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 + 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
PortfolioInitial BalanceFinal BalanceReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVOL + long-bonds$10,000$10,997 9.97% 13.63%-3.89% 1.745.460.99
SCHP + short-bonds$10,000$11,054 10.54% 13.49%-3.59% 1.856.221.00
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
YearInflationIVOL + long-bondsSCHP + short-bondsSPDR 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)
ReturnBalanceReturnBalance
20200.53%9.97%$10,99710.54%$11,05415.46%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
YearMonthIVOL + long-bonds ReturnSCHP + short-bonds ReturnSPDR 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)
202083.55%3.78%6.98%4.43%-0.94%3.19%-6.73%0.91%0.18%
20209-2.04%-1.99%-3.74%-1.82%-0.10%-1.11%1.07%-0.31%-0.12%
202010-1.89%-1.64%-2.49%-2.30%-0.56%0.37%-4.49%-0.65%0.09%
2020117.18%7.23%10.88%12.62%1.21%-0.07%2.42%1.09%0.64%
2020123.10%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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend40.00%1.39%0.09%27.17$61162.37%
VXUSVanguard Total International Stock ETFForeign Large Blend20.00%2.09%0.08%19.90$38530.85%
BNDVanguard Total Bond Market ETFIntermediate Core Bond10.00%1.29%0.04%6.61-$2.241.22%
IVOLQuadratic Intrst Rt Vol&Infl H ETFInflation-Protected Bond20.00%3.48%0.99%7.56$1003.43%
EDVVanguard Extended Duration Trs ETFLong Government10.00%2.15%0.07%24.28-$96.722.12%
100.00%2.01%0.26%24.7511.50$997100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend40.00%1.39%0.09%27.17$61263.18%
VXUSVanguard Total International Stock ETFForeign Large Blend20.00%2.09%0.08%19.90$38630.96%
BNDVanguard Total Bond Market ETFIntermediate Core Bond10.00%1.29%0.04%6.61-$2.221.20%
SCHPSchwab US TIPS ETFInflation-Protected Bond20.00%0.85%0.05%7.56$46.373.98%
VCSHVanguard Short-Term Corporate Bond ETFShort-Term Bond10.00%0.67%0.05%2.76$12.220.68%
100.00%1.34%0.07%24.756.12$1,054100.00%

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
MetricIVOL + long-bondsSCHP + 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 Correlation0.991.00
Beta(*)0.600.59
Alpha (annualized)-2.09%-0.67%
R298.46%99.17%
Sharpe Ratio1.741.85
Sortino Ratio5.466.22
Treynor Ratio (%)39.7342.12
Active Return-24.64%-23.06%
Tracking Error9.34%9.35%
Information Ratio-2.64-2.47
Skewness0.160.16
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 (%)52.4753.41
Downside Capture Ratio (%)69.7464.47
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods3 out of 5 (60.00%)3 out of 5 (60.00%)
Gain/Loss Ratio2.342.58
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsNov 20201 month3 months-3.89%

Drawdowns for SCHP + short-bonds

Drawdowns for SCHP + short-bonds
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsNov 20201 month3 months-3.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust15.46%21.49%-6.14%1.715.261.00
VXUSVanguard Total International Stock ETF19.42%21.29%-4.07%2.119.870.96
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
EDVVanguard Extended Duration Trs ETF-9.39%13.14%-9.96%-1.74-1.780.14
SCHPSchwab US TIPS ETF2.30%3.04%-0.97%1.784.740.86
VCSHVanguard Short-Term Corporate Bond ETF1.20%1.02%-0.12%2.7314.380.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYVXUSBNDIVOLEDVSCHPVCSHIVOL + long-bondsSCHP + short-bonds
SPYSPDR S&P 500 ETF Trust1.000.950.470.420.100.860.860.990.99
VXUSVanguard Total International Stock ETF0.951.000.710.240.370.870.940.990.98
BNDVanguard Total Bond Market ETF0.470.711.00-0.430.880.400.720.590.57
IVOLQuadratic Intrst Rt Vol&Infl H ETF0.420.24-0.431.00-0.710.610.260.370.38
EDVVanguard Extended Duration Trs ETF0.100.370.88-0.711.000.100.310.220.20
SCHPSchwab US TIPS ETF0.860.870.400.610.101.000.790.890.88
VCSHVanguard Short-Term Corporate Bond ETF0.860.940.720.260.310.791.000.910.91

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameIVOL + long-bondsSCHP + short-bonds
SPYSPDR S&P 500 ETF Trust$611$612
VXUSVanguard Total International Stock ETF$385$386
BNDVanguard Total Bond Market ETF-$2.24-$2.22
IVOLQuadratic Intrst Rt Vol&Infl H ETF$100
EDVVanguard Extended Duration Trs ETF-$96.72
SCHPSchwab US TIPS ETF$46.37
VCSHVanguard Short-Term Corporate Bond ETF$12.22

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameIVOL + long-bondsSCHP + short-bonds
SPYSPDR S&P 500 ETF Trust62.37%63.18%
VXUSVanguard Total International Stock ETF30.85%30.96%
BNDVanguard Total Bond Market ETF1.22%1.20%
IVOLQuadratic Intrst Rt Vol&Infl H ETF3.43%
EDVVanguard Extended Duration Trs ETF2.12%
SCHPSchwab US TIPS ETF3.98%
VCSHVanguard Short-Term Corporate Bond ETF0.68%

Annual Asset Returns