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 (Aug 2016 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
HD Home Depot, Inc. 14.32%
AMGN Amgen Inc. 14.28%
SBUX Starbucks Corporation 14.28%
NKE Nike, Inc. 14.28%
GOOGL Alphabet Inc. 14.28%
FB Meta Platforms Inc 14.28%
GILD Gilead Sciences, Inc. 14.28%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$24,568 18.36% 15.24%33.20%-6.16%-14.57% 1.121.970.89
SPDR S&P 500 ETF Trust$10,000$23,108 17.01% 14.87%31.22%-4.56%-19.43% 1.061.691.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 1-0.30%18.66%26.75%20.06%18.72%17.58%18.56%15.57%
SPDR S&P 500 ETF Trust0.58%15.91%29.96%15.90%16.80%16.25%18.69%15.10%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2016 are based on monthly returns from August to December
  • The annual results for 2021 are based on monthly returns from January to November
  • 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1SPDR S&P 500 ETF TrustHome Depot, Inc. (HD)Amgen Inc. (AMGN)Starbucks Corporation (SBUX)Nike, Inc. (NKE)Alphabet Inc. (GOOGL)Meta Platforms Inc (FB)Gilead Sciences, Inc. (GILD)
ReturnBalanceReturnBalance
20160.33%-6.16%$9,3844.09%$10,409-1.99%-13.94%-3.58%-7.84%0.14%-7.17%-8.78%
20172.11%26.81%$11,89921.70%$12,66744.61%22.25%5.37%24.70%32.93%53.38%2.97%
20181.91%-0.43%$11,848-4.56%$12,090-7.32%15.17%14.75%19.86%-0.80%-25.71%-9.92%
20192.29%33.20%$15,78131.22%$15,86530.54%27.62%39.07%38.10%28.18%56.57%7.88%
20201.36%23.27%$19,45418.37%$18,78024.55%-2.00%24.17%40.96%30.85%33.09%-6.62%
20216.19%26.29%$24,56823.05%$23,10853.33%-10.82%4.20%20.31%61.92%18.78%22.14%
Annual return for 2016 is from 08/01/2016 to 12/31/2016 and annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1SPDR S&P 500 ETF TrustHome Depot, Inc. (HD)Amgen Inc. (AMGN)Starbucks Corporation (SBUX)Nike, Inc. (NKE)Alphabet Inc. (GOOGL)Meta Platforms Inc (FB)Gilead Sciences, Inc. (GILD)
ReturnBalanceReturnBalance
20168-0.26%$9,9740.12%$10,012-2.48%-0.58%-2.79%3.86%-0.19%1.76%-1.37%
20169-1.88%$9,7860.01%$10,013-4.06%-1.91%-3.72%-8.41%1.80%1.70%1.56%
201610-4.41%$9,355-1.73%$9,839-5.18%-15.38%-1.98%-4.69%0.73%2.12%-6.94%
2016110.39%$9,3923.68%$10,2026.62%2.76%9.73%-0.22%-4.20%-9.60%0.10%
201612-0.09%$9,3842.03%$10,4093.62%1.49%-4.23%1.88%2.14%-2.85%-2.23%
201714.39%$9,7961.79%$10,5952.61%7.16%-0.54%4.07%3.50%13.27%1.17%
201724.90%$10,2763.93%$11,0115.33%13.44%3.45%8.05%3.02%4.01%-2.72%
20173-0.27%$10,2480.13%$11,0251.94%-7.06%2.67%-2.20%0.34%4.80%-2.89%
201743.60%$10,6170.99%$11,1346.31%-0.46%2.86%-0.57%9.05%5.77%0.93%
201750.14%$10,6321.41%$11,292-1.09%-4.26%6.34%-4.37%6.77%0.81%-5.34%
201761.71%$10,8140.64%$11,363-0.07%10.94%-8.33%11.72%-5.82%-0.32%9.95%
201771.94%$11,0232.06%$11,597-2.48%1.32%-7.43%0.08%1.70%12.10%7.50%
201781.00%$11,1340.29%$11,6310.78%2.56%2.10%-10.26%1.03%1.61%10.01%
201791.32%$11,2812.01%$11,8659.13%4.88%-2.10%-1.82%1.93%-0.64%-2.60%
2017101.22%$11,4192.36%$12,1451.36%-6.02%2.10%6.06%6.09%5.38%-7.48%
2017113.21%$11,7863.06%$12,5169.01%0.93%5.99%9.87%0.30%-1.60%-0.24%
2017120.97%$11,8991.21%$12,6675.40%-1.00%-0.67%3.87%1.66%-0.41%-3.53%
201817.90%$12,8405.64%$13,3816.00%6.99%-1.08%9.06%12.23%5.91%16.97%
20182-4.35%$12,281-3.64%$12,895-9.27%-0.50%1.06%-1.74%-6.62%-4.59%-6.05%
20183-4.27%$11,757-2.74%$12,541-1.65%-7.23%1.38%-0.58%-6.05%-10.39%-3.56%
201841.67%$11,9530.52%$12,6063.68%2.35%-0.55%2.93%-1.79%7.64%-4.19%
201853.72%$12,3982.43%$12,9121.50%3.73%-1.05%4.99%7.99%11.50%-6.69%
201862.48%$12,7050.58%$12,9874.58%2.77%-13.80%11.28%2.65%1.32%5.95%
201871.63%$12,9133.70%$13,4681.24%6.48%7.25%-3.48%8.68%-11.19%9.87%
201882.11%$13,1853.19%$13,8982.16%2.34%2.74%7.14%0.37%1.83%-2.70%
201891.17%$13,3400.59%$13,9803.18%3.74%6.34%3.07%-2.01%-6.41%2.74%
201810-9.12%$12,123-6.91%$13,014-15.10%-7.00%2.52%-11.43%-9.65%-7.70%-11.70%
2018113.47%$12,5441.85%$13,2563.12%8.76%15.12%0.40%1.75%-7.37%5.51%
201812-5.55%$11,848-8.79%$12,090-4.71%-6.52%-3.48%-1.30%-5.83%-6.77%-12.32%
201918.98%$12,9118.01%$13,0586.82%-3.88%5.81%10.44%7.74%27.16%11.93%
201920.53%$12,9793.24%$13,4810.88%2.38%3.65%4.70%0.06%-3.14%-7.13%
201932.49%$13,3021.81%$13,7254.42%-0.05%5.81%-1.53%4.47%3.25%0.96%
201944.26%$13,8684.09%$14,2866.15%-5.61%4.49%4.30%1.88%16.02%0.05%
20195-6.99%$12,899-6.38%$13,375-6.80%-6.24%-1.63%-11.92%-7.71%-8.24%-4.29%
201967.84%$13,9106.96%$14,30510.30%10.55%10.22%8.83%-2.14%8.75%9.55%
201974.61%$14,5521.51%$14,5222.75%1.25%12.95%2.48%12.50%0.64%-3.02%
201981.42%$14,759-1.67%$14,2796.65%12.63%2.36%-1.52%-2.27%-4.41%-3.02%
20199-0.41%$14,6971.95%$14,5572.42%-7.24%-8.43%11.15%2.57%-4.09%0.70%
2019101.50%$14,9182.21%$14,8791.10%10.20%-4.37%-4.65%3.08%7.62%0.52%
2019113.12%$15,3843.62%$15,417-6.00%10.80%1.53%4.67%3.60%5.21%5.54%
2019122.58%$15,7812.90%$15,865-0.34%2.71%2.91%8.36%2.71%1.79%-2.46%
20201-1.53%$15,540-0.04%$15,8584.45%-10.38%-3.51%-4.95%6.97%-1.63%-2.74%
20202-4.78%$14,796-7.92%$14,603-4.50%-6.89%-7.11%-6.93%-6.53%-4.68%9.75%
20203-8.88%$13,482-12.46%$12,783-13.69%1.50%-16.18%-7.43%-13.24%-13.34%8.85%
2020415.42%$15,56112.70%$14,40617.74%18.00%16.72%5.37%15.90%22.73%12.36%
202055.62%$16,4364.76%$15,09213.03%-3.34%2.19%13.36%6.45%9.96%-7.35%
20206-0.26%$16,3931.78%$15,3601.42%2.68%-5.64%-0.54%-1.08%0.88%-0.22%
202073.66%$16,9935.89%$16,2655.98%3.74%4.00%-0.45%4.93%11.71%-9.63%
202089.34%$18,5816.98%$17,4007.36%4.23%10.97%14.88%9.52%15.58%-4.00%
20209-1.98%$18,213-3.74%$16,749-2.06%0.33%1.72%12.20%-10.06%-10.68%-4.36%
202010-2.26%$17,801-2.49%$16,332-3.96%-14.64%1.21%-4.35%10.27%0.46%-7.98%
2020117.58%$19,15010.88%$18,1084.01%3.04%13.26%12.18%8.56%5.27%4.33%
2020121.59%$19,4543.71%$18,780-3.72%3.55%9.14%5.24%-0.10%-1.38%-2.88%
20211-1.03%$19,253-1.02%$18,5881.96%5.01%-9.51%-5.57%4.26%-5.43%12.60%
202121.69%$19,5782.78%$19,105-4.61%-6.14%12.07%1.10%10.65%-0.27%-6.40%
202136.91%$20,9314.54%$19,97318.89%10.62%1.15%-1.40%2.01%14.33%6.47%
202145.32%$22,0435.29%$21,0296.03%-3.69%4.78%-0.20%14.11%10.37%-1.79%
202150.71%$22,1990.66%$21,167-1.47%-0.01%-0.13%3.10%0.14%1.12%4.16%
202164.30%$23,1532.25%$21,6430.52%2.44%-1.82%13.21%3.60%5.77%5.24%
202175.38%$24,3982.44%$22,1712.92%-0.91%8.60%8.43%10.35%2.47%-0.83%
202181.64%$24,7972.98%$22,831-0.61%-5.92%-2.87%-1.49%7.40%6.48%6.57%
20219-6.91%$23,085-4.66%$21,7681.15%-5.71%-6.11%-11.84%-7.62%-10.54%-3.06%
2021105.06%$24,2537.02%$23,29513.25%-2.67%-3.84%15.19%10.75%-4.66%-7.12%
2021111.30%$24,568-0.80%$23,1087.77%-3.09%3.81%1.17%-4.15%0.28%6.24%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1SPDR S&P 500 ETF Trust
Large-cap Value30.73%45.80%
Large-cap Growth58.66%54.20%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries8.46%0.00%
Intermediate-Term Treasuries2.15%0.00%
Short-Term Treasuries0.00%0.00%
R Squared80.50%99.95%
Style analysis is based on monthly returns from August 2016 to November 2021 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
TickerNameCategoryWeightTTM YieldContribution
ReturnRisk
HDHome Depot, Inc.Consumer Cyclical / Home Improvement Retail14.32%1.62%$3,25816.28%
AMGNAmgen Inc.Healthcare / Drug Manufacturers - General14.28%3.48%$50212.38%
SBUXStarbucks CorporationConsumer Cyclical / Restaurants14.28%1.65%$1,56712.02%
NKENike, Inc.Consumer Cyclical / Footwear & Accessories14.28%0.66%$3,17915.30%
GOOGLAlphabet Inc.Communication Services / Internet Content & Information14.28%$3,69315.38%
FBMeta Platforms IncCommunication Services / Internet Content & Information14.28%$2,31020.77%
GILDGilead Sciences, Inc.Healthcare / Drug Manufacturers - General14.28%4.04%$58.847.86%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1SPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)1.51%1.41%
Arithmetic Mean (annualized)19.68%18.28%
Geometric Mean (monthly)1.41%1.32%
Geometric Mean (annualized)18.36%17.01%
Standard Deviation (monthly)4.40%4.29%
Standard Deviation (annualized)15.24%14.87%
Downside Deviation (monthly)2.45%2.66%
Max. Drawdown-14.57%-19.43%
US Market Correlation0.891.00
Beta(*)0.931.00
Alpha (annualized)2.38%0.00%
R282.40%100.00%
Sharpe Ratio1.121.06
Sortino Ratio1.971.69
Treynor Ratio (%)18.3615.87
Calmar Ratio1.721.05
Active Return1.35%N/A
Tracking Error6.48%N/A
Information Ratio0.21N/A
Skewness-0.01-0.58
Excess Kurtosis1.241.88
Historical Value-at-Risk (5%)-6.70%-6.83%
Analytical Value-at-Risk (5%)-5.39%-5.65%
Conditional Value-at-Risk (5%)-7.98%-9.02%
Upside Capture Ratio (%)100.06100.00
Downside Capture Ratio (%)91.53100.00
Safe Withdrawal Rate24.72%25.74%
Perpetual Withdrawal Rate14.10%13.03%
Positive Periods45 out of 64 (70.31%)49 out of 64 (76.56%)
Gain/Loss Ratio1.050.73
* SPDR S&P 500 ETF Trust 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 1SPDR S&P 500 ETF Trust
COVID-19 StartJan 2020Mar 2020-14.57%-19.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsMay 20202 months5 months-14.57%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-11.18%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-8.43%
4May 2019May 20191 monthJun 20191 month2 months-6.99%
5Sep 2021Sep 20211 month-6.91%
6Aug 2016Oct 20163 monthsFeb 20174 months7 months-6.45%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-4.20%
8Jan 2021Jan 20211 monthFeb 20211 month2 months-1.03%
9Sep 2019Sep 20191 monthOct 20191 month2 months-0.41%
10Mar 2017Mar 20171 monthApr 20171 month2 months-0.27%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
3May 2019May 20191 monthJun 20191 month2 months-6.38%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
6Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
7Oct 2016Oct 20161 monthNov 20161 month2 months-1.73%
8Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%
9Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%
10Nov 2021Nov 20211 month-0.80%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
HDHome Depot, Inc.24.91%21.50%53.33%-7.32%-19.34%1.101.980.69
AMGNAmgen Inc.5.81%22.93%27.62%-13.94%-18.78%0.310.490.42
SBUXStarbucks Corporation14.90%22.84%39.07%-3.58%-31.26%0.681.130.55
NKENike, Inc.24.56%23.78%40.96%-7.84%-18.11%1.001.850.60
GOOGLAlphabet Inc.27.06%21.65%61.92%-0.80%-18.90%1.172.140.71
FBMeta Platforms Inc19.77%28.27%56.57%-25.71%-32.54%0.741.400.65
GILDGilead Sciences, Inc.0.76%22.65%22.14%-9.92%-29.41%0.100.160.21

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
Quarter to DateYear To Date1 year3 year5 year
Home Depot, Inc.3.46%25.64%20.84%19.45%23.46%
Amgen Inc.-12.09%-5.45%-13.89%3.79%8.00%
Starbucks Corporation-0.96%4.38%30.59%27.10%17.56%
Nike, Inc.-5.84%3.24%16.58%20.83%23.82%
Alphabet Inc.9.49%52.54%82.42%30.35%27.16%
Meta Platforms Inc-2.39%24.25%29.59%27.32%21.48%
Gilead Sciences, Inc.2.46%23.77%15.41%0.62%1.05%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameHDAMGNSBUXNKEGOOGLFBGILDPortfolio 1SPDR S&P 500 ETF Trust
HDHome Depot, Inc.1.000.400.320.450.490.490.210.770.71
AMGNAmgen Inc.0.401.000.210.290.090.230.450.550.43
SBUXStarbucks Corporation0.320.211.000.220.400.26-0.090.530.55
NKENike, Inc.0.450.290.221.000.330.360.070.650.60
GOOGLAlphabet Inc.0.490.090.400.331.000.570.100.720.72
FBMeta Platforms Inc0.490.230.260.360.571.000.200.750.66
GILDGilead Sciences, Inc.0.210.45-0.090.070.100.201.000.350.22

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
HDHome Depot, Inc.$3,258
AMGNAmgen Inc.$502
SBUXStarbucks Corporation$1,567
NKENike, Inc.$3,179
GOOGLAlphabet Inc.$3,693
FBMeta Platforms Inc$2,310
GILDGilead Sciences, Inc.$58.84

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
HDHome Depot, Inc.16.28%
AMGNAmgen Inc.12.38%
SBUXStarbucks Corporation12.02%
NKENike, Inc.15.30%
GOOGLAlphabet Inc.15.38%
FBMeta Platforms Inc20.77%
GILDGilead Sciences, Inc.7.86%

Annual Asset Returns

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YearHome Depot, Inc. (HD) AllocationAmgen Inc. (AMGN) AllocationStarbucks Corporation (SBUX) AllocationNike, Inc. (NKE) AllocationAlphabet Inc. (GOOGL) AllocationMeta Platforms Inc (FB) AllocationGilead Sciences, Inc. (GILD) Allocation
201614.32%14.28%14.28%14.28%14.28%14.28%14.28%
201714.96%13.10%14.67%14.03%15.24%14.13%13.88%
201817.06%12.63%12.19%13.79%15.97%17.09%11.27%
201915.88%14.60%14.05%16.60%15.92%12.75%10.20%
202015.56%13.99%14.67%17.21%15.32%14.99%8.26%
202115.72%11.12%14.78%19.68%16.26%16.18%6.26%