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 Assets 
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Portfolio Analysis Results (Mar 2009 - Feb 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VASGX Vanguard LifeStrategy Growth Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$130,000$414,140 18.00% 17.28%17.09%14.14%56.65%-5.71%-17.74%
(-17.74%)
1.202.221.00
Portfolio 2$130,000$321,296 13.80% 13.01%12.81%11.95%49.69%-4.73%-16.17%
(-16.17%)
1.082.000.98
Portfolio 3$130,000$286,440 11.95% 11.09%10.92%8.98%38.41%-2.99%-11.41%
(-11.41%)
1.212.360.97
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 1-7.62%-8.04%9.89%9.47%17.28%11.10%12.36%
Portfolio 2-6.38%-8.76%5.45%5.55%13.01%8.81%10.25%
Portfolio 3-4.32%-6.08%4.80%5.18%11.09%6.69%7.66%
Trailing annualized return and volatility are for full months ending in February 2016 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 2009 are based on monthly returns from March to December
  • The annual results for 2016 are based on monthly returns from January to February
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 annual rebalancing of portfolio assets to match the specified allocation
  • Annual contribution of $1,800 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard LifeStrategy Growth Inv (VASGX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)
ReturnBalanceReturnBalanceReturnBalance
20091.77%$1,80056.65%$205,44649.69%$196,40338.41%$181,73656.65%49.69%38.41%
20101.50%$1,80017.09%$242,36415.06%$227,78513.31%$207,73017.09%15.06%13.31%
20112.96%$1,8000.96%$246,496-2.28%$224,3870.26%$210,0730.96%-2.28%0.26%
20121.74%$1,80016.25%$288,35914.38%$258,44411.76%$236,58716.25%14.38%11.76%
20131.50%$1,80033.35%$386,32621.20%$315,03215.04%$273,98233.35%21.20%15.04%
20140.76%$1,80012.43%$436,1437.18%$339,4437.07%$295,15312.43%7.18%7.07%
20150.73%$1,8000.29%$439,224-1.17%$337,255-0.57%$295,2750.29%-1.17%-0.57%
20160.25%$0.00-5.71%$414,140-4.73%$321,296-2.99%$286,440-5.71%-4.73%-2.99%
Annual return for 2009 is from 03/01/2009 to 12/31/2009 and annual return for 2016 is from 01/01/2016 to 02/29/2016
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard LifeStrategy Growth Inv (VASGX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)
ReturnBalanceReturnBalanceReturnBalance
200938.65%$141,2518.08%$140,5096.64%$138,6278.65%8.08%6.64%
2009410.61%$156,2319.21%$153,4517.01%$148,34510.61%9.21%7.01%
200955.38%$164,6345.83%$162,4034.48%$154,9895.38%5.83%4.48%
200960.34%$165,1980.11%$162,5790.25%$155,3760.34%0.11%0.25%
200977.82%$178,1207.13%$174,1705.81%$164,4047.82%7.13%5.81%
200983.63%$184,5813.27%$179,8682.75%$168,9183.63%3.27%2.75%
200994.23%$192,3833.88%$186,8433.21%$174,3354.23%3.88%3.21%
200910-2.57%$187,442-1.89%$183,306-1.27%$172,128-2.57%-1.89%-1.27%
2009115.63%$197,9874.77%$192,0494.02%$179,0495.63%4.77%4.02%
2009122.86%$205,4461.33%$196,4030.50%$181,7362.86%1.33%0.50%
20101-3.50%$198,261-2.76%$190,981-1.70%$178,654-3.50%-2.76%-1.70%
201023.36%$204,9222.26%$195,2981.78%$181,8393.36%2.26%1.78%
201036.27%$217,7735.09%$205,2393.79%$188,7226.27%5.09%3.79%
201042.17%$222,5061.42%$208,1511.36%$191,2912.17%1.42%1.36%
20105-8.00%$204,702-6.61%$194,395-4.62%$182,455-8.00%-6.61%-4.62%
20106-5.66%$193,112-3.59%$187,407-2.42%$178,041-5.66%-3.59%-2.42%
201076.99%$206,6206.52%$199,6315.18%$187,2596.99%6.52%5.18%
20108-4.75%$196,809-3.24%$193,165-2.10%$183,323-4.75%-3.24%-2.10%
201099.47%$215,4467.90%$208,4215.99%$194,3029.47%7.90%5.99%
2010103.94%$223,9393.15%$214,9872.45%$199,0663.94%3.15%2.45%
2010110.58%$225,228-0.56%$213,775-0.52%$198,0310.58%-0.56%-0.52%
2010126.81%$242,3645.71%$227,7853.99%$207,7306.81%5.71%3.99%
201112.19%$247,6631.45%$231,0891.12%$210,0652.19%1.45%1.12%
201123.60%$256,5712.86%$237,6982.27%$214,8413.60%2.86%2.27%
201130.45%$257,7240.17%$238,1110.15%$215,1600.45%0.17%0.15%
201142.99%$265,4333.34%$246,0612.86%$221,3162.99%3.34%2.86%
20115-1.16%$262,349-1.22%$243,067-0.62%$219,936-1.16%-1.22%-0.62%
20116-1.79%$257,660-1.50%$239,416-1.22%$217,253-1.79%-1.50%-1.22%
20117-2.28%$251,778-1.61%$235,571-0.84%$215,434-2.28%-1.61%-0.84%
20118-5.99%$236,685-5.56%$222,478-3.92%$206,979-5.99%-5.56%-3.92%
20119-7.75%$218,334-7.29%$206,267-5.27%$196,063-7.75%-7.29%-5.27%
20111011.51%$243,4588.87%$224,5566.66%$209,12011.51%8.87%6.66%
201111-0.29%$242,758-0.93%$222,478-0.72%$207,622-0.29%-0.93%-0.72%
2011120.80%$246,4960.05%$224,3870.31%$210,0730.80%0.05%0.31%
201215.08%$259,0224.79%$235,1283.81%$218,0765.08%4.79%3.81%
201224.26%$270,0513.57%$243,5302.66%$223,8874.26%3.57%2.66%
201233.07%$278,3301.44%$247,0390.88%$225,8613.07%1.44%0.88%
20124-0.65%$276,511-0.56%$245,656-0.10%$225,642-0.65%-0.56%-0.10%
20125-6.24%$259,269-5.97%$230,981-4.28%$215,993-6.24%-5.97%-4.28%
201263.91%$269,4053.58%$239,2522.69%$221,8133.91%3.58%2.69%
201271.03%$272,1860.99%$241,6091.10%$224,2461.03%0.99%1.10%
201282.48%$278,9412.08%$246,6451.58%$227,7842.48%2.08%1.58%
201292.58%$286,1312.30%$252,3231.80%$231,8752.58%2.30%1.80%
201210-1.76%$281,101-0.81%$250,288-0.62%$230,438-1.76%-0.81%-0.62%
2012110.74%$283,1770.90%$252,5380.72%$232,0970.74%0.90%0.72%
2012121.19%$288,3591.63%$258,4441.16%$236,5871.19%1.63%1.16%
201315.50%$304,2173.73%$268,0942.68%$242,9195.50%3.73%2.68%
201321.28%$308,1010.54%$269,5360.52%$244,1861.28%0.54%0.52%
201333.88%$320,0632.39%$275,9701.84%$248,6763.88%2.39%1.84%
201341.70%$325,5071.97%$281,4051.71%$252,9351.70%1.97%1.71%
201352.32%$333,0640.24%$282,070-0.27%$252,2452.32%0.24%-0.27%
20136-1.27%$328,822-1.89%$276,753-1.78%$247,764-1.27%-1.89%-1.78%
201375.49%$346,8584.21%$288,4063.19%$255,6705.49%4.21%3.19%
20138-2.82%$337,065-2.10%$282,355-1.73%$251,252-2.82%-2.10%-1.73%
201393.66%$349,4173.97%$293,5603.19%$259,2743.66%3.97%3.19%
2013104.22%$364,1743.32%$303,3082.69%$266,2504.22%3.32%2.69%
2013112.88%$374,6681.59%$308,1261.14%$269,2732.88%1.59%1.14%
2013122.63%$386,3261.66%$315,0321.08%$273,9822.63%1.66%1.08%
20141-3.11%$374,323-2.57%$306,933-1.56%$269,714-3.11%-2.57%-1.56%
201424.73%$392,0384.01%$319,2523.12%$278,1314.73%4.01%3.12%
201430.51%$394,0520.39%$320,5060.30%$278,9610.51%0.39%0.30%
201440.06%$394,3010.50%$322,1030.55%$280,5020.06%0.50%0.55%
201452.17%$402,8621.84%$328,0341.65%$285,1262.17%1.84%1.65%
201462.54%$413,0861.89%$334,2211.44%$289,2222.54%1.89%1.44%
20147-1.98%$404,909-1.48%$329,265-1.12%$285,989-1.98%-1.48%-1.12%
201484.18%$421,8472.80%$338,4852.39%$292,8154.18%2.80%2.39%
20149-2.14%$412,833-2.52%$329,957-2.04%$286,827-2.14%-2.52%-2.04%
2014102.74%$424,1451.71%$335,6041.54%$291,2582.74%1.71%1.54%
2014112.41%$434,3671.44%$340,4451.32%$295,0902.41%1.44%1.32%
201412-0.01%$436,143-0.82%$339,443-0.59%$295,153-0.01%-0.82%-0.59%
20151-2.77%$424,052-1.08%$335,791-0.25%$294,417-2.77%-1.08%-0.25%
201525.76%$448,4884.32%$350,2832.96%$303,1205.76%4.32%2.96%
20153-1.04%$443,835-0.84%$347,337-0.49%$301,649-1.04%-0.84%-0.49%
201540.42%$445,7041.36%$352,0500.89%$304,3450.42%1.36%0.89%
201551.39%$451,9040.44%$353,5820.20%$304,9581.39%0.44%0.20%
20156-1.71%$444,176-1.81%$347,175-1.61%$300,034-1.71%-1.81%-1.61%
201571.63%$451,4240.82%$350,0300.87%$302,6331.63%0.82%0.87%
20158-6.03%$424,222-5.27%$331,589-4.01%$290,503-6.03%-5.27%-4.01%
20159-2.93%$411,778-2.51%$323,260-1.70%$285,552-2.93%-2.51%-1.70%
2015107.84%$444,0805.78%$341,9404.38%$298,0547.84%5.78%4.38%
2015110.54%$446,479-0.17%$341,345-0.17%$297,5580.54%-0.17%-0.17%
201512-2.03%$439,224-1.73%$337,255-1.37%$295,275-2.03%-1.73%-1.37%
20161-5.67%$414,313-4.18%$323,151-2.78%$287,080-5.67%-4.18%-2.78%
20162-0.04%$414,140-0.57%$321,296-0.22%$286,440-0.04%-0.57%-0.22%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value37.07%25.30%21.02%
Large-cap Growth42.58%20.94%15.28%
Mid-cap Value5.73%3.49%1.31%
Mid-cap Growth7.37%8.12%7.24%
Small-cap Value2.63%1.47%1.05%
Small-cap Growth3.15%0.00%0.00%
Global ex-US Developed Markets1.41%16.26%11.58%
Emerging Markets0.04%5.58%4.41%
Corporate Bonds0.00%2.31%6.35%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%7.69%14.20%
Short-Term Treasuries0.00%8.85%17.55%
R Squared99.89%99.68%99.54%
Style analysis is based on monthly returns from March 2009 to February 2016 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.18%0.14%24.25$271,540100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VASGXVanguard LifeStrategy Growth Inv70% to 85% Equity100.00%1.60%0.14%20.027.28$178,696100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%1.58%0.13%20.047.29$143,840100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)1.42%1.08%0.91%
Arithmetic Mean (annualized)18.42%13.80%11.53%
Geometric Mean (monthly)1.34%1.02%0.88%
Geometric Mean (annualized)17.28%13.01%11.09%
Volatility (monthly)4.08%3.45%2.59%
Volatility (annualized)14.14%11.95%8.98%
Downside Deviation (monthly)2.20%1.86%1.32%
Max. Drawdown-17.74%-16.17%-11.41%
US Market Correlation1.000.980.97
Beta(*)1.000.830.62
Alpha (annualized)0.00%-1.17%0.42%
R2100.00%96.99%94.89%
Sharpe Ratio1.201.081.21
Sortino Ratio2.222.002.36
Treynor Ratio (%)16.9415.5117.57
Calmar Ratio1.110.570.72
Active Return0.00%-4.27%-6.19%
Tracking Error0.00%3.15%5.76%
Information Ratio0.41-1.35-1.08
Skewness-0.070.010.09
Excess Kurtosis0.000.090.06
Historical Value-at-Risk (5%)-5.95%-5.11%-3.75%
Analytical Value-at-Risk (5%)-5.29%-4.59%-3.35%
Conditional Value-at-Risk (5%)-6.80%-6.14%-4.42%
Upside Capture Ratio (%)100.0077.8359.40
Downside Capture Ratio (%)100.0085.3160.22
Safe Withdrawal Rate29.77%26.06%23.48%
Perpetual Withdrawal Rate13.37%10.10%8.54%
Positive Periods56 out of 84 (66.67%)54 out of 84 (64.29%)53 out of 84 (63.10%)
Gain/Loss Ratio1.191.241.45
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-17.74%
2May 2010Jun 20102 monthsOct 20104 months6 months-13.21%
3Jun 2015Sep 20154 months-8.88%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
5Jan 2010Jan 20101 monthMar 20102 months3 months-3.50%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
9Oct 2009Oct 20091 monthNov 20091 month2 months-2.57%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.14%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsSep 20121 year1 year 5 months-16.17%
2May 2010Jun 20102 monthsSep 20103 months5 months-9.97%
3Jun 2015Feb 20169 months-9.62%
4Jan 2010Jan 20101 monthMar 20102 months3 months-2.76%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-2.57%
6Sep 2014Sep 20141 monthNov 20142 months3 months-2.52%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.10%
8Oct 2009Oct 20091 monthNov 20091 month2 months-1.89%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.89%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.89%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-11.41%
2May 2010Jun 20102 monthsSep 20103 months5 months-6.93%
3Jun 2015Feb 20169 months-6.65%
4Apr 2012May 20122 monthsAug 20123 months5 months-4.37%
5Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
6May 2013Jun 20132 monthsJul 20131 month3 months-2.04%
7Aug 2013Aug 20131 monthSep 20131 month2 months-1.73%
8Jan 2010Jan 20101 monthFeb 20101 month2 months-1.70%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-1.56%
10Oct 2009Oct 20091 monthNov 20091 month2 months-1.27%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv17.28%14.14%56.65%-5.71%-17.74%1.202.221.00
VASGXVanguard LifeStrategy Growth Inv13.01%11.95%49.69%-4.73%-16.17%1.082.000.98
VSMGXVanguard LifeStrategy Moderate Gr Inv11.09%8.98%38.41%-2.99%-11.41%1.212.360.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVASGXVSMGXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv1.000.980.971.000.980.97
VASGXVanguard LifeStrategy Growth Inv0.981.001.000.981.001.00
VSMGXVanguard LifeStrategy Moderate Gr Inv0.971.001.000.971.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$271,540
VASGXVanguard LifeStrategy Growth Inv$178,696
VSMGXVanguard LifeStrategy Moderate Gr Inv$143,840

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VASGXVanguard LifeStrategy Growth Inv100.00%
VSMGXVanguard LifeStrategy Moderate Gr Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year16.17%56.25%-8.04%11.71%48.85%-8.76%9.89%38.49%-6.08%
3 years16.30%26.60%9.89%11.48%22.24%5.45%9.67%18.78%4.80%
5 years16.07%23.85%9.47%11.43%18.78%5.55%9.69%15.47%5.18%