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 Analysis Results (Jan 2013 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPHD Invesco S&P 500 High Div Low Vol ETF 100.00%
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Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 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$23,480 12.97% 10.48%22.36%-6.15%-7.47% 1.152.030.78
Portfolio 2$10,000$25,948 14.59% 11.09%32.31%-4.56%-13.52% 1.222.010.99
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceInvesco S&P 500 High Div Low Vol ETF (SPHD)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20131.50%20.82%32.31%$12,082$13,23120.82%32.31%
20140.76%19.99%13.46%$14,496$15,01219.99%13.46%
20150.73%5.17%1.25%$15,246$15,2005.17%1.25%
20162.07%22.36%12.00%$18,655$17,02422.36%12.00%
20172.11%11.89%21.70%$20,874$20,71811.89%21.70%
20181.91%-6.15%-4.56%$19,591$19,774-6.15%-4.56%
20192.29%19.85%31.22%$23,480$25,94819.85%31.22%
Monthly returns for the configured portfolios
YearMonthReturnBalanceInvesco S&P 500 High Div Low Vol ETF (SPHD)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201315.76%5.12%$10,576$10,5125.76%5.12%
201322.15%1.28%$10,803$10,6462.15%1.28%
201335.01%3.80%$11,344$11,0505.01%3.80%
201344.09%1.92%$11,808$11,2634.09%1.92%
20135-3.06%2.36%$11,447$11,529-3.06%2.36%
201360.06%-1.34%$11,454$11,3750.06%-1.34%
201373.21%5.17%$11,822$11,9623.21%5.17%
20138-4.16%-3.00%$11,331$11,604-4.16%-3.00%
201391.40%3.17%$11,489$11,9711.40%3.17%
2013104.49%4.63%$12,005$12,5254.49%4.63%
201311-0.26%2.96%$11,973$12,897-0.26%2.96%
2013120.90%2.59%$12,082$13,2310.90%2.59%
20141-1.91%-3.52%$11,850$12,764-1.91%-3.52%
201423.60%4.55%$12,277$13,3453.60%4.55%
201433.16%0.83%$12,665$13,4563.16%0.83%
201444.15%0.70%$13,190$13,5504.15%0.70%
201451.56%2.32%$13,396$13,8641.56%2.32%
201461.93%2.06%$13,654$14,1501.93%2.06%
20147-3.71%-1.34%$13,147$13,960-3.71%-1.34%
201483.81%3.95%$13,648$14,5113.81%3.95%
20149-1.44%-1.38%$13,451$14,311-1.44%-1.38%
2014104.89%2.36%$14,110$14,6484.89%2.36%
2014112.22%2.75%$14,423$15,0502.22%2.75%
2014120.51%-0.26%$14,496$15,0120.51%-0.26%
201510.11%-2.96%$14,513$14,5670.11%-2.96%
201521.25%5.62%$14,694$15,3861.25%5.62%
20153-0.37%-1.57%$14,640$15,144-0.37%-1.57%
201540.04%0.98%$14,645$15,2920.04%0.98%
201550.09%1.29%$14,659$15,4890.09%1.29%
20156-3.03%-2.03%$14,214$15,175-3.03%-2.03%
201573.91%2.26%$14,770$15,5183.91%2.26%
20158-3.66%-6.10%$14,229$14,572-3.66%-6.10%
201590.18%-2.54%$14,255$14,2010.18%-2.54%
2015106.00%8.51%$15,110$15,4096.00%8.51%
201511-0.04%0.37%$15,104$15,465-0.04%0.37%
2015120.94%-1.72%$15,246$15,2000.94%-1.72%
20161-0.68%-4.98%$15,142$14,443-0.68%-4.98%
201624.07%-0.08%$15,758$14,4314.07%-0.08%
201638.80%6.72%$17,145$15,4028.80%6.72%
201640.25%0.39%$17,188$15,4620.25%0.39%
20165-0.26%1.70%$17,143$15,725-0.26%1.70%
201663.99%0.35%$17,827$15,7803.99%0.35%
201674.64%3.65%$18,655$16,3564.64%3.65%
20168-1.58%0.12%$18,361$16,375-1.58%0.12%
20169-0.36%0.01%$18,295$16,377-0.36%0.01%
201610-2.78%-1.73%$17,786$16,093-2.78%-1.73%
2016112.55%3.68%$18,239$16,6862.55%3.68%
2016122.28%2.03%$18,655$17,0242.28%2.03%
201711.72%1.79%$18,976$17,3291.72%1.79%
201723.32%3.93%$19,605$18,0093.32%3.93%
20173-0.71%0.13%$19,466$18,032-0.71%0.13%
20174-1.13%0.99%$19,247$18,211-1.13%0.99%
201750.90%1.41%$19,421$18,4680.90%1.41%
201760.34%0.64%$19,487$18,5860.34%0.64%
201770.66%2.06%$19,616$18,9680.66%2.06%
20178-0.42%0.29%$19,534$19,023-0.42%0.29%
201792.44%2.01%$20,011$19,4062.44%2.01%
2017100.73%2.36%$20,157$19,8640.73%2.36%
2017113.69%3.06%$20,901$20,4713.69%3.06%
201712-0.13%1.21%$20,874$20,718-0.13%1.21%
201810.25%5.64%$20,926$21,8860.25%5.64%
20182-6.77%-3.64%$19,510$21,090-6.77%-3.64%
201830.48%-2.74%$19,604$20,5120.48%-2.74%
201840.77%0.52%$19,754$20,6180.77%0.52%
201851.91%2.43%$20,132$21,1191.91%2.43%
201862.41%0.58%$20,616$21,2412.41%0.58%
201871.85%3.70%$20,997$22,0281.85%3.70%
201880.40%3.19%$21,080$22,7310.40%3.19%
20189-0.34%0.59%$21,009$22,866-0.34%0.59%
201810-2.47%-6.91%$20,491$21,286-2.47%-6.91%
2018113.33%1.85%$21,172$21,6813.33%1.85%
201812-7.47%-8.79%$19,591$19,774-7.47%-8.79%
201918.69%8.01%$21,293$21,3578.69%8.01%
201921.79%3.24%$21,675$22,0501.79%3.24%
201931.14%1.81%$21,923$22,4481.14%1.81%
201940.80%4.09%$22,098$23,3650.80%4.09%
20195-6.13%-6.38%$20,743$21,875-6.13%-6.38%
201965.95%6.96%$21,977$23,3985.95%6.96%
201970.00%1.51%$21,977$23,7510.00%1.51%
20198-3.09%-1.67%$21,297$23,354-3.09%-1.67%
201995.61%1.95%$22,492$23,8095.61%1.95%
201910-0.23%2.21%$22,440$24,335-0.23%2.21%
2019111.95%3.62%$22,877$25,2161.95%3.62%
2019122.64%2.90%$23,480$25,9482.64%2.90%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value50.98%46.72%
Large-cap Growth0.00%53.18%
Mid-cap Value7.74%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.07%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
REITs31.70%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.02%
Intermediate-Term Treasuries9.58%0.00%
Short-Term Treasuries0.00%0.00%
R Squared82.95%99.95%
Style analysis is based on monthly returns from Jan 2013 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPHDInvesco S&P 500 High Div Low Vol ETFLarge Value0.30%100.00%$13,480100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%100.00%$15,948100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/06/2020. (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)1.07%1.19%
Arithmetic Mean (annualized)13.57%15.29%
Geometric Mean (monthly)1.02%1.14%
Geometric Mean (annualized)12.97%14.59%
Volatility (monthly)3.03%3.20%
Volatility (annualized)10.48%11.09%
Downside Deviation (monthly)1.68%1.91%
Max. Drawdown-7.47%-13.52%
US Market Correlation0.780.99
Beta(*)0.710.97
Alpha (annualized)2.78%0.73%
R260.30%98.96%
Sharpe Ratio1.151.22
Sortino Ratio2.032.01
Treynor Ratio (%)16.8413.98
Calmar Ratio1.071.12
Active Return-1.25%0.38%
Tracking Error7.36%1.18%
Information Ratio-0.170.32
Skewness-0.21-0.60
Excess Kurtosis0.821.01
Historical Value-at-Risk (5%)-4.05%-5.82%
Analytical Value-at-Risk (5%)-3.91%-4.08%
Conditional Value-at-Risk (5%)-6.13%-7.04%
Upside Capture Ratio (%)77.33100.16
Downside Capture Ratio (%)63.4397.10
Safe Withdrawal Rate23.07%23.54%
Perpetual Withdrawal Rate10.04%11.32%
Positive Periods58 out of 84 (69.05%)63 out of 84 (75.00%)
Gain/Loss Ratio1.160.85
* 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 2018Dec 20181 monthJan 20191 month2 months-7.47%
2Feb 2018Feb 20181 monthJul 20185 months6 months-6.77%
3May 2019May 20191 monthSep 20194 months5 months-6.13%
4Aug 2016Oct 20163 monthsDec 20162 months5 months-4.66%
5Aug 2013Aug 20131 monthOct 20132 months3 months-4.16%
6Jul 2014Jul 20141 monthOct 20143 months4 months-3.71%
7Aug 2015Aug 20151 monthOct 20152 months3 months-3.66%
8Mar 2015Jun 20154 monthsJul 20151 month5 months-3.27%
9May 2013May 20131 monthJul 20132 months3 months-3.06%
10Sep 2018Oct 20182 monthsNov 20181 month3 months-2.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
3May 2019May 20191 monthJun 20191 month2 months-6.38%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
7Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
8Jun 2015Jun 20151 monthJul 20151 month2 months-2.03%
9Oct 2016Oct 20161 monthNov 20161 month2 months-1.73%
10Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPHDInvesco S&P 500 High Div Low Vol ETF12.97%10.48%22.36%-6.15%-7.47%1.152.030.78
SPYSPDR S&P 500 ETF Trust14.59%11.09%32.31%-4.56%-13.52%1.222.010.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPHDSPYPortfolio 1Portfolio 2
SPHDInvesco S&P 500 High Div Low Vol ETF-0.781.000.78
SPYSPDR S&P 500 ETF Trust0.78-0.781.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPHDInvesco S&P 500 High Div Low Vol ETF$13,480
SPYSPDR S&P 500 ETF Trust$15,948

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPHDInvesco S&P 500 High Div Low Vol ETF100.00%
SPYSPDR S&P 500 ETF Trust100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year13.42%22.36%-6.15%15.34%32.31%-4.56%
3 years12.06%15.58%7.97%11.87%15.08%8.77%
5 years12.04%15.86%10.13%11.87%15.68%8.37%
7 years12.97%12.97%12.97%14.59%14.59%14.59%
Result statistics are based on annualized rolling returns over full calendar year periods