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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (May 2013 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
AWR American States Water Company 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 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$18,003 17.39% 24.41%34.70%5.69%-17.56% 0.781.370.20
Portfolio 2$10,000$15,054 11.80% 10.85%18.26%0.39%-8.84% 1.082.011.00
Vanguard 500 Index Investor$10,000$15,074 11.84% 10.59%17.30%1.25%-8.38% 1.112.090.99
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2013 are based on full calendar months from May to December
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceAmerican States Water Company (AWR)Vanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
20130.22%5.69%18.26%17.30%$10,569$11,826$11,7305.69%18.26%
20140.76%34.70%12.56%13.51%$14,237$13,311$13,31534.70%12.56%
20150.73%13.91%0.39%1.25%$16,218$13,362$13,48113.91%0.39%
20162.07%11.01%12.66%11.82%$18,003$15,054$15,07411.01%12.66%
Annual returns for 2013 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceAmerican States Water Company (AWR)Vanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
20135-3.60%2.35%2.33%$9,640$10,235$10,233-3.60%2.35%
201361.02%-1.24%-1.35%$9,738$10,107$10,0951.02%-1.24%
2013719.66%5.46%5.07%$11,653$10,659$10,60719.66%5.46%
20138-17.56%-2.80%-2.91%$9,606$10,361$10,298-17.56%-2.80%
201394.79%3.67%3.12%$10,067$10,741$10,6194.79%3.67%
2013103.34%4.25%4.59%$10,403$11,197$11,1063.34%4.25%
2013113.19%2.88%3.03%$10,735$11,519$11,4433.19%2.88%
201312-1.54%2.66%2.51%$10,569$11,826$11,730-1.54%2.66%
20141-1.15%-3.11%-3.47%$10,448$11,458$11,323-1.15%-3.11%
201426.52%4.75%4.56%$11,129$12,003$11,8406.52%4.75%
201437.53%0.52%0.82%$11,966$12,066$11,9377.53%0.52%
20144-5.98%0.06%0.72%$11,251$12,073$12,024-5.98%0.06%
201450.44%2.17%2.33%$11,301$12,335$12,3040.44%2.17%
201469.74%2.57%2.05%$12,401$12,652$12,5579.74%2.57%
20147-8.07%-1.98%-1.39%$11,401$12,402$12,383-8.07%-1.98%
201486.46%4.18%3.98%$12,137$12,920$12,8766.46%4.18%
20149-5.82%-2.11%-1.41%$11,431$12,648$12,694-5.82%-2.11%
20141017.62%2.74%2.42%$13,445$12,994$13,00117.62%2.74%
201411-1.90%2.43%2.68%$13,190$13,310$13,350-1.90%2.43%
2014127.94%0.00%-0.26%$14,237$13,311$13,3157.94%0.00%
201515.26%-2.77%-3.02%$14,986$12,942$12,9135.26%-2.77%
201521.79%5.76%5.74%$15,253$13,687$13,6541.79%5.76%
20153-0.60%-1.01%-1.59%$15,162$13,549$13,437-0.60%-1.01%
20154-3.76%0.42%0.95%$14,592$13,606$13,564-3.76%0.42%
201550.67%1.39%1.27%$14,689$13,795$13,7370.67%1.39%
20156-2.71%-1.70%-1.93%$14,292$13,561$13,471-2.71%-1.70%
201573.10%1.65%2.08%$14,735$13,784$13,7513.10%1.65%
20158-1.51%-6.00%-6.04%$14,513$12,957$12,921-1.51%-6.00%
201599.67%-2.94%-2.49%$15,916$12,575$12,5999.67%-2.94%
201510-1.57%7.86%8.42%$15,666$13,564$13,660-1.57%7.86%
2015113.22%0.56%0.29%$16,171$13,640$13,6993.22%0.56%
2015120.29%-2.04%-1.59%$16,218$13,362$13,4810.29%-2.04%
201618.22%-5.65%-4.98%$17,551$12,607$12,8108.22%-5.65%
20162-6.14%-0.04%-0.15%$16,474$12,602$12,792-6.14%-0.04%
20163-7.19%7.03%6.78%$15,290$13,488$13,658-7.19%7.03%
201645.92%0.65%0.37%$16,195$13,576$13,7095.92%0.65%
20165-5.78%1.77%1.78%$15,258$13,816$13,954-5.78%1.77%
2016612.19%0.25%0.25%$17,118$13,850$13,98912.19%0.25%
20167-1.41%3.95%3.68%$16,876$14,397$14,503-1.41%3.95%
20168-9.29%0.28%0.13%$15,308$14,437$14,522-9.29%0.28%
201692.74%0.15%0.01%$15,729$14,459$14,5232.74%0.15%
201610-0.17%-2.21%-1.83%$15,701$14,139$14,257-0.17%-2.21%
2016116.71%4.45%3.70%$16,754$14,769$14,7846.71%4.45%
2016127.45%1.93%1.96%$18,003$15,054$15,0747.45%1.93%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Vanguard 500 Index Investor
Large-cap Value0.00%34.01%47.24%
Large-cap Growth0.00%44.82%51.54%
Mid-cap Value0.00%5.19%0.00%
Mid-cap Growth0.00%5.11%0.00%
Small-cap Value4.42%4.67%0.59%
Small-cap Growth54.15%3.88%0.01%
Global ex-US Developed Markets0.00%2.17%0.00%
Emerging Markets0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries41.44%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.15%0.61%
R Squared19.24%99.83%99.93%
Style analysis is based on monthly returns from May 2013 to Dec 2016 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
AWRAmerican States Water CompanyPublic Utilities / Water Supply100.00%$8,003100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%100.00%$5,054100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 08/05/2019. © 2019 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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.58%0.98%0.98%
Arithmetic Mean (annualized)20.76%12.44%12.45%
Geometric Mean (monthly)1.35%0.93%0.94%
Geometric Mean (annualized)17.39%11.80%11.84%
Volatility (monthly)7.05%3.13%3.06%
Volatility (annualized)24.41%10.85%10.59%
Downside Deviation (monthly)3.99%1.68%1.62%
Max. Drawdown-17.56%-8.84%-8.38%
US Market Correlation0.201.000.99
Beta(*)0.401.021.00
Alpha (annualized)14.26%-0.22%0.00%
R23.06%98.63%100.00%
Sharpe Ratio0.781.081.11
Sortino Ratio1.372.012.09
Treynor Ratio (%)47.0111.5211.73
Calmar Ratio1.490.951.04
Active Return5.55%-0.04%N/A
Tracking Error24.85%1.28%N/A
Information Ratio0.22-0.03N/A
Skewness0.12-0.030.04
Excess Kurtosis0.91-0.180.03
Historical Value-at-Risk (5%)-8.98%-5.01%-4.60%
Analytical Value-at-Risk (5%)-10.01%-4.17%-4.05%
Conditional Value-at-Risk (5%)-13.42%-5.83%-5.51%
Upside Capture Ratio (%)96.79101.61100.00
Downside Capture Ratio (%)44.14103.35100.00
Safe Withdrawal Rate34.95%32.71%32.72%
Perpetual Withdrawal Rate12.86%8.87%8.90%
Positive Periods25 out of 44 (56.82%)30 out of 44 (68.18%)29 out of 44 (65.91%)
Gain/Loss Ratio1.381.031.17
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2013Aug 20131 monthMar 20147 months8 months-17.56%
2Feb 2016May 20164 monthsDec 20167 months11 months-13.06%
3Jul 2014Jul 20141 monthOct 20143 months4 months-8.07%
4Mar 2015Jun 20154 monthsSep 20153 months7 months-6.30%
5Apr 2014Apr 20141 monthJun 20142 months3 months-5.98%
6May 2013May 20131 monthJul 20132 months3 months-3.60%
7Nov 2014Nov 20141 monthDec 20141 month2 months-1.90%
8Oct 2015Oct 20151 monthNov 20151 month2 months-1.57%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
2Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
3Aug 2013Aug 20131 monthSep 20131 month2 months-2.80%
4Jan 2015Jan 20151 monthFeb 20151 month2 months-2.77%
5Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%
6Sep 2014Sep 20141 monthOct 20141 month2 months-2.11%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.98%
8Jun 2013Jun 20131 monthJul 20131 month2 months-1.24%
9Mar 2015Mar 20151 monthMay 20152 months3 months-1.01%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
2Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
3Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
4Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
5Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
6Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
7Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
8Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.35%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
AWRAmerican States Water Company17.39%24.41%34.70%5.69%-17.56%0.781.370.20
VTSAXVanguard Total Stock Mkt Idx Adm11.80%10.85%18.26%0.39%-8.84%1.082.011.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameAWRVTSAXPortfolio 1Portfolio 2Vanguard 500 Index Investor
AWRAmerican States Water Company-0.201.000.200.17
VTSAXVanguard Total Stock Mkt Idx Adm0.20-0.201.000.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
AWRAmerican States Water Company$8,003
VTSAXVanguard Total Stock Mkt Idx Adm$5,054

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
AWRAmerican States Water Company100.00%
VTSAXVanguard Total Stock Mkt Idx Adm100.00%

Annual Asset Returns