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 2009 - Dec 2011)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBINX Vanguard Balanced Index Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,143 12.25% 11.76%20.05%4.14%-11.33% 1.041.820.99
Portfolio 2$10,000$13,979 11.81% 11.49%19.59%3.60%-11.15% 1.031.770.99
   
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.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Balanced Index Inv (VBINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20092.72%20.05%19.59%$12,005$11,95920.05%28.70%5.93%
20101.50%13.13%12.82%$13,581$13,49313.13%17.09%6.42%
20112.96%4.14%3.60%$14,143$13,9794.14%0.96%7.56%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Balanced Index Inv (VBINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20091-5.18%-5.23%$9,482$9,477-5.18%-8.26%-0.70%
20092-6.48%-6.25%$8,867$8,885-6.48%-10.45%-0.42%
200936.10%5.46%$9,408$9,3706.10%8.65%1.48%
200946.40%6.22%$10,010$9,9526.40%10.61%0.36%
200953.58%3.55%$10,368$10,3053.58%5.38%0.85%
200960.50%0.42%$10,420$10,3480.50%0.34%0.54%
200975.28%5.30%$10,971$10,8975.28%7.82%1.43%
200982.62%2.63%$11,258$11,1842.62%3.63%1.01%
200992.98%3.09%$11,593$11,5292.98%4.23%1.19%
200910-1.33%-1.47%$11,439$11,359-1.33%-2.57%0.41%
2009113.88%4.03%$11,883$11,8173.88%5.63%1.36%
2009121.03%1.20%$12,005$11,9591.03%2.86%-1.68%
20101-1.50%-1.47%$11,825$11,783-1.50%-3.50%1.57%
201022.10%2.06%$12,073$12,0262.10%3.36%0.20%
201033.74%3.70%$12,525$12,4713.74%6.27%-0.08%
201041.74%1.74%$12,743$12,6871.74%2.17%1.06%
20105-4.45%-4.56%$12,176$12,109-4.45%-8.00%0.87%
20106-2.75%-2.68%$11,841$11,784-2.75%-5.66%1.61%
201074.50%4.40%$12,374$12,3034.50%6.99%0.94%
20108-2.33%-2.17%$12,085$12,035-2.33%-4.75%1.48%
201095.59%5.40%$12,761$12,6865.59%9.47%-0.01%
2010102.52%2.49%$13,083$13,0012.52%3.94%0.36%
2010110.14%0.12%$13,102$13,0160.14%0.58%-0.57%
2010123.66%3.66%$13,581$13,4933.66%6.81%-1.15%
201111.36%1.34%$13,765$13,6741.36%2.19%0.08%
201122.26%2.24%$14,077$13,9812.26%3.60%0.16%
201130.23%0.27%$14,109$14,0190.23%0.45%-0.01%
201142.35%2.34%$14,441$14,3482.35%2.99%1.32%
20115-0.18%-0.22%$14,416$14,316-0.18%-1.16%1.30%
20116-1.21%-1.24%$14,241$14,138-1.21%-1.79%-0.39%
20117-0.72%-0.77%$14,138$14,029-0.72%-2.28%1.58%
20118-2.81%-3.01%$13,740$13,607-2.81%-5.99%1.46%
20119-4.39%-4.13%$13,137$13,045-4.39%-7.75%0.89%
2011106.98%6.50%$14,053$13,8936.98%11.51%0.16%
201111-0.28%-0.29%$14,015$13,852-0.28%-0.29%-0.30%
2011120.92%0.91%$14,143$13,9790.92%0.80%1.08%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value22.05%21.51%
Large-cap Growth26.66%26.08%
Mid-cap Value2.55%3.48%
Mid-cap Growth8.53%8.04%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets1.07%1.25%
Corporate Bonds7.20%8.14%
Long-Term Treasuries0.00%0.34%
Intermediate-Term Treasuries10.50%8.49%
Short-Term Treasuries21.45%22.67%
R Squared99.77%99.85%
Style analysis is based on monthly returns from Jan 2009 to Dec 2011 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBINXVanguard Balanced Index Inv50% to 70% Equity6.240.19%100.00%$4,143100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$3,02699.72%
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond6.240.15%40.00%$9520.28%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 2018 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 2
Arithmetic Mean (monthly)1.02%0.99%
Arithmetic Mean (annualized)13.00%12.52%
Geometric Mean (monthly)0.97%0.93%
Geometric Mean (annualized)12.25%11.81%
Volatility (monthly)3.39%3.32%
Volatility (annualized)11.76%11.49%
Downside Deviation (monthly)1.94%1.91%
Max. Drawdown-11.33%-11.15%
US Market Correlation0.990.99
Beta(*)0.600.58
Alpha (annualized)2.78%2.57%
R298.90%98.93%
Sharpe Ratio1.041.03
Sortino Ratio1.821.77
Treynor Ratio (%)20.4720.22
Calmar Ratio1.081.06
Information Ratio-0.46-0.49
Diversification Ratio1.001.13
Skewness-0.29-0.34
Excess Kurtosis-0.47-0.55
Historical Value-at-Risk (5%)-5.38%-5.38%
Analytical Value-at-Risk (5%)-4.56%-4.48%
Conditional Value-at-Risk (5%)-6.48%-6.25%
Upside Capture Ratio (%)60.5759.30
Downside Capture Ratio (%)55.7555.55
Sustainable Withdrawal Rate41.98%41.68%
Positive Periods23 out of 36 (63.89%)23 out of 36 (63.89%)
Gain/Loss Ratio1.181.17
* 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
1Jan 2009Feb 20092 monthsApr 20092 months4 months-11.33%
2May 2011Sep 20115 months-9.03%
3May 2010Jun 20102 monthsSep 20103 months5 months-7.08%
4Jan 2010Jan 20101 monthFeb 20101 month2 months-1.50%
5Oct 2009Oct 20091 monthNov 20091 month2 months-1.33%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-11.15%
2May 2011Sep 20115 months-9.08%
3May 2010Jun 20102 monthsOct 20104 months6 months-7.12%
4Oct 2009Oct 20091 monthNov 20091 month2 months-1.47%
5Jan 2010Jan 20101 monthFeb 20101 month2 months-1.47%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBINXVanguard Balanced Index Inv12.25%11.76%20.05%4.14%-11.33%1.041.820.99
VTSMXVanguard Total Stock Mkt Idx Inv15.01%19.61%28.70%0.96%-17.84%0.811.341.00
VBMFXVanguard Total Bond Market Index Inv6.64%2.92%7.56%5.93%-1.71%2.194.76-0.07

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBINXVTSMXVBMFXPortfolio 1Portfolio 2
VBINXVanguard Balanced Index Inv-0.990.031.001.00
VTSMXVanguard Total Stock Mkt Idx Inv0.99--0.070.990.99
VBMFXVanguard Total Bond Market Index Inv0.03-0.07-0.030.03

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBINXVanguard Balanced Index Inv$4,143
VTSMXVanguard Total Stock Mkt Idx Inv$3,026
VBMFXVanguard Total Bond Market Index Inv$952

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBINXVanguard Balanced Index Inv100.00%
VTSMXVanguard Total Stock Mkt Idx Inv99.72%
VBMFXVanguard Total Bond Market Index Inv0.28%

Annual Asset Returns