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 Analysis Results (Jul 2004 - Jan 2006)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury 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$10,311 1.95% 1.40%1.77%0.14%-0.66% -0.53-0.66-0.31
Portfolio 2$10,000$10,564 3.53% 3.81%3.60%-0.34%-1.93% 0.220.32-0.33
Portfolio 3$10,000$11,347 8.31% 7.23%7.40%-0.90%-4.47% 0.761.24-0.34
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 10.94%1.86%1.95%
Portfolio 21.16%1.41%3.53%
Portfolio 31.99%2.98%8.31%
Trailing returns are for full months ending in January 2006 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 2004 are based on monthly returns from July to December
  • The annual results for 2006 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 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
YearInflationReturnBalanceVanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20040.32%1.18%3.60%7.40%$10,118$10,360$10,7401.18%3.60%7.40%
20053.42%1.77%2.32%6.61%$10,297$10,600$11,4501.77%2.32%6.61%
20060.76%0.14%-0.34%-0.90%$10,311$10,564$11,3470.14%-0.34%-0.90%
Annual returns for 2004 and 2006 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200470.32%0.91%1.52%$10,032$10,091$10,1520.32%0.91%1.52%
200480.80%2.07%3.39%$10,112$10,300$10,4950.80%2.07%3.39%
200490.04%0.19%0.94%$10,116$10,320$10,5940.04%0.19%0.94%
2004100.33%0.91%1.46%$10,149$10,413$10,7480.33%0.91%1.46%
200411-0.63%-1.48%-2.25%$10,085$10,260$10,506-0.63%-1.48%-2.25%
2004120.33%0.97%2.22%$10,118$10,360$10,7400.33%0.97%2.22%
200510.04%0.56%2.59%$10,123$10,418$11,0190.04%0.56%2.59%
20052-0.36%-0.98%-1.24%$10,086$10,315$10,882-0.36%-0.98%-1.24%
20053-0.05%-0.51%-0.76%$10,081$10,263$10,800-0.05%-0.51%-0.76%
200540.72%1.75%3.22%$10,154$10,442$11,1480.72%1.75%3.22%
200550.44%1.20%2.55%$10,199$10,567$11,4320.44%1.20%2.55%
200560.24%0.55%1.64%$10,223$10,625$11,6200.24%0.55%1.64%
20057-0.41%-1.41%-2.58%$10,182$10,476$11,320-0.41%-1.41%-2.58%
200580.75%1.65%2.87%$10,258$10,648$11,6450.75%1.65%2.87%
20059-0.31%-1.14%-2.78%$10,226$10,527$11,322-0.31%-1.14%-2.78%
200510-0.11%-0.79%-1.74%$10,215$10,443$11,125-0.11%-0.79%-1.74%
2005110.39%0.48%0.57%$10,255$10,493$11,1890.39%0.48%0.57%
2005120.41%1.01%2.33%$10,297$10,600$11,4500.41%1.01%2.33%
200610.14%-0.34%-0.90%$10,311$10,564$11,3470.14%-0.34%-0.90%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VFISXVanguard Short-Term Treasury InvShort Government100.00%0.20%2.14$311100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government100.00%0.20%5.06$564100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government100.00%0.20%18.41$1,347100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.16%0.29%0.69%
Arithmetic Mean (annualized)1.96%3.60%8.57%
Geometric Mean (monthly)0.16%0.29%0.67%
Geometric Mean (annualized)1.95%3.53%8.31%
Volatility (monthly)0.40%1.10%2.09%
Volatility (annualized)1.40%3.81%7.23%
Downside Deviation (monthly)0.21%0.63%1.16%
Max. Drawdown-0.66%-1.93%-4.47%
US Market Correlation-0.31-0.33-0.34
Beta(*)-0.05-0.14-0.27
Alpha (annualized)2.49%5.13%11.29%
R29.85%11.18%11.34%
Sharpe Ratio-0.530.220.76
Sortino Ratio-0.660.321.24
Treynor Ratio (%)15.47-6.00-20.70
Active Return-9.53%-7.96%-3.18%
Tracking Error9.60%10.95%13.37%
Information Ratio-0.99-0.73-0.24
Skewness-0.25-0.21-0.41
Excess Kurtosis-0.58-1.12-1.33
Historical Value-at-Risk (5%)-0.63%-1.48%-2.78%
Analytical Value-at-Risk (5%)-0.50%-1.51%-2.75%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)4.115.8215.21
Downside Capture Ratio (%)-12.99-27.47-59.69
Safe Withdrawal Rate50.03%51.36%54.34%
Perpetual Withdrawal Rate0.00%0.53%4.02%
Positive Periods13 out of 19 (68.42%)12 out of 19 (63.16%)12 out of 19 (63.16%)
Gain/Loss Ratio1.221.081.21
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2004Mar 20055 monthsApr 20051 month6 months-0.66%
2Sep 2005Oct 20052 monthsDec 20052 months4 months-0.42%
3Jul 2005Jul 20051 monthAug 20051 month2 months-0.41%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2005Oct 20052 months-1.93%
2Feb 2005Mar 20052 monthsApr 20051 month3 months-1.49%
3Nov 2004Nov 20041 monthJan 20052 months3 months-1.48%
4Jul 2005Jul 20051 monthAug 20051 month2 months-1.41%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2005Oct 20052 months-4.47%
2Jul 2005Jul 20051 monthAug 20051 month2 months-2.58%
3Nov 2004Nov 20041 monthJan 20052 months3 months-2.25%
4Feb 2005Mar 20052 monthsApr 20051 month3 months-1.99%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFISXVanguard Short-Term Treasury Inv1.95%1.40%1.77%0.14%-0.66%-0.53-0.66-0.31
VFITXVanguard Interm-Term Treasury Inv3.53%3.81%3.60%-0.34%-1.93%0.220.32-0.33
VUSTXVanguard Long-Term Treasury Inv8.31%7.23%7.40%-0.90%-4.47%0.761.24-0.34

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFISXVFITXVUSTXPortfolio 1Portfolio 2Portfolio 3
VFISXVanguard Short-Term Treasury Inv1.000.970.891.000.970.89
VFITXVanguard Interm-Term Treasury Inv0.971.000.970.971.000.97
VUSTXVanguard Long-Term Treasury Inv0.890.971.000.890.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFISXVanguard Short-Term Treasury Inv$311
VFITXVanguard Interm-Term Treasury Inv$564
VUSTXVanguard Long-Term Treasury Inv$1,347

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFISXVanguard Short-Term Treasury Inv100.00%
VFITXVanguard Interm-Term Treasury Inv100.00%
VUSTXVanguard Long-Term Treasury Inv100.00%

Annual Asset Returns