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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Portfolio Analysis Results (Nov 2009 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FPIFX Fidelity Freedom Index 2020 Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,947 7.54% 7.41%18.16%-3.85%-10.57% 0.951.580.96
Vanguard Target Retirement 2020 Inv$10,000$22,806 8.45% 7.83%17.63%-4.24%-11.62% 1.011.710.96
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 14.48%18.16%8.97%6.53%7.17%7.54%
Vanguard Target Retirement 2020 Inv4.46%17.63%8.72%6.42%8.03%8.45%
Trailing returns 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 2009 are based on monthly returns from November 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
YearInflationReturnBalanceFidelity Freedom Index 2020 Investor (FPIFX)
Portfolio 1Vanguard Target Retirement 2020 InvPortfolio 1Vanguard Target Retirement 2020 Inv
2009-0.11%4.79%5.30%$10,479$10,5304.79%
20101.50%12.24%13.12%$11,762$11,91212.24%
20112.96%0.34%0.60%$11,802$11,9840.34%
20121.74%10.00%12.35%$12,982$13,46410.00%
20131.50%11.10%15.85%$14,424$15,59811.10%
20140.76%5.84%7.11%$15,266$16,7075.84%
20150.73%-0.82%-0.68%$15,141$16,593-0.82%
20162.07%6.91%6.95%$16,188$17,7476.91%
20172.11%13.90%14.08%$18,437$20,24513.90%
20181.91%-3.85%-4.24%$17,727$19,387-3.85%
20192.29%18.16%17.63%$20,947$22,80618.16%
Annual returns for 2009 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceFidelity Freedom Index 2020 Investor (FPIFX)
Portfolio 1Vanguard Target Retirement 2020 InvPortfolio 1Vanguard Target Retirement 2020 Inv
2009113.66%4.03%$10,366$10,4033.66%
2009121.09%1.23%$10,479$10,5301.09%
20101-2.19%-2.10%$10,249$10,309-2.19%
201021.85%2.00%$10,439$10,5141.85%
201033.44%4.21%$10,799$10,9583.44%
201041.11%1.30%$10,919$11,1001.11%
20105-4.98%-5.51%$10,375$10,488-4.98%
20106-1.93%-2.67%$10,175$10,208-1.93%
201075.11%5.48%$10,695$10,7685.11%
20108-2.15%-2.55%$10,465$10,493-2.15%
201095.83%6.44%$11,075$11,1695.83%
2010102.62%2.69%$11,365$11,4692.62%
201011-0.70%-0.46%$11,285$11,417-0.70%
2010124.22%4.34%$11,762$11,9124.22%
201111.12%1.22%$11,894$12,0581.12%
201122.05%2.28%$12,137$12,3332.05%
201130.25%0.13%$12,168$12,3490.25%
201142.67%2.88%$12,492$12,7052.67%
20115-0.89%-0.68%$12,381$12,618-0.89%
20116-1.23%-1.20%$12,228$12,468-1.23%
20117-0.25%-0.73%$12,198$12,376-0.25%
20118-3.08%-3.83%$11,822$11,902-3.08%
20119-5.50%-5.66%$11,171$11,228-5.50%
2011106.46%7.30%$11,893$12,0476.46%
201111-0.77%-0.76%$11,801$11,955-0.77%
2011120.01%0.24%$11,802$11,9840.01%
201213.45%4.01%$12,210$12,4653.45%
201222.40%2.88%$12,503$12,8242.40%
201230.59%1.08%$12,576$12,9620.59%
20124-0.17%-0.26%$12,555$12,929-0.17%
20125-4.15%-4.66%$12,034$12,327-4.15%
201262.70%2.91%$12,359$12,6862.70%
201271.36%1.05%$12,526$12,8191.36%
201281.34%1.72%$12,694$13,0401.34%
201291.57%1.86%$12,893$13,2831.57%
201210-0.73%-0.62%$12,799$13,200-0.73%
2012110.65%0.75%$12,882$13,2990.65%
2012120.78%1.24%$12,982$13,4640.78%
201312.30%2.81%$13,281$13,8432.30%
201320.16%0.53%$13,302$13,9160.16%
201331.52%1.91%$13,505$14,1821.52%
201341.18%1.75%$13,664$14,4301.18%
20135-0.46%-0.16%$13,601$14,408-0.46%
20136-2.04%-1.80%$13,323$14,148-2.04%
201372.73%3.31%$13,687$14,6172.73%
20138-1.33%-1.78%$13,505$14,357-1.33%
201392.53%3.35%$13,847$14,8372.53%
2013102.24%2.74%$14,157$15,2442.24%
2013110.91%1.19%$14,285$15,4250.91%
2013120.97%1.12%$14,424$15,5980.97%
20141-1.78%-1.66%$14,167$15,339-1.78%
201423.32%3.23%$14,638$15,8343.32%
201430.15%0.29%$14,659$15,8800.15%
201440.58%0.54%$14,744$15,9670.58%
201451.59%1.66%$14,979$16,2311.59%
201461.45%1.49%$15,196$16,4731.45%
20147-1.29%-1.15%$15,001$16,283-1.29%
201482.24%2.44%$15,338$16,6802.24%
20149-2.12%-2.04%$15,012$16,341-2.12%
2014101.37%1.51%$15,218$16,5881.37%
2014111.21%1.28%$15,403$16,8011.21%
201412-0.89%-0.56%$15,266$16,707-0.89%
20151-0.43%-0.28%$15,200$16,660-0.43%
201523.05%3.00%$15,663$17,1593.05%
20153-0.63%-0.51%$15,564$17,071-0.63%
201541.13%0.96%$15,741$17,2361.13%
201550.16%0.14%$15,766$17,2590.16%
20156-1.54%-1.67%$15,523$16,972-1.54%
201570.71%0.83%$15,633$17,1130.71%
20158-3.96%-3.98%$15,014$16,432-3.96%
20159-1.84%-1.68%$14,738$16,156-1.84%
2015104.50%4.32%$15,401$16,8544.50%
201511-0.29%-0.17%$15,357$16,825-0.29%
201512-1.40%-1.38%$15,141$16,593-1.40%
20161-2.90%-2.65%$14,702$16,153-2.90%
20162-0.23%-0.23%$14,669$16,117-0.23%
201634.68%4.74%$15,355$16,8814.68%
201640.88%0.87%$15,490$17,0270.88%
201650.46%0.47%$15,561$17,1070.46%
201660.58%0.64%$15,651$17,2170.58%
201672.52%2.70%$16,046$17,6812.52%
201680.14%0.21%$16,068$17,7180.14%
201690.42%0.34%$16,136$17,7790.42%
201610-1.47%-1.55%$15,899$17,504-1.47%
2016110.64%0.14%$16,001$17,5290.64%
2016121.17%1.24%$16,188$17,7471.17%
201711.56%1.52%$16,440$18,0171.56%
201721.95%1.88%$16,760$18,3561.95%
201730.48%0.65%$16,841$18,4750.48%
201741.02%1.12%$17,012$18,6821.02%
201751.14%1.28%$17,206$18,9211.14%
201760.40%0.37%$17,275$18,9900.40%
201771.59%1.52%$17,551$19,2791.59%
201780.46%0.55%$17,631$19,3860.46%
201791.11%1.04%$17,826$19,5861.11%
2017101.22%1.25%$18,044$19,8311.22%
2017111.27%1.14%$18,274$20,0571.27%
2017120.90%0.94%$18,437$20,2450.90%
201812.72%2.52%$18,939$20,7552.72%
20182-2.65%-2.52%$18,437$20,232-2.65%
20183-0.70%-0.48%$18,309$20,136-0.70%
201840.06%0.06%$18,321$20,1480.06%
201850.97%0.67%$18,498$20,2840.97%
20186-0.06%-0.13%$18,486$20,258-0.06%
201871.64%1.59%$18,790$20,5811.64%
201881.18%0.82%$19,012$20,7481.18%
20189-0.12%-0.06%$18,989$20,736-0.12%
201810-4.50%-4.39%$18,135$19,826-4.50%
2018111.23%1.14%$18,358$20,0521.23%
201812-3.44%-3.31%$17,727$19,387-3.44%
201914.86%4.72%$18,588$20,3014.86%
201921.48%1.47%$18,863$20,5991.48%
201931.52%1.48%$19,150$20,9041.52%
201941.94%1.85%$19,521$21,2901.94%
20195-2.46%-2.48%$19,040$20,762-2.46%
201964.04%3.91%$19,809$21,5744.04%
201970.30%0.31%$19,869$21,6420.30%
201980.06%0.03%$19,881$21,6490.06%
201990.85%0.84%$20,049$21,8320.85%
2019101.38%1.36%$20,325$22,1301.38%
2019111.42%1.32%$20,613$22,4211.42%
2019121.62%1.72%$20,947$22,8061.62%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard Target Retirement 2020 Inv
Large-cap Value8.40%12.58%
Large-cap Growth22.36%18.13%
Mid-cap Value4.38%0.00%
Mid-cap Growth1.34%6.45%
Small-cap Value1.70%2.69%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets12.49%15.12%
Emerging Markets5.86%5.31%
Corporate Bonds10.08%9.19%
Long-Term Treasuries1.18%0.00%
Intermediate-Term Treasuries1.90%7.14%
Short-Term Treasuries30.31%23.40%
R Squared98.93%98.71%
Style analysis is based on monthly returns from Nov 2009 to Dec 2019 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
FPIFXFidelity Freedom Index 2020 InvestorTarget-Date 2020100.00%0.12%20.405.67$10,947100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (c) 2020 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 Target Retirement 2020 Inv
Arithmetic Mean (monthly)0.63%0.70%
Arithmetic Mean (annualized)7.83%8.77%
Geometric Mean (monthly)0.61%0.68%
Geometric Mean (annualized)7.54%8.45%
Volatility (monthly)2.14%2.26%
Volatility (annualized)7.41%7.83%
Downside Deviation (monthly)1.27%1.32%
Max. Drawdown-10.57%-11.62%
US Market Correlation0.960.96
Beta(*)0.941.00
Alpha (annualized)-0.37%-0.00%
R298.76%100.00%
Sharpe Ratio0.951.01
Sortino Ratio1.581.71
Treynor Ratio (%)7.467.89
Calmar Ratio1.331.32
Active Return-0.90%N/A
Tracking Error0.95%N/A
Information Ratio-0.95N/A
Skewness-0.23-0.20
Excess Kurtosis0.760.91
Historical Value-at-Risk (5%)-3.38%-3.75%
Analytical Value-at-Risk (5%)-2.89%-3.01%
Conditional Value-at-Risk (5%)-4.42%-4.67%
Upside Capture Ratio (%)93.21100.00
Downside Capture Ratio (%)98.44100.00
Safe Withdrawal Rate12.15%12.86%
Perpetual Withdrawal Rate5.02%5.75%
Positive Periods84 out of 122 (68.85%)84 out of 122 (68.85%)
Gain/Loss Ratio0.971.02
* Vanguard Target Retirement 2020 Inv 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 2011Sep 20115 monthsFeb 20125 months10 months-10.57%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.96%
3May 2010Jun 20102 monthsSep 20103 months5 months-6.81%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-6.76%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.31%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-3.33%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.50%
8May 2019May 20191 monthJun 20191 month2 months-2.46%
9Jan 2010Jan 20101 monthMar 20102 months3 months-2.19%
10Sep 2014Sep 20141 monthNov 20142 months3 months-2.12%
Worst 10 drawdowns included above

Drawdowns for Vanguard Target Retirement 2020 Inv

Drawdowns for Vanguard Target Retirement 2020 Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-11.62%
2May 2010Jun 20102 monthsSep 20103 months5 months-8.03%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.62%
4Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-6.59%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.90%
6May 2019May 20191 monthJun 20191 month2 months-2.48%
7Jan 2010Jan 20101 monthMar 20102 months3 months-2.10%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
9May 2013Jun 20132 monthsJul 20131 month3 months-1.96%
10Aug 2013Aug 20131 monthSep 20131 month2 months-1.78%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FPIFXFidelity Freedom Index 2020 Investor7.54%7.41%18.16%-3.85%-10.57%0.951.580.96

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard Target Retirement 2020 Inv
AverageHighLowAverageHighLow
1 year7.38%18.16%-3.85%8.28%17.63%-4.24%
3 years6.68%8.97%3.92%7.74%11.71%4.39%
5 years6.25%7.82%4.21%7.34%9.67%4.44%
7 years6.52%7.07%5.98%7.64%7.87%7.11%
10 years7.17%7.17%7.17%8.03%8.03%8.03%
Result statistics are based on annualized rolling returns over full calendar year periods