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 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 Assets 
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Asset 5
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Asset 6
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Portfolio Analysis Results (Jan 1998 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$757,017 37.12% 6.78%7.87%15.35%33.35%-37.04%-50.89%
(-43.92%)
0.380.531.00
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • The backtested results assume no rebalancing per parameterization. See the allocation drift section for details
  • Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • The monthly contribution was allocated based on each month's asset allocation (no rebalancing)
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentVanguard Total Stock Mkt Idx Inv (VTSMX)
19981.61%23.26%$14,884$12,12723.26%
19992.68%23.81%$32,581$12,39223.81%
20003.39%-10.57%$40,947$12,811-10.57%
20011.55%-10.97%$49,468$13,173-10.97%
20022.38%-20.96%$51,286$13,382-20.96%
20031.88%31.35%$83,499$13,68631.35%
20043.26%12.51%$109,244$14,05212.51%
20053.42%5.98%$131,031$14,5295.98%
20062.54%15.51%$167,580$14,99815.51%
20074.08%5.49%$192,206$15,4255.49%
20080.09%-37.04%$133,312$16,018-37.04%
20092.72%28.70%$190,974$15,96128.70%
20101.50%17.09%$242,055$16,22217.09%
20112.96%0.96%$260,891$16,7350.96%
20121.74%16.25%$321,106$17,08116.25%
20131.50%33.35%$447,905$17,33133.35%
20140.76%12.43%$522,331$17,61212.43%
20150.73%0.29%$541,430$17,6330.29%
20162.07%12.53%$628,622$17,85612.53%
20172.11%21.05%$780,915$18,23621.05%
20181.91%-5.26%$757,017$18,681-5.26%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)
199810.44%$2,0060.44%
199827.34%$3,1577.34%
199835.06%$4,3235.06%
199841.10%$5,3781.10%
19985-2.71%$6,241-2.71%
199863.54%$7,4733.54%
19987-2.27%$8,315-2.27%
19988-15.65%$8,026-15.65%
199896.68%$9,5766.68%
1998107.51%$11,3137.51%
1998116.17%$13,0276.17%
1998126.45%$14,8846.45%
199913.65%$16,4463.65%
19992-3.73%$16,852-3.73%
199933.93%$18,5383.93%
199944.68%$20,4354.68%
19995-2.00%$21,058-2.00%
199965.16%$23,1755.16%
19997-3.20%$23,467-3.20%
19998-0.92%$24,288-0.92%
19999-2.44%$24,736-2.44%
1999106.29%$27,3346.29%
1999113.42%$29,3133.42%
1999127.59%$32,5817.59%
20001-4.18%$32,264-4.18%
200022.54%$34,1382.54%
200035.69%$37,1405.69%
20004-5.21%$36,268-5.21%
20005-3.41%$36,096-3.41%
200064.42%$38,7604.42%
20007-1.95%$39,074-1.95%
200087.28%$42,9917.28%
20009-4.67%$42,060-4.67%
200010-2.04%$42,279-2.04%
200011-9.90%$39,171-9.90%
2000121.78%$40,9471.78%
200113.83%$43,6003.83%
20012-9.41%$40,586-9.41%
20013-6.72%$38,951-6.72%
200148.16%$43,2278.16%
200151.01%$44,7661.01%
20016-1.64%$45,137-1.64%
20017-1.71%$45,465-1.71%
20018-6.00%$43,835-6.00%
20019-9.00%$40,997-9.00%
2001102.52%$43,1332.52%
2001117.63%$47,5257.63%
2001121.78%$49,4681.78%
20021-1.24%$49,951-1.24%
20022-2.05%$50,031-2.05%
200234.38%$53,3304.38%
20024-4.90%$51,832-4.90%
20025-1.22%$52,316-1.22%
20026-7.06%$49,735-7.06%
20027-8.02%$46,863-8.02%
200280.53%$48,2320.53%
20029-10.07%$44,499-10.07%
2002107.65%$49,0267.65%
2002116.06%$53,1216.06%
200212-5.57%$51,286-5.57%
20031-2.54%$51,109-2.54%
20032-1.69%$51,382-1.69%
200331.09%$53,0821.09%
200348.21%$58,5798.21%
200356.11%$63,2946.11%
200361.43%$65,3401.43%
200372.36%$68,0202.36%
200382.39%$70,7892.39%
20039-1.15%$71,126-1.15%
2003106.12%$76,6236.12%
2003111.38%$78,8241.38%
2003124.48%$83,4994.48%
200412.23%$86,5102.23%
200421.43%$88,9021.43%
20043-1.07%$89,111-1.07%
20044-2.11%$88,399-2.11%
200451.35%$90,7601.35%
200462.09%$93,8312.09%
20047-3.80%$91,438-3.80%
200480.31%$92,8970.31%
200491.74%$95,6901.74%
2004101.68%$98,4781.68%
2004114.68%$104,2744.68%
2004123.63%$109,2443.63%
20051-2.68%$107,503-2.68%
200522.07%$110,9192.07%
20053-1.75%$110,179-1.75%
20054-2.32%$108,826-2.32%
200553.77%$114,1333.77%
200560.81%$116,2650.81%
200574.11%$122,2504.11%
20058-0.94%$122,313-0.94%
200590.86%$124,5940.86%
200510-1.86%$123,506-1.86%
2005113.97%$129,6363.97%
2005120.14%$131,0310.14%
200613.50%$136,8473.50%
200620.00%$138,0790.00%
200631.80%$141,8061.80%
200641.11%$144,6321.11%
20065-3.23%$141,208-3.23%
200660.17%$142,7090.17%
20067-0.13%$143,784-0.13%
200682.31%$148,3742.31%
200692.27%$152,9952.27%
2006103.53%$159,6483.53%
2006112.23%$164,4642.23%
2006121.13%$167,5801.13%
200711.88%$171,9811.88%
20072-1.61%$170,470-1.61%
200731.11%$173,6321.11%
200744.01%$181,8764.01%
200753.69%$189,8743.69%
20076-1.67%$187,993-1.67%
20077-3.41%$182,873-3.41%
200781.45%$186,8181.45%
200793.59%$194,8233.59%
2007101.85%$199,7221.85%
200711-4.49%$192,063-4.49%
200712-0.60%$192,206-0.60%
20081-6.08%$181,828-6.08%
20082-3.07%$177,556-3.07%
20083-0.58%$177,845-0.58%
200845.02%$188,1085.02%
200852.09%$193,3872.09%
20086-8.19%$178,901-8.19%
20087-0.77%$178,889-0.77%
200881.58%$183,0771.58%
20089-9.26%$167,474-9.26%
200810-17.63%$139,294-17.63%
200811-7.90%$129,603-7.90%
2008121.86%$133,3121.86%
20091-8.26%$123,613-8.26%
20092-10.45%$112,011-10.45%
200938.65%$123,0248.65%
2009410.61%$137,39310.61%
200955.38%$146,1095.38%
200960.34%$147,9470.34%
200977.82%$160,8557.82%
200983.63%$168,0273.63%
200994.23%$176,4684.23%
200910-2.57%$173,276-2.57%
2009115.63%$184,3655.63%
2009122.86%$190,9742.86%
20101-3.50%$185,638-3.50%
201023.36%$193,2193.36%
201036.27%$206,6866.27%
201042.17%$212,5292.17%
20105-8.00%$196,876-8.00%
20106-5.66%$187,080-5.66%
201076.99%$201,5186.99%
20108-4.75%$193,303-4.75%
201099.47%$212,9629.47%
2010103.94%$222,7133.94%
2010110.58%$225,3520.58%
2010126.81%$242,0556.81%
201112.19%$248,7122.19%
201123.60%$259,0303.60%
201130.45%$261,5790.45%
201142.99%$270,7982.99%
20115-1.16%$269,053-1.16%
20116-1.79%$265,643-1.79%
20117-2.28%$260,980-2.28%
20118-5.99%$246,740-5.99%
20119-7.75%$229,016-7.75%
20111011.51%$256,77211.51%
201111-0.29%$257,437-0.29%
2011120.80%$260,8910.80%
201215.08%$275,5535.08%
201224.26%$288,6984.26%
201233.07%$298,9713.07%
20124-0.65%$298,444-0.65%
20125-6.24%$281,258-6.24%
201263.91%$293,6763.91%
201271.03%$298,1291.03%
201282.48%$306,9562.48%
201292.58%$316,3022.58%
201210-1.76%$312,176-1.76%
2012110.74%$315,9090.74%
2012121.19%$321,1061.19%
201315.50%$340,1925.50%
201321.28%$345,9741.28%
201333.88%$360,8503.88%
201341.70%$368,4301.70%
201352.32%$378,4272.32%
20136-1.27%$375,055-1.27%
201375.49%$397,0765.49%
20138-2.82%$387,314-2.82%
201393.66%$402,9593.66%
2013104.22%$421,4254.22%
2013112.88%$435,0142.88%
2013122.63%$447,9052.63%
20141-3.11%$435,439-3.11%
201424.73%$457,5014.73%
201430.51%$461,3170.51%
201440.06%$463,0790.06%
201452.17%$474,6082.17%
201462.54%$488,1302.54%
20147-1.98%$479,945-1.98%
201484.18%$501,4964.18%
20149-2.14%$492,256-2.14%
2014102.74%$507,2162.74%
2014112.41%$520,9042.41%
201412-0.01%$522,331-0.01%
20151-2.77%$509,299-2.77%
201525.76%$540,1045.76%
20153-1.04%$535,964-1.04%
201540.42%$539,6870.42%
201551.39%$548,6691.39%
20156-1.71%$540,765-1.71%
201571.63%$551,0691.63%
20158-6.03%$519,341-6.03%
20159-2.93%$505,582-2.93%
2015107.84%$546,7167.84%
2015110.54%$551,1410.54%
201512-2.03%$541,430-2.03%
20161-5.67%$512,192-5.67%
20162-0.04%$513,448-0.04%
201637.01%$550,9227.01%
201640.63%$555,8610.63%
201651.79%$567,3131.79%
201660.23%$570,0890.23%
201673.95%$594,1003.95%
201680.26%$597,1280.26%
201690.15%$599,5210.15%
201610-2.21%$587,741-2.21%
2016114.44%$615,3074.44%
2016121.92%$628,6221.92%
201711.91%$642,1261.91%
201723.71%$667,4643.71%
201730.07%$669,4190.07%
201741.05%$677,9651.05%
201751.01%$686,3011.01%
201760.92%$694,1410.92%
201771.87%$708,6131.87%
201780.15%$711,1690.15%
201792.45%$730,1472.45%
2017102.16%$747,4312.16%
2017113.04%$771,7123.04%
2017120.99%$780,9150.99%
201815.31%$823,8985.31%
20182-3.72%$794,827-3.72%
20183-1.99%$780,528-1.99%
201840.38%$785,0360.38%
201852.79%$808,5082.79%
201860.68%$815,5550.68%
201873.34%$844,3343.34%
201883.44%$874,9593.44%
201890.16%$877,9200.16%
201810-7.40%$814,506-7.40%
2018112.06%$832,8592.06%
201812-9.29%$757,017-9.29%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value37.36%
Large-cap Growth43.47%
Mid-cap Value5.00%
Mid-cap Growth7.62%
Small-cap Value3.03%
Small-cap Growth2.38%
Global ex-US Developed Markets0.66%
Emerging Markets0.48%
REITs0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.88%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%100.00%$430,077100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/04/2019. (c) 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 1
Arithmetic Mean (monthly)0.65%
Arithmetic Mean (annualized)8.05%
Geometric Mean (monthly)0.55%
Geometric Mean (annualized)6.78%
Volatility (monthly)4.43%
Volatility (annualized)15.35%
Downside Deviation (monthly)3.11%
Max. Drawdown-50.89%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)0.00%
R2100.00%
Sharpe Ratio0.38
Sortino Ratio0.53
Treynor Ratio (%)5.89
Calmar Ratio0.62
Active Return0.00%
Tracking Error0.00%
Information Ratio0.01
Skewness-0.74
Excess Kurtosis1.33
Historical Value-at-Risk (5%)-8.01%
Analytical Value-at-Risk (5%)-6.64%
Conditional Value-at-Risk (5%)-10.43%
Upside Capture Ratio (%)100.00
Downside Capture Ratio (%)100.00
Safe Withdrawal Rate6.52%
Perpetual Withdrawal Rate4.35%
Positive Periods161 out of 252 (63.89%)
Gain/Loss Ratio0.81
* 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
Russian Debt DefaultJul 1998Oct 1998-17.57%
Dotcom CrashMar 2000Oct 2002-44.11%
Subprime CrisisNov 2007Mar 2009-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Oct 2018Dec 20183 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv6.78%15.35%33.35%-37.04%-50.89%0.380.531.00

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.37%33.35%-37.04%
3 years6.59%20.34%-14.31%
5 years6.46%18.72%-1.76%
7 years6.66%15.00%-0.73%
10 years5.96%13.13%-0.66%
15 years6.58%10.30%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods