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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Factor Regression

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Portfolio Name #2

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Portfolio Assets

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Portfolio #2

Portfolio #3

Asset 1

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Asset 2

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Asset 3

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Asset 4

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Asset 5

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Asset 6

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Asset 7

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Asset 8

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Asset 9

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Asset 10

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Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2019 - Dec 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
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$15,165	23.15%	10.35%	24.60%	21.71%	-5.77%	1.95	4.82	0.86
Portfolio 2	$10,000	$14,057	18.56%	26.38%	52.69%	-7.94%	-8.34%	0.71	3.22	-0.57
Portfolio 3	$10,000	$15,350	23.90%	9.21%	34.62%	14.03%	-4.92%	2.24	7.02	0.25
Vanguard 500 Index Investor	$10,000	$15,529	24.62%	20.08%	31.33%	18.25%	-19.63%	1.14	1.89	1.00

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return
Name	3 Month	YTD	1 year	Full
Portfolio 1	6.11%	21.71%	21.71%	23.15%
Portfolio 2	-1.25%	52.69%	52.69%	18.56%
Portfolio 3	4.67%	34.62%	34.62%	23.90%
Vanguard 500 Index Investor	12.12%	18.25%	18.25%	24.62%
Trailing returns are as of last full calendar quarter ending December 2020

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 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.
The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1				Portfolio 2				Portfolio 3				Vanguard 500 Index Investor		Vanguard S&P 500 ETF (VOO)	iShares 20+ Year Treasury Bond ETF (TLT)	iPath B S&P 500 VIX S/T Futs ETN (VXX)
Year	Inflation	Return	Balance	Yield	Income	Return	Balance	Yield	Income	Return	Balance	Yield	Income	Return	Balance	Vanguard S&P 500 ETF (VOO)	iShares 20+ Year Treasury Bond ETF (TLT)	iPath B S&P 500 VIX S/T Futs ETN (VXX)
2019	2.29%	24.60%	$12,460	2.49%	$249	-7.94%	$9,206	1.50%	$150	14.03%	$11,403	2.13%	$213	31.33%	$13,133	31.35%	14.12%	-67.82%
2020	1.36%	21.71%	$15,165	1.84%	$229	52.69%	$14,057	1.90%	$175	34.62%	$15,350	1.91%	$217	18.25%	$15,529	18.29%	18.15%	11.04%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1		Portfolio 2		Portfolio 3		Vanguard 500 Index Investor		Vanguard S&P 500 ETF (VOO)	iShares 20+ Year Treasury Bond ETF (TLT)	iPath B S&P 500 VIX S/T Futs ETN (VXX)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Vanguard S&P 500 ETF (VOO)	iShares 20+ Year Treasury Bond ETF (TLT)	iPath B S&P 500 VIX S/T Futs ETN (VXX)
2019	1	4.90%	$10,490	-1.84%	$9,816	3.16%	$10,316	8.00%	$10,800	7.92%	0.38%	-24.60%
2019	2	1.48%	$10,646	-0.11%	$9,805	1.28%	$10,448	3.20%	$11,146	3.25%	-1.38%	-11.35%
2019	3	3.28%	$10,995	0.13%	$9,818	2.05%	$10,663	1.94%	$11,362	1.92%	5.57%	-6.84%
2019	4	1.63%	$11,173	-0.85%	$9,735	1.20%	$10,791	4.04%	$11,821	4.03%	-1.99%	-12.24%
2019	5	-1.26%	$11,032	0.24%	$9,758	-1.64%	$10,614	-6.36%	$11,069	-6.35%	6.84%	18.46%
2019	6	4.47%	$11,525	0.24%	$9,781	3.47%	$10,982	7.03%	$11,847	6.99%	0.95%	-14.53%
2019	7	0.98%	$11,638	-1.76%	$9,609	0.15%	$10,998	1.43%	$12,016	1.46%	0.26%	-9.27%
2019	8	3.40%	$12,033	2.82%	$9,880	2.36%	$11,257	-1.59%	$11,825	-1.64%	11.04%	14.46%
2019	9	-0.01%	$12,032	-2.36%	$9,647	-0.46%	$11,205	1.86%	$12,044	1.97%	-2.68%	-12.07%
2019	10	0.86%	$12,136	-3.51%	$9,308	-0.38%	$11,163	2.15%	$12,304	2.18%	-1.11%	-16.81%
2019	11	2.04%	$12,384	-1.52%	$9,166	1.17%	$11,293	3.62%	$12,750	3.63%	-0.41%	-16.25%
2019	12	0.61%	$12,460	0.43%	$9,206	0.97%	$11,403	3.01%	$13,133	2.97%	-3.20%	-8.59%
2020	1	3.05%	$12,841	2.12%	$9,401	2.23%	$11,657	-0.05%	$13,126	-0.04%	7.69%	7.14%
2020	2	-1.94%	$12,591	7.29%	$10,086	0.13%	$11,672	-8.24%	$12,044	-8.10%	6.63%	40.80%
2020	3	-3.90%	$12,100	35.13%	$13,630	8.75%	$12,693	-12.37%	$10,554	-12.46%	6.38%	102.76%
2020	4	8.16%	$13,087	3.51%	$14,109	7.38%	$13,630	12.81%	$11,907	12.79%	1.22%	-18.12%
2020	5	2.30%	$13,389	0.64%	$14,200	2.20%	$13,929	4.76%	$12,473	4.74%	-1.76%	-12.52%
2020	6	1.30%	$13,562	1.97%	$14,479	1.61%	$14,152	1.98%	$12,720	1.83%	0.34%	2.48%
2020	7	5.30%	$14,281	-0.68%	$14,381	3.40%	$14,634	5.63%	$13,435	5.88%	4.44%	-15.99%
2020	8	2.20%	$14,596	3.72%	$14,915	3.50%	$15,147	7.18%	$14,399	6.97%	-5.05%	-5.86%
2020	9	-2.09%	$14,292	-4.56%	$14,235	-3.17%	$14,666	-3.81%	$13,851	-3.75%	0.77%	-7.26%
2020	10	-2.88%	$13,880	0.18%	$14,260	-1.80%	$14,401	-2.67%	$13,481	-2.55%	-3.39%	6.55%
2020	11	7.25%	$14,887	-3.79%	$13,720	4.11%	$14,993	10.94%	$14,955	10.95%	1.66%	-35.24%
2020	12	1.87%	$15,165	2.45%	$14,057	2.38%	$15,350	3.84%	$15,529	3.75%	-1.23%	-2.27%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Yield		Expense Ratio		P/E	Duration	Contribution
Ticker	Name	Category	Weight	SEC	TTM	Net	Gross	P/E	Duration	Return	Risk
VOO	Vanguard S&P 500 ETF	Large Blend	60.00%	1.23%	1.26%	0.03%	0.03%	24.91		$3,654	98.19%
TLT	iShares 20+ Year Treasury Bond ETF	Long Government	40.00%	1.78%	1.45%	0.15%	0.15%		18.96	$1,511	1.81%
			100.00%	1.45%	1.34%	0.08%	0.08%	24.91	18.96	$5,165	100.00%

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
Ticker	Name	Category	Weight	Yield		Expense Ratio		P/E	Contribution
Ticker	Name	Category	Weight	SEC	TTM	Net	Gross	P/E	Return	Risk
VOO	Vanguard S&P 500 ETF	Large Blend	70.00%	1.23%	1.26%	0.03%	0.03%	24.91	$4,773	-43.90%
VXX	iPath B S&P 500 VIX S/T Futs ETN	Miscellaneous	30.00%			0.89%	0.89%		-$716	143.90%
			100.00%	0.86%	0.88%	0.29%	0.29%	24.91	$4,057	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	Yield		Expense Ratio		P/E	Duration	Contribution
Ticker	Name	Category	Weight	SEC	TTM	Net	Gross	P/E	Duration	Return	Risk
VOO	Vanguard S&P 500 ETF	Large Blend	70.00%	1.23%	1.26%	0.03%	0.03%	24.91		$4,493	56.28%
TLT	iShares 20+ Year Treasury Bond ETF	Long Government	20.00%	1.78%	1.45%	0.15%	0.15%		18.96	$701	8.27%
VXX	iPath B S&P 500 VIX S/T Futs ETN	Miscellaneous	10.00%			0.89%	0.89%			$157	35.45%
			100.00%	1.22%	1.17%	0.14%	0.14%	24.91	18.96	$5,350	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (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
Metric	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	1.79%	1.66%	1.83%	2.01%
Arithmetic Mean (annualized)	23.76%	21.87%	24.38%	27.01%
Geometric Mean (monthly)	1.75%	1.43%	1.80%	1.85%
Geometric Mean (annualized)	23.15%	18.56%	23.90%	24.62%
Standard Deviation (monthly)	2.99%	7.61%	2.66%	5.80%
Standard Deviation (annualized)	10.35%	26.38%	9.21%	20.08%
Downside Deviation (monthly)	1.18%	1.62%	0.83%	3.45%
Max. Drawdown	-5.77%	-8.34%	-4.92%	-19.63%
US Market Correlation	0.86	-0.57	0.25	1.00
Beta^(*)	0.45	-0.72	0.13	1.00
Alpha (annualized)	10.67%	37.35%	18.88%	0.00%
R²	75.74%	30.08%	8.03%	100.00%
Sharpe Ratio	1.95	0.71	2.24	1.14
Sortino Ratio	4.82	3.22	7.02	1.89
Treynor Ratio (%)	45.09	-25.92	159.54	22.88
Active Return	-1.47%	-6.06%	-0.72%	N/A
Tracking Error	12.19%	40.99%	19.58%	N/A
Information Ratio	-0.12	-0.15	-0.04	N/A
Skewness	0.16	3.97	0.70	-0.60
Excess Kurtosis	0.02	17.73	1.43	0.74
Historical Value-at-Risk (5%)	-2.76%	-3.75%	-1.78%	-7.96%
Analytical Value-at-Risk (5%)	-3.22%	-7.42%	-2.09%	-7.52%
Conditional Value-at-Risk (5%)	-3.39%	-4.18%	-2.49%	-10.31%
Upside Capture Ratio (%)	54.02	-3.72	40.33	100.00
Downside Capture Ratio (%)	17.34	-124.22	-19.26	100.00
Safe Withdrawal Rate	66.46%	54.09%	63.60%	69.13%
Perpetual Withdrawal Rate	17.32%	14.12%	17.82%	18.29%
Positive Periods	18 out of 24 (75.00%)	14 out of 24 (58.33%)	19 out of 24 (79.17%)	17 out of 24 (70.83%)
Gain/Loss Ratio	1.52	2.07	1.82	0.98
^* Vanguard 500 Index Investor 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 Period	Start	End	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
COVID-19 Start	Jan 2020	Mar 2020	-5.77%	0.00%	0.00%	-19.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-5.77%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-4.91%
3	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-1.26%
4	Sep 2019	Sep 2019	1 month	Oct 2019	1 month	2 months	-0.01%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2019	Nov 2019	11 months	Feb 2020	3 months	1 year 2 months	-8.34%
2	Sep 2020	Nov 2020	3 months				-8.01%
3	Jul 2020	Jul 2020	1 month	Aug 2020	1 month	2 months	-0.68%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2020	Oct 2020	2 months	Dec 2020	2 months	4 months	-4.92%
2	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-1.64%
3	Sep 2019	Oct 2019	2 months	Nov 2019	1 month	3 months	-0.83%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-6.38%
3	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
4	Aug 2019	Aug 2019	1 month	Sep 2019	1 month	2 months	-1.59%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
VOO	Vanguard S&P 500 ETF	24.65%	20.02%	31.35%	18.29%	-19.58%	1.14	1.89	1.00
TLT	iShares 20+ Year Treasury Bond ETF	16.12%	14.32%	18.15%	14.12%	-7.55%	1.03	2.49	-0.47
VXX	iPath B S&P 500 VIX S/T Futs ETN	-40.22%	93.86%	11.04%	-67.82%	-67.82%	-0.21	-0.44	-0.85

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Expense Ratio
Name	Quarter to Date	Year To Date	1 year	Net	Gross
Vanguard S&P 500 ETF	12.17%	18.29%	18.29%	0.03%	0.03%
iShares 20+ Year Treasury Bond ETF	-2.98%	18.15%	18.15%	0.15%	0.15%
iPath B S&P 500 VIX S/T Futs ETN	-32.57%	11.04%	11.04%	0.89%	0.89%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VOO	TLT	VXX	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
VOO	Vanguard S&P 500 ETF	1.00	-0.46	-0.84	0.87	-0.55	0.28	1.00
TLT	iShares 20+ Year Treasury Bond ETF	-0.46	1.00	0.49	0.03	0.34	0.20	-0.46
VXX	iPath B S&P 500 VIX S/T Futs ETN	-0.84	0.49	1.00	-0.65	0.90	0.26	-0.84

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
VOO	Vanguard S&P 500 ETF	$3,654	$4,773	$4,493
TLT	iShares 20+ Year Treasury Bond ETF	$1,511		$701
VXX	iPath B S&P 500 VIX S/T Futs ETN		-$716	$157

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
VOO	Vanguard S&P 500 ETF	98.19%	-43.90%	56.28%
TLT	iShares 20+ Year Treasury Bond ETF	1.81%		8.27%
VXX	iPath B S&P 500 VIX S/T Futs ETN		143.90%	35.45%

Backtest Portfolio Asset Allocation

Portfolio Analysis Results (Jan 2019 - Dec 2020)

Portfolio Allocations

Portfolio Returns

Trailing Returns

Holdings Based Style Analysis for Portfolio 1

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Drawdowns for Historical Market Stress Periods

Drawdowns for Portfolio 1

Drawdowns for Portfolio 2

Drawdowns for Portfolio 3

Drawdowns for Vanguard 500 Index Investor

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns