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 (Aug 2010 - Aug 2020)

Portfolio Allocations

Total Stock Market
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
99%TSM/1%GE
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 99.00%
GE General Electric Company 1.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Total Stock Market$300,000$1,136,387 14.12% 13.99%33.35%-5.26%-20.89% 0.981.561.00
99%TSM/1%GE$300,000$1,122,158 13.98% 14.01%33.40%-5.76%-21.00% 0.971.541.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Total Stock Market15.80%21.16%13.81%13.71%14.80%14.12%18.23%15.41%
99%TSM/1%GE15.68%20.84%13.40%13.44%14.66%13.98%18.25%15.42%
Trailing annualized return and volatility 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 August 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
YearInflationTotal Stock Market99%TSM/1%GEVanguard Total Stock Mkt Idx Inv (VTSMX)General Electric Company (GE)
ReturnBalanceReturnBalance
20100.54%16.43%$349,28616.42%$349,24816.43%15.19%
20112.96%0.96%$352,6460.97%$352,6190.96%1.26%
20121.74%16.25%$409,96116.31%$410,11816.25%21.58%
20131.50%33.35%$546,68233.40%$547,07733.35%37.89%
20140.76%12.43%$614,63112.24%$614,02812.43%-6.70%
20150.73%0.29%$616,4360.57%$617,5040.29%27.54%
20162.07%12.53%$693,69612.45%$694,40712.53%4.59%
20172.11%21.05%$839,72920.41%$836,14821.05%-42.92%
20181.91%-5.26%$795,592-5.76%$788,007-5.26%-55.39%
20192.29%30.65%$1,039,43130.88%$1,031,35630.65%53.93%
20201.15%9.33%$1,136,3878.80%$1,122,1589.33%-43.04%
Annual return for 2010 is from 08/01/2010 to 12/31/2010 and annual return for 2020 is from 01/01/2020 to 08/31/2020
Monthly returns for the configured portfolios
YearMonthTotal Stock Market Return99%TSM/1%GE ReturnVanguard Total Stock Mkt Idx Inv (VTSMX)General Electric Company (GE)
20108-4.75%-4.80%-4.75%-10.17%
201099.47%9.50%9.47%13.05%
2010103.94%3.89%3.94%-1.42%
2010110.58%0.56%0.58%-1.19%
2010126.81%6.90%6.81%16.44%
201112.19%2.27%2.19%10.11%
201123.60%3.61%3.60%4.58%
201130.45%0.40%0.45%-4.16%
201142.99%2.98%2.99%2.00%
20115-1.16%-1.19%-1.16%-3.96%
20116-1.79%-1.80%-1.79%-3.19%
20117-2.28%-2.31%-2.28%-5.04%
20118-5.99%-6.02%-5.99%-8.93%
20119-7.75%-7.74%-7.75%-5.81%
20111011.51%11.49%11.51%9.79%
201111-0.29%-0.33%-0.29%-4.79%
2011120.80%0.91%0.80%13.63%
201215.08%5.08%5.08%4.47%
201224.26%4.24%4.26%2.71%
201233.07%3.09%3.07%5.35%
20124-0.65%-0.67%-0.65%-2.44%
20125-6.24%-6.20%-6.24%-2.50%
201263.91%3.98%3.91%10.42%
201271.03%1.02%1.03%-0.43%
201282.48%2.45%2.48%-0.19%
201292.58%2.66%2.58%10.49%
201210-1.76%-1.82%-1.76%-7.27%
2012110.74%0.73%0.74%0.33%
2012121.19%1.18%1.19%0.23%
201315.50%5.51%5.50%6.15%
201321.28%1.31%1.28%5.07%
201333.88%3.84%3.88%-0.43%
201341.70%1.65%1.70%-3.59%
201352.32%2.34%2.32%4.62%
20136-1.27%-1.26%-1.27%0.26%
201375.49%5.48%5.49%5.09%
20138-2.82%-2.85%-2.82%-5.05%
201393.66%3.67%3.66%4.04%
2013104.22%4.27%4.22%9.42%
2013112.88%2.87%2.88%1.99%
2013122.63%2.66%2.63%5.99%
20141-3.11%-3.18%-3.11%-10.35%
201424.73%4.71%4.73%2.24%
201430.51%0.52%0.51%1.65%
201440.06%0.10%0.06%3.86%
201452.17%2.15%2.17%-0.37%
201462.54%2.50%2.54%-1.10%
20147-1.98%-2.00%-1.98%-4.30%
201484.18%4.18%4.18%3.30%
20149-2.14%-2.12%-2.14%-0.56%
2014102.74%2.72%2.74%0.74%
2014112.41%2.41%2.41%2.63%
201412-0.01%-0.04%-0.01%-3.73%
20151-2.77%-2.80%-2.77%-5.46%
201525.76%5.80%5.76%9.79%
20153-1.04%-1.07%-1.04%-4.54%
201540.42%0.51%0.42%9.15%
201551.39%1.38%1.39%0.70%
20156-1.71%-1.71%-1.71%-1.75%
201571.63%1.60%1.63%-1.77%
20158-6.03%-6.01%-6.03%-4.90%
20159-2.93%-2.88%-2.93%2.53%
2015107.84%7.92%7.84%14.67%
2015110.54%0.57%0.54%3.53%
201512-2.03%-1.95%-2.03%4.82%
20161-5.67%-5.68%-5.67%-6.58%
20162-0.04%-0.03%-0.04%0.93%
201637.01%7.03%7.01%9.09%
201640.63%0.59%0.63%-3.27%
201651.79%1.76%1.79%-1.69%
201660.23%0.27%0.23%4.92%
201673.95%3.90%3.95%-1.08%
201680.26%0.26%0.26%0.32%
201690.15%0.11%0.15%-4.45%
201610-2.21%-2.21%-2.21%-1.76%
2016114.44%4.45%4.44%5.70%
2016121.92%1.94%1.92%3.51%
201711.91%1.83%1.91%-6.01%
201723.71%3.69%3.71%1.17%
201730.07%0.07%0.07%-0.03%
201741.05%1.02%1.05%-2.72%
201751.01%0.95%1.01%-5.55%
201760.92%0.91%0.92%-0.53%
201771.87%1.81%1.87%-5.18%
201780.15%0.11%0.15%-4.14%
201792.45%2.43%2.45%-0.52%
2017102.16%2.03%2.16%-16.63%
2017113.04%2.97%3.04%-9.28%
2017120.99%0.97%0.99%-3.94%
201815.31%5.18%5.31%-7.34%
20182-3.72%-3.79%-3.72%-12.02%
20183-1.99%-2.01%-1.99%-4.46%
201840.38%0.41%0.38%4.38%
201852.79%2.77%2.79%0.07%
201860.68%0.65%0.68%-2.47%
201873.34%3.31%3.34%0.15%
201883.44%3.38%3.44%-5.06%
201890.16%0.08%0.16%-11.93%
201810-7.40%-7.42%-7.40%-10.54%
2018112.06%1.90%2.06%-25.74%
201812-9.29%-9.25%-9.29%1.07%
201918.59%8.84%8.59%34.21%
201923.50%3.54%3.50%6.35%
201931.44%1.37%1.44%-3.75%
201943.98%3.95%3.98%1.80%
20195-6.45%-6.46%-6.45%-7.18%
201966.97%7.02%6.97%11.33%
201971.44%1.41%1.44%-0.48%
20198-2.03%-2.25%-2.03%-21.05%
201991.70%1.77%1.70%8.48%
2019102.10%2.19%2.10%11.63%
2019113.77%3.88%3.77%12.93%
2019122.85%2.80%2.85%-0.89%
20201-0.08%0.04%-0.08%11.56%
20202-8.18%-8.23%-8.18%-12.61%
20203-13.78%-13.92%-13.78%-26.94%
2020413.25%13.00%13.25%-14.36%
202055.38%5.32%5.38%-3.38%
202062.28%2.29%2.28%4.12%
202075.64%5.53%5.64%-11.13%
202087.18%7.16%7.18%4.45%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryTotal Stock Market99%TSM/1%GE
Large-cap Value32.05%32.67%
Large-cap Growth49.46%48.89%
Mid-cap Value6.75%7.07%
Mid-cap Growth5.15%3.57%
Small-cap Value2.89%3.62%
Small-cap Growth3.09%3.07%
Global ex-US Developed Markets0.28%1.08%
Emerging Markets0.34%0.04%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.85%99.83%
Style analysis is based on monthly returns from August 2010 to August 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 Total Stock Market

Holdings Based Style Analysis for Total Stock Market
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.27%0.14%27.11$836,387100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for 99%TSM/1%GE

Holdings Based Style Analysis for 99%TSM/1%GE
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend99.00%1.27%0.14%27.11$825,53798.93%
GEGeneral Electric CompanyIndustrials / Specialty Industrial Machinery1.00%0.32%-$3,3791.07%
100.00%1.26%0.14%27.11$822,158100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 02/26/2021. (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
MetricTotal Stock Market99%TSM/1%GE
Arithmetic Mean (monthly)1.19%1.18%
Arithmetic Mean (annualized)15.22%15.08%
Geometric Mean (monthly)1.11%1.10%
Geometric Mean (annualized)14.12%13.98%
Volatility (monthly)4.04%4.04%
Volatility (annualized)13.99%14.01%
Downside Deviation (monthly)2.50%2.51%
Max. Drawdown-20.89%-21.00%
US Market Correlation1.001.00
Beta(*)1.001.00
Alpha (annualized)0.00%-0.14%
R2100.00%99.98%
Sharpe Ratio0.980.97
Sortino Ratio1.561.54
Treynor Ratio (%)13.6713.53
Calmar Ratio0.660.64
Active Return0.00%-0.14%
Tracking Error0.00%0.22%
Information Ratio0.34-0.65
Skewness-0.48-0.49
Excess Kurtosis1.871.86
Historical Value-at-Risk (5%)-6.24%-6.20%
Analytical Value-at-Risk (5%)-5.45%-5.44%
Conditional Value-at-Risk (5%)-8.81%-8.83%
Upside Capture Ratio (%)100.0099.74
Downside Capture Ratio (%)100.00100.49
Safe Withdrawal Rate17.20%17.18%
Perpetual Withdrawal Rate10.92%10.81%
Positive Periods87 out of 121 (71.90%)88 out of 121 (72.73%)
Gain/Loss Ratio0.850.81
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Total Stock Market

Drawdowns for Total Stock Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
2May 2011Sep 20115 monthsFeb 20125 months10 months-17.74%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
8Aug 2010Aug 20101 monthSep 20101 month2 months-4.75%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
Worst 10 drawdowns included above

Drawdowns for 99%TSM/1%GE

Drawdowns for 99%TSM/1%GE (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-21.00%
2May 2011Sep 20115 monthsFeb 20125 months10 months-17.81%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.39%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.85%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.83%
6May 2019May 20191 monthJun 20191 month2 months-6.46%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.73%
8Aug 2010Aug 20101 monthSep 20101 month2 months-4.80%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.18%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.85%
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 Inv14.12%13.99%33.35%-5.26%-20.89%0.981.561.00
GEGeneral Electric Company-5.87%28.34%53.93%-55.39%-78.63%-0.09-0.130.51

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXGETotal Stock Market99%TSM/1%GE
VTSMXVanguard Total Stock Mkt Idx Inv1.000.511.001.00
GEGeneral Electric Company0.511.000.510.53

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameTotal Stock Market99%TSM/1%GE
VTSMXVanguard Total Stock Mkt Idx Inv$836,387$825,537
GEGeneral Electric Company-$3,379

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameTotal Stock Market99%TSM/1%GE
VTSMXVanguard Total Stock Mkt Idx Inv100.00%98.93%
GEGeneral Electric Company1.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodTotal Stock Market99%TSM/1%GE
AverageHighLowAverageHighLow
1 year12.64%33.35%-9.34%12.52%33.40%-9.45%
3 years13.18%22.91%3.88%13.06%22.91%3.57%
5 years12.20%16.22%5.62%12.11%16.23%5.47%
7 years13.10%16.71%8.82%12.98%16.58%8.68%