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 Assets 
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Asset 3
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Portfolio Analysis Results (Jan 2008 - Nov 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ITOT iShares Core S&P Total US Stock Mkt ETF 36.00%
VEU Vanguard FTSE All-Wld ex-US ETF 18.00%
VNQ Vanguard Real Estate ETF 6.00%
AGG iShares Core US Aggregate Bond ETF 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,140 5.61% 9.90%19.34%-20.01%-30.94% 0.560.800.95
   
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
  • The annual results for 2018 are based on full calendar months from January to November
  • 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 Core S&P Total US Stock Mkt ETF (ITOT)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Real Estate ETF (VNQ)iShares Core US Aggregate Bond ETF (AGG)
20080.09%-20.01%$7,999-36.48%-43.45%-37.00%7.90%
20092.72%19.34%$9,54626.59%37.59%30.08%2.98%
20101.50%12.21%$10,71116.21%11.81%28.37%6.37%
20112.96%1.69%$10,8931.73%-14.02%8.62%7.69%
20121.74%11.66%$12,16315.83%18.90%17.63%3.76%
20131.50%13.89%$13,85333.31%14.18%2.31%-1.98%
20140.76%8.27%$14,99813.52%-4.54%30.36%6.00%
20150.73%-0.20%$14,9690.91%-4.78%2.42%0.48%
20162.07%6.91%$16,00312.61%4.91%8.60%2.42%
20172.11%14.33%$18,29621.38%27.39%4.91%3.52%
20182.58%-0.85%$18,1404.21%-9.73%2.11%-1.85%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceiShares Core S&P Total US Stock Mkt ETF (ITOT)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Real Estate ETF (VNQ)iShares Core US Aggregate Bond ETF (AGG)
20081-2.68%$9,732-6.01%-7.75%-0.78%2.31%
20082-1.33%$9,603-2.97%-0.22%-3.18%-0.16%
200830.25%$9,627-0.51%-0.09%6.48%0.13%
200843.24%$9,9394.95%5.92%6.38%0.33%
200850.30%$9,9691.70%1.42%-0.21%-1.26%
20086-5.12%$9,458-8.18%-8.38%-10.62%-0.19%
20087-0.53%$9,408-0.78%-3.68%3.12%0.40%
200880.17%$9,4231.62%-5.11%2.37%0.74%
20089-5.89%$8,868-9.19%-12.48%-0.11%-1.76%
200810-12.36%$7,772-17.50%-22.76%-31.73%-2.28%
200811-2.81%$7,554-7.19%-6.77%-22.72%3.03%
2008125.89%$7,9991.89%8.45%16.67%6.65%
20091-7.39%$7,408-8.90%-13.00%-17.53%-1.99%
20092-6.78%$6,906-10.39%-9.21%-20.53%-1.05%
200935.15%$7,2618.28%10.14%3.61%1.10%
200947.58%$7,81210.55%13.23%30.68%0.52%
200955.05%$8,2075.19%15.17%2.62%0.71%
20096-0.29%$8,1830.36%-2.07%-3.23%0.42%
200975.88%$8,6647.59%10.61%10.77%1.27%
200983.20%$8,9413.72%2.92%14.32%1.22%
200993.41%$9,2463.84%5.68%6.63%1.19%
200910-1.72%$9,087-2.31%-3.17%-4.46%0.22%
2009114.04%$9,4545.90%4.85%6.57%1.29%
2009120.97%$9,5462.37%1.39%7.37%-1.88%
20101-2.06%$9,348-3.51%-5.76%-5.52%1.41%
201021.76%$9,5133.18%1.31%5.58%0.20%
201034.01%$9,8956.24%6.72%10.18%-0.01%
201041.26%$10,0202.01%-1.76%7.15%0.97%
20105-4.79%$9,540-8.05%-10.90%-5.33%1.08%
20106-1.73%$9,375-5.32%-1.34%-5.19%1.77%
201075.12%$9,8556.96%10.76%9.59%0.85%
20108-1.78%$9,679-4.68%-3.43%-1.28%1.29%
201095.21%$10,1839.21%10.60%4.45%0.01%
2010102.37%$10,4253.84%3.59%4.74%0.15%
201011-1.09%$10,3110.28%-4.10%-1.85%-0.83%
2010123.88%$10,7116.71%8.12%4.54%-0.67%
201111.07%$10,8252.11%0.80%3.25%-0.09%
201122.22%$11,0663.64%2.74%4.71%0.29%
20113-0.08%$11,0570.40%-0.22%-1.62%-0.22%
201142.97%$11,3852.76%5.45%5.75%1.57%
20115-0.41%$11,338-1.04%-3.17%1.37%1.24%
20116-1.21%$11,202-1.70%-1.09%-3.30%-0.45%
20117-0.52%$11,143-2.34%-2.37%1.56%1.69%
20118-3.19%$10,788-5.41%-8.47%-5.62%1.52%
20119-5.18%$10,229-7.56%-13.01%-10.85%0.77%
2011106.53%$10,89711.33%11.49%14.29%0.13%
201111-1.06%$10,782-0.75%-2.57%-3.80%-0.33%
2011121.03%$10,8931.51%-2.43%4.85%1.36%
201213.57%$11,2824.62%6.86%6.38%0.73%
201222.38%$11,5504.03%5.31%-1.15%-0.01%
201231.14%$11,6813.29%-0.90%5.19%-0.57%
20124-0.12%$11,667-0.78%-1.81%2.86%0.91%
20125-4.19%$11,179-5.89%-11.40%-4.51%1.08%
201262.87%$11,4993.84%6.52%5.52%-0.02%
201271.15%$11,6321.10%0.49%2.00%1.36%
201280.53%$11,6940.19%2.65%-0.01%0.00%
201292.38%$11,9724.80%3.49%-1.86%0.27%
201210-0.57%$11,904-1.67%0.77%-0.91%-0.05%
2012110.63%$11,9800.58%1.80%-0.26%0.27%
2012121.53%$12,1631.22%5.06%3.72%-0.25%
201312.33%$12,4465.33%2.43%3.74%-0.62%
201320.51%$12,5101.23%-1.39%1.22%0.59%
201331.92%$12,7504.29%0.62%2.87%0.10%
201342.12%$13,0211.79%3.75%6.73%0.97%
20135-0.82%$12,9152.39%-3.31%-5.98%-2.00%
20136-1.87%$12,673-1.40%-3.58%-1.98%-1.57%
201373.07%$13,0625.37%4.70%0.90%0.27%
20138-2.27%$12,766-2.99%-1.99%-6.98%-0.83%
201393.33%$13,1903.50%7.58%3.49%1.12%
2013102.91%$13,5754.37%3.33%4.52%0.83%
2013110.91%$13,6983.04%0.34%-5.25%-0.25%
2013121.13%$13,8532.54%1.47%0.10%-0.56%
20141-1.39%$13,660-3.39%-5.80%4.28%1.54%
201423.04%$14,0754.53%5.63%5.07%0.38%
201430.34%$14,1230.80%0.46%0.49%-0.15%
201440.93%$14,2550.37%1.47%3.29%0.82%
201451.77%$14,5072.23%1.92%2.40%1.18%
201461.17%$14,6772.28%1.68%1.13%-0.06%
20147-0.96%$14,536-1.67%-1.47%0.08%-0.25%
201482.31%$14,8714.07%1.01%3.04%1.15%
20149-2.15%$14,551-1.76%-4.88%-6.04%-0.61%
2014102.06%$14,8502.59%0.20%9.94%1.06%
2014111.26%$15,0382.49%-0.32%2.00%0.66%
201412-0.26%$14,9980.53%-3.96%1.88%0.15%
201510.19%$15,027-2.88%-0.02%6.85%2.05%
201522.43%$15,3935.68%5.85%-3.67%-0.89%
20153-0.47%$15,321-1.27%-1.41%1.74%0.38%
201540.61%$15,4140.63%4.74%-5.85%-0.32%
201550.09%$15,4281.33%-1.04%-0.30%-0.44%
20156-1.88%$15,139-1.81%-2.81%-4.68%-1.08%
201571.31%$15,3361.93%-0.29%5.77%0.86%
20158-4.14%$14,701-6.09%-7.75%-6.29%-0.34%
20159-1.14%$14,533-2.61%-4.04%3.05%0.81%
2015104.41%$15,1748.23%6.69%5.76%0.07%
201511-0.27%$15,1340.43%-1.32%-0.63%-0.39%
201512-1.09%$14,969-1.86%-2.52%1.82%-0.19%
20161-2.83%$14,545-5.87%-5.60%-3.44%1.24%
20162-0.04%$14,5400.11%-2.44%-0.36%0.89%
201634.91%$15,2537.16%8.31%10.48%0.88%
201640.53%$15,3350.58%2.11%-2.35%0.26%
201650.64%$15,4331.79%-0.79%2.25%0.01%
201661.13%$15,6070.16%-0.72%6.92%1.94%
201672.65%$16,0213.96%4.25%4.26%0.54%
20168-0.10%$16,0040.30%0.69%-3.76%-0.21%
201690.25%$16,0450.19%1.58%-1.82%0.05%
201610-1.81%$15,754-2.28%-1.69%-5.74%-0.82%
2016110.09%$15,7694.42%-2.13%-1.68%-2.57%
2016121.48%$16,0032.02%1.93%4.82%0.25%
201711.54%$16,2502.01%4.14%-0.19%0.21%
201721.99%$16,5723.57%1.26%3.51%0.65%
201730.43%$16,6430.12%2.99%-2.42%-0.05%
201741.12%$16,8301.00%2.09%0.24%0.91%
201751.19%$17,0311.06%3.05%-0.72%0.69%
201760.56%$17,1250.93%0.51%2.23%-0.02%
201771.55%$17,3901.89%3.38%1.24%0.33%
201780.51%$17,4790.12%0.64%-0.26%0.94%
201791.02%$17,6572.40%1.84%-0.11%-0.57%
2017101.20%$17,8692.24%1.95%-1.07%0.10%
2017111.36%$18,1113.04%0.63%2.66%-0.15%
2017121.02%$18,2961.21%2.05%-0.14%0.44%
201812.20%$18,6985.22%5.70%-4.25%-1.13%
20182-3.22%$18,097-3.79%-5.31%-7.68%-1.01%
20183-0.31%$18,041-1.91%-0.44%3.88%0.67%
20184-0.11%$18,0210.31%0.57%0.82%-0.94%
201851.13%$18,2232.80%-1.99%3.68%0.66%
201860.16%$18,2520.69%-2.14%4.20%0.10%
201871.75%$18,5723.29%2.89%0.60%-0.03%
201881.28%$18,8103.48%-2.34%2.58%0.57%
20189-0.27%$18,7600.15%0.44%-2.64%-0.62%
201810-4.68%$17,881-7.35%-8.30%-2.93%-0.64%
2018111.45%$18,1401.91%1.47%4.67%0.52%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value18.21%
Large-cap Growth13.45%
Mid-cap Value6.10%
Mid-cap Growth0.00%
Small-cap Value0.42%
Small-cap Growth3.51%
Global ex-US Developed Markets14.65%
Emerging Markets5.39%
Corporate Bonds11.94%
Long-Term Treasuries3.83%
Intermediate-Term Treasuries11.05%
Short-Term Treasuries11.45%
R Squared99.01%
Style analysis is based on monthly returns from Jan 2008 to Nov 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
ITOTiShares Core S&P Total US Stock Mkt ETFLarge Blend0.03%36.00%$5,06851.27%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.11%18.00%$73132.36%
VNQVanguard Real Estate ETFReal Estate0.12%6.00%$69411.62%
AGGiShares Core US Aggregate Bond ETFIntermediate-Term Bond5.890.05%40.00%$1,6474.74%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 2018 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)0.50%
Arithmetic Mean (annualized)6.13%
Geometric Mean (monthly)0.46%
Geometric Mean (annualized)5.61%
Volatility (monthly)2.86%
Volatility (annualized)9.90%
Downside Deviation (monthly)1.97%
Max. Drawdown-30.94%
US Market Correlation0.95
Beta(*)0.62
Alpha (annualized)0.32%
R290.67%
Sharpe Ratio0.56
Sortino Ratio0.80
Treynor Ratio (%)9.01
Calmar Ratio1.26
Information Ratio-0.48
Diversification Ratio1.20
Skewness-0.89
Excess Kurtosis3.00
Historical Value-at-Risk (5%)-4.92%
Analytical Value-at-Risk (5%)-4.34%
Conditional Value-at-Risk (5%)-7.12%
Upside Capture Ratio (%)59.19
Downside Capture Ratio (%)60.94
Sustainable Withdrawal Rate11.31%
Positive Periods83 out of 131 (63.36%)
Gain/Loss Ratio0.93
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsApr 20101 year 2 months2 years 4 months-30.94%
2May 2011Sep 20115 monthsFeb 20125 months10 months-10.16%
3May 2010Jun 20102 monthsSep 20103 months5 months-6.44%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-5.80%
5Sep 2018Oct 20182 months-4.93%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.30%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-3.62%
8May 2013Jun 20132 monthsJul 20131 month3 months-2.68%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.27%
10Sep 2014Sep 20141 monthNov 20142 months3 months-2.15%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ITOTiShares Core S&P Total US Stock Mkt ETF8.33%15.17%33.31%-36.48%-48.14%0.580.831.00
VEUVanguard FTSE All-Wld ex-US ETF0.99%19.33%37.59%-43.45%-55.33%0.130.180.89
VNQVanguard Real Estate ETF7.20%24.15%30.36%-37.00%-62.05%0.400.560.74
AGGiShares Core US Aggregate Bond ETF3.36%3.78%7.90%-1.98%-4.31%0.781.440.07

Monthly Correlations

Correlations for the portfolio assets
TickerNameITOTVEUVNQAGGPortfolio 1
ITOTiShares Core S&P Total US Stock Mkt ETF-0.890.740.080.95
VEUVanguard FTSE All-Wld ex-US ETF0.89-0.690.200.95
VNQVanguard Real Estate ETF0.740.69-0.370.82
AGGiShares Core US Aggregate Bond ETF0.080.200.37-0.32

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
ITOTiShares Core S&P Total US Stock Mkt ETF$5,068
VEUVanguard FTSE All-Wld ex-US ETF$731
VNQVanguard Real Estate ETF$694
AGGiShares Core US Aggregate Bond ETF$1,647

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
ITOTiShares Core S&P Total US Stock Mkt ETF51.27%
VEUVanguard FTSE All-Wld ex-US ETF32.36%
VNQVanguard Real Estate ETF11.62%
AGGiShares Core US Aggregate Bond ETF4.74%

Annual Asset Returns