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

Vanguard Short-Term Infl-Prot Secs ETF
Ticker Name Allocation
VTIP Vanguard Short-Term Infl-Prot Secs ETF 100.00%
Save portfolio »
iShares TIPS Bond ETF
Ticker Name Allocation
TIP iShares TIPS Bond ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Short-Term Infl-Prot Secs ETF$10,000$11,123 1.34% 1.87%4.95%-1.53%-3.34% 0.340.500.42
iShares TIPS Bond ETF$10,000$11,879 2.18% 4.40%10.84%-8.49%-9.10% 0.350.510.22
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard Short-Term Infl-Prot Secs ETF1.37%4.95%3.44%2.71%1.34%2.02%1.82%
iShares TIPS Bond ETF1.63%10.84%5.79%4.99%2.18%3.92%3.64%
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
YearInflationVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETFVanguard Short-Term Infl-Prot Secs ETF (VTIP)iShares TIPS Bond ETF (TIP)
ReturnBalanceReturnBalance
20131.50%-1.53%$9,847-8.49%$9,151-1.53%-8.49%
20140.76%-1.41%$9,7083.59%$9,480-1.41%3.59%
20150.73%0.23%$9,730-1.75%$9,3140.23%-1.75%
20162.07%2.45%$9,9694.68%$9,7502.45%4.68%
20172.11%0.82%$10,0512.92%$10,0340.82%2.92%
20181.91%0.56%$10,107-1.42%$9,8910.56%-1.42%
20192.29%4.86%$10,5988.35%$10,7174.86%8.35%
20201.36%4.95%$11,12310.84%$11,8794.95%10.84%
Monthly returns for the configured portfolios
YearMonthVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETFVanguard Short-Term Infl-Prot Secs ETF (VTIP)iShares TIPS Bond ETF (TIP)
ReturnBalanceReturnBalance
201310.14%$10,014-0.52%$9,9480.14%-0.52%
201320.04%$10,0180.19%$9,9670.04%0.19%
201330.26%$10,0440.21%$9,9880.26%0.21%
20134-0.52%$9,9920.79%$10,068-0.52%0.79%
20135-0.94%$9,898-4.19%$9,645-0.94%-4.19%
20136-0.99%$9,800-3.80%$9,279-0.99%-3.80%
201370.69%$9,8680.90%$9,3620.69%0.90%
20138-0.47%$9,822-1.83%$9,191-0.47%-1.83%
201390.39%$9,8601.76%$9,3530.39%1.76%
2013100.24%$9,8840.34%$9,3850.24%0.34%
2013110.02%$9,886-1.06%$9,2860.02%-1.06%
201312-0.40%$9,847-1.45%$9,151-0.40%-1.45%
201410.16%$9,8632.10%$9,3430.16%2.10%
201420.28%$9,8910.44%$9,3840.28%0.44%
20143-0.44%$9,847-0.53%$9,334-0.44%-0.53%
201440.57%$9,9031.32%$9,4580.57%1.32%
201450.73%$9,9752.00%$9,6470.73%2.00%
201460.30%$10,0050.37%$9,6830.30%0.37%
20147-0.34%$9,971-0.09%$9,674-0.34%-0.09%
20148-0.08%$9,9630.61%$9,732-0.08%0.61%
20149-1.08%$9,855-2.59%$9,480-1.08%-2.59%
2014100.08%$9,8630.90%$9,5650.08%0.90%
201411-0.16%$9,8470.16%$9,581-0.16%0.16%
201412-1.41%$9,708-1.05%$9,480-1.41%-1.05%
201511.02%$9,8073.23%$9,7861.02%3.23%
20152-0.21%$9,787-1.29%$9,660-0.21%-1.29%
20153-0.35%$9,752-0.48%$9,614-0.35%-0.48%
201540.68%$9,8190.68%$9,6790.68%0.68%
20155-0.08%$9,811-1.01%$9,581-0.08%-1.01%
20156-0.14%$9,797-1.02%$9,483-0.14%-1.02%
20157-0.16%$9,7810.54%$9,534-0.16%0.54%
20158-0.39%$9,742-0.95%$9,443-0.39%-0.95%
20159-0.06%$9,736-0.52%$9,394-0.06%-0.52%
2015100.08%$9,7440.30%$9,4220.08%0.30%
201511-0.19%$9,726-0.14%$9,409-0.19%-0.14%
2015120.04%$9,730-1.01%$9,3140.04%-1.01%
201610.29%$9,7591.57%$9,4600.29%1.57%
201620.12%$9,7711.22%$9,5750.12%1.22%
201631.19%$9,8871.67%$9,7351.19%1.67%
20164-0.18%$9,8690.21%$9,755-0.18%0.21%
20165-0.06%$9,863-0.64%$9,692-0.06%-0.64%
201660.96%$9,9582.25%$9,9100.96%2.25%
20167-0.08%$9,9500.64%$9,973-0.08%0.64%
20168-0.40%$9,909-0.34%$9,939-0.40%-0.34%
201690.83%$9,9920.75%$10,0140.83%0.75%
2016100.02%$9,994-0.54%$9,9600.02%-0.54%
201611-0.58%$9,936-2.07%$9,753-0.58%-2.07%
2016120.34%$9,969-0.04%$9,7500.34%-0.04%
201710.47%$10,0160.89%$9,8370.47%0.89%
201720.04%$10,0200.41%$9,8770.04%0.41%
201730.12%$10,0320.00%$9,8770.12%0.00%
20174-0.02%$10,0300.45%$9,921-0.02%0.45%
20175-0.02%$10,028-0.04%$9,918-0.02%-0.04%
20176-0.44%$9,983-0.87%$9,832-0.44%-0.87%
201770.26%$10,0100.46%$9,8770.26%0.46%
201780.28%$10,0381.04%$9,9790.28%1.04%
20179-0.10%$10,028-0.70%$9,909-0.10%-0.70%
2017100.18%$10,0460.24%$9,9330.18%0.24%
201711-0.12%$10,0340.09%$9,941-0.12%0.09%
2017120.17%$10,0510.93%$10,0340.17%0.93%
20181-0.35%$10,016-0.85%$9,949-0.35%-0.85%
20182-0.06%$10,010-1.03%$9,846-0.06%-1.03%
201830.60%$10,0691.01%$9,9450.60%1.01%
20184-0.04%$10,065-0.13%$9,932-0.04%-0.13%
201850.31%$10,0960.33%$9,9650.31%0.33%
201860.21%$10,1180.65%$10,0300.21%0.65%
20187-0.16%$10,101-0.53%$9,976-0.16%-0.53%
201880.47%$10,1490.65%$10,0410.47%0.65%
20189-0.22%$10,127-0.97%$9,943-0.22%-0.97%
201810-0.43%$10,083-1.52%$9,792-0.43%-1.52%
2018110.04%$10,0870.48%$9,8390.04%0.48%
2018120.20%$10,1070.53%$9,8910.20%0.53%
201910.75%$10,1831.42%$10,0320.75%1.42%
20192-0.02%$10,181-0.17%$10,015-0.02%-0.17%
201930.85%$10,2671.98%$10,2130.85%1.98%
201940.47%$10,3160.22%$10,2360.47%0.22%
201950.55%$10,3731.75%$10,4150.55%1.75%
201960.63%$10,4380.75%$10,4930.63%0.75%
201970.02%$10,4410.32%$10,5260.02%0.32%
201980.51%$10,4932.33%$10,7710.51%2.33%
20199-0.19%$10,474-1.11%$10,652-0.19%-1.11%
2019100.27%$10,502-0.03%$10,6490.27%-0.03%
2019110.02%$10,5040.29%$10,6800.02%0.29%
2019120.90%$10,5980.35%$10,7170.90%0.35%
202010.37%$10,6372.14%$10,9460.37%2.14%
202020.40%$10,6800.92%$11,0470.40%0.92%
20203-1.89%$10,478-1.76%$10,853-1.89%-1.76%
202041.42%$10,6263.03%$11,1811.42%3.03%
202050.85%$10,7170.65%$11,2540.85%0.65%
202060.68%$10,7900.99%$11,3650.68%0.99%
202070.76%$10,8722.33%$11,6290.76%2.33%
202081.11%$10,9920.89%$11,7331.11%0.89%
20209-0.18%$10,973-0.38%$11,689-0.18%-0.38%
202010-0.20%$10,951-0.68%$11,610-0.20%-0.68%
2020110.59%$11,0161.21%$11,7500.59%1.21%
2020120.97%$11,1231.10%$11,8790.97%1.10%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryiShares TIPS Bond ETF
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value3.81%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.42%
Emerging Markets7.47%
Corporate Bonds14.70%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries53.22%
Short-Term Treasuries20.37%
R Squared78.87%
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 Vanguard Short-Term Infl-Prot Secs ETF

Holdings Based Style Analysis for Vanguard Short-Term Infl-Prot Secs ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VTIPVanguard Short-Term Infl-Prot Secs ETFInflation-Protected Bond100.00%2.26%0.05%2.73$1,123100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for iShares TIPS Bond ETF

Holdings Based Style Analysis for iShares TIPS Bond ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
TIPiShares TIPS Bond ETFInflation-Protected Bond100.00%3.83%0.19%7.65$1,879100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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
MetricVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETF
Arithmetic Mean (monthly)0.11%0.19%
Arithmetic Mean (annualized)1.36%2.27%
Geometric Mean (monthly)0.11%0.18%
Geometric Mean (annualized)1.34%2.18%
Volatility (monthly)0.54%1.27%
Volatility (annualized)1.87%4.40%
Downside Deviation (monthly)0.34%0.85%
Max. Drawdown-3.34%-9.10%
US Market Correlation0.420.22
Beta(*)0.060.07
Alpha (annualized)0.51%1.23%
R217.82%4.81%
Sharpe Ratio0.340.35
Sortino Ratio0.500.51
Treynor Ratio (%)11.3122.55
Calmar Ratio1.812.34
Active Return-13.69%-12.85%
Tracking Error13.51%13.91%
Information Ratio-1.01-0.92
Skewness-0.53-0.53
Excess Kurtosis1.741.55
Historical Value-at-Risk (5%)-0.67%-1.77%
Analytical Value-at-Risk (5%)-0.78%-1.90%
Conditional Value-at-Risk (5%)-1.26%-2.90%
Upside Capture Ratio (%)6.078.46
Downside Capture Ratio (%)4.093.05
Safe Withdrawal Rate11.87%11.70%
Perpetual Withdrawal Rate0.00%0.57%
Positive Periods56 out of 96 (58.33%)57 out of 96 (59.38%)
Gain/Loss Ratio1.260.98
* 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 PeriodStartEndVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETF
COVID-19 StartJan 2020Mar 2020-1.89%-1.76%

Drawdowns for Vanguard Short-Term Infl-Prot Secs ETF

Drawdowns for Vanguard Short-Term Infl-Prot Secs ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2013Dec 20141 year 9 monthsOct 20172 years 10 months4 years 7 months-3.34%
2Mar 2020Mar 20201 monthMay 20202 months3 months-1.89%
3Sep 2018Oct 20182 monthsJan 20193 months5 months-0.65%
4Jan 2018Feb 20182 monthsMar 20181 month3 months-0.41%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-0.37%
6Sep 2019Sep 20191 monthOct 20191 month2 months-0.19%
7Jul 2018Jul 20181 monthAug 20181 month2 months-0.16%
8Nov 2017Nov 20171 monthDec 20171 month2 months-0.12%
9Apr 2018Apr 20181 monthMay 20181 month2 months-0.04%
10Feb 2019Feb 20191 monthMar 20191 month2 months-0.02%

Drawdowns for iShares TIPS Bond ETF

Drawdowns for iShares TIPS Bond ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Dec 20138 monthsMar 20195 years 3 months5 years 11 months-9.10%
2Mar 2020Mar 20201 monthApr 20201 month2 months-1.76%
3Sep 2019Oct 20192 monthsJan 20203 months5 months-1.14%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-1.05%
5Jan 2013Jan 20131 monthApr 20133 months4 months-0.52%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIPVanguard Short-Term Infl-Prot Secs ETF1.34%1.87%4.95%-1.53%-3.34%0.340.500.42
TIPiShares TIPS Bond ETF2.18%4.40%10.84%-8.49%-9.10%0.350.510.22

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIPTIPVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETF
VTIPVanguard Short-Term Infl-Prot Secs ETF1.000.791.000.79
TIPiShares TIPS Bond ETF0.791.000.791.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETF
VTIPVanguard Short-Term Infl-Prot Secs ETF$1,123
TIPiShares TIPS Bond ETF$1,879

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETF
VTIPVanguard Short-Term Infl-Prot Secs ETF100.00%
TIPiShares TIPS Bond ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Short-Term Infl-Prot Secs ETFiShares TIPS Bond ETF
AverageHighLowAverageHighLow
1 year1.25%4.95%-2.21%2.53%10.84%-8.49%
3 years1.11%3.44%-0.91%2.04%5.79%-2.34%
5 years1.11%2.71%-0.02%2.05%4.99%-0.27%
7 years1.23%1.76%0.61%2.46%3.80%0.99%