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 2011 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PSTKX PIMCO StocksPLUS Instl 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$32,285 13.91% 12.30%32.90%-5.68%-18.60% 1.081.760.99
Portfolio 2$10,000$30,846 13.33% 11.55%32.39%-4.50%-16.18% 1.091.801.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 19.30%32.77%15.30%11.55%13.91%12.45%12.46%
Portfolio 29.04%31.35%15.17%11.66%13.33%11.98%11.91%
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
YearInflationPortfolio 1Portfolio 2PIMCO StocksPLUS Instl (PSTKX)Vanguard S&P 500 ETF (VOO)
ReturnBalanceReturnBalance
20112.96%1.67%$10,1671.89%$10,1891.67%1.89%
20121.74%21.07%$12,30916.00%$11,82021.07%16.00%
20131.50%32.90%$16,35832.39%$15,64932.90%32.39%
20140.76%14.26%$18,69213.55%$17,76914.26%13.55%
20150.73%0.16%$18,7211.31%$18,0020.16%1.31%
20162.07%12.50%$21,06012.17%$20,19412.50%12.17%
20172.11%22.42%$25,78221.77%$24,59022.42%21.77%
20181.91%-5.68%$24,317-4.50%$23,483-5.68%-4.50%
20192.29%32.77%$32,28531.35%$30,84632.77%31.35%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2PIMCO StocksPLUS Instl (PSTKX)Vanguard S&P 500 ETF (VOO)
ReturnBalanceReturnBalance
201112.62%$10,2622.22%$10,2222.62%2.22%
201123.94%$10,6673.47%$10,5773.94%3.47%
201130.27%$10,6960.00%$10,5770.27%0.00%
201143.58%$11,0792.94%$10,8873.58%2.94%
20115-1.19%$10,947-1.17%$10,760-1.19%-1.17%
20116-1.80%$10,750-1.68%$10,580-1.80%-1.68%
20117-2.03%$10,532-2.06%$10,362-2.03%-2.06%
20118-6.32%$9,866-5.52%$9,791-6.32%-5.52%
20119-8.60%$9,018-6.79%$9,126-8.60%-6.79%
20111011.77%$10,08010.74%$10,10611.77%10.74%
201111-0.61%$10,019-0.30%$10,076-0.61%-0.30%
2011121.48%$10,1671.12%$10,1891.48%1.12%
201215.61%$10,7374.47%$10,6455.61%4.47%
201224.44%$11,2144.28%$11,1014.44%4.28%
201233.50%$11,6063.30%$11,4673.50%3.30%
20124-0.23%$11,580-0.64%$11,394-0.23%-0.64%
20125-6.13%$10,870-6.00%$10,710-6.13%-6.00%
201264.61%$11,3714.14%$11,1544.61%4.14%
201272.14%$11,6141.20%$11,2882.14%1.20%
201282.56%$11,9112.51%$11,5712.56%2.51%
201293.08%$12,2782.55%$11,8663.08%2.55%
201210-1.67%$12,073-1.96%$11,634-1.67%-1.96%
2012110.79%$12,1690.57%$11,7010.79%0.57%
2012121.15%$12,3091.02%$11,8201.15%1.02%
201315.28%$12,9585.17%$12,4315.28%5.17%
201321.59%$13,1651.33%$12,5961.59%1.33%
201333.78%$13,6633.61%$13,0503.78%3.61%
201342.28%$13,9752.09%$13,3232.28%2.09%
201352.02%$14,2572.32%$13,6332.02%2.32%
20136-1.87%$13,990-1.50%$13,428-1.87%-1.50%
201375.17%$14,7135.30%$14,1415.17%5.30%
20138-3.17%$14,246-3.08%$13,705-3.17%-3.08%
201393.83%$14,7923.39%$14,1703.83%3.39%
2013104.85%$15,5094.47%$14,8034.85%4.47%
2013113.24%$16,0123.00%$15,2463.24%3.00%
2013122.16%$16,3582.64%$15,6492.16%2.64%
20141-3.06%$15,857-3.53%$15,096-3.06%-3.53%
201424.85%$16,6264.57%$15,7854.85%4.57%
201430.75%$16,7500.88%$15,9250.75%0.88%
201440.80%$16,8840.72%$16,0400.80%0.72%
201452.39%$17,2872.29%$16,4082.39%2.29%
201461.94%$17,6222.09%$16,7511.94%2.09%
20147-1.33%$17,387-1.38%$16,520-1.33%-1.38%
201484.06%$18,0923.97%$17,1764.06%3.97%
20149-1.31%$17,855-1.38%$16,940-1.31%-1.38%
2014102.26%$18,2592.40%$17,3472.26%2.40%
2014112.76%$18,7632.76%$17,8252.76%2.76%
201412-0.38%$18,692-0.32%$17,769-0.38%-0.32%
20151-2.76%$18,175-2.87%$17,259-2.76%-2.87%
201526.01%$19,2685.58%$18,2216.01%5.58%
20153-1.44%$18,990-1.57%$17,935-1.44%-1.57%
201540.84%$19,1491.00%$18,1160.84%1.00%
201551.24%$19,3871.25%$18,3421.24%1.25%
20156-2.07%$18,985-1.95%$17,984-2.07%-1.95%
201572.10%$19,3852.18%$18,3762.10%2.18%
20158-6.69%$18,087-6.14%$17,248-6.69%-6.14%
20159-3.12%$17,522-2.47%$16,822-3.12%-2.47%
2015108.39%$18,9938.45%$18,2448.39%8.45%
2015110.21%$19,0330.43%$18,3220.21%0.43%
201512-1.64%$18,721-1.74%$18,002-1.64%-1.74%
20161-5.52%$17,687-4.91%$17,118-5.52%-4.91%
20162-0.62%$17,577-0.21%$17,083-0.62%-0.21%
201637.40%$18,8786.87%$18,2577.40%6.87%
201640.70%$19,0110.35%$18,3210.70%0.35%
201651.97%$19,3861.75%$18,6421.97%1.75%
201660.11%$19,4080.32%$18,7020.11%0.32%
201674.10%$20,2033.68%$19,3914.10%3.68%
201680.22%$20,2470.12%$19,4140.22%0.12%
201690.14%$20,2760.04%$19,4210.14%0.04%
201610-1.75%$19,922-1.79%$19,073-1.75%-1.79%
2016113.67%$20,6533.73%$19,7843.67%3.73%
2016121.97%$21,0602.07%$20,1941.97%2.07%
201712.11%$21,5051.78%$20,5542.11%1.78%
201724.03%$22,3723.88%$21,3504.03%3.88%
201730.10%$22,3950.13%$21,3780.10%0.13%
201741.00%$22,6181.04%$21,6011.00%1.04%
201751.48%$22,9531.40%$21,9041.48%1.40%
201760.58%$23,0870.63%$22,0420.58%0.63%
201772.14%$23,5802.06%$22,4962.14%2.06%
201780.29%$23,6470.29%$22,5620.29%0.29%
201792.13%$24,1522.04%$23,0232.13%2.04%
2017102.42%$24,7362.33%$23,5582.42%2.33%
2017113.00%$25,4773.06%$24,2793.00%3.06%
2017121.20%$25,7821.28%$24,5901.20%1.28%
201815.77%$27,2715.59%$25,9645.77%5.59%
20182-3.80%$26,234-3.73%$24,996-3.80%-3.73%
20183-2.81%$25,497-2.48%$24,376-2.81%-2.48%
201840.36%$25,5870.35%$24,4610.36%0.35%
201852.40%$26,2002.42%$25,0522.40%2.42%
201860.52%$26,3380.76%$25,2410.52%0.76%
201873.72%$27,3193.56%$26,1413.72%3.56%
201883.26%$28,2083.22%$26,9823.26%3.22%
201890.64%$28,3890.58%$27,1380.64%0.58%
201810-6.94%$26,419-6.84%$25,283-6.94%-6.84%
2018111.65%$26,8541.89%$25,7591.65%1.89%
201812-9.45%$24,317-8.84%$23,483-9.45%-8.84%
201918.55%$26,3967.92%$25,3438.55%7.92%
201923.27%$27,2593.25%$26,1663.27%3.25%
201932.15%$27,8461.92%$26,6682.15%1.92%
201944.12%$28,9944.03%$27,7444.12%4.03%
20195-6.31%$27,163-6.35%$25,983-6.31%-6.35%
201967.13%$29,1006.99%$27,7997.13%6.99%
201971.44%$29,5181.46%$28,2051.44%1.46%
20198-1.70%$29,017-1.64%$27,742-1.70%-1.64%
201991.80%$29,5381.97%$28,2901.80%1.97%
2019102.22%$30,1932.18%$28,9072.22%2.18%
2019113.58%$31,2763.63%$29,9553.58%3.63%
2019123.23%$32,2852.97%$30,8463.23%2.97%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value40.55%46.22%
Large-cap Growth50.49%52.47%
Mid-cap Value2.51%0.00%
Mid-cap Growth1.70%0.00%
Small-cap Value0.92%0.43%
Small-cap Growth0.00%0.19%
Global ex-US Developed Markets1.76%0.47%
Emerging Markets2.07%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.22%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.11%99.95%
Style analysis is based on monthly returns from January 2011 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
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
PSTKXPIMCO StocksPLUS InstlLarge Blend100.00%0.03%0.56%$22,285100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend100.00%1.43%0.03%27.94$20,846100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 04/14/2021. (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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.15%1.10%
Arithmetic Mean (annualized)14.76%14.08%
Geometric Mean (monthly)1.09%1.05%
Geometric Mean (annualized)13.91%13.33%
Volatility (monthly)3.55%3.33%
Volatility (annualized)12.30%11.55%
Downside Deviation (monthly)2.15%2.00%
Max. Drawdown-18.60%-16.18%
US Market Correlation0.991.00
Beta(*)1.020.96
Alpha (annualized)0.69%0.87%
R298.88%99.17%
Sharpe Ratio1.081.09
Sortino Ratio1.761.80
Treynor Ratio (%)12.9713.16
Calmar Ratio1.071.13
Active Return1.03%0.45%
Tracking Error1.32%1.15%
Information Ratio0.780.39
Skewness-0.44-0.41
Excess Kurtosis1.170.96
Historical Value-at-Risk (5%)-6.25%-5.83%
Analytical Value-at-Risk (5%)-4.68%-4.38%
Conditional Value-at-Risk (5%)-7.39%-6.83%
Upside Capture Ratio (%)105.4899.77
Downside Capture Ratio (%)101.8596.08
Safe Withdrawal Rate18.33%17.70%
Perpetual Withdrawal Rate10.65%10.19%
Positive Periods78 out of 108 (72.22%)78 out of 108 (72.22%)
Gain/Loss Ratio0.880.89
* 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 2011Sep 20115 monthsFeb 20125 months10 months-18.60%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.34%
3Jun 2015Sep 20154 monthsJun 20169 months1 year 1 month-9.62%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.51%
5Apr 2012May 20122 monthsJul 20122 months4 months-6.34%
6May 2019May 20191 monthJun 20191 month2 months-6.31%
7Aug 2013Aug 20131 monthSep 20131 month2 months-3.17%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.13%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.06%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.87%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-16.18%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.47%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.45%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
5May 2019May 20191 monthJun 20191 month2 months-6.35%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.11%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.53%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.18%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.08%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.96%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PSTKXPIMCO StocksPLUS Instl13.91%12.30%32.90%-5.68%-18.60%1.081.760.99
VOOVanguard S&P 500 ETF13.33%11.55%32.39%-4.50%-16.18%1.091.801.00

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSTKXVOOPortfolio 1Portfolio 2
PSTKXPIMCO StocksPLUS Instl1.001.001.001.00
VOOVanguard S&P 500 ETF1.001.001.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PSTKXPIMCO StocksPLUS Instl$22,285
VOOVanguard S&P 500 ETF$20,846

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PSTKXPIMCO StocksPLUS Instl100.00%
VOOVanguard S&P 500 ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year14.06%36.15%-8.78%13.46%32.39%-6.25%
3 years14.03%25.57%8.71%13.61%22.90%8.82%
5 years13.08%17.59%8.25%12.79%16.30%8.46%
7 years14.20%17.80%12.70%13.72%16.85%12.26%