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 6
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Portfolio Analysis Results (Jan 2008 - Mar 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PFF iShares Preferred&Income Securities ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$6,000$145,330 27.19% 5.92%6.52%17.26%38.67%-23.94%-54.40%
(-37.59%)
0.390.560.57
Portfolio 2$6,000$252,349 32.60% 10.07%14.10%15.86%32.33%-36.97%-48.42%
(-37.63%)
0.650.951.00
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.51%0.51%26.94%6.22%5.21%5.61%5.92%11.52%9.26%
Portfolio 26.18%6.18%56.33%16.75%16.26%13.88%10.07%18.40%14.89%
Trailing annualized return and volatility are for full months ending in March 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 March
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual contribution of $6,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2iShares Preferred&Income Securities ETF (PFF)Vanguard 500 Index Admiral (VFIAX)
ReturnBalanceReturnBalance
20080.09%$6,005-23.94%$10,569-36.97%$9,787-23.94%-36.97%
20092.72%$6,16938.67%$20,82526.62%$18,56238.67%26.62%
20101.50%$6,26113.81%$29,96315.05%$27,61613.81%15.05%
20112.96%$6,447-2.00%$35,8112.08%$34,639-2.00%2.08%
20121.74%$6,55918.20%$48,88815.96%$46,72818.20%15.96%
20131.50%$6,657-0.98%$55,06532.33%$68,494-0.98%32.33%
20140.76%$6,70814.11%$69,54013.64%$84,54514.11%13.64%
20150.73%$6,7574.27%$79,2661.36%$92,4544.27%1.36%
20162.07%$6,8971.30%$87,19711.93%$110,3771.30%11.93%
20172.11%$7,0428.10%$101,29921.79%$141,4668.10%21.79%
20181.91%$7,177-4.63%$103,785-4.43%$142,380-4.63%-4.43%
20192.29%$7,34115.92%$127,65331.46%$194,50715.92%31.46%
20201.36%$7,4417.44%$144,59218.37%$237,6727.44%18.37%
20210.98%$0.000.51%$145,3306.18%$252,3490.51%6.18%
Annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2iShares Preferred&Income Securities ETF (PFF)Vanguard 500 Index Admiral (VFIAX)
ReturnBalanceReturnBalance
200819.73%$6,584-6.01%$5,6409.73%-6.01%
20082-0.11%$6,577-3.24%$5,457-0.11%-3.24%
20083-5.70%$6,202-0.43%$5,433-5.70%-0.43%
200846.32%$6,5944.87%$5,6976.32%4.87%
20085-0.37%$6,5691.29%$5,771-0.37%1.29%
20086-9.47%$5,948-8.43%$5,284-9.47%-8.43%
20087-4.61%$5,673-0.82%$5,241-4.61%-0.82%
200880.13%$5,6811.45%$5,3170.13%1.45%
20089-24.65%$4,280-8.90%$4,844-24.65%-8.90%
2008104.31%$4,465-16.78%$4,0314.31%-16.78%
200811-7.82%$4,116-7.16%$3,742-7.82%-7.16%
20081210.89%$10,5691.06%$9,78710.89%1.06%
20091-11.67%$9,335-8.41%$8,964-11.67%-8.41%
20092-25.40%$6,964-10.64%$8,010-25.40%-10.64%
2009320.81%$8,4148.78%$8,71320.81%8.78%
2009418.43%$9,9659.56%$9,54618.43%9.56%
2009519.13%$11,8715.63%$10,08319.13%5.63%
200962.97%$12,2240.23%$10,1072.97%0.23%
2009711.85%$13,6727.58%$10,87211.85%7.58%
20098-1.90%$13,4123.61%$11,265-1.90%3.61%
200995.19%$14,1093.73%$11,6855.19%3.73%
200910-3.47%$13,620-1.86%$11,468-3.47%-1.86%
2009111.50%$13,8246.00%$12,1561.50%6.00%
2009126.02%$20,8251.95%$18,5626.02%1.95%
201010.98%$21,029-3.59%$17,8950.98%-3.59%
201023.68%$21,8043.09%$18,4483.68%3.09%
201031.79%$22,1936.03%$19,5601.79%6.03%
201040.05%$22,2041.59%$19,8710.05%1.59%
20105-4.34%$21,240-8.00%$18,282-4.34%-8.00%
201061.88%$21,639-5.23%$17,3251.88%-5.23%
201076.89%$23,1317.01%$18,5396.89%7.01%
201082.30%$23,663-4.52%$17,7012.30%-4.52%
201090.37%$23,7508.93%$19,2810.37%8.93%
2010100.15%$23,7853.81%$20,0160.15%3.81%
201011-0.62%$23,6380.01%$20,017-0.62%0.01%
2010120.27%$29,9636.68%$27,6160.27%6.68%
201110.72%$30,1792.37%$28,2700.72%2.37%
201121.65%$30,6763.42%$29,2381.65%3.42%
201130.97%$30,9720.03%$29,2460.97%0.03%
201141.58%$31,4622.96%$30,1131.58%2.96%
201150.60%$31,650-1.14%$29,7710.60%-1.14%
20116-0.55%$31,477-1.66%$29,275-0.55%-1.66%
20117-1.89%$30,883-2.04%$28,678-1.89%-2.04%
20118-1.87%$30,306-5.43%$27,121-1.87%-5.43%
20119-5.20%$28,730-7.04%$25,212-5.20%-7.04%
2011105.38%$30,27610.93%$27,9695.38%10.93%
201111-3.13%$29,328-0.22%$27,906-3.13%-0.22%
2011120.12%$35,8111.03%$34,6390.12%1.03%
201217.07%$38,3454.47%$36,1887.07%4.47%
201223.04%$39,5114.32%$37,7533.04%4.32%
201230.18%$39,5813.29%$38,9940.18%3.29%
201240.22%$39,670-0.63%$38,7470.22%-0.63%
20125-1.17%$39,206-6.01%$36,419-1.17%-6.01%
201262.42%$40,1564.12%$37,9212.42%4.12%
201271.50%$40,7601.38%$38,4431.50%1.38%
201281.48%$41,3642.25%$39,3101.48%2.25%
201290.73%$41,6672.58%$40,3260.73%2.58%
2012101.01%$42,090-1.85%$39,5791.01%-1.85%
2012110.18%$42,1640.58%$39,8060.18%0.58%
2012120.39%$48,8880.91%$46,7280.39%0.91%
201311.34%$49,5425.18%$49,1501.34%5.18%
201320.53%$49,8051.35%$49,8150.53%1.35%
201331.12%$50,3643.75%$51,6811.12%3.75%
201341.05%$50,8951.92%$52,6751.05%1.92%
20135-0.66%$50,5602.33%$53,904-0.66%2.33%
20136-2.20%$49,447-1.35%$53,179-2.20%-1.35%
20137-0.54%$49,1795.09%$55,883-0.54%5.09%
20138-2.19%$48,104-2.90%$54,263-2.19%-2.90%
201390.68%$48,4323.13%$55,9620.68%3.13%
2013100.93%$48,8804.59%$58,5330.93%4.59%
2013110.32%$49,0383.04%$60,3130.32%3.04%
201312-1.29%$55,0652.53%$68,494-1.29%2.53%
201412.96%$56,694-3.46%$66,1252.96%-3.46%
201422.28%$57,9884.57%$69,1452.28%4.57%
201431.75%$59,0010.84%$69,7231.75%0.84%
201441.84%$60,0840.74%$70,2361.84%0.74%
201451.25%$60,8332.34%$71,8801.25%2.34%
201460.61%$61,2062.06%$73,3640.61%2.06%
20147-0.50%$60,902-1.38%$72,349-0.50%-1.38%
201481.79%$61,9914.00%$75,2421.79%4.00%
20149-0.82%$61,481-1.40%$74,186-0.82%-1.40%
2014101.07%$62,1382.43%$75,9921.07%2.43%
2014111.24%$62,9062.69%$78,0381.24%2.69%
201412-0.12%$69,540-0.26%$84,545-0.12%-0.26%
201511.32%$70,456-3.00%$82,0081.32%-3.00%
201520.97%$71,1435.74%$86,7180.97%5.74%
201530.30%$71,356-1.59%$85,3430.30%-1.59%
201540.02%$71,3670.95%$86,1580.02%0.95%
20155-0.01%$71,3571.28%$87,263-0.01%1.28%
20156-1.01%$70,637-1.92%$85,585-1.01%-1.92%
201571.36%$71,6002.09%$87,3741.36%2.09%
20158-0.75%$71,063-6.04%$82,100-0.75%-6.04%
20159-0.69%$70,576-2.48%$80,064-0.69%-2.48%
2015102.16%$72,1038.43%$86,8122.16%8.43%
2015110.67%$72,5830.30%$87,0740.67%0.30%
201512-0.10%$79,266-1.58%$92,454-0.10%-1.58%
20161-0.98%$78,491-4.97%$87,863-0.98%-4.97%
201620.06%$78,541-0.14%$87,7400.06%-0.14%
201632.38%$80,4086.78%$93,6912.38%6.78%
201640.88%$81,1190.39%$94,0560.88%0.39%
201651.54%$82,3711.79%$95,7371.54%1.79%
201661.18%$83,3460.26%$95,9821.18%0.26%
201671.39%$84,5083.68%$99,5161.39%3.68%
201680.02%$84,5280.14%$99,6550.02%0.14%
20169-1.07%$83,6210.02%$99,672-1.07%0.02%
201610-0.97%$82,808-1.83%$97,850-0.97%-1.83%
201611-3.33%$80,0523.70%$101,474-3.33%3.70%
2016120.31%$87,1971.98%$110,3770.31%1.98%
201712.39%$89,2821.89%$112,4672.39%1.89%
201722.09%$91,1453.97%$116,9282.09%3.97%
201730.50%$91,5990.11%$117,0580.50%0.11%
201741.30%$92,7871.02%$118,2561.30%1.02%
201750.55%$93,3001.40%$119,9140.55%1.40%
201760.80%$94,0470.62%$120,6570.80%0.62%
201770.66%$94,6722.05%$123,1320.66%2.05%
20178-0.06%$94,6150.30%$123,504-0.06%0.30%
20179-0.16%$94,4622.07%$126,056-0.16%2.07%
201710-0.37%$94,1082.33%$128,994-0.37%2.33%
2017110.68%$94,7503.07%$132,9510.68%3.07%
201712-0.52%$101,2991.11%$141,466-0.52%1.11%
20181-1.18%$100,1025.72%$149,559-1.18%5.72%
201820.27%$100,369-3.69%$144,0460.27%-3.69%
201830.54%$100,912-2.55%$140,3790.54%-2.55%
20184-0.70%$100,2010.38%$140,915-0.70%0.38%
201850.81%$101,0142.40%$144,3000.81%2.40%
201861.76%$102,7950.61%$145,1841.76%0.61%
201870.19%$102,9943.72%$150,5810.19%3.72%
201881.41%$104,4423.25%$155,4801.41%3.25%
20189-1.71%$102,6510.57%$156,362-1.71%0.57%
201810-2.24%$100,348-6.84%$145,665-2.24%-6.84%
201811-2.23%$98,1052.03%$148,628-2.23%2.03%
201812-1.53%$103,785-9.03%$142,380-1.53%-9.03%
201915.64%$109,6378.01%$153,7855.64%8.01%
201920.58%$110,2763.21%$158,7190.58%3.21%
201931.46%$111,8881.95%$161,8091.46%1.95%
201940.68%$112,6544.05%$168,3600.68%4.05%
201950.25%$112,938-6.36%$157,6580.25%-6.36%
201961.31%$114,4197.04%$168,7641.31%7.04%
201971.80%$116,4781.43%$171,1771.80%1.43%
201980.60%$117,182-1.58%$168,4720.60%-1.58%
201990.75%$118,0631.87%$171,6180.75%1.87%
2019100.43%$118,5662.16%$175,3290.43%2.16%
201911-0.44%$118,0463.63%$181,695-0.44%3.63%
2019121.92%$127,6533.01%$194,5071.92%3.01%
202011.52%$129,588-0.04%$194,4291.52%-0.04%
20202-4.87%$123,272-8.24%$178,413-4.87%-8.24%
20203-11.90%$108,598-12.36%$156,362-11.90%-12.36%
202049.45%$118,86112.82%$176,4069.45%12.82%
202051.92%$121,1454.76%$184,8081.92%4.76%
20206-0.95%$119,9981.99%$188,485-0.95%1.99%
202074.95%$125,9395.64%$199,1124.95%5.64%
202081.90%$128,3277.18%$213,4151.90%7.18%
20209-0.25%$128,012-3.80%$205,295-0.25%-3.80%
202010-0.20%$127,751-2.66%$199,830-0.20%-2.66%
2020114.61%$133,63410.95%$221,7034.61%10.95%
2020122.63%$144,5923.85%$237,6722.63%3.85%
20211-1.71%$142,114-1.01%$235,265-1.71%-1.01%
20212-0.88%$140,8672.76%$241,766-0.88%2.76%
202133.17%$145,3304.38%$252,3493.17%4.38%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value45.83%
Large-cap Growth54.17%
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 Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.93%
Style analysis is based on monthly returns from January 2008 to March 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
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
PFFiShares Preferred&Income Securities ETFPreferred Stock100.00%4.76%0.46%$51,870100.00%

Asset Allocation

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend100.00%1.42%0.04%27.94$158,888100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 04/14/2021. (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)0.61%0.91%
Arithmetic Mean (annualized)7.55%11.46%
Geometric Mean (monthly)0.48%0.80%
Geometric Mean (annualized)5.92%10.07%
Volatility (monthly)4.98%4.58%
Volatility (annualized)17.26%15.86%
Downside Deviation (monthly)3.45%3.09%
Max. Drawdown-54.40%-48.42%
US Market Correlation0.571.00
Beta(*)0.600.96
Alpha (annualized)0.59%0.19%
R232.86%99.40%
Sharpe Ratio0.390.65
Sortino Ratio0.560.95
Treynor Ratio (%)11.1510.72
Calmar Ratio0.380.85
Active Return-4.31%-0.15%
Tracking Error15.58%1.37%
Information Ratio-0.28-0.11
Skewness-0.76-0.66
Excess Kurtosis11.521.43
Historical Value-at-Risk (5%)-4.91%-8.02%
Analytical Value-at-Risk (5%)-7.59%-6.62%
Conditional Value-at-Risk (5%)-12.73%-10.35%
Upside Capture Ratio (%)53.4897.04
Downside Capture Ratio (%)57.6496.98
Safe Withdrawal Rate9.70%9.26%
Perpetual Withdrawal Rate4.04%7.74%
Positive Periods105 out of 159 (66.04%)108 out of 159 (67.92%)
Gain/Loss Ratio0.820.79
* 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
1May 2008Feb 200910 monthsFeb 20101 year1 year 10 months-54.40%
2Feb 2020Mar 20202 monthsNov 20208 months10 months-16.20%
3Jun 2011Sep 20114 monthsFeb 20125 months9 months-9.23%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-7.50%
5Feb 2008Mar 20082 monthsApr 20081 month3 months-5.80%
6May 2013Aug 20134 monthsFeb 20146 months10 months-5.48%
7Sep 2016Nov 20163 monthsApr 20175 months8 months-5.30%
8May 2010May 20101 monthJul 20102 months3 months-4.34%
9Jan 2021Feb 20212 monthsMar 20211 month3 months-2.58%
10Dec 2017Jan 20182 monthsJun 20185 months7 months-1.70%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsApr 20112 years 2 months3 years 4 months-48.42%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.61%
3May 2011Sep 20115 monthsFeb 20125 months10 months-16.27%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.53%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.37%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-6.37%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.14%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.46%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PFFiShares Preferred&Income Securities ETF5.92%17.26%38.67%-23.94%-54.40%0.390.560.57
VFIAXVanguard 500 Index Admiral10.07%15.86%32.33%-36.97%-48.42%0.650.951.00

Monthly Correlations

Correlations for the portfolio assets
TickerNamePFFVFIAXPortfolio 1Portfolio 2
PFFiShares Preferred&Income Securities ETF1.000.571.000.57
VFIAXVanguard 500 Index Admiral0.571.000.571.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PFFiShares Preferred&Income Securities ETF$51,870
VFIAXVanguard 500 Index Admiral$158,888

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PFFiShares Preferred&Income Securities ETF100.00%
VFIAXVanguard 500 Index Admiral100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.65%120.34%-54.28%12.07%56.33%-43.28%
3 years7.03%37.33%-1.08%12.85%25.58%-2.80%
5 years6.79%23.67%0.91%13.10%23.00%1.68%
7 years6.79%18.28%2.37%13.05%17.26%7.27%
10 years6.84%13.75%4.15%12.81%16.65%8.49%