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 - Jun 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
GBTC Grayscale Bitcoin Trust (BTC) 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$430,589 98.20% 150.05%1,557.21%-82.10%-82.10% 0.922.920.13
Portfolio 2$10,000$23,618 16.91% 15.35%30.67%-5.21%-20.84% 1.031.621.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 1-40.43%-6.84%210.36%51.75%86.71%98.20%87.13%154.51%
Portfolio 28.13%15.21%44.42%18.73%17.90%16.91%19.29%15.55%
Trailing annualized return and volatility are for full months ending in June 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 June
  • 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 2Grayscale Bitcoin Trust (BTC) (GBTC)Vanguard Total Stock Market ETF (VTI)
ReturnBalanceReturnBalance
20162.07%93.10%$19,31012.83%$11,28393.10%12.83%
20172.11%1,557.21%$320,00021.21%$13,6761,557.21%21.21%
20181.91%-82.10%$57,272-5.21%$12,963-82.10%-5.21%
20192.29%106.56%$118,30030.67%$16,939106.56%30.67%
20201.36%290.72%$462,22221.03%$20,501290.72%21.03%
20214.31%-6.84%$430,58915.21%$23,618-6.84%15.21%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Grayscale Bitcoin Trust (BTC) (GBTC)Vanguard Total Stock Market ETF (VTI)
ReturnBalanceReturnBalance
20161-31.75%$6,825-5.72%$9,428-31.75%-5.72%
2016230.23%$8,889-0.01%$9,42730.23%-0.01%
20163-2.86%$8,6357.11%$10,097-2.86%7.11%
2016431.80%$11,3810.66%$10,16431.80%0.66%
201658.93%$12,3971.73%$10,3408.93%1.73%
2016653.07%$18,9760.27%$10,36853.07%0.27%
20167-20.54%$15,0793.98%$10,780-20.54%3.98%
20168-13.68%$13,0160.21%$10,803-13.68%0.21%
201699.76%$14,2860.21%$10,8259.76%0.21%
20161019.89%$17,127-2.19%$10,58819.89%-2.19%
201611-8.71%$15,6354.49%$11,063-8.71%4.49%
20161223.50%$19,3101.98%$11,28323.50%1.98%
20171-10.81%$17,2211.86%$11,492-10.81%1.86%
201726.00%$18,2543.69%$11,9176.00%3.69%
201730.97%$18,4300.06%$11,9230.97%0.06%
2017418.59%$21,8571.06%$12,05018.59%1.06%
20175251.53%$76,8331.01%$12,172251.53%1.01%
20176-19.43%$61,9050.95%$12,287-19.43%0.95%
201777.69%$66,6671.88%$12,5187.69%1.88%
20178139.29%$159,5240.15%$12,537139.29%0.15%
20179-30.15%$111,4292.44%$12,843-30.15%2.44%
20171018.00%$131,4862.17%$13,12118.00%2.17%
20171183.62%$241,4293.03%$13,51983.62%3.03%
20171232.54%$320,0001.16%$13,67632.54%1.16%
20181-29.63%$225,1895.23%$14,391-29.63%5.23%
2018214.37%$257,544-3.76%$13,85014.37%-3.76%
20183-41.17%$151,522-1.95%$13,580-41.17%-1.95%
2018451.10%$228,9440.45%$13,64151.10%0.45%
20185-22.52%$177,3782.72%$14,012-22.52%2.72%
20186-30.54%$123,2110.70%$14,111-30.54%0.70%
2018722.16%$150,5113.32%$14,57922.16%3.32%
20188-8.83%$137,2223.43%$15,079-8.83%3.43%
20189-16.42%$114,6890.20%$15,109-16.42%0.20%
201810-15.11%$97,356-7.41%$13,989-15.11%-7.41%
201811-25.96%$72,0782.01%$14,271-25.96%2.01%
201812-20.54%$57,272-9.16%$12,963-20.54%-9.16%
201910.63%$57,6338.54%$14,0700.63%8.54%
2019211.78%$64,4223.56%$14,57111.78%3.56%
201937.17%$69,0441.42%$14,7777.17%1.42%
2019438.28%$95,4783.93%$15,35738.28%3.93%
2019567.32%$159,756-6.45%$14,36767.32%-6.45%
2019636.80%$218,5447.08%$15,38436.80%7.08%
20197-9.85%$197,0221.41%$15,601-9.85%1.41%
20198-14.08%$169,289-2.08%$15,276-14.08%-2.08%
20199-9.64%$152,9671.78%$15,548-9.64%1.78%
2019105.00%$160,6222.11%$15,8765.00%2.11%
201911-13.94%$138,2333.79%$16,477-13.94%3.79%
201912-14.42%$118,3002.80%$16,939-14.42%2.80%
2020133.09%$157,444-0.06%$16,92933.09%-0.06%
20202-9.63%$142,278-8.00%$15,574-9.63%-8.00%
20203-27.72%$102,844-13.91%$13,408-27.72%-13.91%
2020438.62%$142,56713.13%$15,16938.62%13.13%
2020510.33%$157,3005.40%$15,98810.33%5.40%
20206-11.80%$138,7392.29%$16,354-11.80%2.29%
2020733.42%$185,1065.74%$17,29333.42%5.74%
202085.58%$195,4337.10%$18,5225.58%7.10%
20209-18.92%$158,456-3.54%$17,866-18.92%-3.54%
20201040.20%$222,156-1.95%$17,51740.20%-1.95%
20201150.81%$335,02411.80%$19,58550.81%11.80%
20201237.97%$462,2224.68%$20,50137.97%4.68%
202118.41%$501,078-0.33%$20,4328.41%-0.33%
2021224.53%$624,0003.14%$21,07424.53%3.14%
2021315.83%$722,8003.65%$21,84215.83%3.65%
20214-6.37%$676,7225.04%$22,942-6.37%5.04%
20215-35.50%$436,5110.46%$23,047-35.50%0.46%
20216-1.36%$430,5892.48%$23,618-1.36%2.48%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value32.25%
Large-cap Growth50.19%
Mid-cap Value4.65%
Mid-cap Growth4.68%
Small-cap Value2.76%
Small-cap Growth4.62%
Global ex-US Developed Markets0.23%
Emerging Markets0.61%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.80%
Style analysis is based on monthly returns from January 2016 to June 2021 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
TickerNameCategoryWeightFeesReturn ContributionRisk Contribution
GBTCGrayscale Bitcoin Trust (BTC)Miscellaneous100.00%2.00%$420,589100.00%

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%1.21%0.03%25.59$13,618100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/28/2021. (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 1Portfolio 2
Arithmetic Mean (monthly)11.62%1.41%
Arithmetic Mean (annualized)274.04%18.27%
Geometric Mean (monthly)5.87%1.31%
Geometric Mean (annualized)98.20%16.91%
Volatility (monthly)43.32%4.43%
Volatility (annualized)150.05%15.35%
Downside Deviation (monthly)13.62%2.79%
Max. Drawdown-82.10%-20.84%
US Market Correlation0.131.00
Beta(*)1.301.00
Alpha (annualized)117.61%0.18%
R21.78%99.96%
Sharpe Ratio0.921.03
Sortino Ratio2.921.62
Treynor Ratio (%)106.4815.95
Calmar Ratio0.840.90
Active Return81.41%0.13%
Tracking Error148.78%0.31%
Information Ratio0.550.42
Skewness3.07-0.64
Excess Kurtosis14.432.44
Historical Value-at-Risk (5%)-30.44%-7.17%
Analytical Value-at-Risk (5%)-59.63%-5.88%
Conditional Value-at-Risk (5%)-34.74%-9.62%
Upside Capture Ratio (%)335.13100.17
Downside Capture Ratio (%)43.8299.50
Safe Withdrawal Rate100.00%27.29%
Perpetual Withdrawal Rate51.56%13.42%
Positive Periods37 out of 66 (56.06%)51 out of 66 (77.27%)
Gain/Loss Ratio1.940.70
* 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
1Jan 2018Dec 20181 yearNov 20201 year 11 months2 years 11 months-82.10%
2Apr 2021Jun 20213 months-40.43%
3Jan 2016Jan 20161 monthApr 20163 months4 months-31.75%
4Jul 2016Aug 20162 monthsDec 20164 months6 months-31.41%
5Sep 2017Sep 20171 monthNov 20172 months3 months-30.15%
6Jun 2017Jun 20171 monthAug 20172 months3 months-19.43%
7Jan 2017Jan 20171 monthApr 20173 months4 months-10.81%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.84%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
3May 2019May 20191 monthJun 20191 month2 months-6.45%
4Jan 2016Feb 20162 monthsMar 20161 month3 months-5.73%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-5.42%
7Oct 2016Oct 20161 monthNov 20161 month2 months-2.19%
8Aug 2019Aug 20191 monthOct 20192 months3 months-2.08%
9Jan 2021Jan 20211 monthFeb 20211 month2 months-0.33%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
GBTCGrayscale Bitcoin Trust (BTC)98.20%150.05%1,557.21%-82.10%-82.10%0.922.920.13
VTIVanguard Total Stock Market ETF16.91%15.35%30.67%-5.21%-20.84%1.031.621.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameGBTCVTIPortfolio 1Portfolio 2
GBTCGrayscale Bitcoin Trust (BTC)1.000.141.000.14
VTIVanguard Total Stock Market ETF0.141.000.141.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
GBTCGrayscale Bitcoin Trust (BTC)$420,589
VTIVanguard Total Stock Market ETF$13,618

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
GBTCGrayscale Bitcoin Trust (BTC)100.00%
VTIVanguard Total Stock Market ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year261.65%1,557.21%-82.10%16.53%62.90%-9.27%
3 years71.87%135.53%7.00%13.02%18.92%3.99%
5 years120.68%142.41%86.71%17.04%17.90%15.44%