Backtest Portfolio Asset Allocation

This online 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 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 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Dec 2001 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBIRX Vanguard Short-Term Bond Index Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,212 2.87% 1.93%7.31%-0.27%-1.83% 0.841.51-0.16
   
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 2001 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
  • 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Short-Term Bond Index Adm (VBIRX)
2001-0.39%-0.27%$9,973-0.27%
20022.38%6.15%$10,5876.15%
20031.88%3.43%$10,9503.43%
20043.26%1.77%$11,1431.77%
20053.42%1.38%$11,2971.38%
20062.54%4.16%$11,7674.16%
20074.08%7.31%$12,6277.31%
20080.09%5.51%$13,3235.51%
20092.72%4.38%$13,9074.38%
20101.50%4.03%$14,4674.03%
20112.96%3.08%$14,9133.08%
20121.74%2.05%$15,2182.05%
20131.50%0.17%$15,2430.17%
20140.76%1.26%$15,4351.26%
20150.73%0.92%$15,5780.92%
20162.07%1.49%$15,8101.49%
20172.11%1.18%$15,9961.18%
20181.91%1.35%$16,2121.35%
Annual returns for 2001 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Short-Term Bond Index Adm (VBIRX)
200112-0.27%$9,973-0.27%
200210.33%$10,0060.33%
200220.48%$10,0540.48%
20023-0.84%$9,969-0.84%
200241.01%$10,0691.01%
200250.72%$10,1420.72%
200260.20%$10,1620.20%
200270.59%$10,2230.59%
200280.96%$10,3210.96%
200291.22%$10,4471.22%
200210-0.06%$10,440-0.06%
200211-0.19%$10,421-0.19%
2002121.59%$10,5871.59%
200310.01%$10,5880.01%
200320.95%$10,6890.95%
200330.20%$10,7100.20%
200340.47%$10,7600.47%
200351.15%$10,8831.15%
200360.16%$10,9010.16%
20037-1.36%$10,752-1.36%
20038-0.02%$10,750-0.02%
200391.73%$10,9351.73%
200310-0.61%$10,869-0.61%
200311-0.05%$10,864-0.05%
2003120.79%$10,9500.79%
200410.35%$10,9880.35%
200420.81%$11,0780.81%
200430.51%$11,1340.51%
20044-1.60%$10,956-1.60%
20045-0.24%$10,930-0.24%
200460.05%$10,9350.05%
200470.56%$10,9970.56%
200481.25%$11,1341.25%
20049-0.04%$11,129-0.04%
2004100.46%$11,1800.46%
200411-0.72%$11,100-0.72%
2004120.39%$11,1430.39%
20051-0.02%$11,141-0.02%
20052-0.44%$11,092-0.44%
20053-0.21%$11,068-0.21%
200540.78%$11,1550.78%
200550.59%$11,2210.59%
200560.29%$11,2540.29%
20057-0.49%$11,198-0.49%
200580.91%$11,3000.91%
20059-0.59%$11,233-0.59%
200510-0.18%$11,212-0.18%
2005110.32%$11,2480.32%
2005120.44%$11,2970.44%
200610.14%$11,3130.14%
200620.01%$11,3140.01%
20063-0.05%$11,308-0.05%
200640.25%$11,3360.25%
200650.17%$11,3550.17%
200660.06%$11,3620.06%
200671.00%$11,4751.00%
200680.89%$11,5770.89%
200690.58%$11,6440.58%
2006100.49%$11,7010.49%
2006110.68%$11,7810.68%
200612-0.11%$11,767-0.11%
200710.19%$11,7900.19%
200721.07%$11,9161.07%
200730.30%$11,9510.30%
200740.38%$11,9970.38%
20075-0.31%$11,960-0.31%
200760.29%$11,9940.29%
200770.91%$12,1040.91%
200781.01%$12,2261.01%
200790.69%$12,3100.69%
2007100.50%$12,3710.50%
2007111.78%$12,5911.78%
2007120.28%$12,6270.28%
200812.05%$12,8872.05%
200820.92%$13,0050.92%
200830.06%$13,0130.06%
20084-0.84%$12,903-0.84%
20085-0.45%$12,845-0.45%
200860.22%$12,8740.22%
200870.23%$12,9040.23%
200880.62%$12,9840.62%
20089-1.07%$12,844-1.07%
200810-0.19%$12,820-0.19%
2008112.11%$13,0912.11%
2008121.77%$13,3231.77%
200910.19%$13,3480.19%
20092-0.33%$13,305-0.33%
200930.67%$13,3930.67%
200940.55%$13,4670.55%
200950.74%$13,5670.74%
200960.14%$13,5860.14%
200970.83%$13,6990.83%
200980.62%$13,7840.62%
200990.61%$13,8680.61%
2009100.42%$13,9260.42%
2009110.98%$14,0620.98%
200912-1.10%$13,907-1.10%
201011.17%$14,0701.17%
201020.19%$14,0960.19%
20103-0.20%$14,067-0.20%
201040.58%$14,1480.58%
201050.49%$14,2170.49%
201060.76%$14,3250.76%
201070.76%$14,4340.76%
201080.56%$14,5150.56%
201090.27%$14,5540.27%
2010100.46%$14,6210.46%
201011-0.39%$14,564-0.39%
201012-0.66%$14,467-0.66%
201110.37%$14,5210.37%
20112-0.12%$14,503-0.12%
20113-0.13%$14,484-0.13%
201140.93%$14,6190.93%
201150.64%$14,7130.64%
20116-0.03%$14,709-0.03%
201170.82%$14,8300.82%
201180.35%$14,8810.35%
20119-0.22%$14,848-0.22%
2011100.34%$14,8990.34%
201111-0.23%$14,864-0.23%
2011120.33%$14,9130.33%
201210.61%$15,0040.61%
20122-0.06%$14,996-0.06%
20123-0.10%$14,980-0.10%
201240.42%$15,0430.42%
201250.14%$15,0630.14%
201260.03%$15,0680.03%
201270.51%$15,1440.51%
201280.13%$15,1630.13%
201290.21%$15,1960.21%
201210-0.07%$15,186-0.07%
2012110.21%$15,2170.21%
2012120.00%$15,2180.00%
20131-0.07%$15,207-0.07%
201320.20%$15,2370.20%
201330.08%$15,2500.08%
201340.29%$15,2940.29%
20135-0.46%$15,223-0.46%
20136-0.57%$15,137-0.57%
201370.29%$15,1800.29%
20138-0.28%$15,137-0.28%
201390.57%$15,2230.57%
2013100.38%$15,2810.38%
2013110.09%$15,2960.09%
201312-0.34%$15,243-0.34%
201410.48%$15,3160.48%
201420.18%$15,3440.18%
20143-0.26%$15,304-0.26%
201440.29%$15,3480.29%
201450.39%$15,4070.39%
20146-0.09%$15,394-0.09%
20147-0.18%$15,366-0.18%
201480.29%$15,4110.29%
20149-0.18%$15,382-0.18%
2014100.39%$15,4430.39%
2014110.29%$15,4880.29%
201412-0.34%$15,435-0.34%
201511.06%$15,5991.06%
20152-0.47%$15,525-0.47%
201530.42%$15,5910.42%
201540.01%$15,5930.01%
201550.11%$15,6100.11%
20156-0.18%$15,582-0.18%
201570.21%$15,6140.21%
20158-0.08%$15,602-0.08%
201590.49%$15,6790.49%
201510-0.17%$15,651-0.17%
201511-0.18%$15,624-0.18%
201512-0.30%$15,578-0.30%
201610.89%$15,7160.89%
201620.21%$15,7480.21%
201630.50%$15,8270.50%
201640.12%$15,8460.12%
20165-0.16%$15,820-0.16%
201660.98%$15,9740.98%
201670.12%$15,9940.12%
20168-0.25%$15,954-0.25%
201690.22%$15,9890.22%
201610-0.25%$15,948-0.25%
201611-0.92%$15,802-0.92%
2016120.05%$15,8100.05%
201710.23%$15,8460.23%
201720.22%$15,8800.22%
201730.04%$15,8870.04%
201740.42%$15,9540.42%
201750.23%$15,9910.23%
20176-0.06%$15,982-0.06%
201770.33%$16,0350.33%
201780.33%$16,0880.33%
20179-0.24%$16,049-0.24%
201710-0.05%$16,042-0.05%
201711-0.34%$15,988-0.34%
2017120.05%$15,9960.05%
20181-0.52%$15,912-0.52%
20182-0.25%$15,873-0.25%
201830.26%$15,9140.26%
20184-0.33%$15,861-0.33%
201850.46%$15,9340.46%
201860.07%$15,9450.07%
20187-0.02%$15,941-0.02%
201880.47%$16,0160.47%
20189-0.22%$15,981-0.22%
2018100.09%$15,9950.09%
2018110.28%$16,0400.28%
2018121.07%$16,2121.07%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value0.00%
Mid-cap Growth0.35%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.67%
Corporate Bonds9.32%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries5.73%
Short-Term Treasuries83.93%
R Squared88.68%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBIRXVanguard Short-Term Bond Index AdmShort-Term Bond2.650.07%100.00%$6,212100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2019. © 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 1
Arithmetic Mean (monthly)0.24%
Arithmetic Mean (annualized)2.89%
Geometric Mean (monthly)0.24%
Geometric Mean (annualized)2.87%
Volatility (monthly)0.56%
Volatility (annualized)1.93%
Downside Deviation (monthly)0.27%
Max. Drawdown-1.83%
US Market Correlation-0.16
Beta(*)-0.02
Alpha (annualized)3.02%
R22.47%
Sharpe Ratio0.84
Sortino Ratio1.51
Treynor Ratio (%)-76.83
Calmar Ratio0.95
Active Return-4.41%
Tracking Error14.75%
Information Ratio-0.30
Skewness0.27
Excess Kurtosis1.49
Historical Value-at-Risk (5%)-0.60%
Analytical Value-at-Risk (5%)-0.68%
Conditional Value-at-Risk (5%)-0.97%
Upside Capture Ratio (%)4.99
Downside Capture Ratio (%)-10.79
Sustainable Withdrawal Rate6.15%
Positive Periods138 out of 205 (67.32%)
Gain/Loss Ratio1.54
* 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
Subprime CrisisNov 2007Mar 2009-1.48%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2004May 20042 monthsAug 20043 months5 months-1.83%
2Apr 2008Oct 20087 monthsNov 20081 month8 months-1.48%
3Sep 2017Apr 20188 monthsDec 20188 months1 year 4 months-1.41%
4Jul 2003Aug 20032 monthsSep 20031 month3 months-1.39%
5Aug 2016Nov 20164 monthsJul 20178 months1 year-1.20%
6Dec 2009Dec 20091 monthJan 20101 month2 months-1.10%
7Nov 2010Dec 20102 monthsMay 20115 months7 months-1.05%
8May 2013Jun 20132 monthsNov 20135 months7 months-1.03%
9Nov 2004Mar 20055 monthsMay 20052 months7 months-1.00%
10Mar 2002Mar 20021 monthApr 20021 month2 months-0.84%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBIRXVanguard Short-Term Bond Index Adm2.87%1.93%7.31%-0.27%-1.83%0.841.51-0.16

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year2.92%7.31%0.17%
3 years2.87%5.73%0.78%
5 years3.00%5.07%1.00%
7 years3.12%4.35%1.20%
10 years3.14%4.10%1.98%
15 years2.85%3.12%2.65%
Result statistics are based on annualized rolling returns over full calendar year periods