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 Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1987 - Oct 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$58,930 5.73% 3.82%18.18%-2.66%-5.86% 0.691.090.07
   
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
  • The annual results for 2018 are based on full calendar months from January to October
  • 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
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Bond Market Index Inv (VBMFX)
19874.43%1.54%$10,1541.54%
19884.42%7.35%$10,9007.35%
19894.65%13.64%$12,38713.64%
19906.11%8.65%$13,4598.65%
19913.06%15.25%$15,51115.25%
19922.90%7.14%$16,6197.14%
19932.75%9.68%$18,2289.68%
19942.67%-2.66%$17,743-2.66%
19952.54%18.18%$20,96918.18%
19963.32%3.58%$21,7213.58%
19971.70%9.44%$23,7729.44%
19981.61%8.58%$25,8128.58%
19992.68%-0.76%$25,616-0.76%
20003.39%11.39%$28,53411.39%
20011.55%8.43%$30,9398.43%
20022.38%8.26%$33,4938.26%
20031.88%3.97%$34,8243.97%
20043.26%4.24%$36,3004.24%
20053.42%2.40%$37,1692.40%
20062.54%4.27%$38,7564.27%
20074.08%6.92%$41,4386.92%
20080.09%5.05%$43,5325.05%
20092.72%5.93%$46,1165.93%
20101.50%6.42%$49,0776.42%
20112.96%7.56%$52,7867.56%
20121.74%4.05%$54,9234.05%
20131.50%-2.26%$53,680-2.26%
20140.76%5.76%$56,7715.76%
20150.73%0.30%$56,9410.30%
20162.07%2.50%$58,3632.50%
20172.11%3.46%$60,3833.46%
20182.58%-2.41%$58,930-2.41%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Bond Market Index Inv (VBMFX)
198711.29%$10,1291.29%
198720.54%$10,1850.54%
19873-0.64%$10,119-0.64%
19874-3.20%$9,796-3.20%
19875-0.39%$9,757-0.39%
198761.42%$9,8961.42%
19877-0.11%$9,885-0.11%
19878-0.77%$9,808-0.77%
19879-2.25%$9,587-2.25%
1987103.50%$9,9223.50%
1987110.69%$9,9910.69%
1987121.62%$10,1541.62%
198813.09%$10,4673.09%
198821.19%$10,5921.19%
19883-1.15%$10,470-1.15%
19884-0.56%$10,412-0.56%
19885-0.96%$10,312-0.96%
198862.68%$10,5882.68%
19887-0.48%$10,538-0.48%
198880.18%$10,5570.18%
198892.19%$10,7882.19%
1988101.46%$10,9461.46%
198811-0.86%$10,851-0.86%
1988120.45%$10,9000.45%
198910.87%$10,9950.87%
19892-0.62%$10,927-0.62%
198930.26%$10,9550.26%
198941.98%$11,1721.98%
198952.54%$11,4562.54%
198962.93%$11,7922.93%
198972.19%$12,0492.19%
19898-1.60%$11,856-1.60%
198990.47%$11,9120.47%
1989102.46%$12,2052.46%
1989110.75%$12,2970.75%
1989120.74%$12,3870.74%
19901-1.89%$12,153-1.89%
199020.75%$12,2450.75%
199030.08%$12,2540.08%
19904-0.90%$12,143-0.90%
199052.86%$12,4912.86%
199061.60%$12,6901.60%
199071.27%$12,8511.27%
19908-1.21%$12,695-1.21%
199090.72%$12,7860.72%
1990101.49%$12,9771.49%
1990112.23%$13,2662.23%
1990121.45%$13,4591.45%
199111.12%$13,6091.12%
199120.78%$13,7150.78%
199130.69%$13,8100.69%
199140.99%$13,9460.99%
199150.68%$14,0410.68%
19916-0.06%$14,032-0.06%
199171.32%$14,2171.32%
199182.05%$14,5082.05%
199192.01%$14,8002.01%
1991100.96%$14,9420.96%
1991110.74%$15,0530.74%
1991123.04%$15,5113.04%
19921-1.39%$15,296-1.39%
199220.62%$15,3900.62%
19923-0.50%$15,313-0.50%
199240.71%$15,4220.71%
199251.84%$15,7061.84%
199261.31%$15,9131.31%
199271.91%$16,2171.91%
199280.98%$16,3760.98%
199291.26%$16,5831.26%
199210-1.22%$16,381-1.22%
199211-0.02%$16,377-0.02%
1992121.48%$16,6191.48%
199311.79%$16,9151.79%
199321.96%$17,2481.96%
199330.37%$17,3110.37%
199340.74%$17,4400.74%
199350.14%$17,4640.14%
199361.80%$17,7781.80%
199370.61%$17,8870.61%
199381.69%$18,1891.69%
199390.40%$18,2620.40%
1993100.30%$18,3170.30%
199311-0.97%$18,140-0.97%
1993120.48%$18,2280.48%
199411.39%$18,4811.39%
19942-1.78%$18,151-1.78%
19943-2.30%$17,734-2.30%
19944-0.83%$17,587-0.83%
199450.00%$17,5880.00%
19946-0.18%$17,555-0.18%
199471.84%$17,8791.84%
199480.14%$17,9050.14%
19949-1.44%$17,646-1.44%
199410-0.07%$17,634-0.07%
199411-0.18%$17,602-0.18%
1994120.80%$17,7430.80%
199511.90%$18,0801.90%
199522.17%$18,4732.17%
199530.67%$18,5980.67%
199541.31%$18,8421.31%
199553.95%$19,5863.95%
199560.66%$19,7150.66%
19957-0.25%$19,664-0.25%
199581.18%$19,8961.18%
199590.95%$20,0850.95%
1995101.47%$20,3791.47%
1995111.44%$20,6721.44%
1995121.44%$20,9691.44%
199610.63%$21,1010.63%
19962-1.76%$20,730-1.76%
19963-0.77%$20,570-0.77%
19964-0.49%$20,469-0.49%
19965-0.17%$20,434-0.17%
199661.27%$20,6941.27%
199670.25%$20,7460.25%
19968-0.16%$20,712-0.16%
199691.70%$21,0641.70%
1996102.21%$21,5292.21%
1996111.76%$21,9081.76%
199612-0.85%$21,721-0.85%
199710.25%$21,7740.25%
199720.11%$21,7990.11%
19973-0.97%$21,587-0.97%
199741.49%$21,9081.49%
199750.87%$22,0990.87%
199761.16%$22,3561.16%
199772.80%$22,9832.80%
19978-0.85%$22,787-0.85%
199791.45%$23,1171.45%
1997101.45%$23,4511.45%
1997110.33%$23,5280.33%
1997121.04%$23,7721.04%
199811.32%$24,0861.32%
19982-0.10%$24,063-0.10%
199830.33%$24,1410.33%
199840.51%$24,2650.51%
199851.02%$24,5121.02%
199860.81%$24,7100.81%
199870.23%$24,7660.23%
199881.90%$25,2361.90%
199891.96%$25,7311.96%
199810-0.55%$25,588-0.55%
1998110.49%$25,7130.49%
1998120.38%$25,8120.38%
199910.79%$26,0160.79%
19992-1.77%$25,557-1.77%
199930.56%$25,7000.56%
199940.40%$25,8030.40%
19995-0.88%$25,576-0.88%
19996-0.50%$25,449-0.50%
19997-0.39%$25,350-0.39%
19998-0.08%$25,330-0.08%
199991.26%$25,6491.26%
1999100.33%$25,7340.33%
1999110.02%$25,7390.02%
199912-0.48%$25,616-0.48%
20001-0.17%$25,571-0.17%
200021.18%$25,8721.18%
200031.40%$26,2351.40%
20004-0.49%$26,107-0.49%
20005-0.16%$26,064-0.16%
200062.15%$26,6242.15%
200070.88%$26,8590.88%
200081.40%$27,2341.40%
200090.76%$27,4410.76%
2000100.57%$27,5970.57%
2000111.58%$28,0331.58%
2000121.79%$28,5341.79%
200111.76%$29,0361.76%
200120.91%$29,3000.91%
200130.54%$29,4580.54%
20014-0.46%$29,321-0.46%
200150.73%$29,5360.73%
200160.52%$29,6910.52%
200172.23%$30,3532.23%
200181.11%$30,6891.11%
200190.89%$30,9640.89%
2001101.86%$31,5401.86%
200111-1.34%$31,118-1.34%
200112-0.58%$30,939-0.58%
200210.69%$31,1520.69%
200220.85%$31,4170.85%
20023-1.46%$30,958-1.46%
200241.69%$31,4821.69%
200250.80%$31,7340.80%
200260.29%$31,8260.29%
200270.48%$31,9800.48%
200281.66%$32,5111.66%
200291.53%$33,0081.53%
200210-0.61%$32,806-0.61%
2002110.02%$32,8140.02%
2002122.07%$33,4932.07%
200310.05%$33,5110.05%
200321.38%$33,9721.38%
20033-0.13%$33,929-0.13%
200340.87%$34,2230.87%
200351.82%$34,8471.82%
20036-0.13%$34,800-0.13%
20037-3.34%$33,638-3.34%
200380.61%$33,8440.61%
200392.71%$34,7602.71%
200310-0.96%$34,426-0.96%
2003110.27%$34,5200.27%
2003120.88%$34,8240.88%
200410.86%$35,1250.86%
200421.03%$35,4871.03%
200430.80%$35,7700.80%
20044-2.61%$34,835-2.61%
20045-0.43%$34,686-0.43%
200460.56%$34,8800.56%
200470.96%$35,2160.96%
200481.94%$35,9001.94%
200490.16%$35,9570.16%
2004100.85%$36,2620.85%
200411-0.81%$35,970-0.81%
2004120.92%$36,3000.92%
200510.65%$36,5370.65%
20052-0.63%$36,308-0.63%
20053-0.49%$36,130-0.49%
200541.35%$36,6191.35%
200551.05%$37,0051.05%
200560.55%$37,2090.55%
20057-0.99%$36,840-0.99%
200581.36%$37,3391.36%
20059-1.10%$36,929-1.10%
200510-0.81%$36,630-0.81%
2005110.48%$36,8050.48%
2005120.99%$37,1690.99%
20061-0.11%$37,130-0.11%
200620.37%$37,2690.37%
20063-1.00%$36,897-1.00%
20064-0.21%$36,820-0.21%
20065-0.09%$36,785-0.09%
200660.10%$36,8230.10%
200671.35%$37,3191.35%
200681.64%$37,9321.64%
200690.81%$38,2400.81%
2006100.72%$38,5150.72%
2006111.11%$38,9421.11%
200612-0.48%$38,756-0.48%
20071-0.08%$38,724-0.08%
200721.50%$39,3071.50%
200730.02%$39,3160.02%
200740.51%$39,5170.51%
20075-0.78%$39,210-0.78%
20076-0.39%$39,058-0.39%
200770.84%$39,3850.84%
200781.34%$39,9141.34%
200790.72%$40,2020.72%
2007100.93%$40,5740.93%
2007111.91%$41,3491.91%
2007120.22%$41,4380.22%
200811.69%$42,1381.69%
200820.19%$42,2180.19%
200830.30%$42,3430.30%
20084-0.30%$42,216-0.30%
20085-0.79%$41,884-0.79%
20086-0.01%$41,881-0.01%
200870.00%$41,8820.00%
200880.70%$42,1750.70%
20089-1.10%$41,709-1.10%
200810-2.53%$40,652-2.53%
2008113.64%$42,1323.64%
2008123.32%$43,5323.32%
20091-0.70%$43,229-0.70%
20092-0.42%$43,046-0.42%
200931.48%$43,6831.48%
200940.36%$43,8390.36%
200950.85%$44,2120.85%
200960.54%$44,4500.54%
200971.43%$45,0841.43%
200981.01%$45,5421.01%
200991.19%$46,0831.19%
2009100.41%$46,2720.41%
2009111.36%$46,9021.36%
200912-1.68%$46,116-1.68%
201011.57%$46,8401.57%
201020.20%$46,9320.20%
20103-0.08%$46,895-0.08%
201041.06%$47,3921.06%
201050.87%$47,8050.87%
201061.61%$48,5751.61%
201070.94%$49,0300.94%
201081.48%$49,7561.48%
20109-0.01%$49,750-0.01%
2010100.36%$49,9300.36%
201011-0.57%$49,646-0.57%
201012-1.15%$49,077-1.15%
201110.08%$49,1170.08%
201120.16%$49,1980.16%
20113-0.01%$49,195-0.01%
201141.32%$49,8431.32%
201151.30%$50,4931.30%
20116-0.39%$50,297-0.39%
201171.58%$51,0891.58%
201181.46%$51,8371.46%
201190.89%$52,3000.89%
2011100.16%$52,3830.16%
201111-0.30%$52,224-0.30%
2011121.08%$52,7861.08%
201210.87%$53,2470.87%
20122-0.05%$53,223-0.05%
20123-0.58%$52,912-0.58%
201241.14%$53,5151.14%
201250.95%$54,0220.95%
201260.04%$54,0420.04%
201271.39%$54,7911.39%
201280.03%$54,8080.03%
201290.11%$54,8670.11%
2012100.11%$54,9280.11%
2012110.19%$55,0330.19%
201212-0.20%$54,923-0.20%
20131-0.71%$54,531-0.71%
201320.54%$54,8270.54%
201330.08%$54,8730.08%
201340.91%$55,3740.91%
20135-1.71%$54,427-1.71%
20136-1.65%$53,527-1.65%
201370.20%$53,6330.20%
20138-0.64%$53,289-0.64%
201390.96%$53,8010.96%
2013100.78%$54,2190.78%
201311-0.35%$54,030-0.35%
201312-0.65%$53,680-0.65%
201411.54%$54,5091.54%
201420.48%$54,7700.48%
20143-0.15%$54,688-0.15%
201440.77%$55,1100.77%
201451.05%$55,6881.05%
201460.11%$55,7490.11%
20147-0.26%$55,606-0.26%
201481.13%$56,2341.13%
20149-0.72%$55,827-0.72%
2014100.94%$56,3530.94%
2014110.65%$56,7200.65%
2014120.09%$56,7710.09%
201512.31%$58,0832.31%
20152-1.08%$57,455-1.08%
201530.41%$57,6890.41%
20154-0.36%$57,480-0.36%
20155-0.45%$57,222-0.45%
20156-1.01%$56,644-1.01%
201570.76%$57,0750.76%
20158-0.36%$56,872-0.36%
201590.76%$57,3030.76%
2015100.01%$57,3110.01%
201511-0.27%$57,157-0.27%
201512-0.38%$56,941-0.38%
201611.43%$57,7541.43%
201620.66%$58,1360.66%
201630.94%$58,6840.94%
201640.38%$58,9060.38%
201650.01%$58,9150.01%
201661.94%$60,0561.94%
201670.64%$60,4410.64%
20168-0.17%$60,339-0.17%
20169-0.09%$60,288-0.09%
201610-0.81%$59,801-0.81%
201611-2.64%$58,220-2.64%
2016120.24%$58,3630.24%
201710.29%$58,5350.29%
201720.66%$58,9210.66%
20173-0.07%$58,879-0.07%
201740.76%$59,3280.76%
201750.67%$59,7250.67%
201760.01%$59,7340.01%
201770.39%$59,9660.39%
201780.85%$60,4780.85%
20179-0.54%$60,152-0.54%
2017100.11%$60,2190.11%
201711-0.17%$60,116-0.17%
2017120.44%$60,3830.44%
20181-1.09%$59,722-1.09%
20182-1.03%$59,109-1.03%
201830.63%$59,4790.63%
20184-0.83%$58,985-0.83%
201850.61%$59,3440.61%
201860.03%$59,3610.03%
201870.03%$59,3810.03%
201880.52%$59,6870.52%
20189-0.54%$59,363-0.54%
201810-0.73%$58,930-0.73%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth2.19%
Mid-cap Value0.00%
Mid-cap Growth0.17%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets1.74%
Corporate Bonds13.38%
Long-Term Treasuries2.05%
Intermediate-Term Treasuries30.36%
Short-Term Treasuries50.12%
R Squared90.84%
Style analysis is based on monthly returns from Apr 2005 to Oct 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond6.240.15%100.00%$48,930100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 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 1
Arithmetic Mean (monthly)0.47%
Arithmetic Mean (annualized)5.81%
Geometric Mean (monthly)0.47%
Geometric Mean (annualized)5.73%
Volatility (monthly)1.10%
Volatility (annualized)3.82%
Downside Deviation (monthly)0.57%
Max. Drawdown-5.86%
US Market Correlation0.07
Beta(*)0.02
Alpha (annualized)5.45%
R20.55%
Sharpe Ratio0.69
Sortino Ratio1.09
Treynor Ratio (%)137.16
Information Ratio-0.34
Diversification Ratio1.00
Skewness-0.16
Excess Kurtosis0.73
Historical Value-at-Risk (5%)-1.32%
Analytical Value-at-Risk (5%)-1.34%
Conditional Value-at-Risk (5%)-2.02%
Upside Capture Ratio (%)14.97
Downside Capture Ratio (%)-9.61
Positive Periods262 out of 382 (68.59%)
Gain/Loss Ratio1.37
* 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 1
Black Monday PeriodSep 1987Nov 1987-2.25%
Asian CrisisJul 1997Jan 1998-0.85%
Russian Debt DefaultJul 1998Oct 1998-0.55%
Dotcom CrashMar 2000Oct 2002-1.91%
Subprime CrisisNov 2007Mar 2009-3.99%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1987Sep 19877 monthsJan 19884 months11 months-5.86%
2Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
3Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
4May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
5Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
6Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
7Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
8Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
9Mar 1988May 19883 monthsSep 19884 months7 months-2.64%
10Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBMFXVanguard Total Bond Market Index Inv5.73%3.82%18.18%-2.66%-5.86%0.691.090.07

Annual Asset Returns