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 (Jan 2006 - Dec 2012)

Portfolio Allocations

Fidelity Asset Manager, FASMX
Ticker Name Allocation
FASMX Fidelity Asset Manager 50% 100.00%
Save portfolio »
50% Total Stock, 40% Total Bond, 10% cash
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 50.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
CASHX Cash 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Fidelity Asset Manager, FASMX$10,000$13,785 4.69% 11.03%30.94%-27.80%-34.82% 0.330.450.96
50% Total Stock, 40% Total Bond, 10% cash$10,000$14,149 5.08% 8.74%16.77%-18.24%-27.27% 0.430.600.99
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Fidelity Asset Manager, FASMX1.06%11.37%7.89%3.50%4.69%
50% Total Stock, 40% Total Bond, 10% cash0.13%9.74%8.33%3.95%5.08%
Trailing returns are for full months ending in December 2012 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.
  • 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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceFidelity Asset Manager 50% (FASMX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Cash (CASHX)
Fidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cashFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
20062.54%9.19%9.87%$10,919$10,9879.19%15.51%4.27%4.82%
20074.08%6.33%6.12%$11,610$11,6596.33%5.49%6.92%4.56%
20080.09%-27.80%-18.24%$8,382$9,532-27.80%-37.04%5.05%1.53%
20092.72%30.94%16.77%$10,976$11,13130.94%28.70%5.93%0.16%
20101.50%13.51%11.56%$12,459$12,41713.51%17.09%6.42%0.14%
20112.96%-0.65%3.83%$12,378$12,893-0.65%0.96%7.56%0.07%
20121.74%11.37%9.74%$13,785$14,14911.37%16.25%4.05%0.08%
Monthly returns for the configured portfolios
YearMonthReturnBalanceFidelity Asset Manager 50% (FASMX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Cash (CASHX)
Fidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cashFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
200611.62%1.74%$10,162$10,1741.62%3.50%-0.11%0.33%
200620.25%0.19%$10,187$10,1930.25%0.00%0.37%0.37%
200630.92%0.54%$10,280$10,2480.92%1.80%-1.00%0.38%
200640.06%0.51%$10,287$10,3000.06%1.11%-0.21%0.38%
20065-1.28%-1.62%$10,155$10,134-1.28%-3.23%-0.09%0.39%
20066-0.06%0.17%$10,149$10,151-0.06%0.17%0.10%0.40%
200670.06%0.51%$10,155$10,2030.06%-0.13%1.35%0.41%
200681.93%1.86%$10,351$10,3921.93%2.31%1.64%0.42%
200691.34%1.50%$10,490$10,5481.34%2.27%0.81%0.41%
2006101.88%2.09%$10,688$10,7691.88%3.53%0.72%0.40%
2006111.85%1.60%$10,885$10,9411.85%2.23%1.11%0.42%
2006120.31%0.42%$10,919$10,9870.31%1.13%-0.48%0.41%
200711.12%0.95%$11,041$11,0911.12%1.88%-0.08%0.41%
200720.31%-0.16%$11,075$11,0730.31%-1.61%1.50%0.42%
200730.73%0.61%$11,156$11,1400.73%1.11%0.02%0.42%
200742.29%2.25%$11,412$11,3912.29%4.01%0.51%0.41%
200751.67%1.57%$11,603$11,5701.67%3.69%-0.78%0.40%
20076-0.76%-0.95%$11,514$11,460-0.76%-1.67%-0.39%0.39%
20077-1.34%-1.33%$11,359$11,308-1.34%-3.41%0.84%0.39%
200780.54%1.30%$11,421$11,4550.54%1.45%1.34%0.40%
200792.89%2.12%$11,751$11,6982.89%3.59%0.72%0.33%
2007101.66%1.33%$11,946$11,8531.66%1.85%0.93%0.31%
200711-2.49%-1.45%$11,648$11,681-2.49%-4.49%1.91%0.32%
200712-0.33%-0.19%$11,610$11,659-0.33%-0.60%0.22%0.26%
20081-4.00%-2.34%$11,146$11,387-4.00%-6.08%1.69%0.28%
20082-1.21%-1.44%$11,011$11,222-1.21%-3.07%0.19%0.16%
20083-1.22%-0.16%$10,876$11,204-1.22%-0.58%0.30%0.15%
200843.17%2.40%$11,221$11,4743.17%5.02%-0.30%0.11%
200851.07%0.74%$11,342$11,5591.07%2.09%-0.79%0.12%
20086-4.58%-4.08%$10,822$11,087-4.58%-8.19%-0.01%0.15%
20087-1.59%-0.37%$10,650$11,046-1.59%-0.77%0.00%0.16%
200880.78%1.08%$10,733$11,1660.78%1.58%0.70%0.14%
20089-8.40%-5.06%$9,831$10,601-8.40%-9.26%-1.10%0.14%
200810-12.98%-9.82%$8,555$9,560-12.98%-17.63%-2.53%0.08%
200811-5.01%-2.49%$8,126$9,322-5.01%-7.90%3.64%0.04%
2008123.15%2.26%$8,382$9,5323.15%1.86%3.32%0.00%
20091-2.68%-4.41%$8,158$9,112-2.68%-8.26%-0.70%0.01%
20092-4.55%-5.39%$7,787$8,621-4.55%-10.45%-0.42%0.02%
200935.06%4.92%$8,181$9,0455.06%8.65%1.48%0.02%
200948.10%5.45%$8,844$9,5388.10%10.61%0.36%0.02%
200955.80%3.03%$9,357$9,8275.80%5.38%0.85%0.01%
200960.75%0.39%$9,427$9,8650.75%0.34%0.54%0.01%
200975.75%4.48%$9,969$10,3075.75%7.82%1.43%0.02%
200982.44%2.22%$10,212$10,5362.44%3.63%1.01%0.02%
200993.76%2.59%$10,596$10,8093.76%4.23%1.19%0.01%
200910-1.14%-1.12%$10,476$10,688-1.14%-2.57%0.41%0.01%
2009113.01%3.36%$10,791$11,0473.01%5.63%1.36%0.00%
2009121.71%0.76%$10,976$11,1311.71%2.86%-1.68%0.01%
20101-1.44%-1.12%$10,817$11,006-1.44%-3.50%1.57%0.01%
201021.25%1.76%$10,952$11,2001.25%3.36%0.20%0.01%
201033.76%3.10%$11,364$11,5483.76%6.27%-0.08%0.01%
201041.26%1.51%$11,507$11,7221.26%2.17%1.06%0.01%
20105-4.56%-3.65%$10,982$11,294-4.56%-8.00%0.87%0.01%
20106-1.81%-2.19%$10,784$11,047-1.81%-5.66%1.61%0.01%
201074.86%3.87%$11,308$11,4754.86%6.99%0.94%0.02%
20108-1.77%-1.78%$11,108$11,271-1.77%-4.75%1.48%0.01%
201095.69%4.73%$11,740$11,8045.69%9.47%-0.01%0.01%
2010102.43%2.12%$12,026$12,0542.43%3.94%0.36%0.01%
201011-0.47%0.06%$11,970$12,062-0.47%0.58%-0.57%0.01%
2010124.09%2.95%$12,459$12,4174.09%6.81%-1.15%0.01%
201111.23%1.13%$12,612$12,5571.23%2.19%0.08%0.01%
201121.73%1.87%$12,831$12,7911.73%3.60%0.16%0.01%
201130.13%0.22%$12,847$12,8200.13%0.45%-0.01%0.01%
201142.63%2.02%$13,184$13,0792.63%2.99%1.32%0.01%
20115-0.80%-0.06%$13,079$13,072-0.80%-1.16%1.30%0.00%
20116-1.24%-1.05%$12,917$12,934-1.24%-1.79%-0.39%0.01%
20117-0.22%-0.51%$12,888$12,868-0.22%-2.28%1.58%0.00%
20118-3.79%-2.41%$12,400$12,558-3.79%-5.99%1.46%0.01%
20119-4.93%-3.52%$11,789$12,116-4.93%-7.75%0.89%0.00%
2011106.12%5.82%$12,510$12,8216.12%11.51%0.16%0.00%
201111-1.24%-0.27%$12,354$12,787-1.24%-0.29%-0.30%0.00%
2011120.20%0.83%$12,378$12,8930.20%0.80%1.08%0.00%
201213.73%2.89%$12,840$13,2663.73%5.08%0.87%0.00%
201222.82%2.11%$13,202$13,5462.82%4.26%-0.05%0.01%
201230.56%1.30%$13,277$13,7220.56%3.07%-0.58%0.01%
20124-0.02%0.13%$13,274$13,740-0.02%-0.65%1.14%0.01%
20125-3.36%-2.74%$12,827$13,364-3.36%-6.24%0.95%0.01%
201262.06%1.97%$13,092$13,6272.06%3.91%0.04%0.01%
201271.27%1.07%$13,258$13,7731.27%1.03%1.39%0.01%
201281.38%1.25%$13,441$13,9451.38%2.48%0.03%0.01%
201291.48%1.33%$13,640$14,1311.48%2.58%0.11%0.01%
201210-0.50%-0.83%$13,572$14,014-0.50%-1.76%0.11%0.01%
2012110.68%0.45%$13,663$14,0760.68%0.74%0.19%0.01%
2012120.89%0.52%$13,785$14,1490.89%1.19%-0.20%0.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
Large-cap Value5.84%15.34%
Large-cap Growth27.32%26.09%
Mid-cap Value2.74%8.77%
Mid-cap Growth12.82%1.11%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets4.66%0.00%
Emerging Markets5.58%1.10%
Corporate Bonds14.46%5.04%
Long-Term Treasuries0.00%1.31%
Intermediate-Term Treasuries0.00%8.41%
Short-Term Treasuries26.58%32.83%
R Squared96.47%99.61%
Style analysis is based on monthly returns from Jan 2006 to Dec 2012 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 Fidelity Asset Manager, FASMX

Holdings Based Style Analysis for Fidelity Asset Manager, FASMX
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
FASMXFidelity Asset Manager 50%30% to 50% Equity100.00%0.66%20.004.25$3,785100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for 50% Total Stock, 40% Total Bond, 10% cash

Holdings Based Style Analysis for 50% Total Stock, 40% Total Bond, 10% cash
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend50.00%0.14%25.00$2,25597.25%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%0.15%6.56$1,7722.77%
CASHXCashCash10.00%0.00$122-0.02%
100.00%0.14%25.005.25$4,149100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/27/2020. (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
MetricFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
Arithmetic Mean (monthly)0.43%0.45%
Arithmetic Mean (annualized)5.33%5.48%
Geometric Mean (monthly)0.38%0.41%
Geometric Mean (annualized)4.69%5.08%
Volatility (monthly)3.19%2.52%
Volatility (annualized)11.03%8.74%
Downside Deviation (monthly)2.26%1.76%
Max. Drawdown-34.82%-27.27%
US Market Correlation0.960.99
Beta(*)0.620.50
Alpha (annualized)1.58%2.41%
R293.06%97.66%
Sharpe Ratio0.330.43
Sortino Ratio0.450.60
Treynor Ratio (%)5.847.48
Calmar Ratio0.751.13
Active Return0.24%0.63%
Tracking Error7.18%8.67%
Information Ratio0.030.07
Skewness-0.98-0.95
Excess Kurtosis3.422.67
Historical Value-at-Risk (5%)-4.84%-4.33%
Analytical Value-at-Risk (5%)-4.81%-3.68%
Conditional Value-at-Risk (5%)-7.83%-6.17%
Upside Capture Ratio (%)61.2652.38
Downside Capture Ratio (%)58.3145.98
Safe Withdrawal Rate14.71%15.23%
Perpetual Withdrawal Rate2.35%2.72%
Positive Periods53 out of 84 (63.10%)55 out of 84 (65.48%)
Gain/Loss Ratio0.850.84
* 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 PeriodStartEndFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
Subprime CrisisNov 2007Mar 2009-34.82%-27.27%

Drawdowns for Fidelity Asset Manager, FASMX

Drawdowns for Fidelity Asset Manager, FASMX
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-34.82%
2May 2011Sep 20115 monthsFeb 20125 months10 months-10.59%
3Apr 2012May 20122 monthsAug 20123 months5 months-3.38%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-2.10%
5May 2006Jun 20062 monthsAug 20062 months4 months-1.34%
6Oct 2012Oct 20121 monthNov 20121 month2 months-0.50%
7Nov 2010Nov 20101 monthDec 20101 month2 months-0.47%

Drawdowns for 50% Total Stock, 40% Total Bond, 10% cash

Drawdowns for 50% Total Stock, 40% Total Bond, 10% cash
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-27.27%
2May 2011Sep 20115 monthsJan 20124 months9 months-7.36%
3May 2012May 20121 monthJul 20122 months3 months-2.74%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-2.27%
5May 2006May 20061 monthAug 20063 months4 months-1.62%
6Oct 2012Oct 20121 monthDec 20122 months3 months-0.83%
7Feb 2007Feb 20071 monthMar 20071 month2 months-0.16%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FASMXFidelity Asset Manager 50%4.69%11.03%30.94%-27.80%-34.82%0.330.450.96
VTSMXVanguard Total Stock Mkt Idx Inv4.46%17.21%28.70%-37.04%-50.89%0.250.341.00
VBMFXVanguard Total Bond Market Index Inv5.74%3.35%7.56%4.05%-3.99%1.192.330.03
CASHXCash1.60%0.58%4.82%0.07%0.00%N/AN/A-0.03

Monthly Correlations

Correlations for the portfolio assets
TickerNameFASMXVTSMXVBMFXCASHXFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
FASMXFidelity Asset Manager 50%1.000.960.14-0.051.000.97
VTSMXVanguard Total Stock Mkt Idx Inv0.961.000.03-0.030.960.99
VBMFXVanguard Total Bond Market Index Inv0.140.031.00-0.040.140.18
CASHXCash-0.05-0.03-0.041.00-0.05-0.03

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
FASMXFidelity Asset Manager 50%$3,785
VTSMXVanguard Total Stock Mkt Idx Inv$2,255
VBMFXVanguard Total Bond Market Index Inv$1,772
CASHXCash$122

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
FASMXFidelity Asset Manager 50%100.00%
VTSMXVanguard Total Stock Mkt Idx Inv97.25%
VBMFXVanguard Total Bond Market Index Inv2.77%
CASHXCash-0.02%

Annual Asset Returns

Rolling returns summary
Roll PeriodFidelity Asset Manager, FASMX50% Total Stock, 40% Total Bond, 10% cash
AverageHighLowAverageHighLow
1 year6.13%30.94%-27.80%5.66%16.77%-18.24%
3 years3.72%13.88%-5.71%3.98%10.59%-1.58%
5 years3.51%4.50%2.54%3.87%4.42%3.25%
7 years4.69%4.69%4.69%5.08%5.08%5.08%
Result statistics are based on annualized rolling returns over full calendar year periods