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 (Jan 2012 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$35,489 15.11% 13.29%32.18%-4.52%-19.63% 1.081.751.00
Portfolio 2$10,000$23,303 9.86% 20.39%42.38%-15.13%-44.41% 0.530.770.89
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 112.12%18.25%14.03%15.07%15.11%18.80%15.26%
Portfolio 232.66%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.
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 1Portfolio 2Vanguard 500 Index Investor (VFINX)DFA US Small Cap Value I (DFSVX)
ReturnBalanceReturnBalance
20121.74%15.82%$11,58221.72%$12,17215.82%21.72%
20131.50%32.18%$15,30942.38%$17,33132.18%42.38%
20140.76%13.51%$17,3773.48%$17,93513.51%3.48%
20150.73%1.25%$17,594-7.81%$16,5331.25%-7.81%
20162.07%11.82%$19,67328.26%$21,20611.82%28.26%
20172.11%21.67%$23,9367.21%$22,73621.67%7.21%
20181.91%-4.52%$22,853-15.13%$19,296-4.52%-15.13%
20192.29%31.33%$30,01218.12%$22,79431.33%18.12%
20201.36%18.25%$35,4892.23%$23,30318.25%2.23%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnVanguard 500 Index Investor (VFINX)DFA US Small Cap Value I (DFSVX)
201214.46%7.43%4.46%7.43%
201224.31%3.18%4.31%3.18%
201233.28%2.30%3.28%2.30%
20124-0.64%-1.60%-0.64%-1.60%
20125-6.02%-7.12%-6.02%-7.12%
201264.11%4.38%4.11%4.38%
201271.37%-0.24%1.37%-0.24%
201282.24%4.21%2.24%4.21%
201292.58%3.31%2.58%3.31%
201210-1.86%-0.82%-1.86%-0.82%
2012110.56%1.84%0.56%1.84%
2012120.90%3.72%0.90%3.72%
201315.18%6.56%5.18%6.56%
201321.34%1.75%1.34%1.75%
201333.74%4.91%3.74%4.91%
201341.91%-1.11%1.91%-1.11%
201352.33%5.39%2.33%5.39%
20136-1.35%-0.70%-1.35%-0.70%
201375.07%7.34%5.07%7.34%
20138-2.91%-4.17%-2.91%-4.17%
201393.12%5.24%3.12%5.24%
2013104.59%3.51%4.59%3.51%
2013113.03%5.08%3.03%5.08%
2013122.51%2.72%2.51%2.72%
20141-3.47%-5.14%-3.47%-5.14%
201424.56%5.45%4.56%5.45%
201430.82%1.19%0.82%1.19%
201440.72%-1.93%0.72%-1.93%
201452.33%0.83%2.33%0.83%
201462.05%4.44%2.05%4.44%
20147-1.39%-5.76%-1.39%-5.76%
201483.98%5.83%3.98%5.83%
20149-1.41%-6.98%-1.41%-6.98%
2014102.42%4.61%2.42%4.61%
2014112.68%-0.28%2.68%-0.28%
201412-0.26%2.29%-0.26%2.29%
20151-3.02%-4.95%-3.02%-4.95%
201525.74%5.90%5.74%5.90%
20153-1.59%1.78%-1.59%1.78%
201540.95%-1.34%0.95%-1.34%
201551.27%1.36%1.27%1.36%
20156-1.93%0.05%-1.93%0.05%
201572.08%-3.67%2.08%-3.67%
20158-6.05%-4.04%-6.05%-4.04%
20159-2.48%-4.51%-2.48%-4.51%
2015108.42%5.28%8.42%5.28%
2015110.29%3.17%0.29%3.17%
201512-1.59%-6.20%-1.59%-6.20%
20161-4.98%-7.18%-4.98%-7.18%
20162-0.15%1.17%-0.15%1.17%
201636.78%8.77%6.78%8.77%
201640.37%1.80%0.37%1.80%
201651.78%0.47%1.78%0.47%
201660.25%-1.16%0.25%-1.16%
201673.68%4.85%3.68%4.85%
201680.13%1.74%0.13%1.74%
201690.01%1.21%0.01%1.21%
201610-1.83%-3.14%-1.83%-3.14%
2016113.70%14.87%3.70%14.87%
2016121.96%3.41%1.96%3.41%
201711.88%-0.53%1.88%-0.53%
201723.96%0.32%3.96%0.32%
201730.10%-1.14%0.10%-1.14%
201741.02%0.46%1.02%0.46%
201751.39%-3.51%1.39%-3.51%
201760.61%2.59%0.61%2.59%
201772.04%0.77%2.04%0.77%
201780.29%-2.55%0.29%-2.55%
201792.06%7.92%2.06%7.92%
2017102.32%0.96%2.32%0.96%
2017113.06%2.12%3.06%2.12%
2017121.10%0.03%1.10%0.03%
201815.71%1.50%5.71%1.50%
20182-3.69%-4.68%-3.69%-4.68%
20183-2.56%0.93%-2.56%0.93%
201840.37%1.32%0.37%1.32%
201852.39%6.29%2.39%6.29%
201860.61%0.06%0.61%0.06%
201873.71%1.61%3.71%1.61%
201883.25%2.84%3.25%2.84%
201890.55%-3.19%0.55%-3.19%
201810-6.85%-9.41%-6.85%-9.41%
2018112.03%0.91%2.03%0.91%
201812-9.04%-12.79%-9.04%-12.79%
201918.00%12.00%8.00%12.00%
201923.20%3.27%3.20%3.27%
201931.94%-3.66%1.94%-3.66%
201944.04%4.04%4.04%4.04%
20195-6.36%-11.52%-6.36%-11.52%
201967.03%7.77%7.03%7.77%
201971.43%0.39%1.43%0.39%
20198-1.59%-8.00%-1.59%-8.00%
201991.86%5.96%1.86%5.96%
2019102.15%1.83%2.15%1.83%
2019113.62%3.17%3.62%3.17%
2019123.01%3.92%3.01%3.92%
20201-0.05%-6.88%-0.05%-6.88%
20202-8.24%-10.79%-8.24%-10.79%
20203-12.37%-26.60%-12.37%-26.60%
2020412.81%15.81%12.81%15.81%
202054.76%2.85%4.76%2.85%
202061.98%2.65%1.98%2.65%
202075.63%3.21%5.63%3.21%
202087.18%5.58%7.18%5.58%
20209-3.81%-5.13%-3.81%-5.13%
202010-2.67%3.95%-2.67%3.95%
20201110.94%17.89%10.94%17.89%
2020123.84%8.25%3.84%8.25%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value44.97%0.00%
Large-cap Growth54.95%0.00%
Mid-cap Value0.00%13.05%
Mid-cap Growth0.00%0.00%
Small-cap Value0.08%86.95%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.93%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.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%1.40%0.14%27.41$25,489100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value100.00%1.86%0.51%14.00$13,303100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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
MetricPortfolio 1Portfolio 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 Correlation1.000.89
Beta(*)0.961.32
Alpha (annualized)0.51%-8.37%
R299.26%79.51%
Sharpe Ratio1.080.53
Sortino Ratio1.750.77
Treynor Ratio (%)15.018.30
Calmar Ratio0.710.02
Active Return-0.05%-5.31%
Tracking Error1.28%10.21%
Information Ratio-0.04-0.52
Skewness-0.49-0.82
Excess Kurtosis1.924.41
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 (%)98.26104.29
Downside Capture Ratio (%)97.17144.05
Safe Withdrawal Rate20.24%19.22%
Perpetual Withdrawal Rate11.73%7.51%
Positive Periods79 out of 108 (73.15%)72 out of 108 (66.67%)
Gain/Loss Ratio0.860.79
* 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-19.63%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Mar 20201 year 7 months-44.41%
2Jul 2015Jan 20167 monthsSep 20168 months1 year 3 months-16.52%
3Apr 2012May 20122 monthsSep 20124 months6 months-8.61%
4Jul 2014Sep 20143 monthsMar 20156 months9 months-7.23%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-5.14%
6Feb 2018Feb 20181 monthMay 20183 months4 months-4.68%
7Jan 2017May 20175 monthsSep 20174 months9 months-4.37%
8Aug 2013Aug 20131 monthSep 20131 month2 months-4.17%
9Oct 2016Oct 20161 monthNov 20161 month2 months-3.14%
10Apr 2014Apr 20141 monthJun 20142 months3 months-1.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor15.11%13.29%32.18%-4.52%-19.63%1.081.751.00
DFSVXDFA US Small Cap Value I9.86%20.39%42.38%-15.13%-44.41%0.530.770.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXDFSVXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.000.861.000.86
DFSVXDFA US Small Cap Value I0.861.000.861.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$25,489
DFSVXDFA US Small Cap Value I$13,303

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor100.00%
DFSVXDFA US Small Cap Value I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year13.55%32.18%-7.11%7.79%43.77%-35.36%
3 years12.53%20.22%4.96%6.87%21.50%-12.74%
5 years12.39%15.74%6.58%7.16%16.22%-5.43%
7 years12.77%14.57%9.47%6.48%10.52%0.05%