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 2015 - Apr 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FKINX Franklin Income A1 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,789 1.53% 10.18%16.29%-12.45%-16.36% 0.090.120.90
Vanguard 500 Index Investor$10,000$15,371 8.98% 14.70%31.33%-9.34%-19.63% 0.580.851.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
Portfolio 1-11.70%-12.45%-9.35%0.18%1.53%1.53%
Vanguard 500 Index Investor-9.29%-9.34%0.73%8.90%8.98%8.98%
Trailing returns are for full months ending in April 2020 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 2015 are based on monthly returns from May to December
  • The annual results for 2020 are based on monthly returns from January to April
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceFranklin Income A1 (FKINX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
2015-0.03%-10.83%-0.61%$8,917$9,939-10.83%
20162.07%16.29%11.82%$10,370$11,11316.29%
20172.11%8.41%21.67%$11,242$13,5218.41%
20181.91%-5.30%-4.52%$10,647$12,909-5.30%
20192.29%15.75%31.33%$12,323$16,95415.75%
2020-0.23%-12.45%-9.34%$10,789$15,371-12.45%
Annual returns for 2015 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceFranklin Income A1 (FKINX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20155-0.82%1.27%$9,918$10,127-0.82%
20156-2.92%-1.93%$9,628$9,932-2.92%
20157-1.29%2.08%$9,504$10,138-1.29%
20158-3.95%-6.04%$9,129$9,526-3.95%
20159-3.66%-2.49%$8,795$9,288-3.66%
2015106.70%8.42%$9,384$10,0716.70%
201511-2.25%0.29%$9,172$10,100-2.25%
201512-2.78%-1.59%$8,917$9,939-2.78%
20161-3.35%-4.98%$8,619$9,444-3.35%
201620.50%-0.15%$8,662$9,4300.50%
201634.97%6.78%$9,092$10,0694.97%
201643.33%0.37%$9,395$10,1073.33%
201650.46%1.78%$9,438$10,2870.46%
201660.93%0.25%$9,526$10,3130.93%
201673.22%3.68%$9,833$10,6923.22%
201680.90%0.13%$9,921$10,7060.90%
201690.45%0.01%$9,966$10,7070.45%
201610-0.45%-1.83%$9,921$10,511-0.45%
2016111.35%3.70%$10,055$10,8991.35%
2016123.13%1.96%$10,370$11,1133.13%
201710.87%1.88%$10,459$11,3220.87%
201722.16%3.96%$10,686$11,7712.16%
201730.42%0.10%$10,731$11,7830.42%
201740.00%1.02%$10,731$11,9030.00%
201750.86%1.39%$10,823$12,0690.86%
20176-0.43%0.61%$10,777$12,143-0.43%
201771.71%2.04%$10,961$12,3911.71%
20178-0.42%0.29%$10,915$12,427-0.42%
201792.13%2.06%$11,148$12,6832.13%
201710-0.00%2.32%$11,148$12,977-0.00%
201711-0.00%3.06%$11,148$13,374-0.00%
2017120.85%1.10%$11,242$13,5210.85%
201812.11%5.71%$11,479$14,2942.11%
20182-3.73%-3.69%$11,050$13,766-3.73%
20183-0.86%-2.56%$10,955$13,414-0.86%
201840.88%0.37%$11,052$13,4640.88%
201850.87%2.39%$11,148$13,7860.87%
201860.43%0.61%$11,196$13,8700.43%
201872.18%3.71%$11,440$14,3842.18%
20188-0.43%3.25%$11,391$14,851-0.43%
201890.00%0.55%$11,391$14,9330.00%
201810-2.60%-6.85%$11,095$13,911-2.60%
2018110.89%2.03%$11,194$14,1920.89%
201812-4.89%-9.04%$10,647$12,909-4.89%
201916.11%8.00%$11,297$13,9426.11%
201922.66%3.20%$11,598$14,3892.66%
201930.87%1.94%$11,699$14,6670.87%
201941.73%4.04%$11,901$15,2601.73%
20195-3.84%-6.36%$11,443$14,289-3.84%
201963.57%7.03%$11,852$15,2943.57%
20197-0.00%1.43%$11,852$15,512-0.00%
20198-0.87%-1.59%$11,749$15,265-0.87%
201991.32%1.86%$11,904$15,5491.32%
2019100.88%2.15%$12,008$15,8840.88%
201911-0.44%3.62%$11,956$16,459-0.44%
2019123.07%3.01%$12,323$16,9543.07%
20201-0.85%-0.05%$12,218$16,945-0.85%
20202-4.33%-8.24%$11,689$15,549-4.33%
20203-11.82%-12.37%$10,307$13,625-11.82%
202044.67%12.81%$10,789$15,3714.67%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value18.59%45.87%
Large-cap Growth0.00%53.85%
Mid-cap Value4.08%0.00%
Mid-cap Growth0.00%0.28%
Small-cap Value7.43%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets24.81%0.00%
Emerging Markets6.77%0.00%
Corporate Bonds12.47%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries25.85%0.00%
R Squared89.24%99.97%
Style analysis is based on monthly returns from May 2015 to Apr 2020 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
FKINXFranklin Income A130% to 50% Equity100.00%0.62%18.453.06$789100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.17%0.81%
Arithmetic Mean (annualized)2.06%10.14%
Geometric Mean (monthly)0.13%0.72%
Geometric Mean (annualized)1.53%8.98%
Volatility (monthly)2.94%4.24%
Volatility (annualized)10.18%14.70%
Downside Deviation (monthly)2.18%2.86%
Max. Drawdown-16.36%-19.63%
US Market Correlation0.901.00
Beta(*)0.621.00
Alpha (annualized)-3.94%0.00%
R279.35%100.00%
Sharpe Ratio0.090.58
Sortino Ratio0.120.85
Treynor Ratio (%)1.508.59
Calmar Ratio0.010.45
Active Return-7.45%N/A
Tracking Error7.29%N/A
Information Ratio-1.02N/A
Skewness-1.00-0.51
Excess Kurtosis3.841.89
Historical Value-at-Risk (5%)-4.31%-8.17%
Analytical Value-at-Risk (5%)-4.66%-6.17%
Conditional Value-at-Risk (5%)-7.01%-9.88%
Upside Capture Ratio (%)48.66100.00
Downside Capture Ratio (%)73.12100.00
Safe Withdrawal Rate20.36%24.05%
Perpetual Withdrawal Rate0.00%6.75%
Positive Periods34 out of 60 (56.67%)44 out of 60 (73.33%)
Gain/Loss Ratio0.870.62
* Vanguard 500 Index Investor 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 2020Mar 20203 months-16.36%
2May 2015Jan 20169 monthsNov 201610 months1 year 7 months-13.81%
3Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-7.25%
4May 2019May 20191 monthSep 20194 months5 months-3.84%
5Nov 2019Nov 20191 monthDec 20191 month2 months-0.44%
6Jun 2017Jun 20171 monthJul 20171 month2 months-0.43%
7Aug 2017Aug 20171 monthSep 20171 month2 months-0.42%
8Oct 2017Nov 20172 monthsDec 20171 month3 months-0.00%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-19.63%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4May 2019May 20191 monthJun 20191 month2 months-6.36%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
7Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
8Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FKINXFranklin Income A11.53%10.18%16.29%-12.45%-16.36%0.090.120.90

Annual Asset Returns