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.

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Portfolio Analysis Results (Jan 2014 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ITOT iShares Core S&P Total US Stock Mkt ETF 42.00%
VEU Vanguard FTSE All-Wld ex-US ETF 18.00%
AGG iShares Core US Aggregate Bond ETF 30.00%
BNDX Vanguard Total International Bond 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$12,688 4.88% 6.50%15.21%-4.40%-7.60% 0.681.000.96
   
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 (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
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)iShares Core US Aggregate Bond ETF (AGG)Vanguard Total International Bond ETF (BNDX)
20140.76%7.53%$10,75313.52%-4.54%6.00%8.74%
20150.73%-0.22%$10,7300.91%-4.78%0.48%1.19%
20162.07%7.37%$11,52112.61%4.91%2.42%4.61%
20172.11%15.21%$13,27221.38%27.39%3.52%2.40%
20181.91%-4.40%$12,688-5.31%-14.19%0.33%2.81%
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)iShares Core US Aggregate Bond ETF (AGG)Vanguard Total International Bond ETF (BNDX)
20141-1.86%$9,814-3.39%-5.80%1.54%1.43%
201423.01%$10,1094.53%5.63%0.38%0.48%
201430.41%$10,1500.80%0.46%-0.15%0.32%
201440.73%$10,2240.37%1.47%0.82%0.60%
201451.71%$10,3982.23%1.92%1.18%0.74%
201461.31%$10,5342.28%1.68%-0.06%0.61%
20147-1.00%$10,429-1.67%-1.47%-0.25%0.50%
201482.38%$10,6774.07%1.01%1.15%1.37%
20149-1.81%$10,484-1.76%-4.88%-0.61%-0.13%
2014101.53%$10,6442.59%0.20%1.06%0.60%
2014111.31%$10,7832.49%-0.32%0.66%0.91%
201412-0.28%$10,7530.53%-3.96%0.15%0.98%
20151-0.42%$10,709-2.88%-0.02%2.05%1.79%
201523.09%$11,0395.68%5.85%-0.89%-0.18%
20153-0.64%$10,969-1.27%-1.41%0.38%0.49%
201540.94%$11,0720.63%4.74%-0.32%-1.03%
201550.18%$11,0911.33%-1.04%-0.44%-0.52%
20156-1.74%$10,898-1.81%-2.81%-1.08%-1.35%
201571.14%$11,0221.93%-0.29%0.86%1.28%
20158-4.17%$10,562-6.09%-7.75%-0.34%-0.70%
20159-1.47%$10,408-2.61%-4.04%0.81%0.81%
2015104.61%$10,8888.23%6.69%0.07%0.59%
201511-0.15%$10,8720.43%-1.32%-0.39%0.19%
201512-1.31%$10,730-1.86%-2.52%-0.19%-0.14%
20161-2.97%$10,411-5.87%-5.60%1.24%1.30%
201620.03%$10,4140.11%-2.44%0.89%1.26%
201634.69%$10,9037.16%8.31%0.88%0.75%
201640.66%$10,9760.58%2.11%0.26%-0.26%
201650.68%$11,0511.79%-0.79%0.01%0.75%
201660.72%$11,1300.16%-0.72%1.94%1.95%
201672.65%$11,4253.96%4.25%0.54%0.82%
201680.19%$11,4470.30%0.69%-0.21%0.07%
201690.38%$11,4900.19%1.58%0.05%0.01%
201610-1.64%$11,302-2.28%-1.69%-0.82%-1.26%
2016110.59%$11,3694.42%-2.13%-2.57%-1.25%
2016121.34%$11,5212.02%1.93%0.25%0.43%
201711.56%$11,7002.01%4.14%0.21%-0.98%
201722.02%$11,9363.57%1.26%0.65%0.88%
201730.58%$12,0050.12%2.99%-0.05%-0.03%
201741.13%$12,1411.00%2.09%0.91%0.49%
201751.30%$12,2981.06%3.05%0.69%0.73%
201760.44%$12,3520.93%0.51%-0.02%-0.54%
201771.57%$12,5461.89%3.38%0.33%0.16%
201780.53%$12,6130.12%0.64%0.94%0.93%
201791.19%$12,7622.40%1.84%-0.57%-0.40%
2017101.44%$12,9462.24%1.95%0.10%0.62%
2017111.43%$13,1303.04%0.63%-0.15%0.23%
2017121.08%$13,2721.21%2.05%0.44%0.27%
201812.82%$13,6475.22%5.70%-1.13%-0.57%
20182-2.88%$13,254-3.79%-5.31%-1.01%0.26%
20183-0.58%$13,177-1.91%-0.44%0.67%1.15%
20184-0.06%$13,1690.31%0.57%-0.94%-0.14%
201850.99%$13,3002.80%-1.99%0.66%-0.23%
201860.01%$13,3010.69%-2.14%0.10%0.60%
201871.93%$13,5583.29%2.89%-0.03%0.14%
201881.29%$13,7323.48%-2.34%0.57%0.06%
20189-0.06%$13,7240.15%0.44%-0.62%-0.24%
201810-4.87%$13,055-7.35%-8.30%-0.64%0.07%
2018111.28%$13,2221.91%1.47%0.52%0.52%
201812-4.04%$12,688-9.13%-4.94%2.22%1.17%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value16.70%
Large-cap Growth21.79%
Mid-cap Value2.43%
Mid-cap Growth0.00%
Small-cap Value1.70%
Small-cap Growth0.56%
Global ex-US Developed Markets13.59%
Emerging Markets4.04%
REITs0.00%
Corporate Bonds7.66%
Long-Term Treasuries5.90%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries25.63%
R Squared99.66%
Style analysis is based on monthly returns from Jan 2014 to Dec 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
ITOTiShares Core S&P Total US Stock Mkt ETFLarge Blend0.03%42.00%$1,91669.31%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%18.00%$15029.72%
AGGiShares Core US Aggregate Bond ETFIntermediate Core Bond5.530.05%30.00%$4080.71%
BNDXVanguard Total International Bond ETFWorld Bond-USD Hedged8.260.09%10.00%$2150.26%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/04/2019. (c) 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)0.41%
Arithmetic Mean (annualized)5.10%
Geometric Mean (monthly)0.40%
Geometric Mean (annualized)4.88%
Volatility (monthly)1.88%
Volatility (annualized)6.50%
Downside Deviation (monthly)1.24%
Max. Drawdown-7.60%
US Market Correlation0.96
Beta(*)0.56
Alpha (annualized)0.42%
R292.09%
Sharpe Ratio0.68
Sortino Ratio1.00
Treynor Ratio (%)7.90
Calmar Ratio0.76
Active Return-2.92%
Tracking Error5.25%
Information Ratio-0.56
Skewness-0.59
Excess Kurtosis1.12
Historical Value-at-Risk (5%)-3.99%
Analytical Value-at-Risk (5%)-2.64%
Conditional Value-at-Risk (5%)-4.36%
Upside Capture Ratio (%)57.88
Downside Capture Ratio (%)59.22
Safe Withdrawal Rate22.58%
Perpetual Withdrawal Rate3.21%
Positive Periods41 out of 60 (68.33%)
Gain/Loss Ratio0.82
* 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
1Sep 2018Dec 20184 months-7.60%
2Jun 2015Sep 20154 monthsJun 20169 months1 year 1 month-6.17%
3Feb 2018Apr 20183 monthsAug 20184 months7 months-3.50%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-1.86%
5Sep 2014Sep 20141 monthNov 20142 months3 months-1.81%
6Oct 2016Oct 20161 monthDec 20162 months3 months-1.64%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.00%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-0.70%
9Mar 2015Mar 20151 monthApr 20151 month2 months-0.64%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ITOTiShares Core S&P Total US Stock Mkt ETF8.20%11.15%21.38%-5.31%-14.20%0.711.061.00
VEUVanguard FTSE All-Wld ex-US ETF0.83%11.94%27.39%-14.19%-20.36%0.080.110.79
AGGiShares Core US Aggregate Bond ETF2.53%2.92%6.00%0.33%-3.52%0.681.10-0.16
BNDXVanguard Total International Bond ETF3.92%2.55%8.74%1.19%-3.03%1.292.41-0.08

Monthly Correlations

Correlations for the portfolio assets
TickerNameITOTVEUAGGBNDXPortfolio 1
ITOTiShares Core S&P Total US Stock Mkt ETF-0.79-0.16-0.080.96
VEUVanguard FTSE All-Wld ex-US ETF0.79--0.00-0.070.90
AGGiShares Core US Aggregate Bond ETF-0.16-0.00-0.800.05
BNDXVanguard Total International Bond ETF-0.08-0.070.80-0.07

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
ITOTiShares Core S&P Total US Stock Mkt ETF$1,916
VEUVanguard FTSE All-Wld ex-US ETF$150
AGGiShares Core US Aggregate Bond ETF$408
BNDXVanguard Total International Bond ETF$215

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
ITOTiShares Core S&P Total US Stock Mkt ETF69.31%
VEUVanguard FTSE All-Wld ex-US ETF29.72%
AGGiShares Core US Aggregate Bond ETF0.71%
BNDXVanguard Total International Bond ETF0.26%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year5.10%15.21%-4.40%
3 years5.95%7.27%4.83%
5 years4.88%4.88%4.88%
Result statistics are based on annualized rolling returns over full calendar year periods