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 (Oct 2010 - Sep 2015)

Portfolio Allocations

Vanguard Long-Term Treasury Admiral
Ticker Name Allocation
VUSUX Vanguard Long-Term Treasury Admiral 100.00%
Save portfolio »
Vanguard Long-Term Investment-Grade Adm
Ticker Name Allocation
VWETX Vanguard Long-Term Investment-Grade Adm 100.00%
Save portfolio »
Vanguard High-Yield Corporate Adm
Ticker Name Allocation
VWEAX Vanguard High-Yield Corporate Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Long-Term Treasury Admiral$10,000$13,452 6.11% 12.21%29.41%-12.94%-16.56% 0.541.00-0.54
Vanguard Long-Term Investment-Grade Adm$10,000$13,728 6.54% 8.39%18.29%-5.77%-10.11% 0.791.36-0.14
Vanguard High-Yield Corporate Adm$10,000$13,583 6.32% 5.40%14.47%-0.84%-5.03% 1.152.050.72
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard Long-Term Treasury Admiral5.47%8.72%2.65%6.11%6.11%11.10%12.21%
Vanguard Long-Term Investment-Grade Adm2.65%3.04%3.13%6.54%6.54%8.32%8.39%
Vanguard High-Yield Corporate Adm-2.68%0.23%3.84%6.32%6.32%4.35%5.40%
Trailing annualized return and volatility are for full months ending in September 2015 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 2010 are based on monthly returns from October to December
  • The annual results for 2015 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationVanguard Long-Term Treasury AdmiralVanguard Long-Term Investment-Grade AdmVanguard High-Yield Corporate AdmVanguard Long-Term Treasury Admiral (VUSUX)Vanguard Long-Term Investment-Grade Adm (VWETX)Vanguard High-Yield Corporate Adm (VWEAX)
ReturnBalanceReturnBalanceReturnBalance
20100.34%-8.21%$9,179-3.93%$9,6071.86%$10,186-8.21%-3.93%1.86%
20112.96%29.41%$11,87917.30%$11,2707.24%$10,92329.41%17.30%7.24%
20121.74%3.57%$12,30211.77%$12,59614.47%$12,5043.57%11.77%14.47%
20131.50%-12.94%$10,711-5.77%$11,8694.64%$13,084-12.94%-5.77%4.64%
20140.76%25.40%$13,43118.29%$14,0394.69%$13,69725.40%18.29%4.69%
20151.33%0.16%$13,452-2.22%$13,728-0.84%$13,5830.16%-2.22%-0.84%
Annual return for 2010 is from 10/01/2010 to 12/31/2010 and annual return for 2015 is from 01/01/2015 to 09/30/2015
Monthly returns for the configured portfolios
YearMonthVanguard Long-Term Treasury AdmiralVanguard Long-Term Investment-Grade AdmVanguard High-Yield Corporate AdmVanguard Long-Term Treasury Admiral (VUSUX)Vanguard Long-Term Investment-Grade Adm (VWETX)Vanguard High-Yield Corporate Adm (VWEAX)
ReturnBalanceReturnBalanceReturnBalance
201010-3.28%$9,672-2.18%$9,7822.21%$10,221-3.28%-2.18%2.21%
201011-1.59%$9,518-1.00%$9,684-1.65%$10,052-1.59%-1.00%-1.65%
201012-3.57%$9,179-0.79%$9,6071.33%$10,186-3.57%-0.79%1.33%
20111-2.37%$8,962-1.55%$9,4592.02%$10,391-2.37%-1.55%2.02%
201121.25%$9,0732.09%$9,6561.26%$10,5221.25%2.09%1.26%
201130.03%$9,076-0.37%$9,6210.29%$10,5530.03%-0.37%0.29%
201142.05%$9,2622.76%$9,8861.62%$10,7242.05%2.76%1.62%
201153.30%$9,5682.60%$10,1430.60%$10,7893.30%2.60%0.60%
20116-1.99%$9,378-2.14%$9,926-0.95%$10,686-1.99%-2.14%-0.95%
201174.19%$9,7714.53%$10,3761.46%$10,8424.19%4.53%1.46%
201188.69%$10,6201.28%$10,509-3.19%$10,4978.69%1.28%-3.19%
2011910.17%$11,7004.91%$11,025-1.90%$10,29710.17%4.91%-1.90%
201110-3.33%$11,3101.80%$11,2235.39%$10,852-3.33%1.80%5.39%
2011111.82%$11,517-3.14%$10,871-2.05%$10,6301.82%-3.14%-2.05%
2011123.14%$11,8793.66%$11,2702.76%$10,9233.14%3.66%2.76%
201210.09%$11,8892.47%$11,5482.88%$11,2380.09%2.47%2.88%
20122-2.10%$11,6390.39%$11,5931.91%$11,452-2.10%0.39%1.91%
20123-3.76%$11,201-2.34%$11,322-0.46%$11,399-3.76%-2.34%-0.46%
201244.38%$11,6912.67%$11,6241.05%$11,5194.38%2.67%1.05%
201257.80%$12,6032.92%$11,964-0.98%$11,4067.80%2.92%-0.98%
20126-1.44%$12,422-0.07%$11,9552.09%$11,645-1.44%-0.07%2.09%
201273.33%$12,8365.21%$12,5782.08%$11,8873.33%5.21%2.08%
20128-1.05%$12,700-0.43%$12,5250.87%$11,990-1.05%-0.43%0.87%
20129-2.09%$12,435-0.08%$12,5151.18%$12,132-2.09%-0.08%1.18%
201210-0.43%$12,3821.75%$12,7351.02%$12,256-0.43%1.75%1.02%
2012111.36%$12,550-0.44%$12,6790.67%$12,3381.36%-0.44%0.67%
201212-1.98%$12,302-0.65%$12,5961.34%$12,504-1.98%-0.65%1.34%
20131-3.27%$11,900-1.45%$12,4130.68%$12,588-3.27%-1.45%0.68%
201321.27%$12,0521.11%$12,5510.29%$12,6251.27%1.11%0.29%
201330.04%$12,057-0.24%$12,5220.83%$12,7300.04%-0.24%0.83%
201343.88%$12,5243.58%$12,9711.62%$12,9363.88%3.58%1.62%
20135-6.22%$11,745-4.73%$12,357-0.80%$12,832-6.22%-4.73%-0.80%
20136-3.25%$11,364-4.90%$11,752-2.95%$12,453-3.25%-4.90%-2.95%
20137-1.92%$11,1450.73%$11,8381.86%$12,685-1.92%0.73%1.86%
20138-1.27%$11,004-1.50%$11,660-1.01%$12,556-1.27%-1.50%-1.01%
201390.89%$11,1010.52%$11,7200.99%$12,6810.89%0.52%0.99%
2013101.33%$11,2492.18%$11,9762.52%$13,0011.33%2.18%2.52%
201311-2.48%$10,970-0.71%$11,8910.31%$13,041-2.48%-0.71%0.31%
201312-2.36%$10,711-0.18%$11,8690.33%$13,084-2.36%-0.18%0.33%
201416.27%$11,3824.26%$12,3740.67%$13,1726.27%4.26%0.67%
201420.61%$11,4511.57%$12,5691.93%$13,4260.61%1.57%1.93%
201430.64%$11,5240.44%$12,6240.15%$13,4460.64%0.44%0.15%
201441.83%$11,7341.97%$12,8730.62%$13,5301.83%1.97%0.62%
201452.74%$12,0552.34%$13,1740.96%$13,6602.74%2.34%0.96%
20146-0.15%$12,0370.28%$13,2110.61%$13,744-0.15%0.28%0.61%
201470.60%$12,1100.29%$13,249-1.16%$13,5840.60%0.29%-1.16%
201484.24%$12,6233.15%$13,6671.63%$13,8054.24%3.15%1.63%
20149-1.98%$12,373-2.52%$13,322-1.83%$13,552-1.98%-2.52%-1.83%
2014102.62%$12,6972.10%$13,6021.98%$13,8212.62%2.10%1.98%
2014112.87%$13,0621.59%$13,818-0.54%$13,7472.87%1.59%-0.54%
2014122.83%$13,4311.60%$14,039-0.36%$13,6972.83%1.60%-0.36%
201518.97%$14,6365.86%$14,8620.64%$13,7868.97%5.86%0.64%
20152-5.65%$13,809-2.95%$14,4241.93%$14,052-5.65%-2.95%1.93%
201531.13%$13,9660.35%$14,474-0.54%$13,9761.13%0.35%-0.54%
20154-3.06%$13,539-2.31%$14,1390.96%$14,109-3.06%-2.31%0.96%
20155-2.15%$13,247-2.27%$13,8180.31%$14,153-2.15%-2.27%0.31%
20156-3.72%$12,755-3.22%$13,373-1.38%$13,957-3.72%-3.22%-1.38%
201574.22%$13,2922.59%$13,7190.30%$14,0004.22%2.59%0.30%
20158-0.71%$13,199-1.29%$13,542-0.88%$13,876-0.71%-1.29%-0.88%
201591.92%$13,4521.37%$13,728-2.11%$13,5831.92%1.37%-2.11%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Long-Term Treasury AdmiralVanguard Long-Term Investment-Grade AdmVanguard High-Yield Corporate Adm
Large-cap Value0.00%0.00%5.85%
Large-cap Growth0.00%0.00%1.43%
Mid-cap Value0.00%0.00%10.44%
Mid-cap Growth0.00%1.52%0.00%
Small-cap Value0.00%0.00%3.37%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%7.14%
Emerging Markets0.53%0.91%0.00%
Corporate Bonds0.00%65.93%51.76%
Long-Term Treasuries80.39%31.64%0.00%
Intermediate-Term Treasuries19.09%0.00%0.00%
Short-Term Treasuries0.00%0.00%20.01%
R Squared99.67%91.66%81.54%
Style analysis is based on monthly returns from October 2010 to September 2015 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 Vanguard Long-Term Treasury Admiral

Holdings Based Style Analysis for Vanguard Long-Term Treasury Admiral
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VUSUXVanguard Long-Term Treasury AdmiralLong Government100.00%1.82%0.10%17.66$3,452100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Long-Term Investment-Grade Adm

Holdings Based Style Analysis for Vanguard Long-Term Investment-Grade Adm
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWETXVanguard Long-Term Investment-Grade AdmLong-Term Bond100.00%3.07%0.12%16.8615.10$3,728100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard High-Yield Corporate Adm

Holdings Based Style Analysis for Vanguard High-Yield Corporate Adm
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWEAXVanguard High-Yield Corporate AdmHigh Yield Bond100.00%4.30%0.13%16.863.63$3,583100.00%

Asset Allocation

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
MetricVanguard Long-Term Treasury AdmiralVanguard Long-Term Investment-Grade AdmVanguard High-Yield Corporate Adm
Arithmetic Mean (monthly)0.56%0.56%0.52%
Arithmetic Mean (annualized)6.87%6.91%6.47%
Geometric Mean (monthly)0.50%0.53%0.51%
Geometric Mean (annualized)6.11%6.54%6.32%
Volatility (monthly)3.53%2.42%1.56%
Volatility (annualized)12.21%8.39%5.40%
Downside Deviation (monthly)1.91%1.41%0.87%
Max. Drawdown-16.56%-10.11%-5.03%
US Market Correlation-0.54-0.140.72
Beta(*)-0.55-0.100.33
Alpha (annualized)13.89%7.98%1.99%
R229.03%1.94%52.37%
Sharpe Ratio0.540.791.15
Sortino Ratio1.001.362.05
Treynor Ratio (%)-11.99-67.9019.03
Calmar Ratio0.180.310.95
Active Return-7.04%-6.61%-6.84%
Tracking Error21.20%15.53%8.86%
Information Ratio-0.33-0.43-0.77
Skewness0.66-0.05-0.06
Excess Kurtosis0.38-0.360.81
Historical Value-at-Risk (5%)-3.72%-3.14%-2.05%
Analytical Value-at-Risk (5%)-5.24%-3.43%-2.04%
Conditional Value-at-Risk (5%)-5.21%-4.28%-2.75%
Upside Capture Ratio (%)-12.6313.0937.25
Downside Capture Ratio (%)-93.78-28.8030.45
Safe Withdrawal Rate21.68%22.42%22.87%
Perpetual Withdrawal Rate4.14%4.52%4.32%
Positive Periods33 out of 60 (55.00%)34 out of 60 (56.67%)42 out of 60 (70.00%)
Gain/Loss Ratio1.221.350.97
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Vanguard Long-Term Treasury Admiral

Drawdowns for Vanguard Long-Term Treasury Admiral
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.56%
2Feb 2015Jun 20155 months-12.86%
3Oct 2010Jan 20114 monthsAug 20117 months11 months-10.38%
4Feb 2012Mar 20122 monthsMay 20122 months4 months-5.78%
5Oct 2011Oct 20111 monthDec 20112 months3 months-3.33%
6Jun 2012Jun 20121 monthJul 20121 month2 months-1.44%

Drawdowns for Vanguard Long-Term Investment-Grade Adm

Drawdowns for Vanguard Long-Term Investment-Grade Adm
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsMay 20149 months1 year 1 month-10.11%
2Feb 2015Jun 20155 months-10.02%
3Oct 2010Jan 20114 monthsMay 20114 months8 months-5.41%
4Nov 2011Nov 20111 monthDec 20111 month2 months-3.14%
5Nov 2012Jan 20133 monthsApr 20133 months6 months-2.53%
6Sep 2014Sep 20141 monthNov 20142 months3 months-2.52%
7Mar 2012Mar 20121 monthApr 20121 month2 months-2.34%
8Jun 2011Jun 20111 monthJul 20111 month2 months-2.14%
9Aug 2012Sep 20122 monthsOct 20121 month3 months-0.50%
10Jun 2012Jun 20121 monthJul 20121 month2 months-0.07%

Drawdowns for Vanguard High-Yield Corporate Adm

Drawdowns for Vanguard High-Yield Corporate Adm (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2011Sep 20112 monthsOct 20111 month3 months-5.03%
2Jun 2015Sep 20154 months-4.03%
3May 2013Jun 20132 monthsOct 20134 months6 months-3.73%
4Nov 2011Nov 20111 monthDec 20111 month2 months-2.05%
5Sep 2014Sep 20141 monthOct 20141 month2 months-1.83%
6Nov 2010Nov 20101 monthJan 20112 months3 months-1.65%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.16%
8May 2012May 20121 monthJun 20121 month2 months-0.98%
9Jun 2011Jun 20111 monthJul 20111 month2 months-0.95%
10Nov 2014Dec 20142 monthsFeb 20152 months4 months-0.89%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VUSUXVanguard Long-Term Treasury Admiral6.11%12.21%29.41%-12.94%-16.56%0.541.00-0.54
VWETXVanguard Long-Term Investment-Grade Adm6.54%8.39%18.29%-5.77%-10.11%0.791.36-0.14
VWEAXVanguard High-Yield Corporate Adm6.32%5.40%14.47%-0.84%-5.03%1.152.050.72

Monthly Correlations

Correlations for the portfolio assets
TickerNameVUSUXVWETXVWEAXVanguard Long-Term Treasury AdmiralVanguard Long-Term Investment-Grade AdmVanguard High-Yield Corporate Adm
VUSUXVanguard Long-Term Treasury Admiral1.000.81-0.151.000.81-0.15
VWETXVanguard Long-Term Investment-Grade Adm0.811.000.350.811.000.35
VWEAXVanguard High-Yield Corporate Adm-0.150.351.00-0.150.351.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Long-Term Treasury AdmiralVanguard Long-Term Investment-Grade AdmVanguard High-Yield Corporate Adm
VUSUXVanguard Long-Term Treasury Admiral$3,452
VWETXVanguard Long-Term Investment-Grade Adm$3,728
VWEAXVanguard High-Yield Corporate Adm$3,583

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Long-Term Treasury AdmiralVanguard Long-Term Investment-Grade AdmVanguard High-Yield Corporate Adm
VUSUXVanguard Long-Term Treasury Admiral100.00%
VWETXVanguard Long-Term Investment-Grade Adm100.00%
VWEAXVanguard High-Yield Corporate Adm100.00%

Annual Asset Returns