Periods13 out of 25 (52.00%)13 out of 25 (52.00%)
Gain/Loss Ratio0.870.75
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 months-23.78%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 months-36.43%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust-11.82%23.05%26.36%-36.81%-48.23%-0.46-0.571.00
BNDVanguard Total Bond Market ETF5.67%5.69%6.86%1.29%-3.88%0.851.660.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYBNDPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.000.340.970.99
BNDVanguard Total Bond Market ETF0.341.000.570.43

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust-$897-$1,539
BNDVanguard Total Bond Market ETF$560$268

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust87.37%96.57%
BNDVanguard Total Bond Market ETF12.63%3.43%

Annual Asset Returns