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 2004 - Dec 2014)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 85.00%
VBTLX Vanguard Total Bond Market Index Adm 15.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 70.00%
VBTLX Vanguard Total Bond Market Index Adm 30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$234,988 8.08% 12.53%27.55%-31.65%-44.50% 0.570.821.00
Portfolio 2$100,000$223,701 7.59% 10.37%22.08%-25.99%-37.46% 0.620.901.00
   
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
  • The backtested results include monthly 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 Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20043.26%11.38%10.15%$111,383$110,14912.61%4.33%
20053.42%5.60%5.09%$117,617$115,7556.09%2.49%
20062.54%13.90%12.18%$133,964$129,85815.63%4.36%
20074.08%5.86%6.13%$141,819$137,8205.57%7.02%
20080.09%-31.65%-25.99%$96,930$102,003-36.99%5.15%
20092.72%25.47%22.08%$121,615$124,52128.83%6.04%
20101.50%15.91%14.47%$140,965$142,53517.26%6.54%
20112.96%2.24%3.34%$144,121$147,2961.08%7.69%
20121.74%14.56%12.73%$165,108$166,05216.38%4.15%
20131.50%27.55%21.81%$210,601$202,27233.52%-2.15%
20140.76%11.58%10.59%$234,988$223,70112.56%5.89%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200412.03%1.82%$102,028$101,8232.23%0.87%
200421.40%1.34%$103,459$103,1871.47%1.04%
20043-0.80%-0.52%$102,627$102,650-1.09%0.80%
20044-2.18%-2.26%$100,388$100,333-2.11%-2.61%
200451.11%0.84%$101,505$101,1791.38%-0.42%
200461.84%1.62%$103,376$102,8162.07%0.57%
20047-3.09%-2.37%$100,186$100,379-3.80%0.97%
200480.56%0.80%$100,743$101,1840.31%1.95%
200491.52%1.28%$102,279$102,4841.76%0.17%
2004101.59%1.46%$103,900$103,9771.71%0.85%
2004113.86%3.04%$107,910$107,1354.68%-0.80%
2004123.22%2.81%$111,383$110,1493.62%0.92%
20051-2.18%-1.67%$108,959$108,304-2.68%0.66%
200521.70%1.29%$110,810$109,7002.11%-0.62%
20053-1.57%-1.38%$109,071$108,189-1.76%-0.48%
20054-1.77%-1.22%$107,140$106,872-2.32%1.36%
200553.36%2.96%$110,743$110,0313.77%1.06%
200560.80%0.75%$111,623$110,8600.84%0.56%
200573.39%2.63%$115,403$113,7784.14%-0.89%
20058-0.61%-0.28%$114,697$113,458-0.94%1.26%
200590.56%0.27%$115,337$113,7610.85%-1.09%
200510-1.70%-1.55%$113,371$112,003-1.86%-0.80%
2005113.48%2.95%$117,314$115,3074.01%0.49%
2005120.26%0.39%$117,617$115,7550.13%1.00%
200612.96%2.42%$121,098$118,5573.50%-0.10%
200620.08%0.14%$121,201$118,7190.03%0.38%
200631.37%0.96%$122,867$119,8561.79%-0.99%
200640.91%0.72%$123,991$120,7171.11%-0.20%
20065-2.76%-2.29%$120,566$117,952-3.23%-0.09%
200660.19%0.17%$120,792$118,1580.20%0.11%
200670.12%0.34%$120,938$118,557-0.10%1.35%
200682.21%2.11%$123,614$121,0632.31%1.65%
200692.04%1.83%$126,140$123,2752.26%0.82%
2006103.14%2.71%$130,097$126,6173.56%0.73%
2006112.07%1.90%$132,784$129,0202.23%1.12%
2006120.89%0.65%$133,964$129,8581.13%-0.47%
200711.58%1.29%$136,086$131,5351.88%-0.07%
20072-1.14%-0.68%$134,530$130,647-1.61%1.51%
200730.96%0.80%$135,823$131,6881.13%0.03%
200743.51%2.98%$140,592$135,6174.04%0.52%
200753.02%2.35%$144,836$138,8043.69%-0.77%
20076-1.48%-1.29%$142,691$137,018-1.68%-0.38%
20077-2.75%-2.11%$138,769$134,121-3.38%0.85%
200781.44%1.42%$140,762$136,0271.45%1.35%
200793.18%2.75%$145,237$139,7633.61%0.73%
2007101.69%1.56%$147,690$141,9371.82%0.93%
200711-3.50%-2.55%$142,515$138,322-4.46%1.92%
200712-0.49%-0.36%$141,819$137,820-0.61%0.22%
20081-4.91%-3.75%$134,850$132,656-6.08%1.70%
20082-2.56%-2.07%$131,404$129,910-3.04%0.20%
20083-0.46%-0.32%$130,803$129,490-0.59%0.30%
200844.22%3.43%$136,328$133,9285.02%-0.29%
200851.69%1.25%$138,628$135,6042.12%-0.78%
20086-6.97%-5.74%$128,967$127,822-8.20%0.00%
20087-0.65%-0.54%$128,126$127,137-0.77%0.01%
200881.48%1.34%$130,019$128,8431.61%0.71%
20089-8.05%-6.82%$119,553$120,053-9.28%-1.10%
200810-15.36%-13.10%$101,186$104,328-17.63%-2.53%
200811-6.13%-4.41%$94,980$99,730-7.86%3.65%
2008122.05%2.28%$96,930$102,0031.83%3.33%
20091-7.12%-5.99%$90,027$95,896-8.26%-0.69%
20092-8.95%-7.44%$81,974$88,761-10.45%-0.42%
200937.65%6.56%$88,241$94,5838.73%1.49%
200949.06%7.53%$96,240$101,70410.60%0.36%
200954.66%3.99%$100,723$105,7605.33%0.86%
200960.39%0.42%$101,119$106,2030.37%0.55%
200976.90%5.94%$108,098$112,5097.87%1.44%
200983.24%2.85%$111,596$115,7113.63%1.02%
200993.79%3.34%$115,830$119,5714.25%1.20%
200910-2.15%-1.70%$113,338$117,542-2.61%0.42%
2009115.02%4.38%$119,029$122,6865.66%1.37%
2009122.17%1.50%$121,615$124,5212.85%-1.67%
20101-2.70%-1.95%$118,326$122,095-3.46%1.58%
201022.89%2.41%$121,740$125,0403.36%0.20%
201035.31%4.36%$128,206$130,4956.26%-0.07%
201042.04%1.87%$130,818$132,9302.21%1.07%
20105-6.67%-5.33%$122,097$125,839-8.00%0.88%
20106-4.58%-3.49%$116,507$121,454-5.67%1.62%
201076.12%5.21%$123,638$127,7787.03%0.95%
20108-3.81%-2.88%$118,926$124,104-4.75%1.49%
201098.07%6.65%$128,526$132,3539.50%-0.00%
2010103.41%2.87%$132,902$136,1513.94%0.37%
2010110.41%0.24%$133,441$136,4720.58%-0.56%
2010125.64%4.44%$140,965$142,5356.83%-1.14%
201111.87%1.56%$143,603$144,7552.19%0.09%
201123.11%2.59%$148,067$148,5043.63%0.17%
201130.38%0.31%$148,629$148,9700.45%0.00%
201142.74%2.49%$152,703$152,6812.99%1.33%
20115-0.79%-0.42%$151,496$152,041-1.16%1.31%
20116-1.57%-1.36%$149,110$149,967-1.79%-0.38%
20117-1.65%-1.08%$146,647$148,347-2.22%1.58%
20118-4.90%-3.77%$139,466$142,750-6.02%1.47%
20119-6.45%-5.16%$130,466$135,391-7.75%0.90%
2011109.84%8.13%$143,299$146,39911.54%0.17%
201111-0.29%-0.29%$142,887$145,977-0.29%-0.29%
2011120.86%0.90%$144,121$147,2960.82%1.09%
201214.45%3.82%$150,535$152,9245.08%0.88%
201223.61%2.97%$155,974$157,4644.26%-0.04%
201232.52%1.98%$159,907$160,5753.07%-0.57%
20124-0.36%-0.09%$159,333$160,425-0.63%1.15%
20125-5.16%-4.08%$151,118$153,885-6.23%0.96%
201263.36%2.77%$156,188$158,1483.94%0.04%
201271.09%1.14%$157,885$159,9521.03%1.39%
201282.14%1.77%$161,263$162,7812.51%0.04%
201292.21%1.84%$164,822$165,7732.58%0.12%
201210-1.48%-1.19%$162,389$163,793-1.76%0.12%
2012110.66%0.58%$163,457$164,7370.74%0.20%
2012121.01%0.80%$165,108$166,0521.22%-0.19%
201314.57%3.64%$172,649$172,0925.50%-0.70%
201321.17%1.06%$174,665$173,9141.28%0.55%
201333.34%2.77%$180,496$178,7243.91%0.09%
201341.58%1.47%$183,355$181,3461.70%0.92%
201351.74%1.13%$186,544$183,4002.35%-1.70%
20136-1.30%-1.36%$184,112$180,899-1.24%-1.64%
201374.67%3.88%$192,710$187,9235.46%0.21%
20138-2.47%-2.15%$187,943$183,885-2.80%-0.63%
201393.26%2.86%$194,079$189,1443.67%0.97%
2013103.73%3.21%$201,312$195,2124.25%0.79%
2013112.40%1.91%$206,138$198,9492.88%-0.34%
2013122.16%1.67%$210,601$202,2722.66%-0.64%
20141-2.41%-1.71%$205,532$198,818-3.11%1.55%
201424.11%3.47%$213,986$205,7244.75%0.49%
201430.42%0.32%$214,891$206,3910.52%-0.14%
201440.17%0.28%$215,259$206,9670.06%0.78%
201452.00%1.84%$219,572$210,7682.17%1.06%
201462.20%1.83%$224,404$214,6332.57%0.12%
20147-1.72%-1.46%$220,547$211,502-1.98%-0.25%
201483.73%3.27%$228,763$218,4174.18%1.14%
20149-1.90%-1.69%$224,422$214,729-2.11%-0.71%
2014102.47%2.20%$229,968$219,4592.74%0.95%
2014112.16%1.90%$234,944$223,6272.43%0.66%
2014120.02%0.03%$234,988$223,7010.00%0.10%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value31.71%24.77%
Large-cap Growth37.91%32.65%
Mid-cap Value7.10%8.46%
Mid-cap Growth5.67%3.40%
Small-cap Value1.16%0.00%
Small-cap Growth1.88%1.53%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.64%0.84%
Corporate Bonds1.95%3.92%
Long-Term Treasuries0.00%0.13%
Intermediate-Term Treasuries4.64%9.25%
Short-Term Treasuries7.33%15.05%
R Squared99.87%99.81%
Style analysis is based on monthly returns from Apr 2005 to Dec 2014 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%85.00%$125,02699.76%
VBTLXVanguard Total Bond Market Index AdmIntermediate-Term Bond5.960.05%15.00%$9,9620.24%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%70.00%$103,77698.87%
VBTLXVanguard Total Bond Market Index AdmIntermediate-Term Bond5.960.05%30.00%$19,9251.13%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 1Portfolio 2
Arithmetic Mean (monthly)0.72%0.66%
Arithmetic Mean (annualized)8.93%8.18%
Geometric Mean (monthly)0.65%0.61%
Geometric Mean (annualized)8.08%7.59%
Volatility (monthly)3.62%2.99%
Volatility (annualized)12.53%10.37%
Downside Deviation (monthly)2.49%2.04%
Max. Drawdown-44.50%-37.46%
US Market Correlation1.001.00
Beta(*)0.850.70
Alpha (annualized)0.77%1.44%
R299.84%99.06%
Sharpe Ratio0.570.62
Sortino Ratio0.820.90
Treynor Ratio (%)8.459.25
Calmar Ratio3.223.59
Active Return-0.31%-0.80%
Tracking Error2.24%4.50%
Information Ratio-0.14-0.18
Skewness-0.91-0.97
Excess Kurtosis2.803.21
Historical Value-at-Risk (5%)-6.53%-5.22%
Analytical Value-at-Risk (5%)-5.21%-4.25%
Conditional Value-at-Risk (5%)-8.85%-7.40%
Upside Capture Ratio (%)85.9671.89
Downside Capture Ratio (%)83.8567.58
Safe Withdrawal Rate10.89%10.87%
Perpetual Withdrawal Rate5.41%4.99%
Positive Periods89 out of 132 (67.42%)89 out of 132 (67.42%)
Gain/Loss Ratio0.810.86
* 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 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-44.50%-37.46%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-44.50%
2May 2011Sep 20115 monthsFeb 20125 months10 months-14.56%
3Apr 2012May 20122 monthsAug 20123 months5 months-5.50%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-4.19%
5Jan 2005Apr 20054 monthsJun 20052 months6 months-3.81%
6Mar 2004Jul 20045 monthsOct 20043 months8 months-3.16%
7May 2006May 20061 monthSep 20064 months5 months-2.76%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.47%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.41%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-37.46%
2May 2011Sep 20115 monthsJan 20124 months9 months-11.32%
3Apr 2012May 20122 monthsAug 20123 months5 months-4.17%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-3.37%
5Jan 2005Apr 20054 monthsJun 20052 months6 months-2.98%
6Mar 2004Apr 20042 monthsOct 20046 months8 months-2.77%
7May 2006May 20061 monthAug 20063 months4 months-2.29%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.15%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-1.71%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.69%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm8.50%14.72%33.52%-36.99%-50.84%0.540.761.00
VBTLXVanguard Total Bond Market Index Adm4.65%3.33%7.69%-2.15%-3.94%0.951.640.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSAXVBTLXPortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm-0.021.001.00
VBTLXVanguard Total Bond Market Index Adm0.02-0.060.12

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm$125,026$103,776
VBTLXVanguard Total Bond Market Index Adm$9,962$19,925

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm99.76%98.87%
VBTLXVanguard Total Bond Market Index Adm0.24%1.13%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.31%27.55%-31.65%8.42%22.08%-25.99%
3 years7.32%17.70%-6.24%6.99%14.95%-4.13%
5 years5.75%16.79%-0.62%5.80%14.67%0.40%
7 years5.58%7.48%3.75%5.68%7.16%4.24%
10 years7.74%7.75%7.73%7.32%7.34%7.30%
Result statistics are based on annualized rolling returns over full calendar year periods