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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Asset 6
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Portfolio Analysis Results (Jan 2002 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VDIGX Vanguard Dividend Growth Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,232 6.21% 14.61%32.18%-37.02%-50.97% 0.400.561.00
Portfolio 2$10,000$27,058 7.37% 12.64%31.53%-25.57%-37.95% 0.530.750.95
   
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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard 500 Index Investor (VFINX)Vanguard Dividend Growth Inv (VDIGX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20022.38%-22.15%-23.16%$7,785$7,6841.29% [$129]3.24% [$324]-22.15%-23.16%
20031.88%28.50%29.20%$10,005$9,9271.77% [$138]2.17% [$167]28.50%29.20%
20043.26%10.74%11.01%$11,079$11,0211.91% [$191]1.98% [$197]10.74%11.01%
20053.42%4.77%4.23%$11,608$11,4871.79% [$198]1.99% [$219]4.77%4.23%
20062.54%15.64%19.58%$13,424$13,7361.87% [$218]2.10% [$242]15.64%19.58%
20074.08%5.39%7.00%$14,147$14,6971.92% [$258]2.62% [$360]5.39%7.00%
20080.09%-37.02%-25.57%$8,910$10,9391.87% [$264]1.74% [$256]-37.02%-25.57%
20092.72%26.49%21.74%$11,269$13,3172.56% [$228]2.65% [$290]26.49%21.74%
20101.50%14.91%11.42%$12,950$14,8391.93% [$217]2.08% [$278]14.91%11.42%
20112.96%1.97%9.43%$13,205$16,2371.95% [$253]2.19% [$325]1.97%9.43%
20121.74%15.82%10.39%$15,294$17,9242.35% [$310]2.40% [$390]15.82%10.39%
20131.50%32.18%31.53%$20,215$23,5742.26% [$346]2.95% [$529]32.18%31.53%
20140.76%13.51%11.85%$22,946$26,3671.95% [$395]3.72% [$877]13.51%11.85%
20150.73%1.25%2.62%$23,232$27,0581.99% [$456]5.62% [$1,482]1.25%2.62%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Dividend Growth Inv (VDIGX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20021-1.47%-3.45%$9,853$9,655-1.47%-3.45%
20022-1.94%-0.09%$9,662$9,646-1.94%-0.09%
200233.74%6.90%$10,024$10,3123.74%6.90%
20024-6.07%-2.55%$9,415$10,049-6.07%-2.55%
20025-0.75%-2.70%$9,344$9,778-0.75%-2.70%
20026-7.13%-4.16%$8,677$9,371-7.13%-4.16%
20027-7.72%-11.88%$8,007$8,257-7.72%-11.88%
200280.65%2.90%$8,059$8,4970.65%2.90%
20029-10.87%-10.38%$7,183$7,615-10.87%-10.38%
2002108.78%3.64%$7,814$7,8928.78%3.64%
2002115.88%2.64%$8,273$8,1015.88%2.64%
200212-5.89%-5.14%$7,785$7,684-5.89%-5.14%
20031-2.62%-3.53%$7,581$7,413-2.62%-3.53%
20032-1.52%-1.53%$7,466$7,299-1.52%-1.53%
200330.96%-0.48%$7,537$7,2640.96%-0.48%
200348.25%7.70%$8,160$7,8248.25%7.70%
200355.26%7.15%$8,589$8,3835.26%7.15%
200361.26%2.07%$8,697$8,5571.26%2.07%
200371.74%0.93%$8,849$8,6361.74%0.93%
200381.93%2.35%$9,020$8,8391.93%2.35%
20039-1.07%-0.90%$8,923$8,760-1.07%-0.90%
2003105.64%4.93%$9,427$9,1925.64%4.93%
2003110.86%1.82%$9,508$9,3590.86%1.82%
2003125.22%6.07%$10,005$9,9275.22%6.07%
200411.82%1.61%$10,187$10,0881.82%1.61%
200421.38%1.77%$10,327$10,2661.38%1.77%
20043-1.51%-1.30%$10,171$10,132-1.51%-1.30%
20044-1.58%-1.23%$10,010$10,007-1.58%-1.23%
200451.36%0.18%$10,146$10,0251.36%0.18%
200461.93%2.39%$10,342$10,2651.93%2.39%
20047-3.31%-2.62%$10,000$9,996-3.31%-2.62%
200480.38%0.63%$10,038$10,0590.38%0.63%
200491.07%1.61%$10,145$10,2201.07%1.61%
2004101.51%0.79%$10,299$10,3011.51%0.79%
2004114.05%3.66%$10,715$10,6784.05%3.66%
2004123.39%3.21%$11,079$11,0213.39%3.21%
20051-2.45%-2.14%$10,807$10,785-2.45%-2.14%
200522.09%2.69%$11,033$11,0752.09%2.69%
20053-1.76%-1.64%$10,839$10,894-1.76%-1.64%
20054-1.91%-0.67%$10,632$10,821-1.91%-0.67%
200553.17%1.68%$10,969$11,0023.17%1.68%
200560.13%-0.91%$10,983$10,9020.13%-0.91%
200573.71%3.11%$11,390$11,2413.71%3.11%
20058-0.91%-0.49%$11,286$11,186-0.91%-0.49%
200590.79%0.66%$11,375$11,2600.79%0.66%
200510-1.68%-1.46%$11,184$11,095-1.68%-1.46%
2005113.76%3.30%$11,605$11,4613.76%3.30%
2005120.02%0.23%$11,608$11,4870.02%0.23%
200612.65%2.66%$11,915$11,7922.65%2.66%
200620.26%1.18%$11,946$11,9310.26%1.18%
200631.23%1.32%$12,093$12,0881.23%1.32%
200641.33%1.07%$12,255$12,2181.33%1.07%
20065-2.90%-2.04%$11,900$11,968-2.90%-2.04%
200660.13%0.10%$11,915$11,9800.13%0.10%
200670.61%2.50%$11,987$12,2790.61%2.50%
200682.36%2.51%$12,270$12,5872.36%2.51%
200692.56%1.78%$12,585$12,8112.56%1.78%
2006103.25%2.92%$12,994$13,1853.25%2.92%
2006111.89%1.63%$13,239$13,4001.89%1.63%
2006121.39%2.51%$13,424$13,7361.39%2.51%
200711.49%1.17%$13,624$13,8961.49%1.17%
20072-1.97%-1.97%$13,356$13,623-1.97%-1.97%
200731.11%0.83%$13,504$13,7361.11%0.83%
200744.42%4.60%$14,101$14,3684.42%4.60%
200753.48%3.48%$14,591$14,8673.48%3.48%
20076-1.68%-1.07%$14,347$14,708-1.68%-1.07%
20077-3.08%-2.59%$13,904$14,328-3.08%-2.59%
200781.50%0.80%$14,112$14,4421.50%0.80%
200793.72%3.49%$14,638$14,9463.72%3.49%
2007101.58%0.70%$14,869$15,0511.58%0.70%
200711-4.19%-1.90%$14,246$14,765-4.19%-1.90%
200712-0.70%-0.46%$14,147$14,697-0.70%-0.46%
20081-6.02%-5.46%$13,296$13,895-6.02%-5.46%
20082-3.25%-1.39%$12,863$13,702-3.25%-1.39%
20083-0.44%0.85%$12,807$13,818-0.44%0.85%
200844.85%3.57%$13,428$14,3114.85%3.57%
200851.29%1.89%$13,602$14,5821.29%1.89%
20086-8.44%-6.43%$12,454$13,644-8.44%-6.43%
20087-0.83%0.43%$12,351$13,703-0.83%0.43%
200881.45%2.21%$12,529$14,0051.45%2.21%
20089-8.91%-5.78%$11,413$13,195-8.91%-5.78%
200810-16.79%-14.79%$9,497$11,243-16.79%-14.79%
200811-7.17%-3.56%$8,815$10,843-7.17%-3.56%
2008121.07%0.88%$8,910$10,9391.07%0.88%
20091-8.41%-5.96%$8,160$10,287-8.41%-5.96%
20092-10.66%-9.21%$7,290$9,340-10.66%-9.21%
200938.76%7.40%$7,929$10,0318.76%7.40%
200949.56%5.81%$8,687$10,6139.56%5.81%
200955.62%5.40%$9,175$11,1865.62%5.40%
200960.22%-0.87%$9,195$11,0890.22%-0.87%
200977.58%5.05%$9,892$11,6497.58%5.05%
200983.60%2.92%$10,248$11,9893.60%2.92%
200993.72%3.42%$10,629$12,3993.72%3.42%
200910-1.87%-0.08%$10,430$12,389-1.87%-0.08%
2009115.98%6.62%$11,054$13,2095.98%6.62%
2009121.95%0.82%$11,269$13,3171.95%0.82%
20101-3.60%-2.66%$10,863$12,963-3.60%-2.66%
201023.09%1.56%$11,199$13,1663.09%1.56%
201036.01%4.38%$11,872$13,7426.01%4.38%
201041.58%1.62%$12,060$13,9651.58%1.62%
20105-8.01%-7.60%$11,094$12,903-8.01%-7.60%
20106-5.24%-3.94%$10,513$12,394-5.24%-3.94%
201077.00%6.10%$11,249$13,1517.00%6.10%
20108-4.53%-3.26%$10,739$12,721-4.53%-3.26%
201098.92%7.95%$11,697$13,7338.92%7.95%
2010103.79%2.75%$12,140$14,1113.79%2.75%
2010110.00%-0.51%$12,140$14,0400.00%-0.51%
2010126.67%5.69%$12,950$14,8396.67%5.69%
201112.36%2.09%$13,255$15,1482.36%2.09%
201123.42%2.32%$13,708$15,4993.42%2.32%
201130.03%0.40%$13,712$15,5610.03%0.40%
201142.95%3.65%$14,116$16,1282.95%3.65%
20115-1.15%0.19%$13,954$16,159-1.15%0.19%
20116-1.67%-0.66%$13,721$16,052-1.67%-0.66%
20117-2.05%-3.05%$13,440$15,562-2.05%-3.05%
20118-5.45%-2.55%$12,708$15,166-5.45%-2.55%
20119-7.04%-4.33%$11,813$14,510-7.04%-4.33%
20111010.91%8.55%$13,102$15,75010.91%8.55%
201111-0.23%1.26%$13,071$15,948-0.23%1.26%
2011121.02%1.81%$13,205$16,2371.02%1.81%
201214.46%2.53%$13,794$16,6484.46%2.53%
201224.31%2.66%$14,388$17,0904.31%2.66%
201233.28%2.28%$14,860$17,4803.28%2.28%
20124-0.64%0.00%$14,765$17,480-0.64%0.00%
20125-6.02%-5.12%$13,877$16,585-6.02%-5.12%
201264.11%4.08%$14,447$17,2614.11%4.08%
201271.37%0.99%$14,645$17,4311.37%0.99%
201282.24%1.53%$14,973$17,6982.24%1.53%
201292.58%1.68%$15,359$17,9962.58%1.68%
201210-1.86%-1.18%$15,073$17,783-1.86%-1.18%
2012110.56%0.24%$15,157$17,8250.56%0.24%
2012120.90%0.55%$15,294$17,9240.90%0.55%
201315.18%5.29%$16,086$18,8725.18%5.29%
201321.34%1.60%$16,301$19,1731.34%1.60%
201333.74%3.76%$16,911$19,8953.74%3.76%
201341.91%3.09%$17,233$20,5091.91%3.09%
201352.33%1.26%$17,634$20,7672.33%1.26%
20136-1.35%-0.56%$17,396$20,652-1.35%-0.56%
201375.07%4.16%$18,279$21,5115.07%4.16%
20138-2.91%-2.63%$17,746$20,946-2.91%-2.63%
201393.12%3.12%$18,300$21,5983.12%3.12%
2013104.59%3.68%$19,140$22,3924.59%3.68%
2013113.03%3.30%$19,719$23,1323.03%3.30%
2013122.51%1.91%$20,215$23,5742.51%1.91%
20141-3.47%-4.26%$19,514$22,570-3.47%-4.26%
201424.56%4.74%$20,404$23,6404.56%4.74%
201430.82%1.60%$20,572$24,0180.82%1.60%
201440.72%0.41%$20,721$24,1170.72%0.41%
201452.33%1.24%$21,205$24,4162.33%1.24%
201462.05%0.99%$21,640$24,6572.05%0.99%
20147-1.39%-1.86%$21,339$24,200-1.39%-1.86%
201483.98%3.78%$22,189$25,1153.98%3.78%
20149-1.41%-0.49%$21,876$24,992-1.41%-0.49%
2014102.42%2.77%$22,406$25,6842.42%2.77%
2014112.68%2.82%$23,007$26,4102.68%2.82%
201412-0.26%-0.16%$22,946$26,367-0.26%-0.16%
20151-3.02%-2.69%$22,253$25,659-3.02%-2.69%
201525.74%4.94%$23,531$26,9265.74%4.94%
20153-1.59%-1.24%$23,156$26,593-1.59%-1.24%
201540.95%-0.04%$23,375$26,5810.95%-0.04%
201551.27%0.83%$23,673$26,8011.27%0.83%
20156-1.93%-2.31%$23,215$26,183-1.93%-2.31%
201572.08%3.58%$23,698$27,1192.08%3.58%
20158-6.04%-6.04%$22,266$25,480-6.04%-6.04%
20159-2.49%-0.60%$21,712$25,328-2.49%-0.60%
2015108.42%7.58%$23,541$27,2488.42%7.58%
2015110.29%0.39%$23,608$27,3530.29%0.39%
201512-1.59%-1.08%$23,232$27,058-1.59%-1.08%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value47.54%32.71%
Large-cap Growth52.01%50.06%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.07%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%3.06%
Intermediate-Term Treasuries0.39%4.35%
Short-Term Treasuries0.00%9.82%
R Squared99.90%94.84%
Style analysis is based on monthly returns from Apr 2005 to Dec 2015 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$13,232100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VDIGXVanguard Dividend Growth InvLarge Blend100.00%$17,058100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/06/2018. © 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)0.59%0.66%
Arithmetic Mean (annualized)7.35%8.23%
Geometric Mean (monthly)0.50%0.59%
Geometric Mean (annualized)6.21%7.37%
Volatility (monthly)4.22%3.65%
Volatility (annualized)14.61%12.64%
Downside Deviation (monthly)2.94%2.52%
Max. Drawdown-50.97%-37.95%
US Market Correlation1.000.95
Beta(*)0.970.80
Alpha (annualized)-0.44%1.71%
R299.18%90.04%
Sharpe Ratio0.400.53
Sortino Ratio0.560.75
Treynor Ratio (%)6.008.30
Information Ratio-0.470.03
Diversification Ratio1.001.00
Skewness-0.68-0.90
Excess Kurtosis1.582.31
Historical Value-at-Risk (5%)-7.47%-5.88%
Analytical Value-at-Risk (5%)-6.34%-5.34%
Conditional Value-at-Risk (5%)-9.98%-9.04%
Upside Capture Ratio (%)95.0482.45
Downside Capture Ratio (%)97.6677.01
Positive Periods106 out of 168 (63.10%)106 out of 168 (63.10%)
Gain/Loss Ratio0.830.93
* 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 PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-50.97%-37.95%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Apr 2002Sep 20026 monthsJan 20041 year 4 months1 year 10 months-28.34%
3Aug 2015Sep 20152 months-8.38%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
5Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
7Jan 2002Feb 20022 monthsMar 20021 month3 months-3.38%
8Jul 2004Jul 20041 monthNov 20044 months5 months-3.31%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
10Mar 2004Apr 20042 monthsJun 20042 months4 months-3.07%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-37.95%
2Apr 2002Mar 20031 yearNov 20041 year 8 months2 years 8 months-29.55%
3Jun 2011Sep 20114 monthsDec 20113 months7 months-10.21%
4Aug 2015Sep 20152 monthsOct 20151 month3 months-6.60%
5May 2012May 20121 monthAug 20123 months4 months-5.12%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-4.26%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-3.63%
8Jan 2002Feb 20022 monthsMar 20021 month3 months-3.54%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.84%
10Mar 2015Jun 20154 monthsJul 20151 month5 months-2.76%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor6.21%14.61%32.18%-37.02%-50.97%0.400.561.00
VDIGXVanguard Dividend Growth Inv7.37%12.64%31.53%-25.57%-37.95%0.530.750.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVDIGXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor-0.951.000.95
VDIGXVanguard Dividend Growth Inv0.95-0.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$13,232
VDIGXVanguard Dividend Growth Inv$17,058

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor100.00%
VDIGXVanguard Dividend Growth Inv100.00%

Annual Asset Returns