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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Asset 5
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Asset 6
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Portfolio Analysis Results (Aug 2000 - Jan 2013)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,121 2.20% 15.96%28.50%-37.02%-50.97% 0.090.131.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.72%16.61%13.98%3.88%7.81%2.20%15.25%18.94%
Trailing annualized return and volatility are for full months ending in January 2013 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.
  • The annual results for 2000 are based on monthly returns from August to December
  • The annual results for 2013 are based on monthly returns from January to January
  • 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
  • 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 500 Index Investor (VFINX)
20000.69%-7.28%$9,272-7.28%
20011.55%-12.02%$8,157-12.02%
20022.38%-22.15%$6,351-22.15%
20031.88%28.50%$8,16128.50%
20043.26%10.74%$9,03710.74%
20053.42%4.77%$9,4694.77%
20062.54%15.64%$10,95015.64%
20074.08%5.39%$11,5405.39%
20080.09%-37.02%$7,268-37.02%
20092.72%26.49%$9,19226.49%
20101.50%14.91%$10,56314.91%
20112.96%1.97%$10,7711.97%
20121.74%15.82%$12,47515.82%
20130.30%5.18%$13,1215.18%
Annual return for 2000 is from 08/01/2000 to 12/31/2000 and annual return for 2013 is from 01/01/2013 to 01/31/2013
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)
200086.19%$10,6196.19%
20009-5.29%$10,057-5.29%
200010-0.43%$10,014-0.43%
200011-7.89%$9,224-7.89%
2000120.51%$9,2720.51%
200113.55%$9,6003.55%
20012-9.14%$8,723-9.14%
20013-6.36%$8,169-6.36%
200147.77%$8,8037.77%
200150.65%$8,8610.65%
20016-2.45%$8,644-2.45%
20017-1.00%$8,558-1.00%
20018-6.27%$8,021-6.27%
20019-8.09%$7,372-8.09%
2001101.90%$7,5111.90%
2001117.65%$8,0867.65%
2001120.87%$8,1570.87%
20021-1.47%$8,037-1.47%
20022-1.94%$7,881-1.94%
200233.74%$8,1763.74%
20024-6.07%$7,680-6.07%
20025-0.75%$7,622-0.75%
20026-7.13%$7,078-7.13%
20027-7.72%$6,532-7.72%
200280.65%$6,5740.65%
20029-10.87%$5,859-10.87%
2002108.78%$6,3748.78%
2002115.88%$6,7485.88%
200212-5.89%$6,351-5.89%
20031-2.62%$6,184-2.62%
20032-1.52%$6,090-1.52%
200330.96%$6,1480.96%
200348.25%$6,6568.25%
200355.26%$7,0065.26%
200361.26%$7,0941.26%
200371.74%$7,2181.74%
200381.93%$7,3581.93%
20039-1.07%$7,279-1.07%
2003105.64%$7,6895.64%
2003110.86%$7,7560.86%
2003125.22%$8,1615.22%
200411.82%$8,3091.82%
200421.38%$8,4241.38%
20043-1.51%$8,296-1.51%
20044-1.58%$8,165-1.58%
200451.36%$8,2761.36%
200461.93%$8,4361.93%
20047-3.31%$8,157-3.31%
200480.38%$8,1880.38%
200491.07%$8,2751.07%
2004101.51%$8,4011.51%
2004114.05%$8,7414.05%
2004123.39%$9,0373.39%
20051-2.45%$8,815-2.45%
200522.09%$9,0002.09%
20053-1.76%$8,842-1.76%
20054-1.91%$8,672-1.91%
200553.17%$8,9473.17%
200560.13%$8,9590.13%
200573.71%$9,2913.71%
20058-0.91%$9,206-0.91%
200590.79%$9,2790.79%
200510-1.68%$9,123-1.68%
2005113.76%$9,4673.76%
2005120.02%$9,4690.02%
200612.65%$9,7192.65%
200620.26%$9,7450.26%
200631.23%$9,8651.23%
200641.33%$9,9961.33%
20065-2.90%$9,707-2.90%
200660.13%$9,7190.13%
200670.61%$9,7780.61%
200682.36%$10,0092.36%
200692.56%$10,2652.56%
2006103.25%$10,5993.25%
2006111.89%$10,7991.89%
2006121.39%$10,9501.39%
200711.49%$11,1131.49%
20072-1.97%$10,894-1.97%
200731.11%$11,0151.11%
200744.42%$11,5024.42%
200753.48%$11,9023.48%
20076-1.68%$11,703-1.68%
20077-3.08%$11,342-3.08%
200781.50%$11,5111.50%
200793.72%$11,9403.72%
2007101.58%$12,1291.58%
200711-4.19%$11,621-4.19%
200712-0.70%$11,540-0.70%
20081-6.02%$10,845-6.02%
20082-3.25%$10,493-3.25%
20083-0.44%$10,447-0.44%
200844.85%$10,9544.85%
200851.29%$11,0951.29%
20086-8.44%$10,159-8.44%
20087-0.83%$10,074-0.83%
200881.45%$10,2201.45%
20089-8.91%$9,310-8.91%
200810-16.79%$7,747-16.79%
200811-7.17%$7,191-7.17%
2008121.07%$7,2681.07%
20091-8.41%$6,656-8.41%
20092-10.66%$5,947-10.66%
200938.76%$6,4688.76%
200949.56%$7,0869.56%
200955.62%$7,4845.62%
200960.22%$7,5000.22%
200977.58%$8,0697.58%
200983.60%$8,3593.60%
200993.72%$8,6703.72%
200910-1.87%$8,508-1.87%
2009115.98%$9,0175.98%
2009121.95%$9,1921.95%
20101-3.60%$8,861-3.60%
201023.09%$9,1353.09%
201036.01%$9,6846.01%
201041.58%$9,8371.58%
20105-8.01%$9,050-8.01%
20106-5.24%$8,576-5.24%
201077.00%$9,1767.00%
20108-4.53%$8,760-4.53%
201098.92%$9,5418.92%
2010103.79%$9,9033.79%
2010110.00%$9,9030.00%
2010126.67%$10,5636.67%
201112.36%$10,8122.36%
201123.42%$11,1823.42%
201130.03%$11,1850.03%
201142.95%$11,5142.95%
20115-1.15%$11,382-1.15%
20116-1.67%$11,192-1.67%
20117-2.05%$10,963-2.05%
20118-5.45%$10,366-5.45%
20119-7.04%$9,636-7.04%
20111010.91%$10,68710.91%
201111-0.23%$10,662-0.23%
2011121.02%$10,7711.02%
201214.46%$11,2524.46%
201224.31%$11,7364.31%
201233.28%$12,1223.28%
20124-0.64%$12,044-0.64%
20125-6.02%$11,319-6.02%
201264.11%$11,7844.11%
201271.37%$11,9461.37%
201282.24%$12,2132.24%
201292.58%$12,5282.58%
201210-1.86%$12,295-1.86%
2012110.56%$12,3640.56%
2012120.90%$12,4750.90%
201315.18%$13,1215.18%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value47.44%
Large-cap Growth52.14%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.07%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.36%
Short-Term Treasuries0.00%
R Squared99.90%
Style analysis is based on monthly returns from April 2005 to January 2013 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%1.20%0.14%28.87$3,121100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/11/2021. (c) 2021 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)0.29%
Arithmetic Mean (annualized)3.52%
Geometric Mean (monthly)0.18%
Geometric Mean (annualized)2.20%
Volatility (monthly)4.61%
Volatility (annualized)15.96%
Downside Deviation (monthly)3.36%
Max. Drawdown-50.97%
US Market Correlation1.00
Beta(*)0.96
Alpha (annualized)-0.72%
R299.05%
Sharpe Ratio0.09
Sortino Ratio0.13
Treynor Ratio (%)1.57
Calmar Ratio0.86
Active Return-0.82%
Tracking Error1.69%
Information Ratio-0.49
Skewness-0.57
Excess Kurtosis0.79
Historical Value-at-Risk (5%)-8.05%
Analytical Value-at-Risk (5%)-7.29%
Conditional Value-at-Risk (5%)-10.16%
Upside Capture Ratio (%)92.41
Downside Capture Ratio (%)96.51
Safe Withdrawal Rate6.12%
Perpetual Withdrawal Rate0.00%
Positive Periods91 out of 150 (60.67%)
Gain/Loss Ratio0.75
* 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
Subprime CrisisNov 2007Mar 2009-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
4Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
5Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor2.20%15.96%28.50%-37.02%-50.97%0.090.131.00

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year4.22%53.61%-43.32%
3 years3.91%25.43%-15.18%
5 years2.86%15.30%-6.73%
7 years3.03%6.71%-3.94%
10 years3.36%7.90%-1.91%