Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 1987 - Dec 1990)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VCVSX Vanguard Convertible Securities Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,001 2.41% 15.46%15.85%-10.62%-22.91% -0.20-0.250.93
Vanguard 500 Index Investor$10,000$15,454 11.50% 19.19%31.36%-3.32%-29.78% 0.310.420.99
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Convertible Securities Inv (VCVSX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19874.43%-10.62%4.71%$8,938$10,471-10.62%
19884.42%15.71%16.22%$10,342$12,16915.71%
19894.65%15.85%31.36%$11,981$15,98615.85%
19906.11%-8.18%-3.32%$11,001$15,454-8.18%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Convertible Securities Inv (VCVSX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
198714.86%13.27%$10,486$11,3274.86%
198725.62%3.97%$11,074$11,7765.62%
198730.08%2.86%$11,083$12,1130.08%
19874-4.34%-0.99%$10,602$11,992-4.34%
19875-1.28%1.04%$10,466$12,117-1.28%
198762.10%5.02%$10,685$12,7252.10%
198771.29%4.91%$10,823$13,3511.29%
198782.16%3.84%$11,057$13,8632.16%
19879-2.68%-2.29%$10,760$13,547-2.68%
198710-18.90%-21.73%$8,727$10,603-18.90%
198711-2.10%-8.19%$8,544$9,735-2.10%
1987124.61%7.55%$8,938$10,4714.61%
198814.23%4.17%$9,316$10,9084.23%
198826.09%4.59%$9,883$11,4086.09%
19883-0.23%-3.04%$9,860$11,061-0.23%
198840.46%1.01%$9,905$11,1730.46%
19885-1.25%0.81%$9,781$11,264-1.25%
198864.39%4.56%$10,211$11,7774.39%
19887-1.12%-0.37%$10,096$11,734-1.12%
19888-1.48%-3.40%$9,947$11,335-1.48%
198892.09%4.26%$10,154$11,8172.09%
1988102.18%2.73%$10,376$12,1402.18%
198811-2.13%-1.47%$10,154$11,961-2.13%
1988121.85%1.74%$10,342$12,1691.85%
198913.33%7.32%$10,686$13,0603.33%
198920.11%-2.47%$10,698$12,7370.11%
198930.01%2.26%$10,699$13,0250.01%
198944.50%5.18%$11,181$13,7014.50%
198954.31%4.04%$11,662$14,2534.31%
19896-1.05%-0.59%$11,540$14,170-1.05%
198973.60%9.01%$11,956$15,4463.60%
198983.48%1.86%$12,372$15,7333.48%
19899-0.49%-0.40%$12,311$15,670-0.49%
198910-2.82%-2.34%$11,964$15,303-2.82%
198911-0.10%2.04%$11,952$15,615-0.10%
1989120.25%2.38%$11,981$15,9860.25%
19901-4.62%-6.72%$11,427$14,912-4.62%
199021.65%1.27%$11,616$15,1021.65%
199033.02%2.61%$11,967$15,4953.02%
19904-3.20%-2.50%$11,584$15,108-3.20%
199056.95%9.69%$12,389$16,5726.95%
199060.01%-0.66%$12,390$16,4630.01%
19907-2.41%-0.35%$12,092$16,405-2.41%
19908-7.72%-9.03%$11,159$14,923-7.72%
19909-6.75%-4.89%$10,406$14,194-6.75%
199010-4.44%-0.41%$9,944$14,135-4.44%
1990117.03%6.44%$10,643$15,0467.03%
1990123.36%2.72%$11,001$15,4543.36%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VCVSXVanguard Convertible Securities InvConvertibles2.900.35%100.00%$1,001100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/03/2019. © 2019 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 500 Index Investor
Arithmetic Mean (monthly)0.30%1.07%
Arithmetic Mean (annualized)3.68%13.61%
Geometric Mean (monthly)0.20%0.91%
Geometric Mean (annualized)2.41%11.50%
Volatility (monthly)4.46%5.54%
Volatility (annualized)15.46%19.19%
Downside Deviation (monthly)3.45%3.92%
Max. Drawdown-22.91%-29.78%
US Market Correlation0.930.99
Beta(*)0.731.00
Alpha (annualized)-5.70%-0.00%
R281.41%100.00%
Sharpe Ratio-0.200.31
Sortino Ratio-0.250.42
Treynor Ratio (%)-4.366.03
Calmar Ratio0.360.94
Active Return-9.08%N/A
Tracking Error8.48%N/A
Information Ratio-1.07N/A
Skewness-1.72-1.39
Excess Kurtosis6.125.30
Historical Value-at-Risk (5%)-7.28%-8.65%
Analytical Value-at-Risk (5%)-7.04%-8.04%
Conditional Value-at-Risk (5%)-13.31%-15.38%
Upside Capture Ratio (%)62.72100.00
Downside Capture Ratio (%)92.16100.00
Safe Withdrawal Rate23.39%29.49%
Perpetual Withdrawal Rate0.00%5.92%
Positive Periods28 out of 48 (58.33%)29 out of 48 (60.42%)
Gain/Loss Ratio0.861.12
* Vanguard 500 Index Investor 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 PeriodStartEndPortfolio 1Vanguard 500 Index Investor
Black Monday PeriodSep 1987Nov 1987-22.73%-29.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 1987Nov 19878 monthsApr 19891 year 5 months2 years 1 month-22.91%
2Jul 1990Oct 19904 months-19.74%
3Sep 1989Jan 19905 monthsMay 19904 months9 months-7.63%
4Jun 1989Jun 19891 monthJul 19891 month2 months-1.05%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
2Jun 1990Oct 19905 months-14.70%
3Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
4Sep 1989Oct 19892 monthsDec 19892 months4 months-2.73%
5Apr 1987Apr 19871 monthMay 19871 month2 months-0.99%
6Jun 1989Jun 19891 monthJul 19891 month2 months-0.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VCVSXVanguard Convertible Securities Inv2.41%15.46%15.85%-10.62%-22.91%-0.20-0.250.93

Annual Asset Returns