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. 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.

Time Period

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Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

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Absolute Deviation

Relative Deviation

Display Income

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Factor Regression

Equity Factor Model

Benchmark

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Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

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Asset 2

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Asset 3

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Asset 4

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Asset 5

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Asset 6

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Asset 7

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Asset 8

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Asset 9

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Asset 10

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Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2015 - Dec 2018)

Note: The time period was constrained by the available data for iShares Interest Rate Hedged Corp Bd ETF (LQDH) [Jul 2014 - Dec 2020].

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%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
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

Trailing Returns

Trailing Returns
Name	Annualized Return				Annualized Volatility
Name	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.

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 (3-month treasury bill)
Stock market correlation is based on the correlation of monthly returns
Drawdown analysis is calculated based on monthly returns excluding cashflows
The results assume annual rebalancing of portfolio assets to match the specified allocation

Annual returns for the configured portfolios
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%

Monthly returns for the configured portfolios
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%

Returns Based Style Analysis

Returns Based Style Analysis
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.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
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%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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.

Portfolio return and risk metrics
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.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
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%

Portfolio Assets

Performance statistics for portfolio components
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

Monthly Correlations

Correlations for the portfolio assets
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

Portfolio Return Decomposition

Portfolio return decomposition
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

Portfolio Risk Decomposition

Portfolio risk decomposition
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%