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 Analysis Results (Jan 2019 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 60.00%
TLT iShares 20+ Year Treasury Bond ETF 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 70.00%
VXX iPath B S&P 500 VIX S/T Futs ETN 30.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 70.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
VXX iPath B S&P 500 VIX S/T Futs ETN 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,292 22.64% 9.61%24.60%14.70%-5.77% 2.035.000.85
Portfolio 2$10,000$14,235 22.36% 27.92%54.62%-7.94%-8.34% 0.794.00-0.58
Portfolio 3$10,000$14,666 24.46% 9.29%28.62%14.03%-3.17% 2.257.390.17
Vanguard 500 Index Investor$10,000$13,851 20.46% 19.99%31.33%5.47%-19.63% 0.961.501.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Portfolio 15.38%14.70%18.78%22.64%
Portfolio 2-1.69%54.62%47.56%22.36%
Portfolio 33.63%28.62%30.88%24.46%
Vanguard 500 Index Investor8.89%5.47%15.00%20.46%
Trailing returns are for full months ending in September 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.
  • The annual results for 2020 are based on monthly returns from January to September
  • 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 quarterly rebalancing of portfolio assets to match the specified allocation
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard S&P 500 ETF (VOO)iShares 20+ Year Treasury Bond ETF (TLT)iPath B S&P 500 VIX S/T Futs ETN (VXX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3
20192.29%24.60%-7.94%14.03%31.33%$12,460$9,206$11,403$13,1332.49% [$249]1.50% [$150]2.13% [$213]31.35%14.12%-67.82%
20201.29%14.70%54.62%28.62%5.47%$14,292$14,235$14,666$13,8511.34% [$167]1.41% [$130]1.40% [$159]5.46%21.78%64.68%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard S&P 500 ETF (VOO)iShares 20+ Year Treasury Bond ETF (TLT)iPath B S&P 500 VIX S/T Futs ETN (VXX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
201914.90%-1.84%3.16%8.00%$10,490$9,816$10,316$10,8007.92%0.38%-24.60%
201921.48%-0.11%1.28%3.20%$10,646$9,805$10,448$11,1463.25%-1.38%-11.35%
201933.28%0.13%2.05%1.94%$10,995$9,818$10,663$11,3621.92%5.57%-6.84%
201941.63%-0.85%1.20%4.04%$11,173$9,735$10,791$11,8214.03%-1.99%-12.24%
20195-1.26%0.24%-1.64%-6.36%$11,032$9,758$10,614$11,069-6.35%6.84%18.46%
201964.47%0.24%3.47%7.03%$11,525$9,781$10,982$11,8476.99%0.95%-14.53%
201970.98%-1.76%0.15%1.43%$11,638$9,609$10,998$12,0161.46%0.26%-9.27%
201983.40%2.82%2.36%-1.59%$12,033$9,880$11,257$11,825-1.64%11.04%14.46%
20199-0.01%-2.36%-0.46%1.86%$12,032$9,647$11,205$12,0441.97%-2.68%-12.07%
2019100.86%-3.51%-0.38%2.15%$12,136$9,308$11,163$12,3042.18%-1.11%-16.81%
2019112.04%-1.52%1.17%3.62%$12,384$9,166$11,293$12,7503.63%-0.41%-16.25%
2019120.61%0.43%0.97%3.01%$12,460$9,206$11,403$13,1332.97%-3.20%-8.59%
202013.05%2.12%2.23%-0.05%$12,841$9,401$11,657$13,126-0.04%7.69%7.14%
20202-1.94%7.29%0.13%-8.24%$12,591$10,086$11,672$12,044-8.10%6.63%40.80%
20203-3.90%35.13%8.75%-12.37%$12,100$13,630$12,693$10,554-12.46%6.38%102.76%
202048.16%3.51%7.38%12.81%$13,087$14,109$13,630$11,90712.79%1.22%-18.12%
202052.30%0.64%2.20%4.76%$13,389$14,200$13,929$12,4734.74%-1.76%-12.52%
202061.30%1.97%1.61%1.98%$13,562$14,479$14,152$12,7201.83%0.34%2.48%
202075.30%-0.68%3.40%5.63%$14,281$14,381$14,634$13,4355.88%4.44%-15.99%
202082.20%3.72%3.50%7.18%$14,596$14,915$15,147$14,3996.97%-5.05%-5.86%
20209-2.09%-4.56%-3.17%-3.81%$14,292$14,235$14,666$13,851-3.75%0.77%-7.26%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend60.00%0.03%25.91$2,611103.45%
TLTiShares 20+ Year Treasury Bond ETFLong Government40.00%0.15%18.93$1,681-3.45%
100.00%0.08%25.9118.93$4,292100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend70.00%0.03%25.91$3,560-41.70%
VXXiPath B S&P 500 VIX S/T Futs ETNVolatility30.00%0.89%$675141.70%
100.00%0.29%25.91$4,235100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend70.00%0.03%25.91$3,24341.17%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%0.15%18.93$7886.54%
VXXiPath B S&P 500 VIX S/T Futs ETNVolatility10.00%0.89%$63452.29%
100.00%0.14%25.9118.93$4,666100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/23/2020. (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 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.75%1.95%1.87%1.72%
Arithmetic Mean (annualized)23.16%26.15%24.95%22.76%
Geometric Mean (monthly)1.72%1.70%1.84%1.56%
Geometric Mean (annualized)22.64%22.36%24.46%20.46%
Volatility (monthly)2.77%8.06%2.68%5.77%
Volatility (annualized)9.61%27.92%9.29%19.99%
Downside Deviation (monthly)1.09%1.52%0.79%3.64%
Max. Drawdown-5.77%-8.34%-3.17%-19.63%
US Market Correlation0.85-0.580.171.00
Beta(*)0.41-0.770.091.00
Alpha (annualized)12.45%39.44%20.54%0.00%
R274.25%30.61%4.06%100.00%
Sharpe Ratio2.030.792.250.96
Sortino Ratio5.004.007.391.50
Treynor Ratio (%)47.27-28.49224.6919.24
Active Return2.18%1.90%4.00%N/A
Tracking Error12.69%42.39%20.28%N/A
Information Ratio0.170.040.20N/A
Skewness0.123.790.85-0.72
Excess Kurtosis0.5215.961.780.96
Historical Value-at-Risk (5%)-3.72%-4.46%-3.02%-11.96%
Analytical Value-at-Risk (5%)-2.94%-7.70%-2.00%-7.77%
Conditional Value-at-Risk (5%)-3.90%-4.56%-3.17%-12.37%
Upside Capture Ratio (%)53.50-2.8140.64100.00
Downside Capture Ratio (%)9.54-135.99-27.10100.00
Safe Withdrawal Rate100.00%90.01%100.00%100.00%
Perpetual Withdrawal Rate27.51%27.22%29.36%25.20%
Positive Periods16 out of 21 (76.19%)12 out of 21 (57.14%)17 out of 21 (80.95%)15 out of 21 (71.43%)
Gain/Loss Ratio1.562.541.870.85
* Vanguard 500 Index Investor 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
1Feb 2020Mar 20202 monthsApr 20201 month3 months-5.77%
2Sep 2020Sep 20201 month-2.09%
3May 2019May 20191 monthJun 20191 month2 months-1.26%
4Sep 2019Sep 20191 monthOct 20191 month2 months-0.01%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2019Nov 201911 monthsFeb 20203 months1 year 2 months-8.34%
2Sep 2020Sep 20201 month-4.56%
3Jul 2020Jul 20201 monthAug 20201 month2 months-0.68%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Sep 20201 month-3.17%
2May 2019May 20191 monthJun 20191 month2 months-1.64%
3Sep 2019Oct 20192 monthsNov 20191 month3 months-0.83%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2May 2019May 20191 monthJun 20191 month2 months-6.36%
3Sep 2020Sep 20201 month-3.81%
4Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VOOVanguard S&P 500 ETF20.47%19.94%31.35%5.46%-19.58%0.961.511.00
TLTiShares 20+ Year Treasury Bond ETF20.70%14.73%21.78%14.12%-7.22%1.263.25-0.56
VXXiPath B S&P 500 VIX S/T Futs ETN-30.43%96.91%64.68%-67.82%-67.82%-0.05-0.12-0.85

Monthly Correlations

Correlations for the portfolio assets
TickerNameVOOTLTVXXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VOOVanguard S&P 500 ETF1.00-0.55-0.840.86-0.560.201.00
TLTiShares 20+ Year Treasury Bond ETF-0.551.000.54-0.060.350.15-0.55
VXXiPath B S&P 500 VIX S/T Futs ETN-0.840.541.00-0.630.910.36-0.83

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VOOVanguard S&P 500 ETF$2,611$3,560$3,243
TLTiShares 20+ Year Treasury Bond ETF$1,681$788
VXXiPath B S&P 500 VIX S/T Futs ETN$675$634

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VOOVanguard S&P 500 ETF103.45%-41.70%41.17%
TLTiShares 20+ Year Treasury Bond ETF-3.45%6.54%
VXXiPath B S&P 500 VIX S/T Futs ETN141.70%52.29%

Annual Asset Returns