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

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End Year

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Calendar Aligned

Include YTD

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End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Factor Regression

Equity Factor Model

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 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

Select 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

Select 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 2017 - Dec 2018)

Note: The time period was constrained by the available data for Vanguard Intl Hi Div Yld Idx ETF (VYMI) [Apr 2016 - Dec 2020].

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%
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	$10,578	2.85%	5.70%	13.18%	-6.53%	-7.88%	0.27	0.34	0.91

Trailing Returns

Trailing Returns
Name	3 Month	1 year	Full
Portfolio 1	-6.67%	-6.53%	2.85%
Trailing annualized returns 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
Year	Inflation	Portfolio 1 Return	Portfolio 1 Balance	iShares 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)
2017	2.11%	13.18%	$11,318	14.83%	22.34%	7.06%	8.10%
2018	1.91%	-6.53%	$10,578	-6.32%	-12.66%	-3.79%	-4.63%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 1 Balance	iShares 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)
2017	1	1.54%	$10,154	1.34%	3.87%	0.15%	2.39%
2017	2	1.92%	$10,349	2.82%	0.75%	1.32%	2.09%
2017	3	0.25%	$10,376	-0.52%	2.81%	-0.29%	0.50%
2017	4	0.94%	$10,473	0.44%	1.47%	1.19%	1.30%
2017	5	1.23%	$10,602	0.78%	2.47%	1.33%	0.55%
2017	6	0.68%	$10,674	0.79%	0.66%	0.48%	0.80%
2017	7	1.18%	$10,800	0.61%	3.36%	0.77%	0.66%
2017	8	-0.09%	$10,790	-0.78%	0.22%	0.68%	-0.06%
2017	9	1.42%	$10,944	2.53%	2.11%	-0.05%	-0.16%
2017	10	0.57%	$11,006	1.17%	0.33%	0.19%	-0.37%
2017	11	1.80%	$11,205	4.05%	0.41%	-0.12%	0.68%
2017	12	1.01%	$11,318	0.78%	1.96%	1.22%	-0.52%
2018	1	1.47%	$11,484	2.13%	5.88%	-1.23%	-1.18%
2018	2	-3.45%	$11,087	-4.25%	-5.48%	-2.24%	0.27%
2018	3	-0.04%	$11,082	-0.49%	-0.32%	0.56%	0.54%
2018	4	0.03%	$11,086	1.26%	0.24%	-1.57%	-0.70%
2018	5	0.21%	$11,109	1.39%	-3.33%	0.52%	0.81%
2018	6	0.09%	$11,119	0.90%	-1.89%	-0.49%	1.76%
2018	7	2.03%	$11,345	2.27%	3.70%	1.34%	0.19%
2018	8	0.05%	$11,351	1.05%	-3.13%	0.02%	1.41%
2018	9	-0.14%	$11,334	-0.38%	1.41%	-0.14%	-1.71%
2018	10	-3.65%	$10,921	-3.90%	-6.51%	-2.05%	-2.24%
2018	11	0.71%	$10,998	2.07%	0.89%	-0.36%	-2.23%
2018	12	-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
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
DVY	iShares Select Dividend ETF	Large Value	42.00%	3.66%	0.39%	18.51		$322	61.10%
VYMI	Vanguard Intl Hi Div Yld Idx ETF	Foreign Large Value	18.00%	3.21%	0.27%	14.37		$144	27.80%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	Corporate Bond	30.00%	1.85%	0.14%		9.62	$83.12	7.65%
PFF	iShares Preferred&Income Securities ETF	Preferred Stock	10.00%	4.80%	0.46%			$28.56	3.46%
			100.00%	3.15%	0.30%	17.27	9.62	$578	100.00%

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
Metric	Portfolio 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 Correlation	0.91
Beta^(*)	0.45
Alpha (annualized)	-0.38%
R²	82.15%
Sharpe Ratio	0.27
Sortino Ratio	0.34
Treynor Ratio (%)	3.57
Active Return	-4.24%
Tracking Error	6.87%
Information Ratio	-0.62
Skewness	-1.65
Excess Kurtosis	2.16
Historical Value-at-Risk (5%)	-3.62%
Analytical Value-at-Risk (5%)	-2.37%
Conditional Value-at-Risk (5%)	-3.73%
Upside Capture Ratio (%)	43.17
Downside Capture Ratio (%)	49.51
Safe Withdrawal Rate	53.02%
Perpetual Withdrawal Rate	0.82%
Positive Periods	18 out of 24 (75.00%)
Gain/Loss Ratio	0.51
^* 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
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2018	Dec 2018	11 months				-7.88%
2	Aug 2017	Aug 2017	1 month	Sep 2017	1 month	2 months	-0.09%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
DVY	iShares Select Dividend ETF	3.72%	8.88%	14.83%	-6.32%	-10.08%	0.30	0.37	0.93
VYMI	Vanguard Intl Hi Div Yld Idx ETF	3.37%	10.59%	22.34%	-12.66%	-17.51%	0.23	0.32	0.67
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	1.49%	3.74%	7.06%	-3.79%	-5.54%	0.04	0.06	0.14
PFF	iShares Preferred&Income Securities ETF	1.53%	4.41%	8.10%	-4.63%	-7.50%	0.05	0.07	0.42

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	DVY	VYMI	LQD	PFF	Portfolio 1
DVY	iShares Select Dividend ETF	1.00	0.62	0.09	0.37	0.92
VYMI	Vanguard Intl Hi Div Yld Idx ETF	0.62	1.00	0.31	0.16	0.82
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	0.09	0.31	1.00	0.31	0.38
PFF	iShares Preferred&Income Securities ETF	0.37	0.16	0.31	1.00	0.44

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1
DVY	iShares Select Dividend ETF	$322
VYMI	Vanguard Intl Hi Div Yld Idx ETF	$144
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	$83.12
PFF	iShares Preferred&Income Securities ETF	$28.56

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1
DVY	iShares Select Dividend ETF	61.10%
VYMI	Vanguard Intl Hi Div Yld Idx ETF	27.80%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	7.65%
PFF	iShares Preferred&Income Securities ETF	3.46%