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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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 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jun 1986 - Dec 1995)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 165.00%
VUSTX Vanguard Long-Term Treasury Inv 135.00%
CASHX Cash -200.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$71,099 22.71% 30.91%107.02%-17.76%-45.32% 0.640.990.93
Vanguard 500 Index Investor$10,000$32,898 13.23% 15.07%37.45%-3.32%-29.78% 0.540.760.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 118.23%107.02%32.96%35.11%22.71%20.97%23.31%
Vanguard 500 Index Investor6.01%37.45%15.18%16.41%13.23%8.35%10.08%
Trailing annualized return and volatility are for full months ending in December 1995 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 1986 are based on monthly returns from June to December
  • 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 (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 quarterly rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
ReturnBalanceReturnBalance
19861.47%1.36%$10,136-0.42%$9,958-0.42%7.40%3.33%
19874.43%-8.06%$9,3194.71%$10,4264.71%-2.92%5.93%
19884.42%25.90%$11,73316.22%$12,11716.22%9.15%6.80%
19894.65%63.67%$19,20431.36%$15,91831.36%17.93%8.61%
19906.11%-17.76%$15,793-3.32%$15,389-3.32%5.78%7.89%
19913.06%67.54%$26,45830.22%$20,04030.22%17.43%5.71%
19922.90%14.31%$30,2457.42%$21,5277.42%7.41%3.57%
19932.75%34.61%$40,7139.89%$23,6579.89%16.79%3.05%
19942.67%-15.65%$34,3431.18%$23,9351.18%-7.04%4.20%
19952.54%107.02%$71,09937.45%$32,89837.45%30.09%5.71%
Annual return for 1986 is from 06/01/1986 to 12/31/1986
Monthly returns for the configured portfolios
YearMonthPortfolio 1Vanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
ReturnBalanceReturnBalance
198666.02%$10,6021.67%$10,1671.67%3.21%0.53%
19867-11.54%$9,379-5.74%$9,583-5.74%-0.78%0.50%
1986819.03%$11,1647.45%$10,2977.45%4.69%0.49%
19869-18.72%$9,074-8.31%$9,441-8.31%-3.63%0.43%
19861010.61%$10,0375.63%$9,9735.63%1.62%0.44%
1986115.58%$10,5972.55%$10,2282.55%1.90%0.44%
198612-4.35%$10,136-2.64%$9,958-2.64%0.38%0.45%
1987122.69%$12,43613.27%$11,27913.27%1.30%0.48%
198726.45%$13,2383.97%$11,7263.97%1.07%0.47%
198731.92%$13,4922.89%$12,0662.89%-1.58%0.46%
19874-9.11%$12,263-1.03%$11,942-1.03%-4.80%0.47%
19875-1.28%$12,1051.04%$12,0661.04%-1.50%0.47%
1987610.13%$13,3325.02%$12,6715.02%1.44%0.48%
198775.64%$14,0844.91%$13,2944.91%-1.11%0.48%
198783.34%$14,5553.84%$13,8053.84%-1.56%0.51%
19879-9.15%$13,224-2.29%$13,489-2.29%-3.72%0.53%
198710-29.08%$9,378-21.73%$10,559-21.73%5.84%0.56%
198711-15.14%$7,958-8.19%$9,694-8.19%0.47%0.44%
19871217.11%$9,3197.55%$10,4267.55%1.60%0.44%
1988112.21%$10,4574.17%$10,8624.17%4.65%0.48%
198827.62%$11,2554.59%$11,3604.59%1.16%0.47%
19883-7.92%$10,363-3.04%$11,015-3.04%-2.24%0.47%
19884-0.83%$10,2771.01%$11,1261.01%-1.14%0.48%
19885-1.79%$10,0920.81%$11,2160.81%-1.59%0.50%
1988612.18%$11,3214.56%$11,7274.56%4.09%0.54%
19887-4.28%$10,837-0.37%$11,684-0.37%-1.90%0.55%
19888-6.49%$10,134-3.40%$11,287-3.40%0.40%0.59%
1988911.80%$11,3304.26%$11,7674.26%3.86%0.62%
1988106.59%$12,0772.73%$12,0892.73%2.45%0.61%
198811-5.82%$11,374-1.40%$11,919-1.40%-1.88%0.62%
1988123.16%$11,7331.66%$12,1171.66%1.29%0.66%
1989113.47%$13,3147.32%$13,0057.32%2.05%0.68%
19892-7.15%$12,362-2.47%$12,684-2.47%-1.71%0.71%
198933.36%$12,7782.26%$12,9702.26%0.86%0.74%
1989410.54%$14,1265.18%$13,6435.18%2.59%0.75%
198958.89%$15,3824.04%$14,1934.04%3.11%0.71%
198965.06%$16,160-0.59%$14,110-0.59%6.07%0.73%
1989716.30%$18,7939.01%$15,3819.01%2.06%0.67%
19898-1.69%$18,4751.86%$15,6671.86%-2.90%0.66%
19899-1.64%$18,173-0.40%$15,603-0.40%0.15%0.67%
1989100.04%$18,179-2.34%$15,238-2.34%3.88%0.67%
1989113.11%$18,7462.04%$15,5492.04%0.83%0.66%
1989122.44%$19,2042.38%$15,9182.38%-0.05%0.64%
19901-17.31%$15,880-6.72%$14,849-6.72%-3.67%0.64%
199020.28%$15,9231.27%$15,0381.27%-0.32%0.65%
199032.88%$16,3822.61%$15,4302.61%-0.26%0.66%
19904-9.28%$14,862-2.50%$15,044-2.50%-2.84%0.66%
1990522.13%$18,1519.69%$16,5029.69%4.49%0.66%
199060.58%$18,256-0.66%$16,393-0.66%2.28%0.65%
19907-0.95%$18,083-0.35%$16,336-0.35%0.70%0.65%
19908-22.01%$14,103-9.03%$14,860-9.03%-4.25%0.63%
19909-9.08%$12,823-4.89%$14,134-4.89%1.15%0.62%
1990101.03%$12,955-0.41%$14,076-0.41%2.15%0.60%
19901115.50%$14,9636.44%$14,9826.44%4.60%0.60%
1990125.54%$15,7932.72%$15,3892.72%2.05%0.59%
199117.51%$16,9794.32%$16,0544.32%1.09%0.54%
1991211.07%$18,8597.15%$17,2027.15%0.50%0.52%
199133.15%$19,4532.41%$17,6152.41%0.27%0.51%
199141.09%$19,6650.20%$17,6500.20%1.28%0.48%
199155.85%$20,8164.27%$18,4044.27%-0.14%0.46%
19916-9.16%$18,909-4.56%$17,565-4.56%-0.78%0.47%
199178.77%$20,5664.63%$18,3784.63%1.53%0.47%
199187.22%$22,0512.33%$18,8072.33%3.49%0.47%
199190.28%$22,114-1.67%$18,493-1.67%2.95%0.45%
1991101.23%$22,3861.33%$18,7381.33%-0.08%0.43%
199111-7.38%$20,734-4.01%$17,987-4.01%0.02%0.40%
19911227.61%$26,45811.41%$20,04011.41%6.26%0.37%
19921-8.09%$24,317-1.88%$19,662-1.88%-3.21%0.33%
199222.39%$24,8991.24%$19,9071.24%0.64%0.32%
19923-5.57%$23,512-1.93%$19,524-1.93%-1.10%0.33%
199244.03%$24,4592.91%$20,0932.91%-0.07%0.34%
199253.69%$25,3600.48%$20,1900.48%2.70%0.31%
19926-1.50%$24,981-1.49%$19,889-1.49%1.12%0.31%
1992711.50%$27,8544.04%$20,6934.04%4.02%0.30%
19928-2.77%$27,083-2.07%$20,265-2.07%0.71%0.27%
199293.08%$27,9181.17%$20,5021.17%1.36%0.26%
199210-2.46%$27,2320.33%$20,5700.33%-1.89%0.23%
1992115.93%$28,8473.40%$21,2703.40%0.50%0.25%
1992124.85%$30,2451.21%$21,5271.21%2.63%0.27%
199314.66%$31,6550.81%$21,7010.81%2.85%0.26%
199325.93%$33,5311.36%$21,9951.36%3.20%0.24%
199333.00%$34,5362.11%$22,4582.11%0.19%0.25%
19934-3.46%$33,341-2.42%$21,914-2.42%0.76%0.24%
199354.45%$34,8252.65%$22,4952.65%0.38%0.24%
199365.55%$36,7570.27%$22,5560.27%4.17%0.26%
199370.67%$37,004-0.42%$22,460-0.42%1.39%0.25%
1993811.08%$41,1043.79%$23,3103.79%3.99%0.25%
19939-1.24%$40,593-0.79%$23,125-0.79%0.33%0.25%
1993103.77%$42,1242.08%$23,6062.08%0.62%0.24%
199311-5.34%$39,874-1.00%$23,371-1.00%-2.48%0.25%
1993122.10%$40,7131.22%$23,6571.22%0.42%0.26%
199418.08%$44,0033.38%$24,4563.38%2.23%0.25%
19942-9.82%$39,680-2.71%$23,792-2.71%-3.99%0.25%
19943-13.21%$34,440-4.39%$22,748-4.39%-3.82%0.28%
19944-0.19%$34,3741.29%$23,0411.29%-1.29%0.29%
199451.44%$34,8701.63%$23,4161.63%-0.47%0.32%
19946-5.87%$32,822-2.47%$22,838-2.47%-0.81%0.35%
199478.68%$35,6703.28%$23,5863.28%2.94%0.35%
199484.86%$37,4054.08%$24,5484.08%-0.67%0.36%
19949-8.08%$34,383-2.45%$23,947-2.45%-3.00%0.38%
1994102.44%$35,2232.25%$24,4852.25%-0.36%0.39%
199411-6.01%$33,105-3.65%$23,590-3.65%0.62%0.42%
1994123.74%$34,3431.46%$23,9351.46%1.62%0.47%
199516.87%$36,7022.58%$24,5532.58%2.62%0.47%
199528.74%$39,9093.88%$25,5063.88%2.73%0.49%
199534.49%$41,7012.95%$26,2592.95%0.72%0.48%
199546.13%$44,2562.94%$27,0312.94%1.65%0.48%
1995515.10%$50,9403.95%$28,1003.95%7.52%0.48%
199563.90%$52,9262.31%$28,7502.31%1.13%0.47%
199572.65%$54,3283.30%$29,7003.30%-1.40%0.46%
199582.18%$55,5100.25%$29,7730.25%2.05%0.46%
199598.34%$60,1384.23%$31,0324.23%1.81%0.44%
1995102.52%$61,655-0.36%$30,920-0.36%2.97%0.44%
1995119.25%$67,3604.38%$32,2744.38%2.31%0.45%
1995125.55%$71,0991.93%$32,8981.93%2.70%0.45%
Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)2.12%1.14%
Arithmetic Mean (annualized)28.64%14.54%
Geometric Mean (monthly)1.72%1.04%
Geometric Mean (annualized)22.71%13.23%
Volatility (monthly)8.92%4.35%
Volatility (annualized)30.91%15.07%
Downside Deviation (monthly)5.61%2.89%
Max. Drawdown-45.32%-29.78%
US Market Correlation0.930.99
Beta(*)1.931.00
Alpha (annualized)-0.90%0.00%
R288.59%100.00%
Sharpe Ratio0.640.54
Sortino Ratio0.990.76
Treynor Ratio (%)10.308.09
Calmar Ratio1.302.17
Active Return9.48%N/A
Tracking Error17.48%N/A
Information Ratio0.54N/A
Skewness-0.37-1.21
Excess Kurtosis1.406.33
Historical Value-at-Risk (5%)-12.04%-5.15%
Analytical Value-at-Risk (5%)-12.42%-6.02%
Conditional Value-at-Risk (5%)-19.24%-9.95%
Upside Capture Ratio (%)218.80100.00
Downside Capture Ratio (%)201.01100.00
Safe Withdrawal Rate15.88%13.74%
Perpetual Withdrawal Rate14.94%8.13%
Positive Periods77 out of 115 (66.96%)76 out of 115 (66.09%)
Gain/Loss Ratio0.921.04
* Vanguard 500 Index Investor 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 1Vanguard 500 Index Investor
Black Monday PeriodSep 1987Nov 1987-45.32%-29.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-45.32%
2Jan 1990Sep 19909 monthsMar 19916 months1 year 3 months-33.22%
3Feb 1994Jun 19945 monthsApr 199510 months1 year 3 months-25.41%
4Sep 1986Sep 19861 monthJan 19874 months5 months-18.72%
5Jul 1986Jul 19861 monthAug 19861 month2 months-11.54%
6Jan 1992Mar 19923 monthsJul 19924 months7 months-11.14%
7Apr 1987May 19872 monthsJul 19872 months4 months-10.28%
8Jun 1991Jun 19911 monthAug 19912 months3 months-9.16%
9Nov 1991Nov 19911 monthDec 19911 month2 months-7.38%
10Nov 1993Nov 19931 monthJan 19942 months3 months-5.34%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
2Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
3Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
4Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
5Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
6Jul 1986Jul 19861 monthAug 19861 month2 months-5.74%
7Jun 1991Jun 19911 monthAug 19912 months3 months-4.56%
8Sep 1991Nov 19913 monthsDec 19911 month4 months-4.36%
9Sep 1994Nov 19943 monthsJan 19952 months5 months-3.90%
10Sep 1989Oct 19892 monthsDec 19892 months4 months-2.73%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor13.23%15.07%37.45%-3.32%-29.78%0.540.760.99
VUSTXVanguard Long-Term Treasury Inv10.17%8.37%30.09%-7.04%-12.25%0.540.850.33
CASHXCash5.71%0.49%8.61%3.05%0.00%N/AN/A0.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVUSTXCASHXPortfolio 1Vanguard 500 Index Investor
VFINXVanguard 500 Index Investor1.000.350.030.941.00
VUSTXVanguard Long-Term Treasury Inv0.351.000.070.640.35
CASHXCash0.030.071.000.020.03

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$50,712
VUSTXVanguard Long-Term Treasury Inv$33,033
CASHXCash-$22,646

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor76.44%
VUSTXVanguard Long-Term Treasury Inv23.63%
CASHXCash-0.06%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year23.59%107.02%-30.38%13.04%42.87%-18.24%
3 years21.69%48.15%-1.04%12.49%18.81%1.57%
5 years21.59%36.62%11.75%12.61%17.04%7.98%
7 years21.09%29.35%13.74%12.34%15.34%8.54%