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 Assets 
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Asset 5
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Asset 6
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Portfolio Analysis Results (Feb 2006 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFIIX Vanguard GNMA Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
CASHX Cash 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$17,330 4.03% 2.62%7.69%-2.23%-4.00% 1.082.01-0.12
Portfolio 2$10,000$11,747 1.16% 0.46%4.56%0.03%0.00%N/AN/A-0.06
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.43%5.83%2.83%2.33%3.27%4.03%2.05%2.00%
Portfolio 20.41%2.13%1.64%1.05%0.56%1.16%0.18%0.25%
Trailing annualized return and volatility are for full months ending in December 2019 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 2006 are based on monthly returns 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 (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
YearInflationPortfolio 1Portfolio 2Vanguard GNMA Inv (VFIIX)Cash (CASHX)
ReturnBalanceReturnBalance
20061.77%4.00%$10,4004.47%$10,4474.00%4.47%
20074.08%7.01%$11,1284.56%$10,9247.01%4.56%
20080.09%7.22%$11,9321.53%$11,0917.22%1.53%
20092.72%5.29%$12,5630.16%$11,1085.29%0.16%
20101.50%6.95%$13,4360.14%$11,1246.95%0.14%
20112.96%7.69%$14,4690.07%$11,1317.69%0.07%
20121.74%2.35%$14,8090.08%$11,1402.35%0.08%
20131.50%-2.23%$14,4790.05%$11,146-2.23%0.05%
20140.76%6.65%$15,4420.03%$11,1506.65%0.03%
20150.73%1.33%$15,6480.05%$11,1561.33%0.05%
20162.07%1.85%$15,9370.30%$11,1891.85%0.30%
20172.11%1.87%$16,2340.88%$11,2871.87%0.88%
20181.91%0.87%$16,3761.90%$11,5020.87%1.90%
20192.29%5.83%$17,3302.13%$11,7475.83%2.13%
Annual return for 2006 is from 02/01/2006 to 12/31/2006
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard GNMA Inv (VFIIX)Cash (CASHX)
ReturnBalanceReturnBalance
200620.22%$10,0220.37%$10,0370.22%0.37%
20063-0.65%$9,9570.38%$10,075-0.65%0.38%
20064-0.37%$9,9210.38%$10,113-0.37%0.38%
20065-0.27%$9,8940.39%$10,152-0.27%0.39%
20066-0.07%$9,8880.40%$10,193-0.07%0.40%
200671.34%$10,0200.41%$10,2351.34%0.41%
200681.63%$10,1830.42%$10,2771.63%0.42%
200690.63%$10,2470.41%$10,3200.63%0.41%
2006100.63%$10,3110.40%$10,3610.63%0.40%
2006110.92%$10,4060.42%$10,4040.92%0.42%
200612-0.06%$10,4000.41%$10,447-0.06%0.41%
20071-0.06%$10,3940.41%$10,490-0.06%0.41%
200721.22%$10,5210.42%$10,5341.22%0.42%
200730.14%$10,5360.42%$10,5780.14%0.42%
200740.43%$10,5810.41%$10,6220.43%0.41%
20075-0.55%$10,5240.40%$10,665-0.55%0.40%
20076-0.55%$10,4660.39%$10,706-0.55%0.39%
200770.84%$10,5540.39%$10,7480.84%0.39%
200781.24%$10,6850.40%$10,7911.24%0.40%
200790.84%$10,7740.33%$10,8270.84%0.33%
2007101.03%$10,8850.31%$10,8611.03%0.31%
2007112.20%$11,1240.32%$10,8962.20%0.32%
2007120.04%$11,1280.26%$10,9240.04%0.26%
200811.39%$11,2830.28%$10,9541.39%0.28%
200820.61%$11,3520.16%$10,9710.61%0.16%
200830.21%$11,3760.15%$10,9880.21%0.15%
20084-0.18%$11,3560.11%$11,000-0.18%0.11%
20085-0.65%$11,2820.12%$11,013-0.65%0.12%
200860.03%$11,2860.15%$11,0300.03%0.15%
200870.04%$11,2910.16%$11,0480.04%0.16%
200881.02%$11,4050.14%$11,0631.02%0.14%
200890.62%$11,4760.14%$11,0790.62%0.14%
200810-1.53%$11,3010.08%$11,087-1.53%0.08%
2008113.77%$11,7270.04%$11,0913.77%0.04%
2008121.74%$11,9320.00%$11,0911.74%0.00%
20091-0.09%$11,9210.01%$11,092-0.09%0.01%
200920.47%$11,9770.02%$11,0940.47%0.02%
200931.60%$12,1680.02%$11,0971.60%0.02%
200940.36%$12,2120.02%$11,0990.36%0.02%
200950.17%$12,2330.01%$11,1000.17%0.01%
20096-0.03%$12,2290.01%$11,101-0.03%0.01%
200971.00%$12,3520.02%$11,1031.00%0.02%
200980.52%$12,4160.02%$11,1050.52%0.02%
200990.77%$12,5110.01%$11,1060.77%0.01%
2009100.55%$12,5800.01%$11,1070.55%0.01%
2009111.37%$12,7520.00%$11,1081.37%0.00%
200912-1.49%$12,5630.01%$11,108-1.49%0.01%
201011.36%$12,7330.01%$11,1091.36%0.01%
201020.34%$12,7760.01%$11,1100.34%0.01%
201030.24%$12,8060.01%$11,1110.24%0.01%
201040.66%$12,8910.01%$11,1120.66%0.01%
201051.38%$13,0690.01%$11,1141.38%0.01%
201061.35%$13,2450.01%$11,1151.35%0.01%
201070.99%$13,3760.02%$11,1170.99%0.02%
201080.39%$13,4290.01%$11,1180.39%0.01%
20109-0.33%$13,3840.01%$11,120-0.33%0.01%
2010101.11%$13,5320.01%$11,1211.11%0.01%
201011-0.10%$13,5190.01%$11,122-0.10%0.01%
201012-0.62%$13,4360.01%$11,124-0.62%0.01%
201110.18%$13,4600.01%$11,1250.18%0.01%
201120.26%$13,4950.01%$11,1260.26%0.01%
201130.17%$13,5180.01%$11,1280.17%0.01%
201141.38%$13,7050.01%$11,1291.38%0.01%
201151.28%$13,8800.00%$11,1291.28%0.00%
201160.00%$13,8800.01%$11,1290.00%0.01%
201171.10%$14,0330.00%$11,1301.10%0.00%
201181.64%$14,2640.01%$11,1311.64%0.01%
201190.28%$14,3040.00%$11,1310.28%0.00%
2011100.10%$14,3180.00%$11,1310.10%0.00%
2011110.44%$14,3810.00%$11,1310.44%0.00%
2011120.61%$14,4690.00%$11,1310.61%0.00%
201210.43%$14,5310.00%$11,1310.43%0.00%
20122-0.11%$14,5140.01%$11,132-0.11%0.01%
201230.14%$14,5350.01%$11,1330.14%0.01%
201240.59%$14,6200.01%$11,1330.59%0.01%
201250.41%$14,6800.01%$11,1340.41%0.01%
201260.07%$14,6900.01%$11,1350.07%0.01%
201270.68%$14,7910.01%$11,1360.68%0.01%
201280.21%$14,8220.01%$11,1370.21%0.01%
201290.29%$14,8660.01%$11,1380.29%0.01%
201210-0.52%$14,7890.01%$11,139-0.52%0.01%
2012110.01%$14,7910.01%$11,1400.01%0.01%
2012120.12%$14,8090.01%$11,1400.12%0.01%
20131-0.56%$14,7260.00%$11,141-0.56%0.00%
201320.46%$14,7940.01%$11,1410.46%0.01%
201330.17%$14,8200.01%$11,1420.17%0.01%
201340.64%$14,9150.01%$11,1430.64%0.01%
20135-2.39%$14,5580.00%$11,144-2.39%0.00%
20136-1.05%$14,4060.00%$11,144-1.05%0.00%
20137-0.30%$14,3620.00%$11,144-0.30%0.00%
20138-0.30%$14,3190.00%$11,145-0.30%0.00%
201391.73%$14,5660.00%$11,1451.73%0.00%
2013100.77%$14,6790.00%$11,1450.77%0.00%
201311-0.64%$14,5850.00%$11,145-0.64%0.00%
201312-0.73%$14,4790.01%$11,146-0.73%0.01%
201412.05%$14,7760.01%$11,1472.05%0.01%
201420.32%$14,8230.00%$11,1470.32%0.00%
20143-0.34%$14,7730.00%$11,147-0.34%0.00%
201440.90%$14,9060.00%$11,1480.90%0.00%
201451.07%$15,0650.00%$11,1481.07%0.00%
201460.40%$15,1250.00%$11,1480.40%0.00%
20147-0.52%$15,0460.00%$11,149-0.52%0.00%
201481.06%$15,2050.00%$11,1491.06%0.00%
20149-0.25%$15,1670.00%$11,149-0.25%0.00%
2014101.06%$15,3270.00%$11,1501.06%0.00%
2014110.57%$15,4150.00%$11,1500.57%0.00%
2014120.18%$15,4420.00%$11,1500.18%0.00%
201510.75%$15,5570.00%$11,1500.75%0.00%
20152-0.25%$15,5180.00%$11,150-0.25%0.00%
201530.51%$15,5970.00%$11,1510.51%0.00%
201540.18%$15,6260.00%$11,1510.18%0.00%
20155-0.20%$15,5950.00%$11,151-0.20%0.00%
20156-0.75%$15,4780.00%$11,151-0.75%0.00%
201570.56%$15,5640.00%$11,1510.56%0.00%
20158-0.09%$15,5510.01%$11,152-0.09%0.01%
201590.67%$15,6550.01%$11,1530.67%0.01%
201510-0.08%$15,6420.00%$11,153-0.08%0.00%
2015110.01%$15,6450.01%$11,1530.01%0.01%
2015120.02%$15,6480.02%$11,1560.02%0.02%
201611.24%$15,8420.01%$11,1571.24%0.01%
201620.31%$15,8900.03%$11,1600.31%0.03%
201630.33%$15,9430.03%$11,1630.33%0.03%
201640.20%$15,9750.02%$11,1650.20%0.02%
201650.19%$16,0060.02%$11,1670.19%0.02%
201660.74%$16,1240.03%$11,1700.74%0.03%
201670.25%$16,1640.02%$11,1730.25%0.02%
201680.08%$16,1770.02%$11,1750.08%0.02%
201690.36%$16,2360.03%$11,1780.36%0.03%
201610-0.20%$16,2030.02%$11,181-0.20%0.02%
201611-1.67%$15,9320.03%$11,184-1.67%0.03%
2016120.03%$15,9370.04%$11,1890.03%0.04%
20171-0.11%$15,9190.04%$11,193-0.11%0.04%
201720.49%$15,9970.04%$11,1980.49%0.04%
20173-0.07%$15,9860.04%$11,203-0.07%0.04%
201740.50%$16,0660.06%$11,2100.50%0.06%
201750.70%$16,1780.07%$11,2170.70%0.07%
20176-0.43%$16,1080.08%$11,226-0.43%0.08%
201770.41%$16,1750.08%$11,2360.41%0.08%
201780.51%$16,2570.09%$11,2460.51%0.09%
20179-0.15%$16,2320.08%$11,255-0.15%0.08%
2017100.04%$16,2380.09%$11,2650.04%0.09%
201711-0.25%$16,1980.09%$11,275-0.25%0.09%
2017120.22%$16,2340.10%$11,2870.22%0.10%
20181-1.11%$16,0540.11%$11,300-1.11%0.11%
20182-0.64%$15,9520.12%$11,314-0.64%0.12%
201830.63%$16,0520.14%$11,3290.63%0.14%
20184-0.44%$15,9810.14%$11,345-0.44%0.14%
201850.73%$16,0980.15%$11,3630.73%0.15%
201860.05%$16,1060.16%$11,3810.05%0.16%
20187-0.05%$16,0970.16%$11,399-0.05%0.16%
201880.44%$16,1680.17%$11,4170.44%0.17%
20189-0.55%$16,0790.17%$11,437-0.55%0.17%
201810-0.65%$15,9740.18%$11,458-0.65%0.18%
2018110.85%$16,1110.19%$11,4800.85%0.19%
2018121.64%$16,3760.19%$11,5021.64%0.19%
201910.83%$16,5120.20%$11,5250.83%0.20%
20192-0.04%$16,5060.20%$11,548-0.04%0.20%
201931.13%$16,6920.20%$11,5711.13%0.20%
20194-0.04%$16,6860.20%$11,594-0.04%0.20%
201951.21%$16,8890.20%$11,6171.21%0.20%
201960.74%$17,0130.19%$11,6390.74%0.19%
201970.33%$17,0690.17%$11,6600.33%0.17%
201981.08%$17,2530.17%$11,6791.08%0.17%
201990.02%$17,2570.16%$11,6980.02%0.16%
2019100.30%$17,3090.15%$11,7160.30%0.15%
2019110.10%$17,3270.13%$11,7310.10%0.13%
2019120.02%$17,3300.13%$11,7470.02%0.13%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VFIIXVanguard GNMA InvIntermediate Government100.00%0.76%0.21%2.94$7,330100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
CASHXCashCash100.00%0.01%$1,747100.00%

Asset Allocation

Fund fundamentals data as of 06/18/2021. (c) 2021 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)0.33%0.10%
Arithmetic Mean (annualized)4.07%1.16%
Geometric Mean (monthly)0.33%0.10%
Geometric Mean (annualized)4.03%1.16%
Volatility (monthly)0.76%0.13%
Volatility (annualized)2.62%0.46%
Downside Deviation (monthly)0.36%0.00%
Max. Drawdown-4.00%0.00%
US Market Correlation-0.12-0.06
Beta(*)-0.02-0.00
Alpha (annualized)4.20%1.18%
R21.42%0.32%
Sharpe Ratio1.08N/A
Sortino Ratio2.01N/A
Treynor Ratio (%)-132.55-0.00
Calmar Ratio1.51N/A
Active Return-4.98%-7.85%
Tracking Error15.16%14.65%
Information Ratio-0.33-0.54
Skewness0.291.41
Excess Kurtosis2.870.70
Historical Value-at-Risk (5%)-0.65%0.00%
Analytical Value-at-Risk (5%)-0.91%-0.12%
Conditional Value-at-Risk (5%)-1.26%0.00%
Upside Capture Ratio (%)7.652.86
Downside Capture Ratio (%)-13.32-2.51
Safe Withdrawal Rate8.72%6.89%
Perpetual Withdrawal Rate2.05%0.00%
Positive Periods118 out of 167 (70.66%)167 out of 167 (100.00%)
Gain/Loss Ratio1.42N/A
* 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 2009-1.53%0.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsMay 20149 months1 year 1 month-4.00%
2Oct 2016Jan 20174 monthsAug 20177 months11 months-1.95%
3Sep 2017Feb 20186 monthsDec 201810 months1 year 4 months-1.88%
4Oct 2008Oct 20081 monthNov 20081 month2 months-1.53%
5Dec 2009Dec 20091 monthFeb 20102 months3 months-1.49%
6Mar 2006Jun 20064 monthsAug 20062 months6 months-1.34%
7May 2007Jun 20072 monthsAug 20072 months4 months-1.09%
8May 2015Jun 20152 monthsSep 20153 months5 months-0.94%
9Oct 2012Jan 20134 monthsApr 20133 months7 months-0.94%
10Apr 2008May 20082 monthsAug 20083 months5 months-0.83%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
--------

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFIIXVanguard GNMA Inv4.03%2.62%7.69%-2.23%-4.00%1.082.01-0.12
CASHXCash1.16%0.46%4.56%0.03%0.00%N/AN/A-0.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFIIXCASHXPortfolio 1Portfolio 2
VFIIXVanguard GNMA Inv1.000.071.000.07
CASHXCash0.071.000.071.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFIIXVanguard GNMA Inv$7,330
CASHXCash$1,747

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFIIXVanguard GNMA Inv100.00%
CASHXCash100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.12%11.32%-3.40%1.02%5.04%0.02%
3 years3.96%8.22%0.70%0.64%3.52%0.04%
5 years3.88%7.02%1.39%0.49%2.15%0.06%
7 years3.70%6.00%1.58%0.45%1.56%0.08%
10 years3.92%5.01%3.11%0.54%1.10%0.31%