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

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$14,143 12.25% 11.76%20.05%4.14%-11.33% 1.041.820.99
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 t-bills)
  • 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 dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationVanguard Balanced Index Inv (VBINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)PF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End Balance
20092.72%20.05%28.70%5.93%20.05%16.87%$12,00519.59%16.42%$11,959
20101.50%13.13%17.09%6.42%13.13%11.46%$13,58112.82%11.16%$13,493
20112.96%4.14%0.96%7.56%4.14%1.14%$14,1433.60%0.62%$13,979
Monthly returns for the configured portfolios
YearMonthVanguard Balanced Index Inv (VBINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
20091-5.18%-8.26%-0.70%-5.18%$9,482-5.23%$9,477
20092-6.48%-10.45%-0.42%-6.48%$8,867-6.25%$8,885
200936.10%8.65%1.48%6.10%$9,4085.46%$9,370
200946.40%10.61%0.36%6.40%$10,0106.22%$9,952
200953.58%5.38%0.85%3.58%$10,3683.55%$10,305
200960.50%0.34%0.54%0.50%$10,4200.42%$10,348
200975.28%7.82%1.43%5.28%$10,9715.30%$10,897
200982.62%3.63%1.01%2.62%$11,2582.63%$11,184
200992.98%4.23%1.19%2.98%$11,5933.09%$11,529
200910-1.33%-2.57%0.41%-1.33%$11,439-1.47%$11,359
2009113.88%5.63%1.36%3.88%$11,8834.03%$11,817
2009121.03%2.86%-1.68%1.03%$12,0051.20%$11,959
20101-1.50%-3.50%1.57%-1.50%$11,825-1.47%$11,783
201022.10%3.36%0.20%2.10%$12,0732.06%$12,026
201033.74%6.27%-0.08%3.74%$12,5253.70%$12,471
201041.74%2.17%1.06%1.74%$12,7431.74%$12,687
20105-4.45%-8.00%0.87%-4.45%$12,176-4.56%$12,109
20106-2.75%-5.66%1.61%-2.75%$11,841-2.68%$11,784
201074.50%6.99%0.94%4.50%$12,3744.40%$12,303
20108-2.33%-4.75%1.48%-2.33%$12,085-2.17%$12,035
201095.59%9.47%-0.01%5.59%$12,7615.40%$12,686
2010102.52%3.94%0.36%2.52%$13,0832.49%$13,001
2010110.14%0.58%-0.57%0.14%$13,1020.12%$13,016
2010123.66%6.81%-1.15%3.66%$13,5813.66%$13,493
201111.36%2.19%0.08%1.36%$13,7651.34%$13,674
201122.26%3.60%0.16%2.26%$14,0772.24%$13,981
201130.23%0.45%-0.01%0.23%$14,1090.27%$14,019
201142.35%2.99%1.32%2.35%$14,4412.34%$14,348
20115-0.18%-1.16%1.30%-0.18%$14,416-0.22%$14,316
20116-1.21%-1.79%-0.39%-1.21%$14,241-1.24%$14,138
20117-0.72%-2.28%1.58%-0.72%$14,138-0.77%$14,029
20118-2.81%-5.99%1.46%-2.81%$13,740-3.01%$13,607
20119-4.39%-7.75%0.89%-4.39%$13,137-4.13%$13,045
2011106.98%11.51%0.16%6.98%$14,0536.50%$13,893
201111-0.28%-0.29%-0.30%-0.28%$14,015-0.29%$13,852
2011120.92%0.80%1.08%0.92%$14,1430.91%$13,979

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VBINXVanguard Balanced Index InvAllocation--50% to 70% Equity100.00%$4,143100.00%Asset Allocation, Capitalization, Sector, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Exposures for Portfolio 2

Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%$3,02699.72%Asset Allocation, Capitalization, Sector
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond40.00%$9520.28%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/03/2017. © 2017 Morningstar. All Rights Reserved. The 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
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)1.02%0.99%
Mean Return (annualized)13.00%12.52%
Compound Return (monthly)0.97%0.93%
Compound Return (annualized)12.25%11.81%
Volatility (monthly)3.35%3.27%
Volatility (annualized)11.76%11.49%
Downside Deviation (monthly)1.94%1.91%
Max. Drawdown-11.33%-11.15%
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
Diversification Ratio1.001.13
Skewness-0.29-0.34
Excess Kurtosis-0.47-0.55
Historical Value-at-Risk (95%)-5.38%-5.38%
Delta Normal Value-at-Risk (95%)-5.50%-5.50%
Conditional Value-at-Risk (95%)-6.48%-6.25%
Positive Periods23 out of 36 (63.89%)23 out of 36 (63.89%)
Gain/Loss Ratio1.181.17

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jan 2009Feb 20092 monthsApr 20094 months-11.33%
2May 2011Sep 20115 months-9.03%
3May 2010Jun 20102 monthsSep 20105 months-7.08%
4Jan 2010Jan 20101 monthFeb 20102 months-1.50%
5Oct 2009Oct 20091 monthNov 20092 months-1.33%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jan 2009Feb 20092 monthsMay 20095 months-11.15%
2May 2011Sep 20115 months-9.08%
3May 2010Jun 20102 monthsOct 20106 months-7.12%
4Oct 2009Oct 20091 monthNov 20092 months-1.47%
5Jan 2010Jan 20101 monthFeb 20102 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
TickerNameVBINXVTSMXVBMFXPF #1PF #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
TickerNamePF #1PF #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
TickerNamePF #1PF #2
VBINXVanguard Balanced Index Inv100.00%
VTSMXVanguard Total Stock Mkt Idx Inv99.72%
VBMFXVanguard Total Bond Market Index Inv0.28%

Annual Asset Returns