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
%
%
%
%
$ .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 (Nov 2003 - Aug 2021)

Portfolio Allocations

Vanguard Target Retirement 2025 Inv
Ticker Name Allocation
VTTVX Vanguard Target Retirement 2025 Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Target Retirement 2025 Inv$10,000$36,374 7.51% 10.53%24.81%-30.05%-42.49% 0.630.900.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard Target Retirement 2025 Inv3.21%9.01%17.29%10.86%10.31%9.58%7.51%11.32%9.13%
Trailing annualized return and volatility are for full months ending in August 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 2003 are based on monthly returns from November to December
  • The annual results for 2021 are based on monthly returns from January to August
  • 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 quarterly 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
YearInflationVanguard Target Retirement 2025 Inv ReturnVanguard Target Retirement 2025 Inv BalanceVanguard Target Retirement 2025 Inv (VTTVX)
2003-0.38%4.56%$10,4564.56%
20043.26%10.11%$11,51310.11%
20053.42%5.45%$12,1405.45%
20062.54%13.24%$13,74813.24%
20074.08%7.59%$14,7917.59%
20080.09%-30.05%$10,346-30.05%
20092.72%24.81%$12,91324.81%
20101.50%13.84%$14,70013.84%
20112.96%-0.37%$14,646-0.37%
20121.74%13.29%$16,59313.29%
20131.50%18.14%$19,60318.14%
20140.76%7.17%$21,0087.17%
20150.73%-0.85%$20,830-0.85%
20162.07%7.48%$22,3887.48%
20172.11%15.94%$25,95715.94%
20181.91%-5.15%$24,620-5.15%
20192.29%19.63%$29,45319.63%
20201.36%13.30%$33,36913.30%
20215.03%9.01%$36,3749.01%
Annual return for 2003 is from 11/01/2003 to 12/31/2003 and annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthVanguard Target Retirement 2025 Inv ReturnVanguard Target Retirement 2025 Inv BalanceVanguard Target Retirement 2025 Inv (VTTVX)
2003111.09%$10,1091.09%
2003123.43%$10,4563.43%
200411.52%$10,6151.52%
200421.41%$10,7641.41%
20043-0.09%$10,754-0.09%
20044-2.31%$10,505-2.31%
200450.57%$10,5650.57%
200461.51%$10,7241.51%
20047-1.86%$10,525-1.86%
200481.04%$10,6351.04%
200491.22%$10,7641.22%
2004101.48%$10,9231.48%
2004112.73%$11,2222.73%
2004122.59%$11,5132.59%
20051-1.23%$11,371-1.23%
200521.24%$11,5131.24%
20053-1.32%$11,361-1.32%
20054-0.80%$11,270-0.80%
200552.15%$11,5132.15%
200560.79%$11,6040.79%
200571.92%$11,8261.92%
200580.43%$11,8760.43%
200590.43%$11,9270.43%
200510-1.53%$11,745-1.53%
2005112.24%$12,0082.24%
2005121.10%$12,1401.10%
200612.29%$12,4182.29%
200620.08%$12,4280.08%
200630.83%$12,5320.83%
200640.99%$12,6550.99%
20065-2.28%$12,367-2.28%
200660.00%$12,3670.00%
200670.42%$12,4180.42%
200682.16%$12,6862.16%
200691.71%$12,9031.71%
2006103.04%$13,2953.04%
2006112.25%$13,5942.25%
2006121.13%$13,7481.13%
200711.38%$13,9371.38%
20072-0.76%$13,832-0.76%
200731.22%$14,0011.22%
200743.24%$14,4543.24%
200752.70%$14,8442.70%
20076-1.07%$14,686-1.07%
20077-2.15%$14,370-2.15%
200781.10%$14,5281.10%
200793.48%$15,0343.48%
2007102.24%$15,3712.24%
200711-3.16%$14,886-3.16%
200712-0.64%$14,791-0.64%
20081-4.88%$14,068-4.88%
20082-1.76%$13,821-1.76%
20083-0.39%$13,767-0.39%
200843.99%$14,3163.99%
200851.43%$14,5211.43%
20086-6.61%$13,562-6.61%
20087-1.03%$13,422-1.03%
200880.40%$13,4760.40%
20089-8.08%$12,387-8.08%
200810-14.88%$10,543-14.88%
200811-4.91%$10,026-4.91%
2008123.19%$10,3463.19%
20091-7.12%$9,609-7.12%
20092-8.01%$8,839-8.01%
200937.20%$9,4757.20%
200948.60%$10,2908.60%
200955.64%$10,8705.64%
200960.10%$10,8820.10%
200976.77%$11,6186.77%
200982.98%$11,9642.98%
200993.64%$12,3993.64%
200910-1.71%$12,187-1.71%
2009114.30%$12,7124.30%
2009121.58%$12,9131.58%
20101-2.47%$12,594-2.47%
201022.17%$12,8672.17%
201034.70%$13,4724.70%
201041.27%$13,6431.27%
20105-6.19%$12,799-6.19%
20106-3.12%$12,400-3.12%
201075.98%$13,1415.98%
20108-3.04%$12,742-3.04%
201097.16%$13,6557.16%
2010103.01%$14,0653.01%
201011-0.49%$13,997-0.49%
2010125.02%$14,7005.02%
201111.35%$14,8981.35%
201122.50%$15,2712.50%
201130.15%$15,2940.15%
201143.05%$15,7603.05%
20115-0.89%$15,620-0.89%
20116-1.34%$15,410-1.34%
20117-0.98%$15,259-0.98%
20118-4.50%$14,572-4.50%
20119-6.39%$13,640-6.39%
2011108.11%$14,7478.11%
201111-0.87%$14,618-0.87%
2011120.19%$14,6460.19%
201214.40%$15,2914.40%
201223.20%$15,7803.20%
201231.29%$15,9831.29%
20124-0.45%$15,911-0.45%
20125-5.25%$15,076-5.25%
201263.25%$15,5653.25%
201271.00%$15,7201.00%
201281.82%$16,0071.82%
201292.16%$16,3532.16%
201210-0.73%$16,234-0.73%
2012110.81%$16,3650.81%
2012121.39%$16,5931.39%
201313.24%$17,1303.24%
201320.50%$17,2160.50%
201332.20%$17,5942.20%
201341.80%$17,9111.80%
201350.00%$17,9110.00%
20136-1.84%$17,582-1.84%
201373.75%$18,2413.75%
20138-1.94%$17,887-1.94%
201393.62%$18,5343.62%
2013102.96%$19,0842.96%
2013111.34%$19,3401.34%
2013121.36%$19,6031.36%
20141-2.03%$19,205-2.03%
201423.56%$19,8893.56%
201430.31%$19,9510.31%
201440.56%$20,0630.56%
201451.74%$20,4121.74%
201461.65%$20,7481.65%
20147-1.32%$20,474-1.32%
201482.61%$21,0092.61%
20149-2.25%$20,536-2.25%
2014101.58%$20,8601.58%
2014111.37%$21,1461.37%
201412-0.65%$21,008-0.65%
20151-0.60%$20,881-0.60%
201523.53%$21,6183.53%
20153-0.65%$21,478-0.65%
201541.12%$21,7201.12%
201550.23%$21,7710.23%
20156-1.75%$21,389-1.75%
201570.83%$21,5670.83%
20158-4.42%$20,614-4.42%
20159-1.97%$20,208-1.97%
2015104.84%$21,1864.84%
201511-0.18%$21,148-0.18%
201512-1.50%$20,830-1.50%
20161-3.20%$20,163-3.20%
20162-0.33%$20,096-0.33%
201635.24%$21,1505.24%
201640.95%$21,3500.95%
201650.50%$21,4570.50%
201660.50%$21,5630.50%
201672.97%$22,2032.97%
201680.30%$22,2700.30%
201690.42%$22,3630.42%
201610-1.67%$21,990-1.67%
2016110.42%$22,0830.42%
2016121.38%$22,3881.38%
201711.71%$22,7721.71%
201722.10%$23,2512.10%
201730.71%$23,4150.71%
201741.23%$23,7031.23%
201751.39%$24,0311.39%
201760.46%$24,1410.46%
201771.70%$24,5521.70%
201780.56%$24,6890.56%
201791.22%$24,9901.22%
2017101.42%$25,3461.42%
2017111.35%$25,6881.35%
2017121.05%$25,9571.05%
201813.03%$26,7433.03%
20182-2.89%$25,971-2.89%
20183-0.65%$25,803-0.65%
201840.11%$25,8310.11%
201850.76%$26,0270.76%
20186-0.22%$25,971-0.22%
201871.89%$26,4621.89%
201880.90%$26,7010.90%
20189-0.05%$26,687-0.05%
201810-5.05%$25,340-5.05%
2018111.27%$25,6621.27%
201812-4.06%$24,620-4.06%
201915.41%$25,9525.41%
201921.73%$26,4001.73%
201931.48%$26,7911.48%
201942.16%$27,3702.16%
20195-3.17%$26,502-3.17%
201964.48%$27,6884.48%
201970.31%$27,7750.31%
20198-0.31%$27,688-0.31%
201991.10%$27,9921.10%
2019101.55%$28,4271.55%
2019111.63%$28,8901.63%
2019121.95%$29,4531.95%
202010.00%$29,4530.00%
20202-3.98%$28,280-3.98%
20203-9.34%$25,637-9.34%
202047.30%$27,5087.30%
202053.29%$28,4143.29%
202062.14%$29,0222.14%
202073.58%$30,0613.58%
202083.16%$31,0113.16%
20209-1.58%$30,522-1.58%
202010-1.41%$30,091-1.41%
2020117.65%$32,3927.65%
2020123.02%$33,3693.02%
20211-0.42%$33,229-0.42%
202121.03%$33,5701.03%
202131.25%$33,9881.25%
202142.69%$34,9022.69%
202150.98%$35,2430.98%
202161.05%$35,6151.05%
202170.83%$35,9090.83%
202181.29%$36,3741.29%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Target Retirement 2025 Inv
Large-cap Value20.87%
Large-cap Growth20.19%
Mid-cap Value0.00%
Mid-cap Growth7.98%
Small-cap Value0.00%
Small-cap Growth0.40%
Global ex-US Developed Markets15.18%
Emerging Markets5.93%
Corporate Bonds5.64%
Long-Term Treasuries0.42%
Intermediate-Term Treasuries7.91%
Short-Term Treasuries15.50%
R Squared98.62%
Style analysis is based on monthly returns from April 2005 to August 2021 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 Vanguard Target Retirement 2025 Inv

Holdings Based Style Analysis for Vanguard Target Retirement 2025 Inv
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTTVXVanguard Target Retirement 2025 InvTarget-Date 2025100.00%1.48%0.13%19.837.20$26,374100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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
MetricVanguard Target Retirement 2025 Inv
Arithmetic Mean (monthly)0.65%
Arithmetic Mean (annualized)8.11%
Geometric Mean (monthly)0.61%
Geometric Mean (annualized)7.51%
Volatility (monthly)3.04%
Volatility (annualized)10.53%
Downside Deviation (monthly)2.08%
Max. Drawdown-42.49%
US Market Correlation0.97
Beta(*)0.69
Alpha (annualized)-0.15%
R294.44%
Sharpe Ratio0.63
Sortino Ratio0.90
Treynor Ratio (%)9.53
Calmar Ratio0.84
Active Return-3.39%
Tracking Error5.14%
Information Ratio-0.66
Skewness-0.97
Excess Kurtosis3.82
Historical Value-at-Risk (5%)-4.89%
Analytical Value-at-Risk (5%)-4.35%
Conditional Value-at-Risk (5%)-7.44%
Upside Capture Ratio (%)66.29
Downside Capture Ratio (%)69.90
Safe Withdrawal Rate7.65%
Perpetual Withdrawal Rate4.88%
Positive Periods144 out of 214 (67.29%)
Gain/Loss Ratio0.84
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndVanguard Target Retirement 2025 Inv
Subprime CrisisNov 2007Mar 2009-42.49%
COVID-19 StartJan 2020Mar 2020-12.95%

Drawdowns for Vanguard Target Retirement 2025 Inv

Drawdowns for Vanguard Target Retirement 2025 Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-42.49%
2May 2011Sep 20115 monthsFeb 20125 months10 months-13.45%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-12.95%
4Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.94%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.69%
6Apr 2012May 20122 monthsAug 20123 months5 months-5.68%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-3.20%
8May 2019May 20191 monthJun 20191 month2 months-3.17%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-2.97%
10Mar 2004Apr 20042 monthsOct 20046 months8 months-2.40%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTTVXVanguard Target Retirement 2025 Inv7.51%10.53%24.81%-30.05%-42.49%0.630.900.97

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.84%45.57%-36.04%
3 years6.69%21.31%-10.74%
5 years6.38%17.61%-3.86%
7 years6.98%12.45%3.44%
10 years7.08%11.56%4.92%
15 years6.56%7.34%5.58%