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 
Portfolio #1
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Portfolio #3
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Asset 5
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Asset 6
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Asset 7
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Asset 10
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Portfolio Analysis Results (Jan 2004 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
RSP Invesco S&P 500 Equal Weight ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VXF Vanguard Extended Market ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$48,579 9.74% 16.92%44.64%-40.07%-55.58% 0.560.830.98
Portfolio 2$10,000$58,431 10.94% 18.73%38.26%-38.70%-52.66% 0.580.860.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 118.39%12.19%10.06%12.59%12.22%9.74%21.54%17.52%
Portfolio 227.57%32.43%15.39%16.08%13.23%10.94%25.39%20.88%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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
YearInflationPortfolio 1Portfolio 2Invesco S&P 500 Equal Weight ETF (RSP)Vanguard Extended Market ETF (VXF)
ReturnBalanceReturnBalance
20043.26%16.48%$11,64818.53%$11,85316.48%18.53%
20053.42%7.41%$12,51110.46%$13,0937.41%10.46%
20062.54%15.46%$14,44514.30%$14,96515.46%14.30%
20074.08%0.90%$14,5754.45%$15,6320.90%4.45%
20080.09%-40.07%$8,735-38.70%$9,582-40.07%-38.70%
20092.72%44.64%$12,63437.88%$13,21244.64%37.88%
20101.50%21.37%$15,33427.61%$16,86021.37%27.61%
20112.96%-0.67%$15,231-3.65%$16,244-0.67%-3.65%
20121.74%17.16%$17,84518.63%$19,27117.16%18.63%
20131.50%35.54%$24,18638.26%$26,64435.54%38.26%
20140.76%14.06%$27,5887.56%$28,65814.06%7.56%
20150.73%-2.66%$26,854-3.26%$27,723-2.66%-3.26%
20162.07%14.50%$30,74916.21%$32,21714.50%16.21%
20172.11%18.51%$36,44118.06%$38,03518.51%18.06%
20181.91%-7.82%$33,591-9.34%$34,483-7.82%-9.34%
20192.29%28.91%$43,30027.96%$44,12328.91%27.96%
20201.36%12.19%$48,57932.43%$58,43112.19%32.43%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnInvesco S&P 500 Equal Weight ETF (RSP)Vanguard Extended Market ETF (VXF)
200412.37%2.90%2.37%2.90%
200421.90%2.24%1.90%2.24%
20043-0.68%0.28%-0.68%0.28%
20044-2.36%-4.30%-2.36%-4.30%
200451.75%1.85%1.75%1.85%
200463.04%2.45%3.04%2.45%
20047-4.58%-5.44%-4.58%-5.44%
20048-0.10%0.03%-0.10%0.03%
200492.57%3.97%2.57%3.97%
2004102.37%2.18%2.37%2.18%
2004115.79%6.96%5.79%6.96%
2004123.71%4.67%3.71%4.67%
20051-3.08%-3.59%-3.08%-3.59%
200522.13%2.19%2.13%2.19%
20053-1.36%-2.14%-1.36%-2.14%
20054-3.20%-3.37%-3.20%-3.37%
200554.50%6.38%4.50%6.38%
200561.54%3.02%1.54%3.02%
200575.11%5.70%5.11%5.70%
20058-0.87%-1.25%-0.87%-1.25%
200590.50%0.91%0.50%0.91%
200510-2.68%-2.52%-2.68%-2.52%
2005114.55%4.55%4.55%4.55%
2005120.53%0.79%0.53%0.79%
200614.03%6.38%4.03%6.38%
200620.34%-0.82%0.34%-0.82%
200632.10%3.94%2.10%3.94%
200640.86%0.43%0.86%0.43%
20065-2.97%-4.58%-2.97%-4.58%
20066-0.28%0.29%-0.28%0.29%
20067-1.33%-2.97%-1.33%-2.97%
200682.74%1.72%2.74%1.72%
200692.39%1.00%2.39%1.00%
2006103.76%4.95%3.76%4.95%
2006112.50%3.68%2.50%3.68%
2006120.57%-0.02%0.57%-0.02%
200712.41%3.36%2.41%3.36%
20072-0.47%-0.05%-0.47%-0.05%
200730.82%1.02%0.82%1.02%
200744.41%2.41%4.41%2.41%
200753.24%4.71%3.24%4.71%
20076-1.86%-1.89%-1.86%-1.89%
20077-4.51%-4.97%-4.51%-4.97%
200780.08%1.38%0.08%1.38%
200792.49%3.01%2.49%3.01%
2007101.12%2.45%1.12%2.45%
200711-4.65%-5.97%-4.65%-5.97%
200712-1.72%-0.49%-1.72%-0.49%
20081-4.30%-6.69%-4.30%-6.69%
20082-3.01%-1.85%-3.01%-1.85%
20083-1.86%-1.17%-1.86%-1.17%
200845.72%5.51%5.72%5.51%
200852.65%4.91%2.65%4.91%
20086-9.84%-7.42%-9.84%-7.42%
20087-0.50%-0.45%-0.50%-0.45%
200882.96%2.06%2.96%2.06%
20089-10.91%-11.23%-10.91%-11.23%
200810-20.91%-21.61%-20.91%-21.61%
200811-9.63%-11.20%-9.63%-11.20%
2008123.08%5.25%3.08%5.25%
20091-8.35%-8.17%-8.35%-8.17%
20092-11.22%-9.89%-11.22%-9.89%
2009310.26%8.10%10.26%8.10%
2009418.69%16.29%18.69%16.29%
200956.46%4.96%6.46%4.96%
20096-1.20%0.03%-1.20%0.03%
200979.19%9.34%9.19%9.34%
200985.65%3.47%5.65%3.47%
200995.29%6.28%5.29%6.28%
200910-3.70%-5.86%-3.70%-5.86%
2009115.54%3.97%5.54%3.97%
2009124.61%7.27%4.61%7.27%
20101-3.31%-3.32%-3.31%-3.32%
201024.19%4.90%4.19%4.90%
201037.22%7.47%7.22%7.47%
201042.65%5.03%2.65%5.03%
20105-7.37%-7.49%-7.37%-7.49%
20106-6.31%-7.13%-6.31%-7.13%
201077.35%7.16%7.35%7.16%
20108-4.76%-5.86%-4.76%-5.86%
2010910.19%11.33%10.19%11.33%
2010103.56%4.29%3.56%4.29%
2010110.82%3.23%0.82%3.23%
2010127.21%7.32%7.21%7.32%
201112.11%1.56%2.11%1.56%
201124.02%4.71%4.02%4.71%
201130.83%2.10%0.83%2.10%
201143.13%2.73%3.13%2.73%
20115-0.61%-1.34%-0.61%-1.34%
20116-1.80%-2.34%-1.80%-2.34%
20117-3.62%-3.23%-3.62%-3.23%
20118-6.35%-8.29%-6.35%-8.29%
20119-9.05%-11.14%-9.05%-11.14%
20111013.07%14.38%13.07%14.38%
201111-0.88%-0.55%-0.88%-0.55%
2011120.16%-0.05%0.16%-0.05%
201215.68%7.58%5.68%7.58%
201224.01%4.18%4.01%4.18%
201232.32%2.16%2.32%2.16%
20124-0.75%-0.86%-0.75%-0.86%
20125-6.99%-7.02%-6.99%-7.02%
201263.86%3.14%3.86%3.14%
201270.12%-0.73%0.12%-0.73%
201283.07%3.73%3.07%3.73%
201292.51%2.51%2.51%2.51%
201210-0.82%-1.39%-0.82%-1.39%
2012111.28%1.67%1.28%1.67%
2012122.27%2.97%2.27%2.97%
201316.51%6.79%6.51%6.79%
201320.97%0.82%0.97%0.82%
201334.36%4.81%4.36%4.81%
201341.69%0.66%1.69%0.66%
201352.69%2.79%2.69%2.79%
20136-1.23%-1.12%-1.23%-1.12%
201375.63%7.12%5.63%7.12%
20138-2.92%-2.91%-2.92%-2.91%
201394.11%6.20%4.11%6.20%
2013104.28%2.68%4.28%2.68%
2013112.22%2.54%2.22%2.54%
2013122.88%2.98%2.88%2.98%
20141-2.96%-1.89%-2.96%-1.89%
201425.34%5.51%5.34%5.51%
201430.61%-0.71%0.61%-0.71%
201440.38%-2.61%0.38%-2.61%
201452.16%1.51%2.16%1.51%
201462.86%4.44%2.86%4.44%
20147-2.33%-4.38%-2.33%-4.38%
201484.20%4.92%4.20%4.92%
20149-2.58%-5.06%-2.58%-5.06%
2014103.02%4.07%3.02%4.07%
2014112.66%1.33%2.66%1.33%
2014120.28%0.90%0.28%0.90%
20151-2.92%-1.94%-2.92%-1.94%
201525.73%6.08%5.73%6.08%
20153-0.96%1.30%-0.96%1.30%
201540.41%-1.58%0.41%-1.58%
201550.72%1.80%0.72%1.80%
20156-2.27%-0.71%-2.27%-0.71%
201570.96%-0.18%0.96%-0.18%
20158-5.46%-5.88%-5.46%-5.88%
20159-3.01%-4.77%-3.01%-4.77%
2015106.99%5.55%6.99%5.55%
2015110.30%1.65%0.30%1.65%
201512-2.48%-3.86%-2.48%-3.86%
20161-5.56%-8.71%-5.56%-8.71%
201620.99%0.34%0.99%0.34%
201637.98%8.27%7.98%8.27%
201641.25%1.61%1.25%1.61%
201651.36%1.88%1.36%1.88%
20166-0.06%-0.08%-0.06%-0.08%
201674.14%5.33%4.14%5.33%
201680.16%0.84%0.16%0.84%
201690.10%0.94%0.10%0.94%
201610-2.44%-3.83%-2.44%-3.83%
2016115.24%7.90%5.24%7.90%
2016121.13%1.84%1.13%1.84%
201712.01%2.13%2.01%2.13%
201723.13%2.41%3.13%2.41%
201730.02%-0.11%0.02%-0.11%
201740.66%1.13%0.66%1.13%
201750.56%-0.77%0.56%-0.77%
201761.16%2.33%1.16%2.33%
201771.60%1.11%1.60%1.11%
20178-1.00%-0.34%-1.00%-0.34%
201792.93%4.21%2.93%4.21%
2017101.09%1.33%1.09%1.33%
2017113.80%3.11%3.80%3.11%
2017121.24%0.29%1.24%0.29%
201814.38%3.32%4.38%3.32%
20182-4.39%-3.73%-4.39%-3.73%
20183-0.93%0.68%-0.93%0.68%
201840.37%0.22%0.37%0.22%
201851.45%4.87%1.45%4.87%
201860.97%0.79%0.97%0.79%
201873.10%1.66%3.10%1.66%
201881.96%4.48%1.96%4.48%
201890.17%-1.61%0.17%-1.61%
201810-7.25%-10.06%-7.25%-10.06%
2018112.61%1.83%2.61%1.83%
201812-9.54%-10.69%-9.54%-10.69%
201919.81%11.55%9.81%11.55%
201923.67%4.96%3.67%4.96%
201930.84%-0.93%0.84%-0.93%
201943.59%3.59%3.59%3.59%
20195-6.93%-6.92%-6.93%-6.92%
201967.55%6.79%7.55%6.79%
201970.84%1.68%0.84%1.68%
20198-3.27%-4.26%-3.27%-4.26%
201993.27%1.09%3.27%1.09%
2019101.23%1.97%1.23%1.97%
2019113.40%4.54%3.40%4.54%
2019122.70%2.13%2.70%2.13%
20201-1.88%-0.53%-1.88%-0.53%
20202-8.87%-7.78%-8.87%-7.78%
20203-17.97%-21.52%-17.97%-21.52%
2020414.43%15.74%14.43%15.74%
202054.75%8.93%4.75%8.93%
202061.46%4.02%1.46%4.02%
202074.99%5.79%4.99%5.79%
202084.27%7.06%4.27%7.06%
20209-2.95%-2.92%-2.95%-2.92%
202010-0.55%0.49%-0.55%0.49%
20201114.30%18.22%14.30%18.22%
2020124.16%7.38%4.16%7.38%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value37.84%0.00%
Large-cap Growth9.90%2.26%
Mid-cap Value24.12%15.80%
Mid-cap Growth20.61%41.07%
Small-cap Value2.65%20.07%
Small-cap Growth0.00%16.34%
Global ex-US Developed Markets1.87%2.34%
Emerging Markets3.01%2.11%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.06%98.01%
Style analysis is based on monthly returns from April 2005 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
RSPInvesco S&P 500 Equal Weight ETFLarge Blend100.00%1.63%0.20%23.53$38,579100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VXFVanguard Extended Market ETFMid-Cap Blend100.00%0.83%0.06%25.49$48,431100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 01/26/2021. (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 1Portfolio 2
Arithmetic Mean (monthly)0.90%1.02%
Arithmetic Mean (annualized)11.33%12.92%
Geometric Mean (monthly)0.78%0.87%
Geometric Mean (annualized)9.74%10.94%
Volatility (monthly)4.88%5.41%
Volatility (annualized)16.92%18.73%
Downside Deviation (monthly)3.27%3.63%
Max. Drawdown-55.58%-52.66%
US Market Correlation0.980.96
Beta(*)1.111.20
Alpha (annualized)-0.96%-0.53%
R296.43%92.69%
Sharpe Ratio0.560.58
Sortino Ratio0.830.86
Treynor Ratio (%)8.609.11
Calmar Ratio0.380.55
Active Return-0.13%1.07%
Tracking Error3.58%5.91%
Information Ratio-0.040.18
Skewness-0.55-0.61
Excess Kurtosis3.452.89
Historical Value-at-Risk (5%)-7.35%-8.11%
Analytical Value-at-Risk (5%)-7.14%-7.88%
Conditional Value-at-Risk (5%)-11.24%-12.05%
Upside Capture Ratio (%)106.26119.33
Downside Capture Ratio (%)109.02118.66
Safe Withdrawal Rate9.04%9.59%
Perpetual Withdrawal Rate7.00%8.01%
Positive Periods136 out of 204 (66.67%)131 out of 204 (64.22%)
Gain/Loss Ratio0.830.93
* 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 2009-54.30%-52.54%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.58%
2Jan 2020Mar 20203 monthsNov 20208 months11 months-26.65%
3May 2011Sep 20115 monthsMar 20126 months11 months-19.88%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.90%
5Jun 2015Jan 20168 monthsMay 20164 months1 year-10.58%
6Apr 2012May 20122 monthsSep 20124 months6 months-7.69%
7May 2019May 20191 monthJun 20191 month2 months-6.93%
8Jan 2005Apr 20054 monthsJun 20052 months6 months-5.49%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.28%
10Jul 2004Aug 20042 monthsOct 20042 months4 months-4.67%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-52.66%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-28.01%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.02%
4Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.52%
5Jun 2015Jan 20168 monthsSep 20168 months1 year 4 months-16.36%
6May 2006Jul 20063 monthsOct 20063 months6 months-7.14%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-6.83%
8Apr 2004Jul 20044 monthsOct 20043 months7 months-5.58%
9Sep 2014Sep 20141 monthNov 20142 months3 months-5.06%
10Jul 2014Jul 20141 monthAug 20141 month2 months-4.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
RSPInvesco S&P 500 Equal Weight ETF9.74%16.92%44.64%-40.07%-55.58%0.560.830.98
VXFVanguard Extended Market ETF10.94%18.73%38.26%-38.70%-52.66%0.580.860.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameRSPVXFPortfolio 1Portfolio 2
RSPInvesco S&P 500 Equal Weight ETF1.000.971.000.97
VXFVanguard Extended Market ETF0.971.000.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
RSPInvesco S&P 500 Equal Weight ETF$38,579
VXFVanguard Extended Market ETF$48,431

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
RSPInvesco S&P 500 Equal Weight ETF100.00%
VXFVanguard Extended Market ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.36%79.06%-47.46%10.99%68.99%-44.62%
3 years9.27%33.05%-18.35%9.51%31.93%-16.89%
5 years9.22%28.31%-7.39%9.24%28.32%-5.50%
7 years10.38%20.10%3.91%10.38%18.12%4.61%
10 years10.36%18.33%6.90%10.38%17.68%6.15%
15 years8.87%9.65%7.09%9.17%10.49%7.05%