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 (Jan 2020 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 70.00%
TLT iShares 20+ Year Treasury Bond ETF 30.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 50.00%
TLT iShares 20+ Year Treasury Bond ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,935 9.35% 30.16%9.35%9.35%-20.84% 0.560.851.00
Portfolio 2$10,000$11,280 12.80% 16.51%12.80%12.80%-9.98% 1.131.970.97
Portfolio 3$10,000$11,510 15.10% 10.02%15.10%15.10%-3.05% 2.096.150.77
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.
  • 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
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20200.83%9.35%12.80%15.10%$10,935$11,280$11,5109.35%20.85%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20201-0.06%2.26%3.82%$9,994$10,226$10,382-0.06%7.69%
20202-8.00%-3.38%-0.41%$9,194$9,881$10,339-8.00%6.63%
20203-13.91%-6.84%-2.64%$7,916$9,205$10,065-13.91%6.38%
2020413.13%8.39%5.90%$8,955$9,978$10,65913.13%1.22%
202055.40%2.73%1.24%$9,438$10,251$10,7925.40%-1.76%
202062.29%1.60%1.19%$9,655$10,414$10,9212.29%0.34%
202075.74%5.28%5.01%$10,209$10,965$11,4685.74%4.44%
202087.10%2.87%0.36%$10,935$11,280$11,5107.10%-5.05%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%0.03%26.42$935100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend70.00%0.03%26.42$654111.10%
TLTiShares 20+ Year Treasury Bond ETFLong Government30.00%0.15%18.93$626-11.10%
100.00%0.07%26.4218.93$1,280100.00%

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
VTIVanguard Total Stock Market ETFLarge Blend50.00%0.03%26.42$467100.30%
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%0.15%18.93$1,043-0.30%
100.00%0.09%26.4218.93$1,510100.00%

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)1.46%1.62%1.81%
Arithmetic Mean (annualized)19.03%21.21%24.01%
Geometric Mean (monthly)1.12%1.52%1.77%
Geometric Mean (annualized)14.34%19.80%23.48%
Volatility (monthly)8.71%4.77%2.89%
Volatility (annualized)30.16%16.51%10.02%
Downside Deviation (monthly)5.67%2.70%0.95%
Max. Drawdown-20.84%-9.98%-3.05%
US Market Correlation1.000.970.77
Beta(*)1.000.530.26
Alpha (annualized)0.05%10.09%17.20%
R299.99%94.38%60.00%
Sharpe Ratio0.561.132.09
Sortino Ratio0.851.976.15
Treynor Ratio (%)16.9735.3882.11
Active Return0.03%5.48%9.17%
Tracking Error0.37%14.71%23.33%
Information Ratio0.080.370.39
Skewness-0.74-0.640.05
Excess Kurtosis0.110.43-0.87
Historical Value-at-Risk (5%)-13.91%-6.84%-2.64%
Analytical Value-at-Risk (5%)-12.86%-6.45%-3.28%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)99.8557.0635.68
Downside Capture Ratio (%)99.8039.41-3.31
Safe Withdrawal RateN/AN/AN/A
Perpetual Withdrawal RateN/AN/AN/A
Positive Periods5 out of 8 (62.50%)6 out of 8 (75.00%)6 out of 8 (75.00%)
Gain/Loss Ratio0.920.761.91
* 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
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.84%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-9.98%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-3.05%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF9.35%30.16%9.35%9.35%-20.84%0.560.851.00
TLTiShares 20+ Year Treasury Bond ETF20.85%15.72%20.85%20.85%-5.05%1.884.45-0.63

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.00-0.631.000.970.78
TLTiShares 20+ Year Treasury Bond ETF-0.631.00-0.63-0.43-0.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$935$654$467
TLTiShares 20+ Year Treasury Bond ETF$626$1,043

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF100.00%111.10%100.30%
TLTiShares 20+ Year Treasury Bond ETF-11.10%-0.30%

Annual Asset Returns