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 Assets 
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Portfolio Analysis Results (Jan 2008 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
GVI iShares Intermediate Govt/Crdt Bd ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
BIV Vanguard Interm-Term Bond ETF 33.33%
BSV Vanguard Short-Term Bond ETF 66.67%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,319 3.24% 3.55%8.18%-0.94%-4.54% 0.841.630.02
Portfolio 2$10,000$13,430 3.33% 3.50%8.25%-1.09%-4.58% 0.881.710.03
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 1-2.09%1.97%1.88%1.56%3.24%2.39%2.26%
Portfolio 2-2.18%1.88%2.05%1.67%3.33%2.33%2.27%
Trailing annualized return and volatility are for full months ending in December 2016 excluding portfolio cashflows.
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.
  • 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
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2iShares Intermediate Govt/Crdt Bd ETF (GVI)Vanguard Interm-Term Bond ETF (BIV)Vanguard Short-Term Bond ETF (BSV)
ReturnBalanceReturnBalance
20080.09%8.18%$10,8188.25%$10,8258.18%7.77%8.50%
20092.72%1.95%$11,0292.31%$11,0761.95%3.88%1.53%
20101.50%5.46%$11,6325.64%$11,7005.46%9.14%3.89%
20112.96%5.95%$12,3245.67%$12,3645.95%11.13%2.95%
20121.74%3.18%$12,7163.32%$12,7743.18%6.66%1.65%
20131.50%-0.94%$12,597-1.09%$12,635-0.94%-3.58%0.15%
20140.76%2.88%$12,9593.34%$13,0562.88%7.27%1.37%
20150.73%0.79%$13,0610.96%$13,1820.79%1.04%0.92%
20162.07%1.97%$13,3191.88%$13,4301.97%2.98%1.33%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2iShares Intermediate Govt/Crdt Bd ETF (GVI)Vanguard Interm-Term Bond ETF (BIV)Vanguard Short-Term Bond ETF (BSV)
ReturnBalanceReturnBalance
200812.04%$10,2042.45%$10,2452.04%2.82%2.27%
200820.79%$10,2850.68%$10,3150.79%0.48%0.78%
200830.02%$10,2870.23%$10,3390.02%0.34%0.17%
20084-0.42%$10,244-0.75%$10,261-0.42%-1.11%-0.57%
20085-1.13%$10,128-1.01%$10,158-1.13%-1.51%-0.76%
200860.29%$10,1570.12%$10,1690.29%0.02%0.16%
200870.51%$10,2080.32%$10,2020.51%0.12%0.42%
200880.44%$10,2530.48%$10,2500.44%0.54%0.44%
20089-2.63%$9,983-1.45%$10,102-2.63%-3.92%-0.23%
200810-1.64%$9,819-2.34%$9,866-1.64%-3.04%-2.01%
2008114.54%$10,2654.86%$10,3454.54%6.10%4.28%
2008125.39%$10,8184.64%$10,8255.39%7.26%3.39%
20091-1.39%$10,668-1.76%$10,635-1.39%-3.09%-1.09%
20092-1.24%$10,536-1.11%$10,517-1.24%-1.39%-0.98%
200930.57%$10,5960.77%$10,5970.57%1.50%0.41%
20094-0.29%$10,5660.44%$10,644-0.29%0.46%0.43%
200950.97%$10,6680.54%$10,7020.97%0.28%0.66%
200960.41%$10,7120.41%$10,7450.41%1.26%-0.01%
200971.33%$10,8541.39%$10,8951.33%2.46%0.86%
200980.83%$10,9440.85%$10,9880.83%1.39%0.58%
200990.88%$11,0410.81%$11,0770.88%1.48%0.47%
2009100.26%$11,0700.20%$11,0990.26%0.15%0.22%
2009111.10%$11,1911.23%$11,2361.10%2.01%0.83%
200912-1.45%$11,029-1.43%$11,076-1.45%-2.53%-0.85%
201011.43%$11,1881.36%$11,2261.43%2.06%1.01%
201020.32%$11,2240.33%$11,2630.32%0.44%0.28%
20103-0.42%$11,177-0.30%$11,229-0.42%-0.27%-0.32%
201040.88%$11,2750.83%$11,3220.88%1.44%0.52%
201050.86%$11,3720.77%$11,4090.86%1.48%0.41%
201061.32%$11,5221.46%$11,5761.32%2.34%1.00%
201071.08%$11,6461.03%$11,6951.08%1.68%0.69%
201080.83%$11,7431.11%$11,8240.83%2.30%0.48%
201090.65%$11,8190.38%$11,8700.65%0.58%0.28%
2010100.20%$11,8420.46%$11,9250.20%0.47%0.46%
201011-0.71%$11,759-0.65%$11,848-0.71%-1.11%-0.40%
201012-1.08%$11,632-1.24%$11,700-1.08%-2.52%-0.56%
201110.30%$11,6660.45%$11,7520.30%0.62%0.36%
201120.07%$11,675-0.12%$11,7380.07%0.07%-0.22%
20113-0.07%$11,667-0.17%$11,718-0.07%-0.31%-0.10%
201141.12%$11,7981.35%$11,8761.12%2.16%0.95%
201151.03%$11,9201.01%$11,9971.03%1.78%0.62%
20116-0.10%$11,907-0.17%$11,977-0.10%-0.53%0.02%
201171.22%$12,0521.28%$12,1291.22%2.57%0.62%
201181.20%$12,1971.26%$12,2831.20%2.48%0.63%
201190.10%$12,210-0.10%$12,2700.10%0.24%-0.28%
2011100.27%$12,2420.26%$12,3020.27%0.35%0.21%
201111-0.43%$12,189-0.30%$12,265-0.43%-0.62%-0.13%
2011121.11%$12,3240.80%$12,3641.11%1.87%0.24%
201210.91%$12,4360.89%$12,4740.91%1.53%0.57%
20122-0.23%$12,4070.01%$12,475-0.23%0.00%0.02%
20123-0.44%$12,353-0.45%$12,419-0.44%-0.98%-0.19%
201240.90%$12,4640.88%$12,5280.90%1.66%0.49%
201250.51%$12,5270.60%$12,6030.51%1.50%0.13%
201260.06%$12,5340.07%$12,6110.06%0.08%0.06%
201270.97%$12,6560.94%$12,7290.97%1.79%0.49%
201280.20%$12,6810.18%$12,7530.20%0.10%0.23%
201290.24%$12,7100.21%$12,7790.24%0.51%0.05%
2012100.06%$12,7180.10%$12,7920.06%0.28%0.01%
2012110.26%$12,7500.35%$12,8360.26%0.62%0.21%
201212-0.27%$12,716-0.49%$12,774-0.27%-0.60%-0.43%
20131-0.26%$12,683-0.39%$12,724-0.26%-1.12%-0.02%
201320.40%$12,7340.48%$12,7860.40%1.00%0.23%
201330.11%$12,7480.12%$12,8020.11%0.35%0.01%
201340.58%$12,8220.67%$12,8870.58%1.42%0.29%
20135-1.27%$12,660-1.29%$12,721-1.27%-2.79%-0.53%
20136-1.13%$12,517-1.26%$12,561-1.13%-2.74%-0.53%
201370.42%$12,5710.43%$12,6150.42%0.45%0.42%
20138-0.65%$12,490-0.54%$12,547-0.65%-1.10%-0.27%
201390.91%$12,6030.81%$12,6490.91%1.45%0.51%
2013100.47%$12,6630.63%$12,7290.47%1.31%0.30%
201311-0.06%$12,655-0.04%$12,724-0.06%-0.54%0.21%
201312-0.46%$12,597-0.70%$12,635-0.46%-1.21%-0.46%
201410.86%$12,7051.08%$12,7720.86%2.20%0.53%
201420.28%$12,7410.37%$12,8190.28%0.78%0.16%
20143-0.31%$12,701-0.36%$12,773-0.31%-0.47%-0.30%
201440.62%$12,7800.51%$12,8380.62%1.00%0.25%
201450.68%$12,8660.75%$12,9340.68%1.41%0.41%
20146-0.05%$12,860-0.03%$12,930-0.05%-0.02%-0.04%
20147-0.22%$12,832-0.26%$12,897-0.22%-0.31%-0.24%
201480.59%$12,9070.74%$12,9930.59%1.50%0.35%
20149-0.52%$12,840-0.43%$12,936-0.52%-0.98%-0.15%
2014100.70%$12,9310.64%$13,0200.70%1.11%0.40%
2014110.47%$12,9910.47%$13,0810.47%0.86%0.27%
201412-0.25%$12,959-0.19%$13,056-0.25%-0.01%-0.28%
201511.85%$13,1991.66%$13,2731.85%3.08%0.95%
20152-0.92%$13,078-0.79%$13,168-0.92%-1.41%-0.48%
201530.40%$13,1300.50%$13,2340.40%0.60%0.45%
20154-0.00%$13,130-0.12%$13,218-0.00%-0.26%-0.05%
20155-0.16%$13,109-0.07%$13,209-0.16%-0.44%0.12%
20156-0.52%$13,041-0.54%$13,138-0.52%-1.35%-0.13%
201570.38%$13,0900.40%$13,1910.38%0.93%0.14%
20158-0.15%$13,070-0.11%$13,176-0.15%-0.19%-0.08%
201590.68%$13,1590.70%$13,2690.68%1.09%0.51%
201510-0.17%$13,137-0.03%$13,265-0.17%0.06%-0.08%
201511-0.21%$13,110-0.33%$13,221-0.21%-0.40%-0.29%
201512-0.37%$13,061-0.30%$13,182-0.37%-0.60%-0.15%
201611.19%$13,2161.14%$13,3321.19%1.83%0.79%
201620.62%$13,2980.59%$13,4100.62%1.12%0.32%
201630.71%$13,3930.73%$13,5080.71%1.30%0.45%
201640.12%$13,4090.16%$13,5300.12%0.30%0.09%
20165-0.15%$13,389-0.20%$13,503-0.15%-0.20%-0.21%
201661.62%$13,6061.56%$13,7131.62%2.64%1.01%
201670.13%$13,6230.29%$13,7530.13%0.51%0.17%
20168-0.35%$13,576-0.35%$13,704-0.35%-0.52%-0.27%
201690.21%$13,6030.18%$13,7290.21%0.16%0.19%
201610-0.47%$13,540-0.50%$13,660-0.47%-0.96%-0.26%
201611-1.85%$13,290-1.79%$13,415-1.85%-3.30%-1.01%
2016120.22%$13,3190.11%$13,4300.22%0.18%0.07%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%1.04%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.22%
Global ex-US Developed Markets0.97%1.45%
Emerging Markets0.80%0.88%
Corporate Bonds21.85%14.97%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries23.30%29.89%
Short-Term Treasuries53.08%51.56%
R Squared91.27%90.42%
Style analysis is based on monthly returns from January 2008 to December 2016 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
GVIiShares Intermediate Govt/Crdt Bd ETFIntermediate Core Bond100.00%0.74%0.20%4.11$3,319100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
BIVVanguard Interm-Term Bond ETFIntermediate Core Bond33.33%1.66%0.05%6.60$1,77553.32%
BSVVanguard Short-Term Bond ETFShort-Term Bond66.67%0.47%0.05%2.79$1,65546.68%
100.00%0.87%0.05%4.06$3,430100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/14/2021. (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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.27%0.28%
Arithmetic Mean (annualized)3.30%3.39%
Geometric Mean (monthly)0.27%0.27%
Geometric Mean (annualized)3.24%3.33%
Volatility (monthly)1.02%1.01%
Volatility (annualized)3.55%3.50%
Downside Deviation (monthly)0.51%0.51%
Max. Drawdown-4.54%-4.58%
US Market Correlation0.020.03
Beta(*)0.000.01
Alpha (annualized)3.21%3.28%
R20.05%0.11%
Sharpe Ratio0.840.88
Sortino Ratio1.631.71
Treynor Ratio (%)610.33440.86
Calmar Ratio0.770.84
Active Return-4.06%-3.96%
Tracking Error16.65%16.60%
Information Ratio-0.24-0.24
Skewness1.431.27
Excess Kurtosis7.666.19
Historical Value-at-Risk (5%)-1.26%-1.28%
Analytical Value-at-Risk (5%)-1.41%-1.38%
Conditional Value-at-Risk (5%)-1.70%-1.68%
Upside Capture Ratio (%)6.626.48
Downside Capture Ratio (%)-7.60-8.40
Safe Withdrawal Rate12.57%12.64%
Perpetual Withdrawal Rate1.62%1.71%
Positive Periods68 out of 108 (62.96%)68 out of 108 (62.96%)
Gain/Loss Ratio1.291.31
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-4.54%
2Jan 2009Feb 20092 monthsJul 20095 months7 months-2.61%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-2.60%
4Aug 2016Nov 20164 months-2.45%
5Nov 2010Dec 20102 monthsMay 20115 months7 months-1.78%
6Dec 2009Dec 20091 monthFeb 20102 months3 months-1.45%
7Feb 2015Jun 20155 monthsJan 20167 months1 year-1.20%
8Feb 2012Mar 20122 monthsApr 20121 month3 months-0.67%
9Dec 2012Jan 20132 monthsApr 20133 months5 months-0.53%
10Sep 2014Sep 20141 monthOct 20141 month2 months-0.52%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsNov 20081 month8 months-4.58%
2Jan 2009Feb 20092 monthsJul 20095 months7 months-2.85%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-2.64%
4Aug 2016Nov 20164 months-2.46%
5Nov 2010Dec 20102 monthsMay 20115 months7 months-1.88%
6Dec 2009Dec 20091 monthFeb 20102 months3 months-1.43%
7Feb 2015Jun 20155 monthsJan 20167 months1 year-1.02%
8Dec 2012Jan 20132 monthsApr 20133 months5 months-0.87%
9Mar 2012Mar 20121 monthApr 20121 month2 months-0.45%
10Sep 2014Sep 20141 monthOct 20141 month2 months-0.43%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
GVIiShares Intermediate Govt/Crdt Bd ETF3.24%3.55%8.18%-0.94%-4.54%0.841.630.02
BIVVanguard Interm-Term Bond ETF5.05%5.75%11.13%-3.58%-8.65%0.841.480.04
BSVVanguard Short-Term Bond ETF2.45%2.54%8.50%0.15%-2.53%0.871.860.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameGVIBIVBSVPortfolio 1Portfolio 2
GVIiShares Intermediate Govt/Crdt Bd ETF1.000.970.931.000.98
BIVVanguard Interm-Term Bond ETF0.971.000.880.970.97
BSVVanguard Short-Term Bond ETF0.930.881.000.930.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
GVIiShares Intermediate Govt/Crdt Bd ETF$3,319
BIVVanguard Interm-Term Bond ETF$1,775
BSVVanguard Short-Term Bond ETF$1,655

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
GVIiShares Intermediate Govt/Crdt Bd ETF100.00%
BIVVanguard Interm-Term Bond ETF53.32%
BSVVanguard Short-Term Bond ETF46.68%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year3.56%12.73%-1.51%3.63%12.50%-1.61%
3 years3.29%7.63%0.90%3.35%7.63%0.99%
5 years3.23%5.22%1.56%3.28%5.23%1.67%
7 years3.40%4.25%2.49%3.48%4.32%2.56%