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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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 (Apr 2017 - Jun 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
AWP Aberdeen Gbl Prem Properties Fd 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VNQI Vanguard Global ex-US Real Est ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VNQ Vanguard Real Estate ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,639 14.79% 18.04%32.29%-18.46%-19.09% 0.761.350.67
Portfolio 2$10,000$12,130 8.96% 12.27%18.13%-9.42%-15.54% 0.631.040.62
Portfolio 3$10,000$11,654 7.04% 13.54%19.16%-6.02%-11.73% 0.450.710.59
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2017 are based on full calendar months from April to December
  • The annual results for 2019 are based on full calendar months from January to June
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeAberdeen Gbl Prem Properties Fd (AWP)Vanguard Global ex-US Real Est ETF (VNQI)Vanguard Real Estate ETF (VNQ)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20171.12%26.45%18.13%4.07%$12,645$11,813$10,4078.12% [$812]4.42% [$442]3.57% [$357]26.45%18.13%4.07%
20181.91%-18.46%-9.42%-6.02%$10,311$10,700$9,7819.30% [$1,176]4.05% [$479]4.33% [$450]-18.46%-9.42%-6.02%
20191.93%32.29%13.36%19.16%$13,639$12,130$11,6546.16% [$635]0.77% [$82.89]1.94% [$190]32.29%13.36%19.16%
Annual returns for 2017 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceAberdeen Gbl Prem Properties Fd (AWP)Vanguard Global ex-US Real Est ETF (VNQI)Vanguard Real Estate ETF (VNQ)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201747.21%2.25%0.24%$10,721$10,225$10,0247.21%2.25%0.24%
201751.98%3.64%-0.72%$10,933$10,597$9,9521.98%3.64%-0.72%
201763.91%0.15%2.23%$11,361$10,613$10,1733.91%0.15%2.23%
201773.15%4.09%1.24%$11,719$11,047$10,2993.15%4.09%1.24%
201781.71%1.26%-0.26%$11,920$11,187$10,2721.71%1.26%-0.26%
201792.00%0.50%-0.11%$12,158$11,243$10,2612.00%0.50%-0.11%
201710-1.54%0.42%-1.07%$11,971$11,290$10,152-1.54%0.42%-1.07%
2017110.32%1.39%2.66%$12,010$11,448$10,4220.32%1.39%2.66%
2017125.29%3.19%-0.14%$12,645$11,813$10,4075.29%3.19%-0.14%
20181-1.36%5.49%-4.25%$12,473$12,461$9,965-1.36%5.49%-4.25%
20182-2.87%-7.05%-7.68%$12,115$11,583$9,199-2.87%-7.05%-7.68%
20183-1.11%2.83%3.88%$11,981$11,910$9,556-1.11%2.83%3.88%
201843.06%0.53%0.82%$12,348$11,973$9,6353.06%0.53%0.82%
20185-0.48%-1.39%3.68%$12,288$11,807$9,989-0.48%-1.39%3.68%
201862.07%-2.61%4.20%$12,543$11,499$10,4092.07%-2.61%4.20%
20187-1.57%1.58%0.60%$12,346$11,681$10,472-1.57%1.58%0.60%
201883.22%-2.03%2.58%$12,744$11,443$10,7413.22%-2.03%2.58%
20189-4.26%-2.40%-2.64%$12,202$11,169$10,458-4.26%-2.40%-2.64%
201810-10.43%-5.77%-2.93%$10,929$10,525$10,152-10.43%-5.77%-2.93%
2018113.53%4.02%4.67%$11,315$10,948$10,6263.53%4.02%4.67%
201812-8.88%-2.26%-7.96%$10,311$10,700$9,781-8.88%-2.26%-7.96%
2019116.73%9.46%11.85%$12,035$11,713$10,94016.73%9.46%11.85%
20192-1.05%-0.75%0.70%$11,909$11,625$11,016-1.05%-0.75%0.70%
201937.27%4.62%4.21%$12,775$12,162$11,4807.27%4.62%4.21%
201940.18%-1.80%-0.16%$12,798$11,944$11,4620.18%-1.80%-0.16%
201950.16%-1.78%0.14%$12,819$11,731$11,4770.16%-1.78%0.14%
201966.40%3.40%1.54%$13,639$12,130$11,6546.40%3.40%1.54%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
AWPAberdeen Gbl Prem Properties FdClosed-End Fund100.00%$3,639100.00%

Asset Allocation

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VNQIVanguard Global ex-US Real Est ETFGlobal Real Estate0.12%100.00%$2,130100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VNQVanguard Real Estate ETFReal Estate0.12%100.00%$1,654100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 2019 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)1.28%0.78%0.64%
Arithmetic Mean (annualized)16.55%9.74%7.98%
Geometric Mean (monthly)1.16%0.72%0.57%
Geometric Mean (annualized)14.79%8.96%7.04%
Volatility (monthly)5.21%3.54%3.91%
Volatility (annualized)18.04%12.27%13.54%
Downside Deviation (monthly)2.87%2.05%2.42%
Max. Drawdown-19.09%-15.54%-11.73%
US Market Correlation0.670.620.59
Beta(*)0.880.550.57
Alpha (annualized)4.71%2.61%0.72%
R245.54%38.85%34.40%
Sharpe Ratio0.760.630.45
Sortino Ratio1.351.040.71
Treynor Ratio (%)15.6813.9510.59
Active Return2.95%-2.88%-4.80%
Tracking Error13.42%11.43%12.46%
Information Ratio0.22-0.25-0.39
Skewness0.400.020.16
Excess Kurtosis2.650.592.39
Historical Value-at-Risk (5%)-9.81%-6.54%-7.85%
Analytical Value-at-Risk (5%)-7.28%-5.05%-5.79%
Conditional Value-at-Risk (5%)-10.43%-7.05%-7.96%
Upside Capture Ratio (%)100.2458.5452.54
Downside Capture Ratio (%)81.8350.3052.83
Safe Withdrawal Rate55.58%54.98%49.38%
Perpetual Withdrawal Rate12.24%6.94%5.06%
Positive Periods17 out of 27 (62.96%)17 out of 27 (62.96%)16 out of 27 (59.26%)
Gain/Loss Ratio1.201.031.11
* 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 2018Dec 20184 monthsMar 20193 months7 months-19.09%
2Jan 2018Mar 20183 monthsAug 20185 months8 months-5.26%
3Oct 2017Oct 20171 monthDec 20172 months3 months-1.54%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Oct 20189 months-15.54%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2017Feb 20183 monthsJul 20185 months8 months-11.73%
2Sep 2018Dec 20184 monthsJan 20191 month5 months-8.94%
3Aug 2017Oct 20173 monthsNov 20171 month4 months-1.43%
4May 2017May 20171 monthJun 20171 month2 months-0.72%
5Apr 2019Apr 20191 monthJun 20192 months3 months-0.16%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
AWPAberdeen Gbl Prem Properties Fd14.79%18.04%32.29%-18.46%-19.09%0.761.350.67
VNQIVanguard Global ex-US Real Est ETF8.96%12.27%18.13%-9.42%-15.54%0.631.040.62
VNQVanguard Real Estate ETF7.04%13.54%19.16%-6.02%-11.73%0.450.710.59

Monthly Correlations

Correlations for the portfolio assets
TickerNameAWPVNQIVNQPortfolio 1Portfolio 2Portfolio 3
AWPAberdeen Gbl Prem Properties Fd-0.720.751.000.720.75
VNQIVanguard Global ex-US Real Est ETF0.72-0.580.721.000.58
VNQVanguard Real Estate ETF0.750.58-0.750.581.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
AWPAberdeen Gbl Prem Properties Fd$3,639
VNQIVanguard Global ex-US Real Est ETF$2,130
VNQVanguard Real Estate ETF$1,654

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
AWPAberdeen Gbl Prem Properties Fd100.00%
VNQIVanguard Global ex-US Real Est ETF100.00%
VNQVanguard Real Estate ETF100.00%

Annual Asset Returns