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 (Dec 2012 - Jun 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 50.00%
VGTSX Vanguard Total Intl Stock Index Inv 30.00%
VBMFX Vanguard Total Bond Market Index Inv 20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
VBMFX Vanguard Total Bond Market Index Inv 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$511,000$875,846 6.48% 10.90%10.78%10.67%23.48%-6.99%-17.09%
(-17.62%)
0.961.520.98
Portfolio 2$511,000$1,098,142 9.32% 13.42%13.35%11.01%26.24%-4.23%-16.36%
(-16.47%)
1.141.871.00
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 16.26%10.15%31.83%13.34%12.86%10.90%14.73%11.87%
Portfolio 27.09%11.80%34.17%16.05%14.83%13.42%15.42%12.44%
Trailing annualized return and volatility are for full months ending in June 2021 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 2012 are based on monthly returns from December to December
  • The annual results for 2021 are based on monthly returns from January to June
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 withdrawal of $24,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
2012-0.27%-$24,0001.81%$496,2440.92%$491,6771.19%4.17%-0.20%
20131.50%-$24,00020.74%$575,14426.23%$596,63133.35%15.04%-2.26%
20140.76%-$24,0006.09%$586,19911.09%$638,82712.43%-4.24%5.76%
20150.73%-$24,000-1.11%$555,7180.29%$616,7090.29%-4.37%0.30%
20162.07%-$24,0008.16%$577,07610.53%$657,62512.53%4.65%2.50%
20172.11%-$24,00019.44%$665,24117.53%$748,93021.05%27.40%3.46%
20181.91%-$24,000-6.99%$594,765-4.23%$693,247-5.26%-14.44%-0.13%
20192.29%-$24,00023.48%$710,38726.24%$851,15730.65%21.43%8.61%
20201.36%-$24,00015.31%$795,12118.22%$982,22320.87%11.16%7.61%
20214.31%$0.0010.15%$875,84611.80%$1,098,14215.19%9.69%-1.74%
Annual return for 2012 is from 12/01/2012 to 12/31/2012 and annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
2012121.81%$496,2440.92%$491,6771.19%4.17%-0.20%
201313.61%$514,1514.26%$512,6085.50%3.34%-0.71%
201320.39%$516,1391.14%$518,4351.28%-1.23%0.54%
201332.24%$527,6783.16%$534,8343.88%0.77%0.08%
201342.10%$538,7471.56%$543,1571.70%3.58%0.91%
201350.02%$538,8581.59%$551,7712.32%-2.95%-1.71%
20136-2.05%$527,815-1.34%$544,373-1.27%-3.75%-1.65%
201374.26%$550,2874.55%$569,1655.49%4.56%0.20%
20138-2.10%$538,716-2.46%$555,190-2.82%-1.63%-0.64%
201394.19%$561,2643.20%$572,9563.66%7.21%0.96%
2013103.39%$580,2923.64%$593,8344.22%3.41%0.78%
2013111.53%$589,1822.35%$607,8092.88%0.12%-0.35%
2013121.69%$575,1442.11%$596,6312.63%1.25%-0.65%
20141-2.68%$559,744-2.18%$583,643-3.11%-4.78%1.54%
201424.04%$582,3493.85%$606,1104.73%5.39%0.48%
201430.35%$584,3790.38%$608,4170.51%0.41%-0.15%
201440.58%$587,7520.20%$609,6630.06%1.31%0.77%
201451.86%$598,6811.95%$621,5242.17%1.88%1.05%
201461.81%$609,5462.05%$634,2912.54%1.74%0.11%
20147-1.53%$600,216-1.64%$623,870-1.98%-1.61%-0.26%
201482.64%$616,0593.58%$646,1944.18%1.05%1.13%
20149-2.71%$599,380-1.86%$634,153-2.14%-5.01%-0.72%
2014101.50%$608,3982.39%$649,2962.74%-0.31%0.94%
2014111.31%$616,3742.07%$662,7432.41%-0.25%0.65%
201412-1.00%$586,1990.01%$638,827-0.01%-3.65%0.09%
20151-0.89%$581,009-1.76%$627,611-2.77%0.13%2.31%
201524.28%$605,8594.34%$654,8315.76%5.52%-1.08%
20153-0.91%$600,355-0.75%$649,906-1.04%-1.54%0.41%
201541.69%$610,4800.26%$651,6250.42%5.08%-0.36%
201550.30%$612,2971.03%$658,3081.39%-0.94%-0.45%
20156-1.88%$600,787-1.57%$647,953-1.71%-2.69%-1.01%
201570.71%$605,0591.46%$657,4161.63%-0.80%0.76%
20158-5.31%$572,951-4.92%$625,086-6.03%-7.29%-0.36%
20159-2.46%$558,837-2.18%$611,473-2.93%-3.90%0.76%
2015105.72%$590,8106.19%$649,3407.84%6.26%0.01%
201511-0.17%$589,8020.38%$651,8060.54%-1.32%-0.27%
201512-1.71%$555,718-1.70%$616,709-2.03%-2.07%-0.38%
20161-4.23%$532,229-4.25%$590,491-5.67%-5.59%1.43%
20162-0.55%$529,2970.11%$591,122-0.04%-2.27%0.66%
201636.05%$561,3285.72%$624,9257.01%8.19%0.94%
201641.05%$567,2130.58%$628,5280.63%2.22%0.38%
201650.59%$570,5551.43%$637,5251.79%-1.02%0.01%
201660.23%$571,8410.57%$641,1490.23%-0.94%1.94%
201673.41%$591,3213.28%$662,1713.95%4.41%0.64%
201680.31%$593,1800.17%$663,3230.26%0.74%-0.17%
201690.46%$595,9270.10%$664,0100.15%1.37%-0.09%
201610-1.79%$585,270-1.94%$651,142-2.21%-1.72%-0.81%
2016111.06%$591,4553.03%$670,8544.44%-2.15%-2.64%
2016121.63%$577,0761.61%$657,6251.92%2.02%0.24%
201712.17%$589,6231.59%$668,0541.91%3.87%0.29%
201722.44%$604,0013.11%$688,8203.71%1.50%0.66%
201730.87%$609,2700.04%$689,0940.07%2.82%-0.07%
201741.35%$617,4880.99%$695,9481.05%2.20%0.76%
201751.57%$627,1520.94%$702,4991.01%3.01%0.67%
201760.63%$631,0750.75%$707,7500.92%0.52%0.01%
201772.08%$644,1911.59%$718,9681.87%3.42%0.39%
201780.43%$646,9810.28%$720,9740.15%0.64%0.85%
201791.69%$657,9401.89%$734,5852.45%1.81%-0.54%
2017101.72%$669,2351.78%$747,6622.16%1.94%0.11%
2017111.75%$680,9232.46%$766,0563.04%0.78%-0.17%
2017121.22%$665,2410.90%$748,9300.99%2.01%0.44%
201814.11%$692,5984.03%$779,0895.31%5.59%-1.09%
20182-3.64%$667,400-3.20%$754,123-3.72%-5.14%-1.03%
20183-1.08%$660,221-1.48%$742,929-1.99%-0.64%0.63%
201840.27%$662,0290.14%$743,9580.38%0.83%-0.83%
201850.94%$668,2422.36%$761,5302.79%-1.92%0.61%
20186-0.26%$666,5040.55%$765,7390.68%-2.08%0.03%
201872.44%$682,7752.70%$786,4313.34%2.48%0.03%
201881.25%$691,3392.89%$809,1893.44%-2.19%0.52%
201890.07%$691,7910.03%$809,4400.16%0.30%-0.54%
201810-6.41%$647,474-6.19%$759,351-7.40%-8.35%-0.73%
2018111.53%$657,4041.77%$772,7622.06%1.26%0.53%
201812-5.88%$594,765-7.18%$693,247-9.29%-4.85%1.80%
201916.77%$635,0217.07%$742,2598.59%7.58%1.01%
201922.29%$649,5452.83%$763,2553.50%1.72%-0.06%
201931.32%$658,1071.53%$774,9421.44%0.72%1.96%
201942.88%$677,0703.25%$800,1473.98%2.76%0.04%
20195-4.68%$645,377-4.97%$760,376-6.45%-5.55%1.83%
201965.51%$680,9195.86%$804,9146.97%5.83%1.15%
201970.23%$682,4601.22%$814,7081.44%-1.89%0.23%
20198-1.23%$674,077-1.16%$805,293-2.03%-2.35%2.78%
201991.55%$684,5461.27%$815,5271.70%2.72%-0.60%
2019102.11%$699,0121.75%$829,7832.10%3.38%0.21%
2019112.28%$714,9423.07%$855,2983.77%1.11%-0.06%
2019122.72%$710,3872.32%$851,1572.85%4.27%-0.15%
20201-0.61%$706,0820.36%$854,242-0.08%-3.30%2.11%
20202-5.72%$665,690-6.17%$801,563-8.18%-6.72%1.71%
20203-11.53%$588,948-10.87%$714,451-13.78%-16.11%-0.59%
202048.96%$641,69710.40%$788,78913.25%8.09%1.69%
202054.10%$667,9814.28%$822,5515.38%4.80%0.54%
202062.46%$684,4221.93%$838,4612.28%4.24%0.70%
202074.31%$713,9244.76%$878,3545.64%4.10%1.55%
202084.62%$746,8915.46%$926,3207.18%4.31%-1.02%
20209-2.38%$729,085-2.86%$899,866-3.57%-1.96%0.08%
202010-1.85%$715,599-1.85%$883,259-2.16%-2.21%-0.61%
20201110.06%$787,5809.92%$970,88712.19%12.93%1.11%
2020124.00%$795,1213.64%$982,2234.45%5.82%0.15%
20211-0.36%$792,267-0.43%$978,006-0.34%-0.10%-0.80%
202121.99%$808,0532.25%$1,000,0363.19%2.32%-1.51%
202132.00%$824,2112.54%$1,025,4153.47%1.69%-1.38%
202143.65%$854,3014.36%$1,070,1645.14%2.78%0.95%
202151.20%$864,5720.39%$1,074,3620.43%3.14%0.24%
202161.30%$875,8462.21%$1,098,1422.53%-0.46%0.77%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value14.70%27.09%
Large-cap Growth26.42%39.98%
Mid-cap Value5.83%3.47%
Mid-cap Growth1.01%3.18%
Small-cap Value0.00%0.90%
Small-cap Growth2.94%5.31%
Global ex-US Developed Markets21.61%0.82%
Emerging Markets6.84%0.14%
Corporate Bonds10.06%6.46%
Long-Term Treasuries0.00%0.05%
Intermediate-Term Treasuries2.24%5.83%
Short-Term Treasuries8.36%6.76%
R Squared99.76%99.79%
Style analysis is based on monthly returns from December 2012 to June 2021 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/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend50.00%1.01%0.14%25.59$426,13362.80%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend30.00%2.35%0.17%18.33$125,29736.71%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond20.00%1.26%0.15%6.79$29,4160.50%
100.00%1.46%0.15%22.876.79$580,846100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend80.00%1.01%0.14%25.59$769,39799.76%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond20.00%1.26%0.15%6.79$33,7450.24%
100.00%1.06%0.14%25.596.79$803,142100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/28/2021. (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)0.91%1.10%
Arithmetic Mean (annualized)11.52%14.09%
Geometric Mean (monthly)0.87%1.05%
Geometric Mean (annualized)10.90%13.42%
Volatility (monthly)3.08%3.18%
Volatility (annualized)10.67%11.01%
Downside Deviation (monthly)1.92%1.91%
Max. Drawdown-17.09%-16.36%
US Market Correlation0.981.00
Beta(*)0.750.80
Alpha (annualized)-1.02%0.63%
R295.39%99.67%
Sharpe Ratio0.961.14
Sortino Ratio1.521.87
Treynor Ratio (%)13.6315.81
Calmar Ratio0.780.98
Active Return-5.09%-2.57%
Tracking Error4.10%2.89%
Information Ratio-1.24-0.89
Skewness-0.57-0.50
Excess Kurtosis2.792.40
Historical Value-at-Risk (5%)-4.64%-4.85%
Analytical Value-at-Risk (5%)-4.17%-4.12%
Conditional Value-at-Risk (5%)-6.59%-6.72%
Upside Capture Ratio (%)72.0179.87
Downside Capture Ratio (%)81.6678.95
Safe Withdrawal Rate15.21%16.60%
Perpetual Withdrawal Rate7.71%9.66%
Positive Periods74 out of 103 (71.84%)79 out of 103 (76.70%)
Gain/Loss Ratio0.870.77
* 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-17.09%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-10.66%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.82%
4May 2019May 20191 monthJun 20191 month2 months-4.68%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.19%
6Sep 2014Sep 20141 monthNov 20142 months3 months-2.71%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-2.68%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.10%
9Jun 2013Jun 20131 monthJul 20131 month2 months-2.05%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.88%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-16.36%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-11.39%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-7.11%
4May 2019May 20191 monthJun 20191 month2 months-4.97%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.65%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-4.64%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.46%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-2.18%
9Oct 2016Oct 20161 monthNov 20161 month2 months-1.94%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.86%
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 Inv15.99%13.82%33.35%-5.26%-20.89%1.101.791.00
VGTSXVanguard Total Intl Stock Index Inv7.45%13.91%27.40%-14.44%-25.55%0.540.810.86
VBMFXVanguard Total Bond Market Index Inv2.71%3.23%8.61%-2.26%-3.94%0.641.07-0.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.86-0.010.981.00
VGTSXVanguard Total Intl Stock Index Inv0.861.000.090.950.86
VBMFXVanguard Total Bond Market Index Inv-0.010.091.000.080.04

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$426,133$769,397
VGTSXVanguard Total Intl Stock Index Inv$125,297
VBMFXVanguard Total Bond Market Index Inv$29,416$33,745

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv62.80%99.76%
VGTSXVanguard Total Intl Stock Index Inv36.71%
VBMFXVanguard Total Bond Market Index Inv0.50%0.24%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.79%44.17%-8.86%12.18%47.03%-6.22%
3 years7.89%13.34%2.51%10.14%16.17%4.41%
5 years8.31%12.86%3.50%10.43%14.83%5.38%
7 years8.34%9.50%5.61%10.72%11.99%7.92%