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

Benchmark Ticker

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 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

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Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

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Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

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Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

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 2017 - Dec 2018)

Note: The time period was constrained by the available data for Vanguard Intl Hi Div Yld Idx ETF (VYMI) [Apr 2016 - Sep 2019].

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%	0.29	0.36	0.91

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 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
Ticker	Name	Category	Duration	ER	Weight	Return Contribution	Risk Contribution
DVY	iShares Select Dividend ETF	Large Value		0.39%	42.00%	$322	61.10%
VYMI	Vanguard Intl Hi Div Yld Idx ETF	Foreign Large Value		0.32%	18.00%	$144	27.80%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	Corporate Bond	9.11	0.15%	30.00%	$83.12	7.65%
PFF	iShares Preferred&Income Securities ETF	Preferred Stock	3.32	0.46%	10.00%	$28.56	3.46%

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)	0.25%
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	0.29
Sortino Ratio	0.36
Treynor Ratio (%)	3.78
Active Return	-4.24%
Tracking Error	6.87%
Information Ratio	-0.62
Skewness	-1.65
Excess Kurtosis	2.16
Historical Value-at-Risk (5%)	-3.78%
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 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%	0.31	0.38	0.93
VYMI	Vanguard Intl Hi Div Yld Idx ETF	3.37%	10.59%	22.34%	-12.66%	-17.51%	0.24	0.33	0.67
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	1.49%	3.74%	7.06%	-3.79%	-5.54%	0.07	0.09	0.14
PFF	iShares Preferred&Income Securities ETF	1.53%	4.41%	8.10%	-4.63%	-7.50%	0.07	0.10	0.42

Monthly Correlations

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