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 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 2016 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DSI iShares MSCI KLD 400 Social ETF 42.00%
TSORX TIAA-CREF Social Choice Intl Eq Retail 18.00%
VGIT Vanguard Intmdt-Term Trs ETF 20.00%
VFIIX Vanguard GNMA Inv 20.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,521 4.83% 6.28%13.83%-3.69%-6.86% 0.630.870.94
   
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 excluding cashflows
  • 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 BalanceiShares MSCI KLD 400 Social ETF (DSI)TIAA-CREF Social Choice Intl Eq Retail (TSORX)Vanguard Intmdt-Term Trs ETF (VGIT)Vanguard GNMA Inv (VFIIX)
20162.07%5.10%$10,51010.53%0.77%0.84%1.85%
20172.11%13.83%$11,96320.89%24.11%1.71%1.87%
20181.91%-3.69%$11,521-3.89%-13.93%1.35%0.87%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceiShares MSCI KLD 400 Social ETF (DSI)TIAA-CREF Social Choice Intl Eq Retail (TSORX)Vanguard Intmdt-Term Trs ETF (VGIT)Vanguard GNMA Inv (VFIIX)
20161-2.59%$9,741-5.19%-6.02%2.14%1.24%
20162-0.45%$9,697-0.39%-2.97%0.75%0.31%
201634.34%$10,1187.54%6.72%0.22%0.33%
201640.38%$10,156-0.01%2.21%-0.17%0.20%
201650.73%$10,2311.55%0.43%-0.17%0.19%
20166-0.16%$10,214-0.15%-3.77%2.07%0.74%
201672.56%$10,4764.12%4.47%0.05%0.25%
201680.21%$10,4980.45%0.86%-0.72%0.08%
201690.30%$10,529-0.15%1.17%0.44%0.36%
201610-1.77%$10,343-2.58%-2.52%-0.92%-0.20%
2016110.52%$10,3963.93%-1.72%-2.58%-1.67%
2016121.09%$10,5101.53%2.64%-0.19%0.03%
201711.46%$10,6632.15%2.84%0.36%-0.11%
201721.76%$10,8513.13%1.38%0.44%0.49%
201730.73%$10,9300.30%3.35%0.06%-0.07%
201741.40%$11,0831.50%2.73%0.79%0.50%
201751.36%$11,2341.29%2.96%0.60%0.70%
201760.05%$11,2400.43%0.19%-0.47%-0.43%
201771.71%$11,4322.28%2.96%0.42%0.41%
201780.12%$11,446-0.33%0.00%0.90%0.51%
201791.24%$11,5882.35%2.23%-0.89%-0.15%
2017101.34%$11,7432.53%1.36%-0.19%0.04%
2017111.11%$11,8742.47%0.72%-0.36%-0.25%
2017120.75%$11,9631.08%1.16%0.03%0.22%
201812.94%$12,3156.00%5.19%-1.45%-1.11%
20182-2.86%$11,963-3.91%-5.19%-0.46%-0.64%
20183-0.73%$11,875-2.06%-0.63%0.70%0.63%
201840.24%$11,9040.54%1.54%-0.88%-0.44%
201850.89%$12,0102.53%-2.67%0.79%0.73%
201860.06%$12,0170.62%-1.28%0.07%0.05%
201871.84%$12,2393.39%2.59%-0.32%-0.05%
201881.02%$12,3632.35%-1.35%0.71%0.44%
201890.06%$12,3700.34%0.91%-0.76%-0.55%
201810-5.02%$11,748-7.72%-8.43%-0.04%-0.65%
2018111.90%$11,9713.31%0.59%0.97%0.85%
201812-3.76%$11,521-8.23%-5.37%2.06%1.64%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value10.11%
Large-cap Growth17.76%
Mid-cap Value2.40%
Mid-cap Growth3.47%
Small-cap Value0.00%
Small-cap Growth2.46%
Global ex-US Developed Markets22.95%
Emerging Markets2.01%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries15.14%
Short-Term Treasuries23.72%
R Squared98.84%
Style analysis is based on monthly returns from Jan 2016 to Dec 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
DSIiShares MSCI KLD 400 Social ETFLarge Blend0.25%42.00%$1,16973.40%
TSORXTIAA-CREF Social Choice Intl Eq RetailForeign Large Blend0.74%18.00%$17029.43%
VGITVanguard Intmdt-Term Trs ETFIntermediate Government5.140.07%20.00%$85.06-2.31%
VFIIXVanguard GNMA InvIntermediate Government3.960.21%20.00%$97.00-0.52%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/03/2019. © 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)0.41%
Arithmetic Mean (annualized)5.04%
Geometric Mean (monthly)0.39%
Geometric Mean (annualized)4.83%
Volatility (monthly)1.81%
Volatility (annualized)6.28%
Downside Deviation (monthly)1.27%
Max. Drawdown-6.86%
US Market Correlation0.94
Beta(*)0.52
Alpha (annualized)0.15%
R288.48%
Sharpe Ratio0.63
Sortino Ratio0.87
Treynor Ratio (%)7.67
Calmar Ratio0.70
Active Return-4.04%
Tracking Error5.84%
Information Ratio-0.69
Skewness-1.04
Excess Kurtosis2.12
Historical Value-at-Risk (5%)-3.95%
Analytical Value-at-Risk (5%)-2.51%
Conditional Value-at-Risk (5%)-5.02%
Upside Capture Ratio (%)53.30
Downside Capture Ratio (%)57.04
Safe Withdrawal Rate36.17%
Perpetual Withdrawal Rate2.67%
Positive Periods28 out of 36 (77.78%)
Gain/Loss Ratio0.53
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-6.86%
2Feb 2018Mar 20182 monthsAug 20185 months7 months-3.57%
3Jan 2016Feb 20162 monthsMar 20161 month3 months-3.03%
4Oct 2016Oct 20161 monthJan 20173 months4 months-1.77%
5Jun 2016Jun 20161 monthJul 20161 month2 months-0.16%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DSIiShares MSCI KLD 400 Social ETF8.70%11.25%20.89%-3.89%-12.51%0.711.020.99
TSORXTIAA-CREF Social Choice Intl Eq Retail2.48%11.35%24.11%-13.93%-18.18%0.190.260.77
VGITVanguard Intmdt-Term Trs ETF1.30%3.28%1.71%0.84%-4.34%0.130.19-0.40
VFIIXVanguard GNMA Inv1.53%2.17%1.87%0.87%-1.95%0.280.40-0.30

Monthly Correlations

Correlations for the portfolio assets
TickerNameDSITSORXVGITVFIIXPortfolio 1
DSIiShares MSCI KLD 400 Social ETF-0.81-0.37-0.260.97
TSORXTIAA-CREF Social Choice Intl Eq Retail0.81--0.31-0.130.90
VGITVanguard Intmdt-Term Trs ETF-0.37-0.31-0.91-0.22
VFIIXVanguard GNMA Inv-0.26-0.130.91--0.07

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
DSIiShares MSCI KLD 400 Social ETF$1,169
TSORXTIAA-CREF Social Choice Intl Eq Retail$170
VGITVanguard Intmdt-Term Trs ETF$85.06
VFIIXVanguard GNMA Inv$97.00

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
DSIiShares MSCI KLD 400 Social ETF73.40%
TSORXTIAA-CREF Social Choice Intl Eq Retail29.43%
VGITVanguard Intmdt-Term Trs ETF-2.31%
VFIIXVanguard GNMA Inv-0.52%

Annual Asset Returns