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 (Nov 2017 - Dec 2020)

Portfolio Allocations

PIMCO Income Instl
Ticker Name Allocation
PIMIX PIMCO Income Instl 100.00%
Save portfolio »
Performance Trust Strategic Bond
Ticker Name Allocation
PTIAX Performance Trust Strategic Bond 100.00%
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Thornburg Strategic Income I
Ticker Name Allocation
TSIIX Thornburg Strategic Income I 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PIMCO Income Instl$10,000$11,564 4.69% 5.63%8.05%0.57%-8.39% 0.580.710.68
Performance Trust Strategic Bond$10,000$11,678 5.02% 4.58%7.36%0.86%-6.03% 0.771.000.38
Thornburg Strategic Income I$10,000$11,802 5.37% 4.83%8.25%0.35%-6.50% 0.801.040.69
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 yearFull3 year
PIMCO Income Instl4.46%5.80%5.80%4.76%4.69%5.78%
Performance Trust Strategic Bond1.79%5.73%5.73%5.01%5.02%4.70%
Thornburg Strategic Income I2.85%8.25%8.25%5.56%5.37%4.96%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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 2017 are based on monthly returns from November to December
  • 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
YearInflationPIMCO Income InstlPerformance Trust Strategic BondThornburg Strategic Income IPIMCO Income Instl (PIMIX)Performance Trust Strategic Bond (PTIAX)Thornburg Strategic Income I (TSIIX)
ReturnBalanceReturnBalanceReturnBalance
2017-0.06%0.57%$10,0570.86%$10,0860.35%$10,0350.57%0.86%0.35%
20181.91%0.58%$10,1162.01%$10,2880.68%$10,1030.58%2.01%0.68%
20192.29%8.05%$10,9307.36%$11,0457.91%$10,9028.05%7.36%7.91%
20201.36%5.80%$11,5645.73%$11,6788.25%$11,8025.80%5.73%8.25%
Annual return for 2017 is from 11/01/2017 to 12/31/2017
Monthly returns for the configured portfolios
YearMonthPIMCO Income InstlPerformance Trust Strategic BondThornburg Strategic Income IPIMCO Income Instl (PIMIX)Performance Trust Strategic Bond (PTIAX)Thornburg Strategic Income I (TSIIX)
ReturnBalanceReturnBalanceReturnBalance
2017110.29%$10,0290.25%$10,0250.10%$10,0100.29%0.25%0.10%
2017120.29%$10,0570.61%$10,0860.25%$10,0350.29%0.61%0.25%
20181-0.28%$10,029-0.64%$10,0210.08%$10,043-0.28%-0.64%0.08%
20182-0.44%$9,985-0.13%$10,008-0.27%$10,016-0.44%-0.13%-0.27%
201830.45%$10,0300.76%$10,085-0.00%$10,0160.45%0.76%-0.00%
20184-0.45%$9,985-0.28%$10,057-0.09%$10,007-0.45%-0.28%-0.09%
20185-0.04%$9,9820.66%$10,1230.28%$10,035-0.04%0.66%0.28%
201860.05%$9,9860.22%$10,1460.02%$10,0370.05%0.22%0.02%
201870.55%$10,041-0.08%$10,1380.46%$10,0830.55%-0.08%0.46%
20188-0.16%$10,0250.64%$10,2030.46%$10,130-0.16%0.64%0.46%
201890.17%$10,042-0.25%$10,1780.12%$10,1420.17%-0.25%0.12%
201810-0.12%$10,030-0.40%$10,137-0.49%$10,092-0.12%-0.40%-0.49%
2018110.05%$10,0340.67%$10,2050.03%$10,0960.05%0.67%0.03%
2018120.81%$10,1160.81%$10,2880.08%$10,1030.81%0.81%0.08%
201911.66%$10,2830.74%$10,3641.64%$10,2691.66%0.74%1.64%
201920.46%$10,3310.37%$10,4030.68%$10,3390.46%0.37%0.68%
201930.88%$10,4221.49%$10,5580.85%$10,4270.88%1.49%0.85%
201940.88%$10,5140.38%$10,5980.67%$10,4970.88%0.38%0.67%
201950.46%$10,5621.58%$10,7650.42%$10,5420.46%1.58%0.42%
201961.04%$10,6720.88%$10,8601.02%$10,6491.04%0.88%1.02%
201970.29%$10,7030.16%$10,8780.33%$10,6840.29%0.16%0.33%
20198-1.11%$10,5842.04%$11,0990.90%$10,780-1.11%2.04%0.90%
201990.72%$10,660-0.34%$11,0610.05%$10,7860.72%-0.34%0.05%
2019100.72%$10,7370.12%$11,0750.31%$10,8190.72%0.12%0.31%
2019110.46%$10,7860.01%$11,0760.22%$10,8420.46%0.01%0.22%
2019121.33%$10,930-0.28%$11,0450.55%$10,9021.33%-0.28%0.55%
202010.79%$11,0172.19%$11,2870.80%$10,9890.79%2.19%0.80%
20202-0.45%$10,9671.52%$11,4580.20%$11,011-0.45%1.52%0.20%
20203-7.97%$10,093-6.03%$10,768-6.50%$10,295-7.97%-6.03%-6.50%
202042.24%$10,3190.48%$10,8192.81%$10,5852.24%0.48%2.81%
202052.29%$10,5551.88%$11,0232.92%$10,8942.29%1.88%2.92%
202061.81%$10,7461.51%$11,1892.09%$11,1221.81%1.51%2.09%
202071.44%$10,9011.92%$11,4041.97%$11,3421.44%1.92%1.97%
202081.46%$11,0610.13%$11,4180.80%$11,4331.46%0.13%0.80%
202090.09%$11,0700.48%$11,4730.37%$11,4750.09%0.48%0.37%
2020100.26%$11,098-0.51%$11,4140.43%$11,5250.26%-0.51%0.43%
2020112.65%$11,3921.61%$11,5971.52%$11,6992.65%1.61%1.52%
2020121.50%$11,5640.70%$11,6780.88%$11,8021.50%0.70%0.88%

Holdings Based Style Analysis for PIMCO Income Instl

Holdings Based Style Analysis for PIMCO Income Instl
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
PIMIXPIMCO Income InstlMultisector Bond100.00%2.47%4.05%0.62%0.62%11.051.87$1,564100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Performance Trust Strategic Bond

Holdings Based Style Analysis for Performance Trust Strategic Bond
TickerNameCategoryWeightYieldExpense RatioContribution
SECTTMNetGrossReturnRisk
PTIAXPerformance Trust Strategic BondIntermediate Core-Plus Bond100.00%3.78%3.45%0.79%0.79%$1,678100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Thornburg Strategic Income I

Holdings Based Style Analysis for Thornburg Strategic Income I
TickerNameCategoryWeightYieldExpense RatioDurationContribution
SECTTMNetGrossReturnRisk
TSIIXThornburg Strategic Income IMultisector Bond100.00%0.02%4.03%0.60%0.88%2.97$1,802100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (c) 2021 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
MetricPIMCO Income InstlPerformance Trust Strategic BondThornburg Strategic Income I
Arithmetic Mean (monthly)0.40%0.42%0.45%
Arithmetic Mean (annualized)4.86%5.13%5.49%
Geometric Mean (monthly)0.38%0.41%0.44%
Geometric Mean (annualized)4.69%5.02%5.37%
Standard Deviation (monthly)1.62%1.32%1.39%
Standard Deviation (annualized)5.63%4.58%4.83%
Downside Deviation (monthly)1.31%0.99%1.06%
Max. Drawdown-8.39%-6.03%-6.50%
US Market Correlation0.680.380.69
Beta(*)0.200.090.17
Alpha (annualized)1.57%3.57%2.62%
R246.75%14.52%46.98%
Sharpe Ratio0.580.770.80
Sortino Ratio0.711.001.04
Treynor Ratio (%)16.4139.0122.57
Calmar Ratio0.570.830.86
Active Return-10.31%-9.99%-9.64%
Tracking Error15.85%17.92%16.24%
Information Ratio-0.65-0.56-0.59
Skewness-3.72-3.07-3.13
Excess Kurtosis19.4915.1617.04
Historical Value-at-Risk (5%)-0.55%-0.53%-0.30%
Analytical Value-at-Risk (5%)-2.27%-1.76%-1.85%
Conditional Value-at-Risk (5%)-4.54%-3.33%-3.49%
Upside Capture Ratio (%)18.3011.0017.22
Downside Capture Ratio (%)13.48-3.677.65
Safe Withdrawal Rate25.86%26.12%25.94%
Perpetual Withdrawal Rate2.24%2.49%2.74%
Positive Periods29 out of 38 (76.32%)28 out of 38 (73.68%)33 out of 38 (86.84%)
Gain/Loss Ratio0.730.990.50
* 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 PeriodStartEndPIMCO Income InstlPerformance Trust Strategic BondThornburg Strategic Income I
COVID-19 StartJan 2020Mar 2020-8.39%-6.03%-6.50%

Drawdowns for PIMCO Income Instl

Drawdowns for PIMCO Income Instl
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsAug 20205 months7 months-8.39%
2Aug 2019Aug 20191 monthOct 20192 months3 months-1.11%
3Jan 2018May 20185 monthsDec 20187 months1 year-0.75%

Drawdowns for Performance Trust Strategic Bond

Drawdowns for Performance Trust Strategic Bond
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthSep 20206 months7 months-6.03%
2Jan 2018Feb 20182 monthsMay 20183 months5 months-0.77%
3Sep 2018Oct 20182 monthsNov 20181 month3 months-0.65%
4Oct 2020Oct 20201 monthNov 20201 month2 months-0.51%
5Sep 2019Dec 20194 monthsJan 20201 month5 months-0.49%
6Jul 2018Jul 20181 monthAug 20181 month2 months-0.08%

Drawdowns for Thornburg Strategic Income I

Drawdowns for Thornburg Strategic Income I
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthJun 20203 months4 months-6.50%
2Oct 2018Oct 20181 monthJan 20193 months4 months-0.49%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-0.36%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PIMIXPIMCO Income Instl4.69%5.63%8.05%0.57%-8.39%0.580.710.68
PTIAXPerformance Trust Strategic Bond5.02%4.58%7.36%0.86%-6.03%0.771.000.38
TSIIXThornburg Strategic Income I5.37%4.83%8.25%0.35%-6.50%0.801.040.69

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 yearNetGross
PIMCO Income Instl4.46%5.80%5.80%4.76%0.62%0.62%
Performance Trust Strategic Bond1.79%5.73%5.73%5.01%0.79%0.79%
Thornburg Strategic Income I2.85%8.25%8.25%5.56%0.60%0.88%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNamePIMIXPTIAXTSIIXPIMCO Income InstlPerformance Trust Strategic BondThornburg Strategic Income I
PIMIXPIMCO Income Instl1.000.790.931.000.790.93
PTIAXPerformance Trust Strategic Bond0.791.000.850.791.000.85
TSIIXThornburg Strategic Income I0.930.851.000.930.851.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePIMCO Income InstlPerformance Trust Strategic BondThornburg Strategic Income I
PIMIXPIMCO Income Instl$1,564
PTIAXPerformance Trust Strategic Bond$1,678
TSIIXThornburg Strategic Income I$1,802

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePIMCO Income InstlPerformance Trust Strategic BondThornburg Strategic Income I
PIMIXPIMCO Income Instl100.00%
PTIAXPerformance Trust Strategic Bond100.00%
TSIIXThornburg Strategic Income I100.00%

Annual Asset Returns