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 (Mar 2010 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
EEM iShares MSCI Emerging Markets ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$39,252 13.91% 13.82%32.33%-4.43%-19.61% 0.971.561.00
Portfolio 2$10,000$14,156 3.37% 18.94%37.28%-18.82%-32.71% 0.240.350.76
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 115.48%9.72%21.90%14.48%14.42%15.13%13.91%
Portfolio 218.74%-0.15%13.83%2.17%8.00%3.18%3.37%
Trailing returns are for full months ending in August 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.
  • The annual results for 2010 are based on monthly returns from March to December
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceVanguard 500 Index Admiral (VFIAX)iShares MSCI Emerging Markets ETF (EEM)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20101.12%15.76%24.10%$11,576$12,41015.76%24.10%
20112.96%2.08%-18.82%$11,817$10,0752.08%-18.82%
20121.74%15.96%19.10%$13,704$11,99915.96%19.10%
20131.50%32.33%-3.69%$18,135$11,55632.33%-3.69%
20140.76%13.64%-3.93%$20,609$11,10213.64%-3.93%
20150.73%1.36%-16.18%$20,890$9,3061.36%-16.18%
20162.07%11.93%10.87%$23,381$10,31711.93%10.87%
20172.11%21.79%37.28%$28,475$14,16421.79%37.28%
20181.91%-4.43%-15.31%$27,214$11,995-4.43%-15.31%
20192.29%31.46%18.20%$35,775$14,17831.46%18.20%
20200.83%9.72%-0.15%$39,252$14,1569.72%-0.15%
Annual returns for 2010 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Admiral (VFIAX)iShares MSCI Emerging Markets ETF (EEM)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201036.03%8.11%$10,603$10,8116.03%8.11%
201041.59%-0.17%$10,771$10,7931.59%-0.17%
20105-8.00%-9.39%$9,910$9,779-8.00%-9.39%
20106-5.23%-1.40%$9,392$9,642-5.23%-1.40%
201077.01%10.93%$10,050$10,6967.01%10.93%
20108-4.52%-3.24%$9,595$10,350-4.52%-3.24%
201098.93%11.76%$10,452$11,5678.93%11.76%
2010103.81%3.02%$10,850$11,9163.81%3.02%
2010110.01%-2.91%$10,851$11,5700.01%-2.91%
2010126.68%7.27%$11,576$12,4106.68%7.27%
201112.37%-3.84%$11,850$11,9342.37%-3.84%
201123.42%-0.04%$12,256$11,9283.42%-0.04%
201130.03%6.29%$12,259$12,6790.03%6.29%
201142.96%2.73%$12,623$13,0252.96%2.73%
20115-1.14%-2.94%$12,479$12,642-1.14%-2.94%
20116-1.66%-0.93%$12,271$12,525-1.66%-0.93%
20117-2.04%-1.03%$12,021$12,396-2.04%-1.03%
20118-5.43%-9.25%$11,369$11,249-5.43%-9.25%
20119-7.04%-17.89%$10,568$9,236-7.04%-17.89%
20111010.93%16.27%$11,724$10,73810.93%16.27%
201111-0.22%-1.96%$11,697$10,528-0.22%-1.96%
2011121.03%-4.30%$11,817$10,0751.03%-4.30%
201214.47%10.99%$12,346$11,1824.47%10.99%
201224.32%5.27%$12,880$11,7724.32%5.27%
201233.29%-3.11%$13,303$11,4063.29%-3.11%
20124-0.63%-1.70%$13,219$11,212-0.63%-1.70%
20125-6.01%-10.71%$12,425$10,011-6.01%-10.71%
201264.12%5.08%$12,937$10,5204.12%5.08%
201271.38%-0.03%$13,115$10,5181.38%-0.03%
201282.25%0.41%$13,411$10,5612.25%0.41%
201292.58%5.22%$13,757$11,1122.58%5.22%
201210-1.85%-0.44%$13,503$11,063-1.85%-0.44%
2012110.58%1.56%$13,580$11,2350.58%1.56%
2012120.91%6.80%$13,704$11,9990.91%6.80%
201315.18%-0.29%$14,414$11,9645.18%-0.29%
201321.35%-2.28%$14,609$11,6911.35%-2.28%
201333.75%-1.02%$15,157$11,5723.75%-1.02%
201341.92%1.22%$15,448$11,7121.92%1.22%
201352.33%-4.83%$15,809$11,1472.33%-4.83%
20136-1.35%-5.35%$15,596$10,551-1.35%-5.35%
201375.09%1.32%$16,389$10,6905.09%1.32%
20138-2.90%-2.54%$15,914$10,419-2.90%-2.54%
201393.13%7.21%$16,412$11,1703.13%7.21%
2013104.59%4.17%$17,166$11,6364.59%4.17%
2013113.04%-0.26%$17,688$11,6063.04%-0.26%
2013122.53%-0.42%$18,135$11,5562.53%-0.42%
20141-3.46%-8.64%$17,508$10,558-3.46%-8.64%
201424.57%3.38%$18,307$10,9154.57%3.38%
201430.84%3.88%$18,460$11,3380.84%3.88%
201440.74%0.78%$18,596$11,4270.74%0.78%
201452.34%2.95%$19,031$11,7642.34%2.95%
201462.06%2.40%$19,424$12,0462.06%2.40%
20147-1.38%1.36%$19,156$12,211-1.38%1.36%
201484.00%2.83%$19,922$12,5564.00%2.83%
20149-1.40%-7.77%$19,642$11,581-1.40%-7.77%
2014102.43%1.42%$20,120$11,7452.43%1.42%
2014112.69%-1.54%$20,662$11,5642.69%-1.54%
201412-0.26%-3.99%$20,609$11,102-0.26%-3.99%
20151-3.00%-0.69%$19,990$11,026-3.00%-0.69%
201525.74%4.41%$21,139$11,5125.74%4.41%
20153-1.59%-1.50%$20,803$11,340-1.59%-1.50%
201540.95%6.85%$21,002$12,1170.95%6.85%
201551.28%-4.10%$21,271$11,6191.28%-4.10%
20156-1.92%-2.93%$20,862$11,279-1.92%-2.93%
201572.09%-6.31%$21,298$10,5672.09%-6.31%
20158-6.04%-8.84%$20,013$9,634-6.04%-8.84%
20159-2.48%-3.13%$19,517$9,332-2.48%-3.13%
2015108.43%6.38%$21,161$9,9278.43%6.38%
2015110.30%-2.52%$21,225$9,6760.30%-2.52%
201512-1.58%-3.83%$20,890$9,306-1.58%-3.83%
20161-4.97%-5.03%$19,852$8,837-4.97%-5.03%
20162-0.14%-0.82%$19,825$8,765-0.14%-0.82%
201636.78%12.96%$21,169$9,9016.78%12.96%
201640.39%0.41%$21,252$9,9420.39%0.41%
201651.79%-3.69%$21,632$9,5741.79%-3.69%
201660.26%4.56%$21,687$10,0110.26%4.56%
201673.68%5.38%$22,485$10,5503.68%5.38%
201680.14%0.88%$22,517$10,6430.14%0.88%
201690.02%2.52%$22,521$10,9110.02%2.52%
201610-1.83%-0.83%$22,109$10,821-1.83%-0.83%
2016113.70%-4.42%$22,928$10,3433.70%-4.42%
2016121.98%-0.25%$23,381$10,3171.98%-0.25%
201711.89%6.66%$23,824$11,0041.89%6.66%
201723.97%1.74%$24,769$11,1953.97%1.74%
201730.11%3.69%$24,796$11,6080.11%3.69%
201741.02%1.70%$25,050$11,8051.02%1.70%
201751.40%2.85%$25,401$12,1411.40%2.85%
201760.62%0.93%$25,559$12,2550.62%0.93%
201772.05%5.82%$26,083$12,9682.05%5.82%
201780.30%2.35%$26,162$13,2730.30%2.35%
201792.07%-0.04%$26,702$13,2672.07%-0.04%
2017102.33%3.28%$27,325$13,7022.33%3.28%
2017113.07%-0.39%$28,163$13,6493.07%-0.39%
2017121.11%3.77%$28,475$14,1641.11%3.77%
201815.72%8.30%$30,104$15,3395.72%8.30%
20182-3.69%-5.90%$28,994$14,434-3.69%-5.90%
20183-2.55%0.54%$28,256$14,512-2.55%0.54%
201840.38%-2.82%$28,364$14,1030.38%-2.82%
201852.40%-2.62%$29,045$13,7342.40%-2.62%
201860.61%-4.54%$29,223$13,1100.61%-4.54%
201873.72%3.53%$30,309$13,5733.72%3.53%
201883.25%-3.77%$31,296$13,0623.25%-3.77%
201890.57%-0.58%$31,473$12,9860.57%-0.58%
201810-6.84%-8.76%$29,320$11,849-6.84%-8.76%
2018112.03%4.90%$29,916$12,4302.03%4.90%
201812-9.03%-3.50%$27,214$11,995-9.03%-3.50%
201918.01%10.34%$29,394$13,2358.01%10.34%
201923.21%-1.53%$30,337$13,0333.21%-1.53%
201931.95%1.13%$30,928$13,1801.95%1.13%
201944.05%2.35%$32,180$13,4904.05%2.35%
20195-6.36%-7.33%$30,134$12,501-6.36%-7.33%
201967.04%6.20%$32,257$13,2777.04%6.20%
201971.43%-2.66%$32,718$12,9241.43%-2.66%
20198-1.58%-3.78%$32,201$12,436-1.58%-3.78%
201991.87%1.69%$32,803$12,6461.87%1.69%
2019102.16%4.18%$33,512$13,1752.16%4.18%
2019113.63%-0.09%$34,729$13,1633.63%-0.09%
2019123.01%7.71%$35,775$14,1783.01%7.71%
20201-0.04%-6.15%$35,760$13,306-0.04%-6.15%
20202-8.24%-3.78%$32,814$12,803-8.24%-3.78%
20203-12.36%-15.77%$28,759$10,784-12.36%-15.77%
2020412.82%7.35%$32,445$11,57712.82%7.35%
202054.76%2.97%$33,991$11,9224.76%2.97%
202061.99%6.61%$34,667$12,7101.99%6.61%
202075.64%8.25%$36,621$13,7595.64%8.25%
202087.18%2.89%$39,252$14,1567.18%2.89%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value45.04%0.00%
Large-cap Growth54.68%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.27%0.19%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%1.99%
Emerging Markets0.00%97.83%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.95%98.98%
Style analysis is based on monthly returns from Mar 2010 to Aug 2020 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 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend100.00%0.04%26.69$29,252100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
EEMiShares MSCI Emerging Markets ETFDiversified Emerging Mkts100.00%0.68%15.71$4,156100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/28/2020. (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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.17%0.43%
Arithmetic Mean (annualized)14.98%5.23%
Geometric Mean (monthly)1.09%0.28%
Geometric Mean (annualized)13.91%3.37%
Volatility (monthly)3.99%5.47%
Volatility (annualized)13.82%18.94%
Downside Deviation (monthly)2.46%3.67%
Max. Drawdown-19.61%-32.71%
US Market Correlation1.000.76
Beta(*)0.961.01
Alpha (annualized)0.74%-8.84%
R299.41%58.20%
Sharpe Ratio0.970.24
Sortino Ratio1.560.35
Treynor Ratio (%)14.044.51
Calmar Ratio0.740.07
Active Return0.30%-10.25%
Tracking Error1.21%12.25%
Information Ratio0.25-0.84
Skewness-0.44-0.17
Excess Kurtosis1.250.99
Historical Value-at-Risk (5%)-6.67%-8.81%
Analytical Value-at-Risk (5%)-5.39%-8.57%
Conditional Value-at-Risk (5%)-8.58%-11.98%
Upside Capture Ratio (%)98.3475.37
Downside Capture Ratio (%)95.47125.15
Safe Withdrawal Rate17.23%10.53%
Perpetual Withdrawal Rate11.21%1.68%
Positive Periods90 out of 126 (71.43%)62 out of 126 (49.21%)
Gain/Loss Ratio0.861.27
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.61%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.27%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.53%
4May 2010Jun 20102 monthsOct 20104 months6 months-12.81%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.37%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.14%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.46%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Feb 20164 years 10 monthsAug 20171 year 6 months6 years 4 months-32.71%
2Feb 2018Mar 20202 years 2 months-29.69%
3Apr 2010Jun 20103 monthsSep 20103 months6 months-10.81%
4Jan 2011Feb 20112 monthsMar 20111 month3 months-3.88%
5Nov 2010Nov 20101 monthDec 20101 month2 months-2.91%
6Nov 2017Nov 20171 monthDec 20171 month2 months-0.39%
7Sep 2017Sep 20171 monthOct 20171 month2 months-0.04%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFIAXVanguard 500 Index Admiral13.91%13.82%32.33%-4.43%-19.61%0.971.561.00
EEMiShares MSCI Emerging Markets ETF3.37%18.94%37.28%-18.82%-32.71%0.240.350.76

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFIAXEEMPortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral1.000.761.000.76
EEMiShares MSCI Emerging Markets ETF0.761.000.761.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral$29,252
EEMiShares MSCI Emerging Markets ETF$4,156

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral100.00%
EEMiShares MSCI Emerging Markets ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year14.01%32.33%-4.43%3.06%37.28%-18.82%
3 years13.75%20.37%8.84%2.51%11.18%-8.13%
5 years12.60%15.75%8.46%0.80%5.01%-5.60%
7 years13.69%14.69%12.66%2.28%2.52%1.91%
Result statistics are based on annualized rolling returns over full calendar year periods