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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Portfolio Analysis Results (Jan 2014 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IEMG iShares Core MSCI Emerging Markets ETF 10.45%
VOO Vanguard S&P 500 ETF 54.15%
IEFA iShares Core MSCI EAFE ETF 30.40%
BND Vanguard Total Bond Market ETF 1.80%
BNDX Vanguard Total International Bond ETF 2.20%
CASHX Cash 1.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,632 9.30% 13.15%26.07%-8.22%-20.31% 0.681.040.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 113.26%14.50%9.83%12.20%9.30%17.15%14.03%
Trailing annualized return and volatility are for full months ending in December 2020 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.
  • 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 BalanceiShares Core MSCI Emerging Markets ETF (IEMG)Vanguard S&P 500 ETF (VOO)iShares Core MSCI EAFE ETF (IEFA)Vanguard Total Bond Market ETF (BND)Vanguard Total International Bond ETF (BNDX)Cash (CASHX)
20140.76%5.35%$10,535-3.44%13.55%-6.33%5.82%8.74%0.03%
20150.73%-0.52%$10,480-14.31%1.31%0.73%0.56%1.19%0.05%
20162.07%8.30%$11,34910.29%12.17%1.58%2.52%4.61%0.30%
20172.11%23.91%$14,06337.40%21.77%26.59%3.57%2.40%0.88%
20181.91%-8.22%$12,907-14.92%-4.50%-14.13%-0.12%2.81%1.90%
20192.29%26.07%$16,27217.79%31.35%22.63%8.83%7.87%2.13%
20201.36%14.50%$18,63217.88%18.29%8.17%7.71%4.65%0.44%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceiShares Core MSCI Emerging Markets ETF (IEMG)Vanguard S&P 500 ETF (VOO)iShares Core MSCI EAFE ETF (IEFA)Vanguard Total Bond Market ETF (BND)Vanguard Total International Bond ETF (BNDX)Cash (CASHX)
20141-4.17%$9,583-7.99%-3.53%-4.87%1.55%1.43%0.01%
201424.69%$10,0323.38%4.57%6.09%0.47%0.48%0.00%
201430.71%$10,1043.59%0.88%-0.42%-0.17%0.32%0.00%
201440.88%$10,1920.98%0.72%1.18%0.80%0.60%0.00%
201452.06%$10,4022.80%2.29%1.60%1.05%0.74%0.00%
201461.69%$10,5772.35%2.09%0.96%0.08%0.61%0.00%
20147-1.42%$10,4281.01%-1.38%-2.57%-0.28%0.50%0.00%
201482.64%$10,7033.33%3.97%0.20%1.14%1.37%0.00%
20149-2.74%$10,410-7.26%-1.38%-4.10%-0.57%-0.13%0.00%
2014101.38%$10,5530.78%2.40%-0.29%0.72%0.60%0.00%
2014111.47%$10,708-1.29%2.76%-0.02%0.83%0.91%0.00%
201412-1.62%$10,535-4.21%-0.32%-3.77%0.06%0.98%0.00%
20151-1.22%$10,407-0.02%-2.87%0.85%2.40%1.79%0.00%
201525.34%$10,9634.21%5.58%6.29%-1.31%-0.18%0.00%
20153-1.39%$10,810-1.37%-1.57%-1.37%0.55%0.49%0.00%
201542.43%$11,0747.26%1.00%3.73%-0.32%-1.03%0.00%
201550.34%$11,111-3.65%1.25%0.31%-0.50%-0.52%0.00%
20156-2.22%$10,864-2.94%-1.95%-2.62%-1.11%-1.35%0.00%
201571.03%$10,976-6.56%2.18%1.63%0.88%1.28%0.00%
20158-6.41%$10,272-9.36%-6.14%-6.90%-0.25%-0.70%0.01%
20159-2.83%$9,981-1.97%-2.47%-4.26%0.81%0.81%0.01%
2015107.15%$10,6966.14%8.45%6.38%0.03%0.59%0.00%
201511-0.17%$10,677-2.29%0.43%-0.61%-0.39%0.19%0.01%
201512-1.85%$10,480-3.47%-1.74%-1.83%-0.18%-0.14%0.02%
20161-4.89%$9,968-5.20%-4.91%-5.70%1.20%1.30%0.01%
20162-1.12%$9,856-0.96%-0.21%-3.16%0.85%1.26%0.03%
201637.17%$10,56312.55%6.87%7.01%0.88%0.75%0.03%
201640.85%$10,6530.67%0.35%1.99%0.40%-0.26%0.02%
201650.63%$10,720-3.41%1.75%0.13%-0.01%0.75%0.02%
20166-0.06%$10,7144.34%0.32%-2.60%2.02%1.95%0.03%
201673.82%$11,1245.09%3.68%4.18%0.60%0.82%0.02%
201680.29%$11,1561.00%0.12%0.39%-0.31%0.07%0.02%
201690.79%$11,2442.70%0.04%1.60%0.11%0.01%0.03%
201610-1.83%$11,038-1.03%-1.79%-2.36%-0.94%-1.26%0.02%
2016110.95%$11,143-4.14%3.73%-1.82%-2.57%-1.25%0.03%
2016121.85%$11,349-0.52%2.07%2.58%0.33%0.43%0.04%
201712.66%$11,6516.57%1.78%3.37%0.19%-0.98%0.04%
201722.73%$11,9692.03%3.88%1.30%0.62%0.88%0.04%
201731.41%$12,1383.53%0.13%3.19%-0.04%-0.03%0.04%
201741.62%$12,3351.90%1.04%2.71%0.80%0.49%0.06%
201752.13%$12,5982.34%1.40%3.53%0.71%0.73%0.07%
201760.57%$12,6701.13%0.63%0.39%0.05%-0.54%0.08%
201772.60%$12,9995.50%2.06%2.81%0.40%0.16%0.08%
201780.49%$13,0622.31%0.29%0.11%0.86%0.93%0.09%
201791.81%$13,2980.02%2.04%2.39%-0.47%-0.40%0.08%
2017102.14%$13,5833.26%2.33%1.68%-0.03%0.62%0.09%
2017111.91%$13,8430.13%3.06%0.89%-0.11%0.23%0.09%
2017121.59%$14,0633.68%1.28%1.52%0.54%0.27%0.10%
201815.41%$14,8237.98%5.59%5.21%-1.24%-0.57%0.11%
20182-4.12%$14,212-5.71%-3.73%-4.88%-1.04%0.26%0.12%
20183-1.35%$14,0210.81%-2.48%-0.39%0.69%1.15%0.14%
201840.24%$14,054-2.65%0.35%1.15%-0.85%-0.14%0.14%
201850.60%$14,138-2.32%2.42%-1.52%0.68%-0.23%0.15%
20186-0.55%$14,060-4.65%0.76%-1.70%-0.04%0.60%0.16%
201873.01%$14,4823.03%3.56%2.45%-0.04%0.14%0.16%
201880.94%$14,619-3.31%3.22%-1.86%0.67%0.06%0.17%
201890.39%$14,676-1.01%0.58%0.58%-0.55%-0.24%0.17%
201810-7.11%$13,633-8.73%-6.84%-8.27%-0.86%0.07%0.18%
2018111.63%$13,8554.68%1.89%0.34%0.64%0.52%0.19%
201812-6.84%$12,907-2.95%-8.84%-5.48%1.87%1.17%0.19%
201917.37%$13,8599.61%7.92%6.69%1.11%1.00%0.20%
201922.49%$14,203-1.08%3.25%2.74%-0.09%0.21%0.20%
201931.48%$14,4141.15%1.92%0.80%1.94%1.76%0.20%
201943.34%$14,8952.19%4.03%2.95%-0.02%0.17%0.20%
20195-5.70%$14,046-7.04%-6.35%-5.07%1.83%1.28%0.20%
201966.13%$14,9075.77%6.99%5.46%1.25%1.57%0.19%
201970.09%$14,921-2.45%1.46%-1.68%0.15%1.25%0.17%
20198-1.71%$14,666-3.81%-1.64%-1.72%2.77%2.11%0.17%
201992.10%$14,9741.55%1.97%2.93%-0.57%-0.42%0.16%
2019102.69%$15,3774.39%2.18%3.54%0.31%-0.49%0.15%
2019112.30%$15,7300.00%3.63%0.93%-0.04%-0.48%0.13%
2019123.44%$16,2727.46%2.97%3.60%-0.07%-0.31%0.13%
20201-1.39%$16,046-5.90%-0.04%-2.74%1.98%1.89%0.13%
20202-7.14%$14,900-3.72%-8.10%-7.90%1.67%0.67%0.13%
20203-12.97%$12,968-16.92%-12.46%-14.63%-1.43%-2.91%0.10%
202049.72%$14,2287.88%12.79%6.29%2.76%1.91%0.01%
202054.59%$14,8813.16%4.74%5.66%0.67%0.41%0.01%
202062.63%$15,2736.67%1.83%3.27%0.67%0.54%0.01%
202074.80%$16,0058.63%5.88%2.10%1.45%0.95%0.01%
202085.68%$16,9153.07%6.97%5.26%-0.94%-0.76%0.01%
20209-2.74%$16,451-0.94%-3.75%-1.87%-0.10%0.86%0.01%
202010-2.30%$16,0731.27%-2.55%-3.52%-0.56%0.34%0.01%
20201111.08%$17,8549.63%10.95%13.89%1.21%0.39%0.01%
2020124.36%$18,6327.11%3.75%5.25%0.15%0.36%0.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value21.74%
Large-cap Growth30.52%
Mid-cap Value0.93%
Mid-cap Growth0.74%
Small-cap Value0.60%
Small-cap Growth0.00%
Global ex-US Developed Markets29.99%
Emerging Markets10.60%
Corporate Bonds1.02%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.86%
Short-Term Treasuries3.00%
R Squared99.92%
Style analysis is based on monthly returns from January 2014 to December 2020 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/EDurationReturn ContributionRisk Contribution
IEMGiShares Core MSCI Emerging Markets ETFDiversified Emerging Mkts10.45%1.93%0.11%13.48$68711.61%
VOOVanguard S&P 500 ETFLarge Blend54.15%1.34%0.03%25.31$6,29856.65%
IEFAiShares Core MSCI EAFE ETFForeign Large Blend30.40%2.30%0.07%15.47$1,48731.64%
BNDVanguard Total Bond Market ETFIntermediate Core Bond1.80%1.95%0.04%6.84$66.410.04%
BNDXVanguard Total International Bond ETFWorld Bond-USD Hedged2.20%0.91%0.08%14.868.46$86.280.07%
CASHXCashCash1.00%0.04%0.00$7.53-0.00%
100.00%1.68%0.05%20.726.18$8,632100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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)0.82%
Arithmetic Mean (annualized)10.23%
Geometric Mean (monthly)0.74%
Geometric Mean (annualized)9.30%
Volatility (monthly)3.80%
Volatility (annualized)13.15%
Downside Deviation (monthly)2.45%
Max. Drawdown-20.31%
US Market Correlation0.97
Beta(*)0.87
Alpha (annualized)-1.52%
R294.80%
Sharpe Ratio0.68
Sortino Ratio1.04
Treynor Ratio (%)10.34
Calmar Ratio0.48
Active Return-3.33%
Tracking Error3.58%
Information Ratio-0.93
Skewness-0.47
Excess Kurtosis1.95
Historical Value-at-Risk (5%)-6.31%
Analytical Value-at-Risk (5%)-5.40%
Conditional Value-at-Risk (5%)-8.09%
Upside Capture Ratio (%)84.43
Downside Capture Ratio (%)96.23
Safe Withdrawal Rate17.54%
Perpetual Withdrawal Rate7.04%
Positive Periods57 out of 84 (67.86%)
Gain/Loss Ratio0.84
* 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
COVID-19 StartJan 2020Mar 2020-20.31%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-20.31%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-12.92%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-11.29%
4May 2019May 20191 monthJun 20191 month2 months-5.70%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.98%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-4.17%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.81%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.74%
9Oct 2016Oct 20161 monthDec 20162 months3 months-1.83%
10Aug 2019Aug 20191 monthSep 20191 month2 months-1.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IEMGiShares Core MSCI Emerging Markets ETF5.77%17.26%37.40%-14.92%-30.14%0.360.540.74
VOOVanguard S&P 500 ETF12.86%14.12%31.35%-4.50%-19.58%0.871.391.00
IEFAiShares Core MSCI EAFE ETF4.73%14.33%26.59%-14.13%-23.53%0.340.490.88
BNDVanguard Total Bond Market ETF4.08%3.33%8.83%-0.12%-3.68%0.981.820.07
BNDXVanguard Total International Bond ETF4.58%2.96%8.74%1.19%-3.03%1.262.160.14
CASHXCash0.82%0.25%2.13%0.03%0.00%N/AN/A-0.11

Monthly Correlations

Correlations for the portfolio assets
TickerNameIEMGVOOIEFABNDBNDXCASHXPortfolio 1
IEMGiShares Core MSCI Emerging Markets ETF1.000.740.840.170.14-0.110.85
VOOVanguard S&P 500 ETF0.741.000.880.070.13-0.100.98
IEFAiShares Core MSCI EAFE ETF0.840.881.000.080.09-0.110.96
BNDVanguard Total Bond Market ETF0.170.070.081.000.810.100.10
BNDXVanguard Total International Bond ETF0.140.130.090.811.000.050.13
CASHXCash-0.11-0.10-0.110.100.051.00-0.11

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
IEMGiShares Core MSCI Emerging Markets ETF$687
VOOVanguard S&P 500 ETF$6,298
IEFAiShares Core MSCI EAFE ETF$1,487
BNDVanguard Total Bond Market ETF$66.41
BNDXVanguard Total International Bond ETF$86.28
CASHXCash$7.53

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
IEMGiShares Core MSCI Emerging Markets ETF11.61%
VOOVanguard S&P 500 ETF56.65%
IEFAiShares Core MSCI EAFE ETF31.64%
BNDVanguard Total Bond Market ETF0.04%
BNDXVanguard Total International Bond ETF0.07%
CASHXCash-0.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.63%27.22%-10.09%
3 years8.80%13.71%2.23%
5 years7.71%12.20%3.71%