Backtest Portfolio Asset Allocation

Portfolio Model Configuration

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Asset Allocation

Portfolio Assets 
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 2015 - Dec 2020)

Portfolio 1

Ticker Name Allocation
BND Vanguard Total Bond Market ETF 15.00%
BNDX Vanguard Total International Bond ETF 15.00%
VNQ Vanguard Real Estate ETF 15.00%
VNQI Vanguard Global ex-US Real Est ETF 15.00%
VT Vanguard Total World Stock ETF 30.00%
MCHI iShares MSCI China ETF 5.00%
PDBC Invesco Optm Yd Dvrs Cdty Stra No K1 ETF 5.00%
Save portfolio »

Performance Summary

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Portfolio 1$10,000$14,342 6.19% 9.87%19.88%-6.47%-16.07% 0.560.800.90
Vanguard 500 Index Investor$10,000$20,423 12.64% 14.98%31.33%-4.52%-19.63% 0.811.281.00

Portfolio Growth


Annual Returns

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Portfolio 19.10%6.05%6.05%5.94%7.91%6.19%12.18%10.19%
Vanguard 500 Index Investor12.12%18.25%18.25%14.03%15.07%12.64%18.80%15.26%
Trailing return and volatility are as of last calendar month ending December 2020
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • The results assume annual rebalancing of portfolio assets to match the specified allocation.

Annualized Active Return

Active Return Contribution

Rolling Active Return

Up vs. Down Market Performance

Portfolio 1 vs. Vanguard 500 Index Investor
Up vs. Down Market Performance - Portfolio 1 vs. Vanguard 500 Index Investor
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market12405223%0.47%-1.95%-1.39%
Down Market1642080%2.23%-0.69%1.65%

Annual Returns

Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard 500 Index InvestorVanguard Total Bond Market ETF (BND)Vanguard Total International Bond ETF (BNDX)Vanguard Real Estate ETF (VNQ)Vanguard Global ex-US Real Est ETF (VNQI)Vanguard Total World Stock ETF (VT)iShares MSCI China ETF (MCHI)Invesco Optm Yd Dvrs Cdty Stra No K1 ETF (PDBC)

Monthly Returns

Monthly returns for the configured portfolios
YearMonthPortfolio 1Vanguard 500 Index InvestorVanguard Total Bond Market ETF (BND)Vanguard Total International Bond ETF (BNDX)Vanguard Real Estate ETF (VNQ)Vanguard Global ex-US Real Est ETF (VNQI)Vanguard Total World Stock ETF (VT)iShares MSCI China ETF (MCHI)Invesco Optm Yd Dvrs Cdty Stra No K1 ETF (PDBC)

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value8.00%44.59%
Large-cap Growth5.64%55.31%
Mid-cap Value9.74%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value3.30%0.11%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets19.39%0.00%
Emerging Markets14.93%0.00%
Corporate Bonds20.15%0.00%
Long-Term Treasuries7.01%0.00%
Intermediate-Term Treasuries11.84%0.00%
Short-Term Treasuries0.00%0.00%
R Squared96.21%99.95%
Style analysis is based on monthly returns from January 2015 to December 2020 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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond15.00%4.59%2.90%0.03%0.03%6.41$4051.66%
BNDXVanguard Total International Bond ETFGlobal Bond-USD Hedged15.00%3.29%1.90%0.07%0.07%7.25$4011.69%
VNQVanguard Real Estate ETFReal Estate15.00%4.58%0.12%0.12%29.65$52420.03%
VNQIVanguard Global ex-US Real Est ETFGlobal Real Estate15.00%0.58%0.12%0.12%12.81$47121.80%
VTVanguard Total World Stock ETFGlobal Large-Stock Blend30.00%2.02%0.07%0.07%17.39$2,18742.27%
MCHIiShares MSCI China ETFChina Region5.00%1.72%2.53%0.58%0.58%11.60$4407.23%
PDBCInvesco Optm Yd Dvrs Cdty Stra No K1 ETFCommodities Broad Basket5.00%3.73%13.07%0.59%0.64%-$85.525.32%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fixed Income Credit Quality
Fixed Income Maturity

Fund fundamentals data as of 09/27/2023. (c) 2023 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.

Risk and Return Metrics

Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.54%1.09%
Arithmetic Mean (annualized)6.71%13.88%
Geometric Mean (monthly)0.50%1.00%
Geometric Mean (annualized)6.19%12.64%
Standard Deviation (monthly)2.85%4.32%
Standard Deviation (annualized)9.87%14.98%
Downside Deviation (monthly)1.97%2.70%
Maximum Drawdown-16.07%-19.63%
Stock Market Correlation0.901.00
Alpha (annualized)-1.17%-0.00%
Sharpe Ratio0.560.81
Sortino Ratio0.801.28
Treynor Ratio (%)9.4812.13
Calmar Ratio0.370.71
Active Return-6.44%N/A
Tracking Error7.62%N/A
Information Ratio-0.85N/A
Excess Kurtosis4.781.40
Historical Value-at-Risk (5%)4.03%6.58%
Analytical Value-at-Risk (5%)4.18%6.02%
Conditional Value-at-Risk (5%)6.43%9.13%
Upside Capture Ratio (%)51.93100.00
Downside Capture Ratio (%)60.78100.00
Safe Withdrawal Rate18.45%21.48%
Perpetual Withdrawal Rate4.19%9.67%
Positive Periods49 out of 72 (68.06%)52 out of 72 (72.22%)
Gain/Loss Ratio0.810.76
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values.


Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Vanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-16.07%-19.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-16.07%
2May 2015Feb 201610 monthsJul 20165 months1 year 3 months-9.56%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-8.60%
4Oct 2016Nov 20162 monthsFeb 20173 months5 months-3.69%
5May 2019May 20191 monthJun 20191 month2 months-2.67%
6Aug 2016Aug 20161 monthSep 20161 month2 months-0.30%
7Mar 2015Mar 20151 monthApr 20151 month2 months-0.29%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
5May 2019May 20191 monthJun 20191 month2 months-6.36%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-3.02%
8Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
9Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
10Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
BNDVanguard Total Bond Market ETF3.79%3.49%8.83%-0.12%-3.68%0.821.490.06
BNDXVanguard Total International Bond ETF3.90%3.10%7.87%1.19%-3.03%0.951.580.14
VNQVanguard Real Estate ETF5.09%16.40%28.87%-6.02%-25.08%0.330.470.68
VNQIVanguard Global ex-US Real Est ETF4.46%15.51%26.93%-9.42%-27.38%0.300.410.76
VTVanguard Total World Stock ETF9.98%14.99%26.82%-9.76%-22.15%0.650.980.98
MCHIiShares MSCI China ETF10.08%20.86%54.68%-19.77%-37.32%0.520.790.61
PDBCInvesco Optm Yd Dvrs Cdty Stra No K1 ETF-3.41%16.94%17.98%-26.85%-38.92%-0.17-0.230.59

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Vanguard Total Bond Market ETF0.80%7.71%7.71%5.40%4.45%0.03%0.03%
Vanguard Total International Bond ETF1.09%4.65%4.65%5.09%4.45%0.07%0.07%
Vanguard Real Estate ETF9.28%-4.68%-4.68%4.90%5.64%0.12%0.12%
Vanguard Global ex-US Real Est ETF12.79%-7.21%-7.21%0.73%5.76%0.12%0.12%
Vanguard Total World Stock ETF15.50%16.61%16.61%10.09%12.51%0.07%0.07%
iShares MSCI China ETF10.01%27.79%27.79%8.24%14.35%0.58%0.58%
Invesco Optm Yd Dvrs Cdty Stra No K1 ETF11.64%-7.84%-7.84%-3.60%2.11%0.59%0.64%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameBNDBNDXVNQVNQIVTMCHIPDBCPortfolio 1Vanguard 500 Index Investor
BNDVanguard Total Bond Market ETF1.000.810.510.320.090.02-0.090.320.05
BNDXVanguard Total International Bond ETF0.811.000.580.340.15-0.02-0.070.360.14
VNQVanguard Real Estate ETF0.510.581.000.720.660.300.300.820.66
VNQIVanguard Global ex-US Real Est ETF0.320.340.721.000.850.670.600.940.75
VTVanguard Total World Stock ETF0.090.150.660.851.000.690.640.940.97
MCHIiShares MSCI China ETF0.02-0.020.300.670.691.000.500.700.61
PDBCInvesco Optm Yd Dvrs Cdty Stra No K1 ETF-0.09-0.070.300.600.640.501.000.630.57

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
BNDVanguard Total Bond Market ETF$405
BNDXVanguard Total International Bond ETF$401
VNQVanguard Real Estate ETF$524
VNQIVanguard Global ex-US Real Est ETF$471
VTVanguard Total World Stock ETF$2,187
MCHIiShares MSCI China ETF$440
PDBCInvesco Optm Yd Dvrs Cdty Stra No K1 ETF-$85.52
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
BNDVanguard Total Bond Market ETF1.66%
BNDXVanguard Total International Bond ETF1.69%
VNQVanguard Real Estate ETF20.03%
VNQIVanguard Global ex-US Real Est ETF21.80%
VTVanguard Total World Stock ETF42.27%
MCHIiShares MSCI China ETF7.23%
PDBCInvesco Optm Yd Dvrs Cdty Stra No K1 ETF5.32%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
1 year5.22%19.88%-9.08%11.56%31.33%-7.11%
3 years6.02%9.16%1.61%12.41%17.15%4.96%
5 years5.25%7.91%1.96%11.45%15.07%6.58%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years