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.

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Portfolio Analysis Results (Jun 2018 - Jun 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
BAB Invesco Taxable Municipal Bond ETF 5.00%
BBBMX BBH Limited Duration N 15.00%
BIAEX Brown Advisory Tax Exempt Bond Investor 15.00%
JMM Nuveen Multi-Market Income Fund 5.00%
ITE SPDR Blmbg Barclays Interm Term Trs ETF 7.00%
PRSNX T. Rowe Price Global Multi-Sector Bd Inv 13.00%
RIGS RiverFront Strategic Income ETF 15.00%
SPIB SPDR Portfolio Interm Term Corp Bd ETF 5.00%
VFICX Vanguard Interm-Term Invmt-Grade Inv 5.00%
VUSFX Vanguard Ultra-Short-Term Bond Admiral 15.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
BAB Invesco Taxable Municipal Bond ETF 10.00%
BBBMX BBH Limited Duration N 10.00%
BIAEX Brown Advisory Tax Exempt Bond Investor 10.00%
JMM Nuveen Multi-Market Income Fund 10.00%
ITE SPDR Blmbg Barclays Interm Term Trs ETF 10.00%
PRSNX T. Rowe Price Global Multi-Sector Bd Inv 10.00%
RIGS RiverFront Strategic Income ETF 10.00%
SPIB SPDR Portfolio Interm Term Corp Bd ETF 10.00%
VFICX Vanguard Interm-Term Invmt-Grade Inv 10.00%
VUSFX Vanguard Ultra-Short-Term Bond Admiral 10.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
BAB Invesco Taxable Municipal Bond ETF 15.00%
BBBMX BBH Limited Duration N 5.00%
BIAEX Brown Advisory Tax Exempt Bond Investor 11.00%
JMM Nuveen Multi-Market Income Fund 14.00%
ITE SPDR Blmbg Barclays Interm Term Trs ETF 5.00%
PRSNX T. Rowe Price Global Multi-Sector Bd Inv 15.00%
RIGS RiverFront Strategic Income ETF 5.00%
SPIB SPDR Portfolio Interm Term Corp Bd ETF 10.00%
VFICX Vanguard Interm-Term Invmt-Grade Inv 15.00%
VUSFX Vanguard Ultra-Short-Term Bond Admiral 5.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,655 6.03% 1.67%5.10%1.38%-0.43% 2.286.020.22
Portfolio 2$10,000$10,738 6.80% 2.11%5.90%1.40%-0.61% 2.156.090.10
Portfolio 3$10,000$10,814 7.49% 2.50%6.72%1.33%-0.78% 2.085.970.06
   
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 2018 are based on full calendar months from June 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.
Annual returns for the configured portfolios
YearInflationReturnBalanceInvesco Taxable Municipal Bond ETF (BAB)BBH Limited Duration N (BBBMX)Brown Advisory Tax Exempt Bond Investor (BIAEX)Nuveen Multi-Market Income Fund (JMM)SPDR Blmbg Barclays Interm Term Trs ETF (ITE)T. Rowe Price Global Multi-Sector Bd Inv (PRSNX)RiverFront Strategic Income ETF (RIGS)SPDR Portfolio Interm Term Corp Bd ETF (SPIB)Vanguard Interm-Term Invmt-Grade Inv (VFICX)Vanguard Ultra-Short-Term Bond Admiral (VUSFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2018-0.14%1.38%1.40%1.33%$10,138$10,140$10,1332.50%1.22%1.53%-0.57%2.82%1.35%0.94%1.18%1.52%1.48%
20191.93%5.10%5.90%6.72%$10,655$10,738$10,8147.72%2.83%4.95%9.76%4.76%6.92%5.19%7.19%7.69%2.04%
Annual returns for 2018 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceInvesco Taxable Municipal Bond ETF (BAB)BBH Limited Duration N (BBBMX)Brown Advisory Tax Exempt Bond Investor (BIAEX)Nuveen Multi-Market Income Fund (JMM)SPDR Blmbg Barclays Interm Term Trs ETF (ITE)T. Rowe Price Global Multi-Sector Bd Inv (PRSNX)RiverFront Strategic Income ETF (RIGS)SPDR Portfolio Interm Term Corp Bd ETF (SPIB)Vanguard Interm-Term Invmt-Grade Inv (VFICX)Vanguard Ultra-Short-Term Bond Admiral (VUSFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20186-0.06%-0.12%-0.18%$9,994$9,988$9,9820.05%0.11%0.06%-0.99%-0.01%-0.24%-0.15%0.03%-0.17%0.13%
201870.40%0.34%0.35%$10,033$10,022$10,017-0.42%0.32%0.28%0.86%-0.31%0.67%1.00%0.44%0.38%0.20%
201880.39%0.46%0.44%$10,073$10,068$10,0610.76%0.33%0.27%0.57%0.70%-0.28%0.86%0.44%0.70%0.25%
20189-0.05%-0.17%-0.24%$10,068$10,051$10,036-1.07%0.12%-0.24%0.14%-0.71%0.01%0.44%-0.07%-0.48%0.14%
201810-0.38%-0.44%-0.54%$10,029$10,007$9,982-0.91%0.13%-0.43%-0.57%-0.07%-0.59%-1.00%-0.63%-0.57%0.21%
2018110.31%0.25%0.21%$10,060$10,032$10,0030.71%0.14%0.68%-0.87%0.96%0.39%0.33%-0.15%0.18%0.16%
2018120.77%1.07%1.30%$10,138$10,140$10,1333.42%0.06%0.90%0.29%2.26%1.40%-0.53%1.12%1.49%0.38%
201911.11%1.15%1.25%$10,250$10,257$10,2610.42%0.64%0.59%1.46%0.29%1.99%2.04%2.06%1.67%0.37%
201920.42%0.44%0.52%$10,294$10,302$10,3140.04%0.44%0.57%2.02%-0.23%0.41%0.52%0.16%0.26%0.22%
201931.13%1.36%1.53%$10,410$10,442$10,4712.77%0.46%1.40%1.00%1.75%1.18%0.89%1.74%1.96%0.44%
201940.38%0.33%0.33%$10,449$10,476$10,506-0.25%0.35%0.57%0.57%-0.14%0.54%0.56%0.39%0.38%0.28%
201951.07%1.38%1.62%$10,561$10,621$10,6763.63%0.46%1.27%1.98%2.06%1.06%0.45%1.04%1.51%0.34%
201960.89%1.11%1.29%$10,655$10,738$10,8140.93%0.45%0.45%2.36%0.95%1.55%0.63%1.61%1.69%0.37%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
BABInvesco Taxable Municipal Bond ETFLong-Term Bond8.380.28%5.00%$51.6211.97%
BBBMXBBH Limited Duration NUltrashort Bond0.930.35%15.00%$61.344.07%
BIAEXBrown Advisory Tax Exempt Bond InvestorMuni National Interm4.610.49%15.00%$98.2514.13%
JMMNuveen Multi-Market Income FundIntermediate-Term Bond5.00%$46.608.09%
ITESPDR Blmbg Barclays Interm Term Trs ETFIntermediate Government5.190.06%7.00%$53.489.51%
PRSNXT. Rowe Price Global Multi-Sector Bd InvWorld Bond-USD Hedged4.080.64%13.00%$10918.96%
RIGSRiverFront Strategic Income ETFWorld Bond0.48%15.00%$93.0313.84%
SPIBSPDR Portfolio Interm Term Corp Bd ETFCorporate Bond4.260.07%5.00%$42.317.89%
VFICXVanguard Interm-Term Invmt-Grade InvCorporate Bond5.400.20%5.00%$46.578.81%
VUSFXVanguard Ultra-Short-Term Bond AdmiralUltrashort Bond0.980.10%15.00%$53.342.73%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
BABInvesco Taxable Municipal Bond ETFLong-Term Bond8.380.28%10.00%$10320.93%
BBBMXBBH Limited Duration NUltrashort Bond0.930.35%10.00%$40.901.94%
BIAEXBrown Advisory Tax Exempt Bond InvestorMuni National Interm4.610.49%10.00%$65.517.53%
JMMNuveen Multi-Market Income FundIntermediate-Term Bond10.00%$93.2212.60%
ITESPDR Blmbg Barclays Interm Term Trs ETFIntermediate Government5.190.06%10.00%$76.4112.10%
PRSNXT. Rowe Price Global Multi-Sector Bd InvWorld Bond-USD Hedged4.080.64%10.00%$83.6811.19%
RIGSRiverFront Strategic Income ETFWorld Bond0.48%10.00%$62.035.86%
SPIBSPDR Portfolio Interm Term Corp Bd ETFCorporate Bond4.260.07%10.00%$84.6412.25%
VFICXVanguard Interm-Term Invmt-Grade InvCorporate Bond5.400.20%10.00%$93.1414.12%
VUSFXVanguard Ultra-Short-Term Bond AdmiralUltrashort Bond0.980.10%10.00%$35.561.49%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
BABInvesco Taxable Municipal Bond ETFLong-Term Bond8.380.28%15.00%$15526.91%
BBBMXBBH Limited Duration NUltrashort Bond0.930.35%5.00%$20.440.79%
BIAEXBrown Advisory Tax Exempt Bond InvestorMuni National Interm4.610.49%11.00%$72.036.98%
JMMNuveen Multi-Market Income FundIntermediate-Term Bond14.00%$13015.04%
ITESPDR Blmbg Barclays Interm Term Trs ETFIntermediate Government5.190.06%5.00%$38.195.18%
PRSNXT. Rowe Price Global Multi-Sector Bd InvWorld Bond-USD Hedged4.080.64%15.00%$12514.17%
RIGSRiverFront Strategic Income ETFWorld Bond0.48%5.00%$31.002.26%
SPIBSPDR Portfolio Interm Term Corp Bd ETFCorporate Bond4.260.07%10.00%$84.5910.23%
VFICXVanguard Interm-Term Invmt-Grade InvCorporate Bond5.400.20%15.00%$14017.80%
VUSFXVanguard Ultra-Short-Term Bond AdmiralUltrashort Bond0.980.10%5.00%$17.770.63%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

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)0.49%0.55%0.61%
Arithmetic Mean (annualized)6.05%6.82%7.52%
Geometric Mean (monthly)0.49%0.55%0.60%
Geometric Mean (annualized)6.03%6.80%7.49%
Volatility (monthly)0.48%0.61%0.72%
Volatility (annualized)1.67%2.11%2.50%
Downside Deviation (monthly)0.11%0.14%0.17%
Max. Drawdown-0.43%-0.61%-0.78%
US Market Correlation0.220.100.06
Beta(*)0.020.010.01
Alpha (annualized)5.69%6.50%7.20%
R24.84%0.95%0.37%
Sharpe Ratio2.282.152.08
Sortino Ratio6.026.095.97
Treynor Ratio (%)188.81403.23633.23
Active Return-2.80%-2.04%-1.34%
Tracking Error18.51%18.71%18.82%
Information Ratio-0.15-0.11-0.07
Skewness-0.20-0.030.01
Excess Kurtosis-0.84-1.25-1.34
Historical Value-at-Risk (5%)-0.38%-0.44%-0.54%
Analytical Value-at-Risk (5%)-0.27%-0.41%-0.53%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)12.8413.4814.40
Downside Capture Ratio (%)-6.78-9.32-11.03
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate4.47%5.21%5.87%
Positive Periods10 out of 13 (76.92%)10 out of 13 (76.92%)10 out of 13 (76.92%)
Gain/Loss Ratio4.173.242.77
* 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 monthsDec 20182 months4 months-0.43%
2Jun 2018Jun 20181 monthJul 20181 month2 months-0.06%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Oct 20182 monthsDec 20182 months4 months-0.61%
2Jun 2018Jun 20181 monthJul 20181 month2 months-0.12%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Oct 20182 monthsDec 20182 months4 months-0.78%
2Jun 2018Jun 20181 monthJul 20181 month2 months-0.18%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
BABInvesco Taxable Municipal Bond ETF9.57%5.39%7.72%2.50%-1.97%1.334.09-0.41
BBBMXBBH Limited Duration N3.76%0.63%2.83%1.22%0.00%2.5810.130.58
BIAEXBrown Advisory Tax Exempt Bond Investor6.04%1.82%4.95%1.53%-0.67%2.085.21-0.03
JMMNuveen Multi-Market Income Fund8.40%3.78%9.76%-0.57%-1.43%1.603.620.33
ITESPDR Blmbg Barclays Interm Term Trs ETF7.10%3.35%4.76%2.82%-0.78%1.434.23-0.42
PRSNXT. Rowe Price Global Multi-Sector Bd Inv7.70%2.71%6.92%1.35%-0.86%1.985.570.25
RIGSRiverFront Strategic Income ETF5.69%2.58%5.19%0.94%-1.20%1.322.480.79
SPIBSPDR Portfolio Interm Term Corp Bd ETF7.77%2.83%7.19%1.18%-0.85%1.926.060.32
VFICXVanguard Interm-Term Invmt-Grade Inv8.58%3.04%7.69%1.52%-1.05%2.046.150.14
VUSFXVanguard Ultra-Short-Term Bond Admiral3.28%0.35%2.04%1.48%0.00%3.5058.320.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameBABBBBMXBIAEXJMMITEPRSNXRIGSSPIBVFICXVUSFXPortfolio 1Portfolio 2Portfolio 3
BABInvesco Taxable Municipal Bond ETF-0.190.860.330.970.55-0.010.590.780.710.740.820.83
BBBMXBBH Limited Duration N0.19-0.470.810.100.610.800.700.640.590.720.650.63
BIAEXBrown Advisory Tax Exempt Bond Investor0.860.47-0.470.780.670.330.670.810.720.860.870.87
JMMNuveen Multi-Market Income Fund0.330.810.47-0.220.640.530.650.650.610.710.700.71
ITESPDR Blmbg Barclays Interm Term Trs ETF0.970.100.780.22-0.51-0.100.540.750.700.680.760.77
PRSNXT. Rowe Price Global Multi-Sector Bd Inv0.550.610.670.640.51-0.540.910.870.800.900.870.87
RIGSRiverFront Strategic Income ETF-0.010.800.330.53-0.100.54-0.620.470.300.600.480.44
SPIBSPDR Portfolio Interm Term Corp Bd ETF0.590.700.670.650.540.910.62-0.950.880.930.910.90
VFICXVanguard Interm-Term Invmt-Grade Inv0.780.640.810.650.750.870.470.95-0.930.970.980.98
VUSFXVanguard Ultra-Short-Term Bond Admiral0.710.590.720.610.700.800.300.880.93-0.860.890.89

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
BABInvesco Taxable Municipal Bond ETF$51.62$103$155
BBBMXBBH Limited Duration N$61.34$40.90$20.44
BIAEXBrown Advisory Tax Exempt Bond Investor$98.25$65.51$72.03
JMMNuveen Multi-Market Income Fund$46.60$93.22$130
ITESPDR Blmbg Barclays Interm Term Trs ETF$53.48$76.41$38.19
PRSNXT. Rowe Price Global Multi-Sector Bd Inv$109$83.68$125
RIGSRiverFront Strategic Income ETF$93.03$62.03$31.00
SPIBSPDR Portfolio Interm Term Corp Bd ETF$42.31$84.64$84.59
VFICXVanguard Interm-Term Invmt-Grade Inv$46.57$93.14$140
VUSFXVanguard Ultra-Short-Term Bond Admiral$53.34$35.56$17.77

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
BABInvesco Taxable Municipal Bond ETF11.97%20.93%26.91%
BBBMXBBH Limited Duration N4.07%1.94%0.79%
BIAEXBrown Advisory Tax Exempt Bond Investor14.13%7.53%6.98%
JMMNuveen Multi-Market Income Fund8.09%12.60%15.04%
ITESPDR Blmbg Barclays Interm Term Trs ETF9.51%12.10%5.18%
PRSNXT. Rowe Price Global Multi-Sector Bd Inv18.96%11.19%14.17%
RIGSRiverFront Strategic Income ETF13.84%5.86%2.26%
SPIBSPDR Portfolio Interm Term Corp Bd ETF7.89%12.25%10.23%
VFICXVanguard Interm-Term Invmt-Grade Inv8.81%14.12%17.80%
VUSFXVanguard Ultra-Short-Term Bond Admiral2.73%1.49%0.63%

Annual Asset Returns