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 (Oct 2014 - Mar 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VXUS Vanguard Total International Stock ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 13.00%
EFA iShares MSCI EAFE ETF 45.00%
EEM iShares MSCI Emerging Markets ETF 13.00%
IVE iShares S&P 500 Value ETF 13.00%
VOE Vanguard Mid-Cap Value ETF 10.00%
VBR Vanguard Small-Cap Value ETF 6.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$196,000 21.20% 10.86%11.17%10.32%21.21%-0.70%-8.84%
(-7.18%)
1.021.801.00
Portfolio 2$100,000$173,315 17.01% 5.86%6.76%11.58%27.45%-4.44%-19.31%
(-11.25%)
0.520.840.79
Portfolio 3$100,000$179,516 18.20% 7.40%8.01%10.41%23.23%-3.43%-15.24%
(-8.91%)
0.701.140.93
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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 2014 are based on full calendar months from October to December
  • The annual results for 2018 are based on full calendar months from January to March
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include monthly 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
  • Inflation adjusted monthly contribution of $1,000 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
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)Vanguard Total International Stock ETF (VXUS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares S&P 500 Value ETF (IVE)Vanguard Mid-Cap Value ETF (VOE)Vanguard Small-Cap Value ETF (VBR)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
2014-1.35%5.25%-4.44%-0.02%$108,252$98,455$102,919$2,9765.25%-4.44%-4.20%-4.13%4.73%7.07%7.90%
20150.73%0.36%-4.19%-3.43%$120,545$105,597$110,834$11,9490.36%-4.19%-1.00%-16.18%-3.29%-1.89%-4.76%
20162.07%12.83%4.81%8.93%$149,129$123,174$133,567$12,10012.83%4.81%1.37%10.87%17.31%15.40%24.90%
20172.11%21.21%27.45%23.23%$194,310$170,595$178,106$12,35721.21%27.45%25.10%37.28%15.25%17.07%11.80%
20181.23%-0.70%-0.21%-0.93%$196,000$173,315$179,516$3,136-0.70%-0.21%-0.90%2.46%-3.73%-1.49%-2.10%
Annual returns for 2014 and 2018 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)Vanguard Total International Stock ETF (VXUS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares S&P 500 Value ETF (IVE)Vanguard Mid-Cap Value ETF (VOE)Vanguard Small-Cap Value ETF (VBR)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2014102.75%-0.08%1.30%$103,743$100,919$102,2992.75%-0.08%-0.27%1.42%1.79%3.56%4.85%
2014112.48%-0.51%0.80%$107,309$101,396$104,1052.48%-0.51%0.06%-1.54%2.37%2.72%1.10%
201412-0.04%-3.87%-2.09%$108,252$98,455$102,919-0.04%-3.87%-4.00%-3.99%0.51%0.65%1.79%
20151-2.74%0.27%-1.18%$106,272$99,701$102,685-2.74%0.27%0.62%-0.69%-4.48%-2.37%-3.30%
201525.74%5.78%5.76%$113,360$106,447$109,5845.74%5.78%6.34%4.41%5.48%5.35%5.66%
20153-1.16%-1.49%-1.10%$113,042$105,853$109,367-1.16%-1.49%-1.43%-1.50%-1.46%-0.05%1.30%
201540.62%4.81%2.69%$114,732$111,935$113,3050.62%4.81%3.65%6.85%1.44%-0.29%-1.30%
201551.30%-0.91%0.02%$117,219$111,916$114,3221.30%-0.91%0.20%-4.10%0.70%1.20%1.37%
20156-1.67%-2.73%-2.58%$116,259$109,862$112,375-1.67%-2.73%-3.12%-2.93%-1.96%-2.34%-1.51%
201571.70%-0.56%0.41%$119,239$110,254$113,8381.70%-0.56%2.03%-6.31%0.44%0.94%-0.95%
20158-6.09%-7.43%-6.80%$112,977$103,060$107,099-6.09%-7.43%-7.43%-8.84%-6.05%-4.41%-4.84%
20159-2.92%-3.85%-3.70%$110,675$100,088$104,140-2.92%-3.85%-4.42%-3.13%-2.82%-3.40%-3.58%
2015107.91%6.25%6.82%$120,430$107,343$112,2427.91%6.25%6.61%6.38%7.38%6.31%6.63%
2015110.60%-1.32%-0.37%$122,151$106,927$112,8190.60%-1.32%-0.75%-2.52%0.57%0.62%1.32%
201512-2.13%-2.17%-2.64%$120,545$105,597$110,834-2.13%-2.17%-2.34%-3.83%-1.79%-2.87%-4.90%
20161-5.72%-5.45%-5.59%$114,641$100,834$105,630-5.72%-5.45%-5.52%-5.03%-4.95%-6.86%-6.37%
20162-0.01%-2.46%-1.30%$115,625$99,347$105,248-0.01%-2.46%-3.33%-0.82%0.59%1.36%1.50%
201637.11%8.33%7.78%$124,848$108,626$114,4367.11%8.33%6.58%12.96%6.89%7.76%8.94%
201640.66%2.16%1.62%$126,675$111,977$117,2980.66%2.16%2.22%0.41%1.99%0.99%2.10%
201651.73%-0.98%0.05%$129,882$111,888$118,3711.73%-0.98%-0.09%-3.69%0.92%1.44%1.40%
201660.27%-0.90%-0.30%$131,250$111,895$119,0320.27%-0.90%-2.42%4.56%0.95%0.32%0.15%
201673.98%4.52%4.05%$137,479$117,962$124,8633.98%4.52%3.98%5.38%2.66%4.19%4.64%
201680.21%0.45%0.59%$138,775$119,507$126,6140.21%0.45%0.53%0.88%0.57%0.93%0.73%
201690.21%1.70%0.97%$140,076$122,548$128,8550.21%1.70%1.34%2.52%-0.37%0.43%0.30%
201610-2.19%-1.91%-2.00%$138,021$121,227$127,291-2.19%-1.91%-2.22%-0.83%-1.51%-2.42%-2.92%
2016114.49%-2.01%1.23%$145,234$119,806$129,8744.49%-2.01%-1.78%-4.42%6.30%5.94%10.21%
2016121.98%1.96%2.06%$149,129$123,174$133,5671.98%1.96%2.71%-0.25%2.59%1.10%2.86%
201711.86%4.08%2.92%$152,917$129,214$138,4871.86%4.08%3.29%6.66%0.58%2.17%0.65%
201723.69%1.34%2.19%$159,590$131,970$142,5443.69%1.34%1.19%1.74%3.79%3.35%2.01%
201730.06%3.00%1.72%$160,703$136,948$146,0230.06%3.00%3.23%3.69%-1.16%-0.25%-0.72%
201741.06%2.05%1.50%$163,439$140,787$149,2411.06%2.05%2.42%1.70%-0.10%0.39%0.40%
201751.01%2.96%1.92%$166,120$145,980$153,1301.01%2.96%3.54%2.85%-0.34%0.09%-2.40%
201760.95%0.63%0.87%$168,723$147,933$155,4840.95%0.63%0.31%0.93%1.89%0.90%2.44%
201771.88%3.37%2.61%$172,924$153,943$160,5651.88%3.37%2.65%5.82%1.39%1.69%1.02%
201780.15%0.54%-0.07%$174,215$155,806$161,4880.15%0.54%-0.04%2.35%-1.24%-1.24%-1.46%
201792.44%1.88%2.37%$179,502$159,777$166,3572.44%1.88%2.36%-0.04%3.30%2.73%4.95%
2017102.17%2.03%1.75%$184,433$164,053$170,2992.17%2.03%1.68%3.28%1.15%0.81%0.86%
2017113.03%0.63%1.62%$191,058$166,118$174,0943.03%0.63%0.69%-0.39%3.35%3.41%3.17%
2017121.16%2.07%1.71%$194,310$170,595$178,1061.16%2.07%1.35%3.77%1.83%1.92%0.50%
201815.23%5.72%5.02%$205,516$181,395$188,0955.23%5.72%5.02%8.30%4.03%3.67%1.93%
20182-3.76%-5.24%-4.91%$198,835$172,928$179,911-3.76%-5.24%-4.83%-5.90%-5.55%-4.69%-4.74%
20183-1.95%-0.38%-0.80%$196,000$173,315$179,516-1.95%-0.38%-0.84%0.54%-2.01%-0.29%0.82%
* End-of-month balance includes the monthly contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value36.97%0.00%17.62%
Large-cap Growth44.63%0.00%9.14%
Mid-cap Value6.13%0.70%10.18%
Mid-cap Growth3.19%0.00%0.67%
Small-cap Value1.45%1.04%1.56%
Small-cap Growth5.08%0.00%1.11%
Global ex-US Developed Markets1.21%72.69%47.21%
Emerging Markets1.33%25.20%12.27%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.24%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.37%0.00%
R Squared99.83%99.49%99.89%
Style analysis is based on monthly returns from Oct 2014 to Mar 2018 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%100.00%$53,482100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VXUSVanguard Total International Stock ETFForeign Large Blend0.09%100.00%$30,797100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%13.00%$6,42411.99%
EFAiShares MSCI EAFE ETFForeign Large Blend0.31%45.00%$13,14046.53%
EEMiShares MSCI Emerging Markets ETFDiversified Emerging Mkts0.67%13.00%$5,49215.93%
IVEiShares S&P 500 Value ETFLarge Value0.18%13.00%$4,79911.53%
VOEVanguard Mid-Cap Value ETFMid-Cap Value0.07%10.00%$4,4568.73%
VBRVanguard Small-Cap Value ETFSmall Value0.07%6.00%$2,6865.29%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 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 2Portfolio 3
Arithmetic Mean (monthly)0.91%0.53%0.64%
Arithmetic Mean (annualized)11.43%6.55%7.97%
Geometric Mean (monthly)0.86%0.48%0.60%
Geometric Mean (annualized)10.86%5.86%7.40%
Volatility (monthly)2.98%3.34%3.01%
Volatility (annualized)10.32%11.58%10.41%
Downside Deviation (monthly)1.67%2.04%1.84%
Max. Drawdown-8.84%-19.31%-15.24%
US Market Correlation1.000.790.93
Beta(*)1.010.890.94
Alpha (annualized)0.07%-3.22%-2.43%
R299.96%62.42%86.16%
Sharpe Ratio1.020.520.70
Sortino Ratio1.800.841.14
Treynor Ratio (%)10.436.707.76
Calmar Ratio1.160.360.49
Active Return0.13%-4.86%-3.32%
Tracking Error0.22%7.19%3.92%
Information Ratio0.60-0.68-0.85
Skewness-0.05-0.01-0.12
Excess Kurtosis0.590.090.77
Historical Value-at-Risk (5%)-5.43%-5.42%-5.49%
Analytical Value-at-Risk (5%)-3.99%-4.97%-4.24%
Conditional Value-at-Risk (5%)-5.91%-6.44%-6.20%
Upside Capture Ratio (%)101.1085.5190.20
Downside Capture Ratio (%)100.76121.10114.48
Safe Withdrawal Rate29.02%24.87%26.46%
Perpetual Withdrawal Rate7.54%3.73%4.94%
Positive Periods30 out of 42 (71.43%)23 out of 42 (54.76%)27 out of 42 (64.29%)
Gain/Loss Ratio0.901.240.98
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
2Feb 2018Mar 20182 months-5.64%
3Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
4Oct 2016Oct 20161 monthNov 20161 month2 months-2.19%
5Mar 2015Mar 20151 monthMay 20152 months3 months-1.16%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2015Feb 201610 monthsApr 20171 year 2 months2 years-19.31%
2Feb 2018Mar 20182 months-5.61%
3Oct 2014Dec 20143 monthsFeb 20152 months5 months-4.44%
4Mar 2015Mar 20151 monthApr 20151 month2 months-1.49%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2015Feb 20169 monthsJan 201711 months1 year 8 months-15.24%
2Feb 2018Mar 20182 months-5.67%
3Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.24%
4Mar 2015Mar 20151 monthApr 20151 month2 months-1.10%
5Aug 2017Aug 20171 monthSep 20171 month2 months-0.07%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF10.86%10.32%21.21%-0.70%-8.84%1.021.801.00
VXUSVanguard Total International Stock ETF5.86%11.58%27.45%-4.44%-19.31%0.520.840.79
EFAiShares MSCI EAFE ETF5.15%11.32%25.10%-4.20%-17.45%0.470.720.81
EEMiShares MSCI Emerging Markets ETF6.66%15.43%37.28%-16.18%-27.66%0.470.790.64
IVEiShares S&P 500 Value ETF8.22%10.61%17.31%-3.73%-10.09%0.761.270.96
VOEVanguard Mid-Cap Value ETF10.04%10.34%17.07%-1.89%-11.91%0.941.610.96
VBRVanguard Small-Cap Value ETF10.20%12.19%24.90%-4.76%-13.89%0.831.500.86

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVXUSEFAEEMIVEVOEVBRPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF-0.790.810.640.960.960.861.000.790.93
VXUSVanguard Total International Stock ETF0.79-0.970.900.710.720.560.791.000.96
EFAiShares MSCI EAFE ETF0.810.97-0.790.710.720.560.810.970.95
EEMiShares MSCI Emerging Markets ETF0.640.900.79-0.570.590.440.640.900.83
IVEiShares S&P 500 Value ETF0.960.710.710.57-0.950.900.960.710.87
VOEVanguard Mid-Cap Value ETF0.960.720.720.590.95-0.930.960.720.88
VBRVanguard Small-Cap Value ETF0.860.560.560.440.900.93-0.860.560.75

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$53,482$6,424
VXUSVanguard Total International Stock ETF$30,797
EFAiShares MSCI EAFE ETF$13,140
EEMiShares MSCI Emerging Markets ETF$5,492
IVEiShares S&P 500 Value ETF$4,799
VOEVanguard Mid-Cap Value ETF$4,456
VBRVanguard Small-Cap Value ETF$2,686

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF100.00%11.99%
VXUSVanguard Total International Stock ETF100.00%
EFAiShares MSCI EAFE ETF46.53%
EEMiShares MSCI Emerging Markets ETF15.93%
IVEiShares S&P 500 Value ETF11.53%
VOEVanguard Mid-Cap Value ETF8.73%
VBRVanguard Small-Cap Value ETF5.29%

Annual Asset Returns