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 (Feb 2018 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
WFRPX Wealthfront Risk Parity W 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 30.00%
TLT iShares 20+ Year Treasury Bond ETF 40.00%
IEF iShares 7-10 Year Treasury Bond ETF 15.00%
DBC Invesco DB Commodity Tracking 7.50%
GLD SPDR Gold Shares 7.50%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,396 7.05% 12.38%32.51%-14.00%-15.09% 0.450.690.66
Portfolio 2$10,000$11,444 7.29% 6.61%18.28%-3.25%-4.83% 0.801.360.51
   
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 2018 are based on monthly returns from February 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 backtested 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
YearInflationReturnBalanceWealthfront Risk Parity W (WFRPX)Vanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)Invesco DB Commodity Tracking (DBC)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20181.36%-14.00%-3.25%$8,600$9,675-14.00%-9.92%1.70%3.21%-14.15%-5.01%
20192.29%32.51%18.28%$11,396$11,44432.51%30.67%14.12%8.03%11.84%17.86%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceWealthfront Risk Parity W (WFRPX)Vanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)Invesco DB Commodity Tracking (DBC)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20182-6.04%-2.86%$9,396$9,714-6.04%-3.76%-3.04%-0.93%-2.92%-2.08%
201830.75%0.96%$9,466$9,8070.75%-1.95%2.86%1.16%2.29%0.63%
20184-2.60%-0.73%$9,220$9,736-2.60%0.45%-2.09%-1.28%3.42%-0.95%
201850.44%1.87%$9,261$9,9180.44%2.72%2.01%0.99%2.68%-1.20%
20186-0.87%0.08%$9,180$9,926-0.87%0.70%0.65%0.20%-1.94%-3.61%
201872.32%-0.02%$9,393$9,9232.32%3.32%-1.44%-0.53%-2.43%-2.24%
20188-0.32%1.64%$9,363$10,086-0.32%3.43%1.31%1.01%0.75%-2.14%
20189-1.08%-1.04%$9,262$9,981-1.08%0.20%-2.86%-1.20%3.39%-0.66%
201810-8.32%-3.83%$8,491$9,599-8.32%-7.41%-2.93%-0.30%-5.62%2.12%
2018111.79%0.78%$8,643$9,6741.79%2.01%1.79%1.33%-9.85%0.34%
201812-0.50%0.01%$8,600$9,675-0.50%-9.16%5.85%2.80%-3.99%4.94%
201917.12%3.56%$9,212$10,0197.12%8.54%0.38%0.65%7.11%2.89%
201920.33%0.68%$9,243$10,0880.33%3.56%-1.38%-0.52%2.84%-0.61%
201935.41%2.81%$9,743$10,3715.41%1.42%5.57%2.66%-0.38%-1.60%
201940.79%0.45%$9,819$10,4180.79%3.93%-1.99%-0.52%1.19%-0.66%
20195-1.78%0.57%$9,645$10,477-1.78%-6.45%6.84%3.05%-5.97%1.76%
201966.70%3.58%$10,291$10,8536.70%7.08%0.95%1.22%3.97%8.00%
20197-0.02%0.47%$10,289$10,904-0.02%1.41%0.26%0.04%-1.14%0.01%
201984.01%4.48%$10,701$11,3934.01%-2.08%11.04%3.95%-4.63%7.91%
20199-0.19%-0.92%$10,681$11,288-0.19%1.78%-2.68%-1.19%1.42%-3.39%
2019102.62%0.54%$10,961$11,3492.62%2.11%-1.11%0.19%1.93%2.56%
2019110.19%0.68%$10,981$11,4260.19%3.79%-0.41%-0.69%-0.13%-3.21%
2019123.77%0.16%$11,396$11,4443.77%2.80%-3.20%-0.93%5.85%3.66%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
WFRPXWealthfront Risk Parity WWorld Allocation0.25%100.00%$1,396100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%30.00%$59234.37%
TLTiShares 20+ Year Treasury Bond ETFLong Government17.990.15%40.00%$61548.84%
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.590.15%15.00%$1657.22%
DBCInvesco DB Commodity TrackingCommodities Broad Basket0.85%7.50%-$20.223.98%
GLDSPDR Gold SharesCommodities Precious Metals0.40%7.50%$91.965.59%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/04/2020. (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)0.63%0.61%
Arithmetic Mean (annualized)7.84%7.51%
Geometric Mean (monthly)0.57%0.59%
Geometric Mean (annualized)7.05%7.29%
Volatility (monthly)3.57%1.91%
Volatility (annualized)12.38%6.61%
Downside Deviation (monthly)2.26%1.05%
Max. Drawdown-15.09%-4.83%
US Market Correlation0.660.51
Beta(*)0.550.22
Alpha (annualized)2.32%5.12%
R244.08%25.85%
Sharpe Ratio0.450.80
Sortino Ratio0.691.36
Treynor Ratio (%)10.1023.32
Active Return-1.74%-1.51%
Tracking Error11.45%12.91%
Information Ratio-0.15-0.12
Skewness-0.42-0.11
Excess Kurtosis1.110.85
Historical Value-at-Risk (5%)-7.86%-3.63%
Analytical Value-at-Risk (5%)-5.25%-2.44%
Conditional Value-at-Risk (5%)-8.32%-3.83%
Upside Capture Ratio (%)50.0827.28
Downside Capture Ratio (%)41.233.00
Safe Withdrawal Rate47.89%51.19%
Perpetual Withdrawal Rate4.62%4.82%
Positive Periods13 out of 23 (56.52%)17 out of 23 (73.91%)
Gain/Loss Ratio1.280.88
* 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
1Feb 2018Oct 20189 monthsJun 20198 months1 year 5 months-15.09%
2Sep 2019Sep 20191 monthOct 20191 month2 months-0.19%
3Jul 2019Jul 20191 monthAug 20191 month2 months-0.02%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Oct 20182 monthsFeb 20194 months6 months-4.83%
2Feb 2018Feb 20181 monthAug 20186 months7 months-2.86%
3Sep 2019Sep 20191 monthNov 20192 months3 months-0.92%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
WFRPXWealthfront Risk Parity W7.05%12.38%32.51%-14.00%-15.09%0.450.690.66
VTIVanguard Total Stock Market ETF8.88%14.92%30.67%-9.92%-14.20%0.510.721.00
TLTiShares 20+ Year Treasury Bond ETF8.08%12.75%14.12%1.70%-7.22%0.511.12-0.32
IEFiShares 7-10 Year Treasury Bond ETF5.84%5.17%8.03%3.21%-2.59%0.741.63-0.32
DBCInvesco DB Commodity Tracking-2.10%14.26%11.84%-14.15%-18.58%-0.22-0.280.62
GLDSPDR Gold Shares6.06%11.34%17.86%-5.01%-11.66%0.400.79-0.13

Monthly Correlations

Correlations for the portfolio assets
TickerNameWFRPXVTITLTIEFDBCGLDPortfolio 1Portfolio 2
WFRPXWealthfront Risk Parity W1.000.660.330.340.410.391.000.87
VTIVanguard Total Stock Market ETF0.661.00-0.32-0.320.62-0.130.660.51
TLTiShares 20+ Year Treasury Bond ETF0.33-0.321.000.97-0.400.450.330.63
IEFiShares 7-10 Year Treasury Bond ETF0.34-0.320.971.00-0.420.530.340.62
DBCInvesco DB Commodity Tracking0.410.62-0.40-0.421.000.000.410.25
GLDSPDR Gold Shares0.39-0.130.450.530.001.000.390.44

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
WFRPXWealthfront Risk Parity W$1,396
VTIVanguard Total Stock Market ETF$592
TLTiShares 20+ Year Treasury Bond ETF$615
IEFiShares 7-10 Year Treasury Bond ETF$165
DBCInvesco DB Commodity Tracking-$20.22
GLDSPDR Gold Shares$91.96

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
WFRPXWealthfront Risk Parity W100.00%
VTIVanguard Total Stock Market ETF34.37%
TLTiShares 20+ Year Treasury Bond ETF48.84%
IEFiShares 7-10 Year Treasury Bond ETF7.22%
DBCInvesco DB Commodity Tracking3.98%
GLDSPDR Gold Shares5.59%

Annual Asset Returns