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 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 1986 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1.00$1,267,767 55.14% 10.60%9.59%14.87%37.45%-37.02%-50.97%
(-49.32%)
0.540.780.99
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
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
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • 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
  • Inflation adjusted monthly contribution of $400 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentVanguard 500 Index Investor (VFINX)
19861.10%18.06%$4,960$4,81418.06%
19874.43%4.71%$9,608$4,9904.71%
19884.42%16.22%$16,637$5,19316.22%
19894.65%31.36%$27,866$5,44431.36%
19906.11%-3.32%$32,745$5,738-3.32%
19913.06%30.22%$49,287$5,98130.22%
19922.90%7.42%$59,471$6,1627.42%
19932.75%9.89%$71,964$6,3449.89%
19942.67%1.18%$79,388$6,5091.18%
19952.54%37.45%$116,791$6,69237.45%
19963.32%22.88%$151,169$6,88822.88%
19971.70%33.19%$209,269$7,04933.19%
19981.61%28.62%$277,344$7,15928.62%
19992.68%21.07%$343,919$7,31521.07%
20003.39%-9.06%$319,859$7,562-9.06%
20011.55%-12.02%$289,014$7,776-12.02%
20022.38%-22.15%$232,185$7,899-22.15%
20031.88%28.50%$307,786$8,07928.50%
20043.26%10.74%$349,782$8,29510.74%
20053.42%4.77%$375,421$8,5764.77%
20062.54%15.64%$443,762$8,85315.64%
20074.08%5.39%$476,795$9,1065.39%
20080.09%-37.02%$307,569$9,455-37.02%
20092.72%26.49%$400,402$9,42226.49%
20101.50%14.91%$470,896$9,57614.91%
20112.96%1.97%$489,971$9,8781.97%
20121.74%15.82%$577,995$10,08315.82%
20131.50%32.18%$775,564$10,23132.18%
20140.76%13.51%$891,459$10,39713.51%
20150.73%1.25%$913,062$10,4091.25%
20162.07%11.82%$1,032,292$10,54011.82%
20172.11%21.67%$1,267,767$10,76521.67%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)
198610.43%$4020.43%
198627.58%$8337.58%
198635.48%$1,2765.48%
19864-1.35%$1,657-1.35%
198655.45%$2,1455.45%
198661.67%$2,5821.67%
19867-5.74%$2,834-5.74%
198687.45%$3,4477.45%
19869-8.31%$3,564-8.31%
1986105.63%$4,1685.63%
1986112.55%$4,6792.55%
198612-2.64%$4,960-2.64%
1987113.27%$6,02513.27%
198723.97%$6,6723.97%
198732.86%$7,2732.86%
19874-0.99%$7,613-0.99%
198751.04%$8,1061.04%
198765.02%$8,9295.02%
198774.91%$9,7844.91%
198783.84%$10,5783.84%
19879-2.29%$10,757-2.29%
198710-21.73%$8,842-21.73%
198711-8.19%$8,541-8.19%
1987127.55%$9,6087.55%
198814.17%$10,4324.17%
198824.59%$11,3364.59%
19883-3.04%$11,417-3.04%
198841.01%$11,9621.01%
198850.81%$12,4880.81%
198864.56%$13,4894.56%
19887-0.37%$13,873-0.37%
19888-3.40%$13,837-3.40%
198894.26%$14,8644.26%
1988102.73%$15,7112.73%
198811-1.47%$15,919-1.47%
1988121.74%$16,6371.74%
198917.32%$18,2987.32%
19892-2.47%$18,291-2.47%
198932.26%$19,1522.26%
198945.18%$20,5965.18%
198954.04%$21,8804.04%
19896-0.59%$22,206-0.59%
198979.01%$24,6619.01%
198981.86%$25,5751.86%
19899-0.40%$25,929-0.40%
198910-2.34%$25,783-2.34%
1989112.04%$26,7682.04%
1989122.38%$27,8662.38%
19901-6.72%$26,460-6.72%
199021.27%$27,2661.27%
199032.61%$28,4472.61%
19904-2.50%$28,207-2.50%
199059.69%$31,4149.69%
19906-0.66%$31,683-0.66%
19907-0.35%$32,049-0.35%
19908-9.03%$29,636-9.03%
19909-4.89%$28,672-4.89%
199010-0.41%$29,043-0.41%
1990116.44%$31,4036.44%
1990122.72%$32,7452.72%
199114.35%$34,6634.35%
199127.12%$37,6237.12%
199132.41%$39,0222.41%
199140.20%$39,5940.20%
199154.27%$41,7824.27%
19916-4.56%$40,375-4.56%
199174.63%$42,7414.63%
199182.33%$44,2382.33%
19919-1.67%$44,002-1.67%
1991101.33%$45,0891.33%
199111-4.01%$43,785-4.01%
19911211.41%$49,28711.41%
19921-1.88%$48,865-1.88%
199221.24%$49,9801.24%
19923-1.93%$49,527-1.93%
199242.91%$51,4812.91%
199250.48%$52,2420.48%
19926-1.49%$51,976-1.49%
199274.04%$54,5924.04%
19928-2.07%$53,979-2.07%
199291.17%$55,1271.17%
1992100.33%$55,8270.33%
1992113.40%$58,2463.40%
1992121.21%$59,4711.21%
199310.81%$60,4720.81%
199321.36%$61,8161.36%
199332.11%$63,6442.11%
19934-2.42%$62,628-2.42%
199352.65%$64,8182.65%
199360.27%$65,5190.27%
19937-0.42%$65,770-0.42%
199383.79%$68,7893.79%
19939-0.79%$68,774-0.79%
1993102.08%$70,7372.08%
199311-1.00%$70,566-1.00%
1993121.22%$71,9641.22%
199413.38%$74,9293.38%
19942-2.71%$73,432-2.71%
19943-4.39%$70,748-4.39%
199441.29%$72,2001.29%
199451.60%$73,8981.60%
19946-2.45%$72,631-2.45%
199473.28%$75,5543.28%
199484.08%$79,1794.08%
19949-2.45%$77,789-2.45%
1994102.25%$80,0842.25%
199411-3.65%$77,705-3.65%
1994121.46%$79,3881.46%
199512.58%$81,9892.58%
199523.88%$85,7223.88%
199532.95%$88,8082.95%
199542.94%$91,9762.94%
199553.95%$96,1703.95%
199562.31%$98,9512.31%
199573.30%$102,7783.30%
199580.26%$103,6100.26%
199594.21%$108,5344.21%
199510-0.36%$108,702-0.36%
1995114.38%$114,0254.38%
1995121.93%$116,7911.93%
199613.39%$121,3093.39%
199620.92%$122,9970.92%
199630.98%$124,7680.98%
199641.46%$127,1571.46%
199652.54%$130,9652.54%
199660.38%$132,0400.38%
19967-4.42%$126,778-4.42%
199682.10%$130,0112.10%
199695.61%$137,8785.61%
1996102.76%$142,2572.76%
1996117.56%$153,5977.56%
199612-1.96%$151,169-1.96%
199716.22%$161,1496.22%
199720.79%$163,0050.79%
19973-4.14%$156,849-4.14%
199745.96%$166,7775.96%
199756.09%$177,5166.09%
199764.45%$186,0094.45%
199777.97%$201,4137.97%
19978-5.61%$190,704-5.61%
199795.47%$201,7245.47%
199710-3.35%$195,557-3.35%
1997114.60%$205,1414.60%
1997121.72%$209,2691.72%
199811.11%$212,1841.11%
199827.19%$228,0387.19%
199835.10%$240,2705.10%
199841.01%$243,2861.01%
19985-1.74%$239,640-1.74%
199864.07%$249,9934.07%
19987-1.05%$247,955-1.05%
19988-14.47%$212,665-14.47%
199896.41%$226,8986.41%
1998108.16%$246,0238.16%
1998116.07%$261,5606.07%
1998125.81%$277,3445.81%
199914.20%$289,6044.20%
19992-3.12%$281,157-3.12%
199934.00%$292,9974.00%
199943.85%$304,8923.85%
19995-2.39%$298,216-2.39%
199965.56%$315,3935.56%
19997-3.13%$306,131-3.13%
19998-0.50%$305,223-0.50%
19999-2.74%$297,477-2.74%
1999106.33%$316,9126.33%
1999112.02%$323,9392.02%
1999125.98%$343,9195.98%
20001-5.03%$327,230-5.03%
20002-1.91%$321,614-1.91%
200039.76%$353,6309.76%
20004-3.01%$343,628-3.01%
20005-2.04%$337,251-2.04%
200062.49%$346,2702.49%
20007-1.49%$341,740-1.49%
200086.19%$363,5256.19%
20009-5.29%$344,933-5.29%
200010-0.43%$344,087-0.43%
200011-7.88%$317,618-7.88%
2000120.50%$319,8590.50%
200113.55%$331,8393.55%
20012-9.14%$302,159-9.14%
20013-6.36%$283,598-6.36%
200147.77%$306,2837.77%
200150.65%$308,9240.65%
20016-2.45%$302,021-2.45%
20017-1.00%$299,651-1.00%
20018-6.27%$281,500-6.27%
20019-8.09%$259,376-8.09%
2001101.90%$264,9421.90%
2001117.65%$285,8697.65%
2001120.87%$289,0140.87%
20021-1.47%$285,405-1.47%
20022-1.94%$280,530-1.94%
200233.74%$291,6853.74%
20024-6.07%$274,624-6.07%
20025-0.75%$273,210-0.75%
20026-7.13%$254,376-7.13%
20027-7.72%$235,400-7.72%
200280.65%$237,5970.65%
20029-10.87%$212,421-10.87%
2002108.78%$231,7418.78%
2002115.88%$246,0205.88%
200212-5.89%$232,185-5.89%
20031-2.62%$226,756-2.62%
20032-1.52%$223,982-1.52%
200330.96%$226,7990.96%
200348.25%$246,1918.25%
200355.26%$259,8225.26%
200361.26%$263,7671.26%
200371.74%$269,0411.74%
200381.93%$274,9151.93%
20039-1.07%$272,648-1.07%
2003105.64%$288,7065.64%
2003110.86%$291,8760.86%
2003125.22%$307,7865.22%
200411.82%$314,0701.82%
200421.38%$319,0771.38%
20043-1.51%$314,934-1.51%
20044-1.58%$310,656-1.58%
200451.36%$315,5671.36%
200461.93%$322,3501.93%
20047-3.31%$312,370-3.31%
200480.38%$314,2590.38%
200491.07%$318,3081.07%
2004101.51%$323,8281.51%
2004114.05%$337,6284.05%
2004123.39%$349,7823.39%
20051-2.45%$341,895-2.45%
200522.09%$349,7552.09%
20053-1.76%$344,307-1.76%
20054-1.91%$338,436-1.91%
200553.17%$349,8673.17%
200560.13%$351,0240.13%
200573.71%$364,7503.71%
20058-0.91%$362,137-0.91%
200590.79%$365,7410.79%
200510-1.68%$360,331-1.68%
2005113.76%$374,6193.76%
2005120.02%$375,4210.02%
200612.65%$386,0782.65%
200620.26%$387,8200.26%
200631.23%$393,3241.23%
200641.33%$399,3061.33%
20065-2.90%$388,481-2.90%
200660.13%$389,7200.13%
200670.61%$392,8300.61%
200682.36%$402,8542.36%
200692.56%$413,9242.56%
2006103.25%$428,1193.25%
2006111.89%$436,9441.89%
2006121.39%$443,7621.39%
200711.49%$451,1291.49%
20072-1.97%$442,990-1.97%
200731.11%$448,6661.11%
200744.42%$469,2444.42%
200753.48%$486,3213.48%
20076-1.68%$478,931-1.68%
20077-3.08%$464,919-3.08%
200781.50%$472,6461.50%
200793.72%$491,0103.72%
2007101.58%$499,5271.58%
200711-4.19%$479,382-4.19%
200712-0.70%$476,795-0.70%
20081-6.02%$448,886-6.02%
20082-3.25%$435,065-3.25%
20083-0.44%$433,930-0.44%
200844.85%$455,7804.85%
200851.29%$462,4641.29%
20086-8.44%$424,242-8.44%
20087-0.83%$421,518-0.83%
200881.45%$428,4161.45%
20089-8.91%$391,062-8.91%
200810-16.79%$326,186-16.79%
200811-7.17%$303,560-7.17%
2008121.07%$307,5691.07%
20091-8.41%$282,467-8.41%
20092-10.66%$253,141-10.66%
200938.76%$276,0958.76%
200949.56%$303,2669.56%
200955.62%$321,0865.62%
200960.22%$322,5810.22%
200977.58%$347,8147.58%
200983.60%$361,1213.60%
200993.72%$375,3343.72%
200910-1.87%$369,115-1.87%
2009115.98%$391,9855.98%
2009121.95%$400,4021.95%
20101-3.60%$386,765-3.60%
201023.09%$399,5163.09%
201036.01%$424,3386.01%
201041.58%$431,8321.58%
20105-8.01%$398,062-8.01%
20106-5.24%$378,003-5.24%
201077.00%$405,2467.00%
20108-4.53%$387,689-4.53%
201098.92%$423,0668.92%
2010103.79%$439,8933.79%
2010110.00%$440,6940.00%
2010126.67%$470,8966.67%
201112.36%$482,8012.36%
201123.42%$500,1053.42%
201130.03%$501,0510.03%
201142.95%$516,6452.95%
20115-1.15%$511,554-1.15%
20116-1.67%$503,826-1.67%
20117-2.05%$494,340-2.05%
20118-5.45%$468,245-5.45%
20119-7.04%$436,099-7.04%
20111010.91%$484,52210.91%
201111-0.23%$484,218-0.23%
2011121.02%$489,9711.02%
201214.46%$512,6764.46%
201224.31%$535,5894.31%
201233.28%$554,0043.28%
20124-0.64%$551,303-0.64%
20125-6.02%$518,967-6.02%
201264.11%$541,1314.11%
201271.37%$549,3831.37%
201282.24%$562,5292.24%
201292.58%$577,8692.58%
201210-1.86%$567,970-1.86%
2012110.56%$571,9930.56%
2012120.90%$577,9950.90%
201315.18%$608,7565.18%
201321.34%$617,7561.34%
201333.74%$641,7043.74%
201341.91%$654,8021.91%
201352.33%$670,8952.33%
20136-1.35%$662,689-1.35%
201375.07%$697,1575.07%
20138-2.91%$677,713-2.91%
201393.12%$699,7253.12%
2013104.59%$732,6734.59%
2013113.03%$755,7143.03%
2013122.51%$775,5642.51%
20141-3.47%$749,515-3.47%
201424.56%$784,5574.56%
201430.82%$791,8850.82%
201440.72%$798,4870.72%
201452.33%$818,0012.33%
201462.05%$835,6592.05%
20147-1.39%$824,931-1.39%
201483.98%$858,6473.98%
20149-1.41%$847,389-1.41%
2014102.42%$868,7922.42%
2014112.68%$892,9602.68%
201412-0.26%$891,459-0.26%
20151-3.02%$865,414-3.02%
201525.74%$915,9455.74%
20153-1.59%$902,212-1.59%
201540.95%$911,6400.95%
201551.27%$924,1121.27%
20156-1.93%$907,123-1.93%
201572.08%$926,8672.08%
20158-6.04%$871,742-6.04%
20159-2.49%$850,906-2.49%
2015108.42%$923,4468.42%
2015110.29%$926,9590.29%
201512-1.59%$913,062-1.59%
20161-4.98%$868,489-4.98%
20162-0.15%$868,096-0.15%
201636.78%$927,7846.78%
201640.37%$932,1270.37%
201651.78%$949,6251.78%
201660.25%$952,8810.25%
201673.68%$988,7933.68%
201680.13%$990,9550.13%
201690.01%$991,9190.01%
201610-1.83%$974,621-1.83%
2016113.70%$1,011,5563.70%
2016121.96%$1,032,2921.96%
201711.88%$1,052,6211.88%
201723.96%$1,095,2253.96%
201730.10%$1,097,2130.10%
201741.02%$1,109,2791.02%
201751.39%$1,125,6351.39%
201760.61%$1,133,4150.61%
201772.04%$1,157,4612.04%
201780.29%$1,161,7560.29%
201792.06%$1,186,5812.06%
2017102.32%$1,214,9832.32%
2017113.06%$1,253,0573.06%
2017121.10%$1,267,7671.10%
* End-of-month balance includes the monthly contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value47.33%
Large-cap Growth52.31%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.03%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.34%
Short-Term Treasuries0.00%
R Squared99.91%
Style analysis is based on monthly returns from Apr 2005 to Dec 2017 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%100.00%$1,014,586100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 06/05/2019. © 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 1
Arithmetic Mean (monthly)0.94%
Arithmetic Mean (annualized)11.84%
Geometric Mean (monthly)0.84%
Geometric Mean (annualized)10.60%
Volatility (monthly)4.29%
Volatility (annualized)14.87%
Downside Deviation (monthly)2.86%
Max. Drawdown-50.97%
US Market Correlation0.99
Beta(*)0.98
Alpha (annualized)0.37%
R297.77%
Sharpe Ratio0.54
Sortino Ratio0.78
Treynor Ratio (%)8.22
Calmar Ratio1.34
Active Return0.19%
Tracking Error2.24%
Information Ratio0.08
Skewness-0.82
Excess Kurtosis2.70
Historical Value-at-Risk (5%)-6.96%
Analytical Value-at-Risk (5%)-6.12%
Conditional Value-at-Risk (5%)-9.89%
Upside Capture Ratio (%)98.11
Downside Capture Ratio (%)96.51
Safe Withdrawal Rate9.80%
Perpetual Withdrawal Rate7.26%
Positive Periods252 out of 384 (65.63%)
Gain/Loss Ratio0.92
* 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 1987-29.78%
Asian CrisisJul 1997Jan 1998-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%
Dotcom CrashMar 2000Oct 2002-44.82%
Subprime CrisisNov 2007Mar 2009-50.97%

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%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
8Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
10Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.60%14.87%37.45%-37.02%-50.97%0.540.780.99

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year11.98%37.45%-37.02%
3 years10.78%31.03%-14.60%
5 years10.42%28.49%-2.38%
7 years9.90%21.44%-1.64%
10 years9.39%19.04%-1.46%
15 years8.71%15.81%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods