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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Mar 2017 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
CTFAX Columbia Thermostat A 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWIAX Vanguard Wellesley Income Admiral 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
PRWCX T. Rowe Price Capital Appreciation 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,563 11.34% 5.76%22.18%-0.13%-2.31% 1.626.750.70
Portfolio 2$10,000$12,673 7.00% 6.49%16.47%-2.49%-8.58% 0.851.250.89
Portfolio 3$10,000$14,864 11.99% 10.85%24.61%0.62%-13.72% 0.961.510.96
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 yearFull
Portfolio 17.72%22.18%26.14%12.28%11.34%
Portfolio 23.51%3.47%6.63%6.91%7.00%
Portfolio 37.43%7.46%13.76%11.89%11.99%
Trailing returns are for full months ending in August 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 2017 are based on monthly returns from March to December
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceColumbia Thermostat A (CTFAX)Vanguard Wellesley Income Admiral (VWIAX)T. Rowe Price Capital Appreciation (PRWCX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20171.20%3.84%7.84%10.32%$10,384$10,784$11,0323.84%7.84%10.32%
20181.91%-0.13%-2.49%0.62%$10,370$10,516$11,100-0.13%-2.49%0.62%
20192.29%14.94%16.47%24.61%$11,919$12,248$13,83214.94%16.47%24.61%
20200.83%22.18%3.47%7.46%$14,563$12,673$14,86422.18%3.47%7.46%
Annual returns for 2017 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceColumbia Thermostat A (CTFAX)Vanguard Wellesley Income Admiral (VWIAX)T. Rowe Price Capital Appreciation (PRWCX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201730.14%-0.03%0.73%$10,014$9,997$10,0730.14%-0.03%0.73%
201740.68%0.70%1.45%$10,081$10,068$10,2190.68%0.70%1.45%
201750.87%1.17%1.64%$10,169$10,186$10,3870.87%1.17%1.64%
201760.09%0.39%0.49%$10,178$10,226$10,4380.09%0.39%0.49%
201770.68%0.88%0.70%$10,247$10,316$10,5110.68%0.88%0.70%
201780.40%0.55%0.94%$10,288$10,372$10,6100.40%0.55%0.94%
201790.27%0.84%1.00%$10,316$10,459$10,7160.27%0.84%1.00%
2017100.33%0.93%1.02%$10,350$10,556$10,8250.33%0.93%1.02%
2017110.13%1.07%1.85%$10,364$10,669$11,0260.13%1.07%1.85%
2017120.19%1.08%0.06%$10,384$10,784$11,0320.19%1.08%0.06%
201810.07%0.57%3.64%$10,391$10,846$11,4340.07%0.57%3.64%
20182-0.68%-2.73%-2.76%$10,320$10,550$11,118-0.68%-2.73%-2.76%
201830.41%-0.27%-0.35%$10,362$10,522$11,0790.41%-0.27%-0.35%
20184-0.48%-0.49%0.32%$10,313$10,470$11,114-0.48%-0.49%0.32%
201850.96%0.67%0.81%$10,412$10,540$11,2040.96%0.67%0.81%
201860.23%0.16%0.97%$10,436$10,557$11,3130.23%0.16%0.97%
201870.55%2.06%2.34%$10,493$10,775$11,5780.55%2.06%2.34%
201880.89%0.56%2.39%$10,587$10,835$11,8550.89%0.56%2.39%
20189-0.54%-0.21%-0.07%$10,529$10,812$11,847-0.54%-0.21%-0.07%
201810-1.78%-2.28%-3.98%$10,342$10,566$11,375-1.78%-2.28%-3.98%
2018110.77%1.65%2.26%$10,421$10,740$11,6330.77%1.65%2.26%
201812-0.50%-2.08%-4.58%$10,370$10,516$11,100-0.50%-2.08%-4.58%
201913.47%3.23%7.09%$10,729$10,856$11,8873.47%3.23%7.09%
201920.98%1.52%2.46%$10,834$11,021$12,1790.98%1.52%2.46%
201931.45%1.87%1.99%$10,991$11,227$12,4221.45%1.87%1.99%
201940.54%1.10%2.43%$11,051$11,351$12,7230.54%1.10%2.43%
20195-0.81%-0.63%-2.14%$10,961$11,279$12,451-0.81%-0.63%-2.14%
201963.61%3.15%4.67%$11,357$11,635$13,0333.61%3.15%4.67%
201970.66%0.46%0.61%$11,432$11,689$13,1120.66%0.46%0.61%
201980.99%1.68%-0.35%$11,545$11,885$13,0660.99%1.68%-0.35%
201990.20%0.63%0.32%$11,568$11,960$13,1080.20%0.63%0.32%
2019100.98%0.64%1.15%$11,681$12,036$13,2590.98%0.64%1.15%
2019111.29%0.60%2.43%$11,832$12,109$13,5811.29%0.60%2.43%
2019120.74%1.15%1.84%$11,919$12,248$13,8320.74%1.15%1.84%
202011.19%1.28%2.02%$12,061$12,406$14,1111.19%1.28%2.02%
202020.33%-2.45%-4.90%$12,100$12,102$13,4200.33%-2.45%-4.90%
202030.07%-6.29%-9.28%$12,108$11,341$12,1750.07%-6.29%-9.28%
202048.66%5.71%9.68%$13,157$11,988$13,3538.66%5.71%9.68%
202052.76%2.13%3.62%$13,519$12,244$13,8362.76%2.13%3.62%
202061.41%0.47%0.10%$13,710$12,301$13,8491.41%0.47%0.10%
202073.37%2.81%5.12%$14,172$12,647$14,5583.37%2.81%5.12%
202082.76%0.21%2.10%$14,563$12,673$14,8642.76%0.21%2.10%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2Portfolio 3
Large-cap Value23.15%27.05%
Large-cap Growth4.30%24.93%
Mid-cap Value0.00%0.00%
Mid-cap Growth3.47%11.59%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets2.39%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds31.36%18.44%
Long-Term Treasuries6.97%5.13%
Intermediate-Term Treasuries2.98%12.86%
Short-Term Treasuries25.39%0.00%
R Squared96.32%95.65%
Style analysis is based on monthly returns from Mar 2017 to Aug 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
CTFAXColumbia Thermostat ATactical Allocation100.00%0.89%22.994.68$4,563100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VWIAXVanguard Wellesley Income Admiral30% to 50% Equity100.00%0.16%16.508.03$2,673100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
PRWCXT. Rowe Price Capital Appreciation50% to 70% Equity100.00%0.70%27.402.69$4,864100.00%

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 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.91%0.58%1.00%
Arithmetic Mean (annualized)11.51%7.22%12.63%
Geometric Mean (monthly)0.90%0.57%0.95%
Geometric Mean (annualized)11.34%7.00%11.99%
Volatility (monthly)1.66%1.87%3.13%
Volatility (annualized)5.76%6.49%10.85%
Downside Deviation (monthly)0.35%1.23%1.95%
Max. Drawdown-2.31%-8.58%-13.72%
US Market Correlation0.700.890.96
Beta(*)0.240.340.62
Alpha (annualized)7.59%2.23%3.32%
R249.42%78.35%91.98%
Sharpe Ratio1.620.850.96
Sortino Ratio6.751.251.51
Treynor Ratio (%)39.4516.1916.98
Calmar Ratio5.310.800.87
Active Return-2.00%-6.33%-1.35%
Tracking Error13.46%11.53%7.16%
Information Ratio-0.15-0.55-0.19
Skewness2.72-0.94-0.52
Excess Kurtosis11.004.523.20
Historical Value-at-Risk (5%)-0.79%-2.68%-4.85%
Analytical Value-at-Risk (5%)-1.82%-2.50%-4.15%
Conditional Value-at-Risk (5%)-1.30%-4.51%-7.09%
Upside Capture Ratio (%)35.4034.8064.18
Downside Capture Ratio (%)1.6026.9951.05
Safe Withdrawal Rate35.04%35.96%38.33%
Perpetual Withdrawal Rate9.95%5.67%10.56%
Positive Periods36 out of 42 (85.71%)32 out of 42 (76.19%)33 out of 42 (78.57%)
Gain/Loss Ratio1.500.750.67
* 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
1Sep 2018Oct 20182 monthsJan 20193 months5 months-2.31%
2May 2019May 20191 monthJun 20191 month2 months-0.81%
3Feb 2018Apr 20183 monthsMay 20181 month4 months-0.75%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-8.58%
2Feb 2018Apr 20183 monthsJan 20199 months1 year-3.46%
3May 2019May 20191 monthJun 20191 month2 months-0.63%
4Mar 2017Mar 20171 monthApr 20171 month2 months-0.03%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-13.72%
2Sep 2018Dec 20184 monthsJan 20191 month5 months-6.37%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-3.10%
4May 2019May 20191 monthJun 20191 month2 months-2.14%
5Aug 2019Aug 20191 monthOct 20192 months3 months-0.35%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
CTFAXColumbia Thermostat A11.34%5.76%22.18%-0.13%-2.31%1.626.750.70
VWIAXVanguard Wellesley Income Admiral7.00%6.49%16.47%-2.49%-8.58%0.851.250.89
PRWCXT. Rowe Price Capital Appreciation11.99%10.85%24.61%0.62%-13.72%0.961.510.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameCTFAXVWIAXPRWCXPortfolio 1Portfolio 2Portfolio 3
CTFAXColumbia Thermostat A1.000.710.731.000.710.73
VWIAXVanguard Wellesley Income Admiral0.711.000.940.711.000.94
PRWCXT. Rowe Price Capital Appreciation0.730.941.000.730.941.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
CTFAXColumbia Thermostat A$4,563
VWIAXVanguard Wellesley Income Admiral$2,673
PRWCXT. Rowe Price Capital Appreciation$4,864

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
CTFAXColumbia Thermostat A100.00%
VWIAXVanguard Wellesley Income Admiral100.00%
PRWCXT. Rowe Price Capital Appreciation100.00%

Annual Asset Returns