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.

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Portfolio Assets 
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 2016 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPYD SPDR Portfolio S&P 500 High Div ETF 100.00%
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Portfolio 2
Ticker Name Allocation
VYM Vanguard High Dividend Yield ETF 100.00%
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Portfolio 3
Ticker Name Allocation
HDV iShares Core High Dividend ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,179 12.78% 11.74%24.59%-4.88%-8.67% 0.971.590.84
Portfolio 2$10,000$15,907 12.30% 10.54%24.07%-5.91%-9.63% 1.031.600.94
Portfolio 3$10,000$15,327 11.27% 9.95%20.23%-2.98%-7.84% 1.001.520.82

Trailing Returns

Trailing Returns
Name3 Month1 year3 yearFull
Portfolio 15.21%21.19%9.10%12.78%
Portfolio 26.49%24.07%10.77%12.30%
Portfolio 34.99%20.23%9.78%11.27%
Trailing returns are for full months ending in December 2019 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
YearInflationReturnBalanceSPDR Portfolio S&P 500 High Div ETF (SPYD)Vanguard High Dividend Yield ETF (VYM)iShares Core High Dividend ETF (HDV)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR Portfolio S&P 500 High Div ETF (SPYD)Vanguard High Dividend Yield ETF (VYM)iShares Core High Dividend ETF (HDV)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value32.66%71.04%73.66%
Large-cap Growth0.00%11.37%0.00%
Mid-cap Value46.32%2.89%0.00%
Mid-cap Growth0.00%0.34%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets2.31%1.44%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%1.59%
Intermediate-Term Treasuries18.70%7.44%24.75%
Short-Term Treasuries0.00%5.47%0.00%
R Squared86.95%94.84%78.99%
Style analysis is based on monthly returns from Jan 2016 to Dec 2019 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SPYDSPDR Portfolio S&P 500 High Div ETFLarge Value100.00%0.07%14.79$6,179100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VYMVanguard High Dividend Yield ETFLarge Value100.00%0.06%17.96$5,907100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
HDViShares Core High Dividend ETFLarge Value100.00%0.08%19.30$5,327100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/27/2020. (c) 2020 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 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)1.06%1.02%0.93%
Arithmetic Mean (annualized)13.54%12.92%11.81%
Geometric Mean (monthly)1.01%0.97%0.89%
Geometric Mean (annualized)12.78%12.30%11.27%
Volatility (monthly)3.39%3.04%2.87%
Volatility (annualized)11.74%10.54%9.95%
Downside Deviation (monthly)2.02%1.91%1.83%
Max. Drawdown-8.67%-9.63%-7.84%
US Market Correlation0.840.940.82
Alpha (annualized)1.36%0.71%1.81%
Sharpe Ratio0.971.031.00
Sortino Ratio1.591.601.52
Treynor Ratio (%)13.9213.1414.61
Calmar Ratio1.051.121.25
Active Return-1.17%-1.65%-2.69%
Tracking Error6.70%4.01%6.90%
Information Ratio-0.17-0.41-0.39
Excess Kurtosis1.471.661.93
Historical Value-at-Risk (5%)-6.36%-5.60%-6.42%
Analytical Value-at-Risk (5%)-4.51%-3.99%-3.79%
Conditional Value-at-Risk (5%)-7.78%-7.48%-7.23%
Upside Capture Ratio (%)83.1484.4074.21
Downside Capture Ratio (%)75.9682.6770.35
Safe Withdrawal Rate33.01%31.76%31.09%
Perpetual Withdrawal Rate9.48%9.09%8.24%
Positive Periods35 out of 48 (72.92%)33 out of 48 (68.75%)32 out of 48 (66.67%)
Gain/Loss Ratio0.881.111.19
* 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 monthsFeb 20192 months6 months-8.67%
2May 2019May 20191 monthSep 20194 months5 months-7.10%
3Feb 2018Feb 20181 monthJul 20185 months6 months-5.46%
4Oct 2016Oct 20161 monthNov 20161 month2 months-2.42%
5Mar 2017Apr 20172 monthsJul 20173 months5 months-1.81%
6Aug 2017Aug 20171 monthSep 20171 month2 months-1.32%
7Jan 2016Jan 20161 monthFeb 20161 month2 months-1.12%
8Aug 2016Aug 20161 monthSep 20161 month2 months-0.40%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-9.63%
2May 2019May 20191 monthJul 20192 months3 months-6.31%
3Jan 2016Jan 20161 monthMar 20162 months3 months-2.82%
4Aug 2019Aug 20191 monthSep 20191 month2 months-2.10%
5Aug 2016Oct 20163 monthsNov 20161 month4 months-1.96%
6Mar 2017Apr 20172 monthsJun 20172 months4 months-0.38%
7Aug 2017Aug 20171 monthSep 20171 month2 months-0.18%
8Jan 2017Jan 20171 monthFeb 20171 month2 months-0.04%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2018Dec 20181 monthFeb 20192 months3 months-7.84%
2Feb 2018Apr 20183 monthsSep 20185 months8 months-7.55%
3May 2019May 20191 monthSep 20194 months5 months-6.17%
4Aug 2016Oct 20163 monthsDec 20162 months5 months-3.37%
5Oct 2018Oct 20181 monthNov 20181 month2 months-2.21%
6Mar 2017Apr 20172 monthsMay 20171 month3 months-0.85%
7Jan 2017Jan 20171 monthFeb 20171 month2 months-0.73%
8Jun 2017Jun 20171 monthJul 20171 month2 months-0.66%
9Aug 2017Aug 20171 monthSep 20171 month2 months-0.44%
10Oct 2017Oct 20171 monthNov 20171 month2 months-0.31%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYDSPDR Portfolio S&P 500 High Div ETF12.78%11.74%24.59%-4.88%-8.67%0.971.590.84
VYMVanguard High Dividend Yield ETF12.30%10.54%24.07%-5.91%-9.63%1.031.600.94
HDViShares Core High Dividend ETF11.27%9.95%20.23%-2.98%-7.84%1.001.520.82

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYDVYMHDVPortfolio 1Portfolio 2Portfolio 3
SPYDSPDR Portfolio S&P 500 High Div ETF1.000.910.881.000.910.88
VYMVanguard High Dividend Yield ETF0.911.000.920.911.000.92
HDViShares Core High Dividend ETF0.880.921.000.880.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYDSPDR Portfolio S&P 500 High Div ETF$6,179
VYMVanguard High Dividend Yield ETF$5,907
HDViShares Core High Dividend ETF$5,327

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYDSPDR Portfolio S&P 500 High Div ETF100.00%
VYMVanguard High Dividend Yield ETF100.00%
HDViShares Core High Dividend ETF100.00%

Annual Asset Returns