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 (May 2020 - Jul 2020)

Portfolio Allocations

IVOL
Ticker Name Allocation
IVOL Quadratic Intrst Rt Vol&Infl H ETF 100.00%
Save portfolio »
SCHP
Ticker Name Allocation
SCHP Schwab US TIPS ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVOL$10,000$10,265 2.65% 3.31%-0.11% 3.1543.53-0.87
SCHP$10,000$10,389 3.89% 3.09%0.00%4.96N/A0.24
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 2020 are based on monthly returns from May to July
  • 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
YearInflationIVOLSCHPQuadratic Intrst Rt Vol&Infl H ETF (IVOL)Schwab US TIPS ETF (SCHP)
ReturnBalanceReturnBalance
20201.06%2.65%$10,2653.89%$10,3892.65%3.89%
Annual return for 2020 is from 05/01/2020 to 07/31/2020
Monthly returns for the configured portfolios
YearMonthIVOL ReturnSCHP ReturnQuadratic Intrst Rt Vol&Infl H ETF (IVOL)Schwab US TIPS ETF (SCHP)
202050.94%0.49%0.94%0.49%
202061.80%1.11%1.80%1.11%
20207-0.11%2.25%-0.11%2.25%

Holdings Based Style Analysis for IVOL

Holdings Based Style Analysis for IVOL
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
IVOLQuadratic Intrst Rt Vol&Infl H ETFInflation-Protected Bond100.00%3.48%0.99%7.56$265100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for SCHP

Holdings Based Style Analysis for SCHP
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
SCHPSchwab US TIPS ETFInflation-Protected Bond100.00%0.85%0.05%7.56$389100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2021. (c) 2021 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
MetricIVOLSCHP
Arithmetic Mean (monthly)0.88%1.28%
Arithmetic Mean (annualized)11.07%16.54%
Geometric Mean (monthly)0.88%1.28%
Geometric Mean (annualized)11.03%16.51%
Volatility (monthly)0.95%0.89%
Volatility (annualized)3.31%3.09%
Downside Deviation (monthly)0.06%0.00%
Max. Drawdown-0.11%0.00%
US Market Correlation-0.870.24
Beta(*)-0.450.11
Alpha (annualized)34.21%9.42%
R275.97%5.57%
Sharpe Ratio3.154.96
Sortino Ratio43.53N/A
Treynor Ratio (%)-23.40135.62
Active Return-57.03%-51.55%
Tracking Error9.49%6.48%
Information Ratio-6.01-7.95
Skewness-0.310.84
Excess KurtosisN/AN/A
Historical Value-at-Risk (5%)-0.00%0.00%
Analytical Value-at-Risk (5%)-0.69%-0.18%
Conditional Value-at-Risk (5%)-0.11%0.00%
Upside Capture Ratio (%)16.2124.26
Downside Capture Ratio (%)N/AN/A
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods2 out of 3 (66.67%)3 out of 3 (100.00%)
Gain/Loss Ratio12.90N/A
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for IVOL

Drawdowns for IVOL
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2020Jul 20201 month-0.11%

Drawdowns for SCHP

Drawdowns for SCHP
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
--------

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVOLQuadratic Intrst Rt Vol&Infl H ETF2.65%3.31%-0.11%3.1543.53-0.87
SCHPSchwab US TIPS ETF3.89%3.09%0.00%4.96N/A0.24

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVOLSCHPIVOLSCHP
IVOLQuadratic Intrst Rt Vol&Infl H ETF1.00-0.681.00-0.68
SCHPSchwab US TIPS ETF-0.681.00-0.681.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameIVOLSCHP
IVOLQuadratic Intrst Rt Vol&Infl H ETF$265
SCHPSchwab US TIPS ETF$389

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameIVOLSCHP
IVOLQuadratic Intrst Rt Vol&Infl H ETF100.00%
SCHPSchwab US TIPS ETF100.00%

Annual Asset Returns