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 (Jul 2017 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PIMIX PIMCO Income Instl 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
PTIAX Performance Trust Strategic Bond 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,360 4.00% 5.38%8.05%0.58%-8.39% 0.470.560.66
Portfolio 2$10,000$11,664 4.85% 4.47%7.36%2.01%-6.03% 0.740.950.33
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 yearFull
Portfolio 13.01%1.28%3.84%3.63%4.00%
Portfolio 22.53%3.87%3.72%4.74%4.85%
Trailing returns are for full months ending in September 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 July to December
  • The annual results for 2020 are based on monthly returns from January to September
  • 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
YearInflationReturnBalancePIMCO Income Instl (PIMIX)Performance Trust Strategic Bond (PTIAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20170.64%3.21%2.54%$10,321$10,2543.21%2.54%
20181.91%0.58%2.01%$10,381$10,4590.58%2.01%
20192.29%8.05%7.36%$11,217$11,2298.05%7.36%
20201.29%1.28%3.87%$11,360$11,6641.28%3.87%
Annual returns for 2017 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalancePIMCO Income Instl (PIMIX)Performance Trust Strategic Bond (PTIAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201770.61%0.42%$10,061$10,0420.61%0.42%
201780.93%1.27%$10,155$10,1690.93%1.27%
201790.53%-0.19%$10,209$10,1500.53%-0.19%
2017100.53%0.16%$10,262$10,1660.53%0.16%
2017110.29%0.25%$10,292$10,1910.29%0.25%
2017120.29%0.61%$10,321$10,2540.29%0.61%
20181-0.28%-0.64%$10,292$10,188-0.28%-0.64%
20182-0.44%-0.13%$10,247$10,175-0.44%-0.13%
201830.45%0.76%$10,293$10,2530.45%0.76%
20184-0.45%-0.28%$10,247$10,224-0.45%-0.28%
20185-0.04%0.66%$10,244$10,292-0.04%0.66%
201860.05%0.22%$10,248$10,3150.05%0.22%
201870.55%-0.08%$10,304$10,3070.55%-0.08%
20188-0.16%0.64%$10,288$10,373-0.16%0.64%
201890.17%-0.25%$10,305$10,3470.17%-0.25%
201810-0.12%-0.40%$10,293$10,305-0.12%-0.40%
2018110.05%0.67%$10,297$10,3750.05%0.67%
2018120.81%0.81%$10,381$10,4590.81%0.81%
201911.66%0.74%$10,553$10,5371.66%0.74%
201920.46%0.37%$10,602$10,5760.46%0.37%
201930.88%1.49%$10,695$10,7340.88%1.49%
201940.88%0.38%$10,789$10,7750.88%0.38%
201950.46%1.58%$10,839$10,9440.46%1.58%
201961.04%0.88%$10,952$11,0411.04%0.88%
201970.29%0.16%$10,984$11,0590.29%0.16%
20198-1.11%2.04%$10,862$11,284-1.11%2.04%
201990.72%-0.34%$10,940$11,2450.72%-0.34%
2019100.72%0.12%$11,018$11,2590.72%0.12%
2019110.46%0.01%$11,069$11,2600.46%0.01%
2019121.33%-0.28%$11,217$11,2291.33%-0.28%
202010.79%2.19%$11,306$11,4750.79%2.19%
20202-0.45%1.52%$11,255$11,649-0.45%1.52%
20203-7.97%-6.03%$10,357$10,947-7.97%-6.03%
202042.24%0.48%$10,589$10,9992.24%0.48%
202052.29%1.88%$10,832$11,2062.29%1.88%
202061.81%1.51%$11,028$11,3761.81%1.51%
202071.44%1.92%$11,187$11,5941.44%1.92%
202081.46%0.13%$11,351$11,6081.46%0.13%
202090.09%0.48%$11,360$11,6640.09%0.48%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
PIMIXPIMCO Income InstlMultisector Bond100.00%1.09%7.881.67$1,360100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
PTIAXPerformance Trust Strategic BondMultisector Bond100.00%0.81%$1,664100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (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)0.34%0.40%
Arithmetic Mean (annualized)4.15%4.95%
Geometric Mean (monthly)0.33%0.40%
Geometric Mean (annualized)4.00%4.85%
Volatility (monthly)1.55%1.29%
Volatility (annualized)5.38%4.47%
Downside Deviation (monthly)1.30%0.98%
Max. Drawdown-8.39%-6.03%
US Market Correlation0.660.33
Beta(*)0.200.08
Alpha (annualized)1.48%3.74%
R243.14%11.20%
Sharpe Ratio0.470.74
Sortino Ratio0.560.95
Treynor Ratio (%)12.8139.30
Calmar Ratio0.430.79
Active Return-8.11%-7.26%
Tracking Error14.75%16.75%
Information Ratio-0.55-0.43
Skewness-4.12-3.17
Excess Kurtosis22.3916.12
Historical Value-at-Risk (5%)-1.11%-0.64%
Analytical Value-at-Risk (5%)-2.21%-1.72%
Conditional Value-at-Risk (5%)-7.97%-6.03%
Upside Capture Ratio (%)19.0011.70
Downside Capture Ratio (%)14.37-4.74
Safe Withdrawal Rate34.50%34.52%
Perpetual Withdrawal Rate2.21%3.06%
Positive Periods30 out of 39 (76.92%)29 out of 39 (74.36%)
Gain/Loss Ratio0.660.97
* 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 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 Portfolio 2

Drawdowns for Portfolio 2
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%
4Sep 2019Dec 20194 monthsJan 20201 month5 months-0.49%
5Sep 2017Sep 20171 monthNov 20172 months3 months-0.19%
6Jul 2018Jul 20181 monthAug 20181 month2 months-0.08%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PIMIXPIMCO Income Instl4.00%5.38%8.05%0.58%-8.39%0.470.560.66
PTIAXPerformance Trust Strategic Bond4.85%4.47%7.36%2.01%-6.03%0.740.950.33

Monthly Correlations

Correlations for the portfolio assets
TickerNamePIMIXPTIAXPortfolio 1Portfolio 2
PIMIXPIMCO Income Instl1.000.781.000.78
PTIAXPerformance Trust Strategic Bond0.781.000.781.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PIMIXPIMCO Income Instl$1,360
PTIAXPerformance Trust Strategic Bond$1,664

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PIMIXPIMCO Income Instl100.00%
PTIAXPerformance Trust Strategic Bond100.00%

Annual Asset Returns