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.
| Ticker | Name | Allocation |
|---|---|---|
| VFINX | Vanguard 500 Index Investor | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| DFSVX | DFA US Small Cap Value I | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $35,489 | 15.11% | 13.29% | 32.18% | -4.52% | -19.63% | 1.08 | 1.75 | 1.00 |
| Portfolio 2 | $10,000 | $23,303 | 9.86% | 20.39% | 42.38% | -15.13% | -44.41% | 0.53 | 0.77 | 0.89 |
| Name | Annualized Return | Annualized Volatility | |||||
|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
| Portfolio 1 | 12.12% | 18.25% | 14.03% | 15.07% | 15.11% | 18.80% | 15.26% |
| Portfolio 2 | 32.66% | 2.23% | 0.82% | 7.10% | 9.86% | 28.96% | 24.34% |
| Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. | |||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Vanguard 500 Index Investor (VFINX) | DFA US Small Cap Value I (DFSVX) | ||
|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | ||||
| 2012 | 1.74% | 15.82% | $11,582 | 21.72% | $12,172 | 15.82% | 21.72% |
| 2013 | 1.50% | 32.18% | $15,309 | 42.38% | $17,331 | 32.18% | 42.38% |
| 2014 | 0.76% | 13.51% | $17,377 | 3.48% | $17,935 | 13.51% | 3.48% |
| 2015 | 0.73% | 1.25% | $17,594 | -7.81% | $16,533 | 1.25% | -7.81% |
| 2016 | 2.07% | 11.82% | $19,673 | 28.26% | $21,206 | 11.82% | 28.26% |
| 2017 | 2.11% | 21.67% | $23,936 | 7.21% | $22,736 | 21.67% | 7.21% |
| 2018 | 1.91% | -4.52% | $22,853 | -15.13% | $19,296 | -4.52% | -15.13% |
| 2019 | 2.29% | 31.33% | $30,012 | 18.12% | $22,794 | 31.33% | 18.12% |
| 2020 | 1.36% | 18.25% | $35,489 | 2.23% | $23,303 | 18.25% | 2.23% |
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Vanguard 500 Index Investor (VFINX) | DFA US Small Cap Value I (DFSVX) |
|---|---|---|---|---|---|
| 2012 | 1 | 4.46% | 7.43% | 4.46% | 7.43% |
| 2012 | 2 | 4.31% | 3.18% | 4.31% | 3.18% |
| 2012 | 3 | 3.28% | 2.30% | 3.28% | 2.30% |
| 2012 | 4 | -0.64% | -1.60% | -0.64% | -1.60% |
| 2012 | 5 | -6.02% | -7.12% | -6.02% | -7.12% |
| 2012 | 6 | 4.11% | 4.38% | 4.11% | 4.38% |
| 2012 | 7 | 1.37% | -0.24% | 1.37% | -0.24% |
| 2012 | 8 | 2.24% | 4.21% | 2.24% | 4.21% |
| 2012 | 9 | 2.58% | 3.31% | 2.58% | 3.31% |
| 2012 | 10 | -1.86% | -0.82% | -1.86% | -0.82% |
| 2012 | 11 | 0.56% | 1.84% | 0.56% | 1.84% |
| 2012 | 12 | 0.90% | 3.72% | 0.90% | 3.72% |
| 2013 | 1 | 5.18% | 6.56% | 5.18% | 6.56% |
| 2013 | 2 | 1.34% | 1.75% | 1.34% | 1.75% |
| 2013 | 3 | 3.74% | 4.91% | 3.74% | 4.91% |
| 2013 | 4 | 1.91% | -1.11% | 1.91% | -1.11% |
| 2013 | 5 | 2.33% | 5.39% | 2.33% | 5.39% |
| 2013 | 6 | -1.35% | -0.70% | -1.35% | -0.70% |
| 2013 | 7 | 5.07% | 7.34% | 5.07% | 7.34% |
| 2013 | 8 | -2.91% | -4.17% | -2.91% | -4.17% |
| 2013 | 9 | 3.12% | 5.24% | 3.12% | 5.24% |
| 2013 | 10 | 4.59% | 3.51% | 4.59% | 3.51% |
| 2013 | 11 | 3.03% | 5.08% | 3.03% | 5.08% |
| 2013 | 12 | 2.51% | 2.72% | 2.51% | 2.72% |
| 2014 | 1 | -3.47% | -5.14% | -3.47% | -5.14% |
| 2014 | 2 | 4.56% | 5.45% | 4.56% | 5.45% |
| 2014 | 3 | 0.82% | 1.19% | 0.82% | 1.19% |
| 2014 | 4 | 0.72% | -1.93% | 0.72% | -1.93% |
| 2014 | 5 | 2.33% | 0.83% | 2.33% | 0.83% |
| 2014 | 6 | 2.05% | 4.44% | 2.05% | 4.44% |
| 2014 | 7 | -1.39% | -5.76% | -1.39% | -5.76% |
| 2014 | 8 | 3.98% | 5.83% | 3.98% | 5.83% |
| 2014 | 9 | -1.41% | -6.98% | -1.41% | -6.98% |
| 2014 | 10 | 2.42% | 4.61% | 2.42% | 4.61% |
| 2014 | 11 | 2.68% | -0.28% | 2.68% | -0.28% |
| 2014 | 12 | -0.26% | 2.29% | -0.26% | 2.29% |
| 2015 | 1 | -3.02% | -4.95% | -3.02% | -4.95% |
| 2015 | 2 | 5.74% | 5.90% | 5.74% | 5.90% |
| 2015 | 3 | -1.59% | 1.78% | -1.59% | 1.78% |
| 2015 | 4 | 0.95% | -1.34% | 0.95% | -1.34% |
| 2015 | 5 | 1.27% | 1.36% | 1.27% | 1.36% |
| 2015 | 6 | -1.93% | 0.05% | -1.93% | 0.05% |
| 2015 | 7 | 2.08% | -3.67% | 2.08% | -3.67% |
| 2015 | 8 | -6.05% | -4.04% | -6.05% | -4.04% |
| 2015 | 9 | -2.48% | -4.51% | -2.48% | -4.51% |
| 2015 | 10 | 8.42% | 5.28% | 8.42% | 5.28% |
| 2015 | 11 | 0.29% | 3.17% | 0.29% | 3.17% |
| 2015 | 12 | -1.59% | -6.20% | -1.59% | -6.20% |
| 2016 | 1 | -4.98% | -7.18% | -4.98% | -7.18% |
| 2016 | 2 | -0.15% | 1.17% | -0.15% | 1.17% |
| 2016 | 3 | 6.78% | 8.77% | 6.78% | 8.77% |
| 2016 | 4 | 0.37% | 1.80% | 0.37% | 1.80% |
| 2016 | 5 | 1.78% | 0.47% | 1.78% | 0.47% |
| 2016 | 6 | 0.25% | -1.16% | 0.25% | -1.16% |
| 2016 | 7 | 3.68% | 4.85% | 3.68% | 4.85% |
| 2016 | 8 | 0.13% | 1.74% | 0.13% | 1.74% |
| 2016 | 9 | 0.01% | 1.21% | 0.01% | 1.21% |
| 2016 | 10 | -1.83% | -3.14% | -1.83% | -3.14% |
| 2016 | 11 | 3.70% | 14.87% | 3.70% | 14.87% |
| 2016 | 12 | 1.96% | 3.41% | 1.96% | 3.41% |
| 2017 | 1 | 1.88% | -0.53% | 1.88% | -0.53% |
| 2017 | 2 | 3.96% | 0.32% | 3.96% | 0.32% |
| 2017 | 3 | 0.10% | -1.14% | 0.10% | -1.14% |
| 2017 | 4 | 1.02% | 0.46% | 1.02% | 0.46% |
| 2017 | 5 | 1.39% | -3.51% | 1.39% | -3.51% |
| 2017 | 6 | 0.61% | 2.59% | 0.61% | 2.59% |
| 2017 | 7 | 2.04% | 0.77% | 2.04% | 0.77% |
| 2017 | 8 | 0.29% | -2.55% | 0.29% | -2.55% |
| 2017 | 9 | 2.06% | 7.92% | 2.06% | 7.92% |
| 2017 | 10 | 2.32% | 0.96% | 2.32% | 0.96% |
| 2017 | 11 | 3.06% | 2.12% | 3.06% | 2.12% |
| 2017 | 12 | 1.10% | 0.03% | 1.10% | 0.03% |
| 2018 | 1 | 5.71% | 1.50% | 5.71% | 1.50% |
| 2018 | 2 | -3.69% | -4.68% | -3.69% | -4.68% |
| 2018 | 3 | -2.56% | 0.93% | -2.56% | 0.93% |
| 2018 | 4 | 0.37% | 1.32% | 0.37% | 1.32% |
| 2018 | 5 | 2.39% | 6.29% | 2.39% | 6.29% |
| 2018 | 6 | 0.61% | 0.06% | 0.61% | 0.06% |
| 2018 | 7 | 3.71% | 1.61% | 3.71% | 1.61% |
| 2018 | 8 | 3.25% | 2.84% | 3.25% | 2.84% |
| 2018 | 9 | 0.55% | -3.19% | 0.55% | -3.19% |
| 2018 | 10 | -6.85% | -9.41% | -6.85% | -9.41% |
| 2018 | 11 | 2.03% | 0.91% | 2.03% | 0.91% |
| 2018 | 12 | -9.04% | -12.79% | -9.04% | -12.79% |
| 2019 | 1 | 8.00% | 12.00% | 8.00% | 12.00% |
| 2019 | 2 | 3.20% | 3.27% | 3.20% | 3.27% |
| 2019 | 3 | 1.94% | -3.66% | 1.94% | -3.66% |
| 2019 | 4 | 4.04% | 4.04% | 4.04% | 4.04% |
| 2019 | 5 | -6.36% | -11.52% | -6.36% | -11.52% |
| 2019 | 6 | 7.03% | 7.77% | 7.03% | 7.77% |
| 2019 | 7 | 1.43% | 0.39% | 1.43% | 0.39% |
| 2019 | 8 | -1.59% | -8.00% | -1.59% | -8.00% |
| 2019 | 9 | 1.86% | 5.96% | 1.86% | 5.96% |
| 2019 | 10 | 2.15% | 1.83% | 2.15% | 1.83% |
| 2019 | 11 | 3.62% | 3.17% | 3.62% | 3.17% |
| 2019 | 12 | 3.01% | 3.92% | 3.01% | 3.92% |
| 2020 | 1 | -0.05% | -6.88% | -0.05% | -6.88% |
| 2020 | 2 | -8.24% | -10.79% | -8.24% | -10.79% |
| 2020 | 3 | -12.37% | -26.60% | -12.37% | -26.60% |
| 2020 | 4 | 12.81% | 15.81% | 12.81% | 15.81% |
| 2020 | 5 | 4.76% | 2.85% | 4.76% | 2.85% |
| 2020 | 6 | 1.98% | 2.65% | 1.98% | 2.65% |
| 2020 | 7 | 5.63% | 3.21% | 5.63% | 3.21% |
| 2020 | 8 | 7.18% | 5.58% | 7.18% | 5.58% |
| 2020 | 9 | -3.81% | -5.13% | -3.81% | -5.13% |
| 2020 | 10 | -2.67% | 3.95% | -2.67% | 3.95% |
| 2020 | 11 | 10.94% | 17.89% | 10.94% | 17.89% |
| 2020 | 12 | 3.84% | 8.25% | 3.84% | 8.25% |
| Style Category | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Large-cap Value | 44.97% | 0.00% |
| Large-cap Growth | 54.95% | 0.00% |
| Mid-cap Value | 0.00% | 13.05% |
| Mid-cap Growth | 0.00% | 0.00% |
| Small-cap Value | 0.08% | 86.95% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 0.00% | 0.00% |
| Emerging Markets | 0.00% | 0.00% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 99.93% | 97.93% |
| Style analysis is based on monthly returns from January 2012 to December 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. | ||
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | Large Blend | 100.00% | 1.40% | 0.14% | 27.41 | $25,489 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| DFSVX | DFA US Small Cap Value I | Small Value | 100.00% | 1.86% | 0.51% | 14.00 | $13,303 | 100.00% |
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.
| Metric | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Arithmetic Mean (monthly) | 1.25% | 0.96% |
| Arithmetic Mean (annualized) | 16.11% | 12.20% |
| Geometric Mean (monthly) | 1.18% | 0.79% |
| Geometric Mean (annualized) | 15.11% | 9.86% |
| Volatility (monthly) | 3.84% | 5.89% |
| Volatility (annualized) | 13.29% | 20.39% |
| Downside Deviation (monthly) | 2.34% | 4.05% |
| Max. Drawdown | -19.63% | -44.41% |
| US Market Correlation | 1.00 | 0.89 |
| Beta(*) | 0.96 | 1.32 |
| Alpha (annualized) | 0.51% | -8.37% |
| R2 | 99.26% | 79.51% |
| Sharpe Ratio | 1.08 | 0.53 |
| Sortino Ratio | 1.75 | 0.77 |
| Treynor Ratio (%) | 15.01 | 8.30 |
| Calmar Ratio | 0.71 | 0.02 |
| Active Return | -0.05% | -5.31% |
| Tracking Error | 1.28% | 10.21% |
| Information Ratio | -0.04 | -0.52 |
| Skewness | -0.49 | -0.82 |
| Excess Kurtosis | 1.92 | 4.41 |
| Historical Value-at-Risk (5%) | -6.04% | -7.71% |
| Analytical Value-at-Risk (5%) | -5.06% | -8.72% |
| Conditional Value-at-Risk (5%) | -8.15% | -13.18% |
| Upside Capture Ratio (%) | 98.26 | 104.29 |
| Downside Capture Ratio (%) | 97.17 | 144.05 |
| Safe Withdrawal Rate | 20.24% | 19.22% |
| Perpetual Withdrawal Rate | 11.73% | 7.51% |
| Positive Periods | 79 out of 108 (73.15%) | 72 out of 108 (66.67%) |
| Gain/Loss Ratio | 0.86 | 0.79 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.63% |
| 2 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
| 3 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 4 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.62% |
| 5 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -6.38% |
| 6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
| 7 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
| 8 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
| 9 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.27% |
| 10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -2.91% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Sep 2018 | Mar 2020 | 1 year 7 months | -44.41% | |||
| 2 | Jul 2015 | Jan 2016 | 7 months | Sep 2016 | 8 months | 1 year 3 months | -16.52% |
| 3 | Apr 2012 | May 2012 | 2 months | Sep 2012 | 4 months | 6 months | -8.61% |
| 4 | Jul 2014 | Sep 2014 | 3 months | Mar 2015 | 6 months | 9 months | -7.23% |
| 5 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -5.14% |
| 6 | Feb 2018 | Feb 2018 | 1 month | May 2018 | 3 months | 4 months | -4.68% |
| 7 | Jan 2017 | May 2017 | 5 months | Sep 2017 | 4 months | 9 months | -4.37% |
| 8 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -4.17% |
| 9 | Oct 2016 | Oct 2016 | 1 month | Nov 2016 | 1 month | 2 months | -3.14% |
| 10 | Apr 2014 | Apr 2014 | 1 month | Jun 2014 | 2 months | 3 months | -1.93% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | 15.11% | 13.29% | 32.18% | -4.52% | -19.63% | 1.08 | 1.75 | 1.00 |
| DFSVX | DFA US Small Cap Value I | 9.86% | 20.39% | 42.38% | -15.13% | -44.41% | 0.53 | 0.77 | 0.89 |
| Ticker | Name | VFINX | DFSVX | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | 1.00 | 0.86 | 1.00 | 0.86 |
| DFSVX | DFA US Small Cap Value I | 0.86 | 1.00 | 0.86 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | $25,489 | |
| DFSVX | DFA US Small Cap Value I | $13,303 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | 100.00% | |
| DFSVX | DFA US Small Cap Value I | 100.00% |
| Roll Period | Portfolio 1 | Portfolio 2 | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 13.55% | 32.18% | -7.11% | 7.79% | 43.77% | -35.36% |
| 3 years | 12.53% | 20.22% | 4.96% | 6.87% | 21.50% | -12.74% |
| 5 years | 12.39% | 15.74% | 6.58% | 7.16% | 16.22% | -5.43% |
| 7 years | 12.77% | 14.57% | 9.47% | 6.48% | 10.52% | 0.05% |