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.

$ .00
$ .00
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2002 - Dec 2015)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$23,232 6.21% 14.61%32.18%-37.02%-50.97% 0.400.561.00
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 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
  • 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
YearInflationVanguard 500 Index Investor (VFINX)Vanguard Dividend Growth Inv (VDIGX)PF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 IncomePF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 IncomePF #2 Year End Balance
20022.38%-22.15%-23.16%-22.15%-23.95%1.29% [$129]$7,785-23.16%-24.94%3.24% [$324]$7,684
20031.88%28.50%29.20%28.50%26.13%1.77% [$138]$10,00529.20%26.81%2.17% [$167]$9,927
20043.26%10.74%11.01%10.74%7.25%1.91% [$191]$11,07911.01%7.51%1.98% [$197]$11,021
20053.42%4.77%4.23%4.77%1.31%1.79% [$198]$11,6084.23%0.79%1.99% [$219]$11,487
20062.54%15.64%19.58%15.64%12.78%1.87% [$218]$13,42419.58%16.61%2.10% [$242]$13,736
20074.08%5.39%7.00%5.39%1.25%1.92% [$258]$14,1477.00%2.80%2.62% [$360]$14,697
20080.09%-37.02%-25.57%-37.02%-37.08%1.87% [$264]$8,910-25.57%-25.64%1.74% [$256]$10,939
20092.72%26.49%21.74%26.49%23.13%2.56% [$228]$11,26921.74%18.52%2.65% [$290]$13,317
20101.50%14.91%11.42%14.91%13.22%1.93% [$217]$12,95011.42%9.78%2.08% [$278]$14,839
20112.96%1.97%9.43%1.97%-0.97%1.95% [$253]$13,2059.43%6.28%2.19% [$325]$16,237
20121.74%15.82%10.39%15.82%13.84%2.35% [$310]$15,29410.39%8.50%2.40% [$390]$17,924
20131.50%32.18%31.53%32.18%30.22%2.26% [$346]$20,21531.53%29.58%2.95% [$529]$23,574
20140.76%13.51%11.85%13.51%12.66%1.95% [$395]$22,94611.85%11.01%3.72% [$877]$26,367
20150.73%1.25%2.62%1.25%0.52%1.99% [$456]$23,2322.62%1.88%5.62% [$1,482]$27,058
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)Vanguard Dividend Growth Inv (VDIGX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
20021-1.47%-3.45%-1.47%$9,853-3.45%$9,655
20022-1.94%-0.09%-1.94%$9,662-0.09%$9,646
200233.74%6.90%3.74%$10,0246.90%$10,312
20024-6.07%-2.55%-6.07%$9,415-2.55%$10,049
20025-0.75%-2.70%-0.75%$9,344-2.70%$9,778
20026-7.13%-4.16%-7.13%$8,677-4.16%$9,371
20027-7.72%-11.88%-7.72%$8,007-11.88%$8,257
200280.65%2.90%0.65%$8,0592.90%$8,497
20029-10.87%-10.38%-10.87%$7,183-10.38%$7,615
2002108.78%3.64%8.78%$7,8143.64%$7,892
2002115.88%2.64%5.88%$8,2732.64%$8,101
200212-5.89%-5.14%-5.89%$7,785-5.14%$7,684
20031-2.62%-3.53%-2.62%$7,581-3.53%$7,413
20032-1.52%-1.53%-1.52%$7,466-1.53%$7,299
200330.96%-0.48%0.96%$7,537-0.48%$7,264
200348.25%7.70%8.25%$8,1607.70%$7,824
200355.26%7.15%5.26%$8,5897.15%$8,383
200361.26%2.07%1.26%$8,6972.07%$8,557
200371.74%0.93%1.74%$8,8490.93%$8,636
200381.93%2.35%1.93%$9,0202.35%$8,839
20039-1.07%-0.90%-1.07%$8,923-0.90%$8,760
2003105.64%4.93%5.64%$9,4274.93%$9,192
2003110.86%1.82%0.86%$9,5081.82%$9,359
2003125.22%6.07%5.22%$10,0056.07%$9,927
200411.82%1.61%1.82%$10,1871.61%$10,088
200421.38%1.77%1.38%$10,3271.77%$10,266
20043-1.51%-1.30%-1.51%$10,171-1.30%$10,132
20044-1.58%-1.23%-1.58%$10,010-1.23%$10,007
200451.36%0.18%1.36%$10,1460.18%$10,025
200461.93%2.39%1.93%$10,3422.39%$10,265
20047-3.31%-2.62%-3.31%$10,000-2.62%$9,996
200480.38%0.63%0.38%$10,0380.63%$10,059
200491.07%1.61%1.07%$10,1451.61%$10,220
2004101.51%0.79%1.51%$10,2990.79%$10,301
2004114.05%3.66%4.05%$10,7153.66%$10,678
2004123.39%3.21%3.39%$11,0793.21%$11,021
20051-2.45%-2.14%-2.45%$10,807-2.14%$10,785
200522.09%2.69%2.09%$11,0332.69%$11,075
20053-1.76%-1.64%-1.76%$10,839-1.64%$10,894
20054-1.91%-0.67%-1.91%$10,632-0.67%$10,821
200553.17%1.68%3.17%$10,9691.68%$11,002
200560.13%-0.91%0.13%$10,983-0.91%$10,902
200573.71%3.11%3.71%$11,3903.11%$11,241
20058-0.91%-0.49%-0.91%$11,286-0.49%$11,186
200590.79%0.66%0.79%$11,3750.66%$11,260
200510-1.68%-1.46%-1.68%$11,184-1.46%$11,095
2005113.76%3.30%3.76%$11,6053.30%$11,461
2005120.02%0.23%0.02%$11,6080.23%$11,487
200612.65%2.66%2.65%$11,9152.66%$11,792
200620.26%1.18%0.26%$11,9461.18%$11,931
200631.23%1.32%1.23%$12,0931.32%$12,088
200641.33%1.07%1.33%$12,2551.07%$12,218
20065-2.90%-2.04%-2.90%$11,900-2.04%$11,968
200660.13%0.10%0.13%$11,9150.10%$11,980
200670.61%2.50%0.61%$11,9872.50%$12,279
200682.36%2.51%2.36%$12,2702.51%$12,587
200692.56%1.78%2.56%$12,5851.78%$12,811
2006103.25%2.92%3.25%$12,9942.92%$13,185
2006111.89%1.63%1.89%$13,2391.63%$13,400
2006121.39%2.51%1.39%$13,4242.51%$13,736
200711.49%1.17%1.49%$13,6241.17%$13,896
20072-1.97%-1.97%-1.97%$13,356-1.97%$13,623
200731.11%0.83%1.11%$13,5040.83%$13,736
200744.42%4.60%4.42%$14,1014.60%$14,368
200753.48%3.48%3.48%$14,5913.48%$14,867
20076-1.68%-1.07%-1.68%$14,347-1.07%$14,708
20077-3.08%-2.59%-3.08%$13,904-2.59%$14,328
200781.50%0.80%1.50%$14,1120.80%$14,442
200793.72%3.49%3.72%$14,6383.49%$14,946
2007101.58%0.70%1.58%$14,8690.70%$15,051
200711-4.19%-1.90%-4.19%$14,246-1.90%$14,765
200712-0.70%-0.46%-0.70%$14,147-0.46%$14,697
20081-6.02%-5.46%-6.02%$13,296-5.46%$13,895
20082-3.25%-1.39%-3.25%$12,863-1.39%$13,702
20083-0.44%0.85%-0.44%$12,8070.85%$13,818
200844.85%3.57%4.85%$13,4283.57%$14,311
200851.29%1.89%1.29%$13,6021.89%$14,582
20086-8.44%-6.43%-8.44%$12,454-6.43%$13,644
20087-0.83%0.43%-0.83%$12,3510.43%$13,703
200881.45%2.21%1.45%$12,5292.21%$14,005
20089-8.91%-5.78%-8.91%$11,413-5.78%$13,195
200810-16.79%-14.79%-16.79%$9,497-14.79%$11,243
200811-7.17%-3.56%-7.17%$8,815-3.56%$10,843
2008121.07%0.88%1.07%$8,9100.88%$10,939
20091-8.41%-5.96%-8.41%$8,160-5.96%$10,287
20092-10.66%-9.21%-10.66%$7,290-9.21%$9,340
200938.76%7.40%8.76%$7,9297.40%$10,031
200949.56%5.81%9.56%$8,6875.81%$10,613
200955.62%5.40%5.62%$9,1755.40%$11,186
200960.22%-0.87%0.22%$9,195-0.87%$11,089
200977.58%5.05%7.58%$9,8925.05%$11,649
200983.60%2.92%3.60%$10,2482.92%$11,989
200993.72%3.42%3.72%$10,6293.42%$12,399
200910-1.87%-0.08%-1.87%$10,430-0.08%$12,389
2009115.98%6.62%5.98%$11,0546.62%$13,209
2009121.95%0.82%1.95%$11,2690.82%$13,317
20101-3.60%-2.66%-3.60%$10,863-2.66%$12,963
201023.09%1.56%3.09%$11,1991.56%$13,166
201036.01%4.38%6.01%$11,8724.38%$13,742
201041.58%1.62%1.58%$12,0601.62%$13,965
20105-8.01%-7.60%-8.01%$11,094-7.60%$12,903
20106-5.24%-3.94%-5.24%$10,513-3.94%$12,394
201077.00%6.10%7.00%$11,2496.10%$13,151
20108-4.53%-3.26%-4.53%$10,739-3.26%$12,721
201098.92%7.95%8.92%$11,6977.95%$13,733
2010103.79%2.75%3.79%$12,1402.75%$14,111
2010110.00%-0.51%0.00%$12,140-0.51%$14,040
2010126.67%5.69%6.67%$12,9505.69%$14,839
201112.36%2.09%2.36%$13,2552.09%$15,148
201123.42%2.32%3.42%$13,7082.32%$15,499
201130.03%0.40%0.03%$13,7120.40%$15,561
201142.95%3.65%2.95%$14,1163.65%$16,128
20115-1.15%0.19%-1.15%$13,9540.19%$16,159
20116-1.67%-0.66%-1.67%$13,721-0.66%$16,052
20117-2.05%-3.05%-2.05%$13,440-3.05%$15,562
20118-5.45%-2.55%-5.45%$12,708-2.55%$15,166
20119-7.04%-4.33%-7.04%$11,813-4.33%$14,510
20111010.91%8.55%10.91%$13,1028.55%$15,750
201111-0.23%1.26%-0.23%$13,0711.26%$15,948
2011121.02%1.81%1.02%$13,2051.81%$16,237
201214.46%2.53%4.46%$13,7942.53%$16,648
201224.31%2.66%4.31%$14,3882.66%$17,090
201233.28%2.28%3.28%$14,8602.28%$17,480
20124-0.64%0.00%-0.64%$14,7650.00%$17,480
20125-6.02%-5.12%-6.02%$13,877-5.12%$16,585
201264.11%4.08%4.11%$14,4474.08%$17,261
201271.37%0.99%1.37%$14,6450.99%$17,431
201282.24%1.53%2.24%$14,9731.53%$17,698
201292.58%1.68%2.58%$15,3591.68%$17,996
201210-1.86%-1.18%-1.86%$15,073-1.18%$17,783
2012110.56%0.24%0.56%$15,1570.24%$17,825
2012120.90%0.55%0.90%$15,2940.55%$17,924
201315.18%5.29%5.18%$16,0865.29%$18,872
201321.34%1.60%1.34%$16,3011.60%$19,173
201333.74%3.76%3.74%$16,9113.76%$19,895
201341.91%3.09%1.91%$17,2333.09%$20,509
201352.33%1.26%2.33%$17,6341.26%$20,767
20136-1.35%-0.56%-1.35%$17,396-0.56%$20,652
201375.07%4.16%5.07%$18,2794.16%$21,511
20138-2.91%-2.63%-2.91%$17,746-2.63%$20,946
201393.12%3.12%3.12%$18,3003.12%$21,598
2013104.59%3.68%4.59%$19,1403.68%$22,392
2013113.03%3.30%3.03%$19,7193.30%$23,132
2013122.51%1.91%2.51%$20,2151.91%$23,574
20141-3.47%-4.26%-3.47%$19,514-4.26%$22,570
201424.56%4.74%4.56%$20,4044.74%$23,640
201430.82%1.60%0.82%$20,5721.60%$24,018
201440.72%0.41%0.72%$20,7210.41%$24,117
201452.33%1.24%2.33%$21,2051.24%$24,416
201462.05%0.99%2.05%$21,6400.99%$24,657
20147-1.39%-1.86%-1.39%$21,339-1.86%$24,200
201483.98%3.78%3.98%$22,1893.78%$25,115
20149-1.41%-0.49%-1.41%$21,876-0.49%$24,992
2014102.42%2.77%2.42%$22,4062.77%$25,684
2014112.68%2.82%2.68%$23,0072.82%$26,410
201412-0.26%-0.16%-0.26%$22,946-0.16%$26,367
20151-3.02%-2.69%-3.02%$22,253-2.69%$25,659
201525.74%4.94%5.74%$23,5314.94%$26,926
20153-1.59%-1.24%-1.59%$23,156-1.24%$26,593
201540.95%-0.04%0.95%$23,375-0.04%$26,581
201551.27%0.83%1.27%$23,6730.83%$26,801
20156-1.93%-2.31%-1.93%$23,215-2.31%$26,183
201572.08%3.58%2.08%$23,6983.58%$27,119
20158-6.04%-6.04%-6.04%$22,266-6.04%$25,480
20159-2.49%-0.60%-2.49%$21,712-0.60%$25,328
2015108.42%7.58%8.42%$23,5417.58%$27,248
2015110.29%0.39%0.29%$23,6080.39%$27,353
201512-1.59%-1.08%-1.59%$23,232-1.08%$27,058

Exposures for Portfolio 1

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

Exposures for Portfolio 2

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 12/05/2017. © 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)0.59%0.66%
Mean Return (annualized)7.35%8.23%
Compound Return (monthly)0.50%0.59%
Compound Return (annualized)6.21%7.37%
Volatility (monthly)4.20%3.64%
Volatility (annualized)14.61%12.64%
Downside Deviation (monthly)2.94%2.52%
Max. Drawdown-50.97%-37.95%
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
Diversification Ratio1.001.00
Skewness-0.68-0.90
Excess Kurtosis1.582.31
Historical Value-at-Risk (95%)-7.47%-5.88%
Delta Normal Value-at-Risk (95%)-6.92%-5.98%
Conditional Value-at-Risk (95%)-9.98%-9.04%
Positive Periods106 out of 168 (63.10%)106 out of 168 (63.10%)
Gain/Loss Ratio0.830.93

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
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20124 years 10 months-50.97%
2Apr 2002Sep 20026 monthsJan 20041 year 10 months-28.34%
3Aug 2015Sep 20152 months-8.38%
4Jun 2007Jul 20072 monthsSep 20074 months-4.71%
5Jan 2005Apr 20054 monthsJul 20057 months-4.04%
6Jan 2014Jan 20141 monthFeb 20142 months-3.47%
7Jan 2002Feb 20022 monthsMar 20023 months-3.38%
8Jul 2004Jul 20041 monthNov 20045 months-3.31%
9Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
10Mar 2004Apr 20042 monthsJun 20044 months-3.07%
11Aug 2013Aug 20131 monthSep 20132 months-2.91%
12May 2006May 20061 monthAug 20064 months-2.90%
13Feb 2007Feb 20071 monthApr 20073 months-1.97%
14Jun 2015Jun 20151 monthJul 20152 months-1.93%
15Oct 2012Oct 20121 monthJan 20134 months-1.86%
16Aug 2005Oct 20053 monthsNov 20054 months-1.80%
17Mar 2015Mar 20151 monthMay 20153 months-1.59%
18Sep 2014Sep 20141 monthOct 20142 months-1.41%
19Jul 2014Jul 20141 monthAug 20142 months-1.39%
20Jun 2013Jun 20131 monthJul 20132 months-1.35%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20113 years 3 months-37.95%
2Apr 2002Mar 20031 yearNov 20042 years 8 months-29.55%
3Jun 2011Sep 20114 monthsDec 20117 months-10.21%
4Aug 2015Sep 20152 monthsOct 20153 months-6.60%
5May 2012May 20121 monthAug 20124 months-5.12%
6Jan 2014Jan 20141 monthFeb 20142 months-4.26%
7Jun 2007Jul 20072 monthsSep 20074 months-3.63%
8Jan 2002Feb 20022 monthsMar 20023 months-3.54%
9Dec 2014Jan 20152 monthsFeb 20153 months-2.84%
10Mar 2015Jun 20154 monthsJul 20155 months-2.76%
11Aug 2013Aug 20131 monthSep 20132 months-2.63%
12Mar 2005Apr 20052 monthsJul 20055 months-2.29%
13Jan 2005Jan 20051 monthFeb 20052 months-2.14%
14May 2006May 20061 monthJul 20063 months-2.04%
15Feb 2007Feb 20071 monthApr 20073 months-1.97%
16Jul 2014Jul 20141 monthAug 20142 months-1.86%
17Oct 2005Oct 20051 monthNov 20052 months-1.46%
18Oct 2012Oct 20121 monthJan 20134 months-1.18%
19Dec 2015Dec 20151 month-1.08%
20Jun 2013Jun 20131 monthJul 20132 months-0.56%
21Aug 2005Aug 20051 monthSep 20052 months-0.49%
22Sep 2014Sep 20141 monthOct 20142 months-0.49%

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
TickerNameVFINXVDIGXPF #1PF #2
VFINXVanguard 500 Index Investor-0.951.000.95
VDIGXVanguard Dividend Growth Inv0.95-0.951.00

Portfolio Return Decomposition

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

Portfolio Risk Decomposition

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

Annual Asset Returns