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 (Mar 2000 - Sep 2011)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,449 0.38% 16.72%31.35%-37.04%-50.89% -0.03-0.041.00
   
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 2000 are based on full calendar months from March to December
  • The annual results for 2011 are based on full calendar months from January to September
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)
20002.47%-8.99%$9,101-8.99%
20011.55%-10.97%$8,103-10.97%
20022.38%-20.96%$6,405-20.96%
20031.88%31.35%$8,41331.35%
20043.26%12.51%$9,46612.51%
20053.42%5.98%$10,0325.98%
20062.54%15.51%$11,58815.51%
20074.08%5.49%$12,2245.49%
20080.09%-37.04%$7,697-37.04%
20092.72%28.70%$9,90528.70%
20101.50%17.09%$11,59917.09%
20113.52%-9.91%$10,449-9.91%
Annual returns for 2000 and 2011 are based on partial years
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)
200035.69%$10,5695.69%
20004-5.21%$10,018-5.21%
20005-3.41%$9,677-3.41%
200064.42%$10,1054.42%
20007-1.95%$9,907-1.95%
200087.28%$10,6297.28%
20009-4.67%$10,132-4.67%
200010-2.04%$9,925-2.04%
200011-9.90%$8,942-9.90%
2000121.78%$9,1011.78%
200113.83%$9,4503.83%
20012-9.41%$8,560-9.41%
20013-6.72%$7,985-6.72%
200148.16%$8,6378.16%
200151.01%$8,7241.01%
20016-1.64%$8,581-1.64%
20017-1.71%$8,435-1.71%
20018-6.00%$7,928-6.00%
20019-9.00%$7,215-9.00%
2001102.52%$7,3972.52%
2001117.63%$7,9617.63%
2001121.78%$8,1031.78%
20021-1.24%$8,003-1.24%
20022-2.05%$7,839-2.05%
200234.38%$8,1824.38%
20024-4.90%$7,781-4.90%
20025-1.22%$7,686-1.22%
20026-7.06%$7,144-7.06%
20027-8.02%$6,571-8.02%
200280.53%$6,6050.53%
20029-10.07%$5,941-10.07%
2002107.65%$6,3957.65%
2002116.06%$6,7826.06%
200212-5.57%$6,405-5.57%
20031-2.54%$6,242-2.54%
20032-1.69%$6,137-1.69%
200331.09%$6,2031.09%
200348.21%$6,7138.21%
200356.11%$7,1236.11%
200361.43%$7,2251.43%
200372.36%$7,3952.36%
200382.39%$7,5722.39%
20039-1.15%$7,485-1.15%
2003106.12%$7,9436.12%
2003111.38%$8,0521.38%
2003124.48%$8,4134.48%
200412.23%$8,6012.23%
200421.43%$8,7241.43%
20043-1.07%$8,630-1.07%
20044-2.11%$8,448-2.11%
200451.35%$8,5621.35%
200462.09%$8,7412.09%
20047-3.80%$8,409-3.80%
200480.31%$8,4350.31%
200491.74%$8,5811.74%
2004101.68%$8,7251.68%
2004114.68%$9,1344.68%
2004123.63%$9,4663.63%
20051-2.68%$9,212-2.68%
200522.07%$9,4032.07%
20053-1.75%$9,239-1.75%
20054-2.32%$9,024-2.32%
200553.77%$9,3653.77%
200560.81%$9,4410.81%
200574.11%$9,8284.11%
20058-0.94%$9,735-0.94%
200590.86%$9,8190.86%
200510-1.86%$9,636-1.86%
2005113.97%$10,0183.97%
2005120.14%$10,0320.14%
200613.50%$10,3833.50%
200620.00%$10,3830.00%
200631.80%$10,5701.80%
200641.11%$10,6881.11%
20065-3.23%$10,342-3.23%
200660.17%$10,3600.17%
20067-0.13%$10,346-0.13%
200682.31%$10,5862.31%
200692.27%$10,8252.27%
2006103.53%$11,2083.53%
2006112.23%$11,4582.23%
2006121.13%$11,5881.13%
200711.88%$11,8061.88%
20072-1.61%$11,615-1.61%
200731.11%$11,7441.11%
200744.01%$12,2154.01%
200753.69%$12,6653.69%
20076-1.67%$12,454-1.67%
20077-3.41%$12,029-3.41%
200781.45%$12,2041.45%
200793.59%$12,6423.59%
2007101.85%$12,8761.85%
200711-4.49%$12,298-4.49%
200712-0.60%$12,224-0.60%
20081-6.08%$11,481-6.08%
20082-3.07%$11,128-3.07%
20083-0.58%$11,063-0.58%
200845.02%$11,6195.02%
200852.09%$11,8622.09%
20086-8.19%$10,890-8.19%
20087-0.77%$10,807-0.77%
200881.58%$10,9781.58%
20089-9.26%$9,961-9.26%
200810-17.63%$8,205-17.63%
200811-7.90%$7,556-7.90%
2008121.86%$7,6971.86%
20091-8.26%$7,061-8.26%
20092-10.45%$6,323-10.45%
200938.65%$6,8708.65%
2009410.61%$7,59910.61%
200955.38%$8,0085.38%
200960.34%$8,0350.34%
200977.82%$8,6647.82%
200983.63%$8,9783.63%
200994.23%$9,3574.23%
200910-2.57%$9,117-2.57%
2009115.63%$9,6305.63%
2009122.86%$9,9052.86%
20101-3.50%$9,559-3.50%
201023.36%$9,8803.36%
201036.27%$10,5006.27%
201042.17%$10,7282.17%
20105-8.00%$9,869-8.00%
20106-5.66%$9,311-5.66%
201076.99%$9,9626.99%
20108-4.75%$9,489-4.75%
201099.47%$10,3879.47%
2010103.94%$10,7973.94%
2010110.58%$10,8590.58%
2010126.81%$11,5996.81%
201112.19%$11,8522.19%
201123.60%$12,2783.60%
201130.45%$12,3340.45%
201142.99%$12,7032.99%
20115-1.16%$12,555-1.16%
20116-1.79%$12,331-1.79%
20117-2.28%$12,049-2.28%
20118-5.99%$11,327-5.99%
20119-7.75%$10,449-7.75%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value39.24%
Large-cap Growth41.93%
Mid-cap Value5.01%
Mid-cap Growth9.48%
Small-cap Value3.30%
Small-cap Growth0.31%
Global ex-US Developed Markets0.00%
Emerging Markets0.74%
REITs0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.90%
Style analysis is based on monthly returns from Apr 2005 to Sep 2011 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%100.00%$449100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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)0.15%
Arithmetic Mean (annualized)1.81%
Geometric Mean (monthly)0.03%
Geometric Mean (annualized)0.38%
Volatility (monthly)4.83%
Volatility (annualized)16.72%
Downside Deviation (monthly)3.59%
Max. Drawdown-50.89%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)-0.00%
R2100.00%
Sharpe Ratio-0.03
Sortino Ratio-0.04
Treynor Ratio (%)-0.51
Calmar Ratio0.04
Active Return-0.00%
Tracking Error0.00%
Information Ratio-0.41
Skewness-0.58
Excess Kurtosis0.59
Historical Value-at-Risk (5%)-9.00%
Analytical Value-at-Risk (5%)-7.79%
Conditional Value-at-Risk (5%)-11.12%
Upside Capture Ratio (%)100.00
Downside Capture Ratio (%)100.00
Safe Withdrawal Rate7.27%
Perpetual Withdrawal Rate0.00%
Positive Periods80 out of 139 (57.55%)
Gain/Loss Ratio0.78
* 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
Dotcom CrashMar 2000Oct 2002-44.11%
Subprime CrisisNov 2007Mar 2009-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
4Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
5May 2006May 20061 monthSep 20064 months5 months-3.23%
6Feb 2007Feb 20071 monthApr 20072 months3 months-1.61%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv0.38%16.72%31.35%-37.04%-50.89%-0.03-0.041.00

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year4.77%31.35%-37.04%
3 years2.97%16.13%-8.45%
5 years4.21%13.80%-1.76%
7 years3.67%6.43%-0.73%
10 years2.45%2.45%2.45%
Result statistics are based on annualized rolling returns over full calendar year periods