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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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 9
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Portfolio Analysis Results (Jan 2008 - May 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
BIL SPDR Blmbg Barclays 1-3 Mth T-Bill ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,653 0.47% 0.30%2.03%-0.13%-0.42% -0.58-0.82-0.21
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-0.02%-0.03%-0.04%1.17%0.97%0.45%0.47%0.30%0.27%
Trailing annualized return and volatility are for full months ending in May 2021 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.
  • The annual results for 2021 are based on monthly returns from January to May
  • 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 1 ReturnPortfolio 1 BalanceSPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
20080.09%1.59%$10,1591.59%
20092.72%0.27%$10,1860.27%
20101.50%-0.04%$10,182-0.04%
20112.96%-0.04%$10,178-0.04%
20121.74%-0.04%$10,173-0.04%
20131.50%-0.09%$10,164-0.09%
20140.76%-0.07%$10,158-0.07%
20150.73%-0.13%$10,144-0.13%
20162.07%0.11%$10,1550.11%
20172.11%0.69%$10,2250.69%
20181.91%1.74%$10,4031.74%
20192.29%2.03%$10,6142.03%
20201.36%0.40%$10,6570.40%
20213.35%-0.03%$10,653-0.03%
Annual return for 2021 is from 01/01/2021 to 05/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceSPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
200810.39%$10,0390.39%
200820.16%$10,0560.16%
200830.23%$10,0790.23%
20084-0.07%$10,073-0.07%
200850.10%$10,0820.10%
200860.23%$10,1060.23%
200870.19%$10,1250.19%
200880.08%$10,1330.08%
200890.51%$10,1840.51%
200810-0.23%$10,161-0.23%
200811-0.05%$10,155-0.05%
2008120.03%$10,1590.03%
200910.20%$10,1790.20%
20092-0.00%$10,178-0.00%
20093-0.01%$10,177-0.01%
200940.06%$10,1840.06%
200950.01%$10,1850.01%
20096-0.01%$10,183-0.01%
20097-0.06%$10,177-0.06%
200980.07%$10,1840.07%
200990.03%$10,1870.03%
2009100.00%$10,1870.00%
200911-0.04%$10,183-0.04%
2009120.03%$10,1860.03%
201010.00%$10,1860.00%
20102-0.02%$10,184-0.02%
201030.00%$10,1840.00%
20104-0.04%$10,179-0.04%
201050.04%$10,1840.04%
201060.02%$10,1860.02%
20107-0.04%$10,182-0.04%
201080.00%$10,1820.00%
201090.00%$10,1820.00%
2010100.02%$10,1840.02%
2010110.00%$10,1840.00%
201012-0.02%$10,182-0.02%
201110.00%$10,1820.00%
201120.00%$10,1820.00%
201130.00%$10,1820.00%
201140.00%$10,1820.00%
201150.02%$10,1840.02%
201160.00%$10,1840.00%
201170.00%$10,1840.00%
201180.00%$10,1840.00%
20119-0.02%$10,182-0.02%
201110-0.04%$10,177-0.04%
2011110.02%$10,1790.02%
201112-0.02%$10,178-0.02%
20121-0.02%$10,175-0.02%
201220.02%$10,1780.02%
20123-0.02%$10,175-0.02%
201240.02%$10,1780.02%
201250.00%$10,1780.00%
20126-0.04%$10,173-0.04%
201270.00%$10,1730.00%
201280.00%$10,1730.00%
201290.00%$10,1730.00%
2012100.02%$10,1750.02%
201211-0.02%$10,173-0.02%
2012120.00%$10,1730.00%
201310.00%$10,1730.00%
201320.00%$10,1730.00%
201330.00%$10,1730.00%
20134-0.02%$10,171-0.02%
201350.02%$10,1730.02%
20136-0.02%$10,171-0.02%
201370.00%$10,1710.00%
201380.00%$10,1710.00%
20139-0.02%$10,169-0.02%
201310-0.02%$10,167-0.02%
201311-0.02%$10,164-0.02%
2013120.00%$10,1640.00%
201410.00%$10,1640.00%
201420.02%$10,1670.02%
20143-0.02%$10,164-0.02%
201440.00%$10,1640.00%
201450.00%$10,1640.00%
20146-0.02%$10,162-0.02%
20147-0.02%$10,160-0.02%
201480.02%$10,1620.02%
201490.00%$10,1620.00%
201410-0.02%$10,160-0.02%
2014110.00%$10,1600.00%
201412-0.02%$10,158-0.02%
20151-0.02%$10,155-0.02%
201520.00%$10,1550.00%
201530.00%$10,1550.00%
20154-0.02%$10,153-0.02%
20155-0.02%$10,151-0.02%
201560.00%$10,1510.00%
201570.00%$10,1510.00%
201580.00%$10,1510.00%
20159-0.04%$10,147-0.04%
201510-0.02%$10,144-0.02%
2015110.02%$10,1470.02%
201512-0.02%$10,144-0.02%
201610.02%$10,1470.02%
201620.00%$10,1470.00%
201630.00%$10,1470.00%
201640.04%$10,1510.04%
201650.00%$10,1510.00%
20166-0.02%$10,149-0.02%
201670.04%$10,1530.04%
201680.00%$10,1530.00%
201690.02%$10,1550.02%
2016100.02%$10,1580.02%
201611-0.04%$10,153-0.04%
2016120.02%$10,1550.02%
201710.04%$10,1600.04%
201720.05%$10,1650.05%
20173-0.02%$10,163-0.02%
201740.07%$10,1710.07%
201750.02%$10,1720.02%
201760.10%$10,1830.10%
201770.03%$10,1860.03%
201780.11%$10,1980.11%
201790.07%$10,2050.07%
2017100.07%$10,2120.07%
2017110.05%$10,2180.05%
2017120.07%$10,2250.07%
201810.13%$10,2390.13%
201820.08%$10,2470.08%
201830.13%$10,2610.13%
201840.10%$10,2710.10%
201850.15%$10,2870.15%
201860.15%$10,3020.15%
201870.14%$10,3160.14%
201880.16%$10,3330.16%
201890.14%$10,3470.14%
2018100.17%$10,3650.17%
2018110.19%$10,3840.19%
2018120.18%$10,4030.18%
201910.17%$10,4210.17%
201920.18%$10,4410.18%
201930.17%$10,4590.17%
201940.19%$10,4790.19%
201950.21%$10,5010.21%
201960.18%$10,5200.18%
201970.18%$10,5390.18%
201980.17%$10,5570.17%
201990.16%$10,5740.16%
2019100.16%$10,5910.16%
2019110.11%$10,6030.11%
2019120.11%$10,6140.11%
202010.12%$10,6270.12%
202020.12%$10,6400.12%
202030.20%$10,6610.20%
20204-0.02%$10,659-0.02%
20205-0.02%$10,658-0.02%
202060.00%$10,6580.00%
202070.01%$10,6590.01%
202080.00%$10,6590.00%
20209-0.02%$10,656-0.02%
2020100.01%$10,6580.01%
202011-0.01%$10,656-0.01%
2020120.00%$10,6570.00%
202110.00%$10,6570.00%
20212-0.01%$10,656-0.01%
20213-0.01%$10,654-0.01%
202140.00%$10,6540.00%
20215-0.01%$10,653-0.01%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightFeesDurationReturn ContributionRisk Contribution
BILSPDR Blmbg Barclays 1-3 Mth T-Bill ETFUltrashort Bond100.00%0.14%0.06$653100.00%

Asset Allocation

Fixed Income Credit Quality

Fund fundamentals data as of 06/18/2021. (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
MetricPortfolio 1
Arithmetic Mean (monthly)0.04%
Arithmetic Mean (annualized)0.47%
Geometric Mean (monthly)0.04%
Geometric Mean (annualized)0.47%
Volatility (monthly)0.09%
Volatility (annualized)0.30%
Downside Deviation (monthly)0.02%
Max. Drawdown-0.42%
US Market Correlation-0.21
Beta(*)-0.00
Alpha (annualized)0.52%
R24.48%
Sharpe Ratio-0.58
Sortino Ratio-0.82
Treynor Ratio (%)26.37
Calmar Ratio15.14
Active Return-10.06%
Tracking Error16.43%
Information Ratio-0.61
Skewness1.75
Excess Kurtosis5.89
Historical Value-at-Risk (5%)-0.04%
Analytical Value-at-Risk (5%)-0.11%
Conditional Value-at-Risk (5%)-0.07%
Upside Capture Ratio (%)0.79
Downside Capture Ratio (%)-1.45
Safe Withdrawal Rate7.04%
Perpetual Withdrawal Rate0.00%
Positive Periods75 out of 161 (46.58%)
Gain/Loss Ratio3.40
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2009Oct 20156 yearsAug 20171 year 10 months7 years 10 months-0.42%
2Oct 2008Nov 20082 monthsMay 20096 months8 months-0.28%
3Apr 2020May 20211 year 2 months-0.08%
4Jun 2009Jul 20092 monthsSep 20092 months4 months-0.08%
5Apr 2008Apr 20081 monthMay 20081 month2 months-0.07%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
BILSPDR Blmbg Barclays 1-3 Mth T-Bill ETF0.47%0.30%2.03%-0.13%-0.42%-0.58-0.82-0.21

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year0.43%2.19%-0.15%
3 years0.37%1.61%-0.10%
5 years0.28%0.99%-0.08%
7 years0.25%0.68%-0.05%
10 years0.34%0.46%0.16%