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 (Jan 2012 - Dec 2018)

Portfolio Allocations

Vanguard S&P 500 ETF
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 100.00%
Save portfolio »
Vanguard High Dividend Yield ETF
Ticker Name Allocation
VYM Vanguard High Dividend Yield ETF 100.00%
Save portfolio »
iShares Core High Dividend ETF
Ticker Name Allocation
HDV iShares Core High Dividend ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard S&P 500 ETF$10,000$23,046 12.67% 10.64%32.39%-4.50%-13.47% 1.131.810.99
Vanguard High Dividend Yield ETF$10,000$21,393 11.48% 9.88%30.08%-5.91%-9.63% 1.101.820.94
iShares Core High Dividend ETF$10,000$19,398 9.93% 9.60%23.59%-2.98%-8.02% 0.991.680.75
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard S&P 500 ETF-13.47%-4.50%9.26%8.46%12.67%10.85%10.89%
Vanguard High Dividend Yield ETF-9.55%-5.91%8.63%7.85%11.48%9.91%10.21%
iShares Core High Dividend ETF-6.03%-2.98%8.43%7.43%9.93%9.46%9.73%
Trailing annualized return and volatility are for full months ending in December 2018 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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationVanguard S&P 500 ETFVanguard High Dividend Yield ETFiShares Core High Dividend ETFVanguard S&P 500 ETF (VOO)Vanguard High Dividend Yield ETF (VYM)iShares Core High Dividend ETF (HDV)
ReturnBalanceYieldIncomeReturnBalanceYieldIncomeReturnBalanceYieldIncome
20121.74%16.00%$11,6002.49%$24912.69%$11,2693.56%$3569.67%$10,9673.82%$38216.00%12.69%9.67%
20131.50%32.39%$15,3582.40%$27930.08%$14,6593.58%$40423.59%$13,5533.84%$42232.39%30.08%23.59%
20140.76%13.55%$17,4382.08%$31913.52%$16,6413.10%$45412.56%$15,2563.53%$47913.55%13.52%12.56%
20150.73%1.31%$17,6682.10%$3670.28%$16,6873.16%$526-0.26%$15,2163.82%$5821.31%0.28%-0.26%
20162.07%12.17%$19,8182.23%$39417.05%$19,5323.34%$55815.86%$17,6293.73%$56712.17%17.05%15.86%
20172.11%21.77%$24,1332.14%$42516.42%$22,7383.21%$62613.41%$19,9933.63%$64021.77%16.42%13.41%
20181.91%-4.50%$23,0461.94%$469-5.91%$21,3933.13%$712-2.98%$19,3983.48%$696-4.50%-5.91%-2.98%
Monthly returns for the configured portfolios
YearMonthVanguard S&P 500 ETFVanguard High Dividend Yield ETFiShares Core High Dividend ETFVanguard S&P 500 ETF (VOO)Vanguard High Dividend Yield ETF (VYM)iShares Core High Dividend ETF (HDV)
ReturnBalanceReturnBalanceReturnBalance
201214.47%$10,4471.77%$10,177-1.71%$9,8294.47%1.77%-1.71%
201224.28%$10,8953.15%$10,4973.06%$10,1304.28%3.15%3.06%
201233.30%$11,2542.71%$10,7822.59%$10,3923.30%2.71%2.59%
20124-0.64%$11,182-0.02%$10,7791.42%$10,539-0.64%-0.02%1.42%
20125-6.00%$10,511-4.66%$10,277-1.57%$10,374-6.00%-4.66%-1.57%
201264.14%$10,9464.98%$10,7894.98%$10,8914.14%4.98%4.98%
201271.20%$11,0782.14%$11,0203.34%$11,2541.20%2.14%3.34%
201282.51%$11,3560.77%$11,105-1.73%$11,0602.51%0.77%-1.73%
201292.55%$11,6462.56%$11,3901.95%$11,2752.55%2.56%1.95%
201210-1.96%$11,418-0.99%$11,277-0.87%$11,177-1.96%-0.99%-0.87%
2012110.57%$11,483-0.34%$11,238-0.73%$11,0960.57%-0.34%-0.73%
2012121.02%$11,6000.27%$11,269-1.16%$10,9671.02%0.27%-1.16%
201315.17%$12,2005.65%$11,9065.57%$11,5775.17%5.65%5.57%
201321.33%$12,3612.07%$12,1522.05%$11,8141.33%2.07%2.05%
201333.61%$12,8083.61%$12,5914.12%$12,3013.61%3.61%4.12%
201342.09%$13,0763.01%$12,9704.93%$12,9072.09%3.01%4.93%
201352.32%$13,3800.73%$13,064-2.25%$12,6172.32%0.73%-2.25%
20136-1.50%$13,179-0.13%$13,047-0.22%$12,589-1.50%-0.13%-0.22%
201375.30%$13,8784.47%$13,6313.39%$13,0165.30%4.47%3.39%
20138-3.08%$13,450-3.91%$13,098-3.67%$12,538-3.08%-3.91%-3.67%
201393.39%$13,9062.35%$13,4061.15%$12,6823.39%2.35%1.15%
2013104.47%$14,5284.75%$14,0435.19%$13,3404.47%4.75%5.19%
2013113.00%$14,9632.31%$14,3670.96%$13,4683.00%2.31%0.96%
2013122.64%$15,3582.03%$14,6590.63%$13,5532.64%2.03%0.63%
20141-3.53%$14,816-4.00%$14,073-3.81%$13,036-3.53%-4.00%-3.81%
201424.57%$15,4923.61%$14,5813.27%$13,4634.57%3.61%3.27%
201430.88%$15,6292.48%$14,9433.20%$13,8940.88%2.48%3.20%
201440.72%$15,7422.11%$15,2583.29%$14,3510.72%2.11%3.29%
201452.29%$16,1031.58%$15,4990.57%$14,4332.29%1.58%0.57%
201462.09%$16,4392.02%$15,8132.39%$14,7772.09%2.02%2.39%
20147-1.38%$16,213-1.67%$15,548-2.18%$14,456-1.38%-1.67%-2.18%
201483.97%$16,8573.76%$16,1323.36%$14,9423.97%3.76%3.36%
20149-1.38%$16,625-1.16%$15,944-0.48%$14,870-1.38%-1.16%-0.48%
2014102.40%$17,0252.47%$16,3381.85%$15,1442.40%2.47%1.85%
2014112.76%$17,4943.03%$16,8331.94%$15,4392.76%3.03%1.94%
201412-0.32%$17,438-1.14%$16,641-1.18%$15,256-0.32%-1.14%-1.18%
20151-2.87%$16,938-2.88%$16,162-1.91%$14,965-2.87%-2.88%-1.91%
201525.58%$17,8834.90%$16,9533.41%$15,4755.58%4.90%3.41%
20153-1.57%$17,602-1.83%$16,643-2.49%$15,090-1.57%-1.83%-2.49%
201541.00%$17,7791.70%$16,9252.91%$15,5291.00%1.70%2.91%
201551.25%$18,0010.37%$16,989-0.75%$15,4121.25%0.37%-0.75%
20156-1.95%$17,650-2.65%$16,538-3.01%$14,948-1.95%-2.65%-3.01%
201572.18%$18,0341.05%$16,7121.45%$15,1652.18%1.05%1.45%
20158-6.14%$16,928-5.66%$15,766-4.86%$14,427-6.14%-5.66%-4.86%
20159-2.47%$16,510-1.56%$15,521-0.99%$14,284-2.47%-1.56%-0.99%
2015108.45%$17,9058.41%$16,8268.11%$15,4428.45%8.41%8.11%
2015110.43%$17,9810.22%$16,863-1.13%$15,2670.43%0.22%-1.13%
201512-1.74%$17,668-1.05%$16,687-0.34%$15,216-1.74%-1.05%-0.34%
20161-4.91%$16,800-2.82%$16,2170.11%$15,232-4.91%-2.82%0.11%
20162-0.21%$16,7650.51%$16,2990.97%$15,380-0.21%0.51%0.97%
201636.87%$17,9176.64%$17,3816.05%$16,3106.87%6.64%6.05%
201640.35%$17,9800.72%$17,5071.08%$16,4860.35%0.72%1.08%
201651.75%$18,2951.39%$17,7511.60%$16,7501.75%1.39%1.60%
201660.32%$18,3542.18%$18,1383.41%$17,3210.32%2.18%3.41%
201673.68%$19,0302.35%$18,5640.73%$17,4473.68%2.35%0.73%
201680.12%$19,053-0.30%$18,508-1.08%$17,2590.12%-0.30%-1.08%
201690.04%$19,060-0.40%$18,4350.14%$17,2840.04%-0.40%0.14%
201610-1.79%$18,718-1.28%$18,200-2.46%$16,858-1.79%-1.28%-2.46%
2016113.73%$19,4164.23%$18,9691.30%$17,0773.73%4.23%1.30%
2016122.07%$19,8182.97%$19,5323.23%$17,6292.07%2.97%3.23%
201711.78%$20,172-0.04%$19,524-0.73%$17,5001.78%-0.04%-0.73%
201723.88%$20,9533.58%$20,2223.74%$18,1543.88%3.58%3.74%
201730.13%$20,981-0.30%$20,161-0.14%$18,1290.13%-0.30%-0.14%
201741.04%$21,199-0.08%$20,145-0.72%$17,9991.04%-0.08%-0.72%
201751.40%$21,4970.36%$20,2181.37%$18,2461.40%0.36%1.37%
201760.63%$21,6321.13%$20,447-0.66%$18,1250.63%1.13%-0.66%
201772.06%$22,0781.61%$20,7771.66%$18,4262.06%1.61%1.66%
201780.29%$22,142-0.18%$20,740-0.44%$18,3460.29%-0.18%-0.44%
201792.04%$22,5953.02%$21,3663.02%$18,9002.04%3.02%3.02%
2017102.33%$23,1201.74%$21,738-0.31%$18,8412.33%1.74%-0.31%
2017113.06%$23,8273.07%$22,4053.72%$19,5423.06%3.07%3.72%
2017121.28%$24,1331.49%$22,7382.31%$19,9931.28%1.49%2.31%
201815.59%$25,4814.11%$23,6722.32%$20,4575.59%4.11%2.32%
20182-3.73%$24,532-4.72%$22,554-6.61%$19,104-3.73%-4.72%-6.61%
20183-2.48%$23,923-2.17%$22,066-0.98%$18,917-2.48%-2.17%-0.98%
201840.35%$24,0060.13%$22,095-0.02%$18,9120.35%0.13%-0.02%
201852.42%$24,5861.60%$22,4480.31%$18,9702.42%1.60%0.31%
201860.76%$24,772-0.29%$22,3821.26%$19,2100.76%-0.29%1.26%
201873.56%$25,6554.09%$23,2993.93%$19,9653.56%4.09%3.93%
201883.22%$26,4811.11%$23,5571.23%$20,2113.22%1.11%1.23%
201890.58%$26,6340.40%$23,6522.14%$20,6440.58%0.40%2.14%
201810-6.84%$24,813-4.40%$22,612-2.21%$20,188-6.84%-4.40%-2.21%
2018111.89%$25,2803.56%$23,4164.26%$21,0471.89%3.56%4.26%
201812-8.84%$23,046-8.64%$21,393-7.84%$19,398-8.84%-8.64%-7.84%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard S&P 500 ETFVanguard High Dividend Yield ETF
Large-cap Value45.75%77.12%
Large-cap Growth52.61%14.29%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.80%0.00%
Small-cap Growth0.05%0.00%
Global ex-US Developed Markets0.61%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.18%8.59%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.93%94.00%
Style analysis is based on monthly returns from January 2012 to December 2018 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 Vanguard S&P 500 ETF

Holdings Based Style Analysis for Vanguard S&P 500 ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend100.00%1.27%0.03%25.31$13,046100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard High Dividend Yield ETF

Holdings Based Style Analysis for Vanguard High Dividend Yield ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VYMVanguard High Dividend Yield ETFLarge Value100.00%2.72%0.06%18.46$11,393100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for iShares Core High Dividend ETF

Holdings Based Style Analysis for iShares Core High Dividend ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
HDViShares Core High Dividend ETFLarge Value100.00%3.56%0.08%21.85$9,398100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (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
MetricVanguard S&P 500 ETFVanguard High Dividend Yield ETFiShares Core High Dividend ETF
Arithmetic Mean (monthly)1.05%0.95%0.83%
Arithmetic Mean (annualized)13.30%12.01%10.42%
Geometric Mean (monthly)1.00%0.91%0.79%
Geometric Mean (annualized)12.67%11.48%9.93%
Volatility (monthly)3.07%2.85%2.77%
Volatility (annualized)10.64%9.88%9.60%
Downside Deviation (monthly)1.90%1.71%1.60%
Max. Drawdown-13.47%-9.63%-8.02%
US Market Correlation0.990.940.75
Beta(*)0.970.850.66
Alpha (annualized)0.62%0.98%1.88%
R298.96%87.49%55.87%
Sharpe Ratio1.131.100.99
Sortino Ratio1.811.821.68
Treynor Ratio (%)12.4312.8714.41
Calmar Ratio0.690.901.08
Active Return0.34%-0.85%-2.40%
Tracking Error1.12%3.86%7.38%
Information Ratio0.30-0.22-0.32
Skewness-0.70-0.54-0.34
Excess Kurtosis1.071.100.76
Historical Value-at-Risk (5%)-4.73%-4.34%-3.58%
Analytical Value-at-Risk (5%)-4.01%-3.74%-3.73%
Conditional Value-at-Risk (5%)-6.55%-5.62%-5.36%
Upside Capture Ratio (%)100.3788.4673.03
Downside Capture Ratio (%)97.7285.4068.57
Safe Withdrawal Rate23.73%22.68%20.89%
Perpetual Withdrawal Rate9.87%8.91%7.63%
Positive Periods62 out of 84 (73.81%)55 out of 84 (65.48%)50 out of 84 (59.52%)
Gain/Loss Ratio0.831.241.45
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Vanguard S&P 500 ETF

Drawdowns for Vanguard S&P 500 ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-13.47%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.45%
3Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.11%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.53%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.18%
7Aug 2013Aug 20131 monthSep 20131 month2 months-3.08%
8Oct 2012Oct 20121 monthJan 20133 months4 months-1.96%
9Jun 2015Jun 20151 monthJul 20151 month2 months-1.95%
10Oct 2016Oct 20161 monthNov 20161 month2 months-1.79%
Worst 10 drawdowns included above

Drawdowns for Vanguard High Dividend Yield ETF

Drawdowns for Vanguard High Dividend Yield ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-9.63%
2Jun 2015Sep 20154 monthsMar 20166 months10 months-8.64%
3Apr 2012May 20122 monthsJun 20121 month3 months-4.68%
4Jan 2014Jan 20141 monthMar 20142 months3 months-4.00%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.99%
6Aug 2013Aug 20131 monthOct 20132 months3 months-3.91%
7Aug 2016Oct 20163 monthsNov 20161 month4 months-1.96%
8Mar 2015Mar 20151 monthMay 20152 months3 months-1.83%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.67%
10Oct 2012Nov 20122 monthsJan 20132 months4 months-1.33%
Worst 10 drawdowns included above

Drawdowns for iShares Core High Dividend ETF

Drawdowns for iShares Core High Dividend ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2015Sep 20155 monthsMar 20166 months11 months-8.02%
2Dec 2018Dec 20181 month-7.84%
3Feb 2018Apr 20183 monthsSep 20185 months8 months-7.55%
4Jan 2014Jan 20141 monthMar 20142 months3 months-3.81%
5Aug 2013Aug 20131 monthOct 20132 months3 months-3.67%
6Aug 2016Oct 20163 monthsDec 20162 months5 months-3.37%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.07%
8Oct 2012Dec 20123 monthsJan 20131 month4 months-2.74%
9Mar 2015Mar 20151 monthApr 20151 month2 months-2.49%
10May 2013Jun 20132 monthsJul 20131 month3 months-2.46%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VOOVanguard S&P 500 ETF12.67%10.64%32.39%-4.50%-13.47%1.131.810.99
VYMVanguard High Dividend Yield ETF11.48%9.88%30.08%-5.91%-9.63%1.101.820.94
HDViShares Core High Dividend ETF9.93%9.60%23.59%-2.98%-8.02%0.991.680.75

Monthly Correlations

Correlations for the portfolio assets
TickerNameVOOVYMHDVVanguard S&P 500 ETFVanguard High Dividend Yield ETFiShares Core High Dividend ETF
VOOVanguard S&P 500 ETF1.000.950.781.000.950.78
VYMVanguard High Dividend Yield ETF0.951.000.910.951.000.91
HDViShares Core High Dividend ETF0.780.911.000.780.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard S&P 500 ETFVanguard High Dividend Yield ETFiShares Core High Dividend ETF
VOOVanguard S&P 500 ETF$13,046
VYMVanguard High Dividend Yield ETF$11,393
HDViShares Core High Dividend ETF$9,398

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard S&P 500 ETFVanguard High Dividend Yield ETFiShares Core High Dividend ETF
VOOVanguard S&P 500 ETF100.00%
VYMVanguard High Dividend Yield ETF100.00%
HDViShares Core High Dividend ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard S&P 500 ETFVanguard High Dividend Yield ETFiShares Core High Dividend ETF
AverageHighLowAverageHighLowAverageHighLow
1 year14.69%32.39%-6.25%13.35%30.08%-5.91%10.86%23.59%-3.94%
3 years12.66%20.37%8.82%11.91%18.50%8.63%10.00%15.17%6.79%
5 years13.80%15.87%8.46%12.76%15.07%7.85%10.44%12.76%7.43%