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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2008 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBIAX Vanguard Balanced Index Adm 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
PFF iShares Preferred&Income Securities ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,574 7.41% 9.32%21.79%-22.12%-30.94% 0.751.100.99
Portfolio 2$10,000$19,833 5.87% 17.37%38.67%-23.94%-54.40% 0.380.550.53
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 15.36%21.79%10.45%8.05%9.68%7.41%
Portfolio 21.90%15.92%6.12%4.77%6.52%5.87%
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 Balanced Index Adm (VBIAX)iShares Preferred&Income Securities ETF (PFF)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20080.09%-22.12%-23.94%$7,788$7,606-22.12%-23.94%
20092.72%20.11%38.67%$9,354$10,54720.11%38.67%
20101.50%13.29%13.81%$10,597$12,00413.29%13.81%
20112.96%4.29%-2.00%$11,051$11,7644.29%-2.00%
20121.74%11.49%18.20%$12,321$13,90611.49%18.20%
20131.50%18.10%-0.98%$14,550$13,76918.10%-0.98%
20140.76%9.99%14.11%$16,004$15,7119.99%14.11%
20150.73%0.51%4.27%$16,085$16,3820.51%4.27%
20162.07%8.77%1.30%$17,495$16,5968.77%1.30%
20172.11%13.89%8.10%$19,926$17,93913.89%8.10%
20181.91%-2.86%-4.63%$19,357$17,109-2.86%-4.63%
20192.29%21.79%15.92%$23,574$19,83321.79%15.92%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Balanced Index Adm (VBIAX)iShares Preferred&Income Securities ETF (PFF)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-2.95%9.73%$9,705$10,973-2.95%9.73%
20082-1.78%-0.11%$9,532$10,961-1.78%-0.11%
20083-0.17%-5.70%$9,516$10,337-0.17%-5.70%
200842.83%6.32%$9,786$10,9902.83%6.32%
200850.98%-0.37%$9,882$10,9490.98%-0.37%
20086-4.96%-9.47%$9,392$9,913-4.96%-9.47%
20087-0.44%-4.61%$9,351$9,455-0.44%-4.61%
200881.23%0.13%$9,466$9,4681.23%0.13%
20089-5.97%-24.65%$8,901$7,134-5.97%-24.65%
200810-11.59%4.31%$7,869$7,441-11.59%4.31%
200811-3.42%-7.82%$7,600$6,859-3.42%-7.82%
2008122.47%10.89%$7,788$7,6062.47%10.89%
20091-5.24%-11.67%$7,379$6,718-5.24%-11.67%
20092-6.42%-25.40%$6,906$5,012-6.42%-25.40%
200936.06%20.81%$7,324$6,0556.06%20.81%
200946.40%18.43%$7,792$7,1716.40%18.43%
200953.58%19.13%$8,071$8,5433.58%19.13%
200960.52%2.97%$8,114$8,7970.52%2.97%
200975.28%11.85%$8,542$9,8395.28%11.85%
200982.62%-1.90%$8,766$9,6522.62%-1.90%
200993.01%5.19%$9,030$10,1533.01%5.19%
200910-1.33%-3.47%$8,910$9,801-1.33%-3.47%
2009113.88%1.50%$9,255$9,9483.88%1.50%
2009121.06%6.02%$9,354$10,5471.06%6.02%
20101-1.45%0.98%$9,218$10,651-1.45%0.98%
201022.10%3.68%$9,412$11,0432.10%3.68%
201033.73%1.79%$9,763$11,2403.73%1.79%
201041.74%0.05%$9,933$11,2461.74%0.05%
20105-4.45%-4.34%$9,490$10,757-4.45%-4.34%
20106-2.71%1.88%$9,233$10,959-2.71%1.88%
201074.50%6.89%$9,648$11,7154.50%6.89%
20108-2.28%2.30%$9,428$11,984-2.28%2.30%
201095.57%0.37%$9,954$12,0285.57%0.37%
2010102.52%0.15%$10,205$12,0462.52%0.15%
2010110.14%-0.62%$10,220$11,9720.14%-0.62%
2010123.69%0.27%$10,597$12,0043.69%0.27%
201111.36%0.72%$10,741$12,0911.36%0.72%
201122.26%1.65%$10,983$12,2902.26%1.65%
201130.27%0.97%$11,013$12,4080.27%0.97%
201142.35%1.58%$11,272$12,6052.35%1.58%
20115-0.18%0.60%$11,252$12,680-0.18%0.60%
20116-1.18%-0.55%$11,120$12,610-1.18%-0.55%
20117-0.72%-1.89%$11,039$12,373-0.72%-1.89%
20118-2.77%-1.87%$10,734$12,141-2.77%-1.87%
20119-4.40%-5.20%$10,261$11,510-4.40%-5.20%
2011106.98%5.38%$10,977$12,1296.98%5.38%
201111-0.28%-3.13%$10,947$11,750-0.28%-3.13%
2011120.95%0.12%$11,051$11,7640.95%0.12%
201213.40%7.07%$11,427$12,5973.40%7.07%
201222.53%3.04%$11,716$12,9802.53%3.04%
201231.60%0.18%$11,903$13,0031.60%0.18%
201240.09%0.22%$11,913$13,0320.09%0.22%
20125-3.38%-1.17%$11,511$12,880-3.38%-1.17%
201262.36%2.42%$11,782$13,1922.36%2.42%
201271.17%1.50%$11,921$13,3901.17%1.50%
201281.55%1.48%$12,105$13,5881.55%1.48%
201291.59%0.73%$12,297$13,6881.59%0.73%
201210-1.01%1.01%$12,174$13,827-1.01%1.01%
2012110.55%0.18%$12,241$13,8510.55%0.18%
2012120.65%0.39%$12,321$13,9060.65%0.39%
201313.03%1.34%$12,694$14,0923.03%1.34%
201320.98%0.53%$12,819$14,1660.98%0.53%
201332.40%1.12%$13,126$14,3252.40%1.12%
201341.43%1.05%$13,313$14,4761.43%1.05%
201350.70%-0.66%$13,407$14,3810.70%-0.66%
20136-1.38%-2.20%$13,222$14,064-1.38%-2.20%
201373.33%-0.54%$13,662$13,9883.33%-0.54%
20138-1.92%-2.19%$13,400$13,682-1.92%-2.19%
201392.56%0.68%$13,744$13,7762.56%0.68%
2013102.87%0.93%$14,138$13,9032.87%0.93%
2013111.56%0.32%$14,359$13,9481.56%0.32%
2013121.33%-1.29%$14,550$13,7691.33%-1.29%
20141-1.24%2.96%$14,371$14,176-1.24%2.96%
201423.02%2.28%$14,804$14,5003.02%2.28%
201430.24%1.75%$14,840$14,7530.24%1.75%
201440.36%1.84%$14,893$15,0240.36%1.84%
201451.75%1.25%$15,153$15,2111.75%1.25%
201461.56%0.61%$15,390$15,3051.56%0.61%
20147-1.28%-0.50%$15,193$15,229-1.28%-0.50%
201482.95%1.79%$15,641$15,5012.95%1.79%
20149-1.54%-0.82%$15,400$15,373-1.54%-0.82%
2014102.09%1.07%$15,722$15,5372.09%1.07%
2014111.77%1.24%$16,001$15,7291.77%1.24%
2014120.02%-0.12%$16,004$15,7110.02%-0.12%
20151-0.74%1.32%$15,886$15,918-0.74%1.32%
201522.92%0.97%$16,349$16,0732.92%0.97%
20153-0.41%0.30%$16,282$16,121-0.41%0.30%
201540.10%0.02%$16,299$16,1240.10%0.02%
201550.66%-0.01%$16,407$16,1220.66%-0.01%
20156-1.42%-1.01%$16,175$15,959-1.42%-1.01%
201571.31%1.36%$16,387$16,1771.31%1.36%
20158-3.69%-0.75%$15,783$16,055-3.69%-0.75%
20159-1.45%-0.69%$15,555$15,945-1.45%-0.69%
2015104.64%2.16%$16,277$16,2904.64%2.16%
2015110.20%0.67%$16,310$16,3990.20%0.67%
201512-1.38%-0.10%$16,085$16,382-1.38%-0.10%
20161-2.81%-0.98%$15,634$16,222-2.81%-0.98%
201620.28%0.06%$15,678$16,2320.28%0.06%
201634.63%2.38%$16,403$16,6184.63%2.38%
201640.54%0.88%$16,492$16,7650.54%0.88%
201651.07%1.54%$16,669$17,0241.07%1.54%
201660.93%1.18%$16,824$17,2250.93%1.18%
201672.64%1.39%$17,269$17,4652.64%1.39%
201680.10%0.02%$17,285$17,4690.10%0.02%
201690.07%-1.07%$17,297$17,2820.07%-1.07%
201610-1.68%-0.97%$17,007$17,114-1.68%-0.97%
2016111.64%-3.33%$17,286$16,5441.64%-3.33%
2016121.21%0.31%$17,495$16,5961.21%0.31%
201711.25%2.39%$17,715$16,9921.25%2.39%
201722.51%2.09%$18,159$17,3472.51%2.09%
201730.02%0.50%$18,163$17,4330.02%0.50%
201740.96%1.30%$18,338$17,6600.96%1.30%
201750.89%0.55%$18,502$17,7570.89%0.55%
201760.55%0.80%$18,605$17,8990.55%0.80%
201771.28%0.66%$18,843$18,0181.28%0.66%
201780.45%-0.06%$18,928$18,0070.45%-0.06%
201791.26%-0.16%$19,167$17,9781.26%-0.16%
2017101.34%-0.37%$19,424$17,9111.34%-0.37%
2017111.76%0.68%$19,766$18,0331.76%0.68%
2017120.81%-0.52%$19,926$17,9390.81%-0.52%
201812.74%-1.18%$20,471$17,7272.74%-1.18%
20182-2.61%0.27%$19,937$17,775-2.61%0.27%
20183-0.93%0.54%$19,751$17,871-0.93%0.54%
20184-0.09%-0.70%$19,734$17,745-0.09%-0.70%
201851.96%0.81%$20,121$17,8891.96%0.81%
201860.40%1.76%$20,201$18,2040.40%1.76%
201872.01%0.19%$20,607$18,2392.01%0.19%
201882.34%1.41%$21,088$18,4962.34%1.41%
20189-0.13%-1.71%$21,061$18,179-0.13%-1.71%
201810-4.73%-2.24%$20,063$17,771-4.73%-2.24%
2018111.45%-2.23%$20,355$17,3741.45%-2.23%
201812-4.90%-1.53%$19,357$17,109-4.90%-1.53%
201915.58%5.64%$20,437$18,0735.58%5.64%
201922.10%0.58%$20,865$18,1792.10%0.58%
201931.65%1.46%$21,209$18,4441.65%1.46%
201942.39%0.68%$21,717$18,5712.39%0.68%
20195-3.21%0.25%$21,020$18,617-3.21%0.25%
201964.67%1.31%$22,001$18,8624.67%1.31%
201970.97%1.80%$22,214$19,2010.97%1.80%
20198-0.11%0.60%$22,191$19,317-0.11%0.60%
201990.83%0.75%$22,375$19,4620.83%0.75%
2019101.39%0.43%$22,685$19,5451.39%0.43%
2019112.24%-0.44%$23,192$19,4592.24%-0.44%
2019121.65%1.92%$23,574$19,8331.65%1.92%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value21.68%
Large-cap Growth28.09%
Mid-cap Value4.67%
Mid-cap Growth4.64%
Small-cap Value0.00%
Small-cap Growth1.74%
Global ex-US Developed Markets0.00%
Emerging Markets1.14%
Corporate Bonds4.98%
Long-Term Treasuries0.85%
Intermediate-Term Treasuries12.34%
Short-Term Treasuries19.85%
R Squared99.71%
Style analysis is based on monthly returns from Jan 2008 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VBIAXVanguard Balanced Index Adm50% to 70% Equity100.00%0.07%26.576.59$13,574100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
PFFiShares Preferred&Income Securities ETFPreferred Stock100.00%0.46%$9,833100.00%

Asset Allocation

Equity Sectors

Fund fundamentals data as of 09/29/2020. (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)0.63%0.61%
Arithmetic Mean (annualized)7.87%7.52%
Geometric Mean (monthly)0.60%0.48%
Geometric Mean (annualized)7.41%5.87%
Volatility (monthly)2.69%5.01%
Volatility (annualized)9.32%17.37%
Downside Deviation (monthly)1.81%3.46%
Max. Drawdown-30.94%-54.40%
US Market Correlation0.990.53
Beta(*)0.600.60
Alpha (annualized)1.69%1.34%
R297.91%28.39%
Sharpe Ratio0.750.38
Sortino Ratio1.100.55
Treynor Ratio (%)11.7111.11
Calmar Ratio1.270.82
Active Return-1.63%-3.16%
Tracking Error6.35%15.94%
Information Ratio-0.26-0.20
Skewness-0.91-0.75
Excess Kurtosis2.6812.32
Historical Value-at-Risk (5%)-4.66%-5.05%
Analytical Value-at-Risk (5%)-3.79%-7.64%
Conditional Value-at-Risk (5%)-6.26%-12.84%
Upside Capture Ratio (%)61.3455.40
Downside Capture Ratio (%)56.7256.60
Safe Withdrawal Rate10.23%10.28%
Perpetual Withdrawal Rate5.32%3.95%
Positive Periods100 out of 144 (69.44%)97 out of 144 (67.36%)
Gain/Loss Ratio0.820.78
* 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
1Jan 2008Feb 20091 year 2 monthsOct 20101 year 8 months2 years 10 months-30.94%
2May 2011Sep 20115 monthsJan 20124 months9 months-8.96%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-8.21%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-5.20%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
6May 2012May 20121 monthJul 20122 months3 months-3.38%
7May 2019May 20191 monthJun 20191 month2 months-3.21%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.92%
9Oct 2016Oct 20161 monthDec 20162 months3 months-1.68%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.54%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Feb 200910 monthsFeb 20101 year1 year 10 months-54.40%
2Jun 2011Sep 20114 monthsFeb 20125 months9 months-9.23%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-7.50%
4Feb 2008Mar 20082 monthsApr 20081 month3 months-5.80%
5May 2013Aug 20134 monthsFeb 20146 months10 months-5.48%
6Sep 2016Nov 20163 monthsApr 20175 months8 months-5.30%
7May 2010May 20101 monthJul 20102 months3 months-4.34%
8Dec 2017Jan 20182 monthsJun 20185 months7 months-1.70%
9Aug 2015Sep 20152 monthsOct 20151 month3 months-1.43%
10May 2012May 20121 monthJun 20121 month2 months-1.17%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBIAXVanguard Balanced Index Adm7.41%9.32%21.79%-22.12%-30.94%0.751.100.99
PFFiShares Preferred&Income Securities ETF5.87%17.37%38.67%-23.94%-54.40%0.380.550.53

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBIAXPFFPortfolio 1Portfolio 2
VBIAXVanguard Balanced Index Adm1.000.571.000.57
PFFiShares Preferred&Income Securities ETF0.571.000.571.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBIAXVanguard Balanced Index Adm$13,574
PFFiShares Preferred&Income Securities ETF$9,833

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBIAXVanguard Balanced Index Adm100.00%
PFFiShares Preferred&Income Securities ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.10%21.79%-22.12%6.90%38.67%-23.94%
3 years8.83%13.14%1.95%7.05%15.65%1.46%
5 years8.91%13.32%4.26%6.96%12.60%4.44%
7 years9.12%10.92%6.95%6.92%11.58%5.20%
10 years8.79%9.68%7.14%6.99%8.44%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods