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 7
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Asset 8
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Portfolio Analysis Results (Jan 2002 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
O Realty Income Corporation 20.00%
VTI Vanguard Total Stock Market ETF 80.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$79,489 11.12% 14.37%28.92%-31.21%-47.32% 0.721.070.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 17.12%20.35%31.44%17.10%15.83%15.77%11.12%18.87%15.27%
Trailing annualized return and volatility are for full months ending in August 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 August
  • 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 BalanceRealty Income Corporation (O)Vanguard Total Stock Market ETF (VTI)
20022.38%-10.89%$8,91127.46%-20.47%
20031.88%28.92%$11,48821.59%30.75%
20043.26%17.00%$13,44233.88%12.79%
20053.42%3.16%$13,866-9.45%6.31%
20062.54%19.76%$16,60636.01%15.69%
20074.08%4.95%$17,4293.28%5.37%
20080.09%-31.21%$11,988-8.16%-36.98%
20092.72%27.29%$15,26020.89%28.89%
20101.50%21.80%$18,58739.30%17.42%
20112.96%2.28%$19,0117.53%0.97%
20121.74%17.23%$22,28520.32%16.45%
20131.50%26.30%$28,146-2.31%33.45%
20140.76%16.90%$32,90434.34%12.54%
20150.73%2.97%$33,87913.39%0.36%
20162.07%13.42%$38,42515.79%12.83%
20172.11%17.71%$45,2303.69%21.21%
20181.91%-0.98%$44,78515.94%-5.21%
20192.29%28.79%$57,67821.26%30.67%
20201.36%14.51%$66,047-11.55%21.03%
20215.03%20.35%$79,48919.53%20.56%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceRealty Income Corporation (O)Vanguard Total Stock Market ETF (VTI)
200210.48%$10,0485.91%-0.87%
20022-1.29%$9,9190.44%-1.75%
200234.62%$10,3778.07%3.68%
20024-2.97%$10,0682.25%-4.46%
20025-0.57%$10,0112.19%-1.41%
20026-3.27%$9,6848.21%-6.89%
20027-8.23%$8,887-7.92%-8.34%
200280.71%$8,9500.57%0.76%
20029-6.95%$8,3281.61%-10.10%
2002104.86%$8,732-1.48%7.49%
2002115.74%$9,2335.06%6.00%
200212-3.49%$8,9110.69%-5.07%
20031-2.75%$8,667-2.64%-2.77%
20032-0.66%$8,6102.88%-1.54%
200331.37%$8,7283.71%0.76%
200348.00%$9,4265.72%8.61%
200354.76%$9,8740.66%5.83%
200361.63%$10,0351.66%1.62%
200372.78%$10,3154.63%2.33%
200381.92%$10,5120.07%2.39%
20039-0.66%$10,4430.93%-1.06%
2003104.80%$10,944-0.13%6.05%
2003111.70%$11,1302.53%1.50%
2003123.22%$11,488-0.00%4.00%
200412.83%$11,8143.73%2.61%
200422.20%$12,0745.35%1.40%
20043-0.07%$12,0663.58%-1.03%
20044-4.74%$11,494-13.89%-2.22%
200452.14%$11,7394.97%1.45%
200462.62%$12,0474.97%2.03%
20047-3.32%$11,647-2.41%-3.56%
200481.99%$11,8799.40%0.06%
200491.88%$12,1022.58%1.68%
2004102.97%$12,4627.05%1.80%
2004114.64%$13,0404.29%4.74%
2004123.09%$13,4421.94%3.43%
20051-3.48%$12,975-7.39%-2.50%
200521.95%$13,2271.36%2.09%
20053-1.94%$12,970-2.25%-1.87%
20054-0.67%$12,8835.86%-2.20%
200553.62%$13,3492.57%3.88%
200561.04%$13,4882.15%0.76%
200573.54%$13,9650.24%4.38%
20058-1.69%$13,728-4.17%-1.09%
200590.80%$13,8380.83%0.79%
200510-3.12%$13,407-6.36%-2.35%
2005114.17%$13,9652.18%4.62%
200512-0.71%$13,866-4.00%0.02%
200614.23%$14,4538.26%3.22%
200620.06%$14,462-0.53%0.22%
200632.77%$14,8635.54%2.05%
20064-0.49%$14,789-5.88%0.96%
20065-3.21%$14,315-3.14%-3.22%
200660.27%$14,3530.80%0.13%
200670.92%$14,4845.01%-0.12%
200683.50%$14,9918.02%2.30%
200691.98%$15,2881.00%2.26%
2006104.36%$15,9557.35%3.53%
2006112.81%$16,4044.50%2.33%
2006121.23%$16,6061.33%1.20%
200712.36%$16,9984.36%1.86%
20072-2.10%$16,640-3.97%-1.62%
200731.49%$16,8892.97%1.12%
200743.08%$17,409-0.62%4.02%
200752.75%$17,887-1.27%3.72%
20076-2.87%$17,373-7.67%-1.76%
20077-4.03%$16,673-6.32%-3.53%
200783.94%$17,32915.62%1.47%
200793.88%$18,0024.01%3.85%
2007102.65%$18,4786.18%1.79%
200711-4.23%$17,696-3.06%-4.52%
200712-1.51%$17,429-4.71%-0.70%
20081-6.83%$16,239-9.47%-6.17%
20082-2.95%$15,760-4.83%-2.50%
200831.55%$16,00411.94%-0.90%
200844.53%$16,7303.21%4.89%
200850.28%$16,777-6.36%2.02%
20086-7.81%$15,466-6.54%-8.12%
200871.71%$15,73111.27%-0.62%
200881.68%$15,9952.50%1.46%
20089-7.18%$14,8460.26%-9.24%
200810-15.52%$12,542-9.11%-17.48%
200811-9.04%$11,408-12.08%-8.01%
2008125.08%$11,98815.38%1.78%
20091-9.67%$10,829-16.15%-8.05%
20092-10.11%$9,734-8.30%-10.53%
200938.26%$10,5388.24%8.26%
2009412.58%$11,86419.40%10.99%
200953.72%$12,306-3.22%5.46%
200960.81%$12,4062.77%0.36%
200977.83%$13,3778.22%7.74%
200984.72%$14,0088.95%3.71%
200993.50%$14,4980.95%4.14%
200910-3.88%$13,935-9.08%-2.63%
2009116.43%$14,8329.73%5.69%
2009122.89%$15,2603.01%2.86%
20101-1.18%$15,0808.35%-3.57%
201022.85%$15,5100.76%3.44%
201037.20%$16,62610.12%6.40%
201043.31%$17,1767.29%2.18%
20105-7.13%$15,951-4.61%-7.88%
20106-4.96%$15,159-2.14%-5.83%
201076.84%$16,1966.28%7.02%
20108-3.09%$15,6962.01%-4.71%
201098.04%$16,9583.91%9.45%
2010103.55%$17,5612.09%4.03%
2010110.33%$17,618-0.25%0.51%
2010125.50%$18,5870.86%6.96%
201112.17%$18,9902.65%2.05%
201123.62%$19,6773.30%3.70%
20113-0.15%$19,647-2.43%0.42%
201142.75%$20,1862.13%2.90%
20115-1.00%$19,984-0.74%-1.06%
20116-2.28%$19,529-4.29%-1.79%
20117-2.34%$19,072-2.65%-2.27%
20118-3.63%$18,3816.84%-6.09%
20119-7.29%$17,040-6.23%-7.57%
2011109.81%$18,7114.07%11.37%
2011110.06%$18,7241.79%-0.37%
2011121.53%$19,0113.68%0.98%
201214.96%$19,9544.54%5.07%
201223.73%$20,6981.75%4.22%
201233.52%$21,4255.38%3.06%
20124-0.12%$21,3991.95%-0.64%
20125-5.41%$20,242-2.19%-6.23%
201265.17%$21,2899.36%4.05%
201270.46%$21,387-1.02%0.88%
201282.69%$21,9612.62%2.70%
201291.40%$22,269-2.58%2.49%
201210-2.17%$21,785-3.59%-1.81%
2012111.43%$22,0963.99%0.77%
2012120.86%$22,285-0.78%1.29%
201316.15%$23,6569.08%5.42%
201322.03%$24,1364.93%1.28%
201333.06%$24,874-0.26%3.95%
201343.89%$25,84312.80%1.61%
20135-0.43%$25,732-10.48%2.44%
20136-2.62%$25,059-7.37%-1.43%
201375.41%$26,4153.98%5.75%
20138-4.07%$25,339-8.59%-3.03%
201393.40%$26,2001.09%3.90%
2013104.43%$27,3625.23%4.27%
2013110.81%$27,583-8.06%2.70%
2013122.04%$28,146-1.57%2.73%
20141-0.59%$27,9809.73%-3.17%
201425.86%$29,6209.37%4.87%
20143-1.34%$29,223-7.60%0.51%
201441.50%$29,6606.78%0.06%
201451.65%$30,1480.07%2.10%
201462.71%$30,9653.01%2.62%
20147-2.15%$30,301-2.68%-1.99%
201484.18%$31,5694.31%4.15%
20149-3.49%$30,468-8.38%-2.10%
2014104.96%$31,97813.29%2.75%
2014112.22%$32,6881.33%2.48%
2014120.66%$32,9043.07%-0.04%
201510.66%$33,11914.22%-2.74%
201522.74%$34,028-7.48%5.74%
20153-0.21%$33,9553.46%-1.16%
20154-1.34%$33,500-8.61%0.62%
201550.54%$33,680-2.58%1.30%
20156-1.77%$33,084-2.17%-1.67%
201573.12%$34,1189.22%1.70%
20158-6.29%$31,972-7.07%-6.09%
20159-1.05%$31,6366.47%-2.92%
2015107.24%$33,9264.77%7.91%
2015110.62%$34,1370.71%0.60%
201512-0.75%$33,8794.43%-2.13%
20161-2.89%$32,9018.45%-5.72%
201621.17%$33,2865.29%-0.01%
201637.11%$35,6547.12%7.11%
20164-0.65%$35,422-4.98%0.66%
201651.76%$36,0451.84%1.73%
201663.72%$37,38615.76%0.27%
201673.82%$38,8133.33%3.98%
20168-1.76%$38,130-7.75%0.21%
201690.65%$38,3792.13%0.21%
201610-4.31%$36,725-11.18%-2.19%
2016112.18%$37,525-6.08%4.49%
2016122.40%$38,4254.05%1.98%
201712.31%$39,3124.11%1.86%
201723.58%$40,7183.11%3.69%
20173-0.46%$40,529-2.51%0.06%
201740.53%$40,743-1.63%1.06%
20175-0.25%$40,639-5.50%1.01%
201760.93%$41,0160.84%0.95%
201772.23%$41,9323.79%1.88%
201780.36%$42,0811.25%0.15%
201791.93%$42,892-0.27%2.44%
2017100.70%$43,194-5.78%2.17%
2017113.10%$44,5333.43%3.03%
2017121.56%$45,2303.50%1.16%
201812.92%$46,550-6.33%5.23%
20182-4.37%$44,514-7.13%-3.76%
20183-0.61%$44,2425.63%-1.95%
201840.00%$44,242-1.93%0.45%
201853.32%$45,7105.96%2.72%
201860.82%$46,0861.33%0.70%
201873.46%$47,6834.09%3.32%
201883.81%$49,5005.42%3.43%
20189-0.33%$49,339-2.49%0.20%
201810-4.80%$46,9696.33%-7.41%
2018113.01%$48,3826.70%2.01%
201812-7.43%$44,785-1.29%-9.16%
201918.70%$48,6809.32%8.54%
201923.05%$50,1631.01%3.56%
201932.46%$51,3966.69%1.42%
201942.19%$52,522-4.52%3.93%
20195-5.13%$49,8270.42%-6.45%
201965.38%$52,510-1.26%7.08%
201971.27%$53,1780.68%1.41%
20198-0.37%$52,9816.97%-2.08%
201992.27%$54,1854.20%1.78%
2019103.11%$55,8706.96%2.11%
2019111.68%$56,809-6.03%3.79%
2019121.53%$57,678-3.62%2.80%
202011.31%$58,4356.81%-0.06%
20202-7.87%$53,837-7.38%-8.00%
20203-17.49%$44,421-30.80%-13.91%
2020412.69%$50,05610.62%13.13%
202054.65%$52,3851.13%5.40%
202063.25%$54,0908.00%2.29%
202074.96%$56,7741.32%5.74%
202086.52%$60,4773.69%7.10%
20209-3.24%$58,520-1.69%-3.54%
202010-2.36%$57,141-4.37%-1.95%
20201110.52%$63,1554.05%11.80%
2020124.58%$66,0474.06%4.68%
20211-1.19%$65,260-4.62%-0.33%
202123.00%$67,2192.43%3.14%
202134.05%$69,9445.77%3.65%
202145.86%$74,0449.27%5.04%
202150.21%$74,202-0.74%0.46%
202161.57%$75,367-2.08%2.48%
202172.49%$77,2475.67%1.74%
202182.90%$79,4893.08%2.86%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value25.63%
Large-cap Growth38.21%
Mid-cap Value16.90%
Mid-cap Growth0.14%
Small-cap Value8.57%
Small-cap Growth0.00%
Global ex-US Developed Markets1.78%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries8.77%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared94.13%
Style analysis is based on monthly returns from April 2005 to August 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
ORealty Income CorporationReal Estate / REIT - Retail20.00%4.29%$13,69119.93%
VTIVanguard Total Stock Market ETFLarge Blend80.00%1.20%0.03%24.25$55,79880.07%
100.00%1.82%0.03%24.25$69,489100.00%

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
MetricPortfolio 1
Arithmetic Mean (monthly)0.97%
Arithmetic Mean (annualized)12.27%
Geometric Mean (monthly)0.88%
Geometric Mean (annualized)11.12%
Volatility (monthly)4.15%
Volatility (annualized)14.37%
Downside Deviation (monthly)2.77%
Max. Drawdown-47.32%
US Market Correlation0.96
Beta(*)0.92
Alpha (annualized)2.05%
R292.05%
Sharpe Ratio0.72
Sortino Ratio1.07
Treynor Ratio (%)11.36
Calmar Ratio0.71
Active Return1.39%
Tracking Error4.24%
Information Ratio0.33
Skewness-0.80
Excess Kurtosis2.47
Historical Value-at-Risk (5%)-7.00%
Analytical Value-at-Risk (5%)-5.86%
Conditional Value-at-Risk (5%)-9.57%
Upside Capture Ratio (%)96.58
Downside Capture Ratio (%)87.96
Safe Withdrawal Rate8.72%
Perpetual Withdrawal Rate8.25%
Positive Periods157 out of 236 (66.53%)
Gain/Loss Ratio0.92
* 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 1
Subprime CrisisNov 2007Mar 2009-47.32%
COVID-19 StartJan 2020Mar 2020-23.98%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-47.32%
2Feb 2020Mar 20202 monthsAug 20205 months7 months-23.98%
3Apr 2002Sep 20026 monthsAug 200311 months1 year 5 months-19.75%
4May 2011Sep 20115 monthsFeb 20125 months10 months-15.58%
5Sep 2018Dec 20184 monthsFeb 20192 months6 months-9.52%
6Aug 2015Sep 20152 monthsNov 20152 months4 months-7.28%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-6.79%
8Apr 2012May 20122 monthsAug 20123 months5 months-5.52%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-5.52%
10Aug 2016Oct 20163 monthsJan 20173 months6 months-5.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ORealty Income Corporation14.37%21.27%39.30%-11.55%-38.00%0.691.050.44
VTIVanguard Total Stock Market ETF9.85%15.01%33.45%-36.98%-50.84%0.620.911.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameOVTIPortfolio 1
ORealty Income Corporation1.000.450.68
VTIVanguard Total Stock Market ETF0.451.000.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
ORealty Income Corporation$13,691
VTIVanguard Total Stock Market ETF$55,798

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
ORealty Income Corporation19.93%
VTIVanguard Total Stock Market ETF80.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year12.22%59.33%-38.23%
3 years10.97%28.59%-12.36%
5 years10.58%24.93%-4.22%
7 years10.43%19.20%-0.27%
10 years10.94%17.82%6.63%
15 years10.50%11.86%8.55%