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 Analysis Results (Dec 2009 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VSIGX Vanguard Intmdt-Term Trs Idx Admiral 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,364 2.66% 3.79%9.80%-3.13%-4.30% 0.671.10-0.40
Portfolio 2$10,000$12,394 2.69% 3.64%9.66%-2.74%-3.95% 0.711.18-0.41
   
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 2009 are based on full calendar months from December 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 (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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard Intmdt-Term Trs Idx Admiral (VSIGX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
2009-0.18%-3.13%-2.72%$9,687$9,728-3.13%-2.72%
20101.50%7.35%6.93%$10,399$10,4027.35%6.93%
20112.96%9.80%9.66%$11,417$11,4079.80%9.66%
20121.74%2.67%2.63%$11,723$11,7082.67%2.63%
20131.50%-3.09%-2.74%$11,361$11,387-3.09%-2.74%
20140.76%4.32%4.22%$11,851$11,8674.32%4.22%
20150.73%1.50%1.65%$12,030$12,0631.50%1.65%
20162.07%1.19%1.10%$12,173$12,1961.19%1.10%
20172.11%1.57%1.63%$12,364$12,3941.57%1.63%
Annual returns for 2009 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Vanguard Intmdt-Term Trs Idx Admiral (VSIGX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200912-3.13%-2.72%$9,687$9,728-3.13%-2.72%
201011.97%1.78%$9,877$9,9011.97%1.78%
201020.40%0.40%$9,917$9,9410.40%0.40%
20103-0.91%-0.80%$9,827$9,861-0.91%-0.80%
201041.23%1.05%$9,948$9,9651.23%1.05%
201051.85%1.89%$10,132$10,1531.85%1.89%
201062.07%2.00%$10,342$10,3562.07%2.00%
201071.07%1.00%$10,452$10,4601.07%1.00%
201082.00%1.88%$10,662$10,6572.00%1.88%
201090.36%0.31%$10,700$10,6910.36%0.31%
2010100.45%0.45%$10,748$10,7390.45%0.45%
201011-0.98%-0.89%$10,643$10,643-0.98%-0.89%
201012-2.29%-2.26%$10,399$10,402-2.29%-2.26%
201110.29%0.33%$10,429$10,4370.29%0.33%
20112-0.43%-0.37%$10,384$10,398-0.43%-0.37%
20113-0.12%-0.20%$10,372$10,377-0.12%-0.20%
201141.60%1.60%$10,538$10,5431.60%1.60%
201151.77%1.81%$10,724$10,7341.77%1.81%
20116-0.16%-0.25%$10,707$10,707-0.16%-0.25%
201172.18%2.27%$10,940$10,9502.18%2.27%
201182.70%2.50%$11,236$11,2232.70%2.50%
201190.73%0.71%$11,318$11,3030.73%0.71%
201110-0.42%-0.35%$11,271$11,263-0.42%-0.35%
2011110.29%0.34%$11,304$11,3010.29%0.34%
2011121.00%0.94%$11,417$11,4071.00%0.94%
201210.81%0.82%$11,510$11,5010.81%0.82%
20122-0.65%-0.67%$11,434$11,424-0.65%-0.67%
20123-0.79%-0.87%$11,344$11,324-0.79%-0.87%
201241.50%1.46%$11,514$11,4901.50%1.46%
201251.24%1.30%$11,657$11,6401.24%1.30%
20126-0.22%-0.23%$11,631$11,613-0.22%-0.23%
201270.86%0.93%$11,731$11,7210.86%0.93%
201280.10%0.04%$11,743$11,7250.10%0.04%
20129-0.06%-0.06%$11,736$11,719-0.06%-0.06%
201210-0.32%-0.31%$11,699$11,682-0.32%-0.31%
2012110.62%0.59%$11,771$11,7510.62%0.59%
201212-0.41%-0.37%$11,723$11,708-0.41%-0.37%
20131-0.74%-0.66%$11,636$11,630-0.74%-0.66%
201320.71%0.70%$11,719$11,7120.71%0.70%
201330.27%0.19%$11,751$11,7340.27%0.19%
201340.71%0.70%$11,835$11,8160.71%0.70%
20135-1.84%-1.70%$11,617$11,615-1.84%-1.70%
20136-1.62%-1.54%$11,428$11,436-1.62%-1.54%
201370.13%0.16%$11,443$11,4540.13%0.16%
20138-1.02%-0.92%$11,326$11,349-1.02%-0.92%
201391.47%1.33%$11,493$11,5001.47%1.33%
2013100.49%0.53%$11,548$11,5610.49%0.53%
201311-0.14%-0.12%$11,533$11,548-0.14%-0.12%
201312-1.49%-1.39%$11,361$11,387-1.49%-1.39%
201411.67%1.59%$11,550$11,5681.67%1.59%
201420.21%0.22%$11,574$11,5930.21%0.22%
20143-0.60%-0.63%$11,505$11,520-0.60%-0.63%
201440.49%0.55%$11,562$11,5830.49%0.55%
201451.03%1.01%$11,681$11,7011.03%1.01%
20146-0.13%-0.15%$11,665$11,683-0.13%-0.15%
20147-0.39%-0.38%$11,620$11,639-0.39%-0.38%
201481.03%0.97%$11,740$11,7521.03%0.97%
20149-0.66%-0.60%$11,663$11,682-0.66%-0.60%
2014101.12%1.06%$11,794$11,8061.12%1.06%
2014110.84%0.83%$11,893$11,9050.84%0.83%
201412-0.35%-0.32%$11,851$11,867-0.35%-0.32%
201512.70%2.66%$12,171$12,1832.70%2.66%
20152-1.59%-1.48%$11,978$12,003-1.59%-1.48%
201530.76%0.76%$12,069$12,0940.76%0.76%
20154-0.21%-0.19%$12,044$12,072-0.21%-0.19%
20155-0.12%-0.15%$12,029$12,054-0.12%-0.15%
20156-0.74%-0.72%$11,940$11,967-0.74%-0.72%
201570.85%0.83%$12,041$12,0660.85%0.83%
20158-0.03%-0.00%$12,037$12,066-0.03%-0.00%
201591.19%1.15%$12,180$12,2051.19%1.15%
201510-0.47%-0.51%$12,123$12,143-0.47%-0.51%
201511-0.39%-0.36%$12,075$12,099-0.39%-0.36%
201512-0.38%-0.29%$12,030$12,063-0.38%-0.29%
201612.36%2.33%$12,313$12,3442.36%2.33%
201620.82%0.77%$12,414$12,4380.82%0.77%
201630.22%0.21%$12,441$12,4640.22%0.21%
20164-0.13%-0.14%$12,425$12,447-0.13%-0.14%
20165-0.21%-0.23%$12,400$12,418-0.21%-0.23%
201662.05%2.06%$12,653$12,6742.05%2.06%
201670.04%0.13%$12,659$12,6900.04%0.13%
20168-0.72%-0.76%$12,567$12,594-0.72%-0.76%
201690.29%0.30%$12,603$12,6320.29%0.30%
201610-0.73%-0.77%$12,511$12,534-0.73%-0.77%
201611-2.65%-2.61%$12,179$12,207-2.65%-2.61%
201612-0.05%-0.09%$12,173$12,196-0.05%-0.09%
201710.30%0.30%$12,210$12,2320.30%0.30%
201720.39%0.41%$12,258$12,2830.39%0.41%
201730.07%0.08%$12,266$12,2920.07%0.08%
201740.77%0.78%$12,361$12,3890.77%0.78%
201750.59%0.50%$12,434$12,4500.59%0.50%
20176-0.47%-0.37%$12,375$12,405-0.47%-0.37%
201770.42%0.41%$12,427$12,4560.42%0.41%
201780.86%0.92%$12,534$12,5700.86%0.92%
20179-0.83%-0.94%$12,429$12,453-0.83%-0.94%
201710-0.21%-0.14%$12,403$12,435-0.21%-0.14%
201711-0.39%-0.36%$12,355$12,391-0.39%-0.36%
2017120.07%0.03%$12,364$12,3940.07%0.03%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.13%0.00%
Small-cap Growth0.04%0.29%
Global ex-US Developed Markets1.15%0.74%
Emerging Markets0.58%0.75%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries59.85%57.34%
Short-Term Treasuries38.25%40.88%
R Squared97.90%97.96%
Style analysis is based on monthly returns from Dec 2009 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.240.20%100.00%$2,364100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VSIGXVanguard Intmdt-Term Trs Idx AdmiralIntermediate Government5.190.07%100.00%$2,394100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/03/2019. © 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 1Portfolio 2
Arithmetic Mean (monthly)0.22%0.23%
Arithmetic Mean (annualized)2.73%2.76%
Geometric Mean (monthly)0.22%0.22%
Geometric Mean (annualized)2.66%2.69%
Volatility (monthly)1.09%1.05%
Volatility (annualized)3.79%3.64%
Downside Deviation (monthly)0.66%0.62%
Max. Drawdown-4.30%-3.95%
US Market Correlation-0.40-0.41
Beta(*)-0.12-0.12
Alpha (annualized)4.43%4.42%
R216.35%16.77%
Sharpe Ratio0.670.71
Sortino Ratio1.101.18
Treynor Ratio (%)-20.51-21.25
Calmar Ratio0.370.37
Active Return-11.40%-11.37%
Tracking Error14.28%14.21%
Information Ratio-0.80-0.80
Skewness-0.19-0.12
Excess Kurtosis0.670.49
Historical Value-at-Risk (5%)-1.64%-1.55%
Analytical Value-at-Risk (5%)-1.57%-1.50%
Conditional Value-at-Risk (5%)-2.48%-2.32%
Upside Capture Ratio (%)0.060.29
Downside Capture Ratio (%)-25.71-25.38
Safe Withdrawal Rate11.86%11.87%
Perpetual Withdrawal Rate0.90%0.93%
Positive Periods54 out of 97 (55.67%)54 out of 97 (55.67%)
Gain/Loss Ratio1.371.40
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
2Aug 2016Dec 20165 months-3.84%
3Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
4Dec 2009Dec 20091 monthMay 20105 months6 months-3.13%
5Feb 2015Jun 20155 monthsSep 20153 months8 months-1.90%
6Feb 2012Mar 20122 monthsApr 20121 month3 months-1.44%
7Oct 2015Dec 20153 monthsJan 20161 month4 months-1.23%
8Dec 2012Jan 20132 monthsApr 20133 months5 months-1.15%
9Oct 2011Oct 20111 monthDec 20112 months3 months-0.42%
10Sep 2012Oct 20122 monthsNov 20121 month3 months-0.38%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-3.95%
2Aug 2016Dec 20165 months-3.90%
3Nov 2010Mar 20115 monthsJul 20114 months9 months-3.37%
4Dec 2009Dec 20091 monthMay 20105 months6 months-2.72%
5Feb 2015Jun 20155 monthsSep 20153 months8 months-1.77%
6Feb 2012Mar 20122 monthsMay 20122 months4 months-1.54%
7Oct 2015Dec 20153 monthsJan 20161 month4 months-1.16%
8Dec 2012Jan 20132 monthsApr 20133 months5 months-1.03%
9Sep 2012Oct 20122 monthsNov 20121 month3 months-0.37%
10Apr 2016May 20162 monthsJun 20161 month3 months-0.37%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFITXVanguard Interm-Term Treasury Inv2.66%3.79%9.80%-3.13%-4.30%0.671.10-0.40
VSIGXVanguard Intmdt-Term Trs Idx Admiral2.69%3.64%9.66%-2.74%-3.95%0.711.18-0.41

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFITXVSIGXPortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv-1.001.001.00
VSIGXVanguard Intmdt-Term Trs Idx Admiral1.00-1.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv$2,364
VSIGXVanguard Intmdt-Term Trs Idx Admiral$2,394

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFITXVanguard Interm-Term Treasury Inv100.00%
VSIGXVanguard Intmdt-Term Trs Idx Admiral100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year3.16%9.80%-3.09%3.14%9.66%-2.74%
3 years2.57%6.57%0.87%2.59%6.37%1.00%
5 years2.36%4.12%1.07%2.39%4.06%1.15%
7 years2.91%3.32%2.50%2.91%3.28%2.53%
Result statistics are based on annualized rolling returns over full calendar year periods