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 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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Portfolio Analysis Results (Jun 2003 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
RSP Invesco S&P 500 Equal Weight ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$35,690 8.51% 13.34%32.33%-36.97%-50.92% 0.590.851.00
Portfolio 2$10,000$40,926 9.46% 15.64%44.64%-40.07%-55.58% 0.580.860.98
   
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 2003 are based on full calendar months from June 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 500 Index Admiral (VFIAX)Invesco S&P 500 Equal Weight ETF (RSP)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20030.44%16.53%21.84%$11,653$12,18416.53%21.84%
20043.26%10.82%16.48%$12,914$14,19210.82%16.48%
20053.42%4.87%7.41%$13,543$15,2434.87%7.41%
20062.54%15.75%15.46%$15,676$17,60015.75%15.46%
20074.08%5.47%0.90%$16,533$17,7585.47%0.90%
20080.09%-36.97%-40.07%$10,421$10,643-36.97%-40.07%
20092.72%26.62%44.64%$13,195$15,39326.62%44.64%
20101.50%15.05%21.37%$15,181$18,68315.05%21.37%
20112.96%2.08%-0.67%$15,498$18,5582.08%-0.67%
20121.74%15.96%17.16%$17,972$21,74215.96%17.16%
20131.50%32.33%35.54%$23,783$29,46832.33%35.54%
20140.76%13.64%14.06%$27,027$33,61213.64%14.06%
20150.73%1.36%-2.66%$27,396$32,7191.36%-2.66%
20162.07%11.93%14.50%$30,663$37,46511.93%14.50%
20172.11%21.79%18.51%$37,343$44,40021.79%18.51%
20181.91%-4.43%-7.82%$35,690$40,926-4.43%-7.82%
Annual returns for 2003 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Admiral (VFIAX)Invesco S&P 500 Equal Weight ETF (RSP)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200361.26%0.87%$10,126$10,0871.26%0.87%
200371.76%2.35%$10,304$10,3241.76%2.35%
200381.93%4.31%$10,503$10,7691.93%4.31%
20039-1.07%-1.48%$10,391$10,610-1.07%-1.48%
2003105.64%6.92%$10,977$11,3445.64%6.92%
2003110.87%2.11%$11,073$11,5840.87%2.11%
2003125.24%5.18%$11,653$12,1845.24%5.18%
200411.82%2.37%$11,866$12,4731.82%2.37%
200421.39%1.90%$12,030$12,7101.39%1.90%
20043-1.52%-0.68%$11,848$12,624-1.52%-0.68%
20044-1.57%-2.36%$11,662$12,326-1.57%-2.36%
200451.37%1.75%$11,822$12,5421.37%1.75%
200461.93%3.04%$12,050$12,9231.93%3.04%
20047-3.31%-4.58%$11,651$12,331-3.31%-4.58%
200480.40%-0.10%$11,698$12,3190.40%-0.10%
200491.08%2.57%$11,824$12,6351.08%2.57%
2004101.52%2.37%$12,004$12,9351.52%2.37%
2004114.05%5.79%$12,490$13,6844.05%5.79%
2004123.40%3.71%$12,914$14,1923.40%3.71%
20051-2.44%-3.08%$12,600$13,755-2.44%-3.08%
200522.09%2.13%$12,863$14,0472.09%2.13%
20053-1.76%-1.36%$12,637$13,856-1.76%-1.36%
20054-1.90%-3.20%$12,397$13,413-1.90%-3.20%
200553.18%4.50%$12,791$14,0163.18%4.50%
200560.14%1.54%$12,809$14,2310.14%1.54%
200573.72%5.11%$13,285$14,9583.72%5.11%
20058-0.91%-0.87%$13,163$14,828-0.91%-0.87%
200590.80%0.50%$13,269$14,9010.80%0.50%
200510-1.67%-2.68%$13,047$14,502-1.67%-2.68%
2005113.77%4.55%$13,539$15,1623.77%4.55%
2005120.03%0.53%$13,543$15,2430.03%0.53%
200612.65%4.03%$13,903$15,8572.65%4.03%
200620.27%0.34%$13,940$15,9100.27%0.34%
200631.24%2.10%$14,114$16,2431.24%2.10%
200641.34%0.86%$14,303$16,3831.34%0.86%
20065-2.89%-2.97%$13,890$15,897-2.89%-2.97%
200660.14%-0.28%$13,909$15,8530.14%-0.28%
200670.61%-1.33%$13,993$15,6420.61%-1.33%
200682.37%2.74%$14,325$16,0712.37%2.74%
200692.58%2.39%$14,694$16,4562.58%2.39%
2006103.25%3.76%$15,172$17,0743.25%3.76%
2006111.90%2.50%$15,460$17,5011.90%2.50%
2006121.40%0.57%$15,676$17,6001.40%0.57%
200711.51%2.41%$15,912$18,0231.51%2.41%
20072-1.97%-0.47%$15,599$17,938-1.97%-0.47%
200731.12%0.82%$15,774$18,0861.12%0.82%
200744.42%4.41%$16,471$18,8834.42%4.41%
200753.48%3.24%$17,045$19,4943.48%3.24%
20076-1.66%-1.86%$16,762$19,132-1.66%-1.86%
20077-3.08%-4.51%$16,246$18,269-3.08%-4.51%
200781.50%0.08%$16,489$18,2841.50%0.08%
200793.74%2.49%$17,105$18,7393.74%2.49%
2007101.59%1.12%$17,377$18,9491.59%1.12%
200711-4.18%-4.65%$16,650$18,068-4.18%-4.65%
200712-0.70%-1.72%$16,533$17,758-0.70%-1.72%
20081-6.01%-4.30%$15,540$16,994-6.01%-4.30%
20082-3.24%-3.01%$15,036$16,482-3.24%-3.01%
20083-0.43%-1.86%$14,971$16,175-0.43%-1.86%
200844.87%5.72%$15,700$17,1014.87%5.72%
200851.29%2.65%$15,903$17,5541.29%2.65%
20086-8.43%-9.84%$14,561$15,828-8.43%-9.84%
20087-0.82%-0.50%$14,442$15,748-0.82%-0.50%
200881.45%2.96%$14,650$16,2141.45%2.96%
20089-8.90%-10.91%$13,347$14,445-8.90%-10.91%
200810-16.78%-20.91%$11,107$11,425-16.78%-20.91%
200811-7.16%-9.63%$10,311$10,325-7.16%-9.63%
2008121.06%3.08%$10,421$10,6431.06%3.08%
20091-8.41%-8.35%$9,544$9,755-8.41%-8.35%
20092-10.64%-11.22%$8,529$8,660-10.64%-11.22%
200938.78%10.26%$9,277$9,5498.78%10.26%
200949.56%18.69%$10,164$11,3339.56%18.69%
200955.63%6.46%$10,736$12,0665.63%6.46%
200960.23%-1.20%$10,761$11,9210.23%-1.20%
200977.58%9.19%$11,577$13,0167.58%9.19%
200983.61%5.65%$11,994$13,7513.61%5.65%
200993.73%5.29%$12,441$14,4783.73%5.29%
200910-1.86%-3.70%$12,210$13,942-1.86%-3.70%
2009116.00%5.54%$12,943$14,7156.00%5.54%
2009121.95%4.61%$13,195$15,3931.95%4.61%
20101-3.59%-3.31%$12,721$14,883-3.59%-3.31%
201023.09%4.19%$13,114$15,5063.09%4.19%
201036.03%7.22%$13,905$16,6266.03%7.22%
201041.59%2.65%$14,126$17,0681.59%2.65%
20105-8.00%-7.37%$12,997$15,810-8.00%-7.37%
20106-5.23%-6.31%$12,316$14,813-5.23%-6.31%
201077.01%7.35%$13,179$15,9027.01%7.35%
20108-4.52%-4.76%$12,584$15,146-4.52%-4.76%
201098.93%10.19%$13,707$16,6898.93%10.19%
2010103.81%3.56%$14,229$17,2843.81%3.56%
2010110.01%0.82%$14,230$17,4250.01%0.82%
2010126.68%7.21%$15,181$18,6836.68%7.21%
201112.37%2.11%$15,540$19,0772.37%2.11%
201123.42%4.02%$16,072$19,8443.42%4.02%
201130.03%0.83%$16,077$20,0090.03%0.83%
201142.96%3.13%$16,554$20,6352.96%3.13%
20115-1.14%-0.61%$16,365$20,508-1.14%-0.61%
20116-1.66%-1.80%$16,093$20,138-1.66%-1.80%
20117-2.04%-3.62%$15,765$19,410-2.04%-3.62%
20118-5.43%-6.35%$14,909$18,177-5.43%-6.35%
20119-7.04%-9.05%$13,860$16,532-7.04%-9.05%
20111010.93%13.07%$15,375$18,69210.93%13.07%
201111-0.22%-0.88%$15,340$18,529-0.22%-0.88%
2011121.03%0.16%$15,498$18,5581.03%0.16%
201214.47%5.68%$16,191$19,6124.47%5.68%
201224.32%4.01%$16,891$20,3984.32%4.01%
201233.29%2.32%$17,446$20,8713.29%2.32%
20124-0.63%-0.75%$17,336$20,714-0.63%-0.75%
20125-6.01%-6.99%$16,294$19,266-6.01%-6.99%
201264.12%3.86%$16,966$20,0094.12%3.86%
201271.38%0.12%$17,200$20,0331.38%0.12%
201282.25%3.07%$17,588$20,6472.25%3.07%
201292.58%2.51%$18,042$21,1662.58%2.51%
201210-1.85%-0.82%$17,708$20,992-1.85%-0.82%
2012110.58%1.28%$17,810$21,2590.58%1.28%
2012120.91%2.27%$17,972$21,7420.91%2.27%
201315.18%6.51%$18,903$23,1575.18%6.51%
201321.35%0.97%$19,159$23,3811.35%0.97%
201333.75%4.36%$19,877$24,4023.75%4.36%
201341.92%1.69%$20,259$24,8151.92%1.69%
201352.33%2.69%$20,732$25,4822.33%2.69%
20136-1.35%-1.23%$20,453$25,168-1.35%-1.23%
201375.09%5.63%$21,493$26,5865.09%5.63%
20138-2.90%-2.92%$20,870$25,809-2.90%-2.92%
201393.13%4.11%$21,524$26,8713.13%4.11%
2013104.59%4.28%$22,512$28,0204.59%4.28%
2013113.04%2.22%$23,197$28,6433.04%2.22%
2013122.53%2.88%$23,783$29,4682.53%2.88%
20141-3.46%-2.96%$22,960$28,596-3.46%-2.96%
201424.57%5.34%$24,009$30,1224.57%5.34%
201430.84%0.61%$24,210$30,3050.84%0.61%
201440.74%0.38%$24,388$30,4210.74%0.38%
201452.34%2.16%$24,958$31,0772.34%2.16%
201462.06%2.86%$25,474$31,9662.06%2.86%
20147-1.38%-2.33%$25,122$31,220-1.38%-2.33%
201484.00%4.20%$26,126$32,5324.00%4.20%
20149-1.40%-2.58%$25,759$31,691-1.40%-2.58%
2014102.43%3.02%$26,386$32,6492.43%3.02%
2014112.69%2.66%$27,097$33,5192.69%2.66%
201412-0.26%0.28%$27,027$33,612-0.26%0.28%
20151-3.00%-2.92%$26,216$32,630-3.00%-2.92%
201525.74%5.73%$27,722$34,4985.74%5.73%
20153-1.59%-0.96%$27,282$34,167-1.59%-0.96%
201540.95%0.41%$27,543$34,3060.95%0.41%
201551.28%0.72%$27,896$34,5551.28%0.72%
20156-1.92%-2.27%$27,360$33,771-1.92%-2.27%
201572.09%0.96%$27,932$34,0972.09%0.96%
20158-6.04%-5.46%$26,246$32,235-6.04%-5.46%
20159-2.48%-3.01%$25,595$31,263-2.48%-3.01%
2015108.43%6.99%$27,752$33,4488.43%6.99%
2015110.30%0.30%$27,836$33,5500.30%0.30%
201512-1.58%-2.48%$27,396$32,719-1.58%-2.48%
20161-4.97%-5.56%$26,035$30,900-4.97%-5.56%
20162-0.14%0.99%$25,999$31,208-0.14%0.99%
201636.78%7.98%$27,762$33,6986.78%7.98%
201640.39%1.25%$27,870$34,1190.39%1.25%
201651.79%1.36%$28,368$34,5821.79%1.36%
201660.26%-0.06%$28,441$34,5600.26%-0.06%
201673.68%4.14%$29,488$35,9923.68%4.14%
201680.14%0.16%$29,529$36,0480.14%0.16%
201690.02%0.10%$29,534$36,0850.02%0.10%
201610-1.83%-2.44%$28,994$35,204-1.83%-2.44%
2016113.70%5.24%$30,068$37,0483.70%5.24%
2016121.98%1.13%$30,663$37,4651.98%1.13%
201711.89%2.01%$31,243$38,2171.89%2.01%
201723.97%3.13%$32,483$39,4153.97%3.13%
201730.11%0.02%$32,519$39,4230.11%0.02%
201741.02%0.66%$32,851$39,6841.02%0.66%
201751.40%0.56%$33,312$39,9051.40%0.56%
201760.62%1.16%$33,518$40,3700.62%1.16%
201772.05%1.60%$34,206$41,0142.05%1.60%
201780.30%-1.00%$34,309$40,6050.30%-1.00%
201792.07%2.93%$35,018$41,7962.07%2.93%
2017102.33%1.09%$35,834$42,2512.33%1.09%
2017113.07%3.80%$36,934$43,8573.07%3.80%
2017121.11%1.24%$37,343$44,4001.11%1.24%
201815.72%4.38%$39,479$46,3465.72%4.38%
20182-3.69%-4.39%$38,024$44,312-3.69%-4.39%
20183-2.55%-0.93%$37,056$43,902-2.55%-0.93%
201840.38%0.37%$37,197$44,0650.38%0.37%
201852.40%1.45%$38,091$44,7052.40%1.45%
201860.61%0.97%$38,324$45,1390.61%0.97%
201873.72%3.10%$39,749$46,5393.72%3.10%
201883.25%1.96%$41,042$47,4523.25%1.96%
201890.57%0.17%$41,275$47,5330.57%0.17%
201810-6.84%-7.25%$38,451$44,088-6.84%-7.25%
2018112.03%2.61%$39,233$45,2412.03%2.61%
201812-9.03%-9.54%$35,690$40,926-9.03%-9.54%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value47.17%40.95%
Large-cap Growth52.63%6.04%
Mid-cap Value0.00%22.46%
Mid-cap Growth0.00%22.82%
Small-cap Value0.00%1.93%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%2.76%
Emerging Markets0.00%3.04%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.20%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.91%97.72%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend0.04%100.00%$25,690100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
RSPInvesco S&P 500 Equal Weight ETFLarge Blend0.20%100.00%$30,926100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 06/05/2019. © 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 1Portfolio 2
Arithmetic Mean (monthly)0.76%0.86%
Arithmetic Mean (annualized)9.48%10.81%
Geometric Mean (monthly)0.68%0.76%
Geometric Mean (annualized)8.51%9.46%
Volatility (monthly)3.85%4.52%
Volatility (annualized)13.34%15.64%
Downside Deviation (monthly)2.65%3.03%
Max. Drawdown-50.92%-55.58%
US Market Correlation1.000.98
Beta(*)0.961.11
Alpha (annualized)0.04%-0.15%
R299.24%96.39%
Sharpe Ratio0.590.58
Sortino Ratio0.850.86
Treynor Ratio (%)8.218.20
Calmar Ratio0.680.56
Active Return-0.27%0.69%
Tracking Error1.27%3.35%
Information Ratio-0.210.21
Skewness-0.85-0.60
Excess Kurtosis2.473.81
Historical Value-at-Risk (5%)-6.96%-7.32%
Analytical Value-at-Risk (5%)-5.58%-6.57%
Conditional Value-at-Risk (5%)-9.38%-10.76%
Upside Capture Ratio (%)95.67109.00
Downside Capture Ratio (%)95.96107.78
Safe Withdrawal Rate9.29%10.59%
Perpetual Withdrawal Rate5.81%6.61%
Positive Periods129 out of 187 (68.98%)125 out of 187 (66.84%)
Gain/Loss Ratio0.760.83
* 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
Subprime CrisisNov 2007Mar 2009-50.92%-54.30%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.92%
2Oct 2018Dec 20183 months-13.53%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.37%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.14%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.69%
7Jan 2005Apr 20054 monthsJul 20053 months7 months-4.01%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.46%
9Jul 2004Jul 20041 monthNov 20044 months5 months-3.31%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.58%
2May 2011Sep 20115 monthsMar 20126 months11 months-19.88%
3Oct 2018Dec 20183 months-13.90%
4Jun 2015Jan 20168 monthsMay 20164 months1 year-10.58%
5Apr 2012May 20122 monthsSep 20124 months6 months-7.69%
6Jan 2005Apr 20054 monthsJun 20052 months6 months-5.49%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.28%
8Jul 2004Aug 20042 monthsOct 20042 months4 months-4.67%
9May 2006Jul 20063 monthsSep 20062 months5 months-4.52%
10Aug 2005Oct 20053 monthsNov 20051 month4 months-3.05%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFIAXVanguard 500 Index Admiral8.51%13.34%32.33%-36.97%-50.92%0.590.851.00
RSPInvesco S&P 500 Equal Weight ETF9.46%15.64%44.64%-40.07%-55.58%0.580.860.98

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFIAXRSPPortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral-0.971.000.97
RSPInvesco S&P 500 Equal Weight ETF0.97-0.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral$25,690
RSPInvesco S&P 500 Equal Weight ETF$30,926

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral100.00%
RSPInvesco S&P 500 Equal Weight ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.09%32.33%-36.97%10.32%44.64%-40.07%
3 years8.33%20.37%-8.36%9.09%21.90%-11.29%
5 years7.88%17.94%-2.21%8.81%22.59%-2.67%
7 years8.67%14.81%2.64%9.85%17.40%3.91%
10 years8.48%13.10%6.94%9.67%14.42%7.85%
15 years7.75%7.75%7.75%8.41%8.41%8.41%
Result statistics are based on annualized rolling returns over full calendar year periods