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 Assets 
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Portfolio Analysis Results (Aug 2002 - Dec 2007)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
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Portfolio 2
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 50.00%
VTI Vanguard Total Stock Market ETF 50.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,726 12.28% 11.02%30.75%-2.02%-10.10% 0.851.381.00
Portfolio 2$10,000$14,623 7.27% 10.40%10.29%0.71%-11.60% 0.460.66-0.30
Portfolio 3$10,000$16,844 10.10% 6.39%15.75%4.26%-4.23% 1.101.910.63
   
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 2002 are based on monthly returns from August 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 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
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20020.44%-2.02%9.72%4.26%$9,798$10,972$10,426-2.02%9.72%
20031.88%30.75%1.62%15.75%$12,811$11,150$12,06930.75%1.62%
20043.26%12.79%8.71%10.99%$14,449$12,122$13,39512.79%8.71%
20053.42%6.31%8.61%7.61%$15,360$13,165$14,4146.31%8.61%
20062.54%15.69%0.71%8.16%$17,771$13,259$15,59015.69%0.71%
20074.08%5.37%10.29%8.04%$18,726$14,623$16,8445.37%10.29%
Annual returns for 2002 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200280.76%5.51%3.14%$10,076$10,551$10,3140.76%5.51%
20029-10.10%4.25%-2.76%$9,058$11,000$10,029-10.10%4.25%
2002107.49%-3.69%1.90%$9,737$10,594$10,2207.49%-3.69%
2002116.00%-0.91%2.73%$10,321$10,497$10,4996.00%-0.91%
200212-5.07%4.53%-0.70%$9,798$10,972$10,426-5.07%4.53%
20031-2.77%-0.58%-1.67%$9,526$10,909$10,252-2.77%-0.58%
20032-1.54%3.10%0.80%$9,379$11,247$10,334-1.54%3.10%
200330.76%-1.37%-0.34%$9,451$11,094$10,2990.76%-1.37%
200348.61%1.05%4.83%$10,265$11,210$10,7968.61%1.05%
200355.83%6.32%6.07%$10,863$11,918$11,4515.83%6.32%
200361.62%-1.80%-0.03%$11,039$11,703$11,4481.62%-1.80%
200372.33%-9.98%-3.83%$11,296$10,535$11,0092.33%-9.98%
200382.39%1.31%1.88%$11,566$10,673$11,2172.39%1.31%
20039-1.06%5.94%2.20%$11,444$11,307$11,464-1.06%5.94%
2003106.05%-3.03%1.51%$12,137$10,965$11,6376.05%-3.03%
2003111.50%0.34%0.95%$12,319$11,002$11,7471.50%0.34%
2003124.00%1.35%2.74%$12,811$11,150$12,0694.00%1.35%
200412.61%1.86%2.24%$13,146$11,358$12,3392.61%1.86%
200421.40%2.28%1.84%$13,330$11,617$12,5661.40%2.28%
20043-1.03%1.41%0.19%$13,193$11,781$12,590-1.03%1.41%
20044-2.22%-6.23%-4.23%$12,899$11,046$12,057-2.22%-6.23%
200451.45%-0.26%0.61%$13,087$11,018$12,1311.45%-0.26%
200462.03%1.06%1.56%$13,353$11,134$12,3212.03%1.06%
20047-3.56%1.53%-1.01%$12,878$11,305$12,196-3.56%1.53%
200480.06%4.17%2.16%$12,885$11,776$12,4600.06%4.17%
200491.68%0.95%1.30%$13,102$11,887$12,6221.68%0.95%
2004101.80%1.77%1.78%$13,338$12,097$12,8471.80%1.77%
2004114.74%-2.39%1.17%$13,970$11,808$12,9974.74%-2.39%
2004123.43%2.66%3.06%$14,449$12,122$13,3953.43%2.66%
20051-2.50%3.57%0.53%$14,088$12,554$13,466-2.50%3.57%
200522.09%-1.47%0.25%$14,382$12,369$13,5012.09%-1.47%
20053-1.87%-0.45%-1.15%$14,112$12,313$13,345-1.87%-0.45%
20054-2.20%3.86%0.83%$13,802$12,789$13,455-2.20%3.86%
200553.88%3.14%3.50%$14,337$13,190$13,9263.88%3.14%
200560.76%2.16%1.48%$14,446$13,475$14,1320.76%2.16%
200574.38%-3.38%0.50%$15,078$13,020$14,2034.38%-3.38%
20058-1.09%3.48%1.11%$14,914$13,473$14,360-1.09%3.48%
200590.79%-3.61%-1.37%$15,032$12,987$14,1630.79%-3.61%
200510-2.35%-2.24%-2.29%$14,679$12,696$13,838-2.35%-2.24%
2005114.62%0.69%2.65%$15,357$12,784$14,2054.62%0.69%
2005120.02%2.98%1.48%$15,360$13,165$14,4140.02%2.98%
200613.22%-1.34%0.94%$15,855$12,989$14,5503.22%-1.34%
200620.22%1.11%0.65%$15,890$13,133$14,6450.22%1.11%
200632.05%-4.57%-1.20%$16,216$12,533$14,4702.05%-4.57%
200640.96%-2.75%-0.90%$16,371$12,188$14,3400.96%-2.75%
20065-3.22%-0.19%-1.73%$15,843$12,165$14,091-3.22%-0.19%
200660.13%1.18%0.65%$15,864$12,308$14,1830.13%1.18%
20067-0.12%2.16%1.02%$15,845$12,575$14,328-0.12%2.16%
200682.30%3.06%2.68%$16,209$12,959$14,7122.30%3.06%
200692.26%1.91%2.08%$16,575$13,207$15,0192.26%1.91%
2006103.53%0.85%2.19%$17,160$13,319$15,3473.53%0.85%
2006112.33%2.31%2.32%$17,560$13,626$15,7032.33%2.31%
2006121.20%-2.69%-0.72%$17,771$13,259$15,5901.20%-2.69%
200711.86%-1.00%0.43%$18,102$13,127$15,6581.86%-1.00%
20072-1.62%3.39%0.85%$17,808$13,572$15,790-1.62%3.39%
200731.12%-1.70%-0.30%$18,008$13,341$15,7421.12%-1.70%
200744.02%0.90%2.46%$18,732$13,462$16,1304.02%0.90%
200753.72%-2.31%0.75%$19,430$13,150$16,2513.72%-2.31%
20076-1.76%-1.01%-1.40%$19,088$13,017$16,023-1.76%-1.01%
20077-3.53%3.32%-0.11%$18,413$13,449$16,006-3.53%3.32%
200781.47%1.79%1.64%$18,684$13,689$16,2671.47%1.79%
200793.85%0.23%1.97%$19,403$13,721$16,5883.85%0.23%
2007101.79%1.81%1.80%$19,751$13,969$16,8871.79%1.81%
200711-4.52%5.35%0.41%$18,857$14,716$16,957-4.52%5.35%
200712-0.70%-0.64%-0.67%$18,726$14,623$16,844-0.70%-0.64%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%0.03%19.23$8,726100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government100.00%0.15%18.93$4,623100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%0.15%18.93$2,57545.25%
VTIVanguard Total Stock Market ETFLarge Blend50.00%0.03%19.23$4,26954.75%
100.00%0.09%19.2318.93$6,844100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (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 3
Arithmetic Mean (monthly)1.02%0.63%0.82%
Arithmetic Mean (annualized)12.95%7.84%10.32%
Geometric Mean (monthly)0.97%0.59%0.81%
Geometric Mean (annualized)12.28%7.27%10.10%
Volatility (monthly)3.18%3.00%1.84%
Volatility (annualized)11.02%10.40%6.39%
Downside Deviation (monthly)1.87%1.97%0.97%
Max. Drawdown-10.10%-11.60%-4.23%
US Market Correlation1.00-0.300.63
Beta(*)1.00-0.280.36
Alpha (annualized)0.12%10.96%5.44%
R299.60%8.75%39.40%
Sharpe Ratio0.850.461.10
Sortino Ratio1.380.661.91
Treynor Ratio (%)9.41-17.0019.31
Calmar Ratio1.730.662.10
Active Return0.13%-4.88%-2.04%
Tracking Error0.70%17.22%8.57%
Information Ratio0.19-0.28-0.24
Skewness-0.49-0.73-0.24
Excess Kurtosis1.491.370.98
Historical Value-at-Risk (5%)-4.23%-4.30%-2.62%
Analytical Value-at-Risk (5%)-4.21%-4.31%-2.19%
Conditional Value-at-Risk (5%)-6.57%-6.93%-3.61%
Upside Capture Ratio (%)100.552.7050.38
Downside Capture Ratio (%)100.25-67.1919.39
Safe Withdrawal Rate22.12%19.31%20.97%
Perpetual Withdrawal Rate7.59%3.70%5.94%
Positive Periods45 out of 65 (69.23%)40 out of 65 (61.54%)46 out of 65 (70.77%)
Gain/Loss Ratio1.001.061.25
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2002Sep 20021 monthNov 20022 months3 months-10.10%
2Dec 2002Feb 20033 monthsMay 20033 months6 months-9.12%
3Jun 2007Jul 20072 monthsOct 20073 months5 months-5.23%
4Nov 2007Dec 20072 months-5.19%
5Jan 2005Apr 20054 monthsJul 20053 months7 months-4.48%
6Jul 2004Jul 20041 monthNov 20044 months5 months-3.56%
7Mar 2004Apr 20042 monthsJun 20042 months4 months-3.23%
8May 2006May 20061 monthSep 20064 months5 months-3.22%
9Aug 2005Oct 20053 monthsNov 20051 month4 months-2.65%
10Feb 2007Feb 20071 monthApr 20072 months3 months-1.62%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-11.60%
2Jul 2005May 200611 monthsNov 20066 months1 year 5 months-9.72%
3Oct 2002Nov 20022 monthsFeb 20033 months5 months-4.57%
4Dec 2006Jun 20077 monthsAug 20072 months9 months-4.47%
5Nov 2004Nov 20041 monthDec 20041 month2 months-2.39%
6Feb 2005Mar 20052 monthsApr 20051 month3 months-1.92%
7Mar 2003Mar 20031 monthMay 20032 months3 months-1.37%
8Dec 2007Dec 20071 month-0.64%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2004Apr 20041 monthSep 20045 months6 months-4.23%
2Jun 2003Jul 20032 monthsSep 20032 months4 months-3.86%
3Mar 2006May 20063 monthsAug 20063 months6 months-3.78%
4Sep 2005Oct 20052 monthsDec 20052 months4 months-3.64%
5Sep 2002Sep 20021 monthNov 20022 months3 months-2.76%
6Dec 2002Jan 20032 monthsApr 20033 months5 months-2.36%
7Jun 2007Jul 20072 monthsAug 20071 month3 months-1.51%
8Mar 2005Mar 20051 monthMay 20052 months3 months-1.15%
9Dec 2006Dec 20061 monthFeb 20072 months3 months-0.72%
10Dec 2007Dec 20071 month-0.67%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF12.28%11.02%30.75%-2.02%-10.10%0.851.381.00
TLTiShares 20+ Year Treasury Bond ETF7.27%10.40%10.29%0.71%-11.60%0.460.66-0.30

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.00-0.291.00-0.290.63
TLTiShares 20+ Year Treasury Bond ETF-0.291.00-0.291.000.56

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$8,726$4,269
TLTiShares 20+ Year Treasury Bond ETF$4,623$2,575

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF100.00%54.75%
TLTiShares 20+ Year Treasury Bond ETF100.00%45.25%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year14.18%30.75%5.37%5.99%10.29%0.71%10.11%15.75%7.61%
3 years12.24%16.17%9.03%6.22%6.45%5.94%9.42%11.40%7.94%
5 years13.83%13.83%13.83%5.91%5.91%5.91%10.07%10.07%10.07%
Result statistics are based on annualized rolling returns over full calendar year periods