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 |
---|---|---|
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 | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $11,369 | 3.26% | 7.24% | 15.30% | -6.35% | -8.90% | 0.37 | 0.53 | 0.93 |
Name | Annualized Return | Annualized Volatility | |||
---|---|---|---|---|---|
3 Month | 1 year | 3 year | Full | 3 year | |
Portfolio 1 | -8.40% | -6.35% | 4.95% | 3.26% | 7.08% |
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | Vanguard Total World Stock ETF (VT) | Vanguard Real Estate ETF (VNQ) | iShares TIPS Bond ETF (TIP) | iShares Interest Rate Hedged Corp Bd ETF (LQDH) |
---|---|---|---|---|---|---|---|
2015 | 0.73% | -1.66% | $9,834 | -1.86% | 2.42% | -1.75% | -2.25% |
2016 | 2.07% | 7.07% | $10,529 | 8.51% | 8.60% | 4.68% | 5.08% |
2017 | 2.11% | 15.30% | $12,140 | 24.49% | 4.91% | 2.92% | 6.00% |
2018 | 1.91% | -6.35% | $11,369 | -9.76% | -6.02% | -1.42% | -2.19% |
Year | Month | Portfolio 1 Return | Portfolio 1 Balance | Vanguard Total World Stock ETF (VT) | Vanguard Real Estate ETF (VNQ) | iShares TIPS Bond ETF (TIP) | iShares Interest Rate Hedged Corp Bd ETF (LQDH) |
---|---|---|---|---|---|---|---|
2015 | 1 | 0.11% | $10,011 | -1.63% | 6.85% | 3.23% | -0.35% |
2015 | 2 | 2.84% | $10,295 | 5.95% | -3.67% | -1.29% | 0.90% |
2015 | 3 | -0.71% | $10,221 | -1.21% | 1.74% | -0.48% | -0.32% |
2015 | 4 | 1.11% | $10,335 | 2.55% | -5.85% | 0.68% | -0.25% |
2015 | 5 | -0.04% | $10,330 | 0.33% | -0.30% | -1.01% | -0.05% |
2015 | 6 | -1.83% | $10,142 | -2.22% | -4.68% | -1.02% | -0.67% |
2015 | 7 | 0.49% | $10,191 | 0.50% | 5.77% | 0.54% | -1.09% |
2015 | 8 | -4.25% | $9,758 | -6.63% | -6.29% | -0.95% | -0.20% |
2015 | 9 | -2.08% | $9,555 | -3.71% | 3.05% | -0.52% | -0.78% |
2015 | 10 | 4.40% | $9,975 | 7.29% | 5.76% | 0.30% | 0.68% |
2015 | 11 | -0.18% | $9,957 | -0.08% | -0.63% | -0.14% | -0.34% |
2015 | 12 | -1.24% | $9,834 | -2.19% | 1.82% | -1.01% | 0.22% |
2016 | 1 | -3.79% | $9,461 | -5.87% | -3.44% | 1.57% | -3.65% |
2016 | 2 | -0.48% | $9,416 | -1.11% | -0.36% | 1.22% | -0.66% |
2016 | 3 | 5.93% | $9,974 | 7.98% | 10.48% | 1.67% | 3.76% |
2016 | 4 | 0.79% | $10,052 | 1.01% | -2.35% | 0.21% | 1.81% |
2016 | 5 | 0.27% | $10,080 | 0.65% | 2.25% | -0.64% | -0.41% |
2016 | 6 | 0.72% | $10,153 | -0.18% | 6.92% | 2.25% | -0.34% |
2016 | 7 | 2.94% | $10,451 | 4.15% | 4.26% | 0.64% | 1.60% |
2016 | 8 | -0.08% | $10,443 | 0.35% | -3.76% | -0.34% | 0.27% |
2016 | 9 | 0.41% | $10,485 | 0.79% | -1.82% | 0.75% | -0.27% |
2016 | 10 | -1.39% | $10,340 | -1.97% | -5.74% | -0.54% | 0.82% |
2016 | 11 | 0.19% | $10,359 | 1.19% | -1.68% | -2.07% | 0.34% |
2016 | 12 | 1.63% | $10,529 | 1.81% | 4.82% | -0.04% | 1.88% |
2017 | 1 | 1.84% | $10,722 | 3.00% | -0.19% | 0.89% | 0.24% |
2017 | 2 | 1.91% | $10,927 | 2.69% | 3.51% | 0.41% | 0.78% |
2017 | 3 | 0.68% | $11,001 | 1.48% | -2.42% | 0.00% | 0.07% |
2017 | 4 | 0.99% | $11,110 | 1.63% | 0.24% | 0.45% | -0.08% |
2017 | 5 | 1.10% | $11,232 | 1.95% | -0.72% | -0.04% | 0.31% |
2017 | 6 | 0.54% | $11,292 | 0.63% | 2.23% | -0.87% | 1.18% |
2017 | 7 | 1.77% | $11,492 | 2.65% | 1.24% | 0.46% | 0.64% |
2017 | 8 | 0.28% | $11,525 | 0.42% | -0.26% | 1.04% | -0.71% |
2017 | 9 | 1.32% | $11,676 | 2.11% | -0.11% | -0.70% | 1.37% |
2017 | 10 | 1.34% | $11,833 | 2.11% | -1.07% | 0.24% | 0.80% |
2017 | 11 | 1.28% | $11,985 | 1.90% | 2.66% | 0.09% | 0.13% |
2017 | 12 | 1.30% | $12,140 | 1.60% | -0.14% | 0.93% | 1.13% |
2018 | 1 | 2.78% | $12,478 | 5.48% | -4.25% | -0.85% | 1.24% |
2018 | 2 | -3.26% | $12,071 | -4.44% | -7.68% | -1.03% | -0.87% |
2018 | 3 | -0.42% | $12,021 | -1.29% | 3.88% | 1.01% | -0.58% |
2018 | 4 | 0.27% | $12,054 | 0.42% | 0.82% | -0.13% | 0.13% |
2018 | 5 | 0.49% | $12,113 | 0.57% | 3.68% | 0.33% | -0.44% |
2018 | 6 | 0.02% | $12,115 | -0.60% | 4.20% | 0.65% | -0.12% |
2018 | 7 | 1.87% | $12,343 | 2.88% | 0.60% | -0.53% | 1.97% |
2018 | 8 | 0.61% | $12,418 | 0.86% | 2.58% | 0.65% | -0.68% |
2018 | 9 | -0.06% | $12,411 | 0.08% | -2.64% | -0.97% | 1.25% |
2018 | 10 | -4.96% | $11,795 | -7.82% | -2.93% | -1.52% | -1.07% |
2018 | 11 | 0.90% | $11,901 | 1.73% | 4.67% | 0.48% | -1.93% |
2018 | 12 | -4.47% | $11,369 | -7.22% | -7.96% | 0.53% | -1.04% |
Style Category | Portfolio 1 |
---|---|
Large-cap Value | 11.17% |
Large-cap Growth | 14.52% |
Mid-cap Value | 9.23% |
Mid-cap Growth | 0.59% |
Small-cap Value | 0.00% |
Small-cap Growth | 0.00% |
Global ex-US Developed Markets | 20.58% |
Emerging Markets | 6.16% |
Corporate Bonds | 19.89% |
Long-Term Treasuries | 0.33% |
Intermediate-Term Treasuries | 0.00% |
Short-Term Treasuries | 17.54% |
R Squared | 98.71% |
Style analysis is based on monthly returns from January 2015 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 |
---|---|---|---|---|---|---|---|---|---|
VT | Vanguard Total World Stock ETF | World Large Stock | 54.00% | 1.66% | 0.08% | 23.85 | $1,104 | 83.77% | |
VNQ | Vanguard Real Estate ETF | Real Estate | 6.00% | 3.93% | 0.12% | 35.08 | $52.42 | 6.44% | |
TIP | iShares TIPS Bond ETF | Inflation-Protected Bond | 20.00% | 0.27% | 0.19% | 7.84 | $83.91 | 2.32% | |
LQDH | iShares Interest Rate Hedged Corp Bd ETF | Corporate Bond | 20.00% | 2.58% | 0.24% | 0.17 | $128 | 7.47% | |
100.00% | 1.70% | 0.14% | 24.97 | 4.00 | $1,369 | 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) | 0.29% |
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 Correlation | 0.93 |
Beta(*) | 0.57 |
Alpha (annualized) | -0.64% |
R2 | 86.71% |
Sharpe Ratio | 0.37 |
Sortino Ratio | 0.53 |
Treynor Ratio (%) | 4.69 |
Calmar Ratio | 0.56 |
Active Return | -3.41% |
Tracking Error | 5.65% |
Information Ratio | -0.60 |
Skewness | -0.41 |
Excess Kurtosis | 1.44 |
Historical Value-at-Risk (5%) | -4.09% |
Analytical Value-at-Risk (5%) | -3.11% |
Conditional Value-at-Risk (5%) | -4.56% |
Upside Capture Ratio (%) | 54.65 |
Downside Capture Ratio (%) | 62.22 |
Safe Withdrawal Rate | 26.27% |
Perpetual Withdrawal Rate | 1.50% |
Positive Periods | 32 out of 48 (66.67%) |
Gain/Loss Ratio | 0.74 |
* 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 | May 2015 | Feb 2016 | 10 months | Jul 2016 | 5 months | 1 year 3 months | -8.90% |
2 | Feb 2018 | Dec 2018 | 11 months | -8.89% | |||
3 | Oct 2016 | Oct 2016 | 1 month | Dec 2016 | 2 months | 3 months | -1.39% |
4 | Mar 2015 | Mar 2015 | 1 month | Apr 2015 | 1 month | 2 months | -0.71% |
5 | Aug 2016 | Aug 2016 | 1 month | Sep 2016 | 1 month | 2 months | -0.08% |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
VT | Vanguard Total World Stock ETF | 4.58% | 11.42% | 24.49% | -9.76% | -14.45% | 0.38 | 0.55 | 0.95 |
VNQ | Vanguard Real Estate ETF | 2.33% | 14.07% | 8.60% | -6.02% | -14.88% | 0.18 | 0.27 | 0.48 |
TIP | iShares TIPS Bond ETF | 1.07% | 3.48% | 4.68% | -1.75% | -4.83% | 0.10 | 0.15 | 0.01 |
LQDH | iShares Interest Rate Hedged Corp Bd ETF | 1.58% | 4.02% | 6.00% | -2.25% | -6.95% | 0.22 | 0.33 | 0.58 |
Ticker | Name | VT | VNQ | TIP | LQDH | Portfolio 1 |
---|---|---|---|---|---|---|
VT | Vanguard Total World Stock ETF | 1.00 | 0.43 | 0.12 | 0.65 | 0.98 |
VNQ | Vanguard Real Estate ETF | 0.43 | 1.00 | 0.49 | 0.22 | 0.55 |
TIP | iShares TIPS Bond ETF | 0.12 | 0.49 | 1.00 | -0.13 | 0.24 |
LQDH | iShares Interest Rate Hedged Corp Bd ETF | 0.65 | 0.22 | -0.13 | 1.00 | 0.67 |
Ticker | Name | Portfolio 1 |
---|---|---|
VT | Vanguard Total World Stock ETF | $1,104 |
VNQ | Vanguard Real Estate ETF | $52.42 |
TIP | iShares TIPS Bond ETF | $83.91 |
LQDH | iShares Interest Rate Hedged Corp Bd ETF | $128 |
Ticker | Name | Portfolio 1 |
---|---|---|
VT | Vanguard Total World Stock ETF | 83.77% |
VNQ | Vanguard Real Estate ETF | 6.44% |
TIP | iShares TIPS Bond ETF | 2.32% |
LQDH | iShares Interest Rate Hedged Corp Bd ETF | 7.47% |