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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (May 2013 - Jun 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$15,072 6.88% 6.89%15.04%-4.91%-7.57% 0.901.460.95
Portfolio 2$10,000$16,252 8.19% 11.61%24.49%-9.76%-14.45% 0.681.050.95
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 13.34%6.67%8.24%5.82%6.88%
Portfolio 23.49%4.92%11.54%6.29%8.19%
Trailing returns are for full months ending in June 2019 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 2013 are based on monthly returns from May to December
  • The annual results for 2019 are based on monthly returns from January to June
  • 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
YearInflationReturnBalanceVanguard LifeStrategy Moderate Gr Inv (VSMGX)Vanguard Total World Stock ETF (VT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20130.22%7.61%12.84%$10,761$11,2847.61%12.84%
20140.76%7.07%3.67%$11,522$11,6987.07%3.67%
20150.73%-0.57%-1.86%$11,456$11,480-0.57%-1.86%
20162.07%7.13%8.51%$12,273$12,4587.13%8.51%
20172.11%15.04%24.49%$14,120$15,50915.04%24.49%
20181.91%-4.91%-9.76%$13,427$13,995-4.91%-9.76%
20191.95%12.26%16.13%$15,072$16,25212.26%16.13%
Annual returns for 2013 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard LifeStrategy Moderate Gr Inv (VSMGX)Vanguard Total World Stock ETF (VT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20135-0.27%-0.56%$9,973$9,944-0.27%-0.56%
20136-1.78%-2.66%$9,796$9,680-1.78%-2.66%
201373.19%5.16%$10,108$10,1803.19%5.16%
20138-1.73%-2.46%$9,933$9,930-1.73%-2.46%
201393.19%5.59%$10,251$10,4853.19%5.59%
2013102.69%3.71%$10,526$10,8732.69%3.71%
2013111.14%1.54%$10,646$11,0411.14%1.54%
2013121.08%2.19%$10,761$11,2841.08%2.19%
20141-1.56%-4.44%$10,593$10,782-1.56%-4.44%
201423.12%5.21%$10,924$11,3443.12%5.21%
201430.30%0.48%$10,956$11,3990.30%0.48%
201440.55%0.74%$11,017$11,4830.55%0.74%
201451.65%2.05%$11,199$11,7181.65%2.05%
201461.44%2.21%$11,360$11,9771.44%2.21%
20147-1.12%-1.75%$11,233$11,767-1.12%-1.75%
201482.39%2.65%$11,501$12,0792.39%2.65%
20149-2.04%-3.34%$11,265$11,676-2.04%-3.34%
2014101.54%0.94%$11,439$11,7861.54%0.94%
2014111.32%1.26%$11,590$11,9351.32%1.26%
201412-0.59%-1.99%$11,522$11,698-0.59%-1.99%
20151-0.25%-1.63%$11,493$11,507-0.25%-1.63%
201522.96%5.95%$11,833$12,1922.96%5.95%
20153-0.49%-1.21%$11,775$12,045-0.49%-1.21%
201540.89%2.55%$11,881$12,3520.89%2.55%
201550.20%0.33%$11,905$12,3930.20%0.33%
20156-1.61%-2.22%$11,712$12,118-1.61%-2.22%
201570.87%0.50%$11,814$12,1790.87%0.50%
20158-4.01%-6.63%$11,340$11,371-4.01%-6.63%
20159-1.70%-3.71%$11,147$10,949-1.70%-3.71%
2015104.38%7.29%$11,635$11,7474.38%7.29%
201511-0.17%-0.08%$11,616$11,737-0.17%-0.08%
201512-1.37%-2.19%$11,456$11,480-1.37%-2.19%
20161-2.78%-5.87%$11,138$10,807-2.78%-5.87%
20162-0.22%-1.11%$11,113$10,687-0.22%-1.11%
201634.83%7.98%$11,650$11,5404.83%7.98%
201640.90%1.01%$11,754$11,6560.90%1.01%
201650.46%0.65%$11,809$11,7320.46%0.65%
201660.64%-0.18%$11,884$11,7110.64%-0.18%
201672.79%4.15%$12,216$12,1972.79%4.15%
201680.25%0.35%$12,246$12,2390.25%0.35%
201690.37%0.79%$12,291$12,3360.37%0.79%
201610-1.59%-1.97%$12,095$12,092-1.59%-1.97%
2016110.21%1.19%$12,120$12,2360.21%1.19%
2016121.26%1.81%$12,273$12,4581.26%1.81%
201711.61%3.00%$12,472$12,8321.61%3.00%
201722.00%2.69%$12,721$13,1772.00%2.69%
201730.68%1.48%$12,807$13,3710.68%1.48%
201741.19%1.63%$12,959$13,5881.19%1.63%
201751.29%1.95%$13,127$13,8531.29%1.95%
201760.44%0.63%$13,185$13,9400.44%0.63%
201771.63%2.65%$13,400$14,3091.63%2.65%
201780.54%0.42%$13,472$14,3690.54%0.42%
201791.14%2.11%$13,626$14,6721.14%2.11%
2017101.32%2.11%$13,806$14,9811.32%2.11%
2017111.26%1.90%$13,980$15,2651.26%1.90%
2017121.00%1.60%$14,120$15,5091.00%1.60%
201812.87%5.48%$14,526$16,3592.87%5.48%
20182-2.79%-4.44%$14,120$15,632-2.79%-4.44%
20183-0.59%-1.29%$14,037$15,431-0.59%-1.29%
201840.11%0.42%$14,052$15,4960.11%0.42%
201850.74%0.57%$14,156$15,5840.74%0.57%
20186-0.18%-0.60%$14,130$15,490-0.18%-0.60%
201871.82%2.88%$14,388$15,9361.82%2.88%
201880.84%0.86%$14,509$16,0730.84%0.86%
20189-0.04%0.08%$14,503$16,086-0.04%0.08%
201810-4.89%-7.82%$13,794$14,828-4.89%-7.82%
2018111.26%1.73%$13,967$15,0851.26%1.73%
201812-3.87%-7.22%$13,427$13,995-3.87%-7.22%
201915.28%7.99%$14,136$15,1135.28%7.99%
201921.69%2.82%$14,374$15,5391.69%2.82%
201931.47%1.06%$14,585$15,7041.47%1.06%
201942.12%3.47%$14,894$16,2492.12%3.47%
20195-3.05%-5.97%$14,439$15,279-3.05%-5.97%
201964.39%6.37%$15,072$16,2524.39%6.37%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value12.63%14.19%
Large-cap Growth19.45%26.27%
Mid-cap Value2.33%9.96%
Mid-cap Growth1.07%0.40%
Small-cap Value3.23%0.10%
Small-cap Growth0.00%1.12%
Global ex-US Developed Markets16.14%36.63%
Emerging Markets4.66%11.34%
Corporate Bonds9.62%0.00%
Long-Term Treasuries3.91%0.00%
Intermediate-Term Treasuries2.96%0.00%
Short-Term Treasuries24.01%0.00%
R Squared99.66%99.68%
Style analysis is based on monthly returns from May 2013 to Jun 2019 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%0.13%22.077.14$5,072100.00%

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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock100.00%0.08%20.31$6,252100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (c) 2020 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)0.58%0.71%
Arithmetic Mean (annualized)7.13%8.91%
Geometric Mean (monthly)0.56%0.66%
Geometric Mean (annualized)6.88%8.19%
Volatility (monthly)1.99%3.35%
Volatility (annualized)6.89%11.61%
Downside Deviation (monthly)1.19%2.12%
Max. Drawdown-7.57%-14.45%
US Market Correlation0.950.95
Beta(*)0.560.94
Alpha (annualized)0.08%-2.96%
R290.40%90.88%
Sharpe Ratio0.900.68
Sortino Ratio1.461.05
Treynor Ratio (%)11.168.38
Calmar Ratio1.090.80
Active Return-5.37%-4.06%
Tracking Error5.67%3.58%
Information Ratio-0.95-1.13
Skewness-0.29-0.30
Excess Kurtosis0.560.44
Historical Value-at-Risk (5%)-3.26%-6.14%
Analytical Value-at-Risk (5%)-2.70%-4.80%
Conditional Value-at-Risk (5%)-4.26%-7.22%
Upside Capture Ratio (%)55.1386.11
Downside Capture Ratio (%)59.47107.57
Safe Withdrawal Rate19.62%20.30%
Perpetual Withdrawal Rate5.09%6.28%
Positive Periods50 out of 74 (67.57%)50 out of 74 (67.57%)
Gain/Loss Ratio1.010.84
* 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
1Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.57%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.65%
3May 2019May 20191 monthJun 20191 month2 months-3.05%
4Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
5May 2013Jun 20132 monthsJul 20131 month3 months-2.04%
6Aug 2013Aug 20131 monthSep 20131 month2 months-1.73%
7Oct 2016Oct 20161 monthJan 20173 months4 months-1.59%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-1.56%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.12%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-0.84%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-14.45%
2Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%
3Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.73%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-4.44%
5May 2013Jun 20132 monthsJul 20131 month3 months-3.20%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.46%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.75%
8Mar 2015Mar 20151 monthApr 20151 month2 months-1.21%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSMGXVanguard LifeStrategy Moderate Gr Inv6.88%6.89%15.04%-4.91%-7.57%0.901.460.95
VTVanguard Total World Stock ETF8.19%11.61%24.49%-9.76%-14.45%0.681.050.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSMGXVTPortfolio 1Portfolio 2
VSMGXVanguard LifeStrategy Moderate Gr Inv1.000.981.000.98
VTVanguard Total World Stock ETF0.981.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VSMGXVanguard LifeStrategy Moderate Gr Inv$5,072
VTVanguard Total World Stock ETF$6,252

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VSMGXVanguard LifeStrategy Moderate Gr Inv100.00%
VTVanguard Total World Stock ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.75%15.04%-4.91%5.01%24.49%-9.76%
3 years5.64%7.01%4.48%6.68%9.86%3.36%
5 years4.53%4.53%4.53%4.40%4.40%4.40%
Result statistics are based on annualized rolling returns over full calendar year periods