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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2008 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$480,197 15.33% 7.19%8.58%15.05%32.31%-36.81%-48.23%
(-39.58%)
0.510.721.00
Portfolio 2$100,000$480,197 15.33% 7.19%8.58%15.05%32.31%-36.81%-48.23%
(-39.58%)
0.510.721.00
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-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 no rebalancing per parameterization. See the allocation drift tab for details
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • The monthly contribution was allocated based on each month's asset allocation (no rebalancing)
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF (SPY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20080.09%-36.81%-36.81%$72,678$72,678$12,301-36.81%
20092.72%26.36%26.36%$106,620$106,620$12,25726.36%
20101.50%15.06%15.06%$136,706$136,706$12,45815.06%
20112.96%1.89%1.89%$152,050$152,050$12,8511.89%
20121.74%15.99%15.99%$190,012$190,012$13,11715.99%
20131.50%32.31%32.31%$266,500$266,500$13,31032.31%
20140.76%13.46%13.46%$316,859$316,859$13,52513.46%
20150.73%1.25%1.25%$334,451$334,451$13,5411.25%
20162.07%12.00%12.00%$389,353$389,353$13,71212.00%
20172.11%21.70%21.70%$489,214$489,214$14,00421.70%
20181.91%-4.56%-4.56%$480,197$480,197$14,346-4.56%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF (SPY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-6.05%-6.05%$94,959$94,959-6.05%
20082-2.58%-2.58%$93,513$93,513-2.58%
20083-0.90%-0.90%$93,685$93,685-0.90%
200844.77%4.77%$99,173$99,1734.77%
200851.51%1.51%$101,703$101,7031.51%
20086-8.35%-8.35%$94,253$94,253-8.35%
20087-0.90%-0.90%$94,453$94,453-0.90%
200881.55%1.55%$96,956$96,9561.55%
20089-9.44%-9.44%$88,848$88,848-9.44%
200810-16.52%-16.52%$75,202$75,202-16.52%
200811-6.96%-6.96%$70,979$70,979-6.96%
2008120.98%0.98%$72,678$72,6780.98%
20091-8.21%-8.21%$67,715$67,715-8.21%
20092-10.74%-10.74%$61,450$61,450-10.74%
200938.35%8.35%$67,592$67,5928.35%
200949.93%9.93%$75,322$75,3229.93%
200955.85%5.85%$80,743$80,7435.85%
20096-0.07%-0.07%$81,716$81,716-0.07%
200977.46%7.46%$88,837$88,8377.46%
200983.69%3.69%$93,147$93,1473.69%
200993.55%3.55%$97,477$97,4773.55%
200910-1.92%-1.92%$96,633$96,633-1.92%
2009116.16%6.16%$103,616$103,6166.16%
2009121.91%1.91%$106,620$106,6201.91%
20101-3.63%-3.63%$103,777$103,777-3.63%
201023.12%3.12%$108,046$108,0463.12%
201036.09%6.09%$115,662$115,6626.09%
201041.55%1.55%$118,490$118,4901.55%
20105-7.95%-7.95%$110,114$110,114-7.95%
20106-5.17%-5.17%$105,454$105,454-5.17%
201076.83%6.83%$113,694$113,6946.83%
20108-4.50%-4.50%$109,620$109,620-4.50%
201098.96%8.96%$120,476$120,4768.96%
2010103.82%3.82%$126,120$126,1203.82%
2010110.00%0.00%$127,162$127,1620.00%
2010126.68%6.68%$136,706$136,7066.68%
201112.33%2.33%$140,939$140,9392.33%
201123.47%3.47%$146,889$146,8893.47%
201130.01%0.01%$147,968$147,9680.01%
201142.90%2.90%$153,324$153,3242.90%
20115-1.12%-1.12%$152,681$152,681-1.12%
20116-1.69%-1.69%$151,177$151,177-1.69%
20117-2.00%-2.00%$149,229$149,229-2.00%
20118-5.50%-5.50%$142,103$142,103-5.50%
20119-6.94%-6.94%$133,315$133,315-6.94%
20111010.91%10.91%$148,944$148,94410.91%
201111-0.41%-0.41%$149,416$149,416-0.41%
2011121.04%1.04%$152,050$152,0501.04%
201214.64%4.64%$160,180$160,1804.64%
201224.34%4.34%$168,217$168,2174.34%
201233.22%3.22%$174,718$174,7183.22%
20124-0.67%-0.67%$174,647$174,647-0.67%
20125-6.01%-6.01%$165,253$165,253-6.01%
201264.05%4.05%$173,043$173,0434.05%
201271.18%1.18%$176,181$176,1811.18%
201282.51%2.51%$181,691$181,6912.51%
201292.54%2.54%$187,399$187,3992.54%
201210-1.82%-1.82%$185,090$185,090-1.82%
2012110.57%0.57%$187,234$187,2340.57%
2012120.90%0.90%$190,012$190,0120.90%
201315.12%5.12%$200,835$200,8355.12%
201321.28%1.28%$204,503$204,5031.28%
201333.80%3.80%$213,378$213,3783.80%
201341.92%1.92%$218,584$218,5841.92%
201352.36%2.36%$224,854$224,8542.36%
20136-1.34%-1.34%$222,962$222,962-1.34%
201375.17%5.17%$235,596$235,5965.17%
20138-3.00%-3.00%$229,643$229,643-3.00%
201393.17%3.17%$238,033$238,0333.17%
2013104.63%4.63%$250,168$250,1684.63%
2013112.96%2.96%$258,692$258,6922.96%
2013122.59%2.59%$266,500$266,5002.59%
20141-3.52%-3.52%$258,220$258,220-3.52%
201424.55%4.55%$271,091$271,0914.55%
201430.83%0.83%$274,470$274,4700.83%
201440.70%0.70%$277,506$277,5060.70%
201452.32%2.32%$285,079$285,0792.32%
201462.06%2.06%$292,096$292,0962.06%
20147-1.34%-1.34%$289,306$289,306-1.34%
201483.95%3.95%$301,855$301,8553.95%
20149-1.38%-1.38%$298,825$298,825-1.38%
2014102.36%2.36%$306,993$306,9932.36%
2014112.75%2.75%$316,551$316,5512.75%
201412-0.26%-0.26%$316,859$316,859-0.26%
20151-2.96%-2.96%$308,583$308,583-2.96%
201525.62%5.62%$327,045$327,0455.62%
20153-1.57%-1.57%$323,020$323,020-1.57%
201540.98%0.98%$327,323$327,3230.98%
201551.29%1.29%$332,663$332,6631.29%
20156-2.03%-2.03%$327,049$327,049-2.03%
201572.26%2.26%$335,573$335,5732.26%
20158-6.10%-6.10%$316,255$316,255-6.10%
20159-2.54%-2.54%$309,345$309,345-2.54%
2015108.51%8.51%$336,790$336,7908.51%
2015110.37%0.37%$339,151$339,1510.37%
201512-1.72%-1.72%$334,451$334,451-1.72%
20161-4.98%-4.98%$318,928$318,928-4.98%
20162-0.08%-0.08%$319,793$319,793-0.08%
201636.72%6.72%$342,432$342,4326.72%
201640.39%0.39%$344,920$344,9200.39%
201651.70%1.70%$351,932$351,9321.70%
201660.35%0.35%$354,309$354,3090.35%
201673.65%3.65%$368,377$368,3773.65%
201680.12%0.12%$369,965$369,9650.12%
201690.01%0.01%$371,143$371,1430.01%
201610-1.73%-1.73%$365,859$365,859-1.73%
2016113.68%3.68%$380,486$380,4863.68%
2016122.03%2.03%$389,353$389,3532.03%
201711.79%1.79%$397,477$397,4771.79%
201723.93%3.93%$414,254$414,2543.93%
201730.13%0.13%$415,936$415,9360.13%
201740.99%0.99%$421,229$421,2290.99%
201751.41%1.41%$428,339$428,3391.41%
201760.64%0.64%$432,235$432,2350.64%
201772.06%2.06%$442,285$442,2852.06%
201780.29%0.29%$444,744$444,7440.29%
201792.01%2.01%$454,878$454,8782.01%
2017102.36%2.36%$466,771$466,7712.36%
2017113.06%3.06%$482,212$482,2123.06%
2017121.21%1.21%$489,214$489,2141.21%
201815.64%5.64%$517,966$517,9665.64%
20182-3.64%-3.64%$500,318$500,318-3.64%
20183-2.74%-2.74%$487,790$487,790-2.74%
201840.52%0.52%$491,504$491,5040.52%
201852.43%2.43%$504,649$504,6492.43%
201860.58%0.58%$508,754$508,7540.58%
201873.70%3.70%$528,802$528,8023.70%
201883.19%3.19%$546,881$546,8813.19%
201890.59%0.59%$551,337$551,3370.59%
201810-6.91%-6.91%$514,441$514,441-6.91%
2018111.85%1.85%$525,184$525,1841.85%
201812-8.79%-8.79%$480,197$480,197-8.79%
* End-of-month balance includes the monthly contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value45.76%45.76%
Large-cap Growth53.55%53.55%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.15%0.15%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.15%0.15%
Corporate Bonds0.39%0.39%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.92%99.92%
Style analysis is based on monthly returns from Jan 2008 to Dec 2018 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$234,772100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$234,772100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 2019 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)0.68%0.68%
Arithmetic Mean (annualized)8.42%8.42%
Geometric Mean (monthly)0.58%0.58%
Geometric Mean (annualized)7.19%7.19%
Volatility (monthly)4.34%4.34%
Volatility (annualized)15.05%15.05%
Downside Deviation (monthly)3.05%3.05%
Max. Drawdown-48.23%-48.23%
US Market Correlation1.001.00
Beta(*)0.960.96
Alpha (annualized)0.15%0.15%
R299.35%99.35%
Sharpe Ratio0.510.51
Sortino Ratio0.720.72
Treynor Ratio (%)7.977.97
Calmar Ratio0.680.68
Active Return-0.06%-0.06%
Tracking Error1.33%1.33%
Information Ratio-0.05-0.05
Skewness-0.77-0.77
Excess Kurtosis1.591.59
Historical Value-at-Risk (5%)-8.04%-8.04%
Analytical Value-at-Risk (5%)-6.47%-6.47%
Conditional Value-at-Risk (5%)-10.34%-10.34%
Upside Capture Ratio (%)96.9296.92
Downside Capture Ratio (%)96.7796.77
Safe Withdrawal Rate9.99%9.99%
Perpetual Withdrawal Rate5.18%5.18%
Positive Periods87 out of 132 (65.91%)87 out of 132 (65.91%)
Gain/Loss Ratio0.760.76
* 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
1Jan 2008Feb 20091 year 2 monthsApr 20112 years 2 months3 years 4 months-48.23%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.23%
3Oct 2018Dec 20183 months-13.52%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
10Jun 2015Jun 20151 monthJul 20151 month2 months-2.03%
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-48.23%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.23%
3Oct 2018Dec 20183 months-13.52%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
10Jun 2015Jun 20151 monthJul 20151 month2 months-2.03%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF7.19%15.05%32.31%-36.81%-48.23%0.510.721.00

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.97%32.31%-36.81%8.97%32.31%-36.81%
3 years11.40%20.31%-2.78%11.40%20.31%-2.78%
5 years12.27%17.85%1.66%12.27%17.85%1.66%
7 years12.18%14.70%7.23%12.18%14.70%7.23%
10 years10.73%13.01%8.45%10.73%13.01%8.45%
Result statistics are based on annualized rolling returns over full calendar year periods