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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2008 - Dec 2012)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 15.00%
VYM Vanguard High Dividend Yield ETF 5.00%
IYR iShares US Real Estate ETF 10.00%
VEU Vanguard FTSE All-Wld ex-US ETF 30.00%
BND Vanguard Total Bond Market ETF 10.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 10.00%
PFF iShares Preferred&Income Securities ETF 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$972,907 -0.55% 3.66%3.09%18.17%28.46%-28.03%-44.19%
(-46.86%)
0.270.380.93
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $34,400 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentVanguard Total Stock Market ETF (VTI)Vanguard High Dividend Yield ETF (VYM)iShares US Real Estate ETF (IYR)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Total Bond Market ETF (BND)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Preferred&Income Securities ETF (PFF)
20080.09%-28.03%$685,297-$34,431-36.98%-31.91%-39.88%-43.45%6.86%2.40%-23.94%
20092.72%28.46%$844,965-$35,36828.89%17.16%30.46%37.59%3.64%8.46%38.67%
20101.50%13.84%$926,024-$35,89717.42%14.22%26.58%11.81%6.20%9.33%13.81%
20112.96%-1.62%$874,094-$36,9610.97%10.54%5.52%-14.02%7.92%9.73%-2.00%
20121.74%15.61%$972,907-$37,60416.45%12.69%18.21%18.90%3.16%10.58%18.20%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Market ETF (VTI)Vanguard High Dividend Yield ETF (VYM)iShares US Real Estate ETF (IYR)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Total Bond Market ETF (BND)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Preferred&Income Securities ETF (PFF)
20081-1.07%$989,274-6.17%-3.27%0.11%-7.75%1.25%2.57%9.73%
20082-1.17%$977,745-2.50%-4.79%-4.20%-0.22%0.09%-0.71%-0.11%
20083-0.97%$968,307-0.90%1.00%4.46%-0.09%0.40%-0.60%-5.70%
200844.52%$1,012,0964.89%2.20%5.81%5.92%-0.34%1.25%6.32%
200850.37%$1,015,8392.02%-0.12%0.81%1.42%-0.99%-2.21%-0.37%
20086-7.47%$939,952-8.12%-10.32%-11.57%-8.38%0.04%-1.29%-9.47%
20087-1.74%$923,553-0.62%1.94%2.47%-3.68%0.02%0.39%-4.61%
20088-0.83%$915,8761.46%1.74%1.81%-5.11%0.84%0.15%0.13%
20089-11.40%$811,449-9.24%-4.69%-1.07%-12.48%-0.52%-10.73%-24.65%
200810-13.08%$705,283-17.48%-14.85%-31.32%-22.76%-2.95%-1.95%4.31%
200811-5.78%$664,513-8.01%-5.54%-21.55%-6.77%3.92%3.35%-7.82%
2008128.31%$685,2971.78%0.57%14.41%8.45%5.13%13.80%10.89%
20091-10.06%$616,364-8.05%-12.98%-15.82%-13.00%-2.08%-1.80%-11.67%
20092-12.42%$539,819-10.53%-13.65%-19.78%-9.21%-0.59%-5.20%-25.40%
200938.78%$587,2178.26%9.63%3.52%10.14%1.09%0.47%20.81%
2009412.43%$660,23510.99%10.26%29.62%13.23%0.46%2.78%18.43%
2009510.03%$726,4305.46%5.80%2.27%15.17%0.67%2.32%19.13%
200960.11%$727,2470.36%-0.29%-2.51%-2.07%0.62%2.89%2.97%
200978.91%$792,0547.74%8.56%10.58%10.61%1.31%4.63%11.85%
200982.62%$812,8053.71%4.90%13.19%2.92%1.01%1.31%-1.90%
200994.50%$849,3494.14%2.89%6.06%5.68%1.00%1.76%5.19%
200910-2.78%$825,704-2.63%-2.70%-4.97%-3.17%0.27%-0.49%-3.47%
2009113.96%$858,3835.69%6.07%7.08%4.85%1.30%1.95%1.50%
2009122.56%$844,9652.86%1.11%6.89%1.39%-1.45%-2.07%6.02%
20101-2.51%$823,771-3.57%-3.08%-5.42%-5.76%1.29%1.25%0.98%
201022.39%$843,4763.44%2.44%5.46%1.31%0.33%0.51%3.68%
201034.55%$881,8946.40%5.51%9.75%6.72%-0.22%0.65%1.79%
201040.87%$889,6062.18%1.69%6.39%-1.76%1.07%1.91%0.05%
20105-6.25%$833,961-7.88%-7.88%-5.68%-10.90%1.13%-1.31%-4.34%
20106-1.10%$824,815-5.83%-4.30%-4.65%-1.34%1.45%3.28%1.88%
201077.08%$883,1767.02%7.30%9.40%10.76%0.86%2.11%6.89%
20108-1.00%$874,340-4.71%-3.33%-1.30%-3.43%1.56%2.86%2.30%
201095.19%$919,7459.45%7.40%4.65%10.60%-0.00%0.46%0.37%
2010102.23%$940,2884.03%3.29%3.93%3.59%0.32%-0.26%0.15%
201011-1.67%$924,5400.51%-0.55%-1.58%-4.10%-0.68%-1.62%-0.62%
2010124.04%$926,0246.96%6.28%4.57%8.12%-1.02%-0.75%0.27%
201111.13%$936,5112.05%1.44%3.57%0.80%0.09%0.04%0.72%
201122.48%$959,7593.70%3.50%4.52%2.74%0.29%1.08%1.65%
201130.04%$960,1650.42%0.71%-1.10%-0.22%-0.15%-0.54%0.97%
201143.46%$993,4052.90%4.02%4.66%5.45%1.46%2.50%1.58%
20115-0.70%$986,425-1.06%-0.59%1.01%-3.17%1.18%1.27%0.60%
20116-1.21%$974,513-1.79%-1.10%-3.11%-1.09%-0.38%-0.80%-0.55%
20117-1.14%$963,355-2.27%-2.73%0.22%-2.37%1.63%2.43%-1.89%
20118-4.27%$922,173-6.09%-2.83%-5.31%-8.47%1.66%0.34%-1.87%
20119-7.05%$857,189-7.57%-4.21%-10.68%-13.01%0.66%0.35%-5.20%
2011107.85%$924,47611.37%8.07%13.19%11.49%0.11%2.51%5.38%
201111-2.06%$905,414-0.37%1.26%-3.67%-2.57%-0.06%-3.16%-3.13%
2011120.62%$874,0940.98%3.19%4.09%-2.43%1.18%3.49%0.12%
201215.26%$920,0705.07%1.77%6.60%6.86%0.63%2.14%7.07%
201223.11%$948,7054.22%3.15%-0.69%5.31%0.04%1.63%3.04%
201230.61%$954,4523.06%2.71%4.48%-0.90%-0.51%-1.42%0.18%
20124-0.14%$953,074-0.64%-0.02%2.58%-1.81%1.10%1.08%0.22%
20125-5.14%$904,057-6.23%-4.66%-4.21%-11.40%0.93%0.76%-1.17%
201263.87%$939,0674.05%4.98%5.36%6.52%0.07%0.87%2.42%
201271.40%$952,2370.88%2.14%2.33%0.49%1.23%3.48%1.50%
201281.56%$967,0842.70%0.77%0.31%2.65%0.16%-0.05%1.48%
201291.68%$983,3392.49%2.56%-1.11%3.49%0.18%1.10%0.73%
2012100.17%$984,981-1.81%-0.99%-0.59%0.77%-0.10%1.35%1.01%
2012110.60%$990,8430.77%-0.34%-0.58%1.80%0.27%-0.42%0.18%
2012121.99%$972,9071.29%0.27%2.89%5.06%-0.88%-0.33%0.39%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value30.49%
Large-cap Growth0.00%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets17.28%
Emerging Markets13.91%
REITs7.75%
Corporate Bonds30.58%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared96.50%
Style analysis is based on monthly returns from Jan 2008 to Dec 2012 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%15.00%$19,23014.83%
VYMVanguard High Dividend Yield ETFLarge Value0.06%5.00%$6,3624.54%
IYRiShares US Real Estate ETFReal Estate0.42%10.00%$24,48114.33%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%30.00%-$12,51439.58%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.260.04%10.00%$24,6870.61%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETFCorporate Bond9.000.15%10.00%$34,3393.11%
PFFiShares Preferred&Income Securities ETFPreferred Stock0.46%20.00%$56,58522.99%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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)0.44%
Arithmetic Mean (annualized)5.38%
Geometric Mean (monthly)0.30%
Geometric Mean (annualized)3.66%
Volatility (monthly)5.25%
Volatility (annualized)18.17%
Downside Deviation (monthly)3.68%
Max. Drawdown-44.19%
US Market Correlation0.93
Beta(*)0.85
Alpha (annualized)1.74%
R286.13%
Sharpe Ratio0.27
Sortino Ratio0.38
Treynor Ratio (%)5.68
Calmar Ratio0.66
Active Return1.49%
Tracking Error7.35%
Information Ratio0.20
Skewness-0.44
Excess Kurtosis0.69
Historical Value-at-Risk (5%)-11.33%
Analytical Value-at-Risk (5%)-8.25%
Conditional Value-at-Risk (5%)-12.30%
Upside Capture Ratio (%)85.41
Downside Capture Ratio (%)82.43
Safe Withdrawal Rate18.37%
Perpetual Withdrawal Rate1.80%
Positive Periods35 out of 60 (58.33%)
Gain/Loss Ratio0.90
* 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
1Jun 2008Feb 20099 monthsOct 20101 year 8 months2 years 5 months-44.19%
2May 2011Sep 20115 monthsMar 20126 months11 months-13.71%
3Apr 2012May 20122 monthsAug 20123 months5 months-5.28%
4Jan 2008Mar 20083 monthsApr 20081 month4 months-3.17%
5Nov 2010Nov 20101 monthDec 20101 month2 months-1.67%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF2.32%19.69%28.89%-36.98%-48.15%0.200.271.00
VYMVanguard High Dividend Yield ETF2.57%18.47%17.16%-31.91%-48.83%0.210.280.95
IYRiShares US Real Estate ETF4.37%31.14%30.46%-39.88%-62.01%0.290.390.85
VEUVanguard FTSE All-Wld ex-US ETF-2.32%25.64%37.59%-43.45%-55.33%0.020.030.93
BNDVanguard Total Bond Market ETF5.54%4.12%7.92%3.16%-3.88%1.232.500.09
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF8.06%10.09%10.58%2.40%-15.11%0.781.300.34
PFFiShares Preferred&Income Securities ETF6.82%26.44%38.67%-23.94%-54.40%0.370.530.60

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVYMIYRVEUBNDLQDPFFPortfolio 1
VTIVanguard Total Stock Market ETF-0.950.850.930.080.340.600.93
VYMVanguard High Dividend Yield ETF0.95-0.850.870.180.350.620.91
IYRiShares US Real Estate ETF0.850.85-0.780.230.390.540.85
VEUVanguard FTSE All-Wld ex-US ETF0.930.870.78-0.190.430.630.95
BNDVanguard Total Bond Market ETF0.080.180.230.19-0.720.220.28
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.340.350.390.430.72-0.610.57
PFFiShares Preferred&Income Securities ETF0.600.620.540.630.220.61-0.80

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF$19,230
VYMVanguard High Dividend Yield ETF$6,362
IYRiShares US Real Estate ETF$24,481
VEUVanguard FTSE All-Wld ex-US ETF-$12,514
BNDVanguard Total Bond Market ETF$24,687
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$34,339
PFFiShares Preferred&Income Securities ETF$56,585

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF14.83%
VYMVanguard High Dividend Yield ETF4.54%
IYRiShares US Real Estate ETF14.33%
VEUVanguard FTSE All-Wld ex-US ETF39.58%
BNDVanguard Total Bond Market ETF0.61%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.11%
PFFiShares Preferred&Income Securities ETF22.99%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year5.65%28.46%-28.03%
3 years7.87%12.89%1.72%
5 years3.66%3.66%3.66%
Result statistics are based on annualized rolling returns over full calendar year periods