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 2012 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
USMV iShares Edge MSCI Min Vol USA ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPLV Invesco S&P 500 Low Volatility ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
IDU iShares US Utilities ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$28,278 12.87% 10.40%27.69%-2.28%-19.06% 1.161.820.88
Portfolio 2$10,000$25,182 11.36% 11.05%27.63%-7.46%-21.37% 0.971.460.80
Portfolio 3$10,000$22,320 9.81% 13.30%27.33%-5.74%-19.11% 0.721.080.37
   
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.
  • The annual results for 2020 are based on monthly returns from January to July
  • 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
YearInflationReturnBalanceiShares Edge MSCI Min Vol USA ETF (USMV)Invesco S&P 500 Low Volatility ETF (SPLV)iShares US Utilities ETF (IDU)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20121.74%10.82%10.08%1.15%$11,082$11,008$10,11510.82%10.08%1.15%
20131.50%25.09%23.15%14.78%$13,863$13,557$11,61025.09%23.15%14.78%
20140.76%16.33%17.28%27.33%$16,126$15,900$14,78216.33%17.28%27.33%
20150.73%5.45%4.00%-4.83%$17,005$16,537$14,0695.45%4.00%-4.83%
20162.07%10.57%10.09%16.46%$18,803$18,205$16,38410.57%10.09%16.46%
20172.11%18.91%17.33%11.95%$22,359$21,359$18,34218.91%17.33%11.95%
20181.91%1.36%-0.18%3.95%$22,663$21,320$19,0671.36%-0.18%3.95%
20192.29%27.69%27.63%24.20%$28,937$27,211$23,68027.69%27.63%24.20%
20200.32%-2.28%-7.46%-5.74%$28,278$25,182$22,320-2.28%-7.46%-5.74%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Edge MSCI Min Vol USA ETF (USMV)Invesco S&P 500 Low Volatility ETF (SPLV)iShares US Utilities ETF (IDU)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201211.31%-0.55%-3.33%$10,131$9,945$9,6671.31%-0.55%-3.33%
201222.11%1.82%0.61%$10,344$10,126$9,7262.11%1.82%0.61%
201232.57%2.87%1.22%$10,610$10,417$9,8452.57%2.87%1.22%
201241.31%1.07%1.60%$10,749$10,528$10,0021.31%1.07%1.60%
20125-2.17%-1.54%-0.09%$10,516$10,365$9,993-2.17%-1.54%-0.09%
201263.63%4.17%3.84%$10,898$10,797$10,3773.63%4.17%3.84%
201271.94%2.03%2.90%$11,109$11,016$10,6771.94%2.03%2.90%
20128-0.17%-0.86%-3.95%$11,090$10,921$10,256-0.17%-0.86%-3.95%
201291.58%1.70%1.45%$11,265$11,107$10,4051.58%1.70%1.45%
201210-1.11%0.01%1.11%$11,140$11,107$10,520-1.11%0.01%1.11%
2012110.34%-0.20%-3.85%$11,178$11,085$10,1150.34%-0.20%-3.85%
201212-0.85%-0.69%-0.00%$11,082$11,008$10,115-0.85%-0.69%-0.00%
201314.99%4.86%5.08%$11,636$11,543$10,6294.99%4.86%5.08%
201322.76%2.83%2.31%$11,956$11,870$10,8752.76%2.83%2.31%
201334.96%4.89%5.48%$12,550$12,450$11,4714.96%4.89%5.48%
201342.78%3.77%5.59%$12,898$12,920$12,1132.78%3.77%5.59%
20135-2.35%-3.61%-8.05%$12,595$12,454$11,138-2.35%-3.61%-8.05%
20136-0.42%0.78%1.17%$12,543$12,551$11,268-0.42%0.78%1.17%
201373.68%4.19%4.28%$13,005$13,077$11,7513.68%4.19%4.28%
20138-3.26%-5.04%-5.30%$12,581$12,418$11,128-3.26%-5.04%-5.30%
201392.54%2.04%1.36%$12,901$12,671$11,2792.54%2.04%1.36%
2013104.72%4.64%3.86%$13,510$13,260$11,7144.72%4.64%3.86%
2013111.32%1.11%-2.08%$13,689$13,406$11,4701.32%1.11%-2.08%
2013121.27%1.13%1.22%$13,863$13,557$11,6101.27%1.13%1.22%
20141-3.04%-2.57%2.72%$13,441$13,209$11,926-3.04%-2.57%2.72%
201424.39%3.79%3.23%$14,031$13,710$12,3114.39%3.79%3.23%
201430.85%2.13%3.36%$14,149$14,002$12,7250.85%2.13%3.36%
201441.33%1.85%3.87%$14,338$14,261$13,2171.33%1.85%3.87%
201451.15%1.07%-0.71%$14,503$14,414$13,1231.15%1.07%-0.71%
201461.24%2.21%4.41%$14,683$14,732$13,7031.24%2.21%4.41%
20147-1.42%-4.00%-7.05%$14,474$14,143$12,737-1.42%-4.00%-7.05%
201483.98%3.85%5.24%$15,050$14,688$13,4043.98%3.85%5.24%
20149-0.79%-0.86%-2.60%$14,931$14,561$13,055-0.79%-0.86%-2.60%
2014104.25%4.89%8.43%$15,565$15,273$14,1554.25%4.89%8.43%
2014113.56%2.89%1.01%$16,120$15,713$14,2983.56%2.89%1.01%
2014120.04%1.19%3.39%$16,126$15,900$14,7820.04%1.19%3.39%
20151-0.49%-0.57%2.19%$16,047$15,810$15,106-0.49%-0.57%2.19%
201523.65%1.46%-6.00%$16,632$16,041$14,2003.65%1.46%-6.00%
20153-0.74%-0.35%-0.83%$16,509$15,985$14,082-0.74%-0.35%-0.83%
20154-0.58%-2.04%-0.63%$16,413$15,659$13,994-0.58%-2.04%-0.63%
201551.02%0.94%0.40%$16,581$15,806$14,0491.02%0.94%0.40%
20156-2.23%-1.71%-6.10%$16,211$15,536$13,193-2.23%-1.71%-6.10%
201574.02%4.29%5.74%$16,863$16,202$13,9504.02%4.29%5.74%
20158-4.53%-5.01%-3.53%$16,099$15,390$13,458-4.53%-5.01%-3.53%
20159-0.62%-0.37%2.87%$15,998$15,334$13,843-0.62%-0.37%2.87%
2015105.99%6.88%1.71%$16,956$16,388$14,0815.99%6.88%1.71%
201511-0.21%1.07%-1.98%$16,920$16,563$13,802-0.21%1.07%-1.98%
2015120.50%-0.16%1.93%$17,005$16,537$14,0690.50%-0.16%1.93%
20161-1.39%-1.75%4.87%$16,769$16,247$14,754-1.39%-1.75%4.87%
201621.04%0.99%1.75%$16,944$16,407$15,0121.04%0.99%1.75%
201635.93%5.99%8.19%$17,950$17,390$16,2425.93%5.99%8.19%
20164-0.36%-0.80%-2.10%$17,884$17,251$15,900-0.36%-0.80%-2.10%
201651.58%1.68%1.57%$18,166$17,541$16,1501.58%1.68%1.57%
201664.49%5.74%7.50%$18,981$18,548$17,3624.49%5.74%7.50%
201671.47%0.22%-0.96%$19,260$18,590$17,1951.47%0.22%-0.96%
20168-1.96%-1.91%-5.55%$18,883$18,235$16,240-1.96%-1.91%-5.55%
20169-0.64%-0.89%0.54%$18,761$18,073$16,328-0.64%-0.89%0.54%
201610-2.75%-2.32%0.82%$18,245$17,653$16,461-2.75%-2.32%0.82%
2016110.61%0.53%-4.95%$18,356$17,745$15,6460.61%0.53%-4.95%
2016122.43%2.59%4.72%$18,803$18,205$16,3842.43%2.59%4.72%
201711.26%0.76%1.26%$19,040$18,343$16,5911.26%0.76%1.26%
201724.54%4.35%4.93%$19,905$19,142$17,4094.54%4.35%4.93%
201730.12%-0.03%-0.06%$19,929$19,136$17,3990.12%-0.03%-0.06%
201741.40%1.04%0.65%$20,209$19,335$17,5121.40%1.04%0.65%
201752.00%2.73%4.09%$20,614$19,862$18,2292.00%2.73%4.09%
20176-0.35%-0.31%-2.66%$20,542$19,801$17,745-0.35%-0.31%-2.66%
201772.02%1.37%2.57%$20,957$20,072$18,2012.02%1.37%2.57%
201780.76%0.76%3.07%$21,117$20,225$18,7590.76%0.76%3.07%
201790.52%0.78%-2.63%$21,226$20,382$18,2660.52%0.78%-2.63%
2017101.95%1.80%3.99%$21,639$20,749$18,9951.95%1.80%3.99%
2017113.08%3.88%2.76%$22,306$21,554$19,5183.08%3.88%2.76%
2017120.24%-0.90%-6.03%$22,359$21,359$18,3420.24%-0.90%-6.03%
201813.49%2.44%-3.18%$23,138$21,881$17,7603.49%2.44%-3.18%
20182-4.25%-4.33%-4.03%$22,156$20,934$17,043-4.25%-4.33%-4.03%
20183-0.25%0.89%4.04%$22,099$21,120$17,732-0.25%0.89%4.04%
201840.21%-0.61%2.33%$22,146$20,991$18,1460.21%-0.61%2.33%
201851.00%0.65%-0.57%$22,367$21,128$18,0431.00%0.65%-0.57%
201861.70%1.45%2.51%$22,747$21,434$18,4951.70%1.45%2.51%
201873.29%3.54%1.68%$23,496$22,193$18,8073.29%3.54%1.68%
201883.06%1.77%1.14%$24,215$22,586$19,0213.06%1.77%1.14%
201891.25%-0.36%-0.45%$24,516$22,505$18,9361.25%-0.36%-0.45%
201810-4.05%-2.91%1.26%$23,523$21,850$19,175-4.05%-2.91%1.26%
2018113.23%4.68%3.65%$24,284$22,873$19,8743.23%4.68%3.65%
201812-6.68%-6.79%-4.06%$22,663$21,320$19,067-6.68%-6.79%-4.06%
201915.65%6.66%3.58%$23,943$22,740$19,7495.65%6.66%3.58%
201923.83%4.02%3.89%$24,860$23,654$20,5173.83%4.02%3.89%
201932.72%2.09%2.76%$25,535$24,149$21,0842.72%2.09%2.76%
201942.18%2.34%0.90%$26,091$24,715$21,2732.18%2.34%0.90%
20195-1.61%-0.97%-0.98%$25,669$24,475$21,064-1.61%-0.97%-0.98%
201964.98%3.70%3.23%$26,949$25,382$21,7444.98%3.70%3.23%
201971.67%1.13%-0.23%$27,398$25,668$21,6931.67%1.13%-0.23%
201981.59%2.35%4.77%$27,835$26,271$22,7291.59%2.35%4.77%
201990.98%2.23%4.04%$28,109$26,856$23,6460.98%2.23%4.04%
201910-0.23%-0.39%-0.89%$28,043$26,751$23,436-0.23%-0.39%-0.89%
2019111.39%-0.01%-2.03%$28,434$26,749$22,9611.39%-0.01%-2.03%
2019121.77%1.73%3.13%$28,937$27,211$23,6801.77%1.73%3.13%
202012.35%2.99%6.27%$29,616$28,025$25,1652.35%2.99%6.27%
20202-8.74%-9.51%-10.42%$27,027$25,359$22,542-8.74%-9.51%-10.42%
20203-11.31%-13.11%-9.70%$23,970$22,035$20,355-11.31%-13.11%-9.70%
202049.37%6.44%3.14%$26,216$23,453$20,9949.37%6.44%3.14%
202054.32%0.32%4.02%$27,347$23,529$21,8384.32%0.32%4.02%
20206-1.11%-0.39%-4.68%$27,043$23,438$20,816-1.11%-0.39%-4.68%
202074.57%7.44%7.23%$28,278$25,182$22,3204.57%7.44%7.23%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value45.88%
Large-cap Growth31.97%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries22.15%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared85.96%
Style analysis is based on monthly returns from Jan 2012 to Jul 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
USMViShares Edge MSCI Min Vol USA ETFLarge Blend100.00%0.15%25.15$18,278100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SPLVInvesco S&P 500 Low Volatility ETFLarge Blend100.00%0.25%23.57$15,182100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IDUiShares US Utilities ETFUtilities100.00%0.42%20.82$12,320100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/12/2020. (c) 2020 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 2Portfolio 3
Arithmetic Mean (monthly)1.06%0.95%0.86%
Arithmetic Mean (annualized)13.48%12.04%10.77%
Geometric Mean (monthly)1.01%0.90%0.78%
Geometric Mean (annualized)12.87%11.36%9.81%
Volatility (monthly)3.00%3.19%3.84%
Volatility (annualized)10.40%11.05%13.30%
Downside Deviation (monthly)1.88%2.09%2.55%
Max. Drawdown-19.06%-21.37%-19.11%
US Market Correlation0.880.800.37
Beta(*)0.690.660.37
Alpha (annualized)3.20%2.31%5.21%
R277.70%63.25%13.49%
Sharpe Ratio1.160.970.72
Sortino Ratio1.821.461.08
Treynor Ratio (%)17.4416.2526.12
Calmar Ratio0.550.370.37
Active Return-0.81%-2.32%-3.88%
Tracking Error6.41%8.07%14.95%
Information Ratio-0.13-0.29-0.26
Skewness-0.97-1.16-0.67
Excess Kurtosis3.153.760.27
Historical Value-at-Risk (5%)-4.21%-4.88%-6.08%
Analytical Value-at-Risk (5%)-3.88%-4.29%-5.46%
Conditional Value-at-Risk (5%)-7.10%-7.89%-8.26%
Upside Capture Ratio (%)74.0867.7942.95
Downside Capture Ratio (%)57.9957.0617.33
Safe Withdrawal Rate20.55%19.94%17.67%
Perpetual Withdrawal Rate10.71%9.41%8.03%
Positive Periods71 out of 103 (68.93%)67 out of 103 (65.05%)66 out of 103 (64.08%)
Gain/Loss Ratio1.151.210.97
* 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
1Feb 2020Mar 20202 months-19.06%
2Oct 2018Dec 20183 monthsFeb 20192 months5 months-7.56%
3Aug 2016Oct 20163 monthsFeb 20174 months7 months-5.27%
4Aug 2015Sep 20152 monthsOct 20151 month3 months-5.12%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-4.49%
6Aug 2013Aug 20131 monthOct 20132 months3 months-3.26%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.04%
8May 2013Jun 20132 monthsJul 20131 month3 months-2.75%
9Mar 2015Jun 20154 monthsJul 20151 month5 months-2.53%
10May 2012May 20121 monthJun 20121 month2 months-2.17%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 months-21.37%
2Dec 2018Dec 20181 monthFeb 20192 months3 months-6.79%
3Aug 2015Sep 20152 monthsOct 20151 month3 months-5.36%
4Aug 2016Oct 20163 monthsFeb 20174 months7 months-5.04%
5Aug 2013Aug 20131 monthOct 20132 months3 months-5.04%
6Feb 2018Feb 20181 monthJul 20185 months6 months-4.33%
7Jul 2014Jul 20141 monthOct 20143 months4 months-4.00%
8May 2013May 20131 monthJul 20132 months3 months-3.61%
9Sep 2018Oct 20182 monthsNov 20181 month3 months-3.26%
10Mar 2015Jun 20154 monthsJul 20151 month5 months-3.15%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 months-19.11%
2Dec 2017Feb 20183 monthsNov 20189 months1 year-12.68%
3Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-12.67%
4Jul 2016Nov 20165 monthsFeb 20173 months8 months-9.88%
5May 2013Aug 20134 monthsFeb 20146 months10 months-8.13%
6Jul 2014Jul 20141 monthOct 20143 months4 months-7.05%
7Aug 2012Dec 20125 monthsFeb 20132 months7 months-5.27%
8Dec 2018Dec 20181 monthFeb 20192 months3 months-4.06%
9Jan 2012Jan 20121 monthApr 20123 months4 months-3.33%
10Oct 2019Nov 20192 monthsDec 20191 month3 months-2.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
USMViShares Edge MSCI Min Vol USA ETF12.87%10.40%27.69%-2.28%-19.06%1.161.820.88
SPLVInvesco S&P 500 Low Volatility ETF11.36%11.05%27.63%-7.46%-21.37%0.971.460.80
IDUiShares US Utilities ETF9.81%13.30%27.33%-5.74%-19.11%0.721.080.37

Monthly Correlations

Correlations for the portfolio assets
TickerNameUSMVSPLVIDUPortfolio 1Portfolio 2Portfolio 3
USMViShares Edge MSCI Min Vol USA ETF1.000.950.671.000.950.67
SPLVInvesco S&P 500 Low Volatility ETF0.951.000.760.951.000.76
IDUiShares US Utilities ETF0.670.761.000.670.761.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
USMViShares Edge MSCI Min Vol USA ETF$18,278
SPLVInvesco S&P 500 Low Volatility ETF$15,182
IDUiShares US Utilities ETF$12,320

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
USMViShares Edge MSCI Min Vol USA ETF100.00%
SPLVInvesco S&P 500 Low Volatility ETF100.00%
IDUiShares US Utilities ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year14.53%27.69%1.36%13.67%27.63%-0.18%11.87%27.33%-4.83%
3 years13.39%17.27%10.05%12.51%16.72%8.84%11.48%13.91%7.46%
5 years12.82%15.07%10.33%11.93%14.18%9.48%10.83%12.64%9.88%
7 years13.55%14.70%12.40%12.61%13.80%11.42%11.29%12.92%9.66%
Result statistics are based on annualized rolling returns over full calendar year periods