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 Analysis Results (Sep 2018 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 90.00%
VFITX Vanguard Interm-Term Treasury Inv 45.00%
VUSTX Vanguard Long-Term Treasury Inv 15.00%
CASHX Cash -50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 90.00%
VFITX Vanguard Interm-Term Treasury Inv 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,747 12.83% 13.82%32.00%-11.01%-11.01% 0.791.190.97
Portfolio 2$10,000$11,730 12.71% 13.76%32.15%-11.24%-11.24% 0.781.200.98
Portfolio 3$10,000$11,392 10.27% 14.72%28.82%-11.57%-11.94% 0.590.841.00
Vanguard 500 Index Investor$10,000$11,416 10.44% 16.45%31.33%-13.07%-13.55% 0.550.781.00
   
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 2018 are based on monthly returns from September 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 backtested 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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)WisdomTree 90/60 US Balanced (NTSX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
2018-0.36%-11.01%-11.24%-11.57%-13.07%$8,899$8,876$8,843$8,693-13.07%1.98%1.50%0.74%-11.24%
20192.29%32.00%32.15%28.82%31.33%$11,747$11,730$11,392$11,41631.33%6.29%14.13%2.13%32.15%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)WisdomTree 90/60 US Balanced (NTSX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20189-0.37%-0.12%0.42%0.55%$9,963$9,988$10,042$10,0550.55%-0.82%-2.74%0.17%-0.12%
201810-6.75%-5.95%-6.18%-6.85%$9,291$9,394$9,421$9,367-6.85%-0.06%-2.82%0.18%-5.95%
2018112.47%1.49%1.91%2.03%$9,520$9,534$9,602$9,5572.03%0.96%1.78%0.19%1.49%
201812-6.53%-6.90%-7.90%-9.04%$8,899$8,876$8,843$8,693-9.04%1.90%5.50%0.19%-6.90%
201917.44%7.86%7.26%8.00%$9,561$9,574$9,485$9,3888.00%0.58%0.49%0.20%7.86%
201922.51%2.48%2.88%3.20%$9,801$9,811$9,758$9,6893.20%-0.26%-1.31%0.20%2.48%
201933.14%2.86%1.92%1.94%$10,108$10,092$9,945$9,8761.94%1.78%5.47%0.20%2.86%
201943.27%3.45%3.67%4.04%$10,438$10,440$10,310$10,2754.04%-0.05%-1.88%0.20%3.45%
20195-4.17%-4.27%-5.63%-6.36%$10,003$9,994$9,730$9,621-6.36%2.05%6.65%0.20%-4.27%
201966.70%6.63%6.46%7.03%$10,673$10,657$10,359$10,2987.03%1.02%1.01%0.19%6.63%
201971.16%1.33%1.28%1.43%$10,797$10,799$10,492$10,4451.43%-0.16%0.22%0.17%1.33%
201980.94%0.40%-1.23%-1.59%$10,898$10,842$10,363$10,279-1.59%2.48%10.68%0.17%0.40%
201990.88%1.09%1.62%1.86%$10,993$10,959$10,531$10,4701.86%-0.70%-2.62%0.16%1.09%
2019101.72%1.65%1.98%2.15%$11,182$11,140$10,739$10,6952.15%0.16%-1.10%0.15%1.65%
2019112.93%3.07%3.27%3.62%$11,510$11,482$11,090$11,0833.62%-0.37%-0.39%0.13%3.07%
2019122.06%2.16%2.72%3.01%$11,747$11,730$11,392$11,4163.01%-0.36%-3.00%0.13%2.16%

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend100.00%0.20%19.88$1,730100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend90.00%0.14%22.30$1,317100.92%
VFITXVanguard Interm-Term Treasury InvIntermediate Government10.00%0.20%5.17$75.36-0.92%
100.00%0.15%22.305.17$1,392100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (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 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.09%1.08%0.90%0.94%
Arithmetic Mean (annualized)13.85%13.71%11.40%11.86%
Geometric Mean (monthly)1.01%1.00%0.82%0.83%
Geometric Mean (annualized)12.83%12.71%10.27%10.44%
Volatility (monthly)3.99%3.97%4.25%4.75%
Volatility (annualized)13.82%13.76%14.72%16.45%
Downside Deviation (monthly)2.57%2.51%2.89%3.28%
Max. Drawdown-11.01%-11.24%-11.94%-13.55%
US Market Correlation0.970.981.001.00
Beta(*)0.820.820.891.00
Alpha (annualized)3.83%3.65%0.77%0.00%
R294.75%96.86%99.96%100.00%
Sharpe Ratio0.790.780.590.55
Sortino Ratio1.191.200.840.78
Treynor Ratio (%)13.3313.109.749.13
Active Return2.39%2.27%-0.17%N/A
Tracking Error4.36%3.79%1.76%N/A
Information Ratio0.550.60-0.10N/A
Skewness-0.73-0.60-0.84-0.87
Excess Kurtosis0.450.460.290.32
Historical Value-at-Risk (5%)-6.75%-6.90%-7.90%-9.04%
Analytical Value-at-Risk (5%)-5.20%-5.46%-5.85%-6.87%
Conditional Value-at-Risk (5%)N/AN/AN/AN/A
Upside Capture Ratio (%)85.6685.7790.08100.00
Downside Capture Ratio (%)70.9271.6188.43100.00
Safe Withdrawal Rate50.32%50.22%49.47%49.04%
Perpetual Withdrawal Rate6.86%6.79%5.42%5.51%
Positive Periods12 out of 16 (75.00%)12 out of 16 (75.00%)12 out of 16 (75.00%)12 out of 16 (75.00%)
Gain/Loss Ratio0.660.670.560.54
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-11.01%
2May 2019May 20191 monthJun 20191 month2 months-4.17%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-11.24%
2May 2019May 20191 monthJun 20191 month2 months-4.27%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-11.94%
2May 2019May 20191 monthJun 20191 month2 months-5.63%
3Aug 2019Aug 20191 monthSep 20191 month2 months-1.23%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
2May 2019May 20191 monthJun 20191 month2 months-6.36%
3Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.44%16.45%31.33%-13.07%-13.55%0.550.781.00
VFITXVanguard Interm-Term Treasury Inv6.23%3.67%6.29%1.98%-1.26%1.102.83-0.39
VUSTXVanguard Long-Term Treasury Inv11.65%14.00%14.13%1.50%-6.95%0.701.72-0.38
CASHXCash2.15%0.08%2.13%0.74%0.00%N/AN/A-0.11
NTSXWisdomTree 90/60 US Balanced12.71%13.76%32.15%-11.24%-11.24%0.781.200.98

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFITXVUSTXCASHXNTSXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VFINXVanguard 500 Index Investor1.00-0.39-0.38-0.120.980.970.981.001.00
VFITXVanguard Interm-Term Treasury Inv-0.391.000.950.47-0.23-0.17-0.23-0.37-0.39
VUSTXVanguard Long-Term Treasury Inv-0.380.951.000.35-0.23-0.16-0.23-0.37-0.38
CASHXCash-0.120.470.351.00-0.04-0.02-0.04-0.11-0.12
NTSXWisdomTree 90/60 US Balanced0.98-0.23-0.23-0.041.000.991.000.990.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor$1,327$1,317
VFITXVanguard Interm-Term Treasury Inv$340$75.36
VUSTXVanguard Long-Term Treasury Inv$210
CASHXCash-$131
NTSXWisdomTree 90/60 US Balanced$1,730

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor104.52%100.92%
VFITXVanguard Interm-Term Treasury Inv-2.03%-0.92%
VUSTXVanguard Long-Term Treasury Inv-2.50%
CASHXCash0.01%
NTSXWisdomTree 90/60 US Balanced100.00%

Annual Asset Returns