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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Asset 5

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Asset 7

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Asset 8

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Asset 9

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Asset 10

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Total

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Portfolio Analysis Results (Aug 2020 - Dec 2020)

Portfolio Allocations

IVOL + long-bonds
Ticker	Name	Allocation
SPY	SPDR S&P 500 ETF Trust	40.00%
VXUS	Vanguard Total International Stock ETF	20.00%
BND	Vanguard Total Bond Market ETF	10.00%
IVOL	Quadratic Intrst Rt Vol&Infl H ETF	20.00%
EDV	Vanguard Extended Duration Trs ETF	10.00%
Save portfolio »

SCHP + short-bonds
Ticker	Name	Allocation
SPY	SPDR S&P 500 ETF Trust	40.00%
VXUS	Vanguard Total International Stock ETF	20.00%
BND	Vanguard Total Bond Market ETF	10.00%
SCHP	Schwab US TIPS ETF	20.00%
VCSH	Vanguard Short-Term Corporate Bond ETF	10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	Return	Stdev	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
IVOL + long-bonds	$10,000	$10,997	9.97%	13.63%	-3.89%	1.74	5.46	0.99
SCHP + short-bonds	$10,000	$11,054	10.54%	13.49%	-3.59%	1.85	6.22	1.00

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 quarterly 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
Year	Inflation	IVOL + long-bonds		SCHP + short-bonds		SPDR S&P 500 ETF Trust (SPY)	Vanguard Total International Stock ETF (VXUS)	Vanguard Total Bond Market ETF (BND)	Quadratic Intrst Rt Vol&Infl H ETF (IVOL)	Vanguard Extended Duration Trs ETF (EDV)	Schwab US TIPS ETF (SCHP)	Vanguard Short-Term Corporate Bond ETF (VCSH)
Year	Inflation	Return	Balance	Return	Balance	SPDR S&P 500 ETF Trust (SPY)	Vanguard Total International Stock ETF (VXUS)	Vanguard Total Bond Market ETF (BND)	Quadratic Intrst Rt Vol&Infl H ETF (IVOL)	Vanguard Extended Duration Trs ETF (EDV)	Schwab US TIPS ETF (SCHP)	Vanguard Short-Term Corporate Bond ETF (VCSH)
2020	0.53%	9.97%	$10,997	10.54%	$11,054	15.46%	19.42%	-0.24%	5.04%	-9.39%	2.30%	1.20%
Annual return for 2020 is from 08/01/2020 to 12/31/2020

Monthly returns for the configured portfolios
Year	Month	IVOL + long-bonds Return	SCHP + short-bonds Return	SPDR S&P 500 ETF Trust (SPY)	Vanguard Total International Stock ETF (VXUS)	Vanguard Total Bond Market ETF (BND)	Quadratic Intrst Rt Vol&Infl H ETF (IVOL)	Vanguard Extended Duration Trs ETF (EDV)	Schwab US TIPS ETF (SCHP)	Vanguard Short-Term Corporate Bond ETF (VCSH)
2020	8	3.55%	3.78%	6.98%	4.43%	-0.94%	3.19%	-6.73%	0.91%	0.18%
2020	9	-2.04%	-1.99%	-3.74%	-1.82%	-0.10%	-1.11%	1.07%	-0.31%	-0.12%
2020	10	-1.89%	-1.64%	-2.49%	-2.30%	-0.56%	0.37%	-4.49%	-0.65%	0.09%
2020	11	7.18%	7.23%	10.88%	12.62%	1.21%	-0.07%	2.42%	1.09%	0.64%
2020	12	3.10%	3.03%	3.71%	5.86%	0.15%	2.61%	-1.74%	1.25%	0.41%

Holdings Based Style Analysis for IVOL + long-bonds

Holdings Based Style Analysis for IVOL + long-bonds
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
SPY	SPDR S&P 500 ETF Trust	Large Blend	40.00%	1.39%	0.09%	27.17		$611	62.37%
VXUS	Vanguard Total International Stock ETF	Foreign Large Blend	20.00%	2.09%	0.08%	19.90		$385	30.85%
BND	Vanguard Total Bond Market ETF	Intermediate Core Bond	10.00%	1.29%	0.04%		6.61	-$2.24	1.22%
IVOL	Quadratic Intrst Rt Vol&Infl H ETF	Inflation-Protected Bond	20.00%	3.48%	0.99%		7.56	$100	3.43%
EDV	Vanguard Extended Duration Trs ETF	Long Government	10.00%	2.15%	0.07%		24.28	-$96.72	2.12%
			100.00%	2.01%	0.26%	24.75	11.50	$997	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for SCHP + short-bonds

Holdings Based Style Analysis for SCHP + short-bonds
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
SPY	SPDR S&P 500 ETF Trust	Large Blend	40.00%	1.39%	0.09%	27.17		$612	63.18%
VXUS	Vanguard Total International Stock ETF	Foreign Large Blend	20.00%	2.09%	0.08%	19.90		$386	30.96%
BND	Vanguard Total Bond Market ETF	Intermediate Core Bond	10.00%	1.29%	0.04%		6.61	-$2.22	1.20%
SCHP	Schwab US TIPS ETF	Inflation-Protected Bond	20.00%	0.85%	0.05%		7.56	$46.37	3.98%
VCSH	Vanguard Short-Term Corporate Bond ETF	Short-Term Bond	10.00%	0.67%	0.05%		2.76	$12.22	0.68%
			100.00%	1.34%	0.07%	24.75	6.12	$1,054	100.00%

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
Metric	IVOL + long-bonds	SCHP + short-bonds
Arithmetic Mean (monthly)	1.98%	2.08%
Arithmetic Mean (annualized)	26.53%	28.09%
Geometric Mean (monthly)	1.92%	2.03%
Geometric Mean (annualized)	25.63%	27.20%
Volatility (monthly)	3.94%	3.89%
Volatility (annualized)	13.63%	13.49%
Downside Deviation (monthly)	1.24%	1.15%
Max. Drawdown	-3.89%	-3.59%
US Market Correlation	0.99	1.00
Beta^(*)	0.60	0.59
Alpha (annualized)	-2.09%	-0.67%
R²	98.46%	99.17%
Sharpe Ratio	1.74	1.85
Sortino Ratio	5.46	6.22
Treynor Ratio (%)	39.73	42.12
Active Return	-24.64%	-23.06%
Tracking Error	9.34%	9.35%
Information Ratio	-2.64	-2.47
Skewness	0.16	0.16
Excess Kurtosis	-1.61	-1.61
Historical Value-at-Risk (5%)	-2.01%	-1.92%
Analytical Value-at-Risk (5%)	-3.79%	-3.64%
Conditional Value-at-Risk (5%)	-2.04%	-1.99%
Upside Capture Ratio (%)	52.47	53.41
Downside Capture Ratio (%)	69.74	64.47
Safe Withdrawal Rate	N/A	N/A
Perpetual Withdrawal Rate	N/A	N/A
Positive Periods	3 out of 5 (60.00%)	3 out of 5 (60.00%)
Gain/Loss Ratio	2.34	2.58
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for IVOL + long-bonds

Drawdowns for IVOL + long-bonds
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.89%

Drawdowns for SCHP + short-bonds

Drawdowns for SCHP + short-bonds
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.59%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	Return	Stdev	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
SPY	SPDR S&P 500 ETF Trust	15.46%	21.49%	-6.14%	1.71	5.26	1.00
VXUS	Vanguard Total International Stock ETF	19.42%	21.29%	-4.07%	2.11	9.87	0.96
BND	Vanguard Total Bond Market ETF	-0.24%	2.84%	-1.59%	-0.23	-0.38	0.52
IVOL	Quadratic Intrst Rt Vol&Infl H ETF	5.04%	6.33%	-1.11%	1.88	6.89	0.39
EDV	Vanguard Extended Duration Trs ETF	-9.39%	13.14%	-9.96%	-1.74	-1.78	0.14
SCHP	Schwab US TIPS ETF	2.30%	3.04%	-0.97%	1.78	4.74	0.86
VCSH	Vanguard Short-Term Corporate Bond ETF	1.20%	1.02%	-0.12%	2.73	14.38	0.89

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	SPY	VXUS	BND	IVOL	EDV	SCHP	VCSH	IVOL + long-bonds	SCHP + short-bonds
SPY	SPDR S&P 500 ETF Trust	1.00	0.95	0.47	0.42	0.10	0.86	0.86	0.99	0.99
VXUS	Vanguard Total International Stock ETF	0.95	1.00	0.71	0.24	0.37	0.87	0.94	0.99	0.98
BND	Vanguard Total Bond Market ETF	0.47	0.71	1.00	-0.43	0.88	0.40	0.72	0.59	0.57
IVOL	Quadratic Intrst Rt Vol&Infl H ETF	0.42	0.24	-0.43	1.00	-0.71	0.61	0.26	0.37	0.38
EDV	Vanguard Extended Duration Trs ETF	0.10	0.37	0.88	-0.71	1.00	0.10	0.31	0.22	0.20
SCHP	Schwab US TIPS ETF	0.86	0.87	0.40	0.61	0.10	1.00	0.79	0.89	0.88
VCSH	Vanguard Short-Term Corporate Bond ETF	0.86	0.94	0.72	0.26	0.31	0.79	1.00	0.91	0.91

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	IVOL + long-bonds	SCHP + short-bonds
SPY	SPDR S&P 500 ETF Trust	$611	$612
VXUS	Vanguard Total International Stock ETF	$385	$386
BND	Vanguard Total Bond Market ETF	-$2.24	-$2.22
IVOL	Quadratic Intrst Rt Vol&Infl H ETF	$100
EDV	Vanguard Extended Duration Trs ETF	-$96.72
SCHP	Schwab US TIPS ETF		$46.37
VCSH	Vanguard Short-Term Corporate Bond ETF		$12.22

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	IVOL + long-bonds	SCHP + short-bonds
SPY	SPDR S&P 500 ETF Trust	62.37%	63.18%
VXUS	Vanguard Total International Stock ETF	30.85%	30.96%
BND	Vanguard Total Bond Market ETF	1.22%	1.20%
IVOL	Quadratic Intrst Rt Vol&Infl H ETF	3.43%
EDV	Vanguard Extended Duration Trs ETF	2.12%
SCHP	Schwab US TIPS ETF		3.98%
VCSH	Vanguard Short-Term Corporate Bond ETF		0.68%

Backtest Portfolio Asset Allocation

Portfolio Analysis Results (Aug 2020 - Dec 2020)

Portfolio Allocations

Portfolio Returns

Holdings Based Style Analysis for IVOL + long-bonds

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for SCHP + short-bonds

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Drawdowns for IVOL + long-bonds

Drawdowns for SCHP + short-bonds

Portfolio Assets

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns