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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Oct 2014 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
^BTC Bitcoin Market Price USD 2.00%
VBINX Vanguard Balanced Index Inv 98.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,475 9.98% 7.26%23.41%-4.85%-9.06% 1.212.020.96
Vanguard Balanced Index Inv$10,000$15,211 8.32% 7.07%21.67%-2.97%-8.23% 1.031.640.98
   
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 2014 are based on monthly returns from October 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 monthly 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
YearInflationReturnBalanceBitcoin Market Price USD (^BTC)Vanguard Balanced Index Inv (VBINX)
Portfolio 1Vanguard Balanced Index InvPortfolio 1Vanguard Balanced Index Inv
2014-1.35%3.47%3.88%$10,347$10,388-17.25%3.88%
20150.73%1.28%0.37%$10,479$10,42634.47%0.37%
20162.07%10.49%8.63%$11,578$11,326123.83%8.63%
20172.11%21.18%13.75%$14,030$12,8841,368.90%13.75%
20181.91%-4.85%-2.97%$13,349$12,502-73.56%-2.97%
20192.29%23.41%21.67%$16,475$15,21192.20%21.67%
Annual returns for 2014 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceBitcoin Market Price USD (^BTC)Vanguard Balanced Index Inv (VBINX)
Portfolio 1Vanguard Balanced Index InvPortfolio 1Vanguard Balanced Index Inv
2014101.80%2.09%$10,180$10,209-12.57%2.09%
2014111.94%1.74%$10,377$10,38611.74%1.74%
201412-0.29%0.01%$10,347$10,388-15.30%0.01%
20151-1.40%-0.77%$10,202$10,307-32.08%-0.77%
201523.23%2.95%$10,532$10,61216.92%2.95%
20153-0.51%-0.44%$10,478$10,565-3.95%-0.44%
201540.03%0.10%$10,481$10,576-3.31%0.10%
201550.57%0.63%$10,541$10,643-2.52%0.63%
20156-1.11%-1.42%$10,424$10,49214.28%-1.42%
201571.45%1.31%$10,575$10,6298.20%1.31%
20158-4.03%-3.72%$10,149$10,234-19.18%-3.72%
20159-1.37%-1.45%$10,011$10,0862.61%-1.45%
2015105.18%4.61%$10,529$10,55033.09%4.61%
2015110.63%0.24%$10,595$10,57520.10%0.24%
201512-1.10%-1.41%$10,479$10,42614.11%-1.41%
20161-3.04%-2.81%$10,161$10,134-14.35%-2.81%
201620.65%0.28%$10,227$10,16218.69%0.28%
201634.40%4.59%$10,677$10,629-4.79%4.59%
201640.68%0.54%$10,750$10,6867.58%0.54%
201651.39%1.04%$10,899$10,79718.53%1.04%
201661.45%0.93%$11,057$10,89726.71%0.93%
201672.45%2.64%$11,327$11,186-7.23%2.64%
20168-0.09%0.06%$11,316$11,193-7.88%0.06%
201690.19%0.08%$11,338$11,2015.95%0.08%
201610-1.35%-1.68%$11,186$11,01314.96%-1.68%
2016111.71%1.61%$11,376$11,1906.38%1.61%
2016121.77%1.21%$11,578$11,32629.24%1.21%
201711.24%1.25%$11,722$11,4680.69%1.25%
201722.86%2.48%$12,057$11,75221.60%2.48%
20173-0.16%0.02%$12,037$11,755-9.17%0.02%
201741.43%0.93%$12,210$11,86425.76%0.93%
201752.27%0.89%$12,487$11,97069.63%0.89%
201760.71%0.55%$12,576$12,0378.50%0.55%
201771.57%1.28%$12,774$12,19115.90%1.28%
201781.68%0.42%$12,989$12,24263.58%0.42%
201791.08%1.26%$13,129$12,397-7.75%1.26%
2017102.27%1.31%$13,427$12,55949.09%1.31%
2017112.92%1.79%$13,819$12,78458.21%1.79%
2017121.53%0.78%$14,030$12,88438.33%0.78%
201812.10%2.71%$14,325$13,233-27.80%2.71%
20182-2.52%-2.61%$13,963$12,8881.73%-2.61%
20183-1.57%-0.93%$13,744$12,767-32.93%-0.93%
201840.56%-0.09%$13,821$12,75632.51%-0.09%
201851.51%1.93%$14,030$13,002-18.90%1.93%
201860.10%0.40%$14,044$13,054-14.55%0.40%
201872.40%2.01%$14,381$13,31621.49%2.01%
201882.07%2.31%$14,679$13,624-9.55%2.31%
20189-0.25%-0.13%$14,643$13,606-5.85%-0.13%
201810-4.76%-4.76%$13,946$12,958-4.65%-4.76%
2018110.72%1.48%$14,047$13,150-36.41%1.48%
201812-4.97%-4.93%$13,349$12,502-6.83%-4.93%
201915.28%5.55%$14,055$13,195-7.61%5.55%
201922.28%2.10%$14,376$13,47211.48%2.10%
201931.75%1.65%$14,627$13,6946.50%1.65%
201942.95%2.39%$15,059$14,02230.33%2.39%
20195-1.94%-3.21%$14,767$13,57260.25%-3.21%
201965.06%4.63%$15,514$14,20126.15%4.63%
201970.82%0.97%$15,641$14,339-6.76%0.97%
20198-0.19%-0.11%$15,611$14,324-4.51%-0.11%
201990.50%0.80%$15,689$14,438-13.88%0.80%
2019101.58%1.39%$15,937$14,63810.92%1.39%
2019111.84%2.24%$16,229$14,965-17.72%2.24%
2019121.51%1.64%$16,475$15,211-4.97%1.64%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard Balanced Index Inv
Large-cap Value23.72%21.29%
Large-cap Growth35.05%28.31%
Mid-cap Value0.00%2.83%
Mid-cap Growth0.00%3.57%
Small-cap Value2.05%1.15%
Small-cap Growth0.00%2.48%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.73%
Corporate Bonds15.70%9.43%
Long-Term Treasuries3.56%2.90%
Intermediate-Term Treasuries0.00%5.64%
Short-Term Treasuries19.93%21.68%
R Squared95.21%99.80%
Style analysis is based on monthly returns from Oct 2014 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
^BTCBitcoin Market Price USDIndex2.00%$1,1036.94%
VBINXVanguard Balanced Index Inv50% to 70% Equity98.00%0.18%22.086.44$5,37293.06%
100.00%0.18%22.086.44$6,475100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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 Balanced Index Inv
Arithmetic Mean (monthly)0.82%0.69%
Arithmetic Mean (annualized)10.26%8.58%
Geometric Mean (monthly)0.80%0.67%
Geometric Mean (annualized)9.98%8.32%
Volatility (monthly)2.10%2.04%
Volatility (annualized)7.26%7.07%
Downside Deviation (monthly)1.22%1.24%
Max. Drawdown-9.06%-8.23%
US Market Correlation0.960.98
Beta(*)1.001.00
Alpha (annualized)1.53%-0.00%
R295.14%100.00%
Sharpe Ratio1.211.03
Sortino Ratio2.021.64
Treynor Ratio (%)8.807.27
Calmar Ratio1.381.25
Active Return1.66%N/A
Tracking Error1.60%N/A
Information Ratio1.04N/A
Skewness-0.54-0.50
Excess Kurtosis1.051.19
Historical Value-at-Risk (5%)-3.83%-3.62%
Analytical Value-at-Risk (5%)-2.60%-2.67%
Conditional Value-at-Risk (5%)-4.59%-4.47%
Upside Capture Ratio (%)110.41100.00
Downside Capture Ratio (%)97.04100.00
Safe Withdrawal Rate20.16%19.39%
Perpetual Withdrawal Rate6.80%5.56%
Positive Periods45 out of 63 (71.43%)47 out of 63 (74.60%)
Gain/Loss Ratio1.070.83
* Vanguard Balanced Index 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
1Sep 2018Dec 20184 monthsApr 20194 months8 months-9.06%
2Aug 2015Sep 20152 monthsNov 20152 months4 months-5.34%
3Dec 2015Jan 20162 monthsMar 20162 months4 months-4.10%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-4.06%
5May 2019May 20191 monthJun 20191 month2 months-1.94%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.69%
7Oct 2016Oct 20161 monthNov 20161 month2 months-1.35%
8Jun 2015Jun 20151 monthJul 20151 month2 months-1.11%
9Mar 2015Mar 20151 monthMay 20152 months3 months-0.51%
10Aug 2019Aug 20191 monthSep 20191 month2 months-0.19%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
2Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
4May 2019May 20191 monthJun 20191 month2 months-3.21%
5Oct 2016Oct 20161 monthDec 20162 months3 months-1.68%
6Jan 2015Jan 20151 monthFeb 20151 month2 months-0.77%
7Mar 2015Mar 20151 monthMay 20152 months3 months-0.44%
8Aug 2019Aug 20191 monthSep 20191 month2 months-0.11%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
^BTCBitcoin Market Price USD74.49%80.40%1,368.90%-73.56%-75.57%1.052.320.09
VBINXVanguard Balanced Index Inv8.32%7.07%21.67%-2.97%-8.23%1.031.640.98

Monthly Correlations

Correlations for the portfolio assets
TickerName^BTCVBINXPortfolio 1Vanguard Balanced Index Inv
^BTCBitcoin Market Price USD1.000.100.310.10
VBINXVanguard Balanced Index Inv0.101.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
^BTCBitcoin Market Price USD$1,103
VBINXVanguard Balanced Index Inv$5,372

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
^BTCBitcoin Market Price USD6.94%
VBINXVanguard Balanced Index Inv93.06%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard Balanced Index Inv
AverageHighLowAverageHighLow
1 year10.30%23.41%-4.85%8.29%21.67%-2.97%
3 years10.52%12.48%8.40%8.00%10.33%6.24%
5 years9.75%9.75%9.75%7.93%7.93%7.93%
Result statistics are based on annualized rolling returns over full calendar year periods