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 Analysis Results (Mar 1993 - Dec 1999)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$38,117 21.63% 13.04%37.45%1.18%-15.38% 1.221.970.98
Portfolio 2$10,000$24,922 14.30% 14.63%30.75%-7.30%-28.77% 0.670.970.77
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 114.96%21.07%27.53%28.49%21.63%16.78%13.97%
Portfolio 26.74%13.05%11.07%16.72%14.30%19.44%16.33%
Trailing annualized return and volatility are for full months ending in December 1999 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 1993 are based on monthly returns from March 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 annual 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 1Portfolio 2Vanguard 500 Index Investor (VFINX)DFA US Small Cap Value I (DFSVX)
ReturnBalanceReturnBalance
19931.89%7.56%$10,75613.62%$11,3627.56%13.62%
19942.67%1.18%$10,8821.23%$11,5021.18%1.23%
19952.54%37.45%$14,95729.28%$14,87037.45%29.28%
19963.32%22.88%$18,37922.33%$18,18922.88%22.33%
19971.70%33.19%$24,47930.75%$23,78233.19%30.75%
19981.61%28.62%$31,484-7.30%$22,04628.62%-7.30%
19992.68%21.07%$38,11713.05%$24,92221.07%13.05%
Annual return for 1993 is from 03/01/1993 to 12/31/1993
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnVanguard 500 Index Investor (VFINX)DFA US Small Cap Value I (DFSVX)
199332.11%-0.80%2.11%-0.80%
19934-2.42%-2.12%-2.42%-2.12%
199352.65%2.68%2.65%2.68%
199360.27%0.00%0.27%0.00%
19937-0.42%3.01%-0.42%3.01%
199383.79%3.21%3.79%3.21%
19939-0.79%3.49%-0.79%3.49%
1993102.08%3.37%2.08%3.37%
199311-1.00%-1.77%-1.00%-1.77%
1993121.22%2.00%1.22%2.00%
199413.38%5.16%3.38%5.16%
19942-2.71%-0.34%-2.71%-0.34%
19943-4.39%-3.31%-4.39%-3.31%
199441.29%0.70%1.29%0.70%
199451.63%0.26%1.63%0.26%
19946-2.47%-1.83%-2.47%-1.83%
199473.28%1.68%3.28%1.68%
199484.08%3.40%4.08%3.40%
19949-2.45%-0.34%-2.45%-0.34%
1994102.25%-1.44%2.25%-1.44%
199411-3.65%-3.43%-3.65%-3.43%
1994121.46%1.05%1.46%1.05%
199512.58%0.98%2.58%0.98%
199523.88%3.53%3.88%3.53%
199532.95%1.19%2.95%1.19%
199542.94%3.54%2.94%3.54%
199553.95%2.76%3.95%2.76%
199562.31%3.96%2.31%3.96%
199573.30%5.40%3.30%5.40%
199580.25%3.18%0.25%3.18%
199594.23%1.26%4.23%1.26%
199510-0.36%-4.91%-0.36%-4.91%
1995114.38%3.72%4.38%3.72%
1995121.93%1.73%1.93%1.73%
199613.39%-0.35%3.39%-0.35%
199620.92%2.19%0.92%2.19%
199630.98%2.76%0.98%2.76%
199641.46%5.18%1.46%5.18%
199652.54%3.90%2.54%3.90%
199660.38%-2.09%0.38%-2.09%
19967-4.42%-6.22%-4.42%-6.22%
199682.10%4.56%2.10%4.56%
199695.61%3.33%5.61%3.33%
1996102.76%0.74%2.76%0.74%
1996117.56%4.74%7.56%4.74%
199612-1.96%2.19%-1.96%2.19%
199716.22%2.54%6.22%2.54%
199720.79%0.00%0.79%0.00%
19973-4.14%-2.65%-4.14%-2.65%
199745.96%-0.41%5.96%-0.41%
199756.09%9.46%6.09%9.46%
199764.45%6.25%4.45%6.25%
199777.97%5.98%7.97%5.98%
19978-5.61%3.52%-5.61%3.52%
199795.47%7.69%5.47%7.69%
199710-3.35%-3.55%-3.35%-3.55%
1997114.60%-0.85%4.60%-0.85%
1997121.72%0.09%1.72%0.09%
199811.11%-1.23%1.11%-1.23%
199827.19%7.54%7.19%7.54%
199835.10%4.07%5.10%4.07%
199841.01%1.93%1.01%1.93%
19985-1.74%-3.83%-1.74%-3.83%
199864.07%-1.97%4.07%-1.97%
19987-1.05%-7.37%-1.05%-7.37%
19988-14.47%-18.43%-14.47%-18.43%
199896.41%2.84%6.41%2.84%
1998108.16%4.26%8.16%4.26%
1998116.07%5.30%6.07%5.30%
1998125.81%2.32%5.81%2.32%
199914.20%1.56%4.20%1.56%
19992-3.12%-8.24%-3.12%-8.24%
199934.00%-1.92%4.00%-1.92%
199943.85%10.68%3.85%10.68%
19995-2.39%4.69%-2.39%4.69%
199965.56%6.11%5.56%6.11%
19997-3.13%-0.45%-3.13%-0.45%
19998-0.50%-2.74%-0.50%-2.74%
19999-2.74%-2.67%-2.74%-2.67%
1999106.33%-3.42%6.33%-3.42%
1999112.02%4.53%2.02%4.53%
1999125.98%5.73%5.98%5.73%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%1.40%0.14%27.41$28,117100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value100.00%1.66%0.39%14.19$14,922100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/05/2021. (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 2
Arithmetic Mean (monthly)1.72%1.21%
Arithmetic Mean (annualized)22.65%15.53%
Geometric Mean (monthly)1.65%1.12%
Geometric Mean (annualized)21.63%14.30%
Volatility (monthly)3.76%4.22%
Volatility (annualized)13.04%14.63%
Downside Deviation (monthly)2.18%2.79%
Max. Drawdown-15.38%-28.77%
US Market Correlation0.980.77
Beta(*)0.960.85
Alpha (annualized)1.61%-2.14%
R296.87%59.37%
Sharpe Ratio1.220.67
Sortino Ratio1.970.97
Treynor Ratio (%)16.5111.64
Calmar Ratio1.790.38
Active Return1.14%-6.19%
Tracking Error2.35%9.54%
Information Ratio0.49-0.65
Skewness-1.07-1.28
Excess Kurtosis2.864.87
Historical Value-at-Risk (5%)-4.11%-4.85%
Analytical Value-at-Risk (5%)-4.48%-5.73%
Conditional Value-at-Risk (5%)-6.61%-9.03%
Upside Capture Ratio (%)100.4375.31
Downside Capture Ratio (%)92.8089.04
Safe Withdrawal Rate22.93%21.73%
Perpetual Withdrawal Rate15.46%10.17%
Positive Periods59 out of 82 (71.95%)52 out of 82 (63.41%)
Gain/Loss Ratio1.181.14
* 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
Asian CrisisJul 1997Jan 1998-5.61%-5.47%
Russian Debt DefaultJul 1998Oct 1998-15.38%-24.44%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
2Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
3Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
4Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
5Jul 1996Jul 19961 monthSep 19962 months3 months-4.42%
6Mar 1997Mar 19971 monthApr 19971 month2 months-4.14%
7Sep 1994Nov 19943 monthsJan 19952 months5 months-3.90%
8Feb 1999Feb 19991 monthMar 19991 month2 months-3.12%
9Apr 1993Apr 19931 monthMay 19931 month2 months-2.42%
10May 1999May 19991 monthJun 19991 month2 months-2.39%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 1998Aug 19984 months-28.77%
2Jun 1996Jul 19962 monthsNov 19964 months6 months-8.18%
3Oct 1997Jan 19984 monthsFeb 19981 month5 months-5.47%
4Sep 1994Nov 19943 monthsFeb 19953 months6 months-5.14%
5Oct 1995Oct 19951 monthDec 19952 months3 months-4.91%
6Feb 1994Jun 19945 monthsAug 19942 months7 months-4.49%
7Mar 1997Apr 19972 monthsMay 19971 month3 months-3.06%
8Mar 1993Apr 19932 monthsJul 19933 months5 months-2.90%
9Nov 1993Nov 19931 monthDec 19931 month2 months-1.77%
10Jan 1996Jan 19961 monthFeb 19961 month2 months-0.35%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor21.63%13.04%37.45%1.18%-15.38%1.221.970.98
DFSVXDFA US Small Cap Value I14.30%14.63%30.75%-7.30%-28.77%0.670.970.77

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXDFSVXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.000.691.000.69
DFSVXDFA US Small Cap Value I0.691.000.691.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$28,117
DFSVXDFA US Small Cap Value I$14,922

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor100.00%
DFSVXDFA US Small Cap Value I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year22.87%52.00%0.40%15.29%48.19%-23.34%
3 years25.04%32.68%14.86%17.66%29.28%9.00%
5 years24.05%28.49%18.12%15.80%22.51%11.53%