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 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1988 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWEHX Vanguard High-Yield Corporate Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$675,000$474,609 -1.07% 7.09%39.09%-21.29%-54.37% 0.600.830.65
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 15.35%1.48%4.46%4.77%5.73%6.49%7.22%
Trailing returns are for full months ending in August 2020 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 assume that dividends and distributions are withdrawn as cash rather than being reinvested.
  • The annual results for 2020 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 annual rebalancing of portfolio assets to match the specified allocation
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 IncomeVanguard High-Yield Corporate Inv (VWEHX)
19884.42%13.56%$680,67912.21% [$82,395]13.56%
19894.65%1.89%$612,53012.03% [$81,852]1.89%
19906.11%-5.85%$504,62712.12% [$74,258]-5.85%
19913.06%29.01%$580,88912.51% [$63,111]29.01%
19922.90%14.24%$601,17210.22% [$59,395]14.24%
19932.75%18.24%$650,6619.40% [$56,531]18.24%
19942.67%-1.71%$584,1358.46% [$55,022]-1.71%
19952.54%19.15%$636,8699.42% [$55,055]19.15%
19963.32%9.55%$638,4928.75% [$55,728]9.55%
19971.70%11.91%$655,5298.73% [$55,728]11.91%
19981.61%5.62%$635,2468.54% [$55,963]5.62%
19992.68%2.49%$599,5498.01% [$50,909]2.49%
20003.39%-0.88%$542,7588.65% [$51,842]-0.88%
20011.55%2.90%$510,3068.91% [$48,361]2.90%
20022.38%1.73%$477,0438.07% [$41,198]1.73%
20031.88%17.20%$517,6088.09% [$38,606]17.20%
20043.26%8.52%$522,4767.21% [$37,315]8.52%
20053.42%2.77%$500,5716.82% [$35,620]2.77%
20062.54%8.24%$504,6277.08% [$35,457]8.24%
20074.08%2.04%$478,6667.18% [$36,224]2.04%
20080.09%-21.29%$346,4247.36% [$35,233]-21.29%
20092.72%39.09%$443,7809.53% [$33,023]39.09%
20101.50%12.40%$462,4407.74% [$34,364]12.40%
20112.96%7.13%$461,6297.12% [$32,928]7.13%
20121.74%14.36%$495,7036.58% [$30,377]14.36%
20131.50%4.54%$489,2135.71% [$28,287]4.54%
20140.76%4.58%$484,3455.54% [$27,096]4.58%
20150.73%-1.40%$449,4595.96% [$28,858]-1.39%
20162.07%11.19%$472,9875.70% [$25,598]11.19%
20172.11%7.02%$480,2885.37% [$25,382]7.02%
20181.91%-2.96%$440,5355.44% [$26,125]-2.96%
20192.29%15.79%$483,5345.75% [$25,348]15.79%
20200.83%1.48%$474,6093.18% [$15,366]1.48%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard High-Yield Corporate Inv (VWEHX)
198813.55%$692,0373.55%
198822.97%$705,8292.97%
19883-0.41%$696,094-0.41%
198840.64%$693,6600.64%
19885-0.06%$686,358-0.06%
198862.04%$693,6602.04%
198870.99%$693,6600.99%
198880.17%$687,9810.17%
198890.87%$687,1690.87%
1988101.01%$687,1691.01%
1988110.31%$682,3020.31%
1988120.78%$680,6790.78%
198911.62%$684,7361.62%
198920.55%$681,4900.55%
19893-0.51%$670,944-0.51%
19894-0.40%$661,208-0.40%
198951.77%$666,0761.77%
198961.74%$670,9441.74%
198970.29%$666,0760.29%
198980.30%$661,2080.30%
19899-1.32%$645,793-1.32%
198910-1.86%$627,133-1.86%
1989110.27%$622,2660.27%
198912-0.49%$612,530-0.49%
19901-2.10%$593,059-2.10%
19902-1.82%$576,022-1.82%
199031.65%$579,2671.65%
199040.22%$574,3990.22%
199052.35%$581,7012.35%
199061.62%$584,9461.62%
199071.91%$589,8141.91%
19908-4.97%$554,117-4.97%
19909-6.06%$514,363-6.06%
199010-1.99%$498,137-1.99%
1990112.32%$503,8162.32%
1990121.33%$504,6271.33%
199110.65%$502,1940.65%
199125.26%$523,2875.26%
199133.63%$537,0793.63%
199143.09%$548,4373.09%
199150.54%$546,0040.54%
199161.84%$550,8711.84%
199172.41%$558,9842.41%
199181.65%$563,0411.65%
199191.78%$567,9091.78%
1991102.34%$576,0222.34%
1991111.05%$576,8331.05%
1991121.60%$580,8891.60%
199212.41%$589,8142.41%
199221.68%$594,6811.68%
199230.71%$593,8700.71%
199240.58%$592,2480.58%
199251.53%$596,3041.53%
199261.24%$598,7381.24%
199272.17%$606,8512.17%
199281.21%$609,2851.21%
199291.21%$611,7191.21%
199210-2.50%$591,436-2.50%
1992111.89%$597,9271.89%
1992121.34%$601,1721.34%
199312.81%$613,3412.81%
199322.22%$622,2662.22%
199331.54%$627,1331.54%
199340.88%$627,9450.88%
199351.28%$631,1901.28%
199362.29%$640,9252.29%
199370.86%$641,7370.86%
199381.11%$644,1711.11%
199390.36%$641,7370.36%
1993102.62%$653,9062.62%
199311-0.02%$649,038-0.02%
1993120.96%$650,6610.96%
199412.20%$660,3972.20%
19942-0.92%$649,850-0.92%
19943-4.43%$616,587-4.43%
19944-1.62%$601,983-1.62%
199450.10%$597,9270.10%
199460.77%$597,9270.77%
199470.90%$598,7380.90%
199480.90%$599,5490.90%
19949-0.05%$594,681-0.05%
1994100.10%$590,6250.10%
199411-1.02%$580,078-1.02%
1994121.51%$584,1351.51%
199511.36%$587,3801.36%
199522.92%$600,3612.92%
199530.91%$601,1720.91%
199542.37%$610,9072.37%
199552.50%$621,4542.50%
199560.48%$619,8320.48%
199571.54%$624,7001.54%
199580.49%$623,0770.49%
199591.24%$626,3221.24%
1995101.40%$630,3791.40%
1995110.85%$631,1900.85%
1995121.64%$636,8691.64%
199611.24%$640,1141.24%
199620.05%$636,0580.05%
19963-0.92%$625,511-0.92%
19964-0.18%$619,832-0.18%
199650.37%$617,3980.37%
199660.21%$614,1530.21%
199671.03%$615,7751.03%
199681.42%$619,8321.42%
199692.05%$627,9452.05%
1996100.76%$627,9450.76%
1996112.02%$636,0582.02%
1996121.14%$638,4921.14%
199710.75%$638,4920.75%
199721.43%$643,3591.43%
19973-1.92%$626,322-1.92%
199741.12%$628,7561.12%
199752.56%$640,1142.56%
199761.22%$643,3591.22%
199772.38%$653,9062.38%
19978-0.14%$648,227-0.14%
199791.58%$653,9061.58%
1997100.35%$651,4720.35%
1997110.70%$651,4720.70%
1997121.35%$655,5291.35%
199811.86%$662,8311.86%
199820.51%$662,0190.51%
199830.70%$662,0190.70%
199840.31%$659,5850.31%
199850.57%$658,7740.57%
199860.55%$657,9630.55%
199870.81%$658,7740.81%
19988-3.87%$628,756-3.87%
199891.60%$634,4351.60%
199810-1.60%$619,832-1.60%
1998114.23%$641,7374.23%
199812-0.00%$635,246-0.00%
199911.59%$640,9251.59%
19992-0.65%$632,812-0.65%
199930.81%$633,6240.81%
199941.30%$637,6801.30%
19995-1.60%$623,077-1.60%
19996-0.49%$615,775-0.49%
199970.05%$611,7190.05%
19998-1.01%$601,172-1.01%
199990.02%$597,1150.02%
1999100.12%$593,8700.12%
1999111.66%$599,5491.66%
1999120.71%$599,5490.71%
20001-0.77%$590,625-0.77%
200020.14%$587,3800.14%
20003-0.91%$577,644-0.91%
200040.74%$577,6440.74%
20005-1.20%$566,286-1.20%
200062.47%$576,0222.47%
200071.18%$578,4561.18%
200081.60%$583,3231.60%
20009-1.35%$571,154-1.35%
200010-1.79%$556,550-1.79%
200011-3.46%$533,023-3.46%
2000122.66%$542,7582.66%
200114.82%$564,6634.82%
200120.67%$564,6630.67%
20013-1.25%$553,305-1.25%
20014-0.13%$548,437-0.13%
200150.77%$548,4370.77%
20016-2.80%$528,966-2.80%
200171.23%$531,4001.23%
200180.90%$532,2120.90%
20019-4.76%$503,005-4.76%
2001101.59%$507,0611.59%
2001112.82%$517,6082.82%
200112-0.66%$510,306-0.66%
200210.75%$510,3060.75%
20022-0.79%$503,005-0.79%
200231.35%$506,2501.35%
200241.48%$510,3061.48%
20025-0.41%$504,627-0.41%
20026-2.87%$486,779-2.87%
20027-3.78%$464,874-3.78%
200281.97%$470,5531.97%
20029-1.36%$460,817-1.36%
2002100.20%$458,3830.20%
2002114.41%$475,4214.41%
2002121.05%$477,0431.05%
200311.56%$481,1001.56%
200321.30%$484,3451.30%
200331.36%$487,5901.36%
200343.64%$502,1943.64%
200350.33%$500,5710.33%
200361.92%$507,0611.92%
20037-1.60%$495,703-1.60%
200380.83%$496,5140.83%
200392.11%$503,8162.11%
2003101.45%$507,8731.45%
2003111.10%$510,3061.10%
2003122.07%$517,6082.07%
200410.93%$519,2310.93%
200420.26%$517,6080.26%
200430.77%$518,4190.77%
20044-0.66%$511,929-0.66%
20045-1.60%$500,571-1.60%
200461.26%$503,8161.26%
200471.11%$506,2501.11%
200481.91%$512,7401.91%
200491.22%$515,9861.22%
2004101.71%$521,6651.71%
2004110.27%$520,0420.27%
2004121.08%$522,4761.08%
20051-0.17%$518,419-0.17%
200521.16%$521,6651.16%
20053-2.68%$504,627-2.68%
20054-0.55%$498,948-0.55%
200551.90%$505,4391.90%
200561.22%$508,6841.22%
200570.92%$510,3060.92%
200580.25%$508,6840.25%
20059-0.56%$503,005-0.56%
200510-0.54%$497,326-0.54%
2005110.91%$498,9480.91%
2005120.93%$500,5710.93%
200610.92%$502,1940.92%
200620.70%$503,0050.70%
20063-0.04%$499,760-0.04%
200640.26%$498,1370.26%
20065-0.37%$493,269-0.37%
20066-0.40%$488,401-0.40%
200670.78%$489,2130.78%
200681.44%$493,2691.44%
200691.25%$496,5141.25%
2006100.94%$498,1370.94%
2006111.56%$503,0051.56%
2006120.93%$504,6270.93%
200710.60%$504,6270.60%
200721.51%$509,4951.51%
200730.13%$507,0610.13%
200741.24%$510,3061.24%
200750.61%$510,3060.61%
20076-2.27%$495,703-2.27%
20077-3.30%$476,232-3.30%
200781.84%$481,9111.84%
200792.80%$492,4582.80%
2007100.46%$491,6470.46%
200711-1.87%$479,477-1.87%
2007120.47%$478,6660.47%
20081-0.72%$472,175-0.72%
20082-1.46%$462,440-1.46%
20083-0.22%$458,383-0.22%
200843.65%$472,1753.65%
20085-0.22%$468,119-0.22%
20086-3.01%$451,082-3.01%
20087-1.13%$442,969-1.13%
200880.67%$442,9690.67%
20089-6.13%$412,951-6.13%
200810-15.39%$346,424-15.39%
200811-6.22%$322,085-6.22%
2008128.46%$346,4248.46%
200915.71%$363,4625.71%
20092-2.89%$350,481-2.89%
200931.95%$354,5371.95%
200947.83%$379,6877.83%
200954.35%$393,4804.35%
200961.70%$397,5361.70%
200975.79%$417,8195.79%
200980.29%$416,1960.29%
200994.17%$430,7994.17%
2009101.60%$434,8561.60%
2009110.65%$434,8560.65%
2009122.76%$443,7802.76%
201010.83%$444,5910.83%
201020.05%$442,1570.05%
201032.70%$451,0822.70%
201041.72%$455,9501.72%
20105-3.42%$437,290-3.42%
201061.77%$442,1571.77%
201073.42%$454,3273.42%
201080.28%$452,7040.28%
201092.76%$462,4402.76%
2010102.20%$469,7422.20%
201011-1.66%$459,195-1.66%
2010121.32%$462,4401.32%
201112.01%$468,9302.01%
201121.25%$472,1751.25%
201130.28%$470,5530.28%
201141.61%$475,4211.61%
201150.59%$475,4210.59%
20116-0.96%$468,119-0.96%
201171.46%$472,1751.46%
20118-3.19%$454,327-3.19%
20119-1.91%$442,969-1.91%
2011105.39%$464,0625.39%
201111-2.05%$451,893-2.05%
2011122.75%$461,6292.75%
201212.87%$472,1752.87%
201221.90%$478,6661.90%
20123-0.47%$473,798-0.47%
201241.04%$476,2321.04%
20125-0.99%$468,930-0.99%
201262.08%$476,2322.08%
201272.07%$483,5342.07%
201280.86%$485,1560.86%
201291.17%$488,4011.17%
2012101.01%$490,8351.01%
2012110.66%$491,6470.66%
2012121.34%$495,7031.34%
201310.67%$496,5140.67%
201320.29%$495,7030.29%
201330.82%$497,3260.82%
201341.61%$503,0051.61%
20135-0.81%$496,514-0.81%
20136-2.96%$479,477-2.96%
201371.85%$485,9681.85%
20138-1.02%$478,666-1.02%
201390.99%$481,1000.99%
2013102.51%$490,8352.51%
2013110.30%$490,0240.30%
2013120.32%$489,2130.32%
201410.66%$490,0240.66%
201421.92%$497,3261.92%
201430.14%$495,7030.14%
201440.61%$496,5140.61%
201450.95%$498,9480.95%
201460.61%$499,7600.61%
20147-1.17%$491,647-1.17%
201481.62%$497,3261.62%
20149-1.84%$485,968-1.84%
2014101.97%$493,2691.97%
201411-0.54%$488,401-0.54%
201412-0.37%$484,345-0.37%
201510.64%$485,1560.64%
201521.93%$492,4581.93%
20153-0.55%$486,779-0.55%
201540.95%$489,2130.95%
201550.30%$488,4010.30%
20156-1.39%$479,477-1.39%
201570.29%$478,6660.29%
20158-0.89%$472,175-0.89%
20159-2.12%$460,006-2.12%
2015102.77%$470,5532.77%
201511-1.44%$461,629-1.44%
201512-1.76%$449,459-1.76%
20161-0.99%$442,969-0.99%
201620.46%$442,9690.46%
201632.85%$453,5162.85%
201642.60%$463,2512.60%
20165-0.05%$460,817-0.05%
201660.80%$462,4400.80%
201672.04%$469,7422.03%
201681.66%$475,4211.66%
201690.62%$476,2320.62%
2016100.28%$475,4210.28%
201611-0.91%$468,930-0.91%
2016121.39%$472,9871.39%
201711.00%$475,4211.00%
201721.44%$480,2881.44%
20173-0.22%$477,043-0.22%
201741.29%$481,1001.29%
201750.96%$483,5340.96%
201760.27%$482,7220.27%
201771.12%$485,9681.12%
201780.11%$484,3450.11%
201790.77%$485,9680.77%
2017100.09%$484,3450.09%
201711-0.27%$481,100-0.27%
2017120.27%$480,2880.27%
201810.21%$479,4770.21%
20182-1.11%$472,175-1.11%
20183-0.57%$467,308-0.57%
201840.46%$467,3080.46%
20185-0.40%$463,251-0.40%
201860.28%$462,4400.28%
201871.18%$465,6851.18%
201880.99%$468,1190.99%
201890.45%$468,1190.45%
201810-1.58%$458,383-1.58%
201811-0.72%$452,704-0.72%
201812-2.14%$440,535-2.14%
201914.93%$460,0064.93%
201921.67%$465,6851.67%
201930.83%$467,3080.83%
201941.50%$472,1751.50%
20195-1.08%$464,874-1.08%
201962.72%$475,4212.72%
201970.45%$475,4210.45%
201980.95%$477,8550.95%
201990.43%$477,8550.43%
2019100.61%$478,6660.61%
2019110.59%$479,4770.59%
2019121.28%$483,5341.28%
202010.08%$481,9110.08%
20202-0.80%$476,232-0.80%
20203-9.97%$426,743-9.97%
202043.87%$441,3463.87%
202053.75%$455,9503.75%
202060.23%$455,1380.23%
202074.51%$473,7984.51%
202080.57%$474,6090.57%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VWEHXVanguard High-Yield Corporate InvHigh Yield Bond100.00%0.23%3.89$1,238,167100.00%
Return contribution includes $1,438,558 cash distribution from dividends that were not reinvested

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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 1
Arithmetic Mean (monthly)0.60%
Arithmetic Mean (annualized)7.49%
Geometric Mean (monthly)0.58%
Geometric Mean (annualized)-1.07%
Volatility (monthly)2.05%
Volatility (annualized)7.09%
Downside Deviation (monthly)1.39%
Max. Drawdown-54.37%
US Market Correlation0.65
Beta(*)0.31
Alpha (annualized)3.73%
R241.86%
Sharpe Ratio0.60
Sortino Ratio0.83
Treynor Ratio (%)13.67
Calmar Ratio0.45
Active Return-3.45%
Tracking Error11.47%
Information Ratio-0.30
Skewness-1.65
Excess Kurtosis12.10
Historical Value-at-Risk (5%)-2.72%
Analytical Value-at-Risk (5%)-2.76%
Conditional Value-at-Risk (5%)-4.92%
Upside Capture Ratio (%)36.02
Downside Capture Ratio (%)20.68
Safe Withdrawal Rate6.26%
Perpetual Withdrawal Rate4.48%
Positive Periods287 out of 392 (73.21%)
Gain/Loss Ratio0.85
* 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 PeriodStartEndPortfolio 1
Asian CrisisJul 1997Jan 1998-0.14%
Russian Debt DefaultJul 1998Oct 1998-3.89%
Dotcom CrashMar 2000Oct 2002-6.93%
Subprime CrisisNov 2007Mar 2009-28.46%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1988Nov 200820 years 9 months-54.37%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWEHXVanguard High-Yield Corporate Inv7.22%7.09%39.09%-21.29%-28.90%0.600.830.65

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.85%39.09%-21.29%
3 years7.30%20.34%-4.56%
5 years7.36%15.34%-0.62%
7 years7.25%14.00%2.09%
10 years7.09%10.55%1.91%
15 years6.73%9.06%4.12%
Result statistics are based on annualized rolling returns over full calendar year periods