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 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 (Feb 2006 - Dec 2010)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 120.00%
VUSTX Vanguard Long-Term Treasury Inv 180.00%
CASHX Cash -200.00%
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Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
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Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 60.00%
VUSTX Vanguard Long-Term Treasury Inv 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$17,189 11.65% 32.19%33.76%-7.11%-44.23% 0.440.680.55
Portfolio 2$10,000$10,869 1.71% 17.94%26.49%-37.02%-50.97% 0.060.081.00
Portfolio 3$10,000$12,604 4.82% 10.85%12.52%-13.21%-26.96% 0.290.390.87
   
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 2006 are based on full calendar months from February to December
  • 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 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 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20061.77%10.82%12.66%8.66%$11,082$11,266$10,86612.66%2.67%4.45%
20074.08%13.59%5.39%6.93%$12,588$11,873$11,6195.39%9.24%4.67%
20080.09%-7.11%-37.02%-13.21%$11,693$7,478$10,085-37.02%22.52%1.59%
20092.72%9.90%26.49%11.07%$12,850$9,458$11,20126.49%-12.05%0.09%
20101.50%33.76%14.91%12.52%$17,189$10,869$12,60414.91%8.93%0.10%
Annual returns for 2006 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200621.09%0.26%0.48%$10,109$10,026$10,0480.26%0.81%0.34%
20063-5.35%1.23%-0.63%$9,568$10,150$9,9851.23%-3.39%0.37%
20064-2.63%1.33%0.05%$9,316$10,285$9,9901.33%-1.96%0.36%
20065-4.79%-2.90%-1.80%$8,870$9,987$9,810-2.90%-0.03%0.43%
200660.62%0.13%0.35%$8,925$10,000$9,8450.13%0.71%0.40%
200673.43%0.61%1.09%$9,231$10,061$9,9520.61%1.84%0.40%
200687.27%2.36%2.51%$9,903$10,298$10,2022.36%2.74%0.42%
200695.14%2.56%2.17%$10,412$10,562$10,4242.56%1.58%0.41%
2006104.42%3.25%2.28%$10,872$10,906$10,6613.25%0.77%0.41%
2006114.62%1.89%1.90%$11,375$11,112$10,8631.89%1.91%0.42%
200612-2.57%1.39%0.03%$11,082$11,266$10,8661.39%-2.14%0.40%
20071-0.61%1.49%0.56%$11,014$11,434$10,9271.49%-0.85%0.44%
200722.07%-1.97%-0.04%$11,243$11,209$10,923-1.97%2.93%0.38%
20073-1.58%1.11%0.20%$11,065$11,334$10,9451.11%-1.13%0.43%
200745.96%4.42%2.99%$11,725$11,835$11,2724.42%0.86%0.44%
200750.02%3.48%1.36%$11,727$12,246$11,4253.48%-1.93%0.41%
20076-4.28%-1.68%-1.38%$11,225$12,041$11,268-1.68%-0.88%0.40%
20077-0.50%-3.08%-1.00%$11,169$11,669$11,155-3.08%2.39%0.40%
200784.48%1.50%1.69%$11,669$11,844$11,3431.50%1.97%0.42%
200794.12%3.72%2.33%$12,150$12,285$11,6083.72%0.21%0.32%
2007103.58%1.58%1.51%$12,585$12,479$11,7831.58%1.40%0.32%
2007112.07%-4.19%-0.79%$12,846$11,957$11,691-4.19%4.59%0.34%
200712-2.01%-0.70%-0.61%$12,588$11,873$11,619-0.70%-0.48%0.27%
20081-2.88%-6.02%-2.55%$12,225$11,159$11,323-6.02%2.64%0.21%
20082-3.37%-3.25%-1.73%$11,813$10,796$11,126-3.25%0.35%0.13%
200831.14%-0.44%0.19%$11,947$10,748$11,147-0.44%1.02%0.17%
200841.54%4.85%1.95%$12,131$11,270$11,3654.85%-1.84%0.18%
20085-2.89%1.29%-0.14%$11,780$11,416$11,3491.29%-2.13%0.18%
20086-7.27%-8.44%-4.25%$10,924$10,453$10,867-8.44%1.80%0.17%
20087-0.73%-0.83%-0.34%$10,844$10,366$10,830-0.83%0.30%0.15%
200885.26%1.45%1.60%$11,415$10,516$11,0041.45%1.80%0.13%
20089-10.10%-8.91%-4.87%$10,262$9,579$10,468-8.91%0.28%0.15%
200810-28.20%-16.79%-10.70%$7,368$7,970$9,347-16.79%-3.63%0.08%
20081127.00%-7.17%2.43%$9,357$7,399$9,575-7.17%12.07%0.03%
20081224.96%1.07%5.33%$11,693$7,478$10,0851.07%8.87%0.00%
20091-25.34%-8.41%-8.44%$8,730$6,848$9,234-8.41%-8.47%0.00%
20092-17.94%-10.66%-6.80%$7,163$6,119$8,606-10.66%-1.01%0.01%
2009327.99%8.76%7.28%$9,169$6,655$9,2328.76%5.27%0.02%
200942.07%9.56%3.50%$9,358$7,291$9,5559.56%-4.99%0.01%
200952.76%5.62%2.44%$9,616$7,700$9,7895.62%-2.68%0.00%
200961.66%0.22%0.40%$9,776$7,717$9,8280.22%0.70%0.01%
2009712.73%7.58%5.11%$11,020$8,302$10,3297.58%0.80%0.01%
200987.94%3.60%2.93%$11,895$8,601$10,6323.60%1.68%0.01%
200998.21%3.72%3.12%$12,872$8,921$10,9633.72%1.98%0.01%
200910-4.63%-1.87%-1.73%$12,276$8,754$10,774-1.87%-1.45%0.00%
20091110.99%5.98%4.59%$13,624$9,278$11,2685.98%1.91%0.00%
200912-5.68%1.95%-0.59%$12,850$9,458$11,2011.95%-5.66%0.01%
201010.47%-3.60%-1.10%$12,911$9,117$11,079-3.60%2.66%0.00%
201023.18%3.09%1.72%$13,321$9,399$11,2693.09%-0.21%0.00%
201034.21%6.01%2.95%$13,881$9,964$11,6016.01%-1.51%0.01%
201046.47%1.58%2.04%$14,779$10,122$11,8381.58%2.76%0.01%
20105-2.09%-8.01%-3.20%$14,470$9,311$11,459-8.01%4.23%0.01%
201062.55%-5.24%-1.05%$14,839$8,823$11,338-5.24%4.67%0.01%
201076.46%7.00%3.79%$15,797$9,441$11,7687.00%-0.17%0.01%
201087.27%-4.53%0.46%$16,946$9,013$11,822-4.53%7.08%0.01%
201094.71%8.92%4.00%$17,744$9,817$12,2958.92%-1.82%0.01%
201010-1.69%3.79%0.73%$17,445$10,189$12,3843.79%-3.29%0.01%
201011-2.45%0.00%-0.66%$17,018$10,189$12,3020.00%-1.60%0.01%
2010121.00%6.67%2.45%$17,189$10,869$12,6046.67%-3.58%0.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2Portfolio 3
Large-cap Value47.15%27.76%
Large-cap Growth52.39%31.68%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.23%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.74%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.46%23.75%
Intermediate-Term Treasuries0.00%15.84%
Short-Term Treasuries0.00%0.00%
R Squared99.90%99.45%
Style analysis is based on monthly returns from Feb 2006 to Dec 2010 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 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%100.00%$869100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%60.00%$1,13586.52%
VUSTXVanguard Long-Term Treasury InvLong Government17.890.20%40.00%$1,46913.48%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/04/2019. (c) 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 2Portfolio 3
Arithmetic Mean (monthly)1.35%0.28%0.44%
Arithmetic Mean (annualized)17.51%3.37%5.44%
Geometric Mean (monthly)0.92%0.14%0.39%
Geometric Mean (annualized)11.65%1.71%4.82%
Volatility (monthly)9.29%5.18%3.13%
Volatility (annualized)32.19%17.94%10.85%
Downside Deviation (monthly)5.97%3.88%2.28%
Max. Drawdown-44.23%-50.97%-26.96%
US Market Correlation0.551.000.87
Beta(*)0.960.970.51
Alpha (annualized)12.40%-0.53%3.27%
R230.77%99.52%75.69%
Sharpe Ratio0.440.060.29
Sortino Ratio0.680.080.39
Treynor Ratio (%)14.591.196.14
Calmar Ratio0.25-0.060.11
Active Return9.37%-0.57%2.54%
Tracking Error26.79%1.38%10.53%
Information Ratio0.35-0.410.24
Skewness-0.07-0.79-1.16
Excess Kurtosis3.821.062.84
Historical Value-at-Risk (5%)-17.94%-8.91%-6.80%
Analytical Value-at-Risk (5%)-12.02%-8.24%-4.81%
Conditional Value-at-Risk (5%)-26.77%-13.72%-9.57%
Upside Capture Ratio (%)107.7993.8053.46
Downside Capture Ratio (%)73.8796.9345.57
Safe Withdrawal Rate24.06%18.58%21.06%
Perpetual Withdrawal Rate8.45%0.00%2.59%
Positive Periods36 out of 59 (61.02%)37 out of 59 (62.71%)37 out of 59 (62.71%)
Gain/Loss Ratio1.000.650.88
* 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 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-44.23%-50.97%-26.96%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20097 months1 year 10 months-44.23%
2Mar 2006May 20063 monthsSep 20064 months7 months-12.25%
3Dec 2009Dec 20091 monthMar 20103 months4 months-5.68%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-4.76%
5Oct 2009Oct 20091 monthNov 20091 month2 months-4.63%
6Oct 2010Nov 20102 months-4.09%
7Dec 2006Jan 20072 monthsApr 20073 months5 months-3.17%
8May 2010May 20101 monthJun 20101 month2 months-2.09%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.97%
2Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
3May 2006May 20061 monthAug 20063 months4 months-2.90%
4Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-26.96%
2May 2010Jun 20102 monthsSep 20103 months5 months-4.22%
3Mar 2006May 20063 monthsAug 20063 months6 months-2.37%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-2.36%
5Nov 2010Nov 20101 monthDec 20101 month2 months-0.66%
6Feb 2007Feb 20071 monthMar 20071 month2 months-0.04%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor1.71%17.94%26.49%-37.02%-50.97%0.060.081.00
VUSTXVanguard Long-Term Treasury Inv5.75%11.56%22.52%-12.05%-12.05%0.350.59-0.18
CASHXCash2.20%0.61%4.67%0.09%0.00%0.330.61-0.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVUSTXCASHXPortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor--0.16-0.000.571.000.88
VUSTXVanguard Long-Term Treasury Inv-0.16--0.000.69-0.160.32
CASHXCash-0.00-0.00--0.09-0.00-0.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor$2,667$869$1,135
VUSTXVanguard Long-Term Treasury Inv$6,851$1,469
CASHXCash-$2,329

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor45.82%100.00%86.52%
VUSTXVanguard Long-Term Treasury Inv53.77%13.48%
CASHXCash0.40%

Annual Asset Returns