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 1990 - Dec 2002)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
NAESX Vanguard Small Cap Index Inv -100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,334 0.25% 14.03%31.55%-15.14%-36.07% -0.24-0.33-0.05
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 11.48%-2.12%-7.71%0.41%1.67%0.25%21.43%18.15%
Trailing annualized return and volatility are for full months ending in December 2002 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.
  • 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
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Small Cap Index Inv (NAESX)
19906.11%14.83%$11,483-3.32%-18.13%
19913.06%-14.63%$9,80330.22%45.26%
19922.90%-10.71%$8,7547.42%18.20%
19932.75%-8.59%$8,0029.89%18.70%
19942.67%1.75%$8,1421.18%-0.51%
19952.54%8.76%$8,85537.45%28.74%
19963.32%4.98%$9,29722.88%18.12%
19971.70%8.92%$10,12633.19%24.59%
19981.61%31.55%$13,32128.62%-2.61%
19992.68%-1.32%$13,14521.07%23.13%
20003.39%-5.35%$12,442-9.06%-2.67%
20011.55%-15.14%$10,559-12.02%3.10%
20022.38%-2.12%$10,334-22.15%-20.02%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Small Cap Index Inv (NAESX)
199011.59%$10,159-6.72%-8.31%
19902-0.61%$10,0971.27%1.97%
19903-2.03%$9,8922.61%4.83%
199040.93%$9,984-2.50%-3.41%
199052.48%$10,2319.69%7.06%
19906-0.93%$10,136-0.66%0.27%
199073.92%$10,533-0.35%-4.27%
199083.12%$10,862-9.03%-12.91%
199092.70%$11,155-4.89%-8.85%
1990103.80%$11,580-0.41%-5.96%
1990110.00%$11,5806.44%7.84%
199012-0.84%$11,4832.72%4.54%
19911-4.26%$10,9944.32%8.58%
19912-5.12%$10,4327.15%11.38%
19913-6.23%$9,7812.41%6.91%
199140.94%$9,8730.20%-0.44%
19915-0.82%$9,7924.27%4.36%
199162.33%$10,020-4.56%-5.54%
199170.54%$10,0744.63%3.79%
19918-2.95%$9,7772.33%4.08%
19919-3.07%$9,477-1.67%0.42%
199110-2.64%$9,2261.33%2.74%
1991112.61%$9,467-4.01%-4.94%
1991123.55%$9,80311.41%8.05%
19921-9.84%$8,839-1.88%7.96%
19922-2.83%$8,5881.24%3.50%
199232.12%$8,771-1.93%-3.38%
199246.84%$9,3712.91%-3.04%
19925-0.78%$9,2980.48%1.18%
199263.78%$9,649-1.49%-4.80%
199270.41%$9,6894.04%3.58%
199280.41%$9,729-2.07%-2.44%
19929-0.54%$9,6761.17%1.69%
199210-2.98%$9,3870.33%3.17%
199211-4.15%$8,9983.40%6.98%
199212-2.71%$8,7541.21%3.36%
19931-2.96%$8,4940.81%3.77%
199323.39%$8,7821.36%-1.85%
19933-0.97%$8,6972.11%3.07%
199340.46%$8,737-2.42%-2.84%
19935-1.64%$8,5942.65%4.25%
19936-0.00%$8,5930.27%0.27%
19937-1.47%$8,467-0.42%0.93%
19938-0.62%$8,4153.79%4.23%
19939-4.15%$8,066-0.79%2.79%
199310-0.89%$7,9942.08%2.65%
1993112.54%$8,197-1.00%-2.88%
199312-2.38%$8,0021.22%3.29%
19941-0.26%$7,9813.38%3.64%
19942-2.43%$7,787-2.71%-0.37%
199430.84%$7,853-4.39%-5.07%
199440.55%$7,8961.29%0.72%
199452.45%$8,0891.63%-0.84%
199460.74%$8,149-2.47%-3.26%
199471.48%$8,2693.28%1.75%
19948-1.19%$8,1714.08%5.50%
19949-2.17%$7,993-2.45%-0.31%
1994102.66%$8,2062.25%-0.38%
1994110.17%$8,220-3.65%-3.92%
199412-0.94%$8,1421.46%2.57%
199513.58%$8,4342.58%-1.00%
199520.36%$8,4653.88%3.64%
199530.91%$8,5422.95%2.15%
199540.85%$8,6142.94%2.23%
199552.33%$8,8153.95%1.87%
19956-2.48%$8,5962.31%4.95%
19957-2.56%$8,3763.30%5.82%
19958-2.23%$8,1890.25%2.15%
199593.11%$8,4444.23%1.72%
1995104.82%$8,851-0.36%-4.34%
1995110.85%$8,9264.38%3.93%
199512-0.79%$8,8551.93%2.81%
199613.22%$9,1413.39%0.16%
19962-2.41%$8,9210.92%3.43%
19963-0.91%$8,8400.98%1.87%
19964-4.33%$8,4571.46%5.59%
19965-1.71%$8,3122.54%3.93%
199665.14%$8,7400.38%-3.83%
199674.49%$9,132-4.42%-8.41%
19968-3.70%$8,7952.10%5.94%
199692.00%$8,9715.61%3.76%
1996104.68%$9,3902.76%-1.45%
1996113.80%$9,7477.56%4.36%
199612-4.62%$9,297-1.96%2.41%
199713.94%$9,6636.22%2.27%
199723.23%$9,9760.79%-2.46%
199730.27%$10,003-4.14%-4.74%
199745.36%$10,5395.96%0.37%
19975-3.45%$10,1756.09%11.08%
19976-0.36%$10,1384.45%5.24%
199773.27%$10,4707.97%5.43%
19978-8.81%$9,548-5.61%2.24%
19979-1.93%$9,3645.47%7.26%
1997101.34%$9,489-3.35%-4.42%
1997116.27%$10,0844.60%-0.52%
1997120.42%$10,1261.72%1.66%
199812.71%$10,4011.11%-1.60%
19982-0.09%$10,3917.19%7.49%
199831.12%$10,5085.10%4.15%
199840.58%$10,5691.01%0.50%
199853.73%$10,962-1.74%-5.36%
199864.41%$11,4464.07%-0.16%
199876.24%$12,160-1.05%-7.98%
199881.33%$12,321-14.47%-19.29%
199890.47%$12,3796.41%7.53%
1998104.22%$12,9018.16%4.21%
1998111.86%$13,1416.07%5.31%
1998121.37%$13,3215.81%6.23%
199912.98%$13,7184.20%1.23%
199924.81%$14,377-3.12%-8.11%
199932.47%$14,7324.00%1.48%
19994-3.85%$14,1653.85%8.87%
19995-4.05%$13,592-2.39%1.67%
19996-0.12%$13,5755.56%5.83%
19997-1.04%$13,434-3.13%-2.24%
199983.49%$13,902-0.50%-3.79%
19999-2.71%$13,526-2.74%-0.14%
1999106.19%$14,3636.33%0.37%
199911-3.63%$13,8422.02%5.98%
199912-5.04%$13,1455.98%11.46%
20001-3.34%$12,706-5.03%-1.69%
20002-18.66%$10,335-1.91%16.51%
2000321.23%$12,5299.75%-6.69%
200043.41%$12,956-3.00%-5.96%
200053.80%$13,448-2.04%-5.78%
20006-6.16%$12,6192.49%9.29%
200072.07%$12,879-1.50%-3.38%
20008-1.50%$12,6866.19%7.60%
20009-2.42%$12,380-5.29%-2.98%
2000104.32%$12,914-0.43%-4.34%
2000112.47%$13,233-7.89%-10.27%
200012-5.98%$12,4420.51%8.61%
20011-1.70%$12,2303.55%5.25%
20012-2.56%$11,917-9.14%-6.60%
20013-1.25%$11,768-6.36%-4.87%
20014-0.43%$11,7177.77%7.76%
20015-1.97%$11,4870.65%2.45%
20016-7.21%$10,659-2.45%4.19%
200175.58%$11,253-1.00%-5.31%
20018-2.76%$10,942-6.27%-3.23%
200197.13%$11,722-8.09%-13.47%
200110-3.64%$11,2961.90%5.79%
200111-0.88%$11,1977.65%7.75%
200112-5.70%$10,5590.87%6.05%
20021-0.41%$10,515-1.47%-1.06%
200220.77%$10,596-1.94%-2.70%
20023-4.09%$10,1633.74%8.02%
20024-7.32%$9,419-6.07%0.92%
200254.29%$9,823-0.75%-4.33%
20026-2.28%$9,599-7.13%-4.52%
200278.51%$10,415-7.72%-15.05%
200280.73%$10,4910.65%-0.25%
20029-2.93%$10,184-10.87%-7.20%
2002104.03%$10,5948.78%3.21%
200211-2.31%$10,3495.88%8.88%
200212-0.15%$10,334-5.89%-5.59%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.10%
Arithmetic Mean (annualized)1.24%
Geometric Mean (monthly)0.02%
Geometric Mean (annualized)0.25%
Volatility (monthly)4.05%
Volatility (annualized)14.03%
Downside Deviation (monthly)2.79%
Max. Drawdown-36.07%
US Market Correlation-0.05
Beta(*)-0.04
Alpha (annualized)1.66%
R20.22%
Sharpe Ratio-0.24
Sortino Ratio-0.33
Treynor Ratio (%)79.42
Calmar Ratio-0.26
Active Return-8.83%
Tracking Error21.27%
Information Ratio-0.42
Skewness0.18
Excess Kurtosis6.41
Historical Value-at-Risk (5%)-5.77%
Analytical Value-at-Risk (5%)-6.26%
Conditional Value-at-Risk (5%)-8.78%
Upside Capture Ratio (%)-8.03
Downside Capture Ratio (%)-16.95
Safe Withdrawal Rate6.23%
Perpetual Withdrawal Rate0.00%
Positive Periods79 out of 156 (50.64%)
Gain/Loss Ratio1.05
* 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 1998-10.57%
Russian Debt DefaultJul 1998Oct 19980.00%
Dotcom CrashMar 2000Oct 2002-29.96%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 1999Apr 20023 years 1 month-36.07%
2Dec 1990Feb 19943 years 3 monthsJul 19984 years 5 months7 years 8 months-32.75%
3Feb 1990Mar 19902 monthsMay 19902 months4 months-2.63%
4Jun 1990Jun 19901 monthJul 19901 month2 months-0.93%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.57%15.27%37.45%-22.15%-44.82%0.370.540.98
NAESXVanguard Small Cap Index Inv8.89%19.22%45.26%-20.02%-33.95%0.300.430.83

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXNAESXPortfolio 1
VFINXVanguard 500 Index Investor1.000.730.13
NAESXVanguard Small Cap Index Inv0.731.00-0.57

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$13,666
NAESXVanguard Small Cap Index Inv-$13,332

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor14.91%
NAESXVanguard Small Cap Index Inv85.09%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year0.57%40.20%-28.12%
3 years1.68%18.76%-12.72%
5 years3.30%13.41%-5.49%
7 years3.43%7.69%-2.80%
10 years1.42%2.77%-0.05%