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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Portfolio Analysis Results (Jan 2012 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IDU iShares US Utilities ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPLV Invesco S&P 500 Low Volatility ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,680 11.38% 12.04%27.33%-4.83%-12.68% 0.901.440.22
Portfolio 2$10,000$27,211 13.33% 9.06%27.63%-0.18%-6.79% 1.362.500.74
   
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
YearInflationReturnBalanceiShares US Utilities ETF (IDU)Invesco S&P 500 Low Volatility ETF (SPLV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20121.74%1.15%10.08%$10,115$11,0081.15%10.08%
20131.50%14.78%23.15%$11,610$13,55714.78%23.15%
20140.76%27.33%17.28%$14,782$15,90027.33%17.28%
20150.73%-4.83%4.00%$14,069$16,537-4.83%4.00%
20162.07%16.46%10.09%$16,384$18,20516.46%10.09%
20172.11%11.95%17.33%$18,342$21,35911.95%17.33%
20181.91%3.95%-0.18%$19,067$21,3203.95%-0.18%
20192.29%24.20%27.63%$23,680$27,21124.20%27.63%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares US Utilities ETF (IDU)Invesco S&P 500 Low Volatility ETF (SPLV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20121-3.33%-0.55%$9,667$9,945-3.33%-0.55%
201220.61%1.82%$9,726$10,1260.61%1.82%
201231.22%2.87%$9,845$10,4171.22%2.87%
201241.60%1.07%$10,002$10,5281.60%1.07%
20125-0.09%-1.54%$9,993$10,365-0.09%-1.54%
201263.84%4.17%$10,377$10,7973.84%4.17%
201272.90%2.03%$10,677$11,0162.90%2.03%
20128-3.95%-0.86%$10,256$10,921-3.95%-0.86%
201291.45%1.70%$10,405$11,1071.45%1.70%
2012101.11%0.01%$10,520$11,1071.11%0.01%
201211-3.85%-0.20%$10,115$11,085-3.85%-0.20%
201212-0.00%-0.69%$10,115$11,008-0.00%-0.69%
201315.08%4.86%$10,629$11,5435.08%4.86%
201322.31%2.83%$10,875$11,8702.31%2.83%
201335.48%4.89%$11,471$12,4505.48%4.89%
201345.59%3.77%$12,113$12,9205.59%3.77%
20135-8.05%-3.61%$11,138$12,454-8.05%-3.61%
201361.17%0.78%$11,268$12,5511.17%0.78%
201374.28%4.19%$11,751$13,0774.28%4.19%
20138-5.30%-5.04%$11,128$12,418-5.30%-5.04%
201391.36%2.04%$11,279$12,6711.36%2.04%
2013103.86%4.64%$11,714$13,2603.86%4.64%
201311-2.08%1.11%$11,470$13,406-2.08%1.11%
2013121.22%1.13%$11,610$13,5571.22%1.13%
201412.72%-2.57%$11,926$13,2092.72%-2.57%
201423.23%3.79%$12,311$13,7103.23%3.79%
201433.36%2.13%$12,725$14,0023.36%2.13%
201443.87%1.85%$13,217$14,2613.87%1.85%
20145-0.71%1.07%$13,123$14,414-0.71%1.07%
201464.41%2.21%$13,703$14,7324.41%2.21%
20147-7.05%-4.00%$12,737$14,143-7.05%-4.00%
201485.24%3.85%$13,404$14,6885.24%3.85%
20149-2.60%-0.86%$13,055$14,561-2.60%-0.86%
2014108.43%4.89%$14,155$15,2738.43%4.89%
2014111.01%2.89%$14,298$15,7131.01%2.89%
2014123.39%1.19%$14,782$15,9003.39%1.19%
201512.19%-0.57%$15,106$15,8102.19%-0.57%
20152-6.00%1.46%$14,200$16,041-6.00%1.46%
20153-0.83%-0.35%$14,082$15,985-0.83%-0.35%
20154-0.63%-2.04%$13,994$15,659-0.63%-2.04%
201550.40%0.94%$14,049$15,8060.40%0.94%
20156-6.10%-1.71%$13,193$15,536-6.10%-1.71%
201575.74%4.29%$13,950$16,2025.74%4.29%
20158-3.53%-5.01%$13,458$15,390-3.53%-5.01%
201592.87%-0.37%$13,843$15,3342.87%-0.37%
2015101.71%6.88%$14,081$16,3881.71%6.88%
201511-1.98%1.07%$13,802$16,563-1.98%1.07%
2015121.93%-0.16%$14,069$16,5371.93%-0.16%
201614.87%-1.75%$14,754$16,2474.87%-1.75%
201621.75%0.99%$15,012$16,4071.75%0.99%
201638.19%5.99%$16,242$17,3908.19%5.99%
20164-2.10%-0.80%$15,900$17,251-2.10%-0.80%
201651.57%1.68%$16,150$17,5411.57%1.68%
201667.50%5.74%$17,362$18,5487.50%5.74%
20167-0.96%0.22%$17,195$18,590-0.96%0.22%
20168-5.55%-1.91%$16,240$18,235-5.55%-1.91%
201690.54%-0.89%$16,328$18,0730.54%-0.89%
2016100.82%-2.32%$16,461$17,6530.82%-2.32%
201611-4.95%0.53%$15,646$17,745-4.95%0.53%
2016124.72%2.59%$16,384$18,2054.72%2.59%
201711.26%0.76%$16,591$18,3431.26%0.76%
201724.93%4.35%$17,409$19,1424.93%4.35%
20173-0.06%-0.03%$17,399$19,136-0.06%-0.03%
201740.65%1.04%$17,512$19,3350.65%1.04%
201754.09%2.73%$18,229$19,8624.09%2.73%
20176-2.66%-0.31%$17,745$19,801-2.66%-0.31%
201772.57%1.37%$18,201$20,0722.57%1.37%
201783.07%0.76%$18,759$20,2253.07%0.76%
20179-2.63%0.78%$18,266$20,382-2.63%0.78%
2017103.99%1.80%$18,995$20,7493.99%1.80%
2017112.76%3.88%$19,518$21,5542.76%3.88%
201712-6.03%-0.90%$18,342$21,359-6.03%-0.90%
20181-3.18%2.44%$17,760$21,881-3.18%2.44%
20182-4.03%-4.33%$17,043$20,934-4.03%-4.33%
201834.04%0.89%$17,732$21,1204.04%0.89%
201842.33%-0.61%$18,146$20,9912.33%-0.61%
20185-0.57%0.65%$18,043$21,128-0.57%0.65%
201862.51%1.45%$18,495$21,4342.51%1.45%
201871.68%3.54%$18,807$22,1931.68%3.54%
201881.14%1.77%$19,021$22,5861.14%1.77%
20189-0.45%-0.36%$18,936$22,505-0.45%-0.36%
2018101.26%-2.91%$19,175$21,8501.26%-2.91%
2018113.65%4.68%$19,874$22,8733.65%4.68%
201812-4.06%-6.79%$19,067$21,320-4.06%-6.79%
201913.58%6.66%$19,749$22,7403.58%6.66%
201923.89%4.02%$20,517$23,6543.89%4.02%
201932.76%2.09%$21,084$24,1492.76%2.09%
201940.90%2.34%$21,273$24,7150.90%2.34%
20195-0.98%-0.97%$21,064$24,475-0.98%-0.97%
201963.23%3.70%$21,744$25,3823.23%3.70%
20197-0.23%1.13%$21,693$25,668-0.23%1.13%
201984.77%2.35%$22,729$26,2714.77%2.35%
201994.04%2.23%$23,646$26,8564.04%2.23%
201910-0.89%-0.39%$23,436$26,751-0.89%-0.39%
201911-2.03%-0.01%$22,961$26,749-2.03%-0.01%
2019123.13%1.73%$23,680$27,2113.13%1.73%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IDUiShares US Utilities ETFUtilities100.00%0.42%20.82$13,680100.00%

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
SPLVInvesco S&P 500 Low Volatility ETFLarge Blend100.00%0.25%23.57$17,211100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/12/2020. (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)0.96%1.08%
Arithmetic Mean (annualized)12.17%13.78%
Geometric Mean (monthly)0.90%1.05%
Geometric Mean (annualized)11.38%13.33%
Volatility (monthly)3.48%2.62%
Volatility (annualized)12.04%9.06%
Downside Deviation (monthly)2.16%1.40%
Max. Drawdown-12.68%-6.79%
US Market Correlation0.220.74
Beta(*)0.230.59
Alpha (annualized)8.26%4.54%
R24.66%54.37%
Sharpe Ratio0.901.36
Sortino Ratio1.442.50
Treynor Ratio (%)47.1020.74
Calmar Ratio1.032.11
Active Return-3.09%-1.14%
Tracking Error14.60%7.64%
Information Ratio-0.21-0.15
Skewness-0.47-0.33
Excess Kurtosis-0.130.41
Historical Value-at-Risk (5%)-6.00%-4.05%
Analytical Value-at-Risk (5%)-4.75%-3.22%
Conditional Value-at-Risk (5%)-6.80%-5.29%
Upside Capture Ratio (%)44.4470.51
Downside Capture Ratio (%)2.0346.36
Safe Withdrawal Rate17.67%19.94%
Perpetual Withdrawal Rate8.74%10.32%
Positive Periods62 out of 96 (64.58%)63 out of 96 (65.63%)
Gain/Loss Ratio1.071.51
* 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
1Dec 2017Feb 20183 monthsNov 20189 months1 year-12.68%
2Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-12.67%
3Jul 2016Nov 20165 monthsFeb 20173 months8 months-9.88%
4May 2013Aug 20134 monthsFeb 20146 months10 months-8.13%
5Jul 2014Jul 20141 monthOct 20143 months4 months-7.05%
6Aug 2012Dec 20125 monthsFeb 20132 months7 months-5.27%
7Dec 2018Dec 20181 monthFeb 20192 months3 months-4.06%
8Jan 2012Jan 20121 monthApr 20123 months4 months-3.33%
9Oct 2019Nov 20192 monthsDec 20191 month3 months-2.90%
10Jun 2017Jun 20171 monthAug 20172 months3 months-2.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2018Dec 20181 monthFeb 20192 months3 months-6.79%
2Aug 2015Sep 20152 monthsOct 20151 month3 months-5.36%
3Aug 2016Oct 20163 monthsFeb 20174 months7 months-5.04%
4Aug 2013Aug 20131 monthOct 20132 months3 months-5.04%
5Feb 2018Feb 20181 monthJul 20185 months6 months-4.33%
6Jul 2014Jul 20141 monthOct 20143 months4 months-4.00%
7May 2013May 20131 monthJul 20132 months3 months-3.61%
8Sep 2018Oct 20182 monthsNov 20181 month3 months-3.26%
9Mar 2015Jun 20154 monthsJul 20151 month5 months-3.15%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.57%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IDUiShares US Utilities ETF11.38%12.04%27.33%-4.83%-12.68%0.901.440.22
SPLVInvesco S&P 500 Low Volatility ETF13.33%9.06%27.63%-0.18%-6.79%1.362.500.74

Monthly Correlations

Correlations for the portfolio assets
TickerNameIDUSPLVPortfolio 1Portfolio 2
IDUiShares US Utilities ETF1.000.711.000.71
SPLVInvesco S&P 500 Low Volatility ETF0.711.000.711.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IDUiShares US Utilities ETF$13,680
SPLVInvesco S&P 500 Low Volatility ETF$17,211

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
IDUiShares US Utilities ETF100.00%
SPLVInvesco S&P 500 Low Volatility ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.87%27.33%-4.83%13.67%27.63%-0.18%
3 years11.48%13.91%7.46%12.51%16.72%8.84%
5 years10.83%12.64%9.88%11.93%14.18%9.48%
7 years11.29%12.92%9.66%12.61%13.80%11.42%
Result statistics are based on annualized rolling returns over full calendar year periods