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 (Aug 2020 - Dec 2020)

Portfolio Allocations

IVOL
Ticker Name Allocation
VT Vanguard Total World Stock ETF 33.00%
BND Vanguard Total Bond Market ETF 34.00%
IVOL Quadratic Intrst Rt Vol&Infl H ETF 33.00%
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Short TIPS
Ticker Name Allocation
VT Vanguard Total World Stock ETF 33.00%
BND Vanguard Total Bond Market ETF 17.00%
SCHP Schwab US TIPS ETF 33.00%
VTIP Vanguard Short-Term Infl-Prot Secs ETF 17.00%
Save portfolio »
33/33/33
Ticker Name Allocation
VT Vanguard Total World Stock ETF 33.00%
BND Vanguard Total Bond Market ETF 34.00%
SCHP Schwab US TIPS ETF 33.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVOL$10,000$10,780 7.80% 8.67%-2.13% 2.127.440.98
Short TIPS$10,000$10,733 7.33% 8.74%-2.16% 1.987.190.99
33/33/33$10,000$10,690 6.90% 8.80%-2.22% 1.856.630.98
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 August to December
  • 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
YearInflationIVOLShort TIPS33/33/33Vanguard Total World Stock ETF (VT)Vanguard Total Bond Market ETF (BND)Quadratic Intrst Rt Vol&Infl H ETF (IVOL)Schwab US TIPS ETF (SCHP)Vanguard Short-Term Infl-Prot Secs ETF (VTIP)
ReturnBalanceReturnBalanceReturnBalance
20200.53%7.80%$10,7807.33%$10,7336.90%$10,69018.86%-0.24%5.04%2.30%2.31%
Annual return for 2020 is from 08/01/2020 to 12/31/2020
Monthly returns for the configured portfolios
YearMonthIVOL ReturnShort TIPS Return33/33/33 ReturnVanguard Total World Stock ETF (VT)Vanguard Total Bond Market ETF (BND)Quadratic Intrst Rt Vol&Infl H ETF (IVOL)Schwab US TIPS ETF (SCHP)Vanguard Short-Term Infl-Prot Secs ETF (VTIP)
202082.72%2.31%1.96%6.01%-0.94%3.19%0.91%1.11%
20209-1.39%-1.15%-1.14%-2.92%-0.10%-1.11%-0.31%-0.18%
202010-0.75%-1.03%-1.09%-2.05%-0.56%0.37%-0.65%-0.20%
2020114.47%4.78%4.90%12.37%1.21%-0.07%1.09%0.59%
2020122.65%2.34%2.21%4.94%0.15%2.61%1.25%0.97%

Holdings Based Style Analysis for IVOL

Holdings Based Style Analysis for IVOL
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock33.00%1.62%0.08%23.55$62282.51%
BNDVanguard Total Bond Market ETFIntermediate Core Bond34.00%1.29%0.04%6.61-$8.295.73%
IVOLQuadratic Intrst Rt Vol&Infl H ETFInflation-Protected Bond33.00%3.48%0.99%7.56$16611.76%
100.00%2.12%0.37%23.557.08$780100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Short TIPS

Holdings Based Style Analysis for Short TIPS
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock33.00%1.62%0.08%23.55$62282.98%
BNDVanguard Total Bond Market ETFIntermediate Core Bond17.00%1.29%0.04%6.61-$4.143.37%
SCHPSchwab US TIPS ETFInflation-Protected Bond33.00%0.85%0.05%7.56$75.8810.45%
VTIPVanguard Short-Term Infl-Prot Secs ETFInflation-Protected Bond17.00%1.19%0.05%2.78$39.263.19%
100.00%1.24%0.06%23.556.11$733100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for 33/33/33

Holdings Based Style Analysis for 33/33/33
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock33.00%1.62%0.08%23.55$62282.53%
BNDVanguard Total Bond Market ETFIntermediate Core Bond34.00%1.29%0.04%6.61-$8.297.29%
SCHPSchwab US TIPS ETFInflation-Protected Bond33.00%0.85%0.05%7.56$75.8810.18%
100.00%1.25%0.05%23.557.08$690100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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
MetricIVOLShort TIPS33/33/33
Arithmetic Mean (monthly)1.54%1.45%1.37%
Arithmetic Mean (annualized)20.11%18.86%17.72%
Geometric Mean (monthly)1.51%1.43%1.34%
Geometric Mean (annualized)19.76%18.51%17.37%
Volatility (monthly)2.50%2.52%2.54%
Volatility (annualized)8.67%8.74%8.80%
Downside Deviation (monthly)0.71%0.69%0.71%
Max. Drawdown-2.13%-2.16%-2.22%
US Market Correlation0.980.990.98
Beta(*)0.380.380.38
Alpha (annualized)2.16%0.92%-0.06%
R296.78%97.35%95.95%
Sharpe Ratio2.121.981.85
Sortino Ratio7.447.196.63
Treynor Ratio (%)48.9145.5743.00
Active Return-30.50%-31.75%-32.90%
Tracking Error14.26%14.15%14.20%
Information Ratio-2.14-2.24-2.32
Skewness-0.240.140.36
Excess Kurtosis-2.30-1.63-1.07
Historical Value-at-Risk (5%)-1.27%-1.12%-1.13%
Analytical Value-at-Risk (5%)-2.12%-2.24%-2.34%
Conditional Value-at-Risk (5%)-1.39%-1.15%-1.14%
Upside Capture Ratio (%)35.8834.2132.77
Downside Capture Ratio (%)38.6639.2440.18
Safe Withdrawal RateN/AN/AN/A
Perpetual Withdrawal RateN/AN/AN/A
Positive Periods3 out of 5 (60.00%)3 out of 5 (60.00%)3 out of 5 (60.00%)
Gain/Loss Ratio3.062.892.71
* 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
1Sep 2020Oct 20202 monthsNov 20201 month3 months-2.13%

Drawdowns for Short TIPS

Drawdowns for Short TIPS
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsNov 20201 month3 months-2.16%

Drawdowns for 33/33/33

Drawdowns for 33/33/33
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsNov 20201 month3 months-2.22%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTVanguard Total World Stock ETF18.86%21.83%-4.91%2.017.920.99
BNDVanguard Total Bond Market ETF-0.24%2.84%-1.59%-0.23-0.380.52
IVOLQuadratic Intrst Rt Vol&Infl H ETF5.04%6.33%-1.11%1.886.890.39
SCHPSchwab US TIPS ETF2.30%3.04%-0.97%1.784.740.86
VTIPVanguard Short-Term Infl-Prot Secs ETF2.31%2.14%-0.37%2.5212.640.75

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTBNDIVOLSCHPVTIPIVOLShort TIPS33/33/33
VTVanguard Total World Stock ETF1.000.600.330.860.720.981.000.99
BNDVanguard Total Bond Market ETF0.601.00-0.430.400.030.510.600.66
IVOLQuadratic Intrst Rt Vol&Infl H ETF0.33-0.431.000.610.850.480.370.31
SCHPSchwab US TIPS ETF0.860.400.611.000.920.920.900.88
VTIPVanguard Short-Term Infl-Prot Secs ETF0.720.030.850.921.000.820.760.71

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameIVOLShort TIPS33/33/33
VTVanguard Total World Stock ETF$622$622$622
BNDVanguard Total Bond Market ETF-$8.29-$4.14-$8.29
IVOLQuadratic Intrst Rt Vol&Infl H ETF$166
SCHPSchwab US TIPS ETF$75.88$75.88
VTIPVanguard Short-Term Infl-Prot Secs ETF$39.26

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameIVOLShort TIPS33/33/33
VTVanguard Total World Stock ETF82.51%82.98%82.53%
BNDVanguard Total Bond Market ETF5.73%3.37%7.29%
IVOLQuadratic Intrst Rt Vol&Infl H ETF11.76%
SCHPSchwab US TIPS ETF10.45%10.18%
VTIPVanguard Short-Term Infl-Prot Secs ETF3.19%

Annual Asset Returns