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 2020 - Dec 2020)

Portfolio Allocations

S&P 500
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
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25/75
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 75.00%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
S&P 500$10,000$11,837 18.37% 25.74%-19.43% 0.761.261.00
25/75$10,000$11,832 18.32% 16.81%-10.72% 1.051.970.97
   
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
YearInflationS&P 50025/75SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20201.36%18.37%$11,83718.32%$11,83218.37%18.15%
Monthly returns for the configured portfolios
YearMonthS&P 50025/75SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20201-0.04%$9,9961.89%$10,189-0.04%7.69%
20202-7.92%$9,205-4.07%$9,774-7.92%6.63%
20203-12.46%$8,057-6.93%$9,097-12.46%6.38%
2020412.70%$9,0818.84%$9,90112.70%1.22%
202054.76%$9,5132.73%$10,1714.76%-1.76%
202061.78%$9,6821.35%$10,3081.78%0.34%
202075.89%$10,2525.46%$10,8715.89%4.44%
202086.98%$10,9683.46%$11,2476.98%-5.05%
20209-3.74%$10,558-2.53%$10,963-3.74%0.77%
202010-2.49%$10,294-2.74%$10,662-2.49%-3.39%
20201110.88%$11,4148.34%$11,55110.88%1.66%
2020123.71%$11,8372.43%$11,8323.71%-1.23%

Holdings Based Style Analysis for S&P 500

Holdings Based Style Analysis for S&P 500
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%1.23%0.09%25.30$1,837100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 25/75

Holdings Based Style Analysis for 25/75
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend75.00%1.23%0.09%25.30$1,378104.69%
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%1.45%0.15%19.01$454-4.69%
100.00%1.29%0.11%25.3019.01$1,832100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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
MetricS&P 50025/75
Arithmetic Mean (monthly)1.67%1.52%
Arithmetic Mean (annualized)21.98%19.82%
Geometric Mean (monthly)1.42%1.41%
Geometric Mean (annualized)18.37%18.32%
Volatility (monthly)7.43%4.85%
Volatility (annualized)25.74%16.81%
Downside Deviation (monthly)4.46%2.56%
Max. Drawdown-19.43%-10.72%
US Market Correlation1.000.97
Beta(*)0.930.59
Alpha (annualized)-1.09%4.78%
R299.71%94.67%
Sharpe Ratio0.761.05
Sortino Ratio1.261.97
Treynor Ratio (%)20.9629.89
Active Return-2.50%-2.55%
Tracking Error2.26%11.79%
Information Ratio-1.10-0.22
Skewness-0.41-0.13
Excess Kurtosis-0.27-0.63
Historical Value-at-Risk (5%)-9.96%-5.36%
Analytical Value-at-Risk (5%)-10.55%-6.59%
Conditional Value-at-Risk (5%)-12.46%-6.93%
Upside Capture Ratio (%)91.2660.06
Downside Capture Ratio (%)96.1154.26
Safe Withdrawal Rate100.00%100.00%
Perpetual Withdrawal Rate14.37%14.33%
Positive Periods7 out of 12 (58.33%)8 out of 12 (66.67%)
Gain/Loss Ratio1.251.06
* 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 PeriodStartEndS&P 50025/75
COVID-19 StartJan 2020Mar 2020-19.43%-10.72%

Drawdowns for S&P 500

Drawdowns for S&P 500
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%

Drawdowns for 25/75

Drawdowns for 25/75
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-10.72%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-5.20%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust18.37%25.74%-19.43%0.761.261.00
TLTiShares 20+ Year Treasury Bond ETF18.15%14.16%-7.55%1.232.67-0.45

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTLTS&P 50025/75
SPYSPDR S&P 500 ETF Trust1.00-0.431.000.98
TLTiShares 20+ Year Treasury Bond ETF-0.431.00-0.43-0.24

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameS&P 50025/75
SPYSPDR S&P 500 ETF Trust$1,837$1,378
TLTiShares 20+ Year Treasury Bond ETF$454

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameS&P 50025/75
SPYSPDR S&P 500 ETF Trust100.00%104.69%
TLTiShares 20+ Year Treasury Bond ETF-4.69%

Annual Asset Returns