Backtest Portfolio Asset Allocation

This online 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.

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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% 0.290.360.91
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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
  • 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
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 Exposures for Portfolio 1

Holdings Based Exposures 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 Bond8.270.15%30.00%$83.127.65%
PFFiShares Preferred&Income Securities ETFPreferred Stock0.46%10.00%$28.563.46%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2019. © 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
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 Ratio0.29
Sortino Ratio0.36
Treynor Ratio (%)3.78
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
Sustainable Withdrawal Rate53.02%
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%0.310.380.93
VYMIVanguard Intl Hi Div Yld Idx ETF3.37%10.59%22.34%-12.66%-17.51%0.240.330.67
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF1.49%3.74%7.06%-3.79%-5.54%0.070.090.14
PFFiShares Preferred&Income Securities ETF1.53%4.41%8.10%-4.63%-7.50%0.070.100.42

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