Backtest Portfolio Asset Allocation

This online 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 2018 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPHD Invesco S&P 500 High Div Low Vol ETF 100.00%
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Portfolio 2
Ticker Name Allocation
SCHD Schwab US Dividend Equity ETF 100.00%
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Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$531,373$498,710 -6.15% 11.92%-6.15%-6.15%-7.47% -0.62-0.700.78
Portfolio 2$531,373$501,854 -5.56% 14.81%-5.56%-5.56%-10.65% -0.44-0.530.96
Portfolio 3$531,373$507,159 -4.56% 15.16%-4.56%-4.56%-13.52% -0.35-0.431.00
   
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
  • 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
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeInvesco S&P 500 High Div Low Vol ETF (SPHD)Schwab US Dividend Equity ETF (SCHD)SPDR S&P 500 ETF (SPY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20181.91%-6.15%-5.56%-4.56%$498,710$501,854$507,1594.03% [$21,430]2.84% [$15,113]1.92% [$10,227]-6.15%-5.56%-4.56%
Monthly returns for the configured portfolios
YearMonthReturnBalanceInvesco S&P 500 High Div Low Vol ETF (SPHD)Schwab US Dividend Equity ETF (SCHD)SPDR S&P 500 ETF (SPY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201810.25%4.55%5.64%$532,712$555,569$561,3210.25%4.55%5.64%
20182-6.77%-5.63%-3.64%$496,646$524,312$540,911-6.77%-5.63%-3.64%
201830.48%-2.39%-2.74%$499,037$511,798$526,0820.48%-2.39%-2.74%
201840.77%-1.12%0.52%$502,862$506,056$528,8010.77%-1.12%0.52%
201851.91%1.79%2.43%$512,475$515,138$541,6551.91%1.79%2.43%
201862.41%0.70%0.58%$524,812$518,737$544,7742.41%0.70%0.58%
201871.85%4.54%3.70%$534,509$542,311$564,9561.85%4.54%3.70%
201880.40%2.29%3.19%$536,628$554,729$582,9890.40%2.29%3.19%
20189-0.34%1.25%0.59%$534,804$561,644$586,457-0.34%1.25%0.59%
201810-2.47%-5.91%-6.91%$521,615$528,475$545,931-2.47%-5.91%-6.91%
2018113.33%3.37%1.85%$538,970$546,278$556,0573.33%3.37%1.85%
201812-7.47%-8.13%-8.79%$498,710$501,854$507,159-7.47%-8.13%-8.79%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPHDInvesco S&P 500 High Div Low Vol ETFLarge Value0.30%100.00%-$32,663100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SCHDSchwab US Dividend Equity ETFLarge Value0.07%100.00%-$29,519100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%-$24,214100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/05/2019. © 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 2Portfolio 3
Arithmetic Mean (monthly)-0.47%-0.39%-0.30%
Arithmetic Mean (annualized)-5.51%-4.58%-3.52%
Geometric Mean (monthly)-0.53%-0.48%-0.39%
Geometric Mean (annualized)-6.15%-5.56%-4.56%
Volatility (monthly)3.44%4.28%4.38%
Volatility (annualized)11.92%14.81%15.16%
Downside Deviation (monthly)3.00%3.41%3.49%
Max. Drawdown-7.47%-10.65%-13.52%
US Market Correlation0.780.961.00
Beta(*)0.600.920.97
Alpha (annualized)-3.11%-0.78%0.56%
R261.25%92.38%99.27%
Sharpe Ratio-0.62-0.44-0.35
Sortino Ratio-0.70-0.53-0.43
Treynor Ratio (%)-12.41-7.06-5.52
Active Return-0.89%-0.30%0.70%
Tracking Error9.67%4.29%1.37%
Information Ratio-0.09-0.070.51
Skewness-1.32-0.63-0.79
Excess Kurtosis0.84-0.84-0.17
Historical Value-at-Risk (5%)-7.47%-8.13%-8.79%
Analytical Value-at-Risk (5%)-6.13%-7.42%-7.50%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)56.3795.22102.08
Downside Capture Ratio (%)74.5298.2098.49
Sustainable Withdrawal Rate92.09%92.67%93.66%
Positive Periods8 out of 12 (66.67%)7 out of 12 (58.33%)8 out of 12 (66.67%)
Gain/Loss Ratio0.330.570.42
* 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
1Dec 2018Dec 20181 month-7.47%
2Feb 2018Feb 20181 monthJul 20185 months6 months-6.77%
3Sep 2018Oct 20182 monthsNov 20181 month3 months-2.80%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-10.65%
2Feb 2018Apr 20183 monthsSep 20185 months8 months-8.91%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-13.52%
2Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPHDInvesco S&P 500 High Div Low Vol ETF-6.15%11.92%-6.15%-6.15%-7.47%-0.62-0.700.78
SCHDSchwab US Dividend Equity ETF-5.56%14.81%-5.56%-5.56%-10.65%-0.44-0.530.96
SPYSPDR S&P 500 ETF-4.56%15.16%-4.56%-4.56%-13.52%-0.35-0.431.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPHDSCHDSPYPortfolio 1Portfolio 2Portfolio 3
SPHDInvesco S&P 500 High Div Low Vol ETF-0.840.761.000.840.76
SCHDSchwab US Dividend Equity ETF0.84-0.970.841.000.97
SPYSPDR S&P 500 ETF0.760.97-0.760.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPHDInvesco S&P 500 High Div Low Vol ETF-$32,663
SCHDSchwab US Dividend Equity ETF-$29,519
SPYSPDR S&P 500 ETF-$24,214

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPHDInvesco S&P 500 High Div Low Vol ETF100.00%
SCHDSchwab US Dividend Equity ETF100.00%
SPYSPDR S&P 500 ETF100.00%

Annual Asset Returns