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 Assets 
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Portfolio Analysis Results (Jan 2011 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TSLA Tesla Inc 70.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
GLD SPDR Gold Shares 10.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TSLA Tesla Inc 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$630,822 51.35% 47.98%526.52%-6.64%-33.49% 1.072.860.37
Portfolio 2$10,000$1,324,953 63.01% 62.27%743.44%-10.97%-48.80% 1.052.690.39
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 158.34%526.52%526.52%100.10%58.82%51.35%51.35%62.73%51.71%
Portfolio 264.49%743.44%743.44%124.62%71.19%63.01%63.01%80.64%67.01%
Trailing return and volatility are as of last full calendar month ending December 2020
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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 2Tesla Inc (TSLA)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)
ReturnBalanceReturnBalance
20112.96%12.82%$11,2827.25%$10,7257.25%33.96%9.57%
20121.74%14.20%$12,88418.59%$12,71918.59%2.63%6.60%
20131.50%235.39%$43,213344.14%$56,489344.14%-13.37%-28.33%
20140.76%38.74%$59,95247.85%$83,51947.85%27.30%-2.19%
20150.73%4.11%$62,4187.91%$90,1287.91%-1.79%-10.67%
20162.07%-6.64%$58,276-10.97%$80,244-10.97%1.18%8.03%
20172.11%35.11%$78,73545.70%$116,91745.70%9.18%12.81%
20181.91%4.31%$82,1276.89%$124,9726.89%-1.61%-1.94%
20192.29%22.60%$100,68725.70%$157,09025.70%14.12%17.86%
20201.36%526.52%$630,822743.44%$1,324,953743.44%18.15%24.81%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Tesla Inc (TSLA)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)
ReturnBalanceReturnBalance
20111-7.90%$9,210-9.50%$9,050-9.50%-3.08%-6.38%
201120.36%$9,243-0.87%$8,971-0.87%1.65%6.00%
2011311.16%$10,27416.16%$10,42116.16%0.03%1.60%
201140.94%$10,370-0.54%$10,364-0.54%2.34%8.94%
201156.91%$11,0879.20%$11,3189.20%3.42%-1.79%
20116-3.07%$10,747-3.35%$10,939-3.35%-2.33%-2.43%
20117-0.69%$10,673-3.30%$10,578-3.30%4.42%8.42%
20118-5.21%$10,117-12.18%$9,290-12.18%9.66%12.27%
201190.73%$10,192-1.41%$9,159-1.41%13.20%-11.06%
20111012.51%$11,46620.42%$11,02920.42%-3.84%5.87%
2011118.34%$12,42211.47%$12,29411.47%1.98%1.67%
201112-9.18%$11,282-12.77%$10,725-12.77%3.44%-10.66%
201212.32%$11,5441.79%$10,9161.79%-0.33%11.40%
201229.57%$12,64914.93%$12,54614.93%-2.59%-2.96%
201237.51%$13,59911.46%$13,98411.46%-4.23%-1.32%
20124-7.62%$12,562-11.04%$12,441-11.04%4.83%-0.15%
20125-7.02%$11,681-10.96%$11,078-10.96%9.03%-6.34%
201264.12%$12,1626.07%$11,7506.07%-1.68%2.35%
20127-7.98%$11,191-12.37%$10,297-12.37%3.82%0.84%
201282.94%$11,5214.01%$10,7104.01%-1.32%4.94%
201291.79%$11,7272.66%$10,9952.66%-2.53%4.67%
201210-3.13%$11,360-3.93%$10,563-3.93%-0.48%-2.94%
20121114.09%$12,96020.23%$12,70020.23%1.38%-0.47%
201212-0.58%$12,8840.15%$12,7190.15%-2.49%-2.43%
201316.84%$13,76510.75%$14,08610.75%-3.19%-0.51%
20132-5.43%$13,017-7.14%$13,079-7.14%1.24%-5.09%
201336.27%$13,8338.79%$14,2288.79%-0.42%0.95%
2013431.17%$18,14542.49%$20,27442.49%4.68%-7.56%
2013562.86%$29,55281.07%$36,71081.07%-6.76%-6.20%
201367.98%$31,9109.82%$40,3159.82%-3.27%-11.06%
2013722.52%$39,09525.07%$50,42425.07%-2.26%7.43%
2013823.70%$48,36325.86%$63,46225.86%-1.34%5.20%
2013913.34%$54,81614.42%$72,61414.42%0.66%-4.78%
201310-16.19%$45,943-17.29%$60,060-17.29%1.43%-0.34%
201311-19.19%$37,127-20.42%$47,796-20.42%-2.70%-5.51%
20131216.39%$43,21318.19%$56,48918.19%-1.87%-3.79%
2014116.02%$50,13520.59%$68,12220.59%6.30%3.42%
2014226.08%$63,21234.95%$91,93034.95%0.52%6.27%
20143-11.70%$55,819-14.85%$78,276-14.85%0.73%-3.14%
201440.19%$55,924-0.27%$78,066-0.27%2.10%0.49%
201450.21%$56,039-0.06%$78,021-0.06%2.95%-3.05%
2014612.05%$62,79015.54%$90,14615.54%-0.25%6.32%
20147-5.54%$59,312-6.98%$83,853-6.98%0.67%-3.63%
2014816.54%$69,12320.78%$101,27720.78%4.72%0.38%
20149-8.59%$63,189-10.02%$91,130-10.02%-2.11%-6.18%
201410-0.07%$63,143-0.40%$90,762-0.40%2.81%-3.05%
2014111.35%$63,9961.17%$91,8211.17%2.97%-0.49%
201412-6.32%$59,952-9.04%$83,519-9.04%3.25%1.31%
20151-3.09%$58,100-8.46%$76,455-8.46%9.82%8.69%
20152-2.14%$56,858-0.13%$76,357-0.13%-6.14%-5.91%
20153-4.83%$54,113-7.17%$70,886-7.17%1.10%-2.15%
2015412.19%$60,70919.75%$84,88519.75%-3.43%-0.17%
201557.28%$65,12610.95%$94,17910.95%-2.37%0.56%
201564.18%$67,8506.96%$100,7366.96%-4.07%-1.52%
20157-0.41%$67,573-0.79%$99,944-0.79%4.55%-6.62%
20158-4.59%$64,472-6.42%$93,526-6.42%-0.69%3.71%
201590.00%$64,474-0.26%$93,278-0.26%1.97%-1.80%
201510-12.01%$56,729-16.69%$77,706-16.69%-0.41%2.28%
2015116.89%$60,63911.27%$86,46611.27%-0.87%-6.75%
2015122.94%$62,4184.23%$90,1284.23%-0.30%-0.45%
20161-12.58%$54,566-20.34%$71,799-20.34%5.57%5.41%
201622.31%$55,8250.38%$72,0730.38%3.09%10.93%
2016312.21%$62,64019.72%$86,28219.72%-0.09%-0.84%
201643.62%$64,9104.78%$90,4094.78%-0.74%5.11%
20165-5.47%$61,361-7.28%$83,827-7.28%0.81%-6.14%
20166-0.67%$60,950-4.91%$79,715-4.91%6.93%8.97%
201677.48%$65,50710.60%$88,16710.60%2.10%1.98%
20168-6.95%$60,952-9.70%$79,613-9.70%-1.01%-3.26%
20169-2.66%$59,330-3.76%$76,617-3.76%-1.51%0.69%
201610-3.38%$57,323-3.09%$74,251-3.09%-4.38%-2.94%
201611-5.72%$54,044-4.21%$71,123-4.21%-8.21%-8.36%
2016127.83%$58,27612.82%$80,24412.82%-0.46%-1.91%
2017113.23%$65,98617.90%$94,60417.90%0.81%5.42%
201720.02%$65,998-0.77%$93,875-0.77%1.59%3.18%
201738.03%$71,29711.32%$104,50611.32%-0.65%-0.43%
201749.99%$78,42112.85%$117,93812.85%1.57%1.73%
201756.84%$83,7838.58%$128,0558.58%1.89%-0.12%
201764.64%$87,6756.04%$135,7906.04%0.79%-2.16%
20177-8.23%$80,458-10.55%$121,468-10.55%-0.66%2.31%
201788.55%$87,33710.03%$133,64610.03%3.41%4.20%
20179-3.83%$83,991-4.16%$128,089-4.16%-2.32%-3.37%
201710-2.24%$82,111-2.81%$124,495-2.81%-0.04%-0.75%
201711-5.13%$77,896-6.84%$115,978-6.84%0.74%0.36%
2017121.08%$78,7350.81%$116,9170.81%1.81%2.11%
201819.33%$86,08213.80%$133,04913.80%-3.26%3.23%
20182-3.05%$83,459-3.18%$128,825-3.18%-3.04%-2.08%
20183-15.75%$70,313-22.42%$99,936-22.42%2.86%0.63%
201846.43%$74,83610.43%$110,36410.43%-2.09%-0.95%
20185-1.90%$73,416-3.12%$106,921-3.12%2.01%-1.20%
2018613.79%$83,53720.45%$128,78320.45%0.65%-3.61%
20187-9.96%$75,216-13.07%$111,956-13.07%-1.44%-2.24%
201880.88%$75,8791.18%$113,2781.18%1.31%-2.14%
20189-9.24%$68,864-12.23%$99,425-12.23%-2.86%-0.66%
20181018.24%$81,42527.40%$126,66927.40%-2.93%2.12%
2018113.21%$84,0363.90%$131,6113.90%1.79%0.34%
201812-2.27%$82,127-5.04%$124,972-5.04%5.85%4.94%
20191-5.06%$77,972-7.75%$115,291-7.75%0.38%2.89%
201922.49%$79,9164.19%$120,1204.19%-1.38%-0.61%
20193-7.68%$73,775-12.51%$105,092-12.51%5.57%-1.60%
20194-10.18%$66,267-14.71%$89,632-14.71%-1.99%-0.66%
20195-12.00%$58,315-22.43%$69,531-22.43%6.84%1.76%
2019612.78%$65,77020.68%$83,91320.68%0.95%8.00%
201974.84%$68,9538.12%$90,7298.12%0.26%0.01%
20198-0.06%$68,912-6.62%$84,720-6.62%11.04%7.91%
201992.56%$70,6766.76%$90,4516.76%-2.68%-3.39%
20191018.13%$83,49030.74%$118,25830.74%-1.11%2.56%
2019112.64%$85,6964.77%$123,8984.77%-0.41%-3.21%
20191217.49%$100,68726.79%$157,09026.79%-3.20%3.66%
2020140.85%$141,81755.52%$244,30055.52%7.69%4.50%
202023.04%$146,1222.68%$250,8412.68%6.63%-0.64%
20203-15.61%$123,314-21.56%$196,771-21.56%6.38%-0.22%
2020436.09%$167,81949.21%$293,60949.21%1.22%7.26%
202055.24%$176,6196.79%$313,5566.79%-1.76%2.59%
2020623.58%$218,26229.32%$405,48629.32%0.34%2.74%
2020728.17%$279,75232.50%$537,27432.50%4.44%10.79%
2020863.41%$457,14874.15%$935,63774.15%-5.05%-0.32%
20209-12.85%$398,406-13.91%$805,501-13.91%0.77%-4.17%
202010-8.89%$362,997-9.55%$728,577-9.55%-3.39%-0.52%
20201141.59%$513,98346.27%$1,065,71546.27%1.66%-5.41%
20201222.73%$630,82224.33%$1,324,95324.33%-1.23%7.01%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioDurationContribution
SECTTMNetGrossReturnRisk
TSLATesla IncConsumer Cyclical / Auto Manufacturers70.00%$607,214100.39%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%1.74%1.50%0.15%0.15%19.24$9,478-0.96%
GLDSPDR Gold SharesCommodities Focused10.00%0.40%0.40%$4,1310.57%
100.00%0.35%0.30%0.23%0.23%19.24$620,822100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightContribution
ReturnRisk
TSLATesla IncConsumer Cyclical / Auto Manufacturers100.00%$1,314,953100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/19/2022. (c) 2022 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)4.33%5.52%
Arithmetic Mean (annualized)66.34%90.47%
Geometric Mean (monthly)3.51%4.16%
Geometric Mean (annualized)51.35%63.01%
Standard Deviation (monthly)13.85%17.97%
Standard Deviation (annualized)47.98%62.27%
Downside Deviation (monthly)5.15%7.02%
Max. Drawdown-33.49%-48.80%
US Market Correlation0.370.39
Beta(*)1.251.73
Alpha (annualized)34.61%42.27%
R213.62%15.34%
Sharpe Ratio1.071.05
Sortino Ratio2.862.69
Treynor Ratio (%)41.0038.00
Calmar Ratio3.102.61
Active Return37.70%49.36%
Tracking Error44.74%58.20%
Information Ratio0.840.85
Skewness1.691.46
Excess Kurtosis4.633.51
Historical Value-at-Risk (5%)-12.04%-16.72%
Analytical Value-at-Risk (5%)-16.45%-24.05%
Conditional Value-at-Risk (5%)-15.36%-20.74%
Upside Capture Ratio (%)193.97268.83
Downside Capture Ratio (%)25.9870.29
Safe Withdrawal Rate34.13%38.04%
Perpetual Withdrawal Rate32.78%37.59%
Positive Periods71 out of 120 (59.17%)65 out of 120 (54.17%)
Gain/Loss Ratio1.802.08
* 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 PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-15.61%-21.56%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2017May 20191 year 11 monthsDec 20197 months2 years 6 months-33.49%
2Oct 2013Nov 20132 monthsFeb 20143 months5 months-32.27%
3Sep 2014Nov 20162 years 3 monthsMar 20174 months2 years 7 months-21.82%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-20.60%
5Apr 2012Jul 20124 monthsJan 20136 months10 months-17.71%
6Mar 2020Mar 20201 monthApr 20201 month2 months-15.61%
7Mar 2014Mar 20141 monthAug 20145 months6 months-11.70%
8Dec 2011Dec 20111 monthFeb 20122 months3 months-9.18%
9Jun 2011Aug 20113 monthsOct 20112 months5 months-8.75%
10Jan 2011Jan 20111 monthMar 20112 months3 months-7.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2017May 20191 year 11 monthsDec 20197 months2 years 6 months-48.80%
2Oct 2013Nov 20132 monthsFeb 20143 months5 months-34.18%
3Sep 2014Mar 20157 monthsMar 20172 years2 years 7 months-30.01%
4Apr 2012Jul 20124 monthsJan 20136 months10 months-26.37%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-22.13%
6Mar 2020Mar 20201 monthApr 20201 month2 months-21.56%
7Jun 2011Sep 20114 monthsNov 20112 months6 months-19.08%
8Mar 2014May 20143 monthsAug 20143 months6 months-15.13%
9Dec 2011Dec 20111 monthFeb 20122 months3 months-12.77%
10Jan 2011Feb 20112 monthsMar 20111 month3 months-10.29%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TSLATesla Inc63.01%62.27%743.44%-10.97%-48.80%1.052.690.39
TLTiShares 20+ Year Treasury Bond ETF8.12%12.76%33.96%-13.37%-18.03%0.631.20-0.42
GLDSPDR Gold Shares2.55%16.58%24.81%-28.33%-42.91%0.200.310.09

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Tesla Inc64.49%743.44%743.44%124.62%71.19%63.01%
iShares 20+ Year Treasury Bond ETF-2.98%18.15%18.15%9.88%7.95%8.12%0.15%0.15%
SPDR Gold Shares0.70%24.81%24.81%12.99%11.94%2.55%0.40%0.40%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameTSLATLTGLDPortfolio 1Portfolio 2
TSLATesla Inc1.00-0.230.110.991.00
TLTiShares 20+ Year Treasury Bond ETF-0.231.000.23-0.16-0.23
GLDSPDR Gold Shares0.110.231.000.150.11

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
TSLATesla Inc$607,214$1,314,953
TLTiShares 20+ Year Treasury Bond ETF$9,478
GLDSPDR Gold Shares$4,131
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
TSLATesla Inc100.39%100.00%
TLTiShares 20+ Year Treasury Bond ETF-0.96%
GLDSPDR Gold Shares0.57%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year70.70%563.38%-21.27%106.04%1,004.38%-34.97%
3 years36.98%100.10%-1.68%47.18%124.62%-6.04%
5 years29.85%58.82%-0.06%37.09%71.19%-3.51%
7 years33.29%46.67%25.82%41.35%56.95%30.01%