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 2017 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DVY iShares Select Dividend ETF 42.00%
VYMI Vanguard Intl Hi Div Yld Idx ETF 18.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 30.00%
PFF iShares Preferred&Income Securities ETF 10.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,578 2.85% 5.70%13.18%-6.53%-7.88% 0.270.340.91
   
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
  • Drawdowns are 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceiShares Select Dividend ETF (DVY)Vanguard Intl Hi Div Yld Idx ETF (VYMI)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Preferred&Income Securities ETF (PFF)
20172.11%13.18%$11,31814.83%22.34%7.06%8.10%
20181.91%-6.53%$10,578-6.32%-12.66%-3.79%-4.63%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceiShares Select Dividend ETF (DVY)Vanguard Intl Hi Div Yld Idx ETF (VYMI)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Preferred&Income Securities ETF (PFF)
201711.54%$10,1541.34%3.87%0.15%2.39%
201721.92%$10,3492.82%0.75%1.32%2.09%
201730.25%$10,376-0.52%2.81%-0.29%0.50%
201740.94%$10,4730.44%1.47%1.19%1.30%
201751.23%$10,6020.78%2.47%1.33%0.55%
201760.68%$10,6740.79%0.66%0.48%0.80%
201771.18%$10,8000.61%3.36%0.77%0.66%
20178-0.09%$10,790-0.78%0.22%0.68%-0.06%
201791.42%$10,9442.53%2.11%-0.05%-0.16%
2017100.57%$11,0061.17%0.33%0.19%-0.37%
2017111.80%$11,2054.05%0.41%-0.12%0.68%
2017121.01%$11,3180.78%1.96%1.22%-0.52%
201811.47%$11,4842.13%5.88%-1.23%-1.18%
20182-3.45%$11,087-4.25%-5.48%-2.24%0.27%
20183-0.04%$11,082-0.49%-0.32%0.56%0.54%
201840.03%$11,0861.26%0.24%-1.57%-0.70%
201850.21%$11,1091.39%-3.33%0.52%0.81%
201860.09%$11,1190.90%-1.89%-0.49%1.76%
201872.03%$11,3452.27%3.70%1.34%0.19%
201880.05%$11,3511.05%-3.13%0.02%1.41%
20189-0.14%$11,334-0.38%1.41%-0.14%-1.71%
201810-3.65%$10,921-3.90%-6.51%-2.05%-2.24%
2018110.71%$10,9982.07%0.89%-0.36%-2.23%
201812-3.82%$10,578-7.98%-4.15%1.86%-1.53%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
DVYiShares Select Dividend ETFLarge Value0.39%42.00%$32261.10%
VYMIVanguard Intl Hi Div Yld Idx ETFForeign Large Value0.32%18.00%$14427.80%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETFCorporate Bond9.000.15%30.00%$83.127.65%
PFFiShares Preferred&Income Securities ETFPreferred Stock2.770.46%10.00%$28.563.46%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/06/2020. (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
MetricPortfolio 1
Arithmetic Mean (monthly)0.25%
Arithmetic Mean (annualized)3.01%
Geometric Mean (monthly)0.23%
Geometric Mean (annualized)2.85%
Volatility (monthly)1.65%
Volatility (annualized)5.70%
Downside Deviation (monthly)1.29%
Max. Drawdown-7.88%
US Market Correlation0.91
Beta(*)0.45
Alpha (annualized)-0.38%
R282.15%
Sharpe Ratio0.27
Sortino Ratio0.34
Treynor Ratio (%)3.57
Active Return-4.24%
Tracking Error6.87%
Information Ratio-0.62
Skewness-1.65
Excess Kurtosis2.16
Historical Value-at-Risk (5%)-3.78%
Analytical Value-at-Risk (5%)-2.37%
Conditional Value-at-Risk (5%)-3.82%
Upside Capture Ratio (%)43.17
Downside Capture Ratio (%)49.51
Safe Withdrawal Rate53.02%
Perpetual Withdrawal Rate0.82%
Positive Periods18 out of 24 (75.00%)
Gain/Loss Ratio0.51
* 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
1Feb 2018Dec 201811 months-7.88%
2Aug 2017Aug 20171 monthSep 20171 month2 months-0.09%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DVYiShares Select Dividend ETF3.72%8.88%14.83%-6.32%-10.08%0.300.370.93
VYMIVanguard Intl Hi Div Yld Idx ETF3.37%10.59%22.34%-12.66%-17.51%0.230.320.67
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF1.49%3.74%7.06%-3.79%-5.54%0.040.060.14
PFFiShares Preferred&Income Securities ETF1.53%4.41%8.10%-4.63%-7.50%0.050.070.42

Monthly Correlations

Correlations for the portfolio assets
TickerNameDVYVYMILQDPFFPortfolio 1
DVYiShares Select Dividend ETF-0.620.090.370.92
VYMIVanguard Intl Hi Div Yld Idx ETF0.62-0.310.160.82
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.090.31-0.310.38
PFFiShares Preferred&Income Securities ETF0.370.160.31-0.44

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
DVYiShares Select Dividend ETF$322
VYMIVanguard Intl Hi Div Yld Idx ETF$144
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$83.12
PFFiShares Preferred&Income Securities ETF$28.56

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
DVYiShares Select Dividend ETF61.10%
VYMIVanguard Intl Hi Div Yld Idx ETF27.80%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF7.65%
PFFiShares Preferred&Income Securities ETF3.46%

Annual Asset Returns