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 3
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Asset 4
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Asset 5
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Asset 6
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Portfolio Analysis Results (Jan 2010 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IGLB iShares 10+ Year Invmt Grd Corp Bd ETF 34.00%
PFF iShares Preferred&Income Securities ETF 33.00%
VPU Vanguard Utilities ETF 33.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$950,000$1,434,793 4.21% 7.07%22.22%-2.54%-10.02% 1.182.080.34
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.88%22.22%10.26%7.60%9.02%9.02%5.98%7.19%
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 assume that dividends and distributions are withdrawn as cash rather than being 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationPortfolio 1iShares 10+ Year Invmt Grd Corp Bd ETF (IGLB)iShares Preferred&Income Securities ETF (PFF)Vanguard Utilities ETF (VPU)
ReturnBalanceYieldIncome
20101.50%10.47%$992,9395.73%$54,45210.65%13.81%7.04%
20112.96%11.25%$1,051,5915.12%$50,83416.81%-2.00%18.96%
20121.74%9.84%$1,101,4584.98%$52,31911.06%18.20%1.83%
20131.50%1.73%$1,067,0134.88%$53,720-7.84%-0.98%14.88%
20140.76%19.77%$1,222,6694.91%$52,34816.68%14.11%26.99%
20150.73%-2.54%$1,139,7144.24%$51,846-5.51%4.27%-4.82%
20162.07%10.42%$1,207,9964.46%$50,8219.87%1.30%17.60%
20172.11%11.20%$1,290,2024.30%$51,94912.15%8.10%12.46%
20181.91%-1.38%$1,219,2314.12%$53,208-6.89%-4.63%4.37%
20192.29%22.22%$1,434,7934.30%$52,38123.19%15.92%24.87%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceiShares 10+ Year Invmt Grd Corp Bd ETF (IGLB)iShares Preferred&Income Securities ETF (PFF)Vanguard Utilities ETF (VPU)
20101-0.65%$943,8441.50%0.98%-4.50%
201020.78%$948,010-0.43%3.68%-0.96%
201031.74%$958,6880.56%1.79%3.00%
201041.96%$974,1022.96%0.05%2.99%
20105-3.93%$932,154-1.75%-4.34%-5.86%
201061.79%$942,5184.04%1.88%-0.81%
201075.52%$990,8702.73%6.89%7.33%
201082.55%$1,011,9414.19%2.30%1.03%
201090.93%$1,014,430-0.57%0.37%3.26%
201010-0.19%$1,009,008-1.90%0.15%1.34%
201011-1.08%$994,878-0.31%-0.62%-2.41%
2010120.89%$992,939-0.61%0.27%3.19%
201110.25%$995,392-1.36%0.72%1.45%
201121.48%$1,006,7491.18%1.65%1.63%
201130.57%$1,006,126-0.03%0.97%0.78%
201142.58%$1,028,7232.31%1.58%3.88%
201151.60%$1,041,8652.67%0.60%1.55%
20116-0.54%$1,029,738-0.78%-0.55%-0.28%
201170.56%$1,032,3364.65%-1.89%-1.11%
201180.33%$1,032,4040.95%-1.87%1.80%
20119-1.01%$1,015,9222.16%-5.20%-0.43%
2011104.21%$1,055,5533.51%5.38%3.97%
201111-1.67%$1,034,794-3.04%-3.13%1.06%
2011122.50%$1,051,5913.71%0.12%3.33%
201210.80%$1,060,0500.07%7.07%-3.60%
201221.48%$1,072,7930.96%3.04%0.63%
20123-0.34%$1,062,950-2.33%0.18%1.29%
201241.45%$1,075,1772.28%0.22%1.75%
201250.43%$1,076,8162.09%-1.17%0.17%
201262.58%$1,097,8501.51%2.42%3.87%
201273.15%$1,129,2024.99%1.50%2.75%
20128-0.79%$1,117,0060.12%1.48%-3.69%
201290.75%$1,118,6370.20%0.73%1.38%
2012101.41%$1,131,3271.86%1.01%1.31%
201211-1.37%$1,112,712-0.39%0.18%-3.81%
201212-0.06%$1,101,458-0.62%0.39%0.13%
201310.86%$1,110,976-3.45%1.34%5.19%
201321.47%$1,124,4901.49%0.53%2.31%
201331.93%$1,140,463-0.88%1.12%5.49%
201343.69%$1,179,5964.02%1.05%5.64%
20135-4.95%$1,118,212-5.23%-0.66%-8.20%
20136-2.00%$1,089,159-4.94%-2.20%0.98%
201371.77%$1,105,6171.01%-0.54%4.43%
20138-3.29%$1,066,438-1.99%-2.19%-5.32%
201391.18%$1,072,2851.37%0.68%1.41%
2013102.43%$1,095,6862.09%0.93%3.99%
201311-1.05%$1,081,384-1.15%0.32%-2.06%
2013120.04%$1,067,013-0.03%-1.29%1.18%
201413.06%$1,099,6833.51%2.96%2.75%
201422.63%$1,125,4412.17%2.28%3.32%
201431.95%$1,140,5200.68%1.75%3.23%
201442.75%$1,168,8152.42%1.84%3.75%
201450.84%$1,175,5422.35%1.25%-0.73%
201462.06%$1,193,3040.47%0.61%4.55%
20147-2.93%$1,155,498-0.24%-0.50%-6.95%
201483.56%$1,193,5733.34%1.79%5.15%
20149-2.23%$1,160,195-2.98%-0.82%-2.65%
2014104.07%$1,204,4071.79%1.07%8.37%
2014111.15%$1,215,2941.51%1.24%0.81%
2014121.53%$1,222,6690.68%-0.12%3.43%
201512.95%$1,258,7525.32%1.32%2.18%
20152-3.01%$1,217,927-2.74%0.97%-5.94%
20153-0.18%$1,208,990-0.00%0.30%-0.69%
20154-0.84%$1,196,049-1.80%0.02%-0.64%
20155-0.74%$1,184,261-2.69%-0.01%0.37%
20156-3.77%$1,132,626-3.45%-1.01%-6.07%
201573.09%$1,164,7171.87%1.36%5.47%
20158-2.26%$1,135,453-2.01%-0.75%-3.60%
201591.19%$1,141,9001.08%-0.69%2.71%
2015101.77%$1,159,2501.21%2.16%1.95%
201511-0.79%$1,147,404-0.47%0.67%-2.13%
2015120.29%$1,139,714-1.63%-0.10%2.16%
201611.69%$1,158,9580.36%-0.98%4.69%
201621.20%$1,170,0591.49%0.06%1.78%
201635.65%$1,229,7545.33%2.38%8.17%
201640.10%$1,227,9702.21%0.88%-1.95%
201650.95%$1,236,761-0.45%1.54%1.63%
201665.04%$1,292,1794.95%1.18%7.67%
201670.79%$1,299,6652.61%1.39%-0.89%
20168-2.14%$1,268,9690.42%0.02%-5.43%
20169-0.42%$1,256,483-1.05%-1.07%0.51%
201610-0.74%$1,244,378-2.65%-0.97%0.90%
201611-4.47%$1,185,931-5.37%-3.33%-4.54%
2016122.74%$1,207,9962.11%0.31%4.81%
201711.30%$1,223,6580.55%2.39%1.17%
201723.23%$1,260,1921.85%2.09%4.95%
20173-0.12%$1,251,209-0.75%0.50%-0.06%
201741.09%$1,261,9411.53%1.30%0.67%
201752.55%$1,291,2622.24%0.55%4.00%
20176-0.45%$1,278,4141.27%0.80%-2.37%
201771.49%$1,294,6300.58%0.66%2.65%
201781.63%$1,312,8571.24%-0.06%2.90%
20179-1.16%$1,290,146-0.13%-0.16%-2.44%
2017101.82%$1,310,8000.69%-0.37%3.91%
2017111.61%$1,328,9840.51%0.68%2.89%
201712-2.19%$1,290,2021.99%-0.52%-5.90%
20181-1.99%$1,264,581-1.04%-1.18%-3.13%
20182-2.94%$1,224,546-3.92%0.27%-4.11%
201832.17%$1,244,3071.04%0.54%4.02%
201840.14%$1,243,291-2.41%-0.70%2.47%
201850.14%$1,242,2010.25%0.81%-0.31%
201861.30%$1,250,454-0.74%1.76%2.42%
201871.40%$1,264,9642.06%0.19%1.67%
201880.78%$1,272,000-0.30%1.41%1.15%
20189-0.63%$1,256,797-0.06%-1.71%-0.38%
201810-1.17%$1,239,307-3.84%-2.24%1.17%
2018111.04%$1,249,474-0.75%-2.23%3.92%
201812-1.52%$1,219,2312.84%-1.53%-4.15%
201914.17%$1,270,0883.69%5.64%3.72%
201921.76%$1,289,583-0.61%0.58%3.88%
201933.06%$1,321,5644.79%1.46%2.83%
201940.62%$1,326,8460.18%0.68%0.86%
201950.31%$1,328,1622.30%0.25%-0.87%
201963.11%$1,361,8904.17%1.31%3.33%
201970.55%$1,366,6690.79%1.80%-0.21%
201984.19%$1,421,1025.98%0.60%4.83%
201991.73%$1,437,680-1.20%0.75%4.08%
201910-0.26%$1,431,2680.19%0.43%-0.86%
201911-0.84%$1,416,4850.69%-0.44%-1.98%
2019122.00%$1,434,7930.35%1.92%3.11%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
IGLBiShares 10+ Year Invmt Grd Corp Bd ETFLong-Term Bond34.00%3.14%0.06%14.83$270,14630.67%
PFFiShares Preferred&Income Securities ETFPreferred Stock33.00%4.45%0.46%3.06$207,02218.85%
VPUVanguard Utilities ETFUtilities33.00%2.80%0.10%23.66$531,50250.48%
100.00%3.46%0.21%23.669.03$1,008,670100.00%
Return contribution includes $523,878 cash distribution from dividends that were not reinvested

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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 1
Arithmetic Mean (monthly)0.74%
Arithmetic Mean (annualized)9.29%
Geometric Mean (monthly)0.72%
Geometric Mean (annualized)4.21%
Volatility (monthly)2.04%
Volatility (annualized)7.07%
Downside Deviation (monthly)1.14%
Max. Drawdown-10.02%
US Market Correlation0.34
Beta(*)0.19
Alpha (annualized)6.41%
R211.70%
Sharpe Ratio1.18
Sortino Ratio2.08
Treynor Ratio (%)44.47
Calmar Ratio1.48
Active Return-4.27%
Tracking Error12.38%
Information Ratio-0.34
Skewness-0.30
Excess Kurtosis0.28
Historical Value-at-Risk (5%)-2.94%
Analytical Value-at-Risk (5%)-2.45%
Conditional Value-at-Risk (5%)-3.90%
Upside Capture Ratio (%)33.71
Downside Capture Ratio (%)2.53
Safe Withdrawal Rate14.29%
Perpetual Withdrawal Rate6.67%
Positive Periods81 out of 120 (67.50%)
Gain/Loss Ratio1.19
* 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
1Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-10.02%
2May 2013Aug 20134 monthsJun 201410 months1 year 2 months-9.59%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-8.75%
4Dec 2017Dec 20181 year 1 monthJun 20196 months1 year 7 months-8.26%
5May 2010May 20101 monthJul 20102 months3 months-4.31%
6Jul 2014Jul 20141 monthAug 20141 month2 months-3.17%
7Sep 2014Sep 20141 monthOct 20141 month2 months-2.80%
8Nov 2012Dec 20122 monthsMar 20133 months5 months-2.64%
9Jun 2011Sep 20114 monthsOct 20111 month5 months-2.49%
10Oct 2010Dec 20103 monthsApr 20114 months7 months-2.12%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF7.50%8.02%23.19%-7.84%-10.81%0.881.480.04
PFFiShares Preferred&Income Securities ETF6.52%6.18%18.20%-4.63%-9.23%0.961.750.54
VPUVanguard Utilities ETF11.99%11.56%26.99%-4.82%-12.59%0.991.610.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameIGLBPFFVPUPortfolio 1
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF1.000.410.440.75
PFFiShares Preferred&Income Securities ETF0.411.000.340.62
VPUVanguard Utilities ETF0.440.341.000.88

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF$270,146
PFFiShares Preferred&Income Securities ETF$207,022
VPUVanguard Utilities ETF$531,502
Return contribution includes cash distribution from dividends that were not reinvested

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF30.67%
PFFiShares Preferred&Income Securities ETF18.85%
VPUVanguard Utilities ETF50.48%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.79%22.22%-3.73%
3 years8.11%12.03%4.45%
5 years8.03%11.25%5.58%
7 years8.08%9.77%6.75%

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YeariShares 10+ Year Invmt Grd Corp Bd ETF (IGLB) AllocationiShares Preferred&Income Securities ETF (PFF) AllocationVanguard Utilities ETF (VPU) Allocation
201034.00%33.00%33.00%
201134.13%33.38%32.49%
201235.90%28.93%35.17%
201336.39%30.73%32.88%
201432.97%29.49%37.54%
201532.18%27.55%40.26%
201631.24%29.12%39.64%
201731.08%26.31%42.61%
201831.33%25.21%43.46%
201929.53%23.98%46.48%
202029.72%22.38%47.90%