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 2016 - Dec 2020)

Portfolio Allocations

Vanguard High Dividend Yield ETF
Ticker Name Allocation
VYM Vanguard High Dividend Yield ETF 100.00%
Save portfolio »
iShares Core High Dividend ETF
Ticker Name Allocation
HDV iShares Core High Dividend ETF 100.00%
Save portfolio »
SPDR Portfolio S&P 500 High Div ETF
Ticker Name Allocation
SPYD SPDR Portfolio S&P 500 High Div ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard High Dividend Yield ETF$10,000$16,088 9.98% 14.47%24.07%-5.91%-23.98% 0.650.960.96
iShares Core High Dividend ETF$10,000$14,335 7.47% 15.03%20.23%-6.47%-26.06% 0.480.700.89
SPDR Portfolio S&P 500 High Div ETF$10,000$14,313 7.43% 19.52%24.59%-11.53%-36.55% 0.410.560.87
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard High Dividend Yield ETF14.09%1.14%5.69%9.98%9.98%17.85%14.47%
iShares Core High Dividend ETF10.08%-6.47%2.95%7.47%7.47%18.63%15.03%
SPDR Portfolio S&P 500 High Div ETF22.46%-11.53%0.66%7.43%7.43%24.22%19.52%
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 High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETFVanguard High Dividend Yield ETF (VYM)iShares Core High Dividend ETF (HDV)SPDR Portfolio S&P 500 High Div ETF (SPYD)
ReturnBalanceReturnBalanceReturnBalance
20162.07%17.05%$11,70515.86%$11,58624.59%$12,45917.05%15.86%24.59%
20172.11%16.42%$13,62613.41%$13,14012.65%$14,03416.42%13.41%12.65%
20181.91%-5.91%$12,820-2.98%$12,749-4.88%$13,349-5.91%-2.98%-4.88%
20192.29%24.07%$15,90720.23%$15,32721.19%$16,17924.07%20.23%21.19%
20201.36%1.14%$16,088-6.47%$14,335-11.53%$14,3131.14%-6.47%-11.53%
Monthly returns for the configured portfolios
YearMonthVanguard High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETFVanguard High Dividend Yield ETF (VYM)iShares Core High Dividend ETF (HDV)SPDR Portfolio S&P 500 High Div ETF (SPYD)
ReturnBalanceReturnBalanceReturnBalance
20161-2.82%$9,7180.11%$10,011-1.12%$9,888-2.82%0.11%-1.12%
201620.51%$9,7680.97%$10,1083.08%$10,1930.51%0.97%3.08%
201636.64%$10,4166.05%$10,7198.86%$11,0966.64%6.05%8.86%
201640.72%$10,4911.08%$10,8351.39%$11,2500.72%1.08%1.39%
201651.39%$10,6381.60%$11,0080.05%$11,2561.39%1.60%0.05%
201662.18%$10,8693.41%$11,3833.71%$11,6742.18%3.41%3.71%
201672.35%$11,1250.73%$11,4663.25%$12,0542.35%0.73%3.25%
20168-0.30%$11,091-1.08%$11,343-0.40%$12,005-0.30%-1.08%-0.40%
20169-0.40%$11,0470.14%$11,3590.56%$12,072-0.40%0.14%0.56%
201610-1.28%$10,907-2.46%$11,079-2.42%$11,781-1.28%-2.46%-2.42%
2016114.23%$11,3681.30%$11,2235.07%$12,3784.23%1.30%5.07%
2016122.97%$11,7053.23%$11,5860.65%$12,4592.97%3.23%0.65%
20171-0.04%$11,700-0.73%$11,5010.72%$12,548-0.04%-0.73%0.72%
201723.58%$12,1193.74%$11,9312.76%$12,8953.58%3.74%2.76%
20173-0.30%$12,082-0.14%$11,915-1.39%$12,715-0.30%-0.14%-1.39%
20174-0.08%$12,073-0.72%$11,829-0.43%$12,661-0.08%-0.72%-0.43%
201750.36%$12,1161.37%$11,9910.14%$12,6790.36%1.37%0.14%
201761.13%$12,254-0.66%$11,9121.37%$12,8521.13%-0.66%1.37%
201771.61%$12,4511.66%$12,1101.10%$12,9941.61%1.66%1.10%
20178-0.18%$12,429-0.44%$12,057-1.32%$12,823-0.18%-0.44%-1.32%
201793.02%$12,8043.02%$12,4213.22%$13,2353.02%3.02%3.22%
2017101.74%$13,027-0.31%$12,3820.49%$13,3001.74%-0.31%0.49%
2017113.07%$13,4273.72%$12,8434.48%$13,8973.07%3.72%4.48%
2017121.49%$13,6262.31%$13,1400.99%$14,0341.49%2.31%0.99%
201814.11%$14,1862.32%$13,4441.71%$14,2744.11%2.32%1.71%
20182-4.72%$13,516-6.61%$12,555-5.46%$13,495-4.72%-6.61%-5.46%
20183-2.17%$13,223-0.98%$12,4320.26%$13,530-2.17%-0.98%0.26%
201840.13%$13,241-0.02%$12,4291.20%$13,6930.13%-0.02%1.20%
201851.60%$13,4530.31%$12,4671.52%$13,9011.60%0.31%1.52%
20186-0.29%$13,4131.26%$12,6252.53%$14,253-0.29%1.26%2.53%
201874.09%$13,9623.93%$13,1211.47%$14,4634.09%3.93%1.47%
201881.11%$14,1171.23%$13,2831.06%$14,6161.11%1.23%1.06%
201890.40%$14,1742.14%$13,567-0.74%$14,5090.40%2.14%-0.74%
201810-4.40%$13,551-2.21%$13,268-2.89%$14,089-4.40%-2.21%-2.89%
2018113.56%$14,0334.26%$13,8333.51%$14,5843.56%4.26%3.51%
201812-8.64%$12,820-7.84%$12,749-8.47%$13,349-8.64%-7.84%-8.47%
201916.10%$13,6034.82%$13,3638.07%$14,4276.10%4.82%8.07%
201923.77%$14,1164.32%$13,9412.53%$14,7913.77%4.32%2.53%
201930.53%$14,1902.00%$14,2201.14%$14,9600.53%2.00%1.14%
201942.84%$14,5922.26%$14,5411.98%$15,2562.84%2.26%1.98%
20195-6.31%$13,671-6.17%$13,644-7.10%$14,173-6.31%-6.17%-7.10%
201966.65%$14,5806.42%$14,5207.40%$15,2226.65%6.42%7.40%
201970.72%$14,685-0.21%$14,489-0.34%$15,1700.72%-0.21%-0.34%
20198-2.10%$14,376-1.74%$14,237-4.91%$14,425-2.10%-1.74%-4.91%
201993.90%$14,9372.54%$14,5996.60%$15,3783.90%2.54%6.60%
2019101.05%$15,0940.62%$14,6890.79%$15,4991.05%0.62%0.79%
2019112.34%$15,4471.42%$14,8991.62%$15,7502.34%1.42%1.62%
2019122.97%$15,9072.88%$15,3272.72%$16,1792.97%2.88%2.72%
20201-2.51%$15,508-4.13%$14,694-3.37%$15,633-2.51%-4.13%-3.37%
20202-9.70%$14,004-9.91%$13,238-10.36%$14,014-9.70%-9.91%-10.36%
20203-13.64%$12,093-14.39%$11,333-26.75%$10,265-13.64%-14.39%-26.75%
2020410.26%$13,33414.27%$12,95013.17%$11,61710.26%14.27%13.17%
202052.83%$13,7122.63%$13,2910.86%$11,7172.83%2.63%0.86%
20206-0.76%$13,607-2.25%$12,9910.46%$11,770-0.76%-2.25%0.46%
202073.07%$14,0252.56%$13,3240.65%$11,8463.07%2.56%0.65%
202083.19%$14,4731.80%$13,5641.61%$12,0373.19%1.80%1.61%
20209-2.56%$14,102-3.99%$13,023-2.90%$11,688-2.56%-3.99%-2.90%
202010-1.72%$13,860-3.28%$12,5960.73%$11,773-1.72%-3.28%0.73%
20201112.26%$15,55811.42%$14,03516.59%$13,72712.26%11.42%16.59%
2020123.41%$16,0882.14%$14,3354.27%$14,3133.41%2.14%4.27%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETF
Large-cap Value78.04%86.55%11.79%
Large-cap Growth5.70%0.00%0.00%
Mid-cap Value4.35%0.00%73.43%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets2.35%0.00%0.00%
Emerging Markets0.00%0.00%1.53%
Corporate Bonds0.00%4.50%13.24%
Long-Term Treasuries0.00%8.18%0.00%
Intermediate-Term Treasuries8.99%0.77%0.00%
Short-Term Treasuries0.57%0.00%0.00%
R Squared97.25%87.00%91.15%
Style analysis is based on monthly returns from January 2016 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 High Dividend Yield ETF

Holdings Based Style Analysis for Vanguard High Dividend Yield ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VYMVanguard High Dividend Yield ETFLarge Value100.00%2.72%0.06%18.46$6,088100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for iShares Core High Dividend ETF

Holdings Based Style Analysis for iShares Core High Dividend ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
HDViShares Core High Dividend ETFLarge Value100.00%3.56%0.08%21.85$4,335100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for SPDR Portfolio S&P 500 High Div ETF

Holdings Based Style Analysis for SPDR Portfolio S&P 500 High Div ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYDSPDR Portfolio S&P 500 High Div ETFLarge Value100.00%4.72%0.07%18.22$4,313100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (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 High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETF
Arithmetic Mean (monthly)0.88%0.70%0.77%
Arithmetic Mean (annualized)11.12%8.67%9.60%
Geometric Mean (monthly)0.80%0.60%0.60%
Geometric Mean (annualized)9.98%7.47%7.43%
Volatility (monthly)4.18%4.34%5.63%
Volatility (annualized)14.47%15.03%19.52%
Downside Deviation (monthly)2.80%2.93%4.16%
Max. Drawdown-23.98%-26.06%-36.55%
US Market Correlation0.960.890.87
Beta(*)0.860.841.06
Alpha (annualized)-2.89%-4.70%-7.40%
R291.45%79.46%76.20%
Sharpe Ratio0.650.480.41
Sortino Ratio0.960.700.56
Treynor Ratio (%)10.968.647.59
Calmar Ratio0.240.110.02
Active Return-5.33%-7.84%-7.87%
Tracking Error4.76%7.30%9.58%
Information Ratio-1.12-1.07-0.82
Skewness-0.70-0.41-1.62
Excess Kurtosis2.923.559.89
Historical Value-at-Risk (5%)-6.43%-6.68%-7.17%
Analytical Value-at-Risk (5%)-5.99%-6.44%-8.50%
Conditional Value-at-Risk (5%)-10.66%-10.71%-15.19%
Upside Capture Ratio (%)77.4769.2678.63
Downside Capture Ratio (%)93.5894.65111.27
Safe Withdrawal Rate26.09%25.09%26.33%
Perpetual Withdrawal Rate7.30%5.14%5.11%
Positive Periods39 out of 60 (65.00%)38 out of 60 (63.33%)43 out of 60 (71.67%)
Gain/Loss Ratio0.980.920.62
* 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 High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETF
COVID-19 StartJan 2020Mar 2020-23.98%-26.06%-36.55%

Drawdowns for Vanguard High Dividend Yield ETF

Drawdowns for Vanguard High Dividend Yield ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsDec 20209 months1 year-23.98%
2Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-9.63%
3May 2019May 20191 monthJul 20192 months3 months-6.31%
4Jan 2016Jan 20161 monthMar 20162 months3 months-2.82%
5Aug 2019Aug 20191 monthSep 20191 month2 months-2.10%
6Aug 2016Oct 20163 monthsNov 20161 month4 months-1.96%
7Mar 2017Apr 20172 monthsJun 20172 months4 months-0.38%
8Aug 2017Aug 20171 monthSep 20171 month2 months-0.18%
9Jan 2017Jan 20171 monthFeb 20171 month2 months-0.04%

Drawdowns for iShares Core High Dividend ETF

Drawdowns for iShares Core High Dividend ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-26.06%
2Dec 2018Dec 20181 monthFeb 20192 months3 months-7.84%
3Feb 2018Apr 20183 monthsSep 20185 months8 months-7.55%
4May 2019May 20191 monthSep 20194 months5 months-6.17%
5Aug 2016Oct 20163 monthsDec 20162 months5 months-3.37%
6Oct 2018Oct 20181 monthNov 20181 month2 months-2.21%
7Mar 2017Apr 20172 monthsMay 20171 month3 months-0.85%
8Jan 2017Jan 20171 monthFeb 20171 month2 months-0.73%
9Jun 2017Jun 20171 monthJul 20171 month2 months-0.66%
10Aug 2017Aug 20171 monthSep 20171 month2 months-0.44%
Worst 10 drawdowns included above

Drawdowns for SPDR Portfolio S&P 500 High Div ETF

Drawdowns for SPDR Portfolio S&P 500 High Div ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-36.55%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-8.67%
3May 2019May 20191 monthSep 20194 months5 months-7.10%
4Feb 2018Feb 20181 monthJul 20185 months6 months-5.46%
5Oct 2016Oct 20161 monthNov 20161 month2 months-2.42%
6Mar 2017Apr 20172 monthsJul 20173 months5 months-1.81%
7Aug 2017Aug 20171 monthSep 20171 month2 months-1.32%
8Jan 2016Jan 20161 monthFeb 20161 month2 months-1.12%
9Aug 2016Aug 20161 monthSep 20161 month2 months-0.40%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VYMVanguard High Dividend Yield ETF9.98%14.47%24.07%-5.91%-23.98%0.650.960.96
HDViShares Core High Dividend ETF7.47%15.03%20.23%-6.47%-26.06%0.480.700.89
SPYDSPDR Portfolio S&P 500 High Div ETF7.43%19.52%24.59%-11.53%-36.55%0.410.560.87

Monthly Correlations

Correlations for the portfolio assets
TickerNameVYMHDVSPYDVanguard High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETF
VYMVanguard High Dividend Yield ETF1.000.960.931.000.960.93
HDViShares Core High Dividend ETF0.961.000.920.961.000.92
SPYDSPDR Portfolio S&P 500 High Div ETF0.930.921.000.930.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETF
VYMVanguard High Dividend Yield ETF$6,088
HDViShares Core High Dividend ETF$4,335
SPYDSPDR Portfolio S&P 500 High Div ETF$4,313

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETF
VYMVanguard High Dividend Yield ETF100.00%
HDViShares Core High Dividend ETF100.00%
SPYDSPDR Portfolio S&P 500 High Div ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard High Dividend Yield ETFiShares Core High Dividend ETFSPDR Portfolio S&P 500 High Div ETF
AverageHighLowAverageHighLowAverageHighLow
1 year7.72%24.07%-14.78%5.41%20.23%-20.30%3.50%26.90%-31.38%
3 years7.54%13.06%0.03%6.21%11.31%-1.65%4.29%13.42%-6.89%