Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2005 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 25.00%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
SHY iShares 1-3 Year Treasury Bond ETF 25.00%
GLD SPDR Gold Shares 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$24,460 6.60% 6.69%14.50%-2.92%-12.29% 0.811.400.37
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)SPDR Gold Shares (GLD)
20053.42%8.55%$10,8556.31%8.61%1.53%17.76%
20062.54%10.71%$12,01815.69%0.71%3.89%22.55%
20074.08%13.37%$13,6245.37%10.29%7.35%30.45%
20080.09%2.12%$13,914-36.98%33.93%6.62%4.92%
20092.72%7.87%$15,00828.89%-21.80%0.35%24.03%
20101.50%14.50%$17,18517.42%9.05%2.28%29.27%
20112.96%11.48%$19,1590.97%33.96%1.44%9.57%
20121.74%6.49%$20,40216.45%2.63%0.28%6.60%
20131.50%-2.01%$19,99233.45%-13.37%0.21%-28.33%
20140.76%9.53%$21,89712.54%27.30%0.45%-2.19%
20150.73%-2.92%$21,2580.36%-1.79%0.43%-10.67%
20162.07%5.72%$22,47312.83%1.18%0.82%8.03%
20172.11%10.87%$24,91521.21%9.18%0.26%12.81%
20181.91%-1.82%$24,460-5.21%-1.61%1.46%-1.94%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)SPDR Gold Shares (GLD)
20051-0.64%$9,936-2.50%3.57%-0.04%-3.61%
200520.82%$10,0172.09%-1.47%-0.26%3.10%
20053-0.98%$9,918-1.87%-0.45%0.02%-1.63%
200540.88%$10,006-2.20%3.86%0.52%1.24%
200550.88%$10,0943.88%3.14%0.40%-3.92%
200561.84%$10,2800.76%2.16%0.25%4.30%
20057-0.28%$10,2514.38%-3.38%-0.37%-1.43%
200581.12%$10,366-1.09%3.48%0.66%1.35%
200590.97%$10,4670.79%-3.61%-0.30%7.60%
200510-1.34%$10,326-2.35%-2.24%-0.08%-0.64%
2005112.90%$10,6264.62%0.69%0.39%5.82%
2005122.16%$10,8550.02%2.98%0.35%5.05%
200613.00%$11,1803.22%-1.34%0.17%9.93%
200620.03%$11,1840.22%1.11%0.03%-1.11%
200630.41%$11,2292.05%-4.57%0.17%3.62%
200642.94%$11,5600.96%-2.75%0.22%12.03%
20065-1.20%$11,421-3.22%-0.19%0.17%-1.32%
20066-1.04%$11,3030.13%1.18%0.24%-4.67%
200671.52%$11,474-0.12%2.16%0.66%3.15%
200681.03%$11,5932.30%3.06%0.75%-1.38%
20069-0.18%$11,5722.26%1.91%0.44%-4.53%
2006101.54%$11,7513.53%0.85%0.42%1.29%
2006113.11%$12,1172.33%2.31%0.48%6.89%
200612-0.81%$12,0181.20%-2.69%0.07%-1.83%
200710.90%$12,1261.86%-1.00%0.16%2.56%
200721.25%$12,277-1.62%3.39%0.73%2.55%
20073-0.33%$12,2371.12%-1.70%0.45%-1.11%
200741.82%$12,4614.02%0.90%0.31%2.05%
20075-0.23%$12,4323.72%-2.31%-0.07%-2.31%
20076-1.08%$12,298-1.76%-1.01%0.48%-1.94%
200770.68%$12,382-3.53%3.32%0.90%2.37%
200781.35%$12,5501.47%1.79%1.05%1.11%
200793.81%$13,0283.85%0.23%0.55%10.51%
2007102.86%$13,4011.79%1.81%0.48%6.95%
2007110.10%$13,414-4.52%5.35%1.79%-1.65%
2007121.57%$13,624-0.70%-0.64%0.30%6.65%
200812.11%$13,911-6.17%2.10%1.65%10.84%
200820.99%$14,049-2.50%-0.46%1.03%5.23%
20083-1.30%$13,865-0.90%2.14%0.25%-6.00%
20084-0.88%$13,7444.89%-2.48%-0.84%-4.16%
20085-0.05%$13,7382.02%-2.69%-0.35%0.92%
20086-0.06%$13,730-8.12%2.65%0.24%4.52%
20087-0.52%$13,659-0.62%-0.37%0.43%-1.44%
20088-1.40%$13,4681.46%2.74%0.47%-9.29%
20089-0.48%$13,403-9.24%1.47%0.78%4.11%
200810-8.06%$12,322-17.48%-1.86%1.10%-16.14%
2008115.92%$13,052-8.01%14.34%1.10%12.57%
2008126.60%$13,9141.78%13.64%0.56%7.73%
20091-4.00%$13,356-8.05%-13.07%-0.44%5.54%
20092-2.51%$13,021-10.53%-1.54%-0.15%1.45%
200932.15%$13,3018.26%4.04%0.50%-2.54%
20094-0.01%$13,29910.99%-6.95%-0.17%-3.33%
200953.33%$13,7425.46%-3.69%0.06%10.23%
20096-1.24%$13,5710.36%0.76%-0.09%-5.22%
200972.87%$13,9607.74%0.58%0.11%2.38%
200981.61%$14,1843.71%2.24%0.41%0.05%
200993.29%$14,6514.14%2.46%0.24%5.84%
200910-0.25%$14,615-2.63%-2.62%0.14%3.72%
2009115.59%$15,4325.69%1.21%0.60%12.79%
200912-2.75%$15,0082.86%-6.34%-0.84%-7.20%
20101-0.33%$14,958-3.57%2.69%0.80%-1.26%
201021.60%$15,1973.44%-0.34%0.16%3.27%
201030.88%$15,3306.40%-2.06%-0.27%-0.44%
201042.92%$15,7782.18%3.32%0.30%5.88%
201050.11%$15,796-7.88%5.11%0.45%3.05%
201060.84%$15,928-5.83%5.80%0.42%2.36%
20107-0.01%$15,9267.02%-0.95%0.19%-5.09%
201082.64%$16,346-4.71%8.40%0.24%5.71%
201092.64%$16,7789.45%-2.51%0.12%4.78%
2010100.77%$16,9084.03%-4.47%0.22%3.68%
2010110.22%$16,9460.51%-1.69%-0.20%2.11%
2010121.41%$17,1856.96%-3.68%-0.16%2.44%
20111-1.82%$16,8722.05%-3.08%0.13%-6.38%
201122.77%$17,3393.70%1.65%-0.12%6.00%
201130.48%$17,4220.42%0.03%-0.13%1.60%
201143.68%$18,0642.90%2.34%0.53%8.94%
201150.16%$18,093-1.06%3.42%0.36%-1.79%
20116-1.66%$17,793-1.79%-2.33%-0.00%-2.43%
201172.71%$18,275-2.27%4.42%0.29%8.42%
201184.31%$19,062-6.09%9.66%0.34%12.27%
20119-1.41%$18,793-7.57%13.20%-0.10%-11.06%
2011102.72%$19,30411.37%-3.84%0.03%5.87%
2011110.93%$19,485-0.37%1.98%0.04%1.67%
201112-1.67%$19,1590.98%3.44%0.05%-10.66%
201214.05%$19,9365.07%-0.33%0.08%11.40%
20122-0.38%$19,8594.22%-2.59%-0.14%-2.96%
20123-0.55%$19,7513.06%-4.23%-0.08%-1.32%
201240.93%$19,934-0.64%4.83%0.20%-0.15%
20125-1.17%$19,700-6.23%9.03%0.06%-6.34%
201261.15%$19,9264.05%-1.68%-0.10%2.35%
201271.45%$20,2150.88%3.82%0.22%0.84%
201281.57%$20,5332.70%-1.32%0.01%4.94%
201291.21%$20,7812.49%-2.53%0.02%4.67%
201210-1.38%$20,494-1.81%-0.48%-0.07%-2.94%
2012110.43%$20,5820.77%1.38%0.05%-0.47%
201212-0.88%$20,4021.29%-2.49%0.02%-2.43%
201310.43%$20,4915.42%-3.19%0.01%-0.51%
20132-0.61%$20,3661.28%1.24%0.06%-5.09%
201331.18%$20,6073.95%-0.42%0.03%0.95%
20134-0.19%$20,5671.61%4.68%0.07%-7.56%
20135-2.42%$20,0702.44%-6.76%-0.13%-6.20%
20136-3.56%$19,355-1.43%-3.27%-0.10%-11.06%
201372.66%$19,8695.75%-2.26%0.16%7.43%
20138-0.22%$19,827-3.03%-1.34%-0.10%5.20%
201390.36%$19,8973.90%0.66%0.22%-4.78%
2013101.60%$20,2164.27%1.43%0.07%-0.34%
201311-0.83%$20,0492.70%-2.70%0.09%-5.51%
201312-0.28%$19,9922.73%-1.87%-0.18%-3.79%
201411.69%$20,330-3.17%6.30%0.20%3.42%
201422.90%$20,9194.87%0.52%0.04%6.27%
20143-0.54%$20,8060.51%0.73%-0.11%-3.14%
201440.71%$20,9540.06%2.10%0.11%0.49%
201450.55%$21,0682.10%2.95%0.18%-3.05%
201462.12%$21,5152.62%-0.25%-0.08%6.32%
20147-1.27%$21,242-1.99%0.67%-0.08%-3.63%
201482.43%$21,7574.15%4.72%0.19%0.38%
20149-2.63%$21,184-2.10%-2.11%-0.07%-6.18%
2014100.81%$21,3552.75%2.81%0.26%-3.05%
2014111.38%$21,6502.48%2.97%0.11%-0.49%
2014121.14%$21,897-0.04%3.25%-0.29%1.31%
201514.10%$22,794-2.74%9.82%0.63%8.69%
20152-1.89%$22,3645.74%-6.14%-0.29%-5.91%
20153-0.49%$22,254-1.16%1.10%0.25%-2.15%
20154-0.76%$22,0850.62%-3.43%0.03%-0.17%
20155-0.11%$22,0601.30%-2.37%0.04%0.56%
20156-1.79%$21,664-1.67%-4.07%0.03%-1.52%
20157-0.12%$21,6381.70%4.55%0.04%-6.62%
20158-0.92%$21,440-6.09%-0.69%-0.05%3.71%
20159-0.60%$21,311-2.92%1.97%0.30%-1.80%
2015102.33%$21,8087.91%-0.41%-0.14%2.28%
201511-1.76%$21,4240.60%-0.87%-0.26%-6.75%
201512-0.78%$21,258-2.13%-0.30%-0.15%-0.45%
201611.48%$21,572-5.72%5.57%0.65%5.41%
201623.67%$22,363-0.01%3.09%0.11%10.93%
201631.37%$22,6697.11%-0.09%0.14%-0.84%
201641.37%$22,9790.66%-0.74%0.04%5.11%
20165-1.15%$22,7151.73%0.81%-0.12%-6.14%
201664.37%$23,7080.27%6.93%0.60%8.97%
201672.02%$24,1863.98%2.10%-0.05%1.98%
20168-1.18%$23,9010.21%-1.01%-0.23%-3.26%
20169-0.13%$23,8710.21%-1.51%0.13%0.69%
201610-2.48%$23,279-2.19%-4.38%-0.05%-2.94%
201611-3.39%$22,4894.49%-8.21%-0.47%-8.36%
201612-0.07%$22,4731.98%-0.46%0.07%-1.91%
201712.05%$22,9331.86%0.81%0.11%5.42%
201722.15%$23,4253.69%1.59%0.04%3.18%
20173-0.24%$23,3680.06%-0.65%0.06%-0.43%
201741.15%$23,6371.06%1.57%0.19%1.73%
201750.71%$23,8041.01%1.89%0.07%-0.12%
20176-0.14%$23,7700.95%0.79%-0.08%-2.16%
201770.95%$23,9971.88%-0.66%0.19%2.31%
201782.01%$24,4790.15%3.41%0.20%4.20%
20179-0.89%$24,2612.44%-2.32%-0.19%-3.37%
2017100.35%$24,3462.17%-0.04%-0.09%-0.75%
2017111.04%$24,5983.03%0.74%-0.22%0.36%
2017121.29%$24,9151.16%1.81%-0.02%2.11%
201811.23%$25,2225.23%-3.26%-0.29%3.23%
20182-2.26%$24,652-3.76%-3.04%-0.10%-2.08%
201830.40%$24,751-1.95%2.86%0.25%0.63%
20184-0.70%$24,5780.45%-2.09%-0.23%-0.95%
201850.95%$24,8122.72%2.01%0.35%-1.20%
20186-0.56%$24,6750.70%0.65%0.04%-3.61%
20187-0.05%$24,6633.32%-1.44%-0.06%-2.24%
201880.82%$24,8663.43%1.31%0.35%-2.14%
20189-0.83%$24,6600.20%-2.86%-0.14%-0.66%
201810-2.24%$24,109-7.41%-2.93%0.15%2.12%
2018111.13%$24,3822.01%1.79%0.38%0.34%
2018120.32%$24,460-9.16%5.85%0.76%4.94%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth3.19%
Mid-cap Value6.21%
Mid-cap Growth2.71%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets13.27%
Corporate Bonds0.00%
Long-Term Treasuries13.76%
Intermediate-Term Treasuries44.97%
Short-Term Treasuries15.88%
R Squared69.12%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.04%25.00%$5,87520.18%
TLTiShares 20+ Year Treasury Bond ETFLong Government17.030.15%25.00%$3,92824.00%
SHYiShares 1-3 Year Treasury Bond ETFShort Government1.880.15%25.00%$9701.52%
GLDSPDR Gold SharesCommodities Precious Metals0.40%25.00%$3,68754.30%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2019. © 2019 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 1
Arithmetic Mean (monthly)0.55%
Arithmetic Mean (annualized)6.83%
Geometric Mean (monthly)0.53%
Geometric Mean (annualized)6.60%
Volatility (monthly)1.93%
Volatility (annualized)6.69%
Downside Deviation (monthly)1.09%
Max. Drawdown-12.29%
US Market Correlation0.37
Beta(*)0.17
Alpha (annualized)5.17%
R213.73%
Sharpe Ratio0.81
Sortino Ratio1.40
Treynor Ratio (%)31.25
Calmar Ratio0.68
Active Return-1.01%
Tracking Error13.34%
Information Ratio-0.08
Skewness-0.16
Excess Kurtosis2.25
Historical Value-at-Risk (5%)-2.45%
Analytical Value-at-Risk (5%)-2.58%
Conditional Value-at-Risk (5%)-3.67%
Upside Capture Ratio (%)28.12
Downside Capture Ratio (%)3.71
Sustainable Withdrawal Rate10.57%
Positive Periods97 out of 168 (57.74%)
Gain/Loss Ratio1.57
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1
Subprime CrisisNov 2007Mar 2009-12.29%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsAug 200910 months1 year 6 months-12.29%
2Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-7.08%
3Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-6.86%
4Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-6.74%
5Feb 2018Oct 20189 months-4.41%
6Dec 2009Jan 20102 monthsApr 20103 months5 months-3.07%
7Sep 2014Sep 20141 monthDec 20143 months4 months-2.63%
8May 2006Jun 20062 monthsAug 20062 months4 months-2.22%
9Jan 2011Jan 20111 monthFeb 20111 month2 months-1.82%
10Dec 2011Dec 20111 monthJan 20121 month2 months-1.67%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF7.74%14.31%33.45%-36.98%-50.84%0.510.731.00
TLTiShares 20+ Year Treasury Bond ETF5.90%13.03%33.96%-21.80%-21.80%0.410.70-0.31
SHYiShares 1-3 Year Treasury Bond ETF1.93%1.26%7.35%0.21%-1.18%0.601.12-0.34
GLDSPDR Gold Shares7.54%17.73%30.45%-28.33%-42.91%0.430.690.04

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTSHYGLDPortfolio 1
VTIVanguard Total Stock Market ETF--0.32-0.340.040.37
TLTiShares 20+ Year Treasury Bond ETF-0.32-0.510.180.48
SHYiShares 1-3 Year Treasury Bond ETF-0.340.51-0.280.31
GLDSPDR Gold Shares0.040.180.28-0.80

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF$5,875
TLTiShares 20+ Year Treasury Bond ETF$3,928
SHYiShares 1-3 Year Treasury Bond ETF$970
GLDSPDR Gold Shares$3,687

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF20.18%
TLTiShares 20+ Year Treasury Bond ETF24.00%
SHYiShares 1-3 Year Treasury Bond ETF1.52%
GLDSPDR Gold Shares54.30%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.75%14.50%-2.92%
3 years6.79%11.25%1.38%
5 years6.74%9.78%3.24%
7 years6.86%9.73%3.55%
10 years6.72%8.15%5.80%
Result statistics are based on annualized rolling returns over full calendar year periods