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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2013 - Dec 2020)

Note: The time period was constrained by the available data for VanEck Vectors Fallen Angel HiYld Bd ETF (ANGL) [May 2012 - Dec 2020].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
VBTLX	Vanguard Total Bond Market Index Adm	100.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
ANGL	VanEck Vectors Fallen Angel HiYld Bd ETF	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$12,941	3.27%	3.20%	8.71%	-2.15%	-3.73%	0.81	1.41	-0.01
Portfolio 2	$10,000	$18,850	8.25%	9.18%	25.71%	-5.84%	-14.60%	0.83	1.28	0.75

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Portfolio 1	0.67%	7.72%	5.40%	4.46%	3.27%	3.50%	3.29%
Portfolio 2	9.74%	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
Year	Inflation	Portfolio 1		Portfolio 2		Vanguard Total Bond Market Index Adm (VBTLX)	VanEck Vectors Fallen Angel HiYld Bd ETF (ANGL)
Year	Inflation	Return	Balance	Return	Balance	Vanguard Total Bond Market Index Adm (VBTLX)	VanEck Vectors Fallen Angel HiYld Bd ETF (ANGL)
2013	1.50%	-2.15%	$9,785	7.26%	$10,726	-2.15%	7.26%
2014	0.76%	5.89%	$10,362	2.72%	$11,018	5.89%	2.72%
2015	0.73%	0.40%	$10,404	-1.43%	$10,860	0.40%	-1.43%
2016	2.07%	2.60%	$10,674	25.71%	$13,652	2.60%	25.71%
2017	2.11%	3.56%	$11,053	9.70%	$14,977	3.56%	9.70%
2018	1.91%	-0.03%	$11,050	-5.84%	$14,103	-0.03%	-5.84%
2019	2.29%	8.71%	$12,013	18.07%	$16,651	8.71%	18.07%
2020	1.36%	7.72%	$12,941	13.20%	$18,850	7.72%	13.20%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Vanguard Total Bond Market Index Adm (VBTLX)	VanEck Vectors Fallen Angel HiYld Bd ETF (ANGL)
2013	1	-0.70%	0.56%	-0.70%	0.56%
2013	2	0.55%	0.74%	0.55%	0.74%
2013	3	0.09%	1.90%	0.09%	1.90%
2013	4	0.92%	1.61%	0.92%	1.61%
2013	5	-1.70%	-0.11%	-1.70%	-0.11%
2013	6	-1.64%	-3.72%	-1.64%	-3.72%
2013	7	0.21%	2.85%	0.21%	2.85%
2013	8	-0.63%	-1.65%	-0.63%	-1.65%
2013	9	0.97%	0.84%	0.97%	0.84%
2013	10	0.79%	2.32%	0.79%	2.32%
2013	11	-0.34%	0.51%	-0.34%	0.51%
2013	12	-0.64%	1.35%	-0.64%	1.35%
2014	1	1.55%	-0.15%	1.55%	-0.15%
2014	2	0.49%	3.02%	0.49%	3.02%
2014	3	-0.14%	-0.33%	-0.14%	-0.33%
2014	4	0.78%	1.39%	0.78%	1.39%
2014	5	1.06%	2.30%	1.06%	2.30%
2014	6	0.12%	0.42%	0.12%	0.42%
2014	7	-0.25%	-0.61%	-0.25%	-0.61%
2014	8	1.14%	2.01%	1.14%	2.01%
2014	9	-0.71%	-1.71%	-0.71%	-1.71%
2014	10	0.95%	-0.05%	0.95%	-0.05%
2014	11	0.66%	-0.29%	0.66%	-0.29%
2014	12	0.10%	-3.14%	0.10%	-3.14%
2015	1	2.32%	2.42%	2.32%	2.42%
2015	2	-1.07%	2.97%	-1.07%	2.97%
2015	3	0.42%	0.56%	0.42%	0.56%
2015	4	-0.35%	1.89%	-0.35%	1.89%
2015	5	-0.44%	0.07%	-0.44%	0.07%
2015	6	-1.00%	-1.39%	-1.00%	-1.39%
2015	7	0.77%	-0.18%	0.77%	-0.18%
2015	8	-0.35%	-2.54%	-0.35%	-2.54%
2015	9	0.76%	-1.96%	0.76%	-1.96%
2015	10	0.02%	2.14%	0.02%	2.14%
2015	11	-0.26%	-2.14%	-0.26%	-2.14%
2015	12	-0.37%	-3.04%	-0.37%	-3.04%
2016	1	1.44%	-1.73%	1.44%	-1.73%
2016	2	0.67%	2.36%	0.67%	2.36%
2016	3	0.95%	6.04%	0.95%	6.04%
2016	4	0.39%	6.39%	0.39%	6.39%
2016	5	0.02%	-0.26%	0.02%	-0.26%
2016	6	1.94%	3.68%	1.94%	3.68%
2016	7	0.65%	1.64%	0.65%	1.64%
2016	8	-0.16%	2.49%	-0.16%	2.49%
2016	9	-0.08%	1.17%	-0.08%	1.17%
2016	10	-0.80%	-0.18%	-0.80%	-0.18%
2016	11	-2.63%	0.19%	-2.63%	0.19%
2016	12	0.25%	1.65%	0.25%	1.65%
2017	1	0.30%	1.91%	0.30%	1.91%
2017	2	0.67%	1.20%	0.67%	1.20%
2017	3	-0.06%	0.38%	-0.06%	0.38%
2017	4	0.77%	0.88%	0.77%	0.88%
2017	5	0.68%	0.55%	0.68%	0.55%
2017	6	0.02%	0.09%	0.02%	0.09%
2017	7	0.40%	1.46%	0.40%	1.46%
2017	8	0.86%	0.69%	0.86%	0.69%
2017	9	-0.53%	1.38%	-0.53%	1.38%
2017	10	0.12%	0.14%	0.12%	0.14%
2017	11	-0.16%	-0.08%	-0.16%	-0.08%
2017	12	0.45%	0.71%	0.45%	0.71%
2018	1	-1.09%	0.53%	-1.09%	0.53%
2018	2	-1.02%	-1.77%	-1.02%	-1.77%
2018	3	0.63%	-0.92%	0.63%	-0.92%
2018	4	-0.82%	0.60%	-0.82%	0.60%
2018	5	0.62%	-0.37%	0.62%	-0.37%
2018	6	0.04%	-0.20%	0.04%	-0.20%
2018	7	0.04%	1.60%	0.04%	1.60%
2018	8	0.52%	0.55%	0.52%	0.55%
2018	9	-0.53%	0.63%	-0.53%	0.63%
2018	10	-0.72%	-2.59%	-0.72%	-2.59%
2018	11	0.53%	-2.10%	0.53%	-2.10%
2018	12	1.81%	-1.85%	1.81%	-1.85%
2019	1	1.02%	5.77%	1.02%	5.77%
2019	2	-0.05%	1.86%	-0.05%	1.86%
2019	3	1.96%	0.90%	1.96%	0.90%
2019	4	0.05%	1.66%	0.05%	1.66%
2019	5	1.84%	-2.05%	1.84%	-2.05%
2019	6	1.16%	3.80%	1.16%	3.80%
2019	7	0.23%	0.64%	0.23%	0.64%
2019	8	2.79%	0.35%	2.79%	0.35%
2019	9	-0.59%	0.41%	-0.59%	0.41%
2019	10	0.22%	0.27%	0.22%	0.27%
2019	11	-0.06%	1.00%	-0.06%	1.00%
2019	12	-0.14%	2.33%	-0.14%	2.33%
2020	1	2.12%	0.00%	2.12%	0.00%
2020	2	1.72%	-0.86%	1.72%	-0.86%
2020	3	-0.58%	-13.85%	-0.58%	-13.85%
2020	4	1.70%	8.07%	1.70%	8.07%
2020	5	0.54%	4.06%	0.54%	4.06%
2020	6	0.71%	2.32%	0.71%	2.32%
2020	7	1.56%	7.27%	1.56%	7.27%
2020	8	-1.02%	-0.12%	-1.02%	-0.12%
2020	9	0.08%	-2.03%	0.08%	-2.03%
2020	10	-0.60%	0.93%	-0.60%	0.93%
2020	11	1.12%	5.80%	1.12%	5.80%
2020	12	0.16%	2.76%	0.16%	2.76%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2
Large-cap Value	0.00%	0.93%
Large-cap Growth	0.43%	2.17%
Mid-cap Value	0.00%	19.77%
Mid-cap Growth	0.00%	0.00%
Small-cap Value	0.00%	0.00%
Small-cap Growth	0.00%	0.00%
Global ex-US Developed Markets	0.00%	3.03%
Emerging Markets	0.37%	11.26%
Corporate Bonds	26.92%	62.84%
Long-Term Treasuries	5.04%	0.00%
Intermediate-Term Treasuries	19.43%	0.00%
Short-Term Treasuries	47.81%	0.00%
R Squared	98.18%	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
Ticker	Name	Category	Weight	Yield	Fees	Duration	Return Contribution	Risk Contribution
VBTLX	Vanguard Total Bond Market Index Adm	Intermediate Core Bond	100.00%	1.11%	0.05%	6.68	$2,941	100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
ANGL	VanEck Vectors Fallen Angel HiYld Bd ETF	High Yield Bond	100.00%	3.54%	0.35%	59.99	6.63	$8,850	100.00%

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
Metric	Portfolio 1	Portfolio 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	-0.01	0.75
Beta^(*)	-0.00	0.48
Alpha (annualized)	3.30%	1.08%
R²	0.01%	55.94%
Sharpe Ratio	0.81	0.83
Sortino Ratio	1.41	1.28
Treynor Ratio (%)	-1,571.34	15.82
Calmar Ratio	2.32	0.55
Active Return	-11.75%	-6.78%
Tracking Error	14.57%	9.53%
Information Ratio	-0.81	-0.71
Skewness	0.03	-1.20
Excess Kurtosis	0.64	9.35
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 (%)	6.92	47.32
Downside Capture Ratio (%)	-10.26	45.19
Safe Withdrawal Rate	12.87%	15.73%
Perpetual Withdrawal Rate	1.63%	6.15%
Positive Periods	61 out of 96 (63.54%)	63 out of 96 (65.63%)
Gain/Loss Ratio	1.25	1.14
^* 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)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	May 2013	Aug 2013	4 months	May 2014	9 months	1 year 1 month	-3.73%
2	Aug 2016	Nov 2016	4 months	Aug 2017	9 months	1 year 1 month	-3.65%
3	Sep 2017	Oct 2018	1 year 2 months	Jan 2019	3 months	1 year 5 months	-2.45%
4	Feb 2015	Jun 2015	5 months	Feb 2016	8 months	1 year 1 month	-2.43%
5	Aug 2020	Oct 2020	3 months				-1.53%
6	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-0.71%
7	Jan 2013	Jan 2013	1 month	Apr 2013	3 months	4 months	-0.70%
8	Sep 2019	Sep 2019	1 month	Jan 2020	4 months	5 months	-0.59%
9	Mar 2020	Mar 2020	1 month	Apr 2020	1 month	2 months	-0.58%
10	Jul 2014	Jul 2014	1 month	Aug 2014	1 month	2 months	-0.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-14.60%
2	Jun 2015	Jan 2016	8 months	Apr 2016	3 months	11 months	-10.42%
3	Oct 2018	Dec 2018	3 months	Feb 2019	2 months	5 months	-6.41%
4	Sep 2014	Dec 2014	4 months	Feb 2015	2 months	6 months	-5.12%
5	May 2013	Jun 2013	2 months	Oct 2013	4 months	6 months	-3.83%
6	Feb 2018	Mar 2018	2 months	Sep 2018	6 months	8 months	-2.67%
7	Aug 2020	Sep 2020	2 months	Nov 2020	2 months	4 months	-2.15%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-2.05%
9	Jul 2014	Jul 2014	1 month	Aug 2014	1 month	2 months	-0.61%
10	Mar 2014	Mar 2014	1 month	Apr 2014	1 month	2 months	-0.33%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
VBTLX	Vanguard Total Bond Market Index Adm	3.27%	3.20%	8.71%	-2.15%	-3.73%	0.81	1.41	-0.01
ANGL	VanEck Vectors Fallen Angel HiYld Bd ETF	8.25%	9.18%	25.71%	-5.84%	-14.60%	0.83	1.28	0.75

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VBTLX	ANGL	Portfolio 1	Portfolio 2
VBTLX	Vanguard Total Bond Market Index Adm	1.00	0.31	1.00	0.31
ANGL	VanEck Vectors Fallen Angel HiYld Bd ETF	0.31	1.00	0.31	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2
VBTLX	Vanguard Total Bond Market Index Adm	$2,941
ANGL	VanEck Vectors Fallen Angel HiYld Bd ETF		$8,850

Portfolio Risk Decomposition

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

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	3.67%	11.85%	-2.15%	7.38%	30.36%	-7.24%
3 years	2.91%	5.75%	0.96%	7.32%	11.81%	0.20%
5 years	2.91%	4.48%	1.38%	7.41%	11.66%	4.01%
7 years	3.60%	4.13%	2.66%	7.18%	8.39%	4.68%