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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

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Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

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Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

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Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

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Enter percentage allocation for asset 3 in portfolio 1 %

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Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

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Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

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Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

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Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

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Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

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Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2016 - Dec 2018)

Note: The time period was constrained by the available data for TIAA-CREF Social Choice Intl Eq Retail (TSORX) [Sep 2015 - Jun 2020]. You can extend the backtesting period by using TIAA-CREF Social Choice Intl Eq Instl (TSONX), which is the oldest share class of the fund.

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%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$11,521	4.83%	6.28%	13.83%	-3.69%	-6.86%	0.62	0.85	0.94

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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1 Return	Portfolio 1 Balance	iShares MSCI KLD 400 Social ETF (DSI)	TIAA-CREF Social Choice Intl Eq Retail (TSORX)	Vanguard Intmdt-Term Trs ETF (VGIT)	Vanguard GNMA Inv (VFIIX)
2016	2.07%	5.10%	$10,510	10.53%	0.77%	0.84%	1.85%
2017	2.11%	13.83%	$11,963	20.89%	24.11%	1.71%	1.87%
2018	1.91%	-3.69%	$11,521	-3.89%	-13.93%	1.35%	0.87%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 1 Balance	iShares MSCI KLD 400 Social ETF (DSI)	TIAA-CREF Social Choice Intl Eq Retail (TSORX)	Vanguard Intmdt-Term Trs ETF (VGIT)	Vanguard GNMA Inv (VFIIX)
2016	1	-2.59%	$9,741	-5.19%	-6.02%	2.14%	1.24%
2016	2	-0.45%	$9,697	-0.39%	-2.97%	0.75%	0.31%
2016	3	4.34%	$10,118	7.54%	6.72%	0.22%	0.33%
2016	4	0.38%	$10,156	-0.01%	2.21%	-0.17%	0.20%
2016	5	0.73%	$10,231	1.55%	0.43%	-0.17%	0.19%
2016	6	-0.16%	$10,214	-0.15%	-3.77%	2.07%	0.74%
2016	7	2.56%	$10,476	4.12%	4.47%	0.05%	0.25%
2016	8	0.21%	$10,498	0.45%	0.86%	-0.72%	0.08%
2016	9	0.30%	$10,529	-0.15%	1.17%	0.44%	0.36%
2016	10	-1.77%	$10,343	-2.58%	-2.52%	-0.92%	-0.20%
2016	11	0.52%	$10,396	3.93%	-1.72%	-2.58%	-1.67%
2016	12	1.09%	$10,510	1.53%	2.64%	-0.19%	0.03%
2017	1	1.46%	$10,663	2.15%	2.84%	0.36%	-0.11%
2017	2	1.76%	$10,851	3.13%	1.38%	0.44%	0.49%
2017	3	0.73%	$10,930	0.30%	3.35%	0.06%	-0.07%
2017	4	1.40%	$11,083	1.50%	2.73%	0.79%	0.50%
2017	5	1.36%	$11,234	1.29%	2.96%	0.60%	0.70%
2017	6	0.05%	$11,240	0.43%	0.19%	-0.47%	-0.43%
2017	7	1.71%	$11,432	2.28%	2.96%	0.42%	0.41%
2017	8	0.12%	$11,446	-0.33%	0.00%	0.90%	0.51%
2017	9	1.24%	$11,588	2.35%	2.23%	-0.89%	-0.15%
2017	10	1.34%	$11,743	2.53%	1.36%	-0.19%	0.04%
2017	11	1.11%	$11,874	2.47%	0.72%	-0.36%	-0.25%
2017	12	0.75%	$11,963	1.08%	1.16%	0.03%	0.22%
2018	1	2.94%	$12,315	6.00%	5.19%	-1.45%	-1.11%
2018	2	-2.86%	$11,963	-3.91%	-5.19%	-0.46%	-0.64%
2018	3	-0.73%	$11,875	-2.06%	-0.63%	0.70%	0.63%
2018	4	0.24%	$11,904	0.54%	1.54%	-0.88%	-0.44%
2018	5	0.89%	$12,010	2.53%	-2.67%	0.79%	0.73%
2018	6	0.06%	$12,017	0.62%	-1.28%	0.07%	0.05%
2018	7	1.84%	$12,239	3.39%	2.59%	-0.32%	-0.05%
2018	8	1.02%	$12,363	2.35%	-1.35%	0.71%	0.44%
2018	9	0.06%	$12,370	0.34%	0.91%	-0.76%	-0.55%
2018	10	-5.02%	$11,748	-7.72%	-8.43%	-0.04%	-0.65%
2018	11	1.90%	$11,971	3.31%	0.59%	0.97%	0.85%
2018	12	-3.76%	$11,521	-8.23%	-5.37%	2.06%	1.64%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1
Large-cap Value	10.11%
Large-cap Growth	17.76%
Mid-cap Value	2.40%
Mid-cap Growth	3.47%
Small-cap Value	0.00%
Small-cap Growth	2.46%
Global ex-US Developed Markets	22.95%
Emerging Markets	2.01%
Corporate Bonds	0.00%
Long-Term Treasuries	0.00%
Intermediate-Term Treasuries	15.14%
Short-Term Treasuries	23.72%
R Squared	98.84%
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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	ER	P/E	Duration	Return Contribution	Risk Contribution
DSI	iShares MSCI KLD 400 Social ETF	Large Blend	42.00%	0.25%	21.39		$1,169	73.40%
TSORX	TIAA-CREF Social Choice Intl Eq Retail	Foreign Large Blend	18.00%	0.74%	14.51		$170	29.43%
VGIT	Vanguard Intmdt-Term Trs ETF	Intermediate Government	20.00%	0.05%		5.24	$85.06	-2.31%
VFIIX	Vanguard GNMA Inv	Intermediate Government	20.00%	0.21%		1.00	$97.00	-0.52%
			100.00%	0.29%	19.33	3.12	$1,521	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (c) 2020 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
Metric	Portfolio 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 Correlation	0.94
Beta^(*)	0.52
Alpha (annualized)	0.15%
R²	88.48%
Sharpe Ratio	0.62
Sortino Ratio	0.85
Treynor Ratio (%)	7.50
Calmar Ratio	0.70
Active Return	-4.04%
Tracking Error	5.84%
Information Ratio	-0.69
Skewness	-1.04
Excess Kurtosis	2.12
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 Rate	36.17%
Perpetual Withdrawal Rate	2.67%
Positive Periods	28 out of 36 (77.78%)
Gain/Loss Ratio	0.53
^* 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
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Oct 2018	Dec 2018	3 months				-6.86%
2	Feb 2018	Mar 2018	2 months	Aug 2018	5 months	7 months	-3.57%
3	Jan 2016	Feb 2016	2 months	Mar 2016	1 month	3 months	-3.03%
4	Oct 2016	Oct 2016	1 month	Jan 2017	3 months	4 months	-1.77%
5	Jun 2016	Jun 2016	1 month	Jul 2016	1 month	2 months	-0.16%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
DSI	iShares MSCI KLD 400 Social ETF	8.70%	11.25%	20.89%	-3.89%	-12.51%	0.71	1.01	0.99
TSORX	TIAA-CREF Social Choice Intl Eq Retail	2.48%	11.35%	24.11%	-13.93%	-18.18%	0.18	0.24	0.77
VGIT	Vanguard Intmdt-Term Trs ETF	1.30%	3.28%	1.71%	0.84%	-4.34%	0.10	0.15	-0.40
VFIIX	Vanguard GNMA Inv	1.53%	2.17%	1.87%	0.87%	-1.95%	0.24	0.34	-0.30

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	DSI	TSORX	VGIT	VFIIX	Portfolio 1
DSI	iShares MSCI KLD 400 Social ETF	1.00	0.81	-0.37	-0.26	0.97
TSORX	TIAA-CREF Social Choice Intl Eq Retail	0.81	1.00	-0.31	-0.13	0.90
VGIT	Vanguard Intmdt-Term Trs ETF	-0.37	-0.31	1.00	0.91	-0.22
VFIIX	Vanguard GNMA Inv	-0.26	-0.13	0.91	1.00	-0.07

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1
DSI	iShares MSCI KLD 400 Social ETF	$1,169
TSORX	TIAA-CREF Social Choice Intl Eq Retail	$170
VGIT	Vanguard Intmdt-Term Trs ETF	$85.06
VFIIX	Vanguard GNMA Inv	$97.00

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1
DSI	iShares MSCI KLD 400 Social ETF	73.40%
TSORX	TIAA-CREF Social Choice Intl Eq Retail	29.43%
VGIT	Vanguard Intmdt-Term Trs ETF	-2.31%
VFIIX	Vanguard GNMA Inv	-0.52%