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 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% 0.620.850.94
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 yearFull3 year
Portfolio 1-6.86%-3.69%4.83%4.83%6.28%
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
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%

Returns Based Style Analysis

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 January 2016 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
DSIiShares MSCI KLD 400 Social ETFLarge Blend42.00%1.22%0.25%28.55$1,16973.40%
TSORXTIAA-CREF Social Choice Intl Eq RetailForeign Large Blend18.00%1.21%0.74%19.70$17029.43%
VGITVanguard Intmdt-Term Trs ETFIntermediate Government20.00%0.42%0.05%5.34$85.06-2.31%
VFIIXVanguard GNMA InvIntermediate Government20.00%1.24%0.21%2.11$97.00-0.52%
100.00%1.06%0.29%25.893.72$1,521100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/22/2021. (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
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 Ratio0.62
Sortino Ratio0.85
Treynor Ratio (%)7.50
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%)-3.08%
Analytical Value-at-Risk (5%)-2.51%
Conditional Value-at-Risk (5%)-4.39%
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%0.711.010.99
TSORXTIAA-CREF Social Choice Intl Eq Retail2.48%11.35%24.11%-13.93%-18.18%0.180.240.77
VGITVanguard Intmdt-Term Trs ETF1.30%3.28%1.71%0.84%-4.34%0.100.15-0.40
VFIIXVanguard GNMA Inv1.53%2.17%1.87%0.87%-1.95%0.240.34-0.30

Monthly Correlations

Correlations for the portfolio assets
TickerNameDSITSORXVGITVFIIXPortfolio 1
DSIiShares MSCI KLD 400 Social ETF1.000.81-0.37-0.260.97
TSORXTIAA-CREF Social Choice Intl Eq Retail0.811.00-0.31-0.130.90
VGITVanguard Intmdt-Term Trs ETF-0.37-0.311.000.91-0.22
VFIIXVanguard GNMA Inv-0.26-0.130.911.00-0.07

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