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 2007 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DIA SPDR Dow Jones Industrial Avrg ETF Tr 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VIG Vanguard Dividend Appreciation ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$31,740 8.82% 14.76%29.64%-32.16%-47.05% 0.590.860.97
Portfolio 2$10,000$32,183 8.93% 13.41%29.62%-26.69%-41.11% 0.640.930.96
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 112.45%1.19%10.09%11.40%14.02%13.61%8.82%
Portfolio 211.54%5.78%12.42%14.15%13.86%13.55%8.93%
Trailing returns are for full months ending in August 2020 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.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceSPDR Dow Jones Industrial Avrg ETF Tr (DIA)Vanguard Dividend Appreciation ETF (VIG)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20074.08%8.79%5.63%$10,879$10,5638.79%5.63%
20080.09%-32.16%-26.69%$7,381$7,744-32.16%-26.69%
20092.72%22.75%19.57%$9,059$9,26022.75%19.57%
20101.50%14.01%14.74%$10,329$10,62414.01%14.74%
20112.96%8.06%6.16%$11,161$11,2798.06%6.16%
20121.74%9.94%11.65%$12,271$12,5939.94%11.65%
20131.50%29.64%28.87%$15,907$16,22829.64%28.87%
20140.76%9.82%10.08%$17,469$17,8639.82%10.08%
20150.73%0.10%-1.95%$17,487$17,5150.10%-1.95%
20162.07%16.37%11.97%$20,351$19,61216.37%11.97%
20172.11%28.08%22.22%$26,065$23,97028.08%22.22%
20181.91%-3.74%-2.08%$25,090$23,472-3.74%-2.08%
20192.29%25.02%29.62%$31,367$30,42425.02%29.62%
20200.83%1.19%5.78%$31,740$32,1831.19%5.78%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR Dow Jones Industrial Avrg ETF Tr (DIA)Vanguard Dividend Appreciation ETF (VIG)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200711.54%1.56%$10,154$10,1561.54%1.56%
20072-2.66%-1.74%$9,883$9,980-2.66%-1.74%
200730.99%0.28%$9,981$10,0080.99%0.28%
200745.82%4.44%$10,562$10,4525.82%4.44%
200754.57%2.48%$11,045$10,7114.57%2.48%
20076-1.41%-1.60%$10,889$10,540-1.41%-1.60%
20077-1.40%-2.52%$10,737$10,274-1.40%-2.52%
200781.15%2.30%$10,860$10,5101.15%2.30%
200794.31%3.43%$11,328$10,8704.31%3.43%
2007100.14%-0.33%$11,344$10,8350.14%-0.33%
200711-3.17%-2.03%$10,985$10,615-3.17%-2.03%
200712-0.96%-0.49%$10,879$10,563-0.96%-0.49%
20081-4.83%-5.27%$10,353$10,006-4.83%-5.27%
20082-2.19%-1.55%$10,127$9,851-2.19%-1.55%
20083-0.26%2.03%$10,101$10,051-0.26%2.03%
200844.86%2.57%$10,592$10,3094.86%2.57%
20085-1.36%0.33%$10,448$10,343-1.36%0.33%
20086-9.87%-7.86%$9,416$9,530-9.87%-7.86%
200870.39%1.06%$9,453$9,6310.39%1.06%
200881.75%2.08%$9,619$9,8311.75%2.08%
20089-5.87%-6.72%$9,055$9,171-5.87%-6.72%
200810-13.56%-14.11%$7,827$7,877-13.56%-14.11%
200811-5.16%-2.55%$7,423$7,676-5.16%-2.55%
200812-0.57%0.88%$7,381$7,744-0.57%0.88%
20091-8.34%-7.62%$6,765$7,154-8.34%-7.62%
20092-11.20%-10.52%$6,007$6,401-11.20%-10.52%
200937.44%7.03%$6,454$6,8517.44%7.03%
200947.86%7.29%$6,961$7,3517.86%7.29%
200954.87%4.95%$7,300$7,7144.87%4.95%
20096-0.53%0.49%$7,262$7,752-0.53%0.49%
200978.44%6.56%$7,874$8,2618.44%6.56%
200984.05%2.41%$8,193$8,4604.05%2.41%
200992.33%3.15%$8,384$8,7272.33%3.15%
2009100.06%-0.43%$8,389$8,6890.06%-0.43%
2009117.07%5.79%$8,982$9,1937.07%5.79%
2009120.86%0.73%$9,059$9,2600.86%0.73%
20101-3.38%-2.30%$8,753$9,046-3.38%-2.30%
201023.00%2.42%$9,015$9,2653.00%2.42%
201035.34%4.62%$9,497$9,6945.34%4.62%
201041.46%2.17%$9,635$9,9041.46%2.17%
20105-7.49%-7.24%$8,913$9,187-7.49%-7.24%
20106-3.51%-4.34%$8,600$8,789-3.51%-4.34%
201077.23%6.38%$9,222$9,3507.23%6.38%
20108-3.94%-3.44%$8,859$9,028-3.94%-3.44%
201097.89%8.31%$9,558$9,7787.89%8.31%
2010103.24%2.83%$9,867$10,0553.24%2.83%
201011-0.71%0.30%$9,798$10,085-0.71%0.30%
2010125.42%5.34%$10,329$10,6245.42%5.34%
201112.69%1.43%$10,607$10,7762.69%1.43%
201123.24%3.41%$10,951$11,1433.24%3.41%
201130.90%1.06%$11,050$11,2610.90%1.06%
201144.18%3.49%$11,511$11,6554.18%3.49%
20115-1.66%-1.27%$11,321$11,507-1.66%-1.27%
20116-1.16%-0.77%$11,189$11,418-1.16%-0.77%
20117-2.09%-3.46%$10,955$11,022-2.09%-3.46%
20118-3.90%-3.20%$10,527$10,670-3.90%-3.20%
20119-5.88%-6.26%$9,908$10,002-5.88%-6.26%
2011109.73%9.60%$10,872$10,9629.73%9.60%
2011110.96%1.87%$10,976$11,1670.96%1.87%
2011121.69%1.00%$11,161$11,2791.69%1.00%
201213.60%2.60%$11,563$11,5723.60%2.60%
201222.82%2.76%$11,889$11,8922.82%2.76%
201232.14%2.09%$12,143$12,1402.14%2.09%
201240.11%-0.34%$12,157$12,0990.11%-0.34%
20125-5.82%-4.37%$11,449$11,570-5.82%-4.37%
201264.02%2.18%$11,909$11,8224.02%2.18%
201271.13%1.96%$12,044$12,0541.13%1.96%
201281.18%1.90%$12,186$12,2831.18%1.90%
201292.63%1.87%$12,508$12,5132.63%1.87%
201210-2.44%-1.26%$12,203$12,355-2.44%-1.26%
201211-0.13%1.44%$12,187$12,534-0.13%1.44%
2012120.68%0.47%$12,271$12,5930.68%0.47%
201316.11%5.93%$13,020$13,3396.11%5.93%
201321.61%1.16%$13,230$13,4931.61%1.16%
201333.81%3.38%$13,734$13,9503.81%3.38%
201341.96%1.67%$14,003$14,1841.96%1.67%
201352.37%1.15%$14,334$14,3472.37%1.15%
20136-1.49%-1.51%$14,121$14,130-1.49%-1.51%
201374.37%5.41%$14,739$14,8954.37%5.41%
20138-4.27%-3.57%$14,109$14,363-4.27%-3.57%
201392.33%3.97%$14,438$14,9332.33%3.97%
2013102.95%4.17%$14,865$15,5562.95%4.17%
2013113.69%2.32%$15,413$15,9163.69%2.32%
2013123.21%1.96%$15,907$16,2283.21%1.96%
20141-5.19%-5.01%$15,081$15,415-5.19%-5.01%
201424.28%4.90%$15,727$16,1704.28%4.90%
201430.92%0.79%$15,872$16,2980.92%0.79%
201440.82%1.01%$16,002$16,4630.82%1.01%
201451.15%1.61%$16,186$16,7271.15%1.61%
201460.77%1.49%$16,311$16,9750.77%1.49%
20147-1.44%-3.31%$16,075$16,414-1.44%-3.31%
201483.57%3.65%$16,649$17,0123.57%3.65%
20149-0.24%-1.00%$16,609$16,842-0.24%-1.00%
2014102.08%2.65%$16,954$17,2882.08%2.65%
2014112.94%3.22%$17,453$17,8442.94%3.22%
2014120.09%0.11%$17,469$17,8630.09%0.11%
20151-3.53%-3.38%$16,852$17,260-3.53%-3.38%
201525.97%5.59%$17,857$18,2245.97%5.59%
20153-1.82%-2.27%$17,531$17,811-1.82%-2.27%
201540.40%-0.21%$17,602$17,7730.40%-0.21%
201551.31%0.96%$17,832$17,9441.31%0.96%
20156-2.12%-2.54%$17,454$17,489-2.12%-2.54%
201570.58%2.16%$17,556$17,8670.58%2.16%
20158-6.20%-5.87%$16,468$16,819-6.20%-5.87%
20159-1.35%-1.84%$16,246$16,510-1.35%-1.84%
2015108.58%6.74%$17,639$17,6238.58%6.74%
2015110.74%0.27%$17,770$17,6700.74%0.27%
201512-1.59%-0.87%$17,487$17,515-1.59%-0.87%
20161-5.48%-2.29%$16,529$17,114-5.48%-2.29%
201620.73%1.13%$16,651$17,3080.73%1.13%
201637.31%6.28%$17,868$18,3957.31%6.28%
201640.61%-0.33%$17,977$18,3330.61%-0.33%
201650.38%0.95%$18,046$18,5080.38%0.95%
201660.96%2.37%$18,219$18,9470.96%2.37%
201672.94%2.29%$18,755$19,3822.94%2.29%
201680.25%0.01%$18,802$19,3840.25%0.01%
20169-0.44%-0.97%$18,720$19,195-0.44%-0.97%
201610-0.78%-1.93%$18,574$18,825-0.78%-1.93%
2016115.95%2.98%$19,678$19,3855.95%2.98%
2016123.42%1.17%$20,351$19,6123.42%1.17%
201710.53%1.76%$20,458$19,9570.53%1.76%
201725.14%4.33%$21,509$20,8215.14%4.33%
20173-0.59%-0.07%$21,381$20,806-0.59%-0.07%
201741.42%1.72%$21,684$21,1641.42%1.72%
201750.73%1.57%$21,843$21,4980.73%1.57%
201761.73%0.28%$22,221$21,5571.73%0.28%
201772.67%0.73%$22,815$21,7152.67%0.73%
201780.62%-0.36%$22,956$21,6360.62%-0.36%
201792.17%2.38%$23,454$22,1512.17%2.38%
2017104.46%2.10%$24,501$22,6164.46%2.10%
2017114.19%4.48%$25,529$23,6304.19%4.48%
2017122.10%1.44%$26,065$23,9702.10%1.44%
201815.74%5.02%$27,562$25,1735.74%5.02%
20182-4.05%-4.03%$26,444$24,158-4.05%-4.03%
20183-3.34%-1.35%$25,561$23,833-3.34%-1.35%
201840.11%-0.93%$25,589$23,6110.11%-0.93%
201851.38%1.77%$25,942$24,0291.38%1.77%
20186-0.44%0.30%$25,827$24,101-0.44%0.30%
201874.85%4.68%$27,078$25,2304.85%4.68%
201882.45%2.80%$27,741$25,9372.45%2.80%
201891.96%1.68%$28,285$26,3731.96%1.68%
201810-4.94%-6.36%$26,888$24,696-4.94%-6.36%
2018111.96%4.14%$27,415$25,7181.96%4.14%
201812-8.48%-8.73%$25,090$23,472-8.48%-8.73%
201917.33%6.32%$26,930$24,9557.33%6.32%
201923.94%4.58%$27,991$26,0983.94%4.58%
201930.15%1.14%$28,034$26,3960.15%1.14%
201942.63%3.72%$28,772$27,3782.63%3.72%
20195-6.38%-4.63%$26,937$26,109-6.38%-4.63%
201967.36%6.63%$28,919$27,8407.36%6.63%
201971.09%2.23%$29,233$28,4621.09%2.23%
20198-1.38%0.59%$28,830$28,628-1.38%0.59%
201992.16%1.45%$29,452$29,0432.16%1.45%
2019100.55%0.03%$29,613$29,0500.55%0.03%
2019114.06%2.45%$30,816$29,7624.06%2.45%
2019121.79%2.22%$31,367$30,4241.79%2.22%
20201-0.89%0.57%$31,086$30,597-0.89%0.57%
20202-9.61%-8.34%$28,098$28,045-9.61%-8.34%
20203-13.61%-9.62%$24,274$25,348-13.61%-9.62%
2020411.00%9.88%$26,945$27,85111.00%9.88%
202054.76%3.60%$28,226$28,8544.76%3.60%
202061.70%0.08%$28,707$28,8781.70%0.08%
202072.59%4.98%$29,451$30,3152.59%4.98%
202087.77%6.16%$31,740$32,1837.77%6.16%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value56.54%44.30%
Large-cap Growth36.15%41.68%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%1.66%
Intermediate-Term Treasuries0.00%12.36%
Short-Term Treasuries7.31%0.00%
R Squared95.03%94.68%
Style analysis is based on monthly returns from Jan 2007 to Aug 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DIASPDR Dow Jones Industrial Avrg ETF TrLarge Value100.00%0.16%22.82$21,740100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VIGVanguard Dividend Appreciation ETFLarge Blend100.00%0.06%26.52$22,183100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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)0.80%0.79%
Arithmetic Mean (annualized)10.01%9.91%
Geometric Mean (monthly)0.71%0.72%
Geometric Mean (annualized)8.82%8.93%
Volatility (monthly)4.26%3.87%
Volatility (annualized)14.76%13.41%
Downside Deviation (monthly)2.89%2.64%
Max. Drawdown-47.05%-41.11%
US Market Correlation0.970.96
Beta(*)0.890.81
Alpha (annualized)0.69%1.42%
R293.18%92.94%
Sharpe Ratio0.590.64
Sortino Ratio0.860.93
Treynor Ratio (%)9.7410.62
Calmar Ratio0.500.82
Active Return-0.20%-0.09%
Tracking Error4.22%4.68%
Information Ratio-0.05-0.02
Skewness-0.69-0.78
Excess Kurtosis1.241.43
Historical Value-at-Risk (5%)-7.21%-7.11%
Analytical Value-at-Risk (5%)-6.21%-5.58%
Conditional Value-at-Risk (5%)-10.27%-9.25%
Upside Capture Ratio (%)90.0682.72
Downside Capture Ratio (%)88.6578.61
Safe Withdrawal Rate9.48%9.52%
Perpetual Withdrawal Rate6.72%6.83%
Positive Periods109 out of 164 (66.46%)111 out of 164 (67.68%)
Gain/Loss Ratio0.830.81
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-47.05%-40.92%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-47.05%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-22.61%
3May 2011Sep 20115 monthsJan 20124 months9 months-13.93%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-11.29%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.02%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-7.26%
7May 2019May 20191 monthJun 20191 month2 months-6.38%
8May 2012May 20121 monthAug 20123 months4 months-5.82%
9Jan 2014Jan 20141 monthApr 20143 months4 months-5.19%
10Aug 2013Aug 20131 monthOct 20132 months3 months-4.27%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2007Feb 20091 year 5 monthsFeb 20112 years3 years 5 months-41.11%
2Feb 2020Mar 20202 monthsAug 20205 months7 months-17.16%
3May 2011Sep 20115 monthsFeb 20125 months10 months-14.18%
4Oct 2018Dec 20183 monthsMar 20193 months6 months-11.00%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.41%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-6.20%
7Jan 2014Jan 20141 monthMar 20142 months3 months-5.01%
8Apr 2012May 20122 monthsAug 20123 months5 months-4.70%
9May 2019May 20191 monthJun 20191 month2 months-4.63%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.08%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DIASPDR Dow Jones Industrial Avrg ETF Tr8.82%14.76%29.64%-32.16%-47.05%0.590.860.97
VIGVanguard Dividend Appreciation ETF8.93%13.41%29.62%-26.69%-41.11%0.640.930.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameDIAVIGPortfolio 1Portfolio 2
DIASPDR Dow Jones Industrial Avrg ETF Tr1.000.971.000.97
VIGVanguard Dividend Appreciation ETF0.971.000.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DIASPDR Dow Jones Industrial Avrg ETF Tr$21,740
VIGVanguard Dividend Appreciation ETF$22,183

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DIASPDR Dow Jones Industrial Avrg ETF Tr100.00%
VIGVanguard Dividend Appreciation ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.51%29.64%-32.16%9.98%29.62%-26.69%
3 years10.52%16.11%-3.24%9.82%16.56%-2.53%
5 years10.82%16.60%2.22%10.10%15.95%2.44%
7 years11.43%14.35%6.86%10.78%13.43%7.16%
10 years10.68%13.22%7.36%9.97%12.63%6.97%
Result statistics are based on annualized rolling returns over full calendar year periods