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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1985 - Dec 1999)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
FSUTX Fidelity Select Utilities 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$867,827 57.00% 18.68%18.90%14.95%37.45%-3.32%-29.78%
(-24.57%)
0.861.290.99
Portfolio 2$1,000$839,309 56.65% 17.91%18.52%12.14%43.16%-9.26%-18.43%
(-9.29%)
0.971.620.68
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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.
  • 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 (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
  • Monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Fidelity Select Utilities (FSUTX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19853.80%31.23%31.72%$14,996$15,130$12,00031.23%31.72%
19861.10%18.06%24.04%$30,066$31,215$12,00018.06%24.04%
19874.43%4.71%-9.26%$42,095$39,492$12,0004.71%-9.26%
19884.42%16.22%16.46%$61,568$58,603$12,00016.22%16.46%
19894.65%31.36%39.02%$94,141$95,478$12,00031.36%39.02%
19906.11%-3.32%0.55%$103,149$108,682$12,000-3.32%0.55%
19913.06%30.22%21.03%$147,661$144,985$12,00030.22%21.03%
19922.90%7.42%10.59%$171,332$173,315$12,0007.42%10.59%
19932.75%9.89%12.54%$200,786$207,090$12,0009.89%12.54%
19942.67%1.18%-7.41%$215,274$203,375$12,0001.18%-7.41%
19952.54%37.45%34.39%$309,656$287,290$12,00037.45%34.39%
19963.32%22.88%11.37%$393,847$333,007$12,00022.88%11.37%
19971.70%33.19%30.31%$538,065$447,864$12,00033.19%30.31%
19981.61%28.62%43.16%$705,770$655,925$12,00028.62%43.16%
19992.68%21.07%25.92%$867,827$839,309$12,00021.07%25.92%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Fidelity Select Utilities (FSUTX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
198517.58%2.02%$2,076$2,0207.58%2.02%
198521.38%0.96%$3,104$3,0401.38%0.96%
198530.01%5.66%$4,105$4,2120.01%5.66%
19854-0.28%2.17%$5,093$5,303-0.28%2.17%
198556.03%5.55%$6,400$6,5986.03%5.55%
198561.43%2.66%$7,492$7,7731.43%2.66%
19857-0.22%-5.74%$8,475$8,328-0.22%-5.74%
19858-0.67%2.86%$9,419$9,566-0.67%2.86%
19859-3.14%-4.50%$10,122$10,135-3.14%-4.50%
1985104.40%6.88%$11,567$11,8334.40%6.88%
1985116.94%4.16%$13,371$13,3256.94%4.16%
1985124.67%6.04%$14,996$15,1304.67%6.04%
198610.43%2.78%$16,061$16,5510.43%2.78%
198627.58%7.07%$18,278$18,7207.58%7.07%
198635.48%3.34%$20,279$20,3465.48%3.34%
19864-1.35%-1.93%$21,006$20,953-1.35%-1.93%
198655.45%4.10%$23,152$22,8125.45%4.10%
198661.67%5.79%$24,537$25,1341.67%5.79%
19867-5.74%4.47%$24,128$27,256-5.74%4.47%
198687.45%6.62%$26,926$30,0617.45%6.62%
19869-8.31%-11.06%$25,690$27,737-8.31%-11.06%
1986105.63%4.67%$28,137$30,0315.63%4.67%
1986112.55%0.89%$29,855$31,2992.55%0.89%
198612-2.64%-3.46%$30,066$31,215-2.64%-3.46%
1987113.27%8.09%$35,055$34,74113.27%8.09%
198723.97%-3.52%$37,445$34,5173.97%-3.52%
198732.86%-2.00%$39,516$34,8262.86%-2.00%
19874-0.99%-5.73%$40,124$33,830-0.99%-5.73%
198751.04%-1.60%$41,540$34,2901.04%-1.60%
198765.02%3.55%$44,626$36,5085.02%3.55%
198774.91%-1.38%$47,819$37,0044.91%-1.38%
198783.84%3.14%$50,656$39,1663.84%3.14%
19879-2.29%-0.81%$50,498$39,850-2.29%-0.81%
198710-21.73%-6.03%$40,527$38,449-21.73%-6.03%
198711-8.19%-3.34%$38,210$38,163-8.19%-3.34%
1987127.55%0.86%$42,095$39,4927.55%0.86%
198814.17%8.64%$44,852$43,9054.17%8.64%
198824.59%-0.78%$47,911$44,5614.59%-0.78%
19883-3.04%-2.84%$47,454$44,294-3.04%-2.84%
198841.01%0.28%$48,934$45,4201.01%0.28%
198850.81%3.12%$50,331$47,8380.81%3.12%
198864.56%2.63%$53,623$50,0984.56%2.63%
19887-0.37%-0.32%$54,426$50,939-0.37%-0.32%
19888-3.40%-0.16%$53,575$51,858-3.40%-0.16%
198894.26%3.48%$56,855$54,6654.26%3.48%
1988102.73%2.10%$59,409$56,8152.73%2.10%
198811-1.47%-0.19%$59,533$57,709-1.47%-0.19%
1988121.74%-0.18%$61,568$58,6031.74%-0.18%
198917.32%4.71%$67,075$62,3647.32%4.71%
19892-2.47%-0.63%$66,420$62,973-2.47%-0.63%
198932.26%1.71%$68,921$65,0482.26%1.71%
198945.18%5.14%$73,494$69,3945.18%5.14%
198954.04%4.75%$77,460$73,6924.04%4.75%
19896-0.59%2.53%$78,006$76,554-0.59%2.53%
198979.01%5.48%$86,031$81,7469.01%5.48%
198981.86%0.44%$88,631$83,1061.86%0.44%
19899-0.40%1.44%$89,272$85,304-0.40%1.44%
198910-2.34%-0.46%$88,184$85,909-2.34%-0.46%
1989112.04%3.29%$90,979$89,7342.04%3.29%
1989122.38%5.29%$94,141$95,4782.38%5.29%
19901-6.72%-4.94%$88,816$91,766-6.72%-4.94%
199021.27%-0.18%$90,948$92,6001.27%-0.18%
199032.61%-0.54%$94,319$93,0992.61%-0.54%
19904-2.50%-4.17%$92,960$90,215-2.50%-4.17%
199059.69%5.21%$102,970$95,9119.69%5.21%
19906-0.66%1.19%$103,291$98,048-0.66%1.19%
19907-0.35%0.82%$103,929$99,853-0.35%0.82%
19908-9.03%-5.49%$95,542$95,372-9.03%-5.49%
19909-4.89%0.26%$91,869$96,616-4.89%0.26%
199010-0.41%5.12%$92,493$102,566-0.41%5.12%
1990116.44%2.63%$99,448$106,2686.44%2.63%
1990122.72%1.33%$103,149$108,6822.72%1.33%
199114.35%-0.44%$108,639$109,2034.35%-0.44%
199127.12%4.31%$117,371$114,9107.12%4.31%
199132.41%1.13%$121,194$117,2112.41%1.13%
199140.20%-0.45%$122,433$117,6860.20%-0.45%
199154.27%0.03%$128,663$118,7194.27%0.03%
19916-4.56%-1.21%$123,797$118,279-4.56%-1.21%
199174.63%3.25%$130,525$123,1294.63%3.25%
199182.33%2.29%$134,570$126,9512.33%2.29%
19919-1.67%3.08%$133,325$131,863-1.67%3.08%
1991101.33%1.39%$136,095$134,6901.33%1.39%
199111-4.01%1.15%$131,637$137,243-4.01%1.15%
19911211.41%4.91%$147,661$144,98511.41%4.91%
19921-1.88%-3.08%$145,882$141,522-1.88%-3.08%
199221.24%-0.73%$148,697$141,4851.24%-0.73%
19923-1.93%-1.04%$146,833$141,015-1.93%-1.04%
199242.91%2.74%$152,112$145,8732.91%2.74%
199250.48%1.94%$153,850$149,6970.48%1.94%
19926-1.49%1.16%$152,555$152,429-1.49%1.16%
199274.04%5.32%$159,724$161,5344.04%5.32%
19928-2.07%-0.05%$157,421$162,451-2.07%-0.05%
199291.17%0.54%$160,262$164,3261.17%0.54%
1992100.33%-0.03%$161,789$165,2840.33%-0.03%
1992113.40%0.69%$168,293$167,4233.40%0.69%
1992121.21%2.92%$171,332$173,3151.21%2.92%
199310.81%1.70%$173,712$177,2630.81%1.70%
199321.36%5.14%$177,068$187,3831.36%5.14%
199332.11%2.70%$181,799$193,4412.11%2.70%
19934-2.42%-0.55%$178,392$193,384-2.42%-0.55%
199352.65%0.21%$184,125$194,7982.65%0.21%
199360.27%3.83%$185,618$203,2570.27%3.83%
19937-0.42%1.15%$185,831$206,584-0.42%1.15%
199383.79%4.35%$193,865$216,5663.79%4.35%
19939-0.79%0.00%$193,325$217,566-0.79%0.00%
1993102.08%-1.02%$198,343$216,3472.08%-1.02%
199311-1.00%-4.89%$197,368$206,769-1.00%-4.89%
1993121.22%-0.33%$200,786$207,0901.22%-0.33%
199413.38%2.05%$208,566$212,3343.38%2.05%
19942-2.71%-4.54%$203,904$203,700-2.71%-4.54%
19943-4.39%-3.61%$195,956$197,355-4.39%-3.61%
199441.29%2.88%$199,484$204,0321.29%2.88%
199451.60%-2.00%$203,683$200,9581.60%-2.00%
19946-2.45%-0.32%$199,699$201,324-2.45%-0.32%
199473.28%2.88%$207,243$208,1193.28%2.88%
199484.08%-0.39%$216,690$208,3044.08%-0.39%
19949-2.45%-2.56%$212,390$203,979-2.45%-2.56%
1994102.25%1.27%$218,161$207,5672.25%1.27%
199411-3.65%-3.62%$211,188$201,063-3.65%-3.62%
1994121.46%0.65%$215,274$203,3751.46%0.65%
199512.58%4.08%$221,835$212,6742.58%4.08%
199523.88%1.31%$231,441$216,4543.88%1.31%
199532.95%0.40%$239,276$218,3232.95%0.40%
199542.94%3.49%$247,314$226,9332.94%3.49%
199553.95%1.55%$258,094$231,4453.95%1.55%
199562.31%0.98%$265,059$234,7122.31%0.98%
199573.30%2.69%$274,816$242,0373.30%2.69%
199580.26%2.55%$276,545$249,1970.26%2.55%
199594.21%4.76%$289,191$262,0574.21%4.76%
199510-0.36%0.98%$289,139$265,618-0.36%0.98%
1995114.38%2.20%$302,805$272,4654.38%2.20%
1995121.93%5.07%$309,656$287,2901.93%5.07%
199613.39%1.06%$321,139$291,3223.39%1.06%
199620.92%-2.32%$325,105$285,5760.92%-2.32%
199630.98%-0.88%$329,281$284,0540.98%-0.88%
199641.46%4.04%$335,076$296,5231.46%4.04%
199652.54%0.07%$344,602$297,7382.54%0.07%
199660.38%1.54%$346,921$303,3320.38%1.54%
19967-4.42%-4.37%$332,586$291,081-4.42%-4.37%
199682.10%0.02%$340,557$292,1532.10%0.02%
199695.61%1.81%$360,650$298,4465.61%1.81%
1996102.76%4.19%$371,589$311,9602.76%4.19%
1996117.56%4.70%$400,695$327,6317.56%4.70%
199612-1.96%1.34%$393,847$333,007-1.96%1.34%
199716.22%3.01%$419,331$344,0206.22%3.01%
199720.79%1.66%$423,641$350,7250.79%1.66%
19973-4.14%-5.31%$407,120$333,110-4.14%-5.31%
199745.96%3.58%$432,367$346,0325.96%3.58%
199756.09%6.57%$459,690$369,7816.09%6.57%
199764.45%3.05%$481,163$382,0674.45%3.05%
199777.97%2.38%$520,490$392,1687.97%2.38%
19978-5.61%-4.49%$492,296$375,555-5.61%-4.49%
199795.47%8.81%$520,219$409,6485.47%8.81%
199710-3.35%0.27%$503,791$411,764-3.35%0.27%
1997114.60%6.06%$527,958$437,7054.60%6.06%
1997121.72%2.09%$538,065$447,8641.72%2.09%
199811.11%3.87%$545,038$466,1811.11%3.87%
199827.19%5.38%$585,239$492,2487.19%5.38%
199835.10%6.79%$616,108$526,6475.10%6.79%
199841.01%-2.00%$623,317$517,1141.01%-2.00%
19985-1.74%-1.20%$613,449$511,897-1.74%-1.20%
199864.07%0.07%$639,426$513,2754.07%0.07%
19987-1.05%2.23%$633,686$525,716-1.05%2.23%
19988-14.47%-8.51%$542,969$481,999-14.47%-8.51%
199896.41%9.87%$578,779$530,5636.41%9.87%
1998108.16%6.31%$627,031$565,0448.16%6.31%
1998116.07%3.86%$666,102$587,8646.07%3.86%
1998125.81%11.41%$705,770$655,9255.81%11.41%
199914.20%2.99%$736,438$676,5154.20%2.99%
19992-3.12%-1.88%$714,428$664,795-3.12%-1.88%
199934.00%2.76%$743,980$684,1484.00%2.76%
199943.85%8.05%$773,638$740,2493.85%8.05%
19995-2.39%2.56%$756,155$760,195-2.39%2.56%
199965.56%2.25%$799,168$778,3265.56%2.25%
19997-3.13%0.80%$775,152$785,542-3.13%0.80%
19998-0.50%-4.86%$772,304$748,389-0.50%-4.86%
19999-2.74%-0.11%$752,150$748,581-2.74%-0.11%
1999106.33%6.76%$800,735$800,2036.33%6.76%
1999112.02%0.65%$817,934$806,4102.02%0.65%
1999125.98%3.96%$867,827$839,3095.98%3.96%
* End-of-month balance includes the monthly contribution/withdrawal

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%22.72$686,827100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
FSUTXFidelity Select UtilitiesUtilities100.00%0.75%16.42$658,309100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/12/2020. (c) 2020 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)1.53%1.44%
Arithmetic Mean (annualized)20.01%18.76%
Geometric Mean (monthly)1.44%1.38%
Geometric Mean (annualized)18.68%17.91%
Volatility (monthly)4.32%3.50%
Volatility (annualized)14.95%12.14%
Downside Deviation (monthly)2.69%1.90%
Max. Drawdown-29.78%-18.43%
US Market Correlation0.990.68
Beta(*)0.990.55
Alpha (annualized)1.01%7.63%
R297.82%46.15%
Sharpe Ratio0.860.97
Sortino Ratio1.291.62
Treynor Ratio (%)12.8921.19
Calmar Ratio1.793.51
Active Return1.05%0.29%
Tracking Error2.21%11.10%
Information Ratio0.480.03
Skewness-1.14-0.32
Excess Kurtosis4.820.72
Historical Value-at-Risk (5%)-4.87%-4.89%
Analytical Value-at-Risk (5%)-5.57%-4.32%
Conditional Value-at-Risk (5%)-9.41%-6.41%
Upside Capture Ratio (%)102.2271.23
Downside Capture Ratio (%)97.5340.54
Safe Withdrawal Rate15.82%14.97%
Perpetual Withdrawal Rate13.06%12.50%
Positive Periods123 out of 180 (68.33%)123 out of 180 (68.33%)
Gain/Loss Ratio1.171.31
* 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
Black Monday PeriodSep 1987Nov 1987-29.78%-9.90%
Asian CrisisJul 1997Jan 1998-5.61%-4.49%
Russian Debt DefaultJul 1998Oct 1998-15.38%-8.51%

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-29.78%
2Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
3Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
4Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
5Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
6Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Jul 1986Jul 19861 monthAug 19861 month2 months-5.74%
9Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
10Jun 1991Jun 19911 monthAug 19912 months3 months-4.56%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1986Nov 19871 year 3 monthsJan 19891 year 2 months2 years 5 months-18.43%
2Oct 1993Nov 19941 year 2 monthsJul 19958 months1 year 10 months-13.69%
3Jan 1990Apr 19904 monthsDec 19908 months1 year-9.56%
4Apr 1998Aug 19985 monthsOct 19982 months7 months-9.37%
5Jul 1985Sep 19853 monthsNov 19852 months5 months-7.40%
6Mar 1997Mar 19971 monthMay 19972 months3 months-5.31%
7Aug 1999Sep 19992 monthsOct 19991 month3 months-4.96%
8Jan 1992Mar 19923 monthsJun 19923 months6 months-4.79%
9Aug 1997Aug 19971 monthSep 19971 month2 months-4.49%
10Jul 1996Jul 19961 monthOct 19963 months4 months-4.37%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor18.68%14.95%37.45%-3.32%-29.78%0.861.290.99
FSUTXFidelity Select Utilities17.91%12.14%43.16%-9.26%-18.43%0.971.620.68

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXFSUTXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.000.691.000.69
FSUTXFidelity Select Utilities0.691.000.691.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$686,827
FSUTXFidelity Select Utilities$658,309

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor100.00%
FSUTXFidelity Select Utilities100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year19.34%37.45%-3.32%18.96%43.16%-9.26%
3 years17.92%31.03%6.10%16.36%32.93%4.84%
5 years17.29%28.49%8.50%15.81%28.59%7.00%
7 years16.41%21.44%12.60%14.96%20.38%11.17%
10 years16.44%19.04%14.05%14.96%18.46%11.92%
15 years18.68%18.68%18.68%17.91%17.91%17.91%
Result statistics are based on annualized rolling returns over full calendar year periods