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 (Oct 2020 - Dec 2021)

Portfolio Allocations

Utilities with Commodities
Ticker Name Allocation
VCMDX Vanguard Commodity Strategy Admiral 44.45%
VPU Vanguard Utilities ETF 55.55%
Save portfolio »
Utilities only
Ticker Name Allocation
VPU Vanguard Utilities ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Utilities with Commodities$10,000$13,670 28.41% 9.61%25.31%9.09%-3.73% 2.677.390.51
Utilities only$10,000$12,597 20.28% 16.84%17.37%7.33%-6.52% 1.182.460.36
Vanguard 500 Index Investor$10,000$14,411 33.95% 13.51%28.53%12.12%-4.66% 2.256.150.99
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 yearFull
Utilities with Commodities7.15%25.31%25.31%28.41%
Utilities only13.18%17.37%17.37%20.28%
Vanguard 500 Index Investor10.99%28.53%28.53%33.95%
Trailing returns are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from October to December
  • 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
YearInflationUtilities with CommoditiesUtilities onlyVanguard 500 Index InvestorVanguard Commodity Strategy Admiral (VCMDX)Vanguard Utilities ETF (VPU)
ReturnBalanceReturnBalanceReturnBalance
20200.07%9.09%$10,9097.33%$10,73312.12%$11,21211.29%7.33%
20217.04%25.31%$13,67017.37%$12,59728.53%$14,41135.23%17.37%
Annual return for 2020 is from 10/01/2020 to 12/31/2020
Monthly returns for the configured portfolios
YearMonthUtilities with CommoditiesUtilities onlyVanguard 500 Index InvestorVanguard Commodity Strategy Admiral (VCMDX)Vanguard Utilities ETF (VPU)
ReturnBalanceReturnBalanceReturnBalance
2020103.01%$10,3014.89%$10,489-2.67%$9,7330.66%4.89%
2020112.72%$10,5811.43%$10,63810.94%$10,7974.40%1.43%
2020123.10%$10,9090.89%$10,7333.84%$11,2125.90%0.89%
202110.72%$10,987-1.04%$10,621-1.02%$11,0972.92%-1.04%
20212-0.22%$10,963-5.54%$10,0332.75%$11,4036.18%-5.54%
202134.61%$11,46810.30%$11,0664.37%$11,901-1.47%10.30%
202145.82%$12,1363.78%$11,4845.32%$12,5358.26%3.78%
202150.71%$12,222-2.34%$11,2150.69%$12,6214.20%-2.34%
202160.15%$12,240-1.86%$11,0062.31%$12,9122.31%-1.86%
202173.40%$12,6553.92%$11,4382.38%$13,2192.86%3.92%
202181.86%$12,8913.70%$11,8613.03%$13,619-0.06%3.70%
20219-1.04%$12,757-6.17%$11,130-4.66%$12,9844.51%-6.17%
2021104.14%$13,2855.12%$11,6996.99%$13,8923.19%5.12%
202111-3.73%$12,790-1.59%$11,513-0.71%$13,794-5.83%-1.59%
2021126.88%$13,6709.42%$12,5974.47%$14,4114.25%9.42%

Holdings Based Style Analysis for Utilities with Commodities

Holdings Based Style Analysis for Utilities with Commodities
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VCMDXVanguard Commodity Strategy AdmiralCommodities Broad Basket44.45%-2.43%30.56%0.20%0.20%$2,21022.54%
VPUVanguard Utilities ETFUtilities55.55%2.77%2.70%0.10%0.10%25.87$1,46077.46%
100.00%0.46%15.08%0.14%0.14%25.87$3,670100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Utilities only

Holdings Based Style Analysis for Utilities only
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VPUVanguard Utilities ETFUtilities100.00%2.77%2.70%0.10%0.10%25.87$2,597100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/19/2022. (c) 2022 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
MetricUtilities with CommoditiesUtilities onlyVanguard 500 Index Investor
Arithmetic Mean (monthly)2.14%1.66%2.53%
Arithmetic Mean (annualized)28.95%21.83%35.04%
Geometric Mean (monthly)2.11%1.55%2.47%
Geometric Mean (annualized)28.41%20.28%33.95%
Standard Deviation (monthly)2.78%4.86%3.90%
Standard Deviation (annualized)9.61%16.84%13.51%
Downside Deviation (monthly)1.00%2.33%1.42%
Max. Drawdown-3.73%-6.52%-4.66%
US Market Correlation0.510.360.99
Beta(*)0.390.551.00
Alpha (annualized)13.74%3.32%0.00%
R230.46%19.15%100.00%
Sharpe Ratio2.671.182.25
Sortino Ratio7.392.466.15
Treynor Ratio (%)65.2736.4030.37
Active Return-5.54%-13.67%N/A
Tracking Error11.47%16.34%N/A
Information Ratio-0.48-0.84N/A
Skewness-0.300.140.17
Excess Kurtosis0.09-0.520.59
Historical Value-at-Risk (5%)-1.84%-5.73%-3.27%
Analytical Value-at-Risk (5%)-2.37%-6.34%-3.88%
Conditional Value-at-Risk (5%)-3.73%-6.17%-4.66%
Upside Capture Ratio (%)66.9955.29100.00
Downside Capture Ratio (%)13.0046.99100.00
Safe Withdrawal Rate58.79%56.09%61.13%
Perpetual Withdrawal Rate11.48%7.79%13.78%
Positive Periods12 out of 15 (80.00%)9 out of 15 (60.00%)11 out of 15 (73.33%)
Gain/Loss Ratio1.861.561.89
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Utilities with Commodities

Drawdowns for Utilities with Commodities
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2021Nov 20211 monthDec 20211 month2 months-3.73%
2Sep 2021Sep 20211 monthOct 20211 month2 months-1.04%
3Feb 2021Feb 20211 monthMar 20211 month2 months-0.22%

Drawdowns for Utilities only

Drawdowns for Utilities only
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2021Feb 20212 monthsMar 20211 month3 months-6.52%
2Sep 2021Sep 20211 monthDec 20213 months4 months-6.17%
3May 2021Jun 20212 monthsAug 20212 months4 months-4.16%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
2Oct 2020Oct 20201 monthNov 20201 month2 months-2.67%
3Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%
4Nov 2021Nov 20211 monthDec 20211 month2 months-0.71%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VCMDXVanguard Commodity Strategy Admiral38.68%11.94%35.23%11.29%-5.83%2.836.270.34
VPUVanguard Utilities ETF20.28%16.84%17.37%7.33%-6.52%1.182.460.36

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnExpense Ratio
3 MonthYear To Date1 yearNetGross
Vanguard Commodity Strategy Admiral1.30%35.23%35.23%0.20%0.20%
Vanguard Utilities ETF13.18%17.37%17.37%0.10%0.10%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVCMDXVPUUtilities with CommoditiesUtilities onlyVanguard 500 Index Investor
VCMDXVanguard Commodity Strategy Admiral1.00-0.180.42-0.180.28
VPUVanguard Utilities ETF-0.181.000.821.000.44

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameUtilities with CommoditiesUtilities only
VCMDXVanguard Commodity Strategy Admiral$2,210
VPUVanguard Utilities ETF$1,460$2,597
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameUtilities with CommoditiesUtilities only
VCMDXVanguard Commodity Strategy Admiral22.54%
VPUVanguard Utilities ETF77.46%100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns