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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Apr 2005 - Mar 2009)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock Index Inv 45.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 30.00%
VFITX Vanguard Interm-Term Treasury Inv 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$500$23,098 160.71% -1.30%-11.46%13.46%17.42%-27.63%-41.04%
(-20.72%)
-0.28-0.330.94
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 yearFull
Portfolio 1-9.02%-30.33%-6.63%-1.30%
Trailing returns are for full months ending in March 2009 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 2005 are based on monthly returns from April to December
  • The annual results for 2009 are based on monthly returns from January to March
  • 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 (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
  • Inflation adjusted monthly contribution of $557 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentVanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Interm-Term Treasury Inv (VFITX)
20051.81%10.44%$5,946$5,09415.66%8.58%3.28%
20062.54%17.42%$14,547$6,97126.64%15.51%3.14%
20074.08%11.13%$23,582$7,17015.52%5.49%9.98%
20080.09%-27.63%$23,328$7,445-44.10%-37.04%13.32%
20091.18%-9.02%$23,098$1,833-12.97%-10.73%0.15%
Annual returns for 2005 and 2009 are based on partial years
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Interm-Term Treasury Inv (VFITX)
20054-1.19%$1,055-2.07%-2.32%1.75%
200551.46%$1,6300.08%3.77%1.20%
200560.96%$2,2061.30%0.81%0.55%
200572.51%$2,8253.68%4.11%-1.41%
200581.39%$3,4302.85%-0.94%1.65%
200592.12%$4,0754.73%0.86%-1.14%
200510-2.31%$4,555-3.37%-1.86%-0.79%
2005112.53%$5,2402.67%3.97%0.48%
2005122.65%$5,9465.14%0.14%1.01%
200614.06%$6,7586.87%3.50%-0.34%
20062-0.31%$7,310-0.72%0.00%0.09%
200631.76%$8,0143.17%1.80%-0.99%
200642.64%$8,8065.12%1.11%-0.37%
20065-3.08%$9,119-4.45%-3.23%0.02%
20066-0.11%$9,694-0.38%0.17%0.10%
200670.82%$10,3601.15%-0.13%1.35%
200682.25%$11,1812.53%2.31%1.62%
200691.00%$11,8770.25%2.27%0.94%
2006103.06%$12,8224.00%3.53%0.57%
2006112.69%$13,7473.73%2.23%1.12%
2006121.59%$14,5473.09%1.13%-0.98%
200710.93%$15,2660.96%1.88%-0.26%
20072-0.00%$15,8520.06%-1.61%1.86%
200731.60%$16,6972.80%1.11%0.03%
200743.12%$17,8133.92%4.01%0.57%
200752.24%$18,8113.09%3.69%-1.18%
20076-0.27%$19,3610.61%-1.67%-0.18%
20077-1.09%$19,749-1.06%-3.41%1.81%
200780.56%$20,460-0.72%1.45%1.97%
200794.12%$21,9036.38%3.59%0.46%
2007103.52%$23,2765.90%1.85%0.84%
200711-2.70%$23,252-4.57%-4.49%3.46%
200712-1.18%$23,582-2.28%-0.60%0.27%
20081-4.90%$23,036-8.55%-6.08%3.10%
20082-0.40%$23,5540.33%-3.07%1.35%
20083-0.22%$24,116-0.71%-0.58%0.93%
200843.38%$25,5525.85%5.02%-2.14%
200850.93%$26,4141.51%2.09%-1.32%
20086-6.23%$25,398-8.99%-8.19%0.77%
20087-1.60%$25,626-3.67%-0.77%0.77%
20088-1.42%$25,892-5.10%1.58%0.98%
20089-7.98%$24,456-13.09%-9.26%0.51%
200810-14.18%$21,613-22.09%-17.63%-1.36%
200811-2.41%$21,704-6.29%-7.90%5.58%
2008124.69%$23,3288.16%1.86%3.66%
20091-8.45%$21,964-11.96%-8.26%-2.39%
20092-7.44%$20,941-9.58%-10.45%-0.58%
200937.37%$23,0989.31%8.65%3.20%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value9.61%
Large-cap Growth17.96%
Mid-cap Value3.80%
Mid-cap Growth0.96%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets35.06%
Emerging Markets8.68%
Corporate Bonds0.50%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries17.24%
Short-Term Treasuries6.19%
R Squared99.81%
Style analysis is based on monthly returns from Apr 2005 to Mar 2009 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend45.00%0.17%17.63-$4,35365.70%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend30.00%0.14%26.42-$3,10833.07%
VFITXVanguard Interm-Term Treasury InvIntermediate Government25.00%0.20%5.06$1,5471.23%
100.00%0.17%21.145.06-$5,914100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 1
Arithmetic Mean (monthly)-0.03%
Arithmetic Mean (annualized)-0.39%
Geometric Mean (monthly)-0.11%
Geometric Mean (annualized)-1.30%
Volatility (monthly)3.88%
Volatility (annualized)13.46%
Downside Deviation (monthly)3.20%
Max. Drawdown-41.04%
US Market Correlation0.94
Beta(*)0.77
Alpha (annualized)4.26%
R289.17%
Sharpe Ratio-0.28
Sortino Ratio-0.33
Treynor Ratio (%)-4.77
Calmar Ratio-0.16
Active Return5.84%
Tracking Error5.77%
Information Ratio1.01
Skewness-1.45
Excess Kurtosis3.09
Historical Value-at-Risk (5%)-8.24%
Analytical Value-at-Risk (5%)-6.71%
Conditional Value-at-Risk (5%)-11.32%
Upside Capture Ratio (%)90.20
Downside Capture Ratio (%)70.78
Safe Withdrawal Rate28.38%
Perpetual Withdrawal Rate0.00%
Positive Periods27 out of 48 (56.25%)
Gain/Loss Ratio0.76
* 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 2009-41.04%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-41.04%
2May 2006Jun 20062 monthsSep 20063 months5 months-3.18%
3Oct 2005Oct 20051 monthNov 20051 month2 months-2.31%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-1.36%
5Apr 2005Apr 20051 monthMay 20051 month2 months-1.19%
6Feb 2006Feb 20061 monthMar 20061 month2 months-0.31%
7Feb 2007Feb 20071 monthMar 20071 month2 months-0.00%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGTSXVanguard Total Intl Stock Index Inv-4.75%20.82%26.64%-44.10%-58.50%-0.29-0.340.91
VTSMXVanguard Total Stock Mkt Idx Inv-7.14%16.41%15.51%-37.04%-50.89%-0.57-0.641.00
VFITXVanguard Interm-Term Treasury Inv7.38%5.38%13.32%0.15%-3.43%0.731.45-0.03

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGTSXVTSMXVFITXPortfolio 1
VGTSXVanguard Total Intl Stock Index Inv1.000.910.050.99
VTSMXVanguard Total Stock Mkt Idx Inv0.911.00-0.030.94
VFITXVanguard Interm-Term Treasury Inv0.05-0.031.000.13

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VGTSXVanguard Total Intl Stock Index Inv-$4,353
VTSMXVanguard Total Stock Mkt Idx Inv-$3,108
VFITXVanguard Interm-Term Treasury Inv$1,547

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VGTSXVanguard Total Intl Stock Index Inv65.70%
VTSMXVanguard Total Stock Mkt Idx Inv33.07%
VFITXVanguard Interm-Term Treasury Inv1.23%

Annual Asset Returns