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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Portfolio Analysis Results (Jan 2005 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 25.00%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
SHY iShares 1-3 Year Treasury Bond ETF 25.00%
GLD SPDR Gold Shares 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$24,915 7.27% 6.82%14.50%-2.92%-12.29% 0.891.560.36
   
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.
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)SPDR Gold Shares (GLD)
20053.42%8.55%$10,8556.31%8.61%1.53%17.76%
20062.54%10.71%$12,01815.69%0.71%3.89%22.55%
20074.08%13.37%$13,6245.37%10.29%7.35%30.45%
20080.09%2.12%$13,914-36.98%33.93%6.62%4.92%
20092.72%7.87%$15,00828.89%-21.80%0.35%24.03%
20101.50%14.50%$17,18517.42%9.05%2.28%29.27%
20112.96%11.48%$19,1590.97%33.96%1.44%9.57%
20121.74%6.49%$20,40216.45%2.63%0.28%6.60%
20131.50%-2.01%$19,99233.45%-13.37%0.21%-28.33%
20140.76%9.53%$21,89712.54%27.30%0.45%-2.19%
20150.73%-2.92%$21,2580.36%-1.79%0.43%-10.67%
20162.07%5.72%$22,47312.83%1.18%0.82%8.03%
20172.11%10.87%$24,91521.21%9.18%0.26%12.81%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)SPDR Gold Shares (GLD)
20051-0.64%$9,936-2.50%3.57%-0.04%-3.61%
200520.82%$10,0172.09%-1.47%-0.26%3.10%
20053-0.98%$9,918-1.87%-0.45%0.02%-1.63%
200540.88%$10,006-2.20%3.86%0.52%1.24%
200550.88%$10,0943.88%3.14%0.40%-3.92%
200561.84%$10,2800.76%2.16%0.25%4.30%
20057-0.28%$10,2514.38%-3.38%-0.37%-1.43%
200581.12%$10,366-1.09%3.48%0.66%1.35%
200590.97%$10,4670.79%-3.61%-0.30%7.60%
200510-1.34%$10,326-2.35%-2.24%-0.08%-0.64%
2005112.90%$10,6264.62%0.69%0.39%5.82%
2005122.16%$10,8550.02%2.98%0.35%5.05%
200613.00%$11,1803.22%-1.34%0.17%9.93%
200620.03%$11,1840.22%1.11%0.03%-1.11%
200630.41%$11,2292.05%-4.57%0.17%3.62%
200642.94%$11,5600.96%-2.75%0.22%12.03%
20065-1.20%$11,421-3.22%-0.19%0.17%-1.32%
20066-1.04%$11,3030.13%1.18%0.24%-4.67%
200671.52%$11,474-0.12%2.16%0.66%3.15%
200681.03%$11,5932.30%3.06%0.75%-1.38%
20069-0.18%$11,5722.26%1.91%0.44%-4.53%
2006101.54%$11,7513.53%0.85%0.42%1.29%
2006113.11%$12,1172.33%2.31%0.48%6.89%
200612-0.81%$12,0181.20%-2.69%0.07%-1.83%
200710.90%$12,1261.86%-1.00%0.16%2.56%
200721.25%$12,277-1.62%3.39%0.73%2.55%
20073-0.33%$12,2371.12%-1.70%0.45%-1.11%
200741.82%$12,4614.02%0.90%0.31%2.05%
20075-0.23%$12,4323.72%-2.31%-0.07%-2.31%
20076-1.08%$12,298-1.76%-1.01%0.48%-1.94%
200770.68%$12,382-3.53%3.32%0.90%2.37%
200781.35%$12,5501.47%1.79%1.05%1.11%
200793.81%$13,0283.85%0.23%0.55%10.51%
2007102.86%$13,4011.79%1.81%0.48%6.95%
2007110.10%$13,414-4.52%5.35%1.79%-1.65%
2007121.57%$13,624-0.70%-0.64%0.30%6.65%
200812.11%$13,911-6.17%2.10%1.65%10.84%
200820.99%$14,049-2.50%-0.46%1.03%5.23%
20083-1.30%$13,865-0.90%2.14%0.25%-6.00%
20084-0.88%$13,7444.89%-2.48%-0.84%-4.16%
20085-0.05%$13,7382.02%-2.69%-0.35%0.92%
20086-0.06%$13,730-8.12%2.65%0.24%4.52%
20087-0.52%$13,659-0.62%-0.37%0.43%-1.44%
20088-1.40%$13,4681.46%2.74%0.47%-9.29%
20089-0.48%$13,403-9.24%1.47%0.78%4.11%
200810-8.06%$12,322-17.48%-1.86%1.10%-16.14%
2008115.92%$13,052-8.01%14.34%1.10%12.57%
2008126.60%$13,9141.78%13.64%0.56%7.73%
20091-4.00%$13,356-8.05%-13.07%-0.44%5.54%
20092-2.51%$13,021-10.53%-1.54%-0.15%1.45%
200932.15%$13,3018.26%4.04%0.50%-2.54%
20094-0.01%$13,29910.99%-6.95%-0.17%-3.33%
200953.33%$13,7425.46%-3.69%0.06%10.23%
20096-1.24%$13,5710.36%0.76%-0.09%-5.22%
200972.87%$13,9607.74%0.58%0.11%2.38%
200981.61%$14,1843.71%2.24%0.41%0.05%
200993.29%$14,6514.14%2.46%0.24%5.84%
200910-0.25%$14,615-2.63%-2.62%0.14%3.72%
2009115.59%$15,4325.69%1.21%0.60%12.79%
200912-2.75%$15,0082.86%-6.34%-0.84%-7.20%
20101-0.33%$14,958-3.57%2.69%0.80%-1.26%
201021.60%$15,1973.44%-0.34%0.16%3.27%
201030.88%$15,3306.40%-2.06%-0.27%-0.44%
201042.92%$15,7782.18%3.32%0.30%5.88%
201050.11%$15,796-7.88%5.11%0.45%3.05%
201060.84%$15,928-5.83%5.80%0.42%2.36%
20107-0.01%$15,9267.02%-0.95%0.19%-5.09%
201082.64%$16,346-4.71%8.40%0.24%5.71%
201092.64%$16,7789.45%-2.51%0.12%4.78%
2010100.77%$16,9084.03%-4.47%0.22%3.68%
2010110.22%$16,9460.51%-1.69%-0.20%2.11%
2010121.41%$17,1856.96%-3.68%-0.16%2.44%
20111-1.82%$16,8722.05%-3.08%0.13%-6.38%
201122.77%$17,3393.70%1.65%-0.12%6.00%
201130.48%$17,4220.42%0.03%-0.13%1.60%
201143.68%$18,0642.90%2.34%0.53%8.94%
201150.16%$18,093-1.06%3.42%0.36%-1.79%
20116-1.66%$17,793-1.79%-2.33%-0.00%-2.43%
201172.71%$18,275-2.27%4.42%0.29%8.42%
201184.31%$19,062-6.09%9.66%0.34%12.27%
20119-1.41%$18,793-7.57%13.20%-0.10%-11.06%
2011102.72%$19,30411.37%-3.84%0.03%5.87%
2011110.93%$19,485-0.37%1.98%0.04%1.67%
201112-1.67%$19,1590.98%3.44%0.05%-10.66%
201214.05%$19,9365.07%-0.33%0.08%11.40%
20122-0.38%$19,8594.22%-2.59%-0.14%-2.96%
20123-0.55%$19,7513.06%-4.23%-0.08%-1.32%
201240.93%$19,934-0.64%4.83%0.20%-0.15%
20125-1.17%$19,700-6.23%9.03%0.06%-6.34%
201261.15%$19,9264.05%-1.68%-0.10%2.35%
201271.45%$20,2150.88%3.82%0.22%0.84%
201281.57%$20,5332.70%-1.32%0.01%4.94%
201291.21%$20,7812.49%-2.53%0.02%4.67%
201210-1.38%$20,494-1.81%-0.48%-0.07%-2.94%
2012110.43%$20,5820.77%1.38%0.05%-0.47%
201212-0.88%$20,4021.29%-2.49%0.02%-2.43%
201310.43%$20,4915.42%-3.19%0.01%-0.51%
20132-0.61%$20,3661.28%1.24%0.06%-5.09%
201331.18%$20,6073.95%-0.42%0.03%0.95%
20134-0.19%$20,5671.61%4.68%0.07%-7.56%
20135-2.42%$20,0702.44%-6.76%-0.13%-6.20%
20136-3.56%$19,355-1.43%-3.27%-0.10%-11.06%
201372.66%$19,8695.75%-2.26%0.16%7.43%
20138-0.22%$19,827-3.03%-1.34%-0.10%5.20%
201390.36%$19,8973.90%0.66%0.22%-4.78%
2013101.60%$20,2164.27%1.43%0.07%-0.34%
201311-0.83%$20,0492.70%-2.70%0.09%-5.51%
201312-0.28%$19,9922.73%-1.87%-0.18%-3.79%
201411.69%$20,330-3.17%6.30%0.20%3.42%
201422.90%$20,9194.87%0.52%0.04%6.27%
20143-0.54%$20,8060.51%0.73%-0.11%-3.14%
201440.71%$20,9540.06%2.10%0.11%0.49%
201450.55%$21,0682.10%2.95%0.18%-3.05%
201462.12%$21,5152.62%-0.25%-0.08%6.32%
20147-1.27%$21,242-1.99%0.67%-0.08%-3.63%
201482.43%$21,7574.15%4.72%0.19%0.38%
20149-2.63%$21,184-2.10%-2.11%-0.07%-6.18%
2014100.81%$21,3552.75%2.81%0.26%-3.05%
2014111.38%$21,6502.48%2.97%0.11%-0.49%
2014121.14%$21,897-0.04%3.25%-0.29%1.31%
201514.10%$22,794-2.74%9.82%0.63%8.69%
20152-1.89%$22,3645.74%-6.14%-0.29%-5.91%
20153-0.49%$22,254-1.16%1.10%0.25%-2.15%
20154-0.76%$22,0850.62%-3.43%0.03%-0.17%
20155-0.11%$22,0601.30%-2.37%0.04%0.56%
20156-1.79%$21,664-1.67%-4.07%0.03%-1.52%
20157-0.12%$21,6381.70%4.55%0.04%-6.62%
20158-0.92%$21,440-6.09%-0.69%-0.05%3.71%
20159-0.60%$21,311-2.92%1.97%0.30%-1.80%
2015102.33%$21,8087.91%-0.41%-0.14%2.28%
201511-1.76%$21,4240.60%-0.87%-0.26%-6.75%
201512-0.78%$21,258-2.13%-0.30%-0.15%-0.45%
201611.48%$21,572-5.72%5.57%0.65%5.41%
201623.67%$22,363-0.01%3.09%0.11%10.93%
201631.37%$22,6697.11%-0.09%0.14%-0.84%
201641.37%$22,9790.66%-0.74%0.04%5.11%
20165-1.15%$22,7151.73%0.81%-0.12%-6.14%
201664.37%$23,7080.27%6.93%0.60%8.97%
201672.02%$24,1863.98%2.10%-0.05%1.98%
20168-1.18%$23,9010.21%-1.01%-0.23%-3.26%
20169-0.13%$23,8710.21%-1.51%0.13%0.69%
201610-2.48%$23,279-2.19%-4.38%-0.05%-2.94%
201611-3.39%$22,4894.49%-8.21%-0.47%-8.36%
201612-0.07%$22,4731.98%-0.46%0.07%-1.91%
201712.05%$22,9331.86%0.81%0.11%5.42%
201722.15%$23,4253.69%1.59%0.04%3.18%
20173-0.24%$23,3680.06%-0.65%0.06%-0.43%
201741.15%$23,6371.06%1.57%0.19%1.73%
201750.71%$23,8041.01%1.89%0.07%-0.12%
20176-0.14%$23,7700.95%0.79%-0.08%-2.16%
201770.95%$23,9971.88%-0.66%0.19%2.31%
201782.01%$24,4790.15%3.41%0.20%4.20%
20179-0.89%$24,2612.44%-2.32%-0.19%-3.37%
2017100.35%$24,3462.17%-0.04%-0.09%-0.75%
2017111.04%$24,5983.03%0.74%-0.22%0.36%
2017121.29%$24,9151.16%1.81%-0.02%2.11%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend25.00%0.03%19.23$6,20019.07%
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%0.15%18.93$4,02923.75%
SHYiShares 1-3 Year Treasury Bond ETFShort Government25.00%0.15%1.85$8781.50%
GLDSPDR Gold SharesCommodities Focused25.00%0.40%$3,80855.68%
100.00%0.18%19.2310.39$14,915100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (c) 2020 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)0.61%
Arithmetic Mean (annualized)7.52%
Geometric Mean (monthly)0.59%
Geometric Mean (annualized)7.27%
Volatility (monthly)1.97%
Volatility (annualized)6.82%
Downside Deviation (monthly)1.09%
Max. Drawdown-12.29%
US Market Correlation0.36
Beta(*)0.17
Alpha (annualized)5.66%
R212.91%
Sharpe Ratio0.89
Sortino Ratio1.56
Treynor Ratio (%)35.23
Calmar Ratio0.62
Active Return-1.39%
Tracking Error13.36%
Information Ratio-0.10
Skewness-0.21
Excess Kurtosis2.21
Historical Value-at-Risk (5%)-2.48%
Analytical Value-at-Risk (5%)-2.59%
Conditional Value-at-Risk (5%)-3.84%
Upside Capture Ratio (%)29.19
Downside Capture Ratio (%)2.00
Safe Withdrawal Rate11.21%
Perpetual Withdrawal Rate4.90%
Positive Periods91 out of 156 (58.33%)
Gain/Loss Ratio1.62
* 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 2009-12.29%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsAug 200910 months1 year 6 months-12.29%
2Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-7.08%
3Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-6.86%
4Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-6.74%
5Dec 2009Jan 20102 monthsApr 20103 months5 months-3.07%
6Sep 2014Sep 20141 monthDec 20143 months4 months-2.63%
7May 2006Jun 20062 monthsAug 20062 months4 months-2.22%
8Jan 2011Jan 20111 monthFeb 20111 month2 months-1.82%
9Dec 2011Dec 20111 monthJan 20121 month2 months-1.67%
10Jun 2011Jun 20111 monthJul 20111 month2 months-1.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF8.81%14.24%33.45%-36.98%-50.84%0.580.841.00
TLTiShares 20+ Year Treasury Bond ETF6.50%13.23%33.96%-21.80%-21.80%0.450.77-0.32
SHYiShares 1-3 Year Treasury Bond ETF1.97%1.28%7.35%0.21%-1.18%0.641.20-0.34
GLDSPDR Gold Shares8.31%18.24%30.45%-28.33%-42.91%0.470.740.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTSHYGLDPortfolio 1
VTIVanguard Total Stock Market ETF1.00-0.32-0.340.050.36
TLTiShares 20+ Year Treasury Bond ETF-0.321.000.500.180.48
SHYiShares 1-3 Year Treasury Bond ETF-0.340.501.000.270.31
GLDSPDR Gold Shares0.050.180.271.000.82

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF$6,200
TLTiShares 20+ Year Treasury Bond ETF$4,029
SHYiShares 1-3 Year Treasury Bond ETF$878
GLDSPDR Gold Shares$3,808

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF19.07%
TLTiShares 20+ Year Treasury Bond ETF23.75%
SHYiShares 1-3 Year Treasury Bond ETF1.50%
GLDSPDR Gold Shares55.68%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.41%14.50%-2.92%
3 years6.98%11.25%1.38%
5 years7.03%9.78%3.24%
7 years7.34%9.73%5.45%
10 years6.95%8.15%6.22%
Result statistics are based on annualized rolling returns over full calendar year periods