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 Analysis Results (Jan 2013 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBTLX Vanguard Total Bond Market Index Adm 100.00%
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Portfolio 2
Ticker Name Allocation
ANGL VanEck Vectors Fallen Angel HiYld Bd ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,941 3.27% 3.20%8.71%-2.15%-3.73% 0.811.41-0.01
Portfolio 2$10,000$18,850 8.25% 9.18%25.71%-5.84%-14.60% 0.831.280.75
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 10.67%7.72%5.40%4.46%3.27%3.50%3.29%
Portfolio 29.74%13.20%7.97%11.66%8.25%12.42%10.43%
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 2Vanguard Total Bond Market Index Adm (VBTLX)VanEck Vectors Fallen Angel HiYld Bd ETF (ANGL)
ReturnBalanceReturnBalance
20131.50%-2.15%$9,7857.26%$10,726-2.15%7.26%
20140.76%5.89%$10,3622.72%$11,0185.89%2.72%
20150.73%0.40%$10,404-1.43%$10,8600.40%-1.43%
20162.07%2.60%$10,67425.71%$13,6522.60%25.71%
20172.11%3.56%$11,0539.70%$14,9773.56%9.70%
20181.91%-0.03%$11,050-5.84%$14,103-0.03%-5.84%
20192.29%8.71%$12,01318.07%$16,6518.71%18.07%
20201.36%7.72%$12,94113.20%$18,8507.72%13.20%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnVanguard Total Bond Market Index Adm (VBTLX)VanEck Vectors Fallen Angel HiYld Bd ETF (ANGL)
20131-0.70%0.56%-0.70%0.56%
201320.55%0.74%0.55%0.74%
201330.09%1.90%0.09%1.90%
201340.92%1.61%0.92%1.61%
20135-1.70%-0.11%-1.70%-0.11%
20136-1.64%-3.72%-1.64%-3.72%
201370.21%2.85%0.21%2.85%
20138-0.63%-1.65%-0.63%-1.65%
201390.97%0.84%0.97%0.84%
2013100.79%2.32%0.79%2.32%
201311-0.34%0.51%-0.34%0.51%
201312-0.64%1.35%-0.64%1.35%
201411.55%-0.15%1.55%-0.15%
201420.49%3.02%0.49%3.02%
20143-0.14%-0.33%-0.14%-0.33%
201440.78%1.39%0.78%1.39%
201451.06%2.30%1.06%2.30%
201460.12%0.42%0.12%0.42%
20147-0.25%-0.61%-0.25%-0.61%
201481.14%2.01%1.14%2.01%
20149-0.71%-1.71%-0.71%-1.71%
2014100.95%-0.05%0.95%-0.05%
2014110.66%-0.29%0.66%-0.29%
2014120.10%-3.14%0.10%-3.14%
201512.32%2.42%2.32%2.42%
20152-1.07%2.97%-1.07%2.97%
201530.42%0.56%0.42%0.56%
20154-0.35%1.89%-0.35%1.89%
20155-0.44%0.07%-0.44%0.07%
20156-1.00%-1.39%-1.00%-1.39%
201570.77%-0.18%0.77%-0.18%
20158-0.35%-2.54%-0.35%-2.54%
201590.76%-1.96%0.76%-1.96%
2015100.02%2.14%0.02%2.14%
201511-0.26%-2.14%-0.26%-2.14%
201512-0.37%-3.04%-0.37%-3.04%
201611.44%-1.73%1.44%-1.73%
201620.67%2.36%0.67%2.36%
201630.95%6.04%0.95%6.04%
201640.39%6.39%0.39%6.39%
201650.02%-0.26%0.02%-0.26%
201661.94%3.68%1.94%3.68%
201670.65%1.64%0.65%1.64%
20168-0.16%2.49%-0.16%2.49%
20169-0.08%1.17%-0.08%1.17%
201610-0.80%-0.18%-0.80%-0.18%
201611-2.63%0.19%-2.63%0.19%
2016120.25%1.65%0.25%1.65%
201710.30%1.91%0.30%1.91%
201720.67%1.20%0.67%1.20%
20173-0.06%0.38%-0.06%0.38%
201740.77%0.88%0.77%0.88%
201750.68%0.55%0.68%0.55%
201760.02%0.09%0.02%0.09%
201770.40%1.46%0.40%1.46%
201780.86%0.69%0.86%0.69%
20179-0.53%1.38%-0.53%1.38%
2017100.12%0.14%0.12%0.14%
201711-0.16%-0.08%-0.16%-0.08%
2017120.45%0.71%0.45%0.71%
20181-1.09%0.53%-1.09%0.53%
20182-1.02%-1.77%-1.02%-1.77%
201830.63%-0.92%0.63%-0.92%
20184-0.82%0.60%-0.82%0.60%
201850.62%-0.37%0.62%-0.37%
201860.04%-0.20%0.04%-0.20%
201870.04%1.60%0.04%1.60%
201880.52%0.55%0.52%0.55%
20189-0.53%0.63%-0.53%0.63%
201810-0.72%-2.59%-0.72%-2.59%
2018110.53%-2.10%0.53%-2.10%
2018121.81%-1.85%1.81%-1.85%
201911.02%5.77%1.02%5.77%
20192-0.05%1.86%-0.05%1.86%
201931.96%0.90%1.96%0.90%
201940.05%1.66%0.05%1.66%
201951.84%-2.05%1.84%-2.05%
201961.16%3.80%1.16%3.80%
201970.23%0.64%0.23%0.64%
201982.79%0.35%2.79%0.35%
20199-0.59%0.41%-0.59%0.41%
2019100.22%0.27%0.22%0.27%
201911-0.06%1.00%-0.06%1.00%
201912-0.14%2.33%-0.14%2.33%
202012.12%0.00%2.12%0.00%
202021.72%-0.86%1.72%-0.86%
20203-0.58%-13.85%-0.58%-13.85%
202041.70%8.07%1.70%8.07%
202050.54%4.06%0.54%4.06%
202060.71%2.32%0.71%2.32%
202071.56%7.27%1.56%7.27%
20208-1.02%-0.12%-1.02%-0.12%
202090.08%-2.03%0.08%-2.03%
202010-0.60%0.93%-0.60%0.93%
2020111.12%5.80%1.12%5.80%
2020120.16%2.76%0.16%2.76%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.93%
Large-cap Growth0.43%2.17%
Mid-cap Value0.00%19.77%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%3.03%
Emerging Markets0.37%11.26%
Corporate Bonds26.92%62.84%
Long-Term Treasuries5.04%0.00%
Intermediate-Term Treasuries19.43%0.00%
Short-Term Treasuries47.81%0.00%
R Squared98.18%79.66%
Style analysis is based on monthly returns from January 2013 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
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond100.00%1.11%0.05%6.68$2,941100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
ANGLVanEck Vectors Fallen Angel HiYld Bd ETFHigh Yield Bond100.00%3.54%0.35%59.996.63$8,850100.00%

Asset Allocation

Fixed Income Credit Quality

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)0.27%0.70%
Arithmetic Mean (annualized)3.33%8.70%
Geometric Mean (monthly)0.27%0.66%
Geometric Mean (annualized)3.27%8.25%
Volatility (monthly)0.92%2.65%
Volatility (annualized)3.20%9.18%
Downside Deviation (monthly)0.50%1.70%
Max. Drawdown-3.73%-14.60%
US Market Correlation-0.010.75
Beta(*)-0.000.48
Alpha (annualized)3.30%1.08%
R20.01%55.94%
Sharpe Ratio0.810.83
Sortino Ratio1.411.28
Treynor Ratio (%)-1,571.3415.82
Calmar Ratio2.320.55
Active Return-11.75%-6.78%
Tracking Error14.57%9.53%
Information Ratio-0.81-0.71
Skewness0.03-1.20
Excess Kurtosis0.649.35
Historical Value-at-Risk (5%)-1.03%-2.55%
Analytical Value-at-Risk (5%)-1.25%-3.66%
Conditional Value-at-Risk (5%)-1.63%-5.27%
Upside Capture Ratio (%)6.9247.32
Downside Capture Ratio (%)-10.2645.19
Safe Withdrawal Rate12.87%15.73%
Perpetual Withdrawal Rate1.63%6.15%
Positive Periods61 out of 96 (63.54%)63 out of 96 (65.63%)
Gain/Loss Ratio1.251.14
* 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
1May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.73%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.65%
3Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.45%
4Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.43%
5Aug 2020Oct 20203 months-1.53%
6Sep 2014Sep 20141 monthOct 20141 month2 months-0.71%
7Jan 2013Jan 20131 monthApr 20133 months4 months-0.70%
8Sep 2019Sep 20191 monthJan 20204 months5 months-0.59%
9Mar 2020Mar 20201 monthApr 20201 month2 months-0.58%
10Jul 2014Jul 20141 monthAug 20141 month2 months-0.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-14.60%
2Jun 2015Jan 20168 monthsApr 20163 months11 months-10.42%
3Oct 2018Dec 20183 monthsFeb 20192 months5 months-6.41%
4Sep 2014Dec 20144 monthsFeb 20152 months6 months-5.12%
5May 2013Jun 20132 monthsOct 20134 months6 months-3.83%
6Feb 2018Mar 20182 monthsSep 20186 months8 months-2.67%
7Aug 2020Sep 20202 monthsNov 20202 months4 months-2.15%
8May 2019May 20191 monthJun 20191 month2 months-2.05%
9Jul 2014Jul 20141 monthAug 20141 month2 months-0.61%
10Mar 2014Mar 20141 monthApr 20141 month2 months-0.33%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBTLXVanguard Total Bond Market Index Adm3.27%3.20%8.71%-2.15%-3.73%0.811.41-0.01
ANGLVanEck Vectors Fallen Angel HiYld Bd ETF8.25%9.18%25.71%-5.84%-14.60%0.831.280.75

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBTLXANGLPortfolio 1Portfolio 2
VBTLXVanguard Total Bond Market Index Adm1.000.311.000.31
ANGLVanEck Vectors Fallen Angel HiYld Bd ETF0.311.000.311.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBTLXVanguard Total Bond Market Index Adm$2,941
ANGLVanEck Vectors Fallen Angel HiYld Bd ETF$8,850

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBTLXVanguard Total Bond Market Index Adm100.00%
ANGLVanEck Vectors Fallen Angel HiYld Bd ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year3.67%11.85%-2.15%7.38%30.36%-7.24%
3 years2.91%5.75%0.96%7.32%11.81%0.20%
5 years2.91%4.48%1.38%7.41%11.66%4.01%
7 years3.60%4.13%2.66%7.18%8.39%4.68%