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

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select 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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Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2014 - Dec 2019)

Note: The time period was constrained by the available data for ProShares S&P 500 Dividend Aristocrats (NOBL) [Nov 2013 - Feb 2021].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
NOBL	ProShares S&P 500 Dividend Aristocrats	100.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
VIG	Vanguard Dividend Appreciation ETF	100.00%
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	$19,250	11.53%	10.73%	26.94%	-3.28%	-8.74%	0.99	1.62	0.92
Portfolio 2	$10,000	$18,748	11.04%	10.78%	29.62%	-2.08%	-11.00%	0.95	1.51	0.94
Vanguard 500 Index Investor	$10,000	$19,604	11.87%	11.39%	31.33%	-4.52%	-13.55%	0.97	1.54	1.00

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Portfolio 1	6.22%	26.94%	14.11%	10.75%	11.53%	11.06%	10.96%
Portfolio 2	4.76%	29.62%	15.76%	11.24%	11.04%	11.34%	11.02%
Vanguard 500 Index Investor	9.03%	31.33%	15.12%	11.55%	11.87%	12.10%	11.98%
Trailing annualized return and volatility 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
Year	Inflation	Portfolio 1		Portfolio 2		Vanguard 500 Index Investor		ProShares S&P 500 Dividend Aristocrats (NOBL)	Vanguard Dividend Appreciation ETF (VIG)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	ProShares S&P 500 Dividend Aristocrats (NOBL)	Vanguard Dividend Appreciation ETF (VIG)
2014	0.76%	15.55%	$11,555	10.08%	$11,008	13.51%	$11,351	15.55%	10.08%
2015	0.73%	0.44%	$11,606	-1.95%	$10,793	1.25%	$11,493	0.44%	-1.95%
2016	2.07%	11.65%	$12,957	11.97%	$12,085	11.82%	$12,851	11.65%	11.97%
2017	2.11%	21.02%	$15,680	22.22%	$14,771	21.67%	$15,635	21.02%	22.22%
2018	1.91%	-3.28%	$15,165	-2.08%	$14,464	-4.52%	$14,928	-3.28%	-2.08%
2019	2.29%	26.94%	$19,250	29.62%	$18,748	31.33%	$19,604	26.94%	29.62%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Vanguard 500 Index Investor Return	ProShares S&P 500 Dividend Aristocrats (NOBL)	Vanguard Dividend Appreciation ETF (VIG)
2014	1	-4.58%	-5.01%	-3.47%	-4.58%	-5.01%
2014	2	4.70%	4.90%	4.56%	4.70%	4.90%
2014	3	1.05%	0.79%	0.82%	1.05%	0.79%
2014	4	1.13%	1.01%	0.72%	1.13%	1.01%
2014	5	1.67%	1.61%	2.33%	1.67%	1.61%
2014	6	1.44%	1.49%	2.05%	1.44%	1.49%
2014	7	-2.73%	-3.31%	-1.39%	-2.73%	-3.31%
2014	8	3.93%	3.65%	3.98%	3.93%	3.65%
2014	9	-0.06%	-1.00%	-1.41%	-0.06%	-1.00%
2014	10	4.29%	2.65%	2.42%	4.29%	2.65%
2014	11	4.01%	3.22%	2.68%	4.01%	3.22%
2014	12	0.13%	0.11%	-0.26%	0.13%	0.11%
2015	1	-2.75%	-3.38%	-3.02%	-2.75%	-3.38%
2015	2	4.68%	5.59%	5.74%	4.68%	5.59%
2015	3	-1.14%	-2.27%	-1.59%	-1.14%	-2.27%
2015	4	-1.04%	-0.21%	0.95%	-1.04%	-0.21%
2015	5	1.29%	0.96%	1.27%	1.29%	0.96%
2015	6	-1.80%	-2.54%	-1.93%	-1.80%	-2.54%
2015	7	2.46%	2.16%	2.08%	2.46%	2.16%
2015	8	-4.98%	-5.87%	-6.05%	-4.98%	-5.87%
2015	9	-2.41%	-1.84%	-2.48%	-2.41%	-1.84%
2015	10	7.33%	6.74%	8.42%	7.33%	6.74%
2015	11	0.24%	0.27%	0.29%	0.24%	0.27%
2015	12	-0.81%	-0.87%	-1.59%	-0.81%	-0.87%
2016	1	-2.21%	-2.29%	-4.98%	-2.21%	-2.29%
2016	2	1.89%	1.13%	-0.15%	1.89%	1.13%
2016	3	6.87%	6.28%	6.78%	6.87%	6.28%
2016	4	0.80%	-0.33%	0.37%	0.80%	-0.33%
2016	5	0.76%	0.95%	1.78%	0.76%	0.95%
2016	6	2.86%	2.37%	0.25%	2.86%	2.37%
2016	7	2.28%	2.29%	3.68%	2.28%	2.29%
2016	8	-0.54%	0.01%	0.13%	-0.54%	0.01%
2016	9	-1.35%	-0.97%	0.01%	-1.35%	-0.97%
2016	10	-4.60%	-1.93%	-1.83%	-4.60%	-1.93%
2016	11	3.45%	2.98%	3.70%	3.45%	2.98%
2016	12	1.33%	1.17%	1.96%	1.33%	1.17%
2017	1	0.69%	1.76%	1.88%	0.69%	1.76%
2017	2	3.67%	4.33%	3.96%	3.67%	4.33%
2017	3	0.24%	-0.07%	0.10%	0.24%	-0.07%
2017	4	1.48%	1.72%	1.02%	1.48%	1.72%
2017	5	0.75%	1.57%	1.39%	0.75%	1.57%
2017	6	0.90%	0.28%	0.61%	0.90%	0.28%
2017	7	1.09%	0.73%	2.04%	1.09%	0.73%
2017	8	-0.63%	-0.36%	0.29%	-0.63%	-0.36%
2017	9	3.02%	2.38%	2.06%	3.02%	2.38%
2017	10	1.43%	2.10%	2.32%	1.43%	2.10%
2017	11	4.61%	4.48%	3.06%	4.61%	4.48%
2017	12	2.11%	1.44%	1.10%	2.11%	1.44%
2018	1	3.59%	5.02%	5.71%	3.59%	5.02%
2018	2	-4.91%	-4.03%	-3.69%	-4.91%	-4.03%
2018	3	-0.94%	-1.35%	-2.56%	-0.94%	-1.35%
2018	4	-1.00%	-0.93%	0.37%	-1.00%	-0.93%
2018	5	0.96%	1.77%	2.39%	0.96%	1.77%
2018	6	0.87%	0.30%	0.61%	0.87%	0.30%
2018	7	4.88%	4.68%	3.71%	4.88%	4.68%
2018	8	1.80%	2.80%	3.25%	1.80%	2.80%
2018	9	0.90%	1.68%	0.55%	0.90%	1.68%
2018	10	-5.46%	-6.36%	-6.85%	-5.46%	-6.36%
2018	11	4.84%	4.14%	2.03%	4.84%	4.14%
2018	12	-7.93%	-8.73%	-9.04%	-7.93%	-8.73%
2019	1	5.40%	6.32%	8.00%	5.40%	6.32%
2019	2	4.67%	4.58%	3.20%	4.67%	4.58%
2019	3	1.48%	1.14%	1.94%	1.48%	1.14%
2019	4	1.68%	3.72%	4.04%	1.68%	3.72%
2019	5	-5.50%	-4.63%	-6.36%	-5.50%	-4.63%
2019	6	7.11%	6.63%	7.03%	7.11%	6.63%
2019	7	0.88%	2.23%	1.43%	0.88%	2.23%
2019	8	-0.60%	0.59%	-1.59%	-0.60%	0.59%
2019	9	3.43%	1.45%	1.86%	3.43%	1.45%
2019	10	1.22%	0.03%	2.15%	1.22%	0.03%
2019	11	3.08%	2.45%	3.62%	3.08%	2.45%
2019	12	1.81%	2.22%	3.01%	1.81%	2.22%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2	Vanguard 500 Index Investor
Large-cap Value	62.97%	49.69%	46.28%
Large-cap Growth	17.27%	39.04%	53.24%
Mid-cap Value	0.00%	0.00%	0.03%
Mid-cap Growth	6.12%	3.10%	0.00%
Small-cap Value	0.00%	0.00%	0.00%
Small-cap Growth	2.04%	0.00%	0.35%
Global ex-US Developed Markets	0.00%	0.00%	0.00%
Emerging Markets	0.00%	0.00%	0.09%
Corporate Bonds	0.00%	0.00%	0.00%
Long-Term Treasuries	11.60%	8.17%	0.00%
Intermediate-Term Treasuries	0.00%	0.00%	0.00%
Short-Term Treasuries	0.00%	0.00%	0.00%
R Squared	89.28%	91.64%	99.97%
Style analysis is based on monthly returns from January 2014 to December 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
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
NOBL	ProShares S&P 500 Dividend Aristocrats	Large Blend	100.00%	2.18%	0.35%	24.89	$9,250	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
VIG	Vanguard Dividend Appreciation ETF	Large Blend	100.00%	1.67%	0.06%	26.72	$8,748	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/26/2021. (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	Portfolio 2	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	0.96%	0.92%	0.99%
Arithmetic Mean (annualized)	12.16%	11.68%	12.59%
Geometric Mean (monthly)	0.91%	0.88%	0.94%
Geometric Mean (annualized)	11.53%	11.04%	11.87%
Volatility (monthly)	3.10%	3.11%	3.29%
Volatility (annualized)	10.73%	10.78%	11.39%
Downside Deviation (monthly)	1.87%	1.92%	2.03%
Max. Drawdown	-8.74%	-11.00%	-13.55%
US Market Correlation	0.92	0.94	1.00
Beta^(*)	0.87	0.90	1.00
Alpha (annualized)	1.15%	0.35%	0.00%
R²	85.69%	90.89%	100.00%
Sharpe Ratio	0.99	0.95	0.97
Sortino Ratio	1.62	1.51	1.54
Treynor Ratio (%)	12.23	11.33	11.04
Calmar Ratio	1.61	1.43	1.12
Active Return	-0.34%	-0.83%	N/A
Tracking Error	4.31%	3.44%	N/A
Information Ratio	-0.08	-0.24	N/A
Skewness	-0.46	-0.58	-0.52
Excess Kurtosis	0.41	0.72	1.06
Historical Value-at-Risk (5%)	-4.94%	-4.80%	-5.46%
Analytical Value-at-Risk (5%)	-4.13%	-4.19%	-4.42%
Conditional Value-at-Risk (5%)	-5.97%	-6.49%	-7.08%
Upside Capture Ratio (%)	90.68	90.36	100.00
Downside Capture Ratio (%)	85.91	89.43	100.00
Safe Withdrawal Rate	22.20%	21.00%	22.04%
Perpetual Withdrawal Rate	8.87%	8.47%	9.15%
Positive Periods	50 out of 72 (69.44%)	50 out of 72 (69.44%)	53 out of 72 (73.61%)
Gain/Loss Ratio	0.97	0.94	0.78
^* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Oct 2018	Dec 2018	3 months	Feb 2019	2 months	5 months	-8.74%
2	Mar 2015	Sep 2015	7 months	Mar 2016	6 months	1 year 1 month	-7.54%
3	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-6.74%
4	Aug 2016	Oct 2016	3 months	Feb 2017	4 months	7 months	-6.39%
5	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-5.50%
6	Jan 2014	Jan 2014	1 month	Mar 2014	2 months	3 months	-4.58%
7	Jan 2015	Jan 2015	1 month	Feb 2015	1 month	2 months	-2.75%
8	Jul 2014	Jul 2014	1 month	Aug 2014	1 month	2 months	-2.73%
9	Aug 2017	Aug 2017	1 month	Sep 2017	1 month	2 months	-0.63%
10	Aug 2019	Aug 2019	1 month	Sep 2019	1 month	2 months	-0.60%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Oct 2018	Dec 2018	3 months	Mar 2019	3 months	6 months	-11.00%
2	Mar 2015	Sep 2015	7 months	Mar 2016	6 months	1 year 1 month	-9.41%
3	Feb 2018	Apr 2018	3 months	Jul 2018	3 months	6 months	-6.20%
4	Jan 2014	Jan 2014	1 month	Mar 2014	2 months	3 months	-5.01%
5	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-4.63%
6	Jan 2015	Jan 2015	1 month	Feb 2015	1 month	2 months	-3.38%
7	Jul 2014	Jul 2014	1 month	Aug 2014	1 month	2 months	-3.31%
8	Sep 2016	Oct 2016	2 months	Nov 2016	1 month	3 months	-2.89%
9	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-1.00%
10	Aug 2017	Aug 2017	1 month	Sep 2017	1 month	2 months	-0.36%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
2	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
3	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
4	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
5	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-3.47%
6	Dec 2014	Jan 2015	2 months	Feb 2015	1 month	3 months	-3.27%
7	Jun 2015	Jun 2015	1 month	Jul 2015	1 month	2 months	-1.93%
8	Oct 2016	Oct 2016	1 month	Nov 2016	1 month	2 months	-1.83%
9	Mar 2015	Mar 2015	1 month	May 2015	2 months	3 months	-1.59%
10	Aug 2019	Aug 2019	1 month	Sep 2019	1 month	2 months	-1.59%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
NOBL	ProShares S&P 500 Dividend Aristocrats	11.53%	10.73%	26.94%	-3.28%	-8.74%	0.99	1.62	0.92
VIG	Vanguard Dividend Appreciation ETF	11.04%	10.78%	29.62%	-2.08%	-11.00%	0.95	1.51	0.94

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	NOBL	VIG	Portfolio 1	Portfolio 2	Vanguard 500 Index Investor
NOBL	ProShares S&P 500 Dividend Aristocrats	1.00	0.97	1.00	0.97	0.93
VIG	Vanguard Dividend Appreciation ETF	0.97	1.00	0.97	1.00	0.95

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2
NOBL	ProShares S&P 500 Dividend Aristocrats	$9,250
VIG	Vanguard Dividend Appreciation ETF		$8,748

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2
NOBL	ProShares S&P 500 Dividend Aristocrats	100.00%
VIG	Vanguard Dividend Appreciation ETF		100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	10.98%	26.94%	-3.28%	10.88%	29.62%	-5.03%	11.04%	31.33%	-6.32%
3 years	11.07%	15.18%	9.02%	11.64%	16.90%	6.52%	12.07%	17.15%	8.72%
5 years	10.58%	11.47%	8.69%	10.42%	11.64%	7.66%	10.52%	11.55%	8.34%