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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Start Date

End Date

Initial Amount

$ .00

Periodic Adjustment

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Benchmark

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Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

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 3 %

Asset 4

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Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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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 3 %

Asset 9

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Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

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 - Sep 2019].

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%	0.63	0.87	0.94

Notes on results:

Past performance is not a guarantee of future returns. 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
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%

Portfolio Returns Based Style Analysis

Portfolio 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
Ticker	Name	Category	Duration	ER	Weight	Return Contribution	Risk Contribution
DSI	iShares MSCI KLD 400 Social ETF	Large Blend		0.25%	42.00%	$1,169	73.40%
TSORX	TIAA-CREF Social Choice Intl Eq Retail	Foreign Large Blend		0.74%	18.00%	$170	29.43%
VGIT	Vanguard Intmdt-Term Trs ETF	Intermediate Government	5.22	0.07%	20.00%	$85.06	-2.31%
VFIIX	Vanguard GNMA Inv	Intermediate Government	1.95	0.21%	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 10/03/2019. © 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
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	0.63
Sortino Ratio	0.87
Treynor Ratio (%)	7.67
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	1.02	0.99
TSORX	TIAA-CREF Social Choice Intl Eq Retail	2.48%	11.35%	24.11%	-13.93%	-18.18%	0.19	0.26	0.77
VGIT	Vanguard Intmdt-Term Trs ETF	1.30%	3.28%	1.71%	0.84%	-4.34%	0.13	0.19	-0.40
VFIIX	Vanguard GNMA Inv	1.53%	2.17%	1.87%	0.87%	-1.95%	0.28	0.40	-0.30

Monthly Correlations

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