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 - Jun 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FZROX Fidelity ZERO Total Market Index 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$15,629 17.07% 19.96%31.15%-14.15%-21.08% 0.831.281.00
Portfolio 2$10,000$15,662 17.16% 19.92%30.80%-14.13%-20.87% 0.841.291.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Portfolio 18.37%15.20%44.02%17.07%
Portfolio 28.28%15.24%44.33%17.16%
Trailing annualized returns are for full months ending in June 2021 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 2018 are based on monthly returns from September to December
  • The annual results for 2021 are based on monthly returns from January to June
  • 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
YearInflationPortfolio 1Portfolio 2Fidelity ZERO Total Market Index (FZROX)Vanguard Total Stock Mkt Idx Adm (VTSAX)
ReturnBalanceReturnBalance
2018-0.36%-14.15%$8,585-14.13%$8,587-14.15%-14.13%
20192.29%31.15%$11,25930.80%$11,23331.15%30.80%
20201.36%20.50%$13,56820.99%$13,59020.50%20.99%
20214.31%15.20%$15,62915.24%$15,66215.20%15.24%
Annual return for 2018 is from 09/01/2018 to 12/31/2018 and annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Fidelity ZERO Total Market Index (FZROX)Vanguard Total Stock Mkt Idx Adm (VTSAX)
ReturnBalanceReturnBalance
201890.19%$10,0190.16%$10,0160.19%0.16%
201810-7.36%$9,282-7.40%$9,275-7.36%-7.40%
2018111.99%$9,4662.08%$9,4671.99%2.08%
201812-9.30%$8,585-9.30%$8,587-9.30%-9.30%
201918.54%$9,3198.60%$9,3268.54%8.60%
201923.57%$9,6513.51%$9,6543.57%3.51%
201931.42%$9,7881.45%$9,7931.42%1.45%
201944.00%$10,1793.98%$10,1834.00%3.98%
20195-6.53%$9,514-6.43%$9,528-6.53%-6.43%
201967.09%$10,1896.99%$10,1947.09%6.99%
201971.44%$10,3361.44%$10,3401.44%1.44%
20198-1.99%$10,130-2.01%$10,132-1.99%-2.01%
201991.83%$10,3161.70%$10,3051.83%1.70%
2019102.18%$10,5412.11%$10,5222.18%2.11%
2019113.71%$10,9323.78%$10,9203.71%3.78%
2019122.99%$11,2592.86%$11,2332.99%2.86%
20201-0.26%$11,230-0.08%$11,224-0.26%-0.08%
20202-8.22%$10,306-8.16%$10,308-8.22%-8.16%
20203-13.78%$8,886-13.77%$8,888-13.78%-13.77%
2020413.30%$10,06813.26%$10,06713.30%13.26%
202055.33%$10,6045.37%$10,6085.33%5.37%
202062.34%$10,8522.29%$10,8512.34%2.29%
202075.67%$11,4685.65%$11,4645.67%5.65%
202087.19%$12,2927.17%$12,2877.19%7.17%
20209-3.72%$11,835-3.56%$11,850-3.72%-3.56%
202010-2.10%$11,587-2.15%$11,595-2.10%-2.15%
20201112.08%$12,98712.20%$13,01012.08%12.20%
2020124.47%$13,5684.46%$13,5904.47%4.46%
20211-0.44%$13,507-0.33%$13,546-0.44%-0.33%
202123.13%$13,9303.19%$13,9773.13%3.19%
202133.54%$14,4223.48%$14,4643.54%3.48%
202145.16%$15,1675.13%$15,2075.16%5.13%
202150.53%$15,2470.44%$15,2730.53%0.44%
202162.51%$15,6292.54%$15,6622.51%2.54%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldP/EReturn ContributionRisk Contribution
FZROXFidelity ZERO Total Market IndexLarge Blend100.00%1.10%25.24$5,629100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%1.21%0.04%25.59$5,662100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/28/2021. (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 1Portfolio 2
Arithmetic Mean (monthly)1.48%1.49%
Arithmetic Mean (annualized)19.35%19.43%
Geometric Mean (monthly)1.32%1.33%
Geometric Mean (annualized)17.07%17.16%
Volatility (monthly)5.76%5.75%
Volatility (annualized)19.96%19.92%
Downside Deviation (monthly)3.69%3.68%
Max. Drawdown-21.08%-20.87%
US Market Correlation1.001.00
Beta(*)1.001.00
Alpha (annualized)0.00%0.10%
R299.98%100.00%
Sharpe Ratio0.830.84
Sortino Ratio1.281.29
Treynor Ratio (%)16.6216.72
Active Return0.03%0.12%
Tracking Error0.27%0.02%
Information Ratio0.114.66
Skewness-0.57-0.56
Excess Kurtosis0.850.87
Historical Value-at-Risk (5%)-8.60%-8.56%
Analytical Value-at-Risk (5%)-7.99%-7.97%
Conditional Value-at-Risk (5%)-11.54%-11.53%
Upside Capture Ratio (%)100.62100.22
Downside Capture Ratio (%)100.7399.85
Safe Withdrawal Rate35.37%35.37%
Perpetual Withdrawal Rate11.66%11.72%
Positive Periods24 out of 34 (70.59%)24 out of 34 (70.59%)
Gain/Loss Ratio0.810.81
* US stock market 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
1Jan 2020Mar 20203 monthsJul 20204 months7 months-21.08%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.31%
3May 2019May 20191 monthJun 20191 month2 months-6.53%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-5.74%
5Aug 2019Aug 20191 monthOct 20192 months3 months-1.99%
6Jan 2021Jan 20211 monthFeb 20211 month2 months-0.44%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.87%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.26%
3May 2019May 20191 monthJun 20191 month2 months-6.43%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-5.63%
5Aug 2019Aug 20191 monthOct 20192 months3 months-2.01%
6Jan 2021Jan 20211 monthFeb 20211 month2 months-0.33%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FZROXFidelity ZERO Total Market Index17.07%19.96%31.15%-14.15%-21.08%0.831.281.00
VTSAXVanguard Total Stock Mkt Idx Adm17.16%19.92%30.80%-14.13%-20.87%0.841.291.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameFZROXVTSAXPortfolio 1Portfolio 2
FZROXFidelity ZERO Total Market Index1.001.001.001.00
VTSAXVanguard Total Stock Mkt Idx Adm1.001.001.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
FZROXFidelity ZERO Total Market Index$5,629
VTSAXVanguard Total Stock Mkt Idx Adm$5,662

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
FZROXFidelity ZERO Total Market Index100.00%
VTSAXVanguard Total Stock Mkt Idx Adm100.00%

Annual Asset Returns