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 (Nov 2011 - Dec 2017)

Portfolio Allocations

Vanguard Total Stock Mkt Idx Inv
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Schwab US Dividend Equity ETF
Ticker Name Allocation
SCHD Schwab US Dividend Equity ETF 100.00%
Save portfolio »
Vanguard Dividend Appreciation ETF
Ticker Name Allocation
VIG Vanguard Dividend Appreciation ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total Stock Mkt Idx Inv$1,000,000$2,393,334 15.20% 9.72%33.35%0.29%-8.88% 1.492.771.00
Schwab US Dividend Equity ETF$1,000,000$2,392,258 15.19% 8.87%32.89%-0.31%-9.49% 1.623.310.90
Vanguard Dividend Appreciation ETF$1,000,000$2,186,623 13.53% 8.95%28.87%-1.95%-9.41% 1.452.660.93
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard Total Stock Mkt Idx Inv6.31%21.05%10.96%15.42%15.20%10.21%9.74%
Schwab US Dividend Equity ETF10.07%20.84%11.94%15.79%15.19%9.63%9.33%
Vanguard Dividend Appreciation ETF8.21%22.22%10.30%13.74%13.53%9.27%9.45%
Trailing annualized return and volatility are for full months ending in December 2017 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 2011 are based on monthly returns from November 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
YearInflationVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETFVanguard Total Stock Mkt Idx Inv (VTSMX)Schwab US Dividend Equity ETF (SCHD)Vanguard Dividend Appreciation ETF (VIG)
ReturnBalanceReturnBalanceReturnBalance
2011-0.33%0.51%$1,005,0853.16%$1,031,6372.89%$1,028,9110.51%3.16%2.89%
20121.74%16.25%$1,168,44211.39%$1,149,18011.65%$1,148,74316.25%11.39%11.65%
20131.50%33.35%$1,558,11332.89%$1,527,15628.87%$1,480,36933.35%32.89%28.87%
20140.76%12.43%$1,751,77511.68%$1,705,60110.08%$1,629,53012.43%11.68%10.08%
20150.73%0.29%$1,756,920-0.31%$1,700,267-1.95%$1,597,7940.29%-0.31%-1.95%
20162.07%12.53%$1,977,12016.44%$1,979,75711.97%$1,789,06112.53%16.44%11.97%
20172.11%21.05%$2,393,33420.84%$2,392,25822.22%$2,186,62321.05%20.84%22.22%
Annual return for 2011 is from 11/01/2011 to 12/31/2011
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETFVanguard Total Stock Mkt Idx Inv (VTSMX)Schwab US Dividend Equity ETF (SCHD)Vanguard Dividend Appreciation ETF (VIG)
ReturnBalanceReturnBalanceReturnBalance
201111-0.29%$997,1251.65%$1,016,4711.87%$1,018,713-0.29%1.65%1.87%
2011120.80%$1,005,0851.49%$1,031,6371.00%$1,028,9110.80%1.49%1.00%
201215.08%$1,056,1581.64%$1,048,5812.60%$1,055,6465.08%1.64%2.60%
201224.26%$1,101,1292.86%$1,078,5302.76%$1,084,8284.26%2.86%2.76%
201233.07%$1,134,8902.41%$1,104,4802.09%$1,107,4523.07%2.41%2.09%
20124-0.65%$1,127,472-0.11%$1,103,292-0.34%$1,103,669-0.65%-0.11%-0.34%
20125-6.24%$1,057,166-3.80%$1,061,315-4.37%$1,055,437-6.24%-3.80%-4.37%
201263.91%$1,098,4954.36%$1,107,5912.18%$1,078,4653.91%4.36%2.18%
201271.03%$1,109,8362.45%$1,134,7221.96%$1,099,5811.03%2.45%1.96%
201282.48%$1,137,3790.60%$1,141,5051.90%$1,120,5082.48%0.60%1.90%
201292.58%$1,166,6951.21%$1,155,3321.87%$1,141,4362.58%1.21%1.87%
201210-1.76%$1,146,187-0.94%$1,144,482-1.26%$1,127,091-1.76%-0.94%-1.26%
2012110.74%$1,154,6510.46%$1,149,7061.44%$1,143,3480.74%0.46%1.44%
2012121.19%$1,168,442-0.05%$1,149,1800.47%$1,148,7431.19%-0.05%0.47%
201315.50%$1,232,6995.54%$1,212,8445.93%$1,216,8155.50%5.54%5.93%
201321.28%$1,248,4362.11%$1,238,3901.16%$1,230,8921.28%2.11%1.16%
201333.88%$1,296,9074.76%$1,297,3393.38%$1,272,5533.88%4.76%3.38%
201341.70%$1,318,9672.99%$1,336,1081.67%$1,293,8591.70%2.99%1.67%
201352.32%$1,349,5871.41%$1,354,8801.15%$1,308,7732.32%1.41%1.15%
20136-1.27%$1,332,398-0.82%$1,343,803-1.51%$1,289,008-1.27%-0.82%-1.51%
201375.49%$1,405,4844.59%$1,405,4465.41%$1,358,7165.49%4.59%5.41%
20138-2.82%$1,365,799-3.54%$1,355,721-3.57%$1,310,232-2.82%-3.54%-3.57%
201393.66%$1,415,8502.69%$1,392,1813.97%$1,362,2703.66%2.69%3.97%
2013104.22%$1,475,6464.99%$1,461,6874.17%$1,419,0234.22%4.99%4.17%
2013112.88%$1,518,1682.55%$1,498,9222.32%$1,451,9012.88%2.55%2.32%
2013122.63%$1,558,1131.88%$1,527,1561.96%$1,480,3692.63%1.88%1.96%
20141-3.11%$1,509,704-4.45%$1,459,255-5.01%$1,406,193-3.11%-4.45%-5.01%
201424.73%$1,581,1493.88%$1,515,9094.90%$1,475,0564.73%3.88%4.90%
201430.51%$1,589,2741.96%$1,545,5730.79%$1,486,7390.51%1.96%0.79%
201440.06%$1,590,2791.82%$1,573,6741.01%$1,501,7590.06%1.82%1.01%
201452.17%$1,624,8071.33%$1,594,6451.61%$1,525,8692.17%1.33%1.61%
201462.54%$1,666,0411.36%$1,616,3371.49%$1,548,5402.54%1.36%1.49%
20147-1.98%$1,633,064-1.72%$1,588,462-3.31%$1,497,287-1.98%-1.72%-3.31%
201484.18%$1,701,3753.43%$1,642,9453.65%$1,551,9184.18%3.43%3.65%
20149-2.14%$1,665,021-0.23%$1,639,208-1.00%$1,536,332-2.14%-0.23%-1.00%
2014102.74%$1,710,6431.97%$1,671,5162.65%$1,577,0612.74%1.97%2.65%
2014112.41%$1,751,8712.98%$1,721,2543.22%$1,627,7732.41%2.98%3.22%
201412-0.01%$1,751,775-0.91%$1,705,6010.11%$1,629,530-0.01%-0.91%0.11%
20151-2.77%$1,703,209-3.11%$1,652,529-3.38%$1,574,516-2.77%-3.11%-3.38%
201525.76%$1,801,3605.23%$1,738,9865.59%$1,662,4585.76%5.23%5.59%
20153-1.04%$1,782,671-2.35%$1,698,169-2.27%$1,624,751-1.04%-2.35%-2.27%
201540.42%$1,790,1760.76%$1,711,096-0.21%$1,621,3180.42%0.76%-0.21%
201551.39%$1,815,0770.50%$1,719,7140.96%$1,636,8651.39%0.50%0.96%
20156-1.71%$1,784,037-3.32%$1,662,680-2.54%$1,595,346-1.71%-3.32%-2.54%
201571.63%$1,813,1490.71%$1,674,4052.16%$1,629,8601.63%0.71%2.16%
20158-6.03%$1,703,894-5.32%$1,585,387-5.87%$1,534,237-6.03%-5.32%-5.87%
20159-2.93%$1,653,913-0.72%$1,573,960-1.84%$1,506,082-2.93%-0.72%-1.84%
2015107.84%$1,783,6528.76%$1,711,8736.74%$1,607,5917.84%8.76%6.74%
2015110.54%$1,793,2870.28%$1,716,6890.27%$1,611,8800.54%0.28%0.27%
201512-2.03%$1,756,920-0.96%$1,700,267-0.87%$1,597,794-2.03%-0.96%-0.87%
20161-5.67%$1,657,276-2.28%$1,661,465-2.29%$1,561,219-5.67%-2.28%-2.29%
20162-0.04%$1,656,5840.74%$1,673,8111.13%$1,578,890-0.04%0.74%1.13%
201637.01%$1,772,7266.40%$1,780,9046.28%$1,677,9947.01%6.40%6.28%
201640.63%$1,783,847-0.17%$1,777,795-0.33%$1,672,4180.63%-0.17%-0.33%
201651.79%$1,815,8191.40%$1,802,6710.95%$1,688,3201.79%1.40%0.95%
201660.23%$1,819,9222.91%$1,855,1502.37%$1,728,4120.23%2.91%2.37%
201673.95%$1,891,8112.85%$1,907,9752.29%$1,768,0713.95%2.85%2.29%
201680.26%$1,896,697-0.33%$1,901,7080.01%$1,768,2790.26%-0.33%0.01%
201690.15%$1,899,5440.18%$1,905,204-0.97%$1,751,0400.15%0.18%-0.97%
201610-2.21%$1,857,472-1.56%$1,875,484-1.93%$1,717,242-2.21%-1.56%-1.93%
2016114.44%$1,939,8633.27%$1,936,7252.98%$1,768,3564.44%3.27%2.98%
2016121.92%$1,977,1202.22%$1,979,7571.17%$1,789,0611.92%2.22%1.17%
201711.91%$2,014,857-0.48%$1,970,2151.76%$1,820,5661.91%-0.48%1.76%
201723.71%$2,089,6253.41%$2,037,4644.33%$1,899,3293.71%3.41%4.33%
201730.07%$2,091,0130.14%$2,040,380-0.07%$1,897,9620.07%0.14%-0.07%
201741.05%$2,112,9720.25%$2,045,4151.72%$1,930,6711.05%0.25%1.72%
201751.01%$2,134,2221.75%$2,081,1151.57%$1,961,0591.01%1.75%1.57%
201760.92%$2,153,881-0.10%$2,079,0430.28%$1,966,4750.92%-0.10%0.28%
201771.87%$2,194,0771.66%$2,113,6170.73%$1,980,9051.87%1.66%0.73%
201780.15%$2,197,279-0.02%$2,113,156-0.36%$1,973,6900.15%-0.02%-0.36%
201792.45%$2,251,1882.85%$2,173,3022.38%$2,020,6332.45%2.85%2.38%
2017102.16%$2,299,7623.61%$2,251,7832.10%$2,063,0542.16%3.61%2.10%
2017113.04%$2,369,7664.21%$2,346,5164.48%$2,155,5693.04%4.21%4.48%
2017120.99%$2,393,3341.95%$2,392,2581.44%$2,186,6230.99%1.95%1.44%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETF
Large-cap Value34.72%59.64%51.51%
Large-cap Growth44.91%30.23%34.62%
Mid-cap Value6.11%0.00%0.00%
Mid-cap Growth5.98%0.00%4.59%
Small-cap Value2.91%0.00%0.00%
Small-cap Growth3.57%0.00%0.00%
Global ex-US Developed Markets1.39%0.00%0.00%
Emerging Markets0.40%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%10.13%9.29%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.81%87.26%90.09%
Style analysis is based on monthly returns from November 2011 to December 2017 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 Vanguard Total Stock Mkt Idx Inv

Holdings Based Style Analysis for Vanguard Total Stock Mkt Idx Inv
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.18%0.14%24.25$1,393,334100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Schwab US Dividend Equity ETF

Holdings Based Style Analysis for Schwab US Dividend Equity ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SCHDSchwab US Dividend Equity ETFLarge Value100.00%3.01%0.06%16.74$1,392,258100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Dividend Appreciation ETF

Holdings Based Style Analysis for Vanguard Dividend Appreciation ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VIGVanguard Dividend Appreciation ETFLarge Blend100.00%1.66%0.06%24.90$1,186,623100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (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
MetricVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETF
Arithmetic Mean (monthly)1.22%1.22%1.10%
Arithmetic Mean (annualized)15.73%15.63%13.97%
Geometric Mean (monthly)1.19%1.19%1.06%
Geometric Mean (annualized)15.20%15.19%13.53%
Volatility (monthly)2.81%2.56%2.58%
Volatility (annualized)9.72%8.87%8.95%
Downside Deviation (monthly)1.51%1.25%1.40%
Max. Drawdown-8.88%-9.49%-9.41%
US Market Correlation1.000.900.93
Beta(*)1.000.820.86
Alpha (annualized)0.00%2.53%0.53%
R2100.00%81.14%86.99%
Sharpe Ratio1.491.621.45
Sortino Ratio2.773.312.66
Treynor Ratio (%)14.4717.5015.06
Calmar Ratio1.231.261.09
Active Return0.00%-0.01%-1.67%
Tracking Error0.00%4.22%3.51%
Information Ratio0.43-0.00-0.48
Skewness-0.37-0.06-0.33
Excess Kurtosis0.510.610.35
Historical Value-at-Risk (5%)-2.99%-3.39%-3.44%
Analytical Value-at-Risk (5%)-3.39%-2.99%-3.15%
Conditional Value-at-Risk (5%)-5.26%-4.28%-4.70%
Upside Capture Ratio (%)100.0090.6687.11
Downside Capture Ratio (%)100.0076.0686.04
Safe Withdrawal Rate21.27%21.10%20.28%
Perpetual Withdrawal Rate10.64%10.64%9.48%
Positive Periods55 out of 74 (74.32%)51 out of 74 (68.92%)53 out of 74 (71.62%)
Gain/Loss Ratio1.051.541.14
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Vanguard Total Stock Mkt Idx Inv

Drawdowns for Vanguard Total Stock Mkt Idx Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
2Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
3Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
4Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
6Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%
7Sep 2014Sep 20141 monthOct 20141 month2 months-2.14%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.98%
9Oct 2012Oct 20121 monthDec 20122 months3 months-1.76%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.27%
Worst 10 drawdowns included above

Drawdowns for Schwab US Dividend Equity ETF

Drawdowns for Schwab US Dividend Equity ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.49%
2Jan 2014Jan 20141 monthMar 20142 months3 months-4.45%
3Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.99%
4Apr 2012May 20122 monthsJun 20121 month3 months-3.91%
5Aug 2013Aug 20131 monthOct 20132 months3 months-3.54%
6Jul 2014Jul 20141 monthAug 20141 month2 months-1.72%
7Aug 2016Oct 20163 monthsNov 20161 month4 months-1.70%
8Oct 2012Oct 20121 monthJan 20133 months4 months-0.94%
9Jun 2013Jun 20131 monthJul 20131 month2 months-0.82%
10Jan 2017Jan 20171 monthFeb 20171 month2 months-0.48%
Worst 10 drawdowns included above

Drawdowns for Vanguard Dividend Appreciation ETF

Drawdowns for Vanguard Dividend Appreciation ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.41%
2Jan 2014Jan 20141 monthMar 20142 months3 months-5.01%
3Apr 2012May 20122 monthsAug 20123 months5 months-4.70%
4Aug 2013Aug 20131 monthSep 20131 month2 months-3.57%
5Jan 2015Jan 20151 monthFeb 20151 month2 months-3.38%
6Jul 2014Jul 20141 monthAug 20141 month2 months-3.31%
7Sep 2016Oct 20162 monthsNov 20161 month3 months-2.89%
8Jun 2013Jun 20131 monthJul 20131 month2 months-1.51%
9Oct 2012Oct 20121 monthNov 20121 month2 months-1.26%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.00%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv15.20%9.72%33.35%0.29%-8.88%1.492.771.00
SCHDSchwab US Dividend Equity ETF15.19%8.87%32.89%-0.31%-9.49%1.623.310.90
VIGVanguard Dividend Appreciation ETF13.53%8.95%28.87%-1.95%-9.41%1.452.660.93

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXSCHDVIGVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETF
VTSMXVanguard Total Stock Mkt Idx Inv1.000.900.931.000.900.93
SCHDSchwab US Dividend Equity ETF0.901.000.950.901.000.95
VIGVanguard Dividend Appreciation ETF0.930.951.000.930.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETF
VTSMXVanguard Total Stock Mkt Idx Inv$1,393,334
SCHDSchwab US Dividend Equity ETF$1,392,258
VIGVanguard Dividend Appreciation ETF$1,186,623

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETF
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
SCHDSchwab US Dividend Equity ETF100.00%
VIGVanguard Dividend Appreciation ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Dividend Appreciation ETF
AverageHighLowAverageHighLowAverageHighLow
1 year14.75%33.35%-8.04%14.12%32.89%-3.98%12.68%28.87%-5.03%
3 years12.73%20.67%7.97%12.20%19.19%8.66%10.77%16.91%6.52%
5 years14.25%15.47%13.00%13.84%15.79%13.06%12.27%13.74%11.38%