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 1991 - Dec 2000)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VCVSX Vanguard Convertible Securities Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$36,687 13.88% 12.51%34.34%-5.68%-18.70% 0.741.160.82
Vanguard 500 Index Investor$10,000$49,545 17.35% 13.37%37.45%-9.06%-15.38% 0.931.500.97
   
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
19913.06%34.34%30.22%$13,434$13,02234.34%
19922.90%19.00%7.42%$15,986$13,98919.00%
19932.75%13.54%9.89%$18,151$15,37313.54%
19942.67%-5.68%1.18%$17,121$15,553-5.68%
19952.54%16.74%37.45%$19,987$21,37816.74%
19963.32%15.44%22.88%$23,072$26,26815.44%
19971.70%16.39%33.19%$26,854$34,98716.39%
19981.61%0.56%28.62%$27,006$44,9990.56%
19992.68%30.36%21.07%$35,205$54,47930.36%
20003.39%4.21%-9.06%$36,687$49,5454.21%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Convertible Securities Inv (VCVSX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
199115.98%4.35%$10,598$10,4355.98%
199124.49%7.12%$11,074$11,1784.49%
199133.53%2.41%$11,465$11,4473.53%
199142.59%0.20%$11,762$11,4692.59%
199153.06%4.27%$12,122$11,9593.06%
19916-4.30%-4.56%$11,601$11,414-4.30%
199173.79%4.63%$12,041$11,9423.79%
199183.86%2.33%$12,506$12,2213.86%
199190.90%-1.67%$12,619$12,0170.90%
1991101.82%1.33%$12,848$12,1771.82%
199111-2.68%-4.01%$12,504$11,688-2.68%
1991127.43%11.41%$13,434$13,0227.43%
199214.90%-1.88%$14,093$12,7774.90%
199221.83%1.24%$14,351$12,9361.83%
19923-2.27%-1.93%$14,026$12,687-2.27%
199240.00%2.91%$14,026$13,0570.00%
199251.68%0.48%$14,261$13,1201.68%
19926-1.18%-1.49%$14,093$12,924-1.18%
199272.54%4.04%$14,451$13,4472.54%
199280.00%-2.07%$14,451$13,1690.00%
199293.75%1.17%$14,993$13,3233.75%
1992101.96%0.33%$15,287$13,3671.96%
1992113.06%3.40%$15,756$13,8213.06%
1992121.46%1.21%$15,986$13,9891.46%
199312.12%0.81%$16,325$14,1012.12%
19932-1.83%1.36%$16,027$14,293-1.83%
199333.82%2.11%$16,639$14,5943.82%
19934-2.38%-2.42%$16,243$14,240-2.38%
199353.96%2.65%$16,885$14,6183.96%
19936-0.32%0.27%$16,832$14,657-0.32%
19937-1.15%-0.42%$16,639$14,595-1.15%
199384.31%3.79%$17,356$15,1474.31%
199391.20%-0.79%$17,565$15,0271.20%
1993103.25%2.08%$18,136$15,3393.25%
199311-1.07%-1.00%$17,941$15,187-1.07%
1993121.17%1.22%$18,151$15,3731.17%
199411.68%3.38%$18,456$15,8921.68%
19942-0.83%-2.71%$18,304$15,460-0.83%
19943-4.21%-4.39%$17,533$14,782-4.21%
19944-2.28%1.29%$17,134$14,973-2.28%
199450.09%1.60%$17,149$15,2130.09%
19946-1.35%-2.45%$16,917$14,840-1.35%
199470.73%3.28%$17,041$15,3270.73%
199484.28%4.08%$17,771$15,9514.28%
19949-0.70%-2.45%$17,647$15,561-0.70%
1994100.89%2.25%$17,804$15,9110.89%
199411-3.52%-3.65%$17,176$15,329-3.52%
199412-0.32%1.46%$17,121$15,553-0.32%
199510.09%2.58%$17,137$15,9550.09%
199521.52%3.88%$17,397$16,5741.52%
199532.63%2.95%$17,854$17,0642.63%
199540.28%2.94%$17,903$17,5660.28%
199552.38%3.95%$18,329$18,2602.38%
199562.95%2.31%$18,870$18,6822.95%
199575.09%3.30%$19,830$19,2995.09%
19958-0.50%0.26%$19,730$19,351-0.50%
199590.84%4.21%$19,895$20,1660.84%
199510-1.68%-0.36%$19,561$20,092-1.68%
1995112.73%4.38%$20,096$20,9722.73%
199512-0.54%1.93%$19,987$21,378-0.54%
199611.20%3.39%$20,228$22,1011.20%
199621.70%0.92%$20,572$22,3051.70%
199630.75%0.98%$20,726$22,5230.75%
199644.36%1.46%$21,629$22,8514.36%
199651.77%2.54%$22,011$23,4331.77%
19966-2.45%0.38%$21,472$23,522-2.45%
19967-4.32%-4.42%$20,544$22,483-4.32%
199685.88%2.10%$21,753$22,9545.88%
199695.56%5.61%$22,962$24,2415.56%
199610-1.92%2.76%$22,520$24,909-1.92%
1996112.51%7.56%$23,085$26,7932.51%
199612-0.06%-1.96%$23,072$26,268-0.06%
199713.10%6.22%$23,786$27,9013.10%
19972-0.67%0.79%$23,627$28,121-0.67%
19973-1.86%-4.14%$23,188$26,958-1.86%
199740.69%5.96%$23,348$28,5640.69%
199754.20%6.09%$24,329$30,3034.20%
199762.48%4.45%$24,931$31,6522.48%
199774.86%7.97%$26,144$34,1744.86%
199780.23%-5.61%$26,204$32,2570.23%
199794.17%5.47%$27,298$34,0214.17%
199710-2.46%-3.35%$26,626$32,881-2.46%
199711-0.46%4.60%$26,504$34,393-0.46%
1997121.32%1.72%$26,854$34,9871.32%
19981-0.17%1.11%$26,809$35,375-0.17%
199825.76%7.19%$28,354$37,9195.76%
199834.01%5.10%$29,490$39,8544.01%
19984-0.23%1.01%$29,422$40,256-0.23%
19985-2.80%-1.74%$28,597$39,554-2.80%
19986-0.39%4.07%$28,485$41,165-0.39%
19987-3.49%-1.05%$27,490$40,731-3.49%
19988-12.78%-14.47%$23,976$34,836-12.78%
199890.74%6.41%$24,154$37,0690.74%
1998102.71%8.16%$24,808$40,0952.71%
1998114.52%6.07%$25,930$42,5304.52%
1998124.15%5.81%$27,006$44,9994.15%
199913.26%4.20%$27,887$46,8903.26%
19992-4.78%-3.12%$26,553$45,425-4.78%
199930.10%4.00%$26,580$47,2410.10%
199946.61%3.85%$28,337$49,0606.61%
199951.19%-2.39%$28,674$47,8881.19%
199964.13%5.56%$29,860$50,5494.13%
19997-1.06%-3.13%$29,544$48,967-1.06%
199980.25%-0.50%$29,616$48,7230.25%
19999-1.39%-2.74%$29,205$47,389-1.39%
1999103.95%6.33%$30,359$50,3873.95%
1999116.63%2.02%$32,373$51,4066.63%
1999128.75%5.98%$35,205$54,4798.75%
200012.45%-5.03%$36,069$51,7382.45%
2000210.59%-1.91%$39,887$50,75110.59%
200030.70%9.76%$40,165$55,7050.70%
20004-4.98%-3.01%$38,163$54,030-4.98%
20005-4.97%-2.04%$36,267$52,929-4.97%
200068.29%2.49%$39,275$54,2458.29%
20007-2.64%-1.49%$38,238$53,437-2.64%
200087.93%6.19%$41,270$56,7447.93%
20009-2.44%-5.29%$40,261$53,743-2.44%
200010-5.07%-0.43%$38,218$53,512-5.07%
200011-10.76%-7.88%$34,106$49,297-10.76%
2000127.57%0.50%$36,687$49,5457.57%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VCVSXVanguard Convertible Securities InvConvertibles2.900.35%100.00%$26,687100.00%

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)1.15%1.42%
Arithmetic Mean (annualized)14.76%18.39%
Geometric Mean (monthly)1.09%1.34%
Geometric Mean (annualized)13.88%17.35%
Volatility (monthly)3.61%3.86%
Volatility (annualized)12.51%13.37%
Downside Deviation (monthly)2.12%2.19%
Max. Drawdown-18.70%-15.38%
US Market Correlation0.820.97
Beta(*)0.641.00
Alpha (annualized)2.94%-0.00%
R247.07%100.00%
Sharpe Ratio0.740.93
Sortino Ratio1.161.50
Treynor Ratio (%)14.3512.36
Calmar Ratio0.590.80
Active Return-3.47%N/A
Tracking Error10.28%N/A
Information Ratio-0.34N/A
Skewness-0.51-0.53
Excess Kurtosis1.821.58
Historical Value-at-Risk (5%)-4.76%-4.55%
Analytical Value-at-Risk (5%)-4.78%-4.93%
Conditional Value-at-Risk (5%)-7.23%-7.14%
Upside Capture Ratio (%)71.23100.00
Downside Capture Ratio (%)65.36100.00
Safe Withdrawal Rate18.56%19.70%
Perpetual Withdrawal Rate9.85%12.52%
Positive Periods76 out of 120 (63.33%)82 out of 120 (68.33%)
Gain/Loss Ratio1.281.15
* 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
Asian CrisisJul 1997Jan 1998-2.91%-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.83%-15.38%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 1998Aug 19985 monthsJun 199910 months1 year 3 months-18.70%
2Sep 2000Nov 20003 months-17.36%
3Apr 2000May 20002 monthsAug 20003 months5 months-9.70%
4Feb 1994Jun 19945 monthsJun 19951 year1 year 5 months-8.34%
5Jun 1996Jul 19962 monthsSep 19962 months4 months-6.66%
6Jun 1991Jun 19911 monthAug 19912 months3 months-4.30%
7Oct 1997Nov 19972 monthsFeb 19983 months5 months-2.91%
8Nov 1991Nov 19911 monthDec 19911 month2 months-2.68%
9Feb 1997Mar 19972 monthsMay 19972 months4 months-2.52%
10Apr 1993Apr 19931 monthMay 19931 month2 months-2.38%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
2Sep 2000Nov 20003 months-13.13%
3Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
4Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
5Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
6Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
8Jun 1991Jun 19911 monthAug 19912 months3 months-4.56%
9Jul 1996Jul 19961 monthSep 19962 months3 months-4.42%
10Sep 1991Nov 19913 monthsDec 19911 month4 months-4.36%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VCVSXVanguard Convertible Securities Inv13.88%12.51%34.34%-5.68%-18.70%0.741.160.82

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year14.49%34.34%-5.68%18.29%37.45%-9.06%
3 years12.41%21.98%7.73%19.41%31.03%6.10%
5 years12.32%15.51%8.27%20.39%28.49%15.07%
7 years12.04%15.16%10.49%19.65%21.44%18.20%
10 years13.88%13.88%13.88%17.35%17.35%17.35%
Result statistics are based on annualized rolling returns over full calendar year periods