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 (May 2008 - Feb 2009)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
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Portfolio 2
Ticker Name Allocation
BND Vanguard Total Bond Market ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VPU Vanguard Utilities ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$5,448 -45.52% 21.40%-18.07%-33.50%-46.33% -3.25-2.451.00
Portfolio 2$10,000$10,259 2.59% 8.66%5.38%-2.65%-3.55% 0.270.550.50
Portfolio 3$10,000$6,535 -34.65% 21.01%-13.96%-24.06%-37.08% -2.33-2.050.61
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 2008 are based on monthly returns from May to December
  • The annual results for 2009 are based on monthly returns from January to February
  • 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
  • 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 Trust (SPY)Vanguard Total Bond Market ETF (BND)Vanguard Utilities ETF (VPU)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2008-2.14%-33.50%5.38%-24.06%$6,650$10,538$7,594-33.50%5.38%-24.06%
20090.93%-18.07%-2.65%-13.96%$5,448$10,259$6,535-18.07%-2.65%-13.96%
Annual returns for 2008 and 2009 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market ETF (BND)Vanguard Utilities ETF (VPU)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200851.51%-0.99%3.85%$10,151$9,901$10,3851.51%-0.99%3.85%
20086-8.35%0.04%-1.43%$9,304$9,905$10,237-8.35%0.04%-1.43%
20087-0.90%0.02%-6.30%$9,220$9,907$9,591-0.90%0.02%-6.30%
200881.55%0.84%-0.53%$9,362$9,990$9,5401.55%0.84%-0.53%
20089-9.44%-0.52%-11.43%$8,479$9,938$8,449-9.44%-0.52%-11.43%
200810-16.52%-2.95%-11.21%$7,078$9,645$7,502-16.52%-2.95%-11.21%
200811-6.96%3.92%2.74%$6,586$10,024$7,707-6.96%3.92%2.74%
2008120.98%5.13%-1.47%$6,650$10,538$7,5940.98%5.13%-1.47%
20091-8.21%-2.08%-1.24%$6,104$10,320$7,500-8.21%-2.08%-1.24%
20092-10.74%-0.59%-12.87%$5,448$10,259$6,535-10.74%-0.59%-12.87%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%0.09%25.14-$4,552100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond100.00%0.04%6.45$259100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VPUVanguard Utilities ETFUtilities100.00%0.10%19.57-$3,465100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/07/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)-5.71%0.28%-3.99%
Arithmetic Mean (annualized)-50.60%3.46%-38.66%
Geometric Mean (monthly)-5.89%0.26%-4.17%
Geometric Mean (annualized)-51.75%3.12%-39.99%
Volatility (monthly)6.18%2.50%6.06%
Volatility (annualized)21.40%8.66%21.01%
Downside Deviation (monthly)8.15%1.21%6.84%
Max. Drawdown-46.33%-3.55%-37.08%
US Market Correlation1.000.500.61
Beta(*)0.940.190.57
Alpha (annualized)-4.56%16.28%-9.27%
R299.48%24.65%37.67%
Sharpe Ratio-3.250.27-2.33
Sortino Ratio-2.450.55-2.05
Treynor Ratio (%)-74.2812.65-86.52
Active Return0.07%54.93%11.83%
Tracking Error2.12%19.98%19.32%
Information Ratio0.032.750.61
Skewness-0.181.00-0.39
Excess Kurtosis-0.950.54-1.41
Historical Value-at-Risk (5%)-16.52%-2.95%-12.87%
Analytical Value-at-Risk (5%)-15.87%-3.83%-13.97%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)72.5888.0331.59
Downside Capture Ratio (%)98.434.9375.16
Safe Withdrawal RateN/AN/AN/A
Perpetual Withdrawal RateN/AN/AN/A
Positive Periods3 out of 10 (30.00%)5 out of 10 (50.00%)2 out of 10 (20.00%)
Gain/Loss Ratio0.151.400.57
* 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
1Jun 2008Feb 20099 months-46.33%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Oct 20086 monthsNov 20081 month7 months-3.55%
2Jan 2009Feb 20092 months-2.65%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 months-37.08%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust-45.52%21.40%-18.07%-33.50%-46.33%-3.25-2.451.00
BNDVanguard Total Bond Market ETF2.59%8.66%5.38%-2.65%-3.55%0.270.550.50
VPUVanguard Utilities ETF-34.65%21.01%-13.96%-24.06%-37.08%-2.33-2.050.61

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYBNDVPUPortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust1.000.510.641.000.510.64
BNDVanguard Total Bond Market ETF0.511.000.430.511.000.43
VPUVanguard Utilities ETF0.640.431.000.640.431.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust-$4,552
BNDVanguard Total Bond Market ETF$259
VPUVanguard Utilities ETF-$3,465

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust100.00%
BNDVanguard Total Bond Market ETF100.00%
VPUVanguard Utilities ETF100.00%

Annual Asset Returns