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 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2008 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
NAESX Vanguard Small Cap Index Inv -100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$9,085 -0.74% 8.14%6.15%-12.81%-27.19% -0.12-0.17-0.47
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-11.03%-0.44%2.82%1.49%1.52%-0.74%8.80%7.78%
Trailing annualized return and volatility are for full months ending in December 2020 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Small Cap Index Inv (NAESX)
20080.09%-0.88%$9,912-37.02%-36.07%
20092.72%-9.62%$8,95926.49%36.12%
20101.50%-12.81%$7,81114.91%27.72%
20112.96%4.77%$8,1831.97%-2.80%
20121.74%-2.22%$8,00215.82%18.04%
20131.50%-5.43%$7,56832.18%37.62%
20140.76%6.15%$8,03313.51%7.37%
20150.73%5.03%$8,4371.25%-3.78%
20162.07%-6.24%$7,91111.82%18.17%
20172.11%5.66%$8,35821.67%16.10%
20181.91%4.78%$8,758-4.52%-9.43%
20192.29%4.19%$9,12531.33%27.22%
20201.36%-0.44%$9,08518.25%18.96%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Small Cap Index Inv (NAESX)
200810.22%$10,022-6.02%-6.23%
20082-0.57%$9,965-3.25%-2.65%
200830.06%$9,970-0.44%-0.50%
20084-0.58%$9,9124.85%5.48%
20085-3.75%$9,5411.29%5.16%
200860.89%$9,626-8.44%-8.90%
20087-2.35%$9,399-0.83%1.67%
20088-1.76%$9,2341.45%3.13%
200891.26%$9,351-8.91%-9.41%
2008105.60%$9,874-16.79%-21.56%
2008113.05%$10,175-7.17%-11.45%
200812-2.58%$9,9121.07%5.58%
200911.83%$10,094-8.41%-10.25%
200920.96%$10,191-10.66%-11.96%
20093-0.31%$10,1598.76%9.48%
20094-7.10%$9,4389.56%18.25%
200951.74%$9,6025.62%3.74%
20096-1.03%$9,5030.22%1.16%
20097-2.68%$9,2487.58%9.68%
20098-1.34%$9,1243.60%4.46%
20099-3.82%$8,7753.72%6.34%
2009107.28%$9,414-1.87%-6.64%
2009113.09%$9,7055.98%3.33%
200912-7.69%$8,9591.95%7.88%
20101-0.26%$8,936-3.60%-3.35%
20102-1.83%$8,7723.09%4.97%
20103-2.27%$8,5736.01%8.08%
20104-4.61%$8,1781.58%5.54%
201050.50%$8,219-8.01%-7.80%
201063.18%$8,480-5.24%-7.57%
20107-0.56%$8,4337.00%7.16%
201082.62%$8,653-4.53%-6.61%
20109-3.44%$8,3558.92%11.98%
201010-0.62%$8,3043.79%4.08%
201011-3.81%$7,9880.00%3.07%
201012-2.21%$7,8116.67%7.72%
201111.49%$7,9282.36%0.86%
20112-1.86%$7,7813.42%5.34%
20113-2.55%$7,5820.03%2.42%
20114-0.08%$7,5772.95%2.94%
201151.06%$7,657-1.15%-2.03%
201160.39%$7,687-1.67%-1.99%
201171.86%$7,830-2.05%-3.72%
201182.94%$8,060-5.45%-8.31%
201193.43%$8,336-7.04%-11.00%
201110-2.75%$8,10710.91%15.26%
2011110.16%$8,120-0.23%-0.41%
2011120.78%$8,1831.02%0.22%
20121-2.49%$7,9804.46%6.95%
201221.11%$8,0694.31%3.19%
201231.05%$8,1533.28%2.30%
201240.33%$8,180-0.64%-0.93%
201250.85%$8,250-6.02%-6.78%
20126-0.38%$8,2184.11%4.51%
201272.39%$8,4151.37%-0.82%
20128-1.23%$8,3112.24%3.47%
20129-0.13%$8,3002.58%2.73%
201210-0.48%$8,261-1.86%-1.46%
201211-0.67%$8,2050.56%1.16%
201212-2.47%$8,0020.90%3.07%
20131-1.17%$7,9085.18%6.35%
20132-0.01%$7,9071.34%1.33%
20133-1.08%$7,8223.74%4.69%
201342.00%$7,9781.91%0.14%
20135-1.46%$7,8622.33%3.61%
20136-0.40%$7,830-1.35%-0.99%
20137-1.99%$7,6745.07%6.66%
201380.46%$7,710-2.91%-3.17%
20139-3.31%$7,4543.12%5.69%
2013101.46%$7,5634.59%3.27%
2013110.27%$7,5833.03%2.71%
201312-0.21%$7,5682.51%2.57%
20141-1.40%$7,462-3.47%-2.07%
20142-0.56%$7,4204.56%5.06%
201431.18%$7,5070.82%-0.31%
201443.15%$7,7440.72%-2.33%
201451.19%$7,8362.33%1.17%
20146-2.78%$7,6182.05%4.96%
201473.75%$7,904-1.39%-4.94%
20148-0.79%$7,8413.98%4.97%
201493.94%$8,151-1.41%-5.31%
201410-1.74%$8,0092.42%4.48%
2014111.84%$8,1562.68%0.98%
201412-1.51%$8,033-0.26%1.25%
20151-0.85%$7,965-3.02%-2.17%
20152-0.13%$7,9555.74%5.82%
20153-2.89%$7,725-1.59%1.18%
201542.84%$7,9440.95%-1.69%
20155-0.77%$7,8831.27%2.00%
20156-1.10%$7,796-1.93%-0.87%
201572.48%$7,9902.08%-0.29%
20158-0.18%$7,975-6.05%-5.85%
201591.98%$8,133-2.48%-4.50%
2015102.67%$8,3518.42%5.68%
201511-1.42%$8,2320.29%1.81%
2015122.49%$8,437-1.59%-4.21%
201612.68%$8,663-4.98%-7.66%
20162-0.96%$8,580-0.15%0.92%
20163-1.32%$8,4676.78%8.35%
20164-1.35%$8,3520.37%1.72%
20165-0.17%$8,3381.78%1.93%
20166-0.00%$8,3380.25%0.25%
20167-1.50%$8,2133.68%5.07%
20168-0.55%$8,1670.13%0.62%
20169-0.43%$8,1320.01%0.39%
2016102.67%$8,349-1.83%-4.12%
201611-5.25%$7,9103.70%8.61%
2016120.00%$7,9111.96%1.86%
201710.31%$7,9351.88%1.57%
201721.65%$8,0663.96%2.34%
201730.35%$8,0950.10%-0.24%
201740.20%$8,1111.02%0.85%
201752.62%$8,3241.39%-1.15%
20176-1.56%$8,1940.61%2.24%
201771.04%$8,2792.04%1.09%
201781.27%$8,3850.29%-0.94%
20179-2.19%$8,2012.06%4.40%
2017100.91%$8,2762.32%1.55%
2017110.13%$8,2873.06%3.08%
2017120.86%$8,3581.10%0.37%
201812.87%$8,5985.71%2.84%
201820.27%$8,621-3.69%-4.07%
20183-3.60%$8,311-2.56%1.12%
201840.05%$8,3150.37%0.33%
20185-2.69%$8,0912.39%5.07%
20186-0.15%$8,0790.61%0.72%
201871.95%$8,2363.71%1.82%
20188-1.37%$8,1233.25%4.48%
201892.41%$8,3190.55%-1.54%
2018103.56%$8,615-6.85%-10.10%
201811-0.05%$8,6112.03%2.16%
2018121.70%$8,758-9.04%-11.11%
20191-3.83%$8,4228.00%11.83%
20192-2.00%$8,2543.20%4.81%
201933.42%$8,5361.94%-0.91%
201940.44%$8,5744.04%3.59%
201951.20%$8,677-6.36%-7.25%
20196-0.04%$8,6737.03%7.04%
201970.20%$8,6911.43%1.25%
201982.95%$8,948-1.59%-4.03%
201990.60%$9,0011.86%1.37%
2019100.71%$9,0652.15%1.60%
201911-0.43%$9,0253.62%4.14%
2019121.10%$9,1253.01%2.18%
202011.99%$9,307-0.05%-2.04%
202020.25%$9,330-8.24%-8.67%
202038.00%$10,077-12.37%-21.86%
202040.08%$10,08512.81%14.65%
20205-1.69%$9,9154.76%7.73%
20206-0.28%$9,8871.98%2.54%
202071.38%$10,0245.63%4.49%
202083.29%$10,3537.18%4.05%
20209-1.37%$10,211-3.81%-2.73%
202010-4.17%$9,785-2.67%2.00%
202011-3.67%$9,42610.94%16.01%
202012-3.62%$9,0853.84%7.38%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)-0.03%
Arithmetic Mean (annualized)-0.41%
Geometric Mean (monthly)-0.06%
Geometric Mean (annualized)-0.74%
Volatility (monthly)2.35%
Volatility (annualized)8.14%
Downside Deviation (monthly)1.68%
Max. Drawdown-27.19%
US Market Correlation-0.47
Beta(*)-0.23
Alpha (annualized)2.11%
R222.25%
Sharpe Ratio-0.12
Sortino Ratio-0.17
Treynor Ratio (%)4.31
Calmar Ratio0.23
Active Return-10.64%
Tracking Error21.62%
Information Ratio-0.49
Skewness0.02
Excess Kurtosis1.33
Historical Value-at-Risk (5%)-3.76%
Analytical Value-at-Risk (5%)-3.90%
Conditional Value-at-Risk (5%)-5.04%
Upside Capture Ratio (%)-15.09
Downside Capture Ratio (%)-25.69
Safe Withdrawal Rate5.78%
Perpetual Withdrawal Rate0.00%
Positive Periods76 out of 156 (48.72%)
Gain/Loss Ratio1.01
* 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
COVID-19 StartJan 2020Mar 20200.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2009Feb 20145 yearsAug 20206 years 6 months11 years 6 months-27.19%
2Sep 2020Dec 20204 months-12.25%
3Feb 2008Aug 20087 monthsNov 20083 months10 months-7.86%
4Dec 2008Dec 20081 monthFeb 20092 months3 months-2.58%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.65%15.96%32.18%-37.02%-48.47%0.620.911.00
NAESXVanguard Small Cap Index Inv9.89%20.80%37.62%-36.07%-49.86%0.530.770.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXNAESXPortfolio 1
VFINXVanguard 500 Index Investor1.000.94-0.41
NAESXVanguard Small Cap Index Inv0.941.00-0.69

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$12,147
NAESXVanguard Small Cap Index Inv-$13,061

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor-83.76%
NAESXVanguard Small Cap Index Inv183.76%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year0.28%18.05%-17.70%
3 years-0.26%7.58%-8.72%
5 years-0.08%5.46%-6.15%
7 years-0.01%4.60%-3.58%
10 years-0.30%2.12%-2.09%