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 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VPGDX Vanguard Managed Allocation Investor 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$13,034 5.35% 6.32%15.64%-5.67%-8.40% 0.701.090.92
   
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 backtested 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Managed Allocation Investor (VPGDX)
2014-0.57%-1.22%$9,878-1.22%
20150.73%-0.72%$9,807-0.72%
20162.07%7.55%$10,5477.55%
20172.11%13.29%$11,94913.29%
20181.91%-5.67%$11,271-5.67%
20192.29%15.64%$13,03415.64%
Annual returns for 2014 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Managed Allocation Investor (VPGDX)
201412-1.22%$9,878-1.22%
20151-0.11%$9,867-0.11%
201522.86%$10,1502.86%
20153-0.47%$10,102-0.47%
201541.24%$10,2281.24%
201550.10%$10,2380.10%
20156-1.41%$10,094-1.41%
201570.36%$10,1300.36%
20158-3.97%$9,728-3.97%
20159-1.11%$9,620-1.11%
2015103.79%$9,9853.79%
201511-0.54%$9,930-0.54%
201512-1.24%$9,807-1.24%
20161-2.25%$9,586-2.25%
20162-0.00%$9,586-0.00%
201634.58%$10,0254.58%
201640.62%$10,0870.62%
201650.17%$10,1040.17%
201661.31%$10,2361.31%
201672.25%$10,4672.25%
20168-0.06%$10,460-0.06%
201690.44%$10,5070.44%
201610-1.29%$10,372-1.29%
2016110.34%$10,4060.34%
2016121.35%$10,5471.35%
201711.30%$10,6841.30%
201721.91%$10,8891.91%
201730.49%$10,9420.49%
201740.88%$11,0390.88%
201750.99%$11,1470.99%
201760.32%$11,1830.32%
201771.75%$11,3781.75%
201780.64%$11,4520.64%
201790.80%$11,5430.80%
2017101.49%$11,7151.49%
2017110.90%$11,8200.90%
2017121.09%$11,9491.09%
201812.98%$12,3052.98%
20182-2.81%$11,959-2.81%
20183-0.48%$11,901-0.48%
201840.20%$11,9260.20%
201850.31%$11,9630.31%
20186-0.86%$11,860-0.86%
201871.45%$12,0321.45%
20188-0.05%$12,026-0.05%
201890.16%$12,0440.16%
201810-4.18%$11,542-4.18%
2018111.11%$11,6701.11%
201812-3.42%$11,271-3.42%
201914.88%$11,8224.88%
201921.55%$12,0051.55%
201930.99%$12,1240.99%
201941.58%$12,3161.58%
20195-3.11%$11,933-3.11%
201963.52%$12,3533.52%
20197-0.04%$12,348-0.04%
20198-0.51%$12,286-0.51%
201991.29%$12,4441.29%
2019101.52%$12,6331.52%
2019110.79%$12,7320.79%
2019122.37%$13,0342.37%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value13.90%
Large-cap Growth10.45%
Mid-cap Value0.00%
Mid-cap Growth2.61%
Small-cap Value2.57%
Small-cap Growth0.00%
Global ex-US Developed Markets14.15%
Emerging Markets11.27%
Corporate Bonds1.95%
Long-Term Treasuries1.71%
Intermediate-Term Treasuries5.33%
Short-Term Treasuries36.04%
R Squared98.52%
Style analysis is based on monthly returns from Dec 2014 to Dec 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
VPGDXVanguard Managed Allocation Investor50% to 70% Equity100.00%0.30%8.336.35$3,034100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/09/2020. (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 1
Arithmetic Mean (monthly)0.45%
Arithmetic Mean (annualized)5.56%
Geometric Mean (monthly)0.44%
Geometric Mean (annualized)5.35%
Volatility (monthly)1.82%
Volatility (annualized)6.32%
Downside Deviation (monthly)1.12%
Max. Drawdown-8.40%
US Market Correlation0.92
Beta(*)0.48
Alpha (annualized)0.08%
R285.14%
Sharpe Ratio0.70
Sortino Ratio1.09
Treynor Ratio (%)9.13
Calmar Ratio0.87
Active Return-5.54%
Tracking Error6.74%
Information Ratio-0.82
Skewness-0.26
Excess Kurtosis0.91
Historical Value-at-Risk (5%)-3.39%
Analytical Value-at-Risk (5%)-2.55%
Conditional Value-at-Risk (5%)-3.85%
Upside Capture Ratio (%)47.08
Downside Capture Ratio (%)50.54
Safe Withdrawal Rate17.70%
Perpetual Withdrawal Rate2.96%
Positive Periods40 out of 61 (65.57%)
Gain/Loss Ratio1.02
* 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
1Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.40%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.37%
3May 2019May 20191 monthJun 20191 month2 months-3.11%
4Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.33%
5Oct 2016Oct 20161 monthDec 20162 months3 months-1.29%
6Jul 2019Aug 20192 monthsSep 20191 month3 months-0.54%
7Mar 2015Mar 20151 monthApr 20151 month2 months-0.47%
8Aug 2016Aug 20161 monthSep 20161 month2 months-0.06%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VPGDXVanguard Managed Allocation Investor5.35%6.32%15.64%-5.67%-8.40%0.701.090.92

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.02%15.64%-5.67%
3 years6.20%7.31%4.75%
5 years5.70%5.70%5.70%
Result statistics are based on annualized rolling returns over full calendar year periods