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 2015 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VT Vanguard Total World Stock ETF 54.00%
VNQ Vanguard Real Estate ETF 6.00%
TIP iShares TIPS Bond ETF 20.00%
LQDH iShares Interest Rate Hedged Corp Bd ETF 20.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,369 3.26% 7.24%15.30%-6.35%-8.90% 0.380.540.93
   
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 BalanceVanguard Total World Stock ETF (VT)Vanguard Real Estate ETF (VNQ)iShares TIPS Bond ETF (TIP)iShares Interest Rate Hedged Corp Bd ETF (LQDH)
20150.73%-1.66%$9,834-1.86%2.42%-1.75%-2.25%
20162.07%7.07%$10,5298.51%8.60%4.68%5.08%
20172.11%15.30%$12,14024.49%4.91%2.92%6.00%
20181.91%-6.35%$11,369-9.76%-6.02%-1.42%-2.19%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total World Stock ETF (VT)Vanguard Real Estate ETF (VNQ)iShares TIPS Bond ETF (TIP)iShares Interest Rate Hedged Corp Bd ETF (LQDH)
201510.11%$10,011-1.63%6.85%3.23%-0.35%
201522.84%$10,2955.95%-3.67%-1.29%0.90%
20153-0.71%$10,221-1.21%1.74%-0.48%-0.32%
201541.11%$10,3352.55%-5.85%0.68%-0.25%
20155-0.04%$10,3300.33%-0.30%-1.01%-0.05%
20156-1.83%$10,142-2.22%-4.68%-1.02%-0.67%
201570.49%$10,1910.50%5.77%0.54%-1.09%
20158-4.25%$9,758-6.63%-6.29%-0.95%-0.20%
20159-2.08%$9,555-3.71%3.05%-0.52%-0.78%
2015104.40%$9,9757.29%5.76%0.30%0.68%
201511-0.18%$9,957-0.08%-0.63%-0.14%-0.34%
201512-1.24%$9,834-2.19%1.82%-1.01%0.22%
20161-3.79%$9,461-5.87%-3.44%1.57%-3.65%
20162-0.48%$9,416-1.11%-0.36%1.22%-0.66%
201635.93%$9,9747.98%10.48%1.67%3.76%
201640.79%$10,0521.01%-2.35%0.21%1.81%
201650.27%$10,0800.65%2.25%-0.64%-0.41%
201660.72%$10,153-0.18%6.92%2.25%-0.34%
201672.94%$10,4514.15%4.26%0.64%1.60%
20168-0.08%$10,4430.35%-3.76%-0.34%0.27%
201690.41%$10,4850.79%-1.82%0.75%-0.27%
201610-1.39%$10,340-1.97%-5.74%-0.54%0.82%
2016110.19%$10,3591.19%-1.68%-2.07%0.34%
2016121.63%$10,5291.81%4.82%-0.04%1.88%
201711.84%$10,7223.00%-0.19%0.89%0.24%
201721.91%$10,9272.69%3.51%0.41%0.78%
201730.68%$11,0011.48%-2.42%0.00%0.07%
201740.99%$11,1101.63%0.24%0.45%-0.08%
201751.10%$11,2321.95%-0.72%-0.04%0.31%
201760.54%$11,2920.63%2.23%-0.87%1.18%
201771.77%$11,4922.65%1.24%0.46%0.64%
201780.28%$11,5250.42%-0.26%1.04%-0.71%
201791.32%$11,6762.11%-0.11%-0.70%1.37%
2017101.34%$11,8332.11%-1.07%0.24%0.80%
2017111.28%$11,9851.90%2.66%0.09%0.13%
2017121.30%$12,1401.60%-0.14%0.93%1.13%
201812.78%$12,4785.48%-4.25%-0.85%1.24%
20182-3.26%$12,071-4.44%-7.68%-1.03%-0.87%
20183-0.42%$12,021-1.29%3.88%1.01%-0.58%
201840.27%$12,0540.42%0.82%-0.13%0.13%
201850.49%$12,1130.57%3.68%0.33%-0.44%
201860.02%$12,115-0.60%4.20%0.65%-0.12%
201871.87%$12,3432.88%0.60%-0.53%1.97%
201880.61%$12,4180.86%2.58%0.65%-0.68%
20189-0.06%$12,4110.08%-2.64%-0.97%1.25%
201810-4.96%$11,795-7.82%-2.93%-1.52%-1.07%
2018110.90%$11,9011.73%4.67%0.48%-1.93%
201812-4.47%$11,369-7.22%-7.96%0.53%-1.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value9.30%
Large-cap Growth13.29%
Mid-cap Value7.01%
Mid-cap Growth0.00%
Small-cap Value1.08%
Small-cap Growth0.00%
Global ex-US Developed Markets22.01%
Emerging Markets7.59%
REITs5.40%
Corporate Bonds9.93%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries24.39%
R Squared99.14%
Style analysis is based on monthly returns from Jan 2015 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
VTVanguard Total World Stock ETFWorld Large Stock0.09%54.00%$1,10483.77%
VNQVanguard Real Estate ETFReal Estate0.12%6.00%$52.426.44%
TIPiShares TIPS Bond ETFInflation-Protected Bond7.620.19%20.00%$83.912.32%
LQDHiShares Interest Rate Hedged Corp Bd ETFCorporate Bond0.070.25%20.00%$1287.47%

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)0.29%
Arithmetic Mean (annualized)3.52%
Geometric Mean (monthly)0.27%
Geometric Mean (annualized)3.26%
Volatility (monthly)2.09%
Volatility (annualized)7.24%
Downside Deviation (monthly)1.44%
Max. Drawdown-8.90%
US Market Correlation0.93
Beta(*)0.57
Alpha (annualized)-0.64%
R286.71%
Sharpe Ratio0.38
Sortino Ratio0.54
Treynor Ratio (%)4.82
Calmar Ratio0.56
Active Return-3.41%
Tracking Error5.65%
Information Ratio-0.60
Skewness-0.41
Excess Kurtosis1.44
Historical Value-at-Risk (5%)-4.37%
Analytical Value-at-Risk (5%)-3.11%
Conditional Value-at-Risk (5%)-4.72%
Upside Capture Ratio (%)54.65
Downside Capture Ratio (%)62.22
Safe Withdrawal Rate26.27%
Perpetual Withdrawal Rate1.50%
Positive Periods32 out of 48 (66.67%)
Gain/Loss Ratio0.74
* 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
1May 2015Feb 201610 monthsJul 20165 months1 year 3 months-8.90%
2Feb 2018Dec 201811 months-8.89%
3Oct 2016Oct 20161 monthDec 20162 months3 months-1.39%
4Mar 2015Mar 20151 monthApr 20151 month2 months-0.71%
5Aug 2016Aug 20161 monthSep 20161 month2 months-0.08%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTVanguard Total World Stock ETF4.58%11.42%24.49%-9.76%-14.45%0.390.560.95
VNQVanguard Real Estate ETF2.33%14.07%8.60%-6.02%-14.88%0.180.270.48
TIPiShares TIPS Bond ETF1.07%3.48%4.68%-1.75%-4.83%0.120.190.01
LQDHiShares Interest Rate Hedged Corp Bd ETF1.58%4.02%6.00%-2.25%-6.95%0.240.360.58

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTVNQTIPLQDHPortfolio 1
VTVanguard Total World Stock ETF-0.430.120.650.98
VNQVanguard Real Estate ETF0.43-0.490.220.55
TIPiShares TIPS Bond ETF0.120.49--0.130.24
LQDHiShares Interest Rate Hedged Corp Bd ETF0.650.22-0.13-0.67

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTVanguard Total World Stock ETF$1,104
VNQVanguard Real Estate ETF$52.42
TIPiShares TIPS Bond ETF$83.91
LQDHiShares Interest Rate Hedged Corp Bd ETF$128

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTVanguard Total World Stock ETF83.77%
VNQVanguard Real Estate ETF6.44%
TIPiShares TIPS Bond ETF2.32%
LQDHiShares Interest Rate Hedged Corp Bd ETF7.47%

Annual Asset Returns