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 2005 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBR Vanguard Small-Cap Value ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$300,168 8.82% 18.16%36.55%-32.20%-55.89% 0.490.720.94
Portfolio 2$100,000$299,616 8.81% 14.24%33.45%-36.98%-50.84% 0.580.851.00
   
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 Small-Cap Value ETF (VBR)Vanguard Total Stock Market ETF (VTI)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20053.42%6.26%6.31%$106,256$106,3086.26%6.31%
20062.54%19.49%15.69%$126,965$122,99319.49%15.69%
20074.08%-6.94%5.37%$118,159$129,599-6.94%5.37%
20080.09%-32.20%-36.98%$80,108$81,676-32.20%-36.98%
20092.72%30.92%28.89%$104,881$105,27430.92%28.89%
20101.50%25.10%17.42%$131,209$123,61625.10%17.42%
20112.96%-4.23%0.97%$125,665$124,812-4.23%0.97%
20121.74%18.98%16.45%$149,510$145,34518.98%16.45%
20131.50%36.55%33.45%$204,154$193,96736.55%33.45%
20140.76%10.55%12.54%$225,702$218,29910.55%12.54%
20150.73%-4.76%0.36%$214,955$219,083-4.76%0.36%
20162.07%24.90%12.83%$268,485$247,18324.90%12.83%
20172.11%11.80%21.21%$300,168$299,61611.80%21.21%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Small-Cap Value ETF (VBR)Vanguard Total Stock Market ETF (VTI)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20051-3.65%-2.50%$96,346$97,501-3.65%-2.50%
200522.40%2.09%$98,662$99,5342.40%2.09%
20053-2.16%-1.87%$96,532$97,671-2.16%-1.87%
20054-5.03%-2.20%$91,677$95,519-5.03%-2.20%
200557.28%3.88%$98,350$99,2277.28%3.88%
200563.56%0.76%$101,850$99,9793.56%0.76%
200575.46%4.38%$107,408$104,3565.46%4.38%
20058-2.01%-1.09%$105,246$103,221-2.01%-1.09%
200590.77%0.79%$106,053$104,0380.77%0.79%
200510-3.22%-2.35%$102,639$101,595-3.22%-2.35%
2005113.78%4.62%$106,516$106,2843.78%4.62%
200512-0.24%0.02%$106,256$106,308-0.24%0.02%
200616.85%3.22%$113,539$109,7306.85%3.22%
200620.51%0.22%$114,117$109,9720.51%0.22%
200633.64%2.05%$118,268$112,2283.64%2.05%
20064-0.04%0.96%$118,215$113,301-0.04%0.96%
20065-3.75%-3.22%$113,783$109,648-3.75%-3.22%
200661.00%0.13%$114,922$109,7911.00%0.13%
20067-1.22%-0.12%$113,520$109,661-1.22%-0.12%
200682.13%2.30%$115,938$112,1822.13%2.30%
200690.89%2.26%$116,971$114,7130.89%2.26%
2006104.64%3.53%$122,402$118,7624.64%3.53%
2006113.29%2.33%$126,431$121,5293.29%2.33%
2006120.42%1.20%$126,965$122,9930.42%1.20%
200711.97%1.86%$129,463$125,2821.97%1.86%
20072-0.59%-1.62%$128,696$123,247-0.59%-1.62%
200730.63%1.12%$129,512$124,6300.63%1.12%
200741.72%4.02%$131,745$129,6421.72%4.02%
200753.84%3.72%$136,801$134,4703.84%3.72%
20076-2.29%-1.76%$133,675$132,103-2.29%-1.76%
20077-7.70%-3.53%$123,385$127,434-7.70%-3.53%
200781.66%1.47%$125,439$129,3081.66%1.47%
200790.87%3.85%$126,529$134,2840.87%3.85%
2007101.60%1.79%$128,548$136,6911.60%1.79%
200711-6.86%-4.52%$119,723$130,510-6.86%-4.52%
200712-1.31%-0.70%$118,159$129,599-1.31%-0.70%
20081-3.88%-6.17%$113,571$121,607-3.88%-6.17%
20082-2.62%-2.50%$110,591$118,572-2.62%-2.50%
20083-0.39%-0.90%$110,166$117,510-0.39%-0.90%
200844.68%4.89%$115,324$123,2514.68%4.89%
200854.14%2.02%$120,099$125,7364.14%2.02%
20086-11.36%-8.12%$106,452$115,528-11.36%-8.12%
200874.06%-0.62%$110,769$114,8074.06%-0.62%
200883.60%1.46%$114,757$116,4833.60%1.46%
20089-5.32%-9.24%$108,647$105,719-5.32%-9.24%
200810-21.96%-17.48%$84,792$87,242-21.96%-17.48%
200811-9.56%-8.01%$76,688$80,250-9.56%-8.01%
2008124.46%1.78%$80,108$81,6764.46%1.78%
20091-12.39%-8.05%$70,180$75,104-12.39%-8.05%
20092-14.01%-10.53%$60,345$67,199-14.01%-10.53%
200938.83%8.26%$65,672$72,7538.83%8.26%
2009419.56%10.99%$78,519$80,74819.56%10.99%
200953.83%5.46%$81,523$85,1603.83%5.46%
20096-0.09%0.36%$81,448$85,469-0.09%0.36%
2009710.65%7.74%$90,119$92,08210.65%7.74%
200986.18%3.71%$95,693$95,5006.18%3.71%
200995.41%4.14%$100,870$99,4525.41%4.14%
200910-6.09%-2.63%$94,729$96,835-6.09%-2.63%
2009113.55%5.69%$98,092$102,3473.55%5.69%
2009126.92%2.86%$104,881$105,2746.92%2.86%
20101-2.99%-3.57%$101,743$101,520-2.99%-3.57%
201025.01%3.44%$106,845$105,0135.01%3.44%
201038.20%6.40%$115,601$111,7308.20%6.40%
201046.23%2.18%$122,805$114,1676.23%2.18%
20105-7.95%-7.88%$113,040$105,167-7.95%-7.88%
20106-8.16%-5.83%$103,814$99,033-8.16%-5.83%
201077.46%7.02%$111,557$105,9857.46%7.02%
20108-6.66%-4.71%$104,122$100,992-6.66%-4.71%
2010910.43%9.45%$114,985$110,53810.43%9.45%
2010103.60%4.03%$119,126$114,9883.60%4.03%
2010112.28%0.51%$121,842$115,5752.28%0.51%
2010127.69%6.96%$131,209$123,6167.69%6.96%
201110.60%2.05%$131,994$126,1480.60%2.05%
201124.70%3.70%$138,195$130,8134.70%3.70%
201131.47%0.42%$140,232$131,3581.47%0.42%
201142.34%2.90%$143,510$135,1632.34%2.90%
20115-2.12%-1.06%$140,468$133,729-2.12%-1.06%
20116-2.08%-1.79%$137,544$131,329-2.08%-1.79%
20117-3.32%-2.27%$132,971$128,353-3.32%-2.27%
20118-8.19%-6.09%$122,078$120,538-8.19%-6.09%
20119-10.64%-7.57%$109,085$111,408-10.64%-7.57%
20111014.43%11.37%$124,825$124,06914.43%11.37%
201111-0.14%-0.37%$124,649$123,606-0.14%-0.37%
2011120.82%0.98%$125,665$124,8120.82%0.98%
201216.97%5.07%$134,428$131,1406.97%5.07%
201222.55%4.22%$137,856$136,6732.55%4.22%
201232.41%3.06%$141,184$140,8572.41%3.06%
20124-0.99%-0.64%$139,780$139,960-0.99%-0.64%
20125-6.31%-6.23%$130,953$131,247-6.31%-6.23%
201264.47%4.05%$136,811$136,5674.47%4.05%
20127-0.43%0.88%$136,229$137,763-0.43%0.88%
201282.99%2.70%$140,301$141,4852.99%2.70%
201292.80%2.49%$144,233$145,0122.80%2.49%
201210-0.70%-1.81%$143,230$142,393-0.70%-1.81%
2012111.01%0.77%$144,674$143,4961.01%0.77%
2012123.34%1.29%$149,510$145,3453.34%1.29%
201316.46%5.42%$159,162$153,2196.46%5.42%
201321.62%1.28%$161,734$155,1831.62%1.28%
201334.56%3.95%$169,104$161,3064.56%3.95%
201340.09%1.61%$169,248$163,8960.09%1.61%
201353.11%2.44%$174,518$167,9013.11%2.44%
20136-1.27%-1.43%$172,295$165,499-1.27%-1.43%
201376.85%5.75%$184,090$175,0086.85%5.75%
20138-4.17%-3.03%$176,412$169,703-4.17%-3.03%
201395.30%3.90%$185,757$176,3205.30%3.90%
2013103.92%4.27%$193,044$183,8443.92%4.27%
2013112.93%2.70%$198,705$188,8122.93%2.70%
2013122.74%2.73%$204,154$193,9672.74%2.73%
20141-2.78%-3.17%$198,472$187,819-2.78%-3.17%
201424.97%4.87%$208,327$196,9604.97%4.87%
201431.31%0.51%$211,061$197,9601.31%0.51%
20144-1.13%0.06%$208,670$198,082-1.13%0.06%
201451.64%2.10%$212,089$202,2451.64%2.10%
201464.32%2.62%$221,253$207,5524.32%2.62%
20147-4.79%-1.99%$210,662$203,412-4.79%-1.99%
201485.12%4.15%$221,442$211,8565.12%4.15%
20149-5.54%-2.10%$209,173$207,406-5.54%-2.10%
2014104.85%2.75%$219,324$213,1024.85%2.75%
2014111.10%2.48%$221,736$218,3871.10%2.48%
2014121.79%-0.04%$225,702$218,2991.79%-0.04%
20151-3.30%-2.74%$218,255$212,327-3.30%-2.74%
201525.66%5.74%$230,610$224,5195.66%5.74%
201531.30%-1.16%$233,612$221,9241.30%-1.16%
20154-1.30%0.62%$230,580$223,290-1.30%0.62%
201551.37%1.30%$233,740$226,1871.37%1.30%
20156-1.51%-1.67%$230,217$222,399-1.51%-1.67%
20157-0.95%1.70%$228,039$226,181-0.95%1.70%
20158-4.84%-6.09%$216,999$212,403-4.84%-6.09%
20159-3.58%-2.92%$209,222$206,197-3.58%-2.92%
2015106.63%7.91%$223,091$222,5106.63%7.91%
2015111.32%0.60%$226,029$223,8461.32%0.60%
201512-4.90%-2.13%$214,955$219,083-4.90%-2.13%
20161-6.37%-5.72%$201,266$206,543-6.37%-5.72%
201621.50%-0.01%$204,291$206,5221.50%-0.01%
201638.94%7.11%$222,554$221,2098.94%7.11%
201642.10%0.66%$227,229$222,6652.10%0.66%
201651.40%1.73%$230,418$226,5271.40%1.73%
201660.15%0.27%$230,753$227,1490.15%0.27%
201674.64%3.98%$241,468$236,1794.64%3.98%
201680.73%0.21%$243,221$236,6660.73%0.21%
201690.30%0.21%$243,946$237,1560.30%0.21%
201610-2.92%-2.19%$236,826$231,958-2.92%-2.19%
20161110.21%4.49%$261,009$242,37510.21%4.49%
2016122.86%1.98%$268,485$247,1832.86%1.98%
201710.65%1.86%$270,238$251,7700.65%1.86%
201722.01%3.69%$275,674$261,0732.01%3.69%
20173-0.72%0.06%$273,692$261,217-0.72%0.06%
201740.40%1.06%$274,784$263,9940.40%1.06%
20175-2.40%1.01%$268,190$266,664-2.40%1.01%
201762.44%0.95%$274,735$269,1922.44%0.95%
201771.02%1.88%$277,529$274,2531.02%1.88%
20178-1.46%0.15%$273,484$274,664-1.46%0.15%
201794.95%2.44%$287,027$281,3654.95%2.44%
2017100.86%2.17%$289,498$287,4700.86%2.17%
2017113.17%3.03%$298,662$296,1813.17%3.03%
2017120.50%1.16%$300,168$299,6160.50%1.16%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value11.59%36.96%
Large-cap Growth0.00%43.59%
Mid-cap Value34.70%5.09%
Mid-cap Growth0.00%7.43%
Small-cap Value53.10%3.49%
Small-cap Growth0.00%2.46%
Global ex-US Developed Markets0.10%0.24%
Emerging Markets0.51%0.74%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.04%99.87%
Style analysis is based on monthly returns from Apr 2005 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBRVanguard Small-Cap Value ETFSmall Value0.07%100.00%$200,168100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.04%100.00%$199,616100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 01/04/2019. © 2019 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)0.85%0.79%
Arithmetic Mean (annualized)10.64%9.92%
Geometric Mean (monthly)0.71%0.71%
Geometric Mean (annualized)8.82%8.81%
Volatility (monthly)5.24%4.11%
Volatility (annualized)18.16%14.24%
Downside Deviation (monthly)3.55%2.80%
Max. Drawdown-55.89%-50.84%
US Market Correlation0.941.00
Beta(*)1.211.00
Alpha (annualized)-1.14%0.11%
R289.02%99.89%
Sharpe Ratio0.490.58
Sortino Ratio0.720.85
Treynor Ratio (%)7.458.31
Calmar Ratio0.721.26
Information Ratio0.120.29
Diversification Ratio1.001.00
Skewness-0.54-0.79
Excess Kurtosis2.862.42
Historical Value-at-Risk (5%)-8.17%-7.62%
Analytical Value-at-Risk (5%)-7.78%-5.97%
Conditional Value-at-Risk (5%)-12.59%-9.90%
Upside Capture Ratio (%)117.30100.88
Downside Capture Ratio (%)121.01100.42
Sustainable Withdrawal Rate9.56%9.49%
Positive Periods99 out of 156 (63.46%)105 out of 156 (67.31%)
Gain/Loss Ratio0.890.81
* 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 2009-53.06%-50.84%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.89%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.99%
3Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.89%
4Jan 2005Apr 20054 monthsJun 20052 months6 months-8.32%
5Sep 2014Sep 20141 monthNov 20142 months3 months-5.54%
6Jul 2014Jul 20141 monthAug 20141 month2 months-4.79%
7Aug 2005Oct 20053 monthsJan 20063 months6 months-4.44%
8Aug 2013Aug 20131 monthSep 20131 month2 months-4.17%
9Apr 2006Jul 20064 monthsOct 20063 months7 months-4.01%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-3.30%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.84%
2Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
3Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
4Jun 2007Jul 20072 monthsOct 20073 months5 months-5.23%
5Jan 2005Apr 20054 monthsJul 20053 months7 months-4.48%
6May 2006May 20061 monthSep 20064 months5 months-3.22%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.17%
8Aug 2013Aug 20131 monthSep 20131 month2 months-3.03%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
10Aug 2005Oct 20053 monthsNov 20051 month4 months-2.65%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBRVanguard Small-Cap Value ETF8.82%18.16%36.55%-32.20%-55.89%0.490.720.94
VTIVanguard Total Stock Market ETF8.81%14.24%33.45%-36.98%-50.84%0.580.851.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBRVTIPortfolio 1Portfolio 2
VBRVanguard Small-Cap Value ETF-0.941.000.94
VTIVanguard Total Stock Market ETF0.94-0.941.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBRVanguard Small-Cap Value ETF$200,168
VTIVanguard Total Stock Market ETF$199,616

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBRVanguard Small-Cap Value ETF100.00%
VTIVanguard Total Stock Market ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.49%36.55%-32.20%10.35%33.45%-36.98%
3 years8.43%21.56%-8.99%8.31%20.48%-8.41%
5 years9.86%20.57%-0.21%9.29%18.88%0.29%
7 years9.58%15.14%3.32%9.12%15.14%3.22%
10 years8.33%9.77%7.30%7.90%8.74%7.23%
Result statistics are based on annualized rolling returns over full calendar year periods