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.
| Ticker | Name | Allocation |
|---|---|---|
| FPIFX | Fidelity Freedom Index 2020 Investor | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $20,947 | 7.54% | 7.41% | 18.16% | -3.85% | -10.57% | 0.95 | 1.58 | 0.96 |
| Vanguard Target Retirement 2020 Inv | $10,000 | $22,806 | 8.45% | 7.83% | 17.63% | -4.24% | -11.62% | 1.01 | 1.71 | 0.96 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | 4.48% | 18.16% | 8.97% | 6.53% | 7.17% | 7.54% | 6.21% | 6.56% |
| Vanguard Target Retirement 2020 Inv | 4.46% | 17.63% | 8.72% | 6.42% | 8.03% | 8.45% | 6.01% | 6.41% |
| Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Vanguard Target Retirement 2020 Inv | Fidelity Freedom Index 2020 Investor (FPIFX) | ||
|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | |||
| 2009 | -0.11% | 4.79% | $10,479 | 5.30% | $10,530 | 4.79% |
| 2010 | 1.50% | 12.24% | $11,762 | 13.12% | $11,912 | 12.24% |
| 2011 | 2.96% | 0.34% | $11,802 | 0.60% | $11,984 | 0.34% |
| 2012 | 1.74% | 10.00% | $12,982 | 12.35% | $13,464 | 10.00% |
| 2013 | 1.50% | 11.10% | $14,424 | 15.85% | $15,598 | 11.10% |
| 2014 | 0.76% | 5.84% | $15,266 | 7.11% | $16,707 | 5.84% |
| 2015 | 0.73% | -0.82% | $15,141 | -0.68% | $16,593 | -0.82% |
| 2016 | 2.07% | 6.91% | $16,188 | 6.95% | $17,747 | 6.91% |
| 2017 | 2.11% | 13.90% | $18,437 | 14.08% | $20,245 | 13.90% |
| 2018 | 1.91% | -3.85% | $17,727 | -4.24% | $19,387 | -3.85% |
| 2019 | 2.29% | 18.16% | $20,947 | 17.63% | $22,806 | 18.16% |
| Annual return for 2009 is from 11/01/2009 to 12/31/2009 | ||||||
| Year | Month | Portfolio 1 Return | Vanguard Target Retirement 2020 Inv Return | Fidelity Freedom Index 2020 Investor (FPIFX) |
|---|---|---|---|---|
| 2009 | 11 | 3.66% | 4.03% | 3.66% |
| 2009 | 12 | 1.09% | 1.23% | 1.09% |
| 2010 | 1 | -2.19% | -2.10% | -2.19% |
| 2010 | 2 | 1.85% | 2.00% | 1.85% |
| 2010 | 3 | 3.44% | 4.21% | 3.44% |
| 2010 | 4 | 1.11% | 1.30% | 1.11% |
| 2010 | 5 | -4.98% | -5.51% | -4.98% |
| 2010 | 6 | -1.93% | -2.67% | -1.93% |
| 2010 | 7 | 5.11% | 5.48% | 5.11% |
| 2010 | 8 | -2.15% | -2.55% | -2.15% |
| 2010 | 9 | 5.83% | 6.44% | 5.83% |
| 2010 | 10 | 2.62% | 2.69% | 2.62% |
| 2010 | 11 | -0.70% | -0.46% | -0.70% |
| 2010 | 12 | 4.22% | 4.34% | 4.22% |
| 2011 | 1 | 1.12% | 1.22% | 1.12% |
| 2011 | 2 | 2.05% | 2.28% | 2.05% |
| 2011 | 3 | 0.25% | 0.13% | 0.25% |
| 2011 | 4 | 2.67% | 2.88% | 2.67% |
| 2011 | 5 | -0.89% | -0.68% | -0.89% |
| 2011 | 6 | -1.23% | -1.20% | -1.23% |
| 2011 | 7 | -0.25% | -0.73% | -0.25% |
| 2011 | 8 | -3.08% | -3.83% | -3.08% |
| 2011 | 9 | -5.50% | -5.66% | -5.50% |
| 2011 | 10 | 6.46% | 7.30% | 6.46% |
| 2011 | 11 | -0.77% | -0.76% | -0.77% |
| 2011 | 12 | 0.01% | 0.24% | 0.01% |
| 2012 | 1 | 3.45% | 4.01% | 3.45% |
| 2012 | 2 | 2.40% | 2.88% | 2.40% |
| 2012 | 3 | 0.59% | 1.08% | 0.59% |
| 2012 | 4 | -0.17% | -0.26% | -0.17% |
| 2012 | 5 | -4.15% | -4.66% | -4.15% |
| 2012 | 6 | 2.70% | 2.91% | 2.70% |
| 2012 | 7 | 1.36% | 1.05% | 1.36% |
| 2012 | 8 | 1.34% | 1.72% | 1.34% |
| 2012 | 9 | 1.57% | 1.86% | 1.57% |
| 2012 | 10 | -0.73% | -0.62% | -0.73% |
| 2012 | 11 | 0.65% | 0.75% | 0.65% |
| 2012 | 12 | 0.78% | 1.24% | 0.78% |
| 2013 | 1 | 2.30% | 2.81% | 2.30% |
| 2013 | 2 | 0.16% | 0.53% | 0.16% |
| 2013 | 3 | 1.52% | 1.91% | 1.52% |
| 2013 | 4 | 1.18% | 1.75% | 1.18% |
| 2013 | 5 | -0.46% | -0.16% | -0.46% |
| 2013 | 6 | -2.04% | -1.80% | -2.04% |
| 2013 | 7 | 2.73% | 3.31% | 2.73% |
| 2013 | 8 | -1.33% | -1.78% | -1.33% |
| 2013 | 9 | 2.53% | 3.35% | 2.53% |
| 2013 | 10 | 2.24% | 2.74% | 2.24% |
| 2013 | 11 | 0.91% | 1.19% | 0.91% |
| 2013 | 12 | 0.97% | 1.12% | 0.97% |
| 2014 | 1 | -1.78% | -1.66% | -1.78% |
| 2014 | 2 | 3.32% | 3.23% | 3.32% |
| 2014 | 3 | 0.15% | 0.29% | 0.15% |
| 2014 | 4 | 0.58% | 0.54% | 0.58% |
| 2014 | 5 | 1.59% | 1.66% | 1.59% |
| 2014 | 6 | 1.45% | 1.49% | 1.45% |
| 2014 | 7 | -1.29% | -1.15% | -1.29% |
| 2014 | 8 | 2.24% | 2.44% | 2.24% |
| 2014 | 9 | -2.12% | -2.04% | -2.12% |
| 2014 | 10 | 1.37% | 1.51% | 1.37% |
| 2014 | 11 | 1.21% | 1.28% | 1.21% |
| 2014 | 12 | -0.89% | -0.56% | -0.89% |
| 2015 | 1 | -0.43% | -0.28% | -0.43% |
| 2015 | 2 | 3.05% | 3.00% | 3.05% |
| 2015 | 3 | -0.63% | -0.51% | -0.63% |
| 2015 | 4 | 1.13% | 0.96% | 1.13% |
| 2015 | 5 | 0.16% | 0.14% | 0.16% |
| 2015 | 6 | -1.54% | -1.67% | -1.54% |
| 2015 | 7 | 0.71% | 0.83% | 0.71% |
| 2015 | 8 | -3.96% | -3.98% | -3.96% |
| 2015 | 9 | -1.84% | -1.68% | -1.84% |
| 2015 | 10 | 4.50% | 4.32% | 4.50% |
| 2015 | 11 | -0.29% | -0.17% | -0.29% |
| 2015 | 12 | -1.40% | -1.38% | -1.40% |
| 2016 | 1 | -2.90% | -2.65% | -2.90% |
| 2016 | 2 | -0.23% | -0.23% | -0.23% |
| 2016 | 3 | 4.68% | 4.74% | 4.68% |
| 2016 | 4 | 0.88% | 0.87% | 0.88% |
| 2016 | 5 | 0.46% | 0.47% | 0.46% |
| 2016 | 6 | 0.58% | 0.64% | 0.58% |
| 2016 | 7 | 2.52% | 2.70% | 2.52% |
| 2016 | 8 | 0.14% | 0.21% | 0.14% |
| 2016 | 9 | 0.42% | 0.34% | 0.42% |
| 2016 | 10 | -1.47% | -1.55% | -1.47% |
| 2016 | 11 | 0.64% | 0.14% | 0.64% |
| 2016 | 12 | 1.17% | 1.24% | 1.17% |
| 2017 | 1 | 1.56% | 1.52% | 1.56% |
| 2017 | 2 | 1.95% | 1.88% | 1.95% |
| 2017 | 3 | 0.48% | 0.65% | 0.48% |
| 2017 | 4 | 1.02% | 1.12% | 1.02% |
| 2017 | 5 | 1.14% | 1.28% | 1.14% |
| 2017 | 6 | 0.40% | 0.37% | 0.40% |
| 2017 | 7 | 1.59% | 1.52% | 1.59% |
| 2017 | 8 | 0.46% | 0.55% | 0.46% |
| 2017 | 9 | 1.11% | 1.04% | 1.11% |
| 2017 | 10 | 1.22% | 1.25% | 1.22% |
| 2017 | 11 | 1.27% | 1.14% | 1.27% |
| 2017 | 12 | 0.90% | 0.94% | 0.90% |
| 2018 | 1 | 2.72% | 2.52% | 2.72% |
| 2018 | 2 | -2.65% | -2.52% | -2.65% |
| 2018 | 3 | -0.70% | -0.48% | -0.70% |
| 2018 | 4 | 0.06% | 0.06% | 0.06% |
| 2018 | 5 | 0.97% | 0.67% | 0.97% |
| 2018 | 6 | -0.06% | -0.13% | -0.06% |
| 2018 | 7 | 1.64% | 1.59% | 1.64% |
| 2018 | 8 | 1.18% | 0.82% | 1.18% |
| 2018 | 9 | -0.12% | -0.06% | -0.12% |
| 2018 | 10 | -4.50% | -4.39% | -4.50% |
| 2018 | 11 | 1.23% | 1.14% | 1.23% |
| 2018 | 12 | -3.44% | -3.31% | -3.44% |
| 2019 | 1 | 4.86% | 4.72% | 4.86% |
| 2019 | 2 | 1.48% | 1.47% | 1.48% |
| 2019 | 3 | 1.52% | 1.48% | 1.52% |
| 2019 | 4 | 1.94% | 1.85% | 1.94% |
| 2019 | 5 | -2.46% | -2.48% | -2.46% |
| 2019 | 6 | 4.04% | 3.91% | 4.04% |
| 2019 | 7 | 0.30% | 0.31% | 0.30% |
| 2019 | 8 | 0.06% | 0.03% | 0.06% |
| 2019 | 9 | 0.85% | 0.84% | 0.85% |
| 2019 | 10 | 1.38% | 1.36% | 1.38% |
| 2019 | 11 | 1.42% | 1.32% | 1.42% |
| 2019 | 12 | 1.62% | 1.72% | 1.62% |
| Style Category | Portfolio 1 | Vanguard Target Retirement 2020 Inv |
|---|---|---|
| Large-cap Value | 8.40% | 12.58% |
| Large-cap Growth | 22.36% | 18.13% |
| Mid-cap Value | 4.38% | 0.00% |
| Mid-cap Growth | 1.34% | 6.45% |
| Small-cap Value | 1.70% | 2.69% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 12.49% | 15.12% |
| Emerging Markets | 5.86% | 5.31% |
| Corporate Bonds | 10.08% | 9.19% |
| Long-Term Treasuries | 1.18% | 0.00% |
| Intermediate-Term Treasuries | 1.90% | 7.14% |
| Short-Term Treasuries | 30.31% | 23.40% |
| R Squared | 98.93% | 98.71% |
| Style analysis is based on monthly returns from November 2009 to December 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. | ||
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|---|
| FPIFX | Fidelity Freedom Index 2020 Investor | Target-Date 2020 | 100.00% | 1.37% | 0.12% | 24.34 | 9.01 | $10,947 | 100.00% |
Fund fundamentals data as of 02/26/2021. (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.
| Metric | Portfolio 1 | Vanguard 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 Correlation | 0.96 | 0.96 |
| Beta(*) | 0.94 | 1.00 |
| Alpha (annualized) | -0.37% | -0.00% |
| R2 | 98.76% | 100.00% |
| Sharpe Ratio | 0.95 | 1.01 |
| Sortino Ratio | 1.58 | 1.71 |
| Treynor Ratio (%) | 7.46 | 7.89 |
| Calmar Ratio | 1.33 | 1.32 |
| Active Return | -0.90% | N/A |
| Tracking Error | 0.95% | N/A |
| Information Ratio | -0.95 | N/A |
| Skewness | -0.23 | -0.20 |
| Excess Kurtosis | 0.76 | 0.91 |
| Historical Value-at-Risk (5%) | -3.07% | -3.28% |
| Analytical Value-at-Risk (5%) | -2.89% | -3.01% |
| Conditional Value-at-Risk (5%) | -4.23% | -4.48% |
| Upside Capture Ratio (%) | 93.21 | 100.00 |
| Downside Capture Ratio (%) | 98.44 | 100.00 |
| Safe Withdrawal Rate | 12.15% | 12.86% |
| Perpetual Withdrawal Rate | 5.02% | 5.75% |
| Positive Periods | 84 out of 122 (68.85%) | 84 out of 122 (68.85%) |
| Gain/Loss Ratio | 0.97 | 1.02 |
| * Vanguard Target Retirement 2020 Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -10.57% |
| 2 | Jun 2015 | Feb 2016 | 9 months | Jul 2016 | 5 months | 1 year 2 months | -6.96% |
| 3 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -6.81% |
| 4 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -6.76% |
| 5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -4.31% |
| 6 | Feb 2018 | Mar 2018 | 2 months | Aug 2018 | 5 months | 7 months | -3.33% |
| 7 | May 2013 | Jun 2013 | 2 months | Jul 2013 | 1 month | 3 months | -2.50% |
| 8 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.46% |
| 9 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -2.19% |
| 10 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -2.12% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -11.62% |
| 2 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -8.03% |
| 3 | Jun 2015 | Feb 2016 | 9 months | Jul 2016 | 5 months | 1 year 2 months | -6.62% |
| 4 | Feb 2018 | Dec 2018 | 11 months | Mar 2019 | 3 months | 1 year 2 months | -6.59% |
| 5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -4.90% |
| 6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.48% |
| 7 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -2.10% |
| 8 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -2.04% |
| 9 | May 2013 | Jun 2013 | 2 months | Jul 2013 | 1 month | 3 months | -1.96% |
| 10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -1.78% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| FPIFX | Fidelity Freedom Index 2020 Investor | 7.54% | 7.41% | 18.16% | -3.85% | -10.57% | 0.95 | 1.58 | 0.96 |
| Roll Period | Portfolio 1 | Vanguard Target Retirement 2020 Inv | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 7.18% | 20.18% | -6.35% | 8.12% | 22.13% | -6.08% |
| 3 years | 6.75% | 10.35% | 3.31% | 7.88% | 13.32% | 4.35% |
| 5 years | 6.38% | 8.81% | 3.86% | 7.53% | 10.70% | 4.44% |
| 7 years | 6.69% | 7.87% | 5.62% | 7.83% | 9.27% | 6.81% |
| 10 years | 7.21% | 7.35% | 7.12% | 8.09% | 8.27% | 7.98% |