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 
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Asset 2
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Asset 6
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Portfolio Analysis Results (Jan 2008 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWEHX Vanguard High-Yield Corporate Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
PIMIX PIMCO Income Instl 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,730 6.68% 8.50%39.09%-21.29%-28.27% 0.731.060.71
Portfolio 2$10,000$26,095 8.32% 4.40%22.17%-5.47%-10.39% 1.693.160.53
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 12.50%15.79%6.34%5.68%7.10%6.68%
Portfolio 22.53%8.05%5.68%5.66%8.76%8.32%
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
YearInflationReturnBalanceVanguard High-Yield Corporate Inv (VWEHX)PIMCO Income Instl (PIMIX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20080.09%-21.29%-5.47%$7,871$9,453-21.29%-5.47%
20092.72%39.09%19.21%$10,948$11,26839.09%19.21%
20101.50%12.40%20.46%$12,305$13,57312.40%20.46%
20112.96%7.13%6.37%$13,183$14,4387.13%6.37%
20121.74%14.36%22.17%$15,075$17,63914.36%22.17%
20131.50%4.54%4.80%$15,759$18,4864.54%4.80%
20140.76%4.58%7.18%$16,481$19,8144.58%7.18%
20150.73%-1.39%2.64%$16,252$20,337-1.39%2.64%
20162.07%11.19%8.72%$18,071$22,11011.19%8.72%
20172.11%7.02%8.60%$19,340$24,0117.02%8.60%
20181.91%-2.96%0.58%$18,767$24,150-2.96%0.58%
20192.29%15.79%8.05%$21,730$26,09515.79%8.05%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard High-Yield Corporate Inv (VWEHX)PIMCO Income Instl (PIMIX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-0.72%1.58%$9,928$10,158-0.72%1.58%
20082-1.46%-1.29%$9,783$10,027-1.46%-1.29%
20083-0.22%-0.41%$9,761$9,986-0.22%-0.41%
200843.65%1.20%$10,117$10,1063.65%1.20%
20085-0.22%-1.21%$10,094$9,983-0.22%-1.21%
20086-3.01%-1.54%$9,790$9,830-3.01%-1.54%
20087-1.13%-0.61%$9,679$9,770-1.13%-0.61%
200880.67%-0.09%$9,744$9,7600.67%-0.09%
20089-6.13%-1.68%$9,146$9,596-6.13%-1.68%
200810-15.39%-4.32%$7,738$9,182-15.39%-4.32%
200811-6.22%-0.22%$7,257$9,162-6.22%-0.22%
2008128.46%3.17%$7,871$9,4538.46%3.17%
200915.71%0.24%$8,320$9,4755.71%0.24%
20092-2.89%-3.93%$8,079$9,103-2.89%-3.93%
200931.95%1.31%$8,237$9,2221.95%1.31%
200947.83%2.35%$8,882$9,4397.83%2.35%
200954.35%3.46%$9,269$9,7664.35%3.46%
200961.70%1.58%$9,426$9,9201.70%1.58%
200975.79%3.55%$9,972$10,2725.79%3.55%
200980.29%3.02%$10,001$10,5830.29%3.02%
200994.17%2.74%$10,418$10,8734.17%2.74%
2009101.60%2.06%$10,585$11,0971.60%2.06%
2009110.65%1.12%$10,654$11,2210.65%1.12%
2009122.76%0.42%$10,948$11,2682.76%0.42%
201010.83%2.96%$11,039$11,6010.83%2.96%
201020.05%0.21%$11,044$11,6260.05%0.21%
201032.70%2.10%$11,342$11,8702.70%2.10%
201041.72%3.05%$11,538$12,2311.72%3.05%
20105-3.42%-0.56%$11,143$12,162-3.42%-0.56%
201061.77%2.24%$11,340$12,4351.77%2.24%
201073.42%2.78%$11,727$12,7813.42%2.78%
201080.28%2.81%$11,760$13,1400.28%2.81%
201092.76%1.93%$12,084$13,3942.76%1.93%
2010102.20%1.90%$12,350$13,6492.20%1.90%
201011-1.66%-0.59%$12,145$13,568-1.66%-0.59%
2010121.32%0.04%$12,305$13,5731.32%0.04%
201112.01%2.02%$12,552$13,8482.01%2.02%
201121.25%1.28%$12,709$14,0241.25%1.28%
201130.28%0.65%$12,745$14,1150.28%0.65%
201141.61%1.62%$12,951$14,3431.61%1.62%
201150.59%0.99%$13,027$14,4850.59%0.99%
20116-0.96%-1.10%$12,902$14,325-0.96%-1.10%
201171.46%0.91%$13,090$14,4551.46%0.91%
20118-3.19%-1.20%$12,672$14,281-3.19%-1.20%
20119-1.91%-0.15%$12,429$14,259-1.91%-0.15%
2011105.39%0.57%$13,099$14,3405.39%0.57%
201111-2.05%-0.87%$12,830$14,215-2.05%-0.87%
2011122.75%1.57%$13,183$14,4382.75%1.57%
201212.87%2.61%$13,561$14,8152.87%2.61%
201221.90%1.58%$13,818$15,0491.90%1.58%
20123-0.47%1.03%$13,754$15,205-0.47%1.03%
201241.04%1.38%$13,897$15,4151.04%1.38%
20125-0.99%0.40%$13,760$15,476-0.99%0.40%
201262.08%1.37%$14,047$15,6882.08%1.37%
201272.07%2.49%$14,338$16,0792.07%2.49%
201280.86%2.10%$14,461$16,4170.86%2.10%
201291.17%3.42%$14,630$16,9781.17%3.42%
2012101.01%0.86%$14,778$17,1251.01%0.86%
2012110.66%1.27%$14,876$17,3420.66%1.27%
2012121.34%1.71%$15,075$17,6391.34%1.71%
201310.67%1.91%$15,176$17,9750.67%1.91%
201320.29%0.52%$15,219$18,0690.29%0.52%
201330.82%0.36%$15,344$18,1350.82%0.36%
201341.61%2.04%$15,592$18,5041.61%2.04%
20135-0.81%-0.11%$15,465$18,483-0.81%-0.11%
20136-2.96%-3.19%$15,007$17,893-2.96%-3.19%
201371.85%0.70%$15,284$18,0181.85%0.70%
20138-1.02%-0.69%$15,129$17,894-1.02%-0.69%
201390.99%1.78%$15,278$18,2130.99%1.78%
2013102.51%1.43%$15,662$18,4732.51%1.43%
2013110.30%-0.12%$15,709$18,4520.30%-0.12%
2013120.32%0.19%$15,759$18,4860.32%0.19%
201410.66%1.43%$15,863$18,7510.66%1.43%
201421.92%1.26%$16,169$18,9861.92%1.26%
201430.14%0.36%$16,191$19,0560.14%0.36%
201440.61%0.85%$16,290$19,2170.61%0.85%
201450.95%1.80%$16,446$19,5630.95%1.80%
201460.61%0.59%$16,545$19,6790.61%0.59%
20147-1.17%0.20%$16,352$19,719-1.17%0.20%
201481.62%1.07%$16,617$19,9301.62%1.07%
20149-1.84%-0.51%$16,311$19,829-1.84%-0.51%
2014101.97%0.91%$16,633$20,0101.97%0.91%
201411-0.54%0.20%$16,542$20,050-0.54%0.20%
201412-0.37%-1.18%$16,481$19,814-0.37%-1.18%
201510.64%0.04%$16,586$19,8230.64%0.04%
201521.93%1.27%$16,906$20,0741.93%1.27%
20153-0.55%0.61%$16,812$20,196-0.55%0.61%
201540.95%0.85%$16,972$20,3680.95%0.85%
201550.30%0.77%$17,022$20,5240.30%0.77%
20156-1.39%-0.60%$16,786$20,402-1.39%-0.60%
201570.29%0.53%$16,835$20,5100.29%0.53%
20158-0.89%-0.76%$16,686$20,353-0.89%-0.76%
20159-2.12%-0.61%$16,331$20,229-2.12%-0.61%
2015102.77%1.37%$16,784$20,5062.77%1.37%
201511-1.44%0.05%$16,542$20,516-1.44%0.05%
201512-1.76%-0.87%$16,252$20,337-1.76%-0.87%
20161-0.99%0.30%$16,090$20,399-0.99%0.30%
201620.46%-0.47%$16,164$20,3040.46%-0.47%
201632.85%1.94%$16,625$20,6992.85%1.94%
201642.60%1.15%$17,057$20,9372.60%1.15%
20165-0.05%0.72%$17,049$21,088-0.05%0.72%
201660.80%0.55%$17,185$21,2040.80%0.55%
201672.03%1.22%$17,535$21,4642.03%1.22%
201681.66%0.71%$17,826$21,6171.66%0.71%
201690.62%0.88%$17,936$21,8070.62%0.88%
2016100.28%0.46%$17,987$21,9070.28%0.46%
201611-0.91%-0.12%$17,823$21,881-0.91%-0.12%
2016121.39%1.05%$18,071$22,1101.39%1.05%
201711.00%0.87%$18,251$22,3031.00%0.87%
201721.44%1.20%$18,513$22,5711.44%1.20%
20173-0.22%0.78%$18,472$22,748-0.22%0.78%
201741.29%0.70%$18,711$22,9071.29%0.70%
201750.96%1.02%$18,891$23,1410.96%1.02%
201760.27%0.53%$18,942$23,2640.27%0.53%
201771.12%0.61%$19,155$23,4061.12%0.61%
201780.11%0.93%$19,177$23,6250.11%0.93%
201790.77%0.53%$19,324$23,7490.77%0.53%
2017100.09%0.53%$19,340$23,8740.09%0.53%
201711-0.27%0.29%$19,289$23,942-0.27%0.29%
2017120.27%0.29%$19,340$24,0110.27%0.29%
201810.21%-0.28%$19,380$23,9440.21%-0.28%
20182-1.11%-0.44%$19,164$23,838-1.11%-0.44%
20183-0.57%0.45%$19,056$23,946-0.57%0.45%
201840.46%-0.45%$19,142$23,8390.46%-0.45%
20185-0.40%-0.04%$19,066$23,831-0.40%-0.04%
201860.28%0.05%$19,120$23,8410.28%0.05%
201871.18%0.55%$19,345$23,9721.18%0.55%
201880.99%-0.16%$19,538$23,9340.99%-0.16%
201890.45%0.17%$19,626$23,9740.45%0.17%
201810-1.58%-0.12%$19,316$23,945-1.58%-0.12%
201811-0.72%0.05%$19,177$23,956-0.72%0.05%
201812-2.14%0.81%$18,767$24,150-2.14%0.81%
201914.93%1.66%$19,691$24,5504.93%1.66%
201921.67%0.46%$20,020$24,6641.67%0.46%
201930.83%0.88%$20,185$24,8820.83%0.88%
201941.50%0.88%$20,488$25,1001.50%0.88%
20195-1.08%0.46%$20,266$25,216-1.08%0.46%
201962.72%1.04%$20,817$25,4792.72%1.04%
201970.45%0.29%$20,910$25,5530.45%0.29%
201980.95%-1.11%$21,110$25,2690.95%-1.11%
201990.43%0.72%$21,200$25,4510.43%0.72%
2019100.61%0.72%$21,329$25,6330.61%0.72%
2019110.59%0.46%$21,454$25,7520.59%0.46%
2019121.28%1.33%$21,730$26,0951.28%1.33%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VWEHXVanguard High-Yield Corporate InvHigh Yield Bond100.00%0.23%3.89$11,730100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
PIMIXPIMCO Income InstlMultisector Bond100.00%1.09%7.881.67$16,095100.00%

Asset Allocation

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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 2
Arithmetic Mean (monthly)0.57%0.68%
Arithmetic Mean (annualized)7.07%8.42%
Geometric Mean (monthly)0.54%0.67%
Geometric Mean (annualized)6.68%8.32%
Volatility (monthly)2.45%1.27%
Volatility (annualized)8.50%4.40%
Downside Deviation (monthly)1.69%0.66%
Max. Drawdown-28.27%-10.39%
US Market Correlation0.710.53
Beta(*)0.390.15
Alpha (annualized)2.99%6.62%
R250.27%28.10%
Sharpe Ratio0.731.69
Sortino Ratio1.063.16
Treynor Ratio (%)15.9949.68
Calmar Ratio1.455.11
Active Return-2.35%-0.71%
Tracking Error11.15%13.61%
Information Ratio-0.21-0.05
Skewness-1.67-0.62
Excess Kurtosis13.102.33
Historical Value-at-Risk (5%)-2.94%-1.21%
Analytical Value-at-Risk (5%)-3.46%-1.41%
Conditional Value-at-Risk (5%)-5.76%-2.45%
Upside Capture Ratio (%)41.2331.48
Downside Capture Ratio (%)30.104.21
Safe Withdrawal Rate10.96%12.83%
Perpetual Withdrawal Rate4.67%6.12%
Positive Periods101 out of 144 (70.14%)109 out of 144 (75.69%)
Gain/Loss Ratio0.871.31
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Nov 20087 monthsSep 200910 months1 year 5 months-28.27%
2Jun 2015Jan 20168 monthsApr 20163 months11 months-5.48%
3Aug 2011Sep 20112 monthsOct 20111 month3 months-5.04%
4Oct 2018Dec 20183 monthsJan 20191 month4 months-4.38%
5May 2013Jun 20132 monthsOct 20134 months6 months-3.75%
6May 2010May 20101 monthJul 20102 months3 months-3.42%
7Jan 2008Mar 20083 monthsApr 20081 month4 months-2.39%
8Nov 2011Nov 20111 monthDec 20111 month2 months-2.05%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.84%
10Feb 2018Mar 20182 monthsAug 20185 months7 months-1.67%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Feb 20091 year 1 monthJul 20095 months1 year 6 months-10.39%
2May 2013Jun 20132 monthsJan 20147 months9 months-3.30%
3Jun 2011Nov 20116 monthsJan 20122 months8 months-1.86%
4Jun 2015Sep 20154 monthsMar 20166 months10 months-1.44%
5Dec 2014Dec 20141 monthFeb 20152 months3 months-1.18%
6Aug 2019Aug 20191 monthOct 20192 months3 months-1.11%
7Jan 2018May 20185 monthsDec 20187 months1 year-0.75%
8Nov 2010Nov 20101 monthJan 20112 months3 months-0.59%
9May 2010May 20101 monthJun 20101 month2 months-0.56%
10Sep 2014Sep 20141 monthOct 20141 month2 months-0.51%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWEHXVanguard High-Yield Corporate Inv6.68%8.50%39.09%-21.29%-28.27%0.731.060.71
PIMIXPIMCO Income Instl8.32%4.40%22.17%-5.47%-10.39%1.693.160.53

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWEHXPIMIXPortfolio 1Portfolio 2
VWEHXVanguard High-Yield Corporate Inv1.000.721.000.72
PIMIXPIMCO Income Instl0.721.000.721.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VWEHXVanguard High-Yield Corporate Inv$11,730
PIMIXPIMCO Income Instl$16,095

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VWEHXVanguard High-Yield Corporate Inv100.00%
PIMIXPIMCO Income Instl100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.54%39.09%-21.29%8.61%22.17%-5.47%
3 years7.74%18.76%2.54%9.32%16.11%4.86%
5 years7.32%14.89%3.55%9.14%14.36%5.49%
7 years7.16%10.91%5.17%8.97%11.57%5.75%
10 years7.66%9.08%6.82%9.25%9.83%8.76%
Result statistics are based on annualized rolling returns over full calendar year periods