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 6
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Portfolio Analysis Results (Dec 2001 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWEAX Vanguard High-Yield Corporate Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$32,296 6.70% 7.50%39.27%-21.19%-28.76% 0.731.050.68
Vanguard Balanced Index Inv$10,000$34,256 7.05% 8.55%21.67%-22.21%-32.57% 0.691.010.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 12.53%15.91%6.45%5.79%7.20%6.70%4.23%4.54%
Vanguard Balanced Index Inv5.36%21.67%10.33%7.93%9.54%7.05%7.34%7.20%
Trailing annualized return and volatility are for full months ending in December 2019 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 2001 are based on monthly returns 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 (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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard Balanced Index InvVanguard High-Yield Corporate Adm (VWEAX)
ReturnBalanceYieldIncomeReturnBalance
2001-0.39%-0.66%$9,9340.75%$75.390.83%$10,083-0.66%
20022.38%1.78%$10,1118.44%$838-9.52%$9,1231.78%
20031.88%17.27%$11,8578.46%$85519.87%$10,93517.27%
20043.26%8.62%$12,8797.55%$8969.32%$11,9558.62%
20053.42%2.91%$13,2537.18%$9244.65%$12,5112.91%
20062.54%8.38%$14,3637.46%$98911.02%$13,8908.38%
20074.08%2.17%$14,6767.56%$1,0856.16%$14,7462.17%
20080.09%-21.19%$11,5667.75%$1,137-22.21%$11,471-21.19%
20092.72%39.27%$16,10710.08%$1,16620.05%$13,77139.27%
20101.50%12.53%$18,1258.15%$1,31313.13%$15,57912.53%
20112.96%7.24%$19,4387.46%$1,3534.14%$16,2247.24%
20121.74%14.47%$22,2506.89%$1,33811.33%$18,06214.47%
20131.50%4.64%$23,2835.96%$1,32717.91%$21,2974.64%
20140.76%4.69%$24,3745.79%$1,3479.84%$23,3944.69%
20150.73%-1.30%$24,0586.23%$1,5180.37%$23,480-1.30%
20162.07%11.30%$26,7775.95%$1,4328.63%$25,50711.30%
20172.11%7.13%$28,6875.60%$1,50113.75%$29,0157.13%
20181.91%-2.87%$27,8645.68%$1,630-2.97%$28,154-2.87%
20192.29%15.91%$32,2966.01%$1,67521.67%$34,25615.91%
Annual return for 2001 is from 12/01/2001 to 12/31/2001
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnVanguard Balanced Index Inv ReturnVanguard High-Yield Corporate Adm (VWEAX)
200112-0.66%0.83%-0.66%
200210.75%-0.45%0.75%
20022-0.79%-0.84%-0.79%
200231.35%1.99%1.35%
200241.48%-2.30%1.48%
20025-0.41%-0.40%-0.41%
20026-2.86%-3.97%-2.86%
20027-3.78%-4.22%-3.78%
200281.97%0.95%1.97%
20029-1.36%-5.44%-1.36%
2002100.20%4.26%0.20%
2002114.42%3.58%4.42%
2002121.06%-2.59%1.06%
200311.56%-1.47%1.56%
200321.31%-0.39%1.31%
200331.37%0.58%1.37%
200343.65%5.22%3.65%
200350.33%4.34%0.33%
200361.93%0.88%1.93%
20037-1.59%0.06%-1.59%
200380.83%1.66%0.83%
200392.11%0.41%2.11%
2003101.45%3.21%1.45%
2003111.10%0.96%1.10%
2003122.07%3.03%2.07%
200410.93%1.70%0.93%
200420.27%1.29%0.27%
200430.78%-0.37%0.78%
20044-0.65%-2.31%-0.65%
20045-1.59%0.66%-1.59%
200461.26%1.47%1.26%
200471.12%-1.89%1.12%
200481.92%0.99%1.92%
200491.23%1.15%1.23%
2004101.71%1.30%1.71%
2004110.28%2.52%0.28%
2004121.08%2.57%1.08%
20051-0.16%-1.34%-0.16%
200521.17%0.99%1.17%
20053-2.67%-1.29%-2.67%
20054-0.54%-0.84%-0.54%
200551.92%2.76%1.92%
200561.23%0.72%1.23%
200570.93%2.11%0.93%
200580.27%-0.10%0.27%
20059-0.54%0.11%-0.54%
200510-0.52%-1.47%-0.52%
2005110.93%2.58%0.93%
2005120.94%0.45%0.94%
200610.94%2.12%0.94%
200620.71%0.15%0.71%
20063-0.03%0.69%-0.03%
200640.27%0.54%0.27%
20065-0.36%-1.96%-0.36%
20066-0.39%0.16%-0.39%
200670.79%0.50%0.79%
200681.45%2.00%1.45%
200691.26%1.68%1.26%
2006100.95%2.43%0.95%
2006111.58%1.80%1.58%
2006120.94%0.47%0.94%
200710.61%1.08%0.61%
200721.52%-0.32%1.52%
200730.14%0.65%0.14%
200741.25%2.60%1.25%
200750.62%1.90%0.62%
20076-2.26%-1.15%-2.26%
20077-3.29%-1.72%-3.29%
200781.85%1.43%1.85%
200792.81%2.45%2.81%
2007100.47%1.47%0.47%
200711-1.86%-1.94%-1.86%
2007120.48%-0.32%0.48%
20081-0.71%-2.91%-0.71%
20082-1.45%-1.78%-1.45%
20083-0.21%-0.19%-0.21%
200843.66%2.83%3.66%
20085-0.21%0.98%-0.21%
20086-3.00%-4.98%-3.00%
20087-1.13%-0.44%-1.13%
200880.68%1.23%0.68%
20089-6.12%-6.04%-6.12%
200810-15.39%-11.59%-15.39%
200811-6.21%-3.43%-6.21%
2008128.47%2.44%8.47%
200915.72%-5.18%5.72%
20092-2.88%-6.48%-2.88%
200931.96%6.10%1.96%
200947.84%6.40%7.84%
200954.36%3.58%4.36%
200961.71%0.50%1.71%
200975.81%5.28%5.81%
200980.30%2.62%0.30%
200994.18%2.98%4.18%
2009101.61%-1.33%1.61%
2009110.66%3.88%0.66%
2009122.77%1.03%2.77%
201010.84%-1.50%0.84%
201020.06%2.10%0.06%
201032.71%3.74%2.71%
201041.73%1.74%1.73%
20105-3.41%-4.45%-3.41%
201061.78%-2.75%1.78%
201073.43%4.50%3.43%
201080.29%-2.33%0.29%
201092.77%5.59%2.77%
2010102.21%2.52%2.21%
201011-1.65%0.14%-1.65%
2010121.33%3.66%1.33%
201112.02%1.36%2.02%
201121.26%2.26%1.26%
201130.29%0.23%0.29%
201141.62%2.35%1.62%
201150.60%-0.18%0.60%
20116-0.95%-1.21%-0.95%
201171.46%-0.72%1.46%
20118-3.19%-2.81%-3.19%
20119-1.90%-4.39%-1.90%
2011105.39%6.98%5.39%
201111-2.05%-0.28%-2.05%
2011122.76%0.92%2.76%
201212.88%3.40%2.88%
201221.91%2.49%1.91%
20123-0.46%1.62%-0.46%
201241.05%0.04%1.05%
20125-0.98%-3.34%-0.98%
201262.09%2.28%2.09%
201272.08%1.17%2.08%
201280.87%1.55%0.87%
201291.18%1.58%1.18%
2012101.02%-1.01%1.02%
2012110.67%0.51%0.67%
2012121.34%0.66%1.34%
201310.68%3.03%0.68%
201320.29%0.98%0.29%
201330.83%2.36%0.83%
201341.62%1.39%1.62%
20135-0.80%0.74%-0.80%
20136-2.95%-1.41%-2.95%
201371.86%3.33%1.86%
20138-1.01%-1.95%-1.01%
201390.99%2.56%0.99%
2013102.52%2.83%2.52%
2013110.31%1.60%0.31%
2013120.33%1.29%0.33%
201410.67%-1.24%0.67%
201421.93%3.02%1.93%
201430.15%0.21%0.15%
201440.62%0.36%0.62%
201450.96%1.71%0.96%
201460.61%1.57%0.61%
20147-1.16%-1.28%-1.16%
201481.63%2.95%1.63%
20149-1.83%-1.57%-1.83%
2014101.98%2.09%1.98%
201411-0.54%1.74%-0.54%
201412-0.36%0.01%-0.36%
201510.64%-0.77%0.64%
201521.93%2.95%1.93%
20153-0.54%-0.44%-0.54%
201540.96%0.10%0.96%
201550.31%0.63%0.31%
20156-1.38%-1.42%-1.38%
201570.30%1.31%0.30%
20158-0.88%-3.72%-0.88%
20159-2.11%-1.45%-2.11%
2015102.78%4.61%2.78%
201511-1.43%0.24%-1.43%
201512-1.75%-1.41%-1.75%
20161-0.99%-2.81%-0.99%
201620.46%0.28%0.46%
201632.86%4.59%2.86%
201642.61%0.54%2.61%
20165-0.04%1.04%-0.04%
201660.81%0.93%0.81%
201672.04%2.64%2.04%
201681.67%0.06%1.67%
201690.63%0.08%0.63%
2016100.29%-1.68%0.29%
201611-0.90%1.61%-0.90%
2016121.40%1.21%1.40%
201711.00%1.25%1.00%
201721.44%2.48%1.44%
20173-0.21%0.02%-0.21%
201741.30%0.93%1.30%
201750.97%0.89%0.97%
201760.28%0.55%0.28%
201771.13%1.28%1.13%
201780.12%0.42%0.12%
201790.77%1.26%0.77%
2017100.09%1.31%0.09%
201711-0.26%1.79%-0.26%
2017120.27%0.78%0.27%
201810.22%2.71%0.22%
20182-1.11%-2.61%-1.11%
20183-0.56%-0.93%-0.56%
201840.46%-0.09%0.46%
20185-0.39%1.93%-0.39%
201860.29%0.40%0.29%
201871.19%2.01%1.19%
201881.00%2.31%1.00%
201890.46%-0.13%0.46%
201810-1.57%-4.76%-1.57%
201811-0.71%1.48%-0.71%
201812-2.13%-4.93%-2.13%
201914.94%5.55%4.94%
201921.50%2.10%1.50%
201931.01%1.65%1.01%
201941.51%2.39%1.51%
20195-1.08%-3.21%-1.08%
201962.73%4.63%2.73%
201970.45%0.97%0.45%
201980.96%-0.11%0.96%
201990.44%0.80%0.44%
2019100.62%1.39%0.62%
2019110.60%2.24%0.60%
2019121.29%1.64%1.29%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VWEAXVanguard High-Yield Corporate AdmHigh Yield Bond100.00%3.10%0.13%3.44$22,296100.00%

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 1Vanguard Balanced Index Inv
Arithmetic Mean (monthly)0.57%0.60%
Arithmetic Mean (annualized)7.00%7.44%
Geometric Mean (monthly)0.54%0.57%
Geometric Mean (annualized)6.70%7.05%
Volatility (monthly)2.17%2.47%
Volatility (annualized)7.50%8.55%
Downside Deviation (monthly)1.47%1.64%
Max. Drawdown-28.76%-32.57%
US Market Correlation0.680.99
Beta(*)0.631.00
Alpha (annualized)2.23%-0.00%
R252.10%100.00%
Sharpe Ratio0.730.69
Sortino Ratio1.051.01
Treynor Ratio (%)8.655.89
Calmar Ratio1.481.25
Active Return-0.35%N/A
Tracking Error6.06%N/A
Information Ratio-0.06N/A
Skewness-1.66-0.84
Excess Kurtosis14.592.73
Historical Value-at-Risk (5%)-2.71%-4.02%
Analytical Value-at-Risk (5%)-3.00%-3.46%
Conditional Value-at-Risk (5%)-4.83%-5.68%
Upside Capture Ratio (%)66.22100.00
Downside Capture Ratio (%)46.37100.00
Safe Withdrawal Rate7.42%6.96%
Perpetual Withdrawal Rate4.14%4.43%
Positive Periods154 out of 217 (70.97%)149 out of 217 (68.66%)
Gain/Loss Ratio0.890.86
* Vanguard Balanced Index Inv 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 1Vanguard Balanced Index Inv
Subprime CrisisNov 2007Mar 2009-28.36%-32.57%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Nov 20081 year 6 monthsSep 200910 months2 years 4 months-28.76%
2May 2002Jul 20023 monthsJan 20036 months9 months-6.92%
3Jun 2015Jan 20168 monthsApr 20163 months11 months-5.41%
4Aug 2011Sep 20112 monthsOct 20111 month3 months-5.03%
5Oct 2018Dec 20183 monthsJan 20191 month4 months-4.36%
6May 2013Jun 20132 monthsOct 20134 months6 months-3.73%
7May 2010May 20101 monthJul 20102 months3 months-3.41%
8Mar 2005Apr 20052 monthsJul 20053 months5 months-3.19%
9Apr 2004May 20042 monthsJul 20042 months4 months-2.23%
10Nov 2011Nov 20111 monthDec 20111 month2 months-2.05%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.57%
2Apr 2002Sep 20026 monthsSep 20031 year1 year 6 months-14.57%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
7May 2012May 20121 monthJul 20122 months3 months-3.34%
8May 2019May 20191 monthJun 20191 month2 months-3.21%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-2.85%
10Mar 2004Apr 20042 monthsOct 20046 months8 months-2.67%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWEAXVanguard High-Yield Corporate Adm6.70%7.50%39.27%-21.19%-28.76%0.731.050.68

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard Balanced Index Inv
AverageHighLowAverageHighLow
1 year7.25%46.99%-27.00%7.70%36.16%-27.67%
3 years6.79%21.06%-6.70%7.44%19.12%-7.37%
5 years6.70%16.83%-1.70%7.19%16.33%-2.02%
7 years6.93%12.61%0.92%7.09%12.28%0.31%
10 years7.26%10.32%5.91%7.32%11.55%4.86%
15 years6.70%7.59%5.86%7.31%8.32%6.36%