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.

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Portfolio Analysis Results (Jan 2008 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VNQ Vanguard Real Estate ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
HYG iShares iBoxx $ High Yield Corp Bd ETF 40.00%
IJS iShares S&P Small-Cap 600 Value ETF 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,658 6.34% 24.21%30.36%-37.00%-62.05% 0.360.510.74
Portfolio 2$10,000$20,409 6.70% 15.55%25.91%-24.67%-39.23% 0.470.690.92
   
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
YearInflationReturnBalanceVanguard Real Estate ETF (VNQ)iShares iBoxx $ High Yield Corp Bd ETF (HYG)iShares S&P Small-Cap 600 Value ETF (IJS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20080.09%-37.00%-24.67%$6,300$7,533-37.00%-17.58%-29.39%
20092.72%30.08%24.85%$8,195$9,40530.08%28.57%22.36%
20101.50%28.37%19.57%$10,520$11,24528.37%11.89%24.69%
20112.96%8.62%1.72%$11,426$11,4398.62%6.77%-1.65%
20121.74%17.63%15.61%$13,440$13,22417.63%11.66%18.24%
20131.50%2.31%25.91%$13,751$16,6512.31%5.75%39.34%
20140.76%30.36%5.29%$17,926$17,53230.36%1.90%7.56%
20150.73%2.42%-6.15%$18,359$16,4542.42%-5.03%-6.90%
20162.07%8.60%24.11%$19,939$20,4228.60%13.41%31.25%
20172.11%4.91%9.24%$20,918$22,3084.91%6.07%11.35%
20181.91%-6.02%-8.51%$19,658$20,409-6.02%-2.03%-12.84%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Real Estate ETF (VNQ)iShares iBoxx $ High Yield Corp Bd ETF (HYG)iShares S&P Small-Cap 600 Value ETF (IJS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-0.78%-3.13%$9,922$9,687-0.78%-1.83%-4.00%
20082-3.18%-2.76%$9,606$9,420-3.18%-1.87%-3.36%
200836.48%0.87%$10,229$9,5026.48%0.95%0.83%
200846.38%2.95%$10,882$9,7836.38%3.39%2.64%
20085-0.21%2.09%$10,859$9,987-0.21%-0.52%3.92%
20086-10.62%-6.51%$9,706$9,337-10.62%-3.67%-8.41%
200873.12%1.93%$10,008$9,5173.12%0.59%2.87%
200882.37%2.46%$10,246$9,7512.37%-0.89%4.76%
20089-0.11%-7.12%$10,234$9,057-0.11%-10.66%-4.82%
200810-31.73%-16.69%$6,987$7,546-31.73%-11.48%-19.86%
200811-22.72%-9.91%$5,400$6,798-22.72%-7.10%-11.80%
20081216.67%10.81%$6,300$7,53316.67%16.79%6.57%
20091-17.53%-8.77%$5,196$6,873-17.53%-1.01%-13.94%
20092-20.53%-11.58%$4,129$6,077-20.53%-9.70%-13.03%
200933.61%5.08%$4,278$6,3853.61%1.93%7.58%
2009430.68%16.72%$5,591$7,45330.68%13.84%18.89%
200952.62%1.59%$5,737$7,5712.62%2.86%0.67%
20096-3.23%2.29%$5,552$7,745-3.23%3.33%1.52%
2009710.77%9.25%$6,150$8,46110.77%6.92%11.00%
2009814.32%1.31%$7,031$8,57214.32%-1.70%3.48%
200996.63%4.86%$7,497$8,9886.63%5.81%4.21%
200910-4.46%-3.79%$7,162$8,647-4.46%-0.52%-6.07%
2009116.57%2.38%$7,633$8,8536.57%1.68%2.90%
2009127.37%6.23%$8,195$9,4057.37%3.68%8.10%
20101-5.52%-2.25%$7,743$9,193-5.52%-1.83%-2.54%
201025.58%3.60%$8,175$9,5245.58%1.87%4.76%
2010310.18%5.56%$9,008$10,05410.18%2.13%7.80%
201047.15%4.83%$9,652$10,5397.15%1.93%6.63%
20105-5.33%-7.10%$9,137$9,791-5.33%-4.68%-8.54%
20106-5.19%-4.69%$8,662$9,331-5.19%1.11%-8.27%
201079.59%6.08%$9,493$9,8989.59%5.15%6.71%
20108-1.28%-5.14%$9,372$9,390-1.28%-0.99%-7.91%
201094.45%7.88%$9,789$10,1304.45%3.65%10.93%
2010104.74%3.15%$10,253$10,4494.74%1.84%4.04%
201011-1.85%0.99%$10,063$10,552-1.85%-1.27%2.47%
2010124.54%6.57%$10,520$11,2454.54%2.79%8.97%
201113.25%0.52%$10,862$11,3043.25%1.65%-0.24%
201124.71%3.09%$11,373$11,6534.71%1.43%4.21%
20113-1.62%1.35%$11,189$11,810-1.62%0.04%2.21%
201145.75%1.27%$11,832$11,9605.75%1.60%1.06%
201151.37%-1.02%$11,995$11,8381.37%0.13%-1.77%
20116-3.30%-1.19%$11,599$11,698-3.30%-0.57%-1.59%
201171.56%-1.52%$11,780$11,5201.56%0.35%-2.77%
20118-5.62%-5.83%$11,118$10,848-5.62%-2.73%-7.98%
20119-10.85%-8.34%$9,912$9,943-10.85%-5.30%-10.57%
20111014.29%12.36%$11,329$11,17214.29%8.50%15.34%
201111-3.80%-0.65%$10,898$11,099-3.80%-2.42%0.63%
2011124.85%3.06%$11,426$11,4394.85%4.55%2.02%
201216.38%5.33%$12,155$12,0486.38%1.46%7.90%
20122-1.15%1.86%$12,015$12,272-1.15%2.10%1.71%
201235.19%1.41%$12,639$12,4455.19%-0.95%2.89%
201242.86%-0.76%$13,000$12,3502.86%1.14%-1.91%
20125-4.51%-5.66%$12,414$11,652-4.51%-3.22%-7.18%
201265.52%4.59%$13,100$12,1865.52%4.66%4.54%
201272.00%-0.01%$13,362$12,1852.00%1.02%-0.69%
20128-0.01%2.95%$13,360$12,544-0.01%1.24%4.08%
20129-1.86%2.11%$13,112$12,808-1.86%0.52%3.14%
201210-0.91%-0.88%$12,993$12,696-0.91%0.84%-1.96%
201211-0.26%1.42%$12,958$12,876-0.26%1.05%1.65%
2012123.72%2.71%$13,440$13,2243.72%1.40%3.55%
201313.74%3.35%$13,943$13,6673.74%0.34%5.35%
201321.22%1.36%$14,112$13,8531.22%0.93%1.63%
201332.87%2.86%$14,517$14,2492.87%0.87%4.11%
201346.73%0.88%$15,495$14,3746.73%2.12%0.12%
20135-5.98%1.65%$14,569$14,611-5.98%-2.58%4.29%
20136-1.98%-0.71%$14,281$14,507-1.98%-1.69%-0.14%
201370.90%5.21%$14,409$15,2630.90%2.85%6.56%
20138-6.98%-2.65%$13,404$14,859-6.98%-1.27%-3.41%
201393.49%4.50%$13,871$15,5273.49%0.78%6.59%
2013104.52%3.15%$14,498$16,0154.52%2.52%3.48%
201311-5.25%2.95%$13,737$16,487-5.25%0.47%4.25%
2013120.10%0.99%$13,751$16,6510.10%0.41%1.29%
201414.28%-1.95%$14,339$16,3264.28%0.40%-3.51%
201425.07%3.68%$15,065$16,9275.07%2.31%4.63%
201430.49%0.77%$15,139$17,0560.49%-0.08%1.34%
201443.29%-1.21%$15,636$16,8513.29%0.42%-2.29%
201452.40%0.86%$16,011$16,9962.40%1.21%0.62%
201461.13%2.52%$16,193$17,4251.13%0.61%3.85%
201470.08%-4.01%$16,206$16,7260.08%-2.43%-5.07%
201483.04%3.61%$16,699$17,3313.04%2.38%4.46%
20149-6.04%-4.35%$15,691$16,577-6.04%-1.98%-5.94%
2014109.94%4.62%$17,250$17,3449.94%1.06%7.13%
2014112.00%-0.14%$17,595$17,3192.00%-1.08%0.48%
2014121.88%1.23%$17,926$17,5321.88%-0.80%2.56%
201516.85%-2.91%$19,154$17,0226.85%0.70%-5.32%
20152-3.67%4.35%$18,451$17,763-3.67%2.23%5.86%
201531.74%0.23%$18,772$17,8031.74%-0.95%1.03%
20154-5.85%-0.74%$17,674$17,671-5.85%0.87%-1.82%
20155-0.30%0.59%$17,621$17,775-0.30%0.35%0.75%
20156-4.68%-0.52%$16,797$17,683-4.68%-1.89%0.42%
201575.77%-1.81%$17,766$17,3625.77%-0.49%-2.70%
20158-6.29%-3.36%$16,649$16,779-6.29%-1.52%-4.62%
201593.05%-3.45%$17,157$16,2013.05%-2.99%-3.77%
2015105.76%5.18%$18,145$17,0405.76%3.23%6.57%
201511-0.63%0.44%$18,032$17,114-0.63%-2.50%2.47%
2015121.82%-3.86%$18,359$16,4541.82%-2.00%-5.08%
20161-3.44%-4.15%$17,728$15,771-3.44%-1.60%-5.85%
20162-0.36%1.84%$17,664$16,062-0.36%1.50%2.08%
2016310.48%6.60%$19,514$17,12210.48%2.54%9.41%
20164-2.35%2.52%$19,056$17,553-2.35%3.12%2.13%
201652.25%0.33%$19,484$17,6122.25%0.17%0.44%
201666.92%1.21%$20,833$17,8256.92%1.79%0.83%
201674.26%3.57%$21,721$18,4614.26%1.31%5.06%
20168-3.76%1.46%$20,904$18,731-3.76%1.97%1.13%
20169-1.82%0.95%$20,524$18,909-1.82%1.08%0.87%
201610-5.74%-2.66%$19,346$18,405-5.74%-0.98%-3.74%
201611-1.68%8.04%$19,022$19,885-1.68%0.02%13.34%
2016124.82%2.70%$19,939$20,4224.82%1.84%3.20%
20171-0.19%-0.36%$19,900$20,348-0.19%0.91%-1.21%
201723.51%1.42%$20,598$20,6383.51%1.53%1.35%
20173-2.42%-0.45%$20,099$20,546-2.42%-0.14%-0.65%
201740.24%0.64%$20,148$20,6770.24%0.82%0.51%
20175-0.72%-0.92%$20,002$20,487-0.72%1.03%-2.26%
201762.23%1.78%$20,448$20,8522.23%0.13%2.96%
201771.24%0.86%$20,701$21,0321.24%1.02%0.75%
20178-0.26%-1.58%$20,647$20,700-0.26%0.07%-2.72%
20179-0.11%5.26%$20,625$21,788-0.11%0.60%8.58%
201710-1.07%0.39%$20,404$21,873-1.07%0.09%0.59%
2017112.66%2.12%$20,947$22,3382.66%-0.37%3.76%
201712-0.14%-0.13%$20,918$22,308-0.14%0.25%-0.37%
20181-4.25%0.82%$20,028$22,490-4.25%0.05%1.33%
20182-7.68%-2.78%$18,490$21,865-7.68%-0.87%-4.04%
201833.88%0.72%$19,207$22,0233.88%-0.23%1.37%
201840.82%1.25%$19,365$22,2980.82%0.48%1.76%
201853.68%3.55%$20,078$23,0903.68%0.05%5.87%
201864.20%0.53%$20,922$23,2124.20%0.10%0.80%
201870.60%2.26%$21,047$23,7360.60%1.68%2.62%
201882.58%2.21%$21,589$24,2622.58%0.71%3.14%
20189-2.64%-1.71%$21,019$23,847-2.64%0.53%-3.05%
201810-2.93%-6.89%$20,405$22,205-2.93%-1.98%-9.94%
2018114.67%0.18%$21,358$22,2444.67%-0.40%0.57%
201812-7.96%-8.25%$19,658$20,409-7.96%-2.09%-12.38%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value27.21%2.84%
Mid-cap Growth0.00%0.00%
Small-cap Value42.93%65.14%
Small-cap Growth0.00%1.57%
Global ex-US Developed Markets14.11%3.71%
Emerging Markets4.91%2.61%
Corporate Bonds0.00%24.13%
Long-Term Treasuries10.84%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared62.53%98.24%
Style analysis is based on monthly returns from Jan 2008 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VNQVanguard Real Estate ETFReal Estate0.12%100.00%$9,658100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
HYGiShares iBoxx $ High Yield Corp Bd ETFHigh Yield Bond3.780.49%40.00%$2,71924.69%
IJSiShares S&P Small-Cap 600 Value ETFSmall Value0.25%60.00%$7,69075.31%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/04/2019. © 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 1Portfolio 2
Arithmetic Mean (monthly)0.77%0.64%
Arithmetic Mean (annualized)9.59%7.99%
Geometric Mean (monthly)0.51%0.54%
Geometric Mean (annualized)6.34%6.70%
Volatility (monthly)6.99%4.49%
Volatility (annualized)24.21%15.55%
Downside Deviation (monthly)4.92%3.03%
Max. Drawdown-62.05%-39.23%
US Market Correlation0.740.92
Beta(*)1.150.92
Alpha (annualized)-0.31%0.14%
R254.78%84.11%
Sharpe Ratio0.360.47
Sortino Ratio0.510.69
Treynor Ratio (%)7.617.95
Calmar Ratio0.150.47
Information Ratio0.06-0.09
Diversification Ratio1.001.07
Skewness-0.64-0.32
Excess Kurtosis6.322.53
Historical Value-at-Risk (5%)-8.89%-7.51%
Analytical Value-at-Risk (5%)-10.73%-6.72%
Conditional Value-at-Risk (5%)-18.99%-10.59%
Upside Capture Ratio (%)96.7188.28
Downside Capture Ratio (%)100.8089.07
Sustainable Withdrawal Rate10.66%11.39%
Positive Periods75 out of 132 (56.82%)84 out of 132 (63.64%)
Gain/Loss Ratio1.050.85
* 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
1May 2008Feb 200910 monthsFeb 20112 years2 years 10 months-62.05%
2Jun 2011Sep 20114 monthsJan 20124 months8 months-17.36%
3Aug 2016Feb 20181 year 7 months-14.88%
4May 2013Aug 20134 monthsApr 20148 months1 year-13.50%
5Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-13.08%
6Sep 2014Sep 20141 monthOct 20141 month2 months-6.04%
7May 2012May 20121 monthJun 20121 month2 months-4.51%
8Jan 2008Feb 20082 monthsMar 20081 month3 months-3.94%
9Aug 2012Nov 20124 monthsDec 20121 month5 months-3.02%
10Apr 2016Apr 20161 monthJun 20162 months3 months-2.35%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsMar 20101 year 1 month2 years 3 months-39.23%
2May 2011Sep 20115 monthsJan 20124 months9 months-16.86%
3Sep 2018Dec 20184 months-15.88%
4May 2010Jun 20102 monthsNov 20105 months7 months-11.47%
5Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-11.41%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.37%
7Jul 2014Sep 20143 monthsDec 20143 months6 months-4.87%
8Jan 2015Jan 20151 monthFeb 20151 month2 months-2.91%
9Feb 2018Feb 20181 monthMay 20183 months4 months-2.78%
10Oct 2016Oct 20161 monthNov 20161 month2 months-2.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VNQVanguard Real Estate ETF6.34%24.21%30.36%-37.00%-62.05%0.360.510.74
HYGiShares iBoxx $ High Yield Corp Bd ETF4.97%11.46%28.57%-17.58%-29.81%0.440.710.73
IJSiShares S&P Small-Cap 600 Value ETF7.55%19.98%39.34%-29.39%-47.15%0.440.650.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameVNQHYGIJSPortfolio 1Portfolio 2
VNQVanguard Real Estate ETF-0.750.761.000.80
HYGiShares iBoxx $ High Yield Corp Bd ETF0.75-0.710.750.84
IJSiShares S&P Small-Cap 600 Value ETF0.760.71-0.760.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VNQVanguard Real Estate ETF$9,658
HYGiShares iBoxx $ High Yield Corp Bd ETF$2,719
IJSiShares S&P Small-Cap 600 Value ETF$7,690

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VNQVanguard Real Estate ETF100.00%
HYGiShares iBoxx $ High Yield Corp Bd ETF24.69%
IJSiShares S&P Small-Cap 600 Value ETF75.31%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.21%30.36%-37.00%7.91%25.91%-24.67%
3 years10.98%21.95%1.70%10.07%15.30%3.99%
5 years11.45%16.95%6.09%10.23%17.19%4.15%
7 years11.43%16.51%8.06%10.15%11.81%8.35%
10 years9.86%12.05%7.66%9.42%10.48%8.35%
Result statistics are based on annualized rolling returns over full calendar year periods