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 2014 - Dec 2017)

Portfolio Allocations

Vanguard Total Stock Mkt Idx Inv
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Schwab US Dividend Equity ETF
Ticker Name Allocation
SCHD Schwab US Dividend Equity ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total Stock Mkt Idx Inv$1,000,000$1,366,159 10.65% 10.08%21.05%-0.01%-8.88% 1.021.821.00
Schwab US Dividend Equity ETF$1,000,000$1,389,834 11.27% 9.56%20.84%-0.91%-9.49% 1.132.340.91
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 yearFull3 year
Vanguard Total Stock Mkt Idx Inv6.31%21.05%10.96%10.65%10.21%
Schwab US Dividend Equity ETF10.07%20.84%11.94%11.27%9.63%
Trailing annualized return and volatility are for full months ending in December 2017 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 2014 are based on monthly returns from December 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 (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
YearInflationVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Total Stock Mkt Idx Inv (VTSMX)Schwab US Dividend Equity ETF (SCHD)
ReturnBalanceReturnBalance
2014-0.57%-0.01%$999,945-0.91%$990,906-0.01%-0.91%
20150.73%0.29%$1,002,882-0.31%$987,8070.29%-0.31%
20162.07%12.53%$1,128,57616.44%$1,150,18312.53%16.44%
20172.11%21.05%$1,366,15920.84%$1,389,83421.05%20.84%
Annual return for 2014 is from 12/01/2014 to 12/31/2014
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETFVanguard Total Stock Mkt Idx Inv (VTSMX)Schwab US Dividend Equity ETF (SCHD)
ReturnBalanceReturnBalance
201412-0.01%$999,945-0.91%$990,906-0.01%-0.91%
20151-2.77%$972,223-3.11%$960,073-2.77%-3.11%
201525.76%$1,028,2495.23%$1,010,3025.76%5.23%
20153-1.04%$1,017,581-2.35%$986,588-1.04%-2.35%
201540.42%$1,021,8650.76%$994,0980.42%0.76%
201551.39%$1,036,0790.50%$999,1051.39%0.50%
20156-1.71%$1,018,361-3.32%$965,970-1.71%-3.32%
201571.63%$1,034,9780.71%$972,7821.63%0.71%
20158-6.03%$972,614-5.32%$921,065-6.03%-5.32%
20159-2.93%$944,083-0.72%$914,426-2.93%-0.72%
2015107.84%$1,018,1418.76%$994,5507.84%8.76%
2015110.54%$1,023,6410.28%$997,3480.54%0.28%
201512-2.03%$1,002,882-0.96%$987,807-2.03%-0.96%
20161-5.67%$946,003-2.28%$965,264-5.67%-2.28%
20162-0.04%$945,6080.74%$972,437-0.04%0.74%
201637.01%$1,011,9046.40%$1,034,6557.01%6.40%
201640.63%$1,018,252-0.17%$1,032,8490.63%-0.17%
201651.79%$1,036,5031.40%$1,047,3011.79%1.40%
201660.23%$1,038,8442.91%$1,077,7900.23%2.91%
201673.95%$1,079,8802.85%$1,108,4803.95%2.85%
201680.26%$1,082,669-0.33%$1,104,8380.26%-0.33%
201690.15%$1,084,2940.18%$1,106,8700.15%0.18%
201610-2.21%$1,060,279-1.56%$1,089,604-2.21%-1.56%
2016114.44%$1,107,3093.27%$1,125,1834.44%3.27%
2016121.92%$1,128,5762.22%$1,150,1831.92%2.22%
201711.91%$1,150,117-0.48%$1,144,6391.91%-0.48%
201723.71%$1,192,7963.41%$1,183,7093.71%3.41%
201730.07%$1,193,5880.14%$1,185,4030.07%0.14%
201741.05%$1,206,1230.25%$1,188,3281.05%0.25%
201751.01%$1,218,2531.75%$1,209,0691.01%1.75%
201760.92%$1,229,474-0.10%$1,207,8650.92%-0.10%
201771.87%$1,252,4191.66%$1,227,9521.87%1.66%
201780.15%$1,254,247-0.02%$1,227,6840.15%-0.02%
201792.45%$1,285,0192.85%$1,262,6272.45%2.85%
2017102.16%$1,312,7463.61%$1,308,2222.16%3.61%
2017113.04%$1,352,7064.21%$1,363,2603.04%4.21%
2017120.99%$1,366,1591.95%$1,389,8340.99%1.95%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETF
Large-cap Value36.24%57.26%
Large-cap Growth43.82%33.11%
Mid-cap Value6.07%0.00%
Mid-cap Growth4.66%0.00%
Small-cap Value0.46%0.00%
Small-cap Growth6.18%0.00%
Global ex-US Developed Markets1.40%0.00%
Emerging Markets1.17%1.32%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%8.05%
Intermediate-Term Treasuries0.00%0.27%
Short-Term Treasuries0.00%0.00%
R Squared99.80%88.59%
Style analysis is based on monthly returns from December 2014 to December 2017 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 Vanguard Total Stock Mkt Idx Inv

Holdings Based Style Analysis for Vanguard Total Stock Mkt Idx Inv
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.18%0.14%24.25$366,159100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Schwab US Dividend Equity ETF

Holdings Based Style Analysis for Schwab US Dividend Equity ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SCHDSchwab US Dividend Equity ETFLarge Value100.00%3.01%0.06%16.74$389,834100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (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
MetricVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETF
Arithmetic Mean (monthly)0.89%0.93%
Arithmetic Mean (annualized)11.19%11.75%
Geometric Mean (monthly)0.85%0.89%
Geometric Mean (annualized)10.65%11.27%
Volatility (monthly)2.91%2.76%
Volatility (annualized)10.08%9.56%
Downside Deviation (monthly)1.63%1.32%
Max. Drawdown-8.88%-9.49%
US Market Correlation1.000.91
Beta(*)1.000.87
Alpha (annualized)0.00%1.94%
R2100.00%83.33%
Sharpe Ratio1.021.13
Sortino Ratio1.822.34
Treynor Ratio (%)10.2612.44
Calmar Ratio1.231.26
Active Return0.00%0.62%
Tracking Error0.00%4.13%
Information Ratio0.640.15
Skewness-0.000.47
Excess Kurtosis1.031.09
Historical Value-at-Risk (5%)-3.48%-3.15%
Analytical Value-at-Risk (5%)-3.90%-3.61%
Conditional Value-at-Risk (5%)-5.85%-4.32%
Upside Capture Ratio (%)100.0093.96
Downside Capture Ratio (%)99.9981.24
Safe Withdrawal Rate27.30%27.34%
Perpetual Withdrawal Rate6.50%6.91%
Positive Periods27 out of 37 (72.97%)23 out of 37 (62.16%)
Gain/Loss Ratio0.871.58
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Vanguard Total Stock Mkt Idx Inv

Drawdowns for Vanguard Total Stock Mkt Idx Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
2Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
3Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%
4Mar 2015Mar 20151 monthMay 20152 months3 months-1.04%

Drawdowns for Schwab US Dividend Equity ETF

Drawdowns for Schwab US Dividend Equity ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.49%
2Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.99%
3Aug 2016Oct 20163 monthsNov 20161 month4 months-1.70%
4Jan 2017Jan 20171 monthFeb 20171 month2 months-0.48%
5Apr 2016Apr 20161 monthMay 20161 month2 months-0.17%
6Jun 2017Jun 20171 monthJul 20171 month2 months-0.10%
7Aug 2017Aug 20171 monthSep 20171 month2 months-0.02%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv10.65%10.08%21.05%-0.01%-8.88%1.021.821.00
SCHDSchwab US Dividend Equity ETF11.27%9.56%20.84%-0.91%-9.49%1.132.340.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXSCHDVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETF
VTSMXVanguard Total Stock Mkt Idx Inv1.000.911.000.91
SCHDSchwab US Dividend Equity ETF0.911.000.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETF
VTSMXVanguard Total Stock Mkt Idx Inv$366,159
SCHDSchwab US Dividend Equity ETF$389,834

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total Stock Mkt Idx InvSchwab US Dividend Equity ETF
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
SCHDSchwab US Dividend Equity ETF100.00%

Annual Asset Returns