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.
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 | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $12,688 | 4.88% | 6.50% | 15.21% | -4.40% | -7.60% | 0.67 | 0.98 | 0.96 |
Name | Annualized Return | Annualized Volatility | |||||
---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
Portfolio 1 | -7.55% | -4.40% | 5.75% | 4.88% | 4.88% | 6.41% | 6.50% |
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | iShares 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) |
---|---|---|---|---|---|---|---|
2014 | 0.76% | 7.53% | $10,753 | 13.52% | -4.54% | 6.00% | 8.74% |
2015 | 0.73% | -0.22% | $10,730 | 0.91% | -4.78% | 0.48% | 1.19% |
2016 | 2.07% | 7.37% | $11,521 | 12.61% | 4.91% | 2.42% | 4.61% |
2017 | 2.11% | 15.21% | $13,272 | 21.38% | 27.39% | 3.52% | 2.40% |
2018 | 1.91% | -4.40% | $12,688 | -5.31% | -14.19% | 0.33% | 2.81% |
Year | Month | Portfolio 1 Return | Portfolio 1 Balance | iShares 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) |
---|---|---|---|---|---|---|---|
2014 | 1 | -1.86% | $9,814 | -3.39% | -5.80% | 1.54% | 1.43% |
2014 | 2 | 3.01% | $10,109 | 4.53% | 5.63% | 0.38% | 0.48% |
2014 | 3 | 0.41% | $10,150 | 0.80% | 0.46% | -0.15% | 0.32% |
2014 | 4 | 0.73% | $10,224 | 0.37% | 1.47% | 0.82% | 0.60% |
2014 | 5 | 1.71% | $10,398 | 2.23% | 1.92% | 1.18% | 0.74% |
2014 | 6 | 1.31% | $10,534 | 2.28% | 1.68% | -0.06% | 0.61% |
2014 | 7 | -1.00% | $10,429 | -1.67% | -1.47% | -0.25% | 0.50% |
2014 | 8 | 2.38% | $10,677 | 4.07% | 1.01% | 1.15% | 1.37% |
2014 | 9 | -1.81% | $10,484 | -1.76% | -4.88% | -0.61% | -0.13% |
2014 | 10 | 1.53% | $10,644 | 2.59% | 0.20% | 1.06% | 0.60% |
2014 | 11 | 1.31% | $10,783 | 2.49% | -0.32% | 0.66% | 0.91% |
2014 | 12 | -0.28% | $10,753 | 0.53% | -3.96% | 0.15% | 0.98% |
2015 | 1 | -0.42% | $10,709 | -2.88% | -0.02% | 2.05% | 1.79% |
2015 | 2 | 3.09% | $11,039 | 5.68% | 5.85% | -0.89% | -0.18% |
2015 | 3 | -0.64% | $10,969 | -1.27% | -1.41% | 0.38% | 0.49% |
2015 | 4 | 0.94% | $11,072 | 0.63% | 4.74% | -0.32% | -1.03% |
2015 | 5 | 0.18% | $11,091 | 1.33% | -1.04% | -0.44% | -0.52% |
2015 | 6 | -1.74% | $10,898 | -1.81% | -2.81% | -1.08% | -1.35% |
2015 | 7 | 1.14% | $11,022 | 1.93% | -0.29% | 0.86% | 1.28% |
2015 | 8 | -4.17% | $10,562 | -6.09% | -7.75% | -0.34% | -0.70% |
2015 | 9 | -1.47% | $10,408 | -2.61% | -4.04% | 0.81% | 0.81% |
2015 | 10 | 4.61% | $10,888 | 8.23% | 6.69% | 0.07% | 0.59% |
2015 | 11 | -0.15% | $10,872 | 0.43% | -1.32% | -0.39% | 0.19% |
2015 | 12 | -1.31% | $10,730 | -1.86% | -2.52% | -0.19% | -0.14% |
2016 | 1 | -2.97% | $10,411 | -5.87% | -5.60% | 1.24% | 1.30% |
2016 | 2 | 0.03% | $10,414 | 0.11% | -2.44% | 0.89% | 1.26% |
2016 | 3 | 4.69% | $10,903 | 7.16% | 8.31% | 0.88% | 0.75% |
2016 | 4 | 0.66% | $10,976 | 0.58% | 2.11% | 0.26% | -0.26% |
2016 | 5 | 0.68% | $11,051 | 1.79% | -0.79% | 0.01% | 0.75% |
2016 | 6 | 0.72% | $11,130 | 0.16% | -0.72% | 1.94% | 1.95% |
2016 | 7 | 2.65% | $11,425 | 3.96% | 4.25% | 0.54% | 0.82% |
2016 | 8 | 0.19% | $11,447 | 0.30% | 0.69% | -0.21% | 0.07% |
2016 | 9 | 0.38% | $11,490 | 0.19% | 1.58% | 0.05% | 0.01% |
2016 | 10 | -1.64% | $11,302 | -2.28% | -1.69% | -0.82% | -1.26% |
2016 | 11 | 0.59% | $11,369 | 4.42% | -2.13% | -2.57% | -1.25% |
2016 | 12 | 1.34% | $11,521 | 2.02% | 1.93% | 0.25% | 0.43% |
2017 | 1 | 1.56% | $11,700 | 2.01% | 4.14% | 0.21% | -0.98% |
2017 | 2 | 2.02% | $11,936 | 3.57% | 1.26% | 0.65% | 0.88% |
2017 | 3 | 0.58% | $12,005 | 0.12% | 2.99% | -0.05% | -0.03% |
2017 | 4 | 1.13% | $12,141 | 1.00% | 2.09% | 0.91% | 0.49% |
2017 | 5 | 1.30% | $12,298 | 1.06% | 3.05% | 0.69% | 0.73% |
2017 | 6 | 0.44% | $12,352 | 0.93% | 0.51% | -0.02% | -0.54% |
2017 | 7 | 1.57% | $12,546 | 1.89% | 3.38% | 0.33% | 0.16% |
2017 | 8 | 0.53% | $12,613 | 0.12% | 0.64% | 0.94% | 0.93% |
2017 | 9 | 1.19% | $12,762 | 2.40% | 1.84% | -0.57% | -0.40% |
2017 | 10 | 1.44% | $12,946 | 2.24% | 1.95% | 0.10% | 0.62% |
2017 | 11 | 1.43% | $13,130 | 3.04% | 0.63% | -0.15% | 0.23% |
2017 | 12 | 1.08% | $13,272 | 1.21% | 2.05% | 0.44% | 0.27% |
2018 | 1 | 2.82% | $13,647 | 5.22% | 5.70% | -1.13% | -0.57% |
2018 | 2 | -2.88% | $13,254 | -3.79% | -5.31% | -1.01% | 0.26% |
2018 | 3 | -0.58% | $13,177 | -1.91% | -0.44% | 0.67% | 1.15% |
2018 | 4 | -0.06% | $13,169 | 0.31% | 0.57% | -0.94% | -0.14% |
2018 | 5 | 0.99% | $13,300 | 2.80% | -1.99% | 0.66% | -0.23% |
2018 | 6 | 0.01% | $13,301 | 0.69% | -2.14% | 0.10% | 0.60% |
2018 | 7 | 1.93% | $13,558 | 3.29% | 2.89% | -0.03% | 0.14% |
2018 | 8 | 1.29% | $13,732 | 3.48% | -2.34% | 0.57% | 0.06% |
2018 | 9 | -0.06% | $13,724 | 0.15% | 0.44% | -0.62% | -0.24% |
2018 | 10 | -4.87% | $13,055 | -7.35% | -8.30% | -0.64% | 0.07% |
2018 | 11 | 1.28% | $13,222 | 1.91% | 1.47% | 0.52% | 0.52% |
2018 | 12 | -4.04% | $12,688 | -9.13% | -4.94% | 2.22% | 1.17% |
Style Category | Portfolio 1 |
---|---|
Large-cap Value | 16.70% |
Large-cap Growth | 21.79% |
Mid-cap Value | 2.43% |
Mid-cap Growth | 0.00% |
Small-cap Value | 1.70% |
Small-cap Growth | 0.56% |
Global ex-US Developed Markets | 13.59% |
Emerging Markets | 4.04% |
Corporate Bonds | 7.66% |
Long-Term Treasuries | 5.90% |
Intermediate-Term Treasuries | 0.00% |
Short-Term Treasuries | 25.63% |
R Squared | 99.66% |
Style analysis is based on monthly returns from January 2014 to December 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. |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|---|
ITOT | iShares Core S&P Total US Stock Mkt ETF | Large Blend | 42.00% | 1.41% | 0.03% | 27.98 | $1,916 | 69.31% | |
VEU | Vanguard FTSE All-Wld ex-US ETF | Foreign Large Blend | 18.00% | 1.99% | 0.08% | 20.08 | $150 | 29.72% | |
AGG | iShares Core US Aggregate Bond ETF | Intermediate Core Bond | 30.00% | 1.14% | 0.04% | 5.93 | $408 | 0.71% | |
BNDX | Vanguard Total International Bond ETF | World Bond-USD Hedged | 10.00% | 0.20% | 0.08% | 8.50 | $215 | 0.26% | |
100.00% | 1.31% | 0.05% | 25.61 | 6.57 | $2,688 | 100.00% |
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.
Metric | Portfolio 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 Correlation | 0.96 |
Beta(*) | 0.56 |
Alpha (annualized) | 0.42% |
R2 | 92.09% |
Sharpe Ratio | 0.67 |
Sortino Ratio | 0.98 |
Treynor Ratio (%) | 7.78 |
Calmar Ratio | 0.76 |
Active Return | -2.92% |
Tracking Error | 5.25% |
Information Ratio | -0.56 |
Skewness | -0.59 |
Excess Kurtosis | 1.12 |
Historical Value-at-Risk (5%) | -3.02% |
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 Rate | 22.58% |
Perpetual Withdrawal Rate | 3.21% |
Positive Periods | 41 out of 60 (68.33%) |
Gain/Loss Ratio | 0.82 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Sep 2018 | Dec 2018 | 4 months | -7.60% | |||
2 | Jun 2015 | Sep 2015 | 4 months | Jun 2016 | 9 months | 1 year 1 month | -6.17% |
3 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -3.50% |
4 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -1.86% |
5 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -1.81% |
6 | Oct 2016 | Oct 2016 | 1 month | Dec 2016 | 2 months | 3 months | -1.64% |
7 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -1.00% |
8 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -0.70% |
9 | Mar 2015 | Mar 2015 | 1 month | Apr 2015 | 1 month | 2 months | -0.64% |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
ITOT | iShares Core S&P Total US Stock Mkt ETF | 8.20% | 11.15% | 21.38% | -5.31% | -14.20% | 0.71 | 1.05 | 1.00 |
VEU | Vanguard FTSE All-Wld ex-US ETF | 0.83% | 11.94% | 27.39% | -14.19% | -20.36% | 0.08 | 0.11 | 0.79 |
AGG | iShares Core US Aggregate Bond ETF | 2.53% | 2.92% | 6.00% | 0.33% | -3.52% | 0.65 | 1.06 | -0.16 |
BNDX | Vanguard Total International Bond ETF | 3.92% | 2.55% | 8.74% | 1.19% | -3.03% | 1.26 | 2.34 | -0.08 |
Ticker | Name | ITOT | VEU | AGG | BNDX | Portfolio 1 |
---|---|---|---|---|---|---|
ITOT | iShares Core S&P Total US Stock Mkt ETF | 1.00 | 0.79 | -0.16 | -0.08 | 0.96 |
VEU | Vanguard FTSE All-Wld ex-US ETF | 0.79 | 1.00 | -0.00 | -0.07 | 0.90 |
AGG | iShares Core US Aggregate Bond ETF | -0.16 | -0.00 | 1.00 | 0.80 | 0.05 |
BNDX | Vanguard Total International Bond ETF | -0.08 | -0.07 | 0.80 | 1.00 | 0.07 |
Ticker | Name | Portfolio 1 |
---|---|---|
ITOT | iShares Core S&P Total US Stock Mkt ETF | $1,916 |
VEU | Vanguard FTSE All-Wld ex-US ETF | $150 |
AGG | iShares Core US Aggregate Bond ETF | $408 |
BNDX | Vanguard Total International Bond ETF | $215 |
Ticker | Name | Portfolio 1 |
---|---|---|
ITOT | iShares Core S&P Total US Stock Mkt ETF | 69.31% |
VEU | Vanguard FTSE All-Wld ex-US ETF | 29.72% |
AGG | iShares Core US Aggregate Bond ETF | 0.71% |
BNDX | Vanguard Total International Bond ETF | 0.26% |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 6.51% | 16.64% | -5.66% |
3 years | 6.55% | 9.66% | 4.83% |