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 Assets 
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Portfolio Analysis Results (Jan 2018 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TSCO Tractor Supply Company 11.12%
ICLR ICON plc 11.11%
STOR STORE Capital Corporation 11.11%
RHI Robert Half International Inc. 11.11%
BIIB Biogen Inc. 11.11%
MA Mastercard Incorporated 11.11%
V Visa Inc. 11.11%
SBUX Starbucks Corporation 11.11%
AMAT Applied Materials, Inc. 11.11%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,083 20.98% 19.84%34.82%7.05%-22.74% 1.011.690.92
SPDR S&P 500 ETF Trust$10,000$18,242 16.59% 17.15%31.22%-4.56%-19.43% 0.911.441.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 yearFull3 year
Portfolio 10.86%21.48%35.91%20.25%21.28%22.07%
SPDR S&P 500 ETF Trust0.58%15.91%29.96%15.90%15.53%18.69%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2021 are based on monthly returns from January to November
  • 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationPortfolio 1SPDR S&P 500 ETF TrustTractor Supply Company (TSCO)ICON plc (ICLR)STORE Capital Corporation (STOR)Robert Half International Inc. (RHI)Biogen Inc. (BIIB)Mastercard Incorporated (MA)Visa Inc. (V)Starbucks Corporation (SBUX)Applied Materials, Inc. (AMAT)
ReturnBalanceReturnBalance
20181.91%7.05%$10,705-4.56%$9,54413.34%15.21%13.98%4.82%-5.54%25.32%16.48%14.75%-34.92%
20192.29%34.82%$14,43331.22%$12,52413.55%33.29%36.70%12.75%-1.39%59.16%43.32%39.07%89.88%
20201.36%17.59%$16,97218.37%$14,82552.31%13.21%-3.42%1.37%-17.48%20.17%17.13%24.17%43.28%
20216.19%24.22%$21,08323.05%$18,24262.02%38.72%0.17%80.77%-3.72%-11.34%-10.87%4.20%71.75%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1SPDR S&P 500 ETF TrustTractor Supply Company (TSCO)ICON plc (ICLR)STORE Capital Corporation (STOR)Robert Half International Inc. (RHI)Biogen Inc. (BIIB)Mastercard Incorporated (MA)Visa Inc. (V)Starbucks Corporation (SBUX)Applied Materials, Inc. (AMAT)
ReturnBalanceReturnBalance
201813.53%$10,3535.64%$10,5642.01%-2.35%-5.88%4.21%9.18%11.83%8.95%-1.08%4.91%
20182-2.24%$10,121-3.64%$10,179-14.50%3.46%-2.73%-0.92%-16.91%4.00%-0.87%1.06%7.57%
20183-0.26%$10,095-2.74%$9,900-2.94%4.26%5.41%1.44%-5.25%-0.34%-2.70%1.38%-3.44%
201841.03%$10,1980.52%$9,9527.90%-0.43%1.65%4.94%-0.08%1.93%6.07%-0.55%-10.68%
201855.48%$10,7572.43%$10,1949.74%9.65%6.22%5.28%7.44%6.65%3.19%-1.05%2.64%
20186-0.62%$10,6910.58%$10,2522.93%2.75%3.40%2.23%-1.27%3.37%1.32%-13.80%-9.04%
201875.96%$11,3283.70%$10,6322.03%5.00%0.18%16.37%15.20%0.88%3.24%7.25%5.28%
201885.10%$11,9053.19%$10,97113.52%7.09%4.95%3.57%5.72%8.87%7.58%2.74%-11.12%
20189-0.41%$11,8570.59%$11,0372.95%3.17%-2.38%-9.98%-0.05%3.27%2.18%6.34%-10.16%
201810-7.22%$11,000-6.91%$10,2741.11%-10.19%4.46%-14.00%-13.88%-11.10%-8.16%2.52%-14.93%
2018115.78%$11,6361.85%$10,4653.89%4.81%3.20%2.64%9.68%1.72%2.98%15.12%14.03%
201812-8.00%$10,705-8.79%$9,544-12.29%-10.72%-4.42%-7.49%-9.83%-6.18%-6.89%-3.48%-12.18%
201919.24%$11,6948.01%$10,3082.35%8.26%14.16%12.64%10.92%12.11%2.33%5.81%19.36%
201924.23%$12,1893.24%$10,64312.01%0.07%0.46%6.32%-1.73%6.46%9.90%3.65%-1.39%
20193-0.40%$12,1401.81%$10,8352.53%-2.43%4.19%-4.44%-27.94%4.75%5.45%5.81%3.44%
201943.11%$12,5184.09%$11,2785.87%0.00%-0.54%-4.71%-3.02%8.13%5.28%4.49%11.12%
20195-2.68%$12,182-6.38%$10,558-2.29%3.65%2.70%-13.10%-4.34%-1.08%-1.74%-1.63%-11.75%
201966.93%$13,0266.96%$11,2937.96%8.77%-2.05%6.24%6.65%5.19%7.57%10.22%16.08%
201974.39%$13,5981.51%$11,4640.01%1.43%3.07%5.96%1.69%3.05%2.56%12.95%9.93%
20198-0.29%$13,558-1.67%$11,272-6.03%-1.27%10.38%-10.99%-7.60%3.34%1.73%2.36%-2.30%
20199-3.19%$13,1261.95%$11,492-11.23%-4.44%0.00%4.10%5.95%-3.48%-4.87%-8.43%3.92%
2019104.57%$13,7262.21%$11,7465.06%-0.30%8.26%2.89%28.30%2.06%3.98%-4.37%8.74%
2019113.51%$14,2083.62%$12,171-0.25%11.07%0.52%2.17%0.37%5.57%3.33%1.53%7.08%
2019121.58%$14,4332.90%$12,524-1.06%5.56%-7.66%8.51%-1.03%2.18%1.84%2.91%5.42%
20201-0.28%$14,392-0.04%$12,519-0.52%-2.10%5.40%-7.89%-9.40%5.95%5.89%-3.51%-5.00%
20202-6.77%$13,418-7.92%$11,528-4.44%-7.45%-16.28%-12.82%14.71%-8.13%-8.52%-7.11%0.55%
20203-16.89%$11,151-12.46%$10,091-4.47%-12.85%-43.82%-25.11%2.59%-16.78%-11.36%-16.18%-21.16%
2020413.09%$12,61212.70%$11,37319.96%17.99%10.76%25.22%-6.18%14.00%10.92%16.72%8.42%
202058.15%$13,6404.76%$11,91420.68%4.97%-3.64%8.11%3.46%9.43%9.43%2.19%13.52%
202061.71%$13,8731.78%$12,1268.01%0.01%24.91%4.12%-12.88%-1.72%-1.06%-5.64%7.60%
202073.85%$14,4075.89%$12,8408.31%10.09%-0.50%-3.71%2.67%4.48%-1.43%4.00%6.42%
202087.44%$15,4796.98%$13,7364.54%0.51%14.14%5.21%4.71%16.10%11.51%10.97%-3.92%
20209-2.00%$15,169-3.74%$13,223-3.69%2.51%2.78%-0.49%-1.38%-5.59%-5.67%1.72%-3.49%
202010-6.84%$14,132-2.49%$12,893-7.07%-5.65%-6.31%-4.25%-11.14%-14.55%-9.13%1.21%-0.37%
20201116.05%$16,40110.88%$14,2956.03%8.09%26.69%27.26%-4.72%16.58%15.94%13.26%39.66%
2020123.48%$16,9723.71%$14,825-0.16%0.05%5.47%-2.65%1.95%6.07%3.98%9.14%4.63%
20211-1.93%$16,645-1.02%$14,6740.83%4.53%-8.71%8.03%15.42%-11.28%-11.65%-9.51%12.03%
202129.41%$18,2112.78%$15,08212.49%-11.35%7.80%15.78%-3.44%11.88%10.07%12.07%22.47%
202134.81%$19,0874.54%$15,76711.40%8.68%1.26%0.36%2.52%0.62%-0.31%1.15%13.04%
202146.08%$20,2475.29%$16,6016.51%10.48%6.84%12.22%-4.44%7.43%10.31%4.78%-0.67%
20215-0.79%$20,0870.66%$16,710-3.39%3.14%-3.88%1.78%0.06%-5.62%-2.54%-0.13%4.27%
202161.76%$20,4412.25%$17,0862.40%-7.62%1.36%0.20%29.46%1.25%2.87%-1.82%3.09%
202174.52%$21,3662.44%$17,503-2.76%17.69%4.87%10.39%-5.64%5.84%5.38%8.60%-1.73%
20218-0.69%$21,2182.98%$18,0247.64%5.14%-0.33%5.67%3.73%-10.29%-6.89%-2.87%-3.26%
20219-2.83%$20,617-4.66%$17,1844.30%2.44%-10.15%-2.97%-16.50%0.42%-2.77%-6.11%-4.74%
2021103.41%$21,3217.02%$18,3907.19%9.45%7.18%12.70%-5.76%-3.38%-4.93%-3.84%6.15%
202111-1.11%$21,083-0.80%$18,2423.99%-5.68%-4.05%-1.36%-11.60%-6.14%-8.34%3.81%7.89%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1SPDR S&P 500 ETF Trust
Large-cap Value37.92%45.70%
Large-cap Growth28.52%54.30%
Mid-cap Value0.27%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth31.86%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries1.43%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared83.99%99.95%
Style analysis is based on monthly returns from January 2018 to November 2021 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
TickerNameCategoryWeightTTM YieldContribution
ReturnRisk
TSCOTractor Supply CompanyConsumer Cyclical / Specialty Retail11.12%0.91%$2,4209.30%
ICLRICON plcHealthcare / Diagnostics & Research11.11%$1,5688.46%
STORSTORE Capital CorporationReal Estate / REIT - Diversified11.11%4.46%$56414.17%
RHIRobert Half International Inc.Industrials / Staffing & Employment Services11.11%1.41%$1,29515.87%
BIIBBiogen Inc.Healthcare / Drug Manufacturers - General11.11%-$2894.27%
MAMastercard IncorporatedFinancial Services / Credit Services11.11%0.55%$1,25012.66%
VVisa Inc.Financial Services / Credit Services11.11%0.68%$82510.62%
SBUXStarbucks CorporationConsumer Cyclical / Restaurants11.11%1.65%$1,1839.75%
AMATApplied Materials, Inc.Technology / Semiconductor Equipment & Materials11.11%0.64%$2,26714.90%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1SPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)1.76%1.41%
Arithmetic Mean (annualized)23.30%18.27%
Geometric Mean (monthly)1.60%1.29%
Geometric Mean (annualized)20.98%16.59%
Standard Deviation (monthly)5.73%4.95%
Standard Deviation (annualized)19.84%17.15%
Downside Deviation (monthly)3.38%3.10%
Max. Drawdown-22.74%-19.43%
US Market Correlation0.921.00
Beta(*)1.051.00
Alpha (annualized)3.46%0.00%
R281.80%100.00%
Sharpe Ratio1.010.91
Sortino Ratio1.691.44
Treynor Ratio (%)19.1115.75
Calmar Ratio0.961.05
Active Return4.39%N/A
Tracking Error8.50%N/A
Information Ratio0.52N/A
Skewness-0.45-0.52
Excess Kurtosis1.850.82
Historical Value-at-Risk (5%)-7.11%-7.61%
Analytical Value-at-Risk (5%)-7.47%-6.74%
Conditional Value-at-Risk (5%)-10.70%-9.72%
Upside Capture Ratio (%)110.39100.00
Downside Capture Ratio (%)95.15100.00
Safe Withdrawal Rate43.54%38.27%
Perpetual Withdrawal Rate18.97%14.96%
Positive Periods27 out of 47 (57.45%)33 out of 47 (70.21%)
Gain/Loss Ratio1.680.87
* SPDR S&P 500 ETF Trust 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 PeriodStartEndPortfolio 1SPDR S&P 500 ETF Trust
COVID-19 StartJan 2020Mar 2020-22.74%-19.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-22.74%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-10.08%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-8.70%
4Aug 2021Sep 20212 months-3.50%
5Aug 2019Sep 20192 monthsOct 20191 month3 months-3.47%
6May 2019May 20191 monthJun 20191 month2 months-2.68%
7Feb 2018Mar 20182 monthsMay 20182 months4 months-2.50%
8Jan 2021Jan 20211 monthFeb 20211 month2 months-1.93%
9May 2021May 20211 monthJun 20211 month2 months-0.79%
10Jun 2018Jun 20181 monthJul 20181 month2 months-0.62%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
3May 2019May 20191 monthJun 20191 month2 months-6.38%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
6Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
7Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%
8Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%
9Nov 2021Nov 20211 month-0.80%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TSCOTractor Supply Company34.32%25.35%62.02%13.34%-21.46%1.252.410.62
ICLRICON plc25.20%24.18%38.72%13.21%-21.04%1.011.770.63
STORSTORE Capital Corporation11.05%35.85%36.70%-3.42%-54.22%0.460.640.63
RHIRobert Half International Inc.21.81%33.80%80.77%1.37%-50.15%0.721.190.81
BIIBBiogen Inc.-7.40%37.23%-1.39%-17.48%-37.96%-0.06-0.080.20
MAMastercard Incorporated21.22%26.67%59.16%-11.34%-23.54%0.821.300.74
VVisa Inc.15.24%22.99%43.32%-10.87%-21.11%0.681.120.72
SBUXStarbucks Corporation20.33%24.64%39.07%4.20%-31.26%0.831.410.58
AMATApplied Materials, Inc.32.84%37.29%89.88%-34.92%-42.41%0.911.730.66

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
Quarter to DateYear To Date1 year3 year
Tractor Supply Company9.18%45.35%42.99%32.31%
ICON plc26.76%34.38%37.12%19.45%
STORE Capital Corporation-6.09%-2.60%21.94%9.84%
Robert Half International Inc.13.19%62.62%92.90%14.92%
Biogen Inc.-18.27%15.57%-0.24%-7.13%
Mastercard Incorporated-4.66%-2.24%3.30%16.63%
Visa Inc.-4.60%2.28%12.05%14.78%
Starbucks Corporation-0.96%4.38%30.59%27.10%
Applied Materials, Inc.-9.44%49.97%118.33%51.48%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameTSCOICLRSTORRHIBIIBMAVSBUXAMATPortfolio 1SPDR S&P 500 ETF Trust
TSCOTractor Supply Company1.000.380.300.480.140.470.540.330.300.650.62
ICLRICON plc0.381.000.370.580.040.440.380.370.310.620.63
STORSTORE Capital Corporation0.300.371.000.56-0.110.580.530.490.430.700.60
RHIRobert Half International Inc.0.480.580.561.000.160.560.570.490.660.830.80
BIIBBiogen Inc.0.140.04-0.110.161.000.040.06-0.100.170.200.20
MAMastercard Incorporated0.470.440.580.560.041.000.930.600.450.840.73
VVisa Inc.0.540.380.530.570.060.931.000.610.400.820.71
SBUXStarbucks Corporation0.330.370.490.49-0.100.600.611.000.480.700.57
AMATApplied Materials, Inc.0.300.310.430.660.170.450.400.481.000.710.64

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
TSCOTractor Supply Company$2,420
ICLRICON plc$1,568
STORSTORE Capital Corporation$564
RHIRobert Half International Inc.$1,295
BIIBBiogen Inc.-$289
MAMastercard Incorporated$1,250
VVisa Inc.$825
SBUXStarbucks Corporation$1,183
AMATApplied Materials, Inc.$2,267

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
TSCOTractor Supply Company9.30%
ICLRICON plc8.46%
STORSTORE Capital Corporation14.17%
RHIRobert Half International Inc.15.87%
BIIBBiogen Inc.4.27%
MAMastercard Incorporated12.66%
VVisa Inc.10.62%
SBUXStarbucks Corporation9.75%
AMATApplied Materials, Inc.14.90%

Annual Asset Returns

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YearTractor Supply Company (TSCO) AllocationICON plc (ICLR) AllocationSTORE Capital Corporation (STOR) AllocationRobert Half International Inc. (RHI) AllocationBiogen Inc. (BIIB) AllocationMastercard Incorporated (MA) AllocationVisa Inc. (V) AllocationStarbucks Corporation (SBUX) AllocationApplied Materials, Inc. (AMAT) Allocation
201811.12%11.11%11.11%11.11%11.11%11.11%11.11%11.11%11.11%
201911.77%11.96%11.83%10.88%9.80%13.01%12.09%11.91%6.75%
20209.92%11.82%11.99%9.10%7.17%15.35%12.85%12.28%9.51%
202112.84%11.38%9.85%7.84%5.03%15.69%12.80%12.97%11.59%