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 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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Portfolio Analysis Results (Sep 1987 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VMLTX Vanguard Ltd-Term Tx-Ex 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$33,246 4.04% 1.87%9.48%-0.16%-2.13% 0.470.710.05
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-0.51%2.01%1.06%1.09%2.13%4.04%1.63%1.48%
Trailing annualized return and volatility are for full months ending in December 2017 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 1987 are based on monthly returns from September 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 1 ReturnPortfolio 1 BalanceVanguard Ltd-Term Tx-Ex (VMLTX)
19870.87%2.71%$10,2712.71%
19884.42%6.40%$10,9286.40%
19894.65%8.07%$11,8108.07%
19906.11%7.04%$12,6417.04%
19913.06%9.48%$13,8399.48%
19922.90%6.39%$14,7246.39%
19932.75%6.31%$15,6536.31%
19942.67%0.07%$15,6640.07%
19952.54%8.57%$17,0068.57%
19963.32%4.08%$17,7004.08%
19971.70%5.10%$18,6035.10%
19981.61%5.12%$19,5555.12%
19992.68%1.47%$19,8421.47%
20003.39%6.35%$21,1016.35%
20011.55%5.58%$22,2785.58%
20022.38%6.31%$23,6846.31%
20031.88%2.79%$24,3442.79%
20043.26%1.53%$24,7171.53%
20053.42%1.11%$24,9901.11%
20062.54%3.33%$25,8223.33%
20074.08%4.32%$26,9364.32%
20080.09%2.91%$27,7192.91%
20092.72%5.57%$29,2645.57%
20101.50%1.97%$29,8411.97%
20112.96%3.71%$30,9473.71%
20121.74%1.77%$31,4951.77%
20131.50%0.49%$31,6480.49%
20140.76%1.79%$32,2141.79%
20150.73%1.32%$32,6411.32%
20162.07%-0.16%$32,590-0.16%
20172.11%2.01%$33,2462.01%
Annual return for 1987 is from 09/01/1987 to 12/31/1987
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnVanguard Ltd-Term Tx-Ex (VMLTX)
19879-0.15%-0.15%
1987100.51%0.51%
1987111.42%1.42%
1987120.90%0.90%
198811.89%1.89%
198820.58%0.58%
198830.09%0.09%
198840.58%0.58%
198850.19%0.19%
198860.59%0.59%
198870.40%0.40%
19888-0.08%-0.08%
198890.91%0.91%
1988100.71%0.71%
198811-0.18%-0.18%
1988120.58%0.58%
198910.81%0.81%
19892-0.27%-0.27%
19893-0.07%-0.07%
198941.13%1.13%
198951.34%1.34%
198960.84%0.84%
198971.14%1.14%
19898-0.14%-0.14%
198990.43%0.43%
1989100.73%0.73%
1989111.04%1.04%
1989120.82%0.82%
199010.03%0.03%
199020.82%0.82%
199030.03%0.03%
19904-0.06%-0.06%
199051.22%1.22%
199060.82%0.82%
199070.91%0.91%
19908-0.06%-0.06%
199090.43%0.43%
1990101.02%1.02%
1990111.16%1.16%
1990120.52%0.52%
199111.09%1.09%
199121.08%1.08%
199130.00%0.00%
199140.87%0.87%
199150.67%0.67%
19916-0.01%-0.01%
199170.76%0.76%
199180.95%0.95%
199190.95%0.95%
1991100.55%0.55%
1991110.37%0.37%
1991121.80%1.80%
199210.43%0.43%
199220.13%0.13%
19923-0.25%-0.25%
199240.62%0.62%
199250.81%0.81%
199261.08%1.08%
199271.63%1.63%
19928-0.36%-0.36%
199290.59%0.59%
199210-0.07%-0.07%
1992110.95%0.95%
1992120.68%0.68%
199310.75%0.75%
199321.68%1.68%
19933-0.56%-0.56%
199340.56%0.56%
199350.28%0.28%
199360.74%0.74%
19937-0.20%-0.20%
199381.11%1.11%
199390.73%0.73%
1993100.07%0.07%
1993110.07%0.07%
1993120.92%0.92%
199410.62%0.62%
19942-1.03%-1.03%
19943-0.77%-0.77%
199440.36%0.36%
199450.45%0.45%
19946-0.02%-0.02%
199470.73%0.73%
199480.16%0.16%
19949-0.21%-0.21%
199410-0.20%-0.20%
199411-0.31%-0.31%
1994120.29%0.29%
199510.96%0.96%
199521.21%1.21%
199530.77%0.77%
199540.47%0.47%
199551.34%1.34%
199560.47%0.47%
199570.48%0.48%
199580.58%0.58%
199590.19%0.19%
1995100.57%0.57%
1995110.75%0.75%
1995120.48%0.48%
199610.75%0.75%
19962-0.02%-0.02%
19963-0.46%-0.46%
199640.09%0.09%
199650.10%0.10%
199660.47%0.47%
199670.66%0.66%
199680.09%0.09%
199690.55%0.55%
1996100.84%0.84%
1996110.83%0.83%
1996120.10%0.10%
199710.29%0.29%
199720.54%0.54%
19973-0.64%-0.64%
199740.28%0.28%
199750.86%0.86%
199760.74%0.74%
199771.03%1.03%
19978-0.09%-0.09%
199790.64%0.64%
1997100.37%0.37%
1997110.26%0.26%
1997120.74%0.74%
199810.64%0.64%
199820.23%0.23%
199830.18%0.18%
19984-0.30%-0.30%
199851.02%1.02%
199860.35%0.35%
199870.27%0.27%
199881.01%1.01%
199890.53%0.53%
1998100.36%0.36%
1998110.26%0.26%
1998120.45%0.45%
199910.82%0.82%
19992-0.04%-0.04%
199930.08%0.08%
199940.25%0.25%
19995-0.10%-0.10%
19996-0.77%-0.77%
199970.64%0.64%
19998-0.01%-0.01%
199990.26%0.26%
199910-0.01%-0.01%
1999110.45%0.45%
199912-0.10%-0.10%
20001-0.01%-0.01%
200020.35%0.35%
200030.66%0.66%
20004-0.10%-0.10%
200050.10%0.10%
200061.33%1.33%
200070.85%0.85%
200080.75%0.75%
200090.08%0.08%
2000100.57%0.57%
2000110.37%0.37%
2000121.23%1.23%
200111.41%1.41%
200120.34%0.34%
200130.65%0.65%
20014-0.28%-0.28%
200150.93%0.93%
200160.54%0.54%
200170.74%0.74%
200181.10%1.10%
200190.17%0.17%
2001100.45%0.45%
200111-0.57%-0.57%
200112-0.01%-0.01%
200211.00%1.00%
200220.77%0.77%
20023-1.40%-1.40%
200241.53%1.53%
200250.51%0.51%
200260.86%0.86%
200270.77%0.77%
200280.58%0.58%
200290.84%0.84%
200210-0.87%-0.87%
2002110.20%0.20%
2002121.38%1.38%
200310.11%0.11%
200320.70%0.70%
20033-0.17%-0.17%
200340.44%0.44%
200350.90%0.90%
20036-0.01%-0.01%
20037-1.09%-1.09%
200380.44%0.44%
200391.24%1.24%
200310-0.20%-0.20%
2003110.24%0.24%
2003120.16%0.16%
200410.25%0.25%
200420.86%0.86%
20043-0.30%-0.30%
20044-1.12%-1.12%
20045-0.21%-0.21%
200460.05%0.05%
200470.61%0.61%
200480.97%0.97%
200490.05%0.05%
2004100.25%0.25%
200411-0.40%-0.40%
2004120.52%0.52%
20051-0.12%-0.12%
20052-0.23%-0.23%
20053-0.30%-0.30%
200540.53%0.53%
200550.26%0.26%
200560.44%0.44%
20057-0.29%-0.29%
200580.45%0.45%
20059-0.03%-0.03%
200510-0.12%-0.12%
2005110.16%0.16%
2005120.35%0.35%
200610.26%0.26%
200620.15%0.15%
20063-0.20%-0.20%
200640.17%0.17%
200650.37%0.37%
20066-0.01%-0.01%
200670.57%0.57%
200680.75%0.75%
200690.46%0.46%
2006100.28%0.28%
2006110.46%0.46%
2006120.01%0.01%
200710.01%0.01%
200720.54%0.54%
200730.29%0.29%
200740.19%0.19%
20075-0.08%-0.08%
200760.10%0.10%
200770.49%0.49%
200780.49%0.49%
200790.76%0.76%
2007100.30%0.30%
2007110.66%0.66%
2007120.48%0.48%
200811.69%1.69%
20082-1.47%-1.47%
200831.13%1.13%
200840.18%0.18%
200850.28%0.28%
20086-0.56%-0.56%
200870.93%0.93%
200880.83%0.83%
20089-1.56%-1.56%
2008100.11%0.11%
2008110.64%0.64%
2008120.74%0.74%
200912.12%2.12%
20092-0.60%-0.60%
200930.25%0.25%
200940.70%0.70%
200950.23%0.23%
200960.03%0.03%
200971.05%1.05%
200980.31%0.31%
200990.94%0.94%
200910-0.60%-0.60%
2009110.93%0.93%
2009120.11%0.11%
201010.38%0.38%
201020.54%0.54%
20103-0.43%-0.43%
201040.38%0.38%
201050.38%0.38%
201060.20%0.20%
201070.83%0.83%
201080.73%0.73%
20109-0.17%-0.17%
2010100.10%0.10%
201011-0.53%-0.53%
201012-0.43%-0.43%
20111-0.16%-0.16%
201120.45%0.45%
201130.11%0.11%
201140.65%0.65%
201150.65%0.65%
201160.18%0.18%
201170.54%0.54%
201180.54%0.54%
20119-0.10%-0.10%
201110-0.36%-0.36%
2011110.44%0.44%
2011120.72%0.72%
201210.53%0.53%
201220.24%0.24%
20123-0.46%-0.46%
201240.43%0.43%
201250.25%0.25%
20126-0.03%-0.03%
201270.42%0.42%
201280.06%0.06%
201290.32%0.32%
201210-0.03%-0.03%
2012110.32%0.32%
201212-0.30%-0.30%
201310.15%0.15%
201320.31%0.31%
20133-0.04%-0.04%
201340.23%0.23%
20135-0.31%-0.31%
20136-0.86%-0.86%
201370.23%0.23%
20138-0.31%-0.31%
201390.59%0.59%
2013100.60%0.60%
201311-0.05%-0.05%
201312-0.04%-0.04%
201410.60%0.60%
201420.49%0.49%
20143-0.49%-0.49%
201440.32%0.32%
201450.41%0.41%
20146-0.05%-0.05%
201470.13%0.13%
201480.40%0.40%
20149-0.15%-0.15%
2014100.22%0.22%
2014110.03%0.03%
201412-0.14%-0.14%
201510.86%0.86%
20152-0.42%-0.42%
20153-0.05%-0.05%
20154-0.06%-0.06%
20155-0.23%-0.23%
201560.12%0.12%
201570.31%0.31%
201580.04%0.04%
201590.40%0.40%
2015100.30%0.30%
201511-0.06%-0.06%
2015120.13%0.13%
201610.67%0.67%
201620.21%0.21%
20163-0.23%-0.23%
201640.31%0.31%
20165-0.14%-0.14%
201660.67%0.67%
201670.21%0.21%
20168-0.06%-0.06%
20169-0.24%-0.24%
201610-0.14%-0.14%
201611-1.70%-1.70%
2016120.32%0.32%
201710.59%0.59%
201720.49%0.49%
201730.04%0.04%
201740.40%0.40%
201750.58%0.58%
20176-0.24%-0.24%
201770.49%0.49%
201780.49%0.49%
20179-0.33%-0.33%
201710-0.05%-0.05%
201711-0.78%-0.78%
2017120.32%0.32%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VMLTXVanguard Ltd-Term Tx-ExMuni National Short100.00%0.33%0.17%2.40$23,246100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

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 1
Arithmetic Mean (monthly)0.33%
Arithmetic Mean (annualized)4.06%
Geometric Mean (monthly)0.33%
Geometric Mean (annualized)4.04%
Volatility (monthly)0.54%
Volatility (annualized)1.87%
Downside Deviation (monthly)0.25%
Max. Drawdown-2.13%
US Market Correlation0.05
Beta(*)0.01
Alpha (annualized)3.92%
R20.22%
Sharpe Ratio0.47
Sortino Ratio0.71
Treynor Ratio (%)144.75
Calmar Ratio0.50
Active Return-5.38%
Tracking Error14.94%
Information Ratio-0.36
Skewness-0.25
Excess Kurtosis1.33
Historical Value-at-Risk (5%)-0.53%
Analytical Value-at-Risk (5%)-0.56%
Conditional Value-at-Risk (5%)-0.92%
Upside Capture Ratio (%)9.74
Downside Capture Ratio (%)-8.61
Safe Withdrawal Rate4.37%
Perpetual Withdrawal Rate1.39%
Positive Periods268 out of 364 (73.63%)
Gain/Loss Ratio1.77
* 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 1987-0.15%
Asian CrisisJul 1997Jan 1998-0.09%
Russian Debt DefaultJul 1998Oct 19980.00%
Dotcom CrashMar 2000Oct 2002-1.40%
Subprime CrisisNov 2007Mar 2009-1.56%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Nov 20164 monthsMay 20176 months10 months-2.13%
2Feb 1994Mar 19942 monthsJan 199510 months1 year-1.79%
3Mar 2004May 20043 monthsAug 20043 months6 months-1.62%
4Sep 2008Sep 20081 monthJan 20094 months5 months-1.56%
5Feb 2008Feb 20081 monthMay 20083 months4 months-1.47%
6Mar 2002Mar 20021 monthApr 20021 month2 months-1.40%
7May 2013Aug 20134 monthsJan 20145 months9 months-1.25%
8Sep 2010Jan 20115 monthsMay 20114 months9 months-1.20%
9Sep 2017Nov 20173 months-1.16%
10Jun 2003Jul 20032 monthsSep 20032 months4 months-1.10%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VMLTXVanguard Ltd-Term Tx-Ex4.04%1.87%9.48%-0.16%-2.13%0.470.710.05

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year4.06%9.48%-0.35%
3 years4.07%8.20%0.86%
5 years4.03%7.74%0.96%
7 years4.01%6.69%1.45%
10 years4.00%6.28%2.13%
15 years3.98%5.88%2.29%