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 (Feb 2014 - Jan 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VDIGX Vanguard Dividend Growth Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,227 12.46% 9.80%30.95%0.18%-8.99% 1.161.950.92
Portfolio 2$10,000$20,425 12.64% 11.25%31.46%-4.43%-13.53% 1.041.671.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
Portfolio 15.41%0.23%23.33%15.73%12.21%12.46%
Portfolio 26.71%-0.04%21.66%14.50%12.34%12.64%
Trailing returns are for full months ending in January 2020 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 February to December
  • The annual results for 2020 are based on monthly returns from January to January
  • 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Dividend Growth Inv (VDIGX)Vanguard 500 Index Admiral (VFIAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20140.38%16.82%17.71%$11,682$11,77116.82%17.71%
20150.73%2.62%1.36%$11,989$11,9322.62%1.36%
20162.07%7.53%11.93%$12,892$13,3557.53%11.93%
20172.11%19.33%21.79%$15,384$16,26419.33%21.79%
20181.91%0.18%-4.43%$15,412$15,5440.18%-4.43%
20192.29%30.95%31.46%$20,181$20,43330.95%31.46%
20200.39%0.23%-0.04%$20,227$20,4250.23%-0.04%
Annual returns for 2014 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Dividend Growth Inv (VDIGX)Vanguard 500 Index Admiral (VFIAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201424.74%4.57%$10,474$10,4574.74%4.57%
201431.60%0.84%$10,641$10,5441.60%0.84%
201440.41%0.74%$10,686$10,6220.41%0.74%
201451.24%2.34%$10,818$10,8701.24%2.34%
201460.99%2.06%$10,925$11,0950.99%2.06%
20147-1.86%-1.38%$10,722$10,941-1.86%-1.38%
201483.78%4.00%$11,128$11,3793.78%4.00%
20149-0.49%-1.40%$11,073$11,219-0.49%-1.40%
2014102.77%2.43%$11,380$11,4922.77%2.43%
2014112.82%2.69%$11,701$11,8022.82%2.69%
201412-0.16%-0.26%$11,682$11,771-0.16%-0.26%
20151-2.69%-3.00%$11,369$11,418-2.69%-3.00%
201524.94%5.74%$11,930$12,0744.94%5.74%
20153-1.24%-1.59%$11,782$11,882-1.24%-1.59%
20154-0.04%0.95%$11,777$11,996-0.04%0.95%
201550.83%1.28%$11,875$12,1500.83%1.28%
20156-2.31%-1.92%$11,601$11,916-2.31%-1.92%
201573.58%2.09%$12,016$12,1653.58%2.09%
20158-6.04%-6.04%$11,290$11,431-6.04%-6.04%
20159-0.60%-2.48%$11,222$11,147-0.60%-2.48%
2015107.58%8.43%$12,073$12,0877.58%8.43%
2015110.39%0.30%$12,119$12,1230.39%0.30%
201512-1.08%-1.58%$11,989$11,932-1.08%-1.58%
20161-2.85%-4.97%$11,646$11,339-2.85%-4.97%
201620.28%-0.14%$11,679$11,3230.28%-0.14%
201635.59%6.78%$12,332$12,0915.59%6.78%
201640.52%0.39%$12,396$12,1380.52%0.39%
201650.56%1.79%$12,466$12,3550.56%1.79%
201661.56%0.26%$12,660$12,3871.56%0.26%
201671.79%3.68%$12,887$12,8431.79%3.68%
201680.17%0.14%$12,909$12,8610.17%0.14%
20169-1.13%0.02%$12,763$12,863-1.13%0.02%
201610-3.14%-1.83%$12,363$12,628-3.14%-1.83%
2016112.97%3.70%$12,730$13,0962.97%3.70%
2016121.27%1.98%$12,892$13,3551.27%1.98%
201711.24%1.89%$13,051$13,6071.24%1.89%
201724.55%3.97%$13,645$14,1474.55%3.97%
201730.02%0.11%$13,648$14,1630.02%0.11%
201741.22%1.02%$13,814$14,3081.22%1.02%
201751.80%1.40%$14,063$14,5081.80%1.40%
201760.78%0.62%$14,173$14,5980.78%0.62%
201771.30%2.05%$14,357$14,8981.30%2.05%
20178-0.35%0.30%$14,307$14,943-0.35%0.30%
201791.80%2.07%$14,564$15,2521.80%2.07%
2017100.38%2.33%$14,620$15,6070.38%2.33%
2017113.78%3.07%$15,173$16,0863.78%3.07%
2017121.39%1.11%$15,384$16,2641.39%1.11%
201814.90%5.72%$16,137$17,1944.90%5.72%
20182-4.31%-3.69%$15,442$16,561-4.31%-3.69%
20183-1.43%-2.55%$15,221$16,139-1.43%-2.55%
201841.31%0.38%$15,421$16,2011.31%0.38%
201851.25%2.40%$15,614$16,5901.25%2.40%
201860.36%0.61%$15,671$16,6910.36%0.61%
201874.18%3.72%$16,326$17,3124.18%3.72%
201881.88%3.25%$16,633$17,8751.88%3.25%
201891.81%0.57%$16,934$17,9771.81%0.57%
201810-5.06%-6.84%$16,078$16,747-5.06%-6.84%
2018114.41%2.03%$16,787$17,0874.41%2.03%
201812-8.19%-9.03%$15,412$15,544-8.19%-9.03%
201916.42%8.01%$16,401$16,7896.42%8.01%
201923.73%3.21%$17,012$17,3283.73%3.21%
201933.13%1.95%$17,545$17,6653.13%1.95%
201943.20%4.05%$18,106$18,3803.20%4.05%
20195-2.61%-6.36%$17,633$17,212-2.61%-6.36%
201965.76%7.04%$18,649$18,4245.76%7.04%
201971.84%1.43%$18,992$18,6881.84%1.43%
201981.44%-1.58%$19,265$18,3921.44%-1.58%
201990.16%1.87%$19,296$18,7360.16%1.87%
201910-0.56%2.16%$19,189$19,141-0.56%2.16%
2019112.52%3.63%$19,671$19,8362.52%3.63%
2019122.59%3.01%$20,181$20,4332.59%3.01%
202010.23%-0.04%$20,227$20,4250.23%-0.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value49.13%46.19%
Large-cap Growth36.65%53.38%
Mid-cap Value0.00%0.14%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.27%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.02%
Corporate Bonds0.00%0.00%
Long-Term Treasuries14.21%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared89.78%99.97%
Style analysis is based on monthly returns from Feb 2014 to Jan 2020 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/EReturn ContributionRisk Contribution
VDIGXVanguard Dividend Growth InvLarge Blend100.00%0.27%23.51$10,227100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend100.00%0.04%26.69$10,425100.00%

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)1.02%1.05%
Arithmetic Mean (annualized)12.99%13.34%
Geometric Mean (monthly)0.98%1.00%
Geometric Mean (annualized)12.46%12.64%
Volatility (monthly)2.83%3.25%
Volatility (annualized)9.80%11.25%
Downside Deviation (monthly)1.65%1.98%
Max. Drawdown-8.99%-13.53%
US Market Correlation0.921.00
Beta(*)0.780.97
Alpha (annualized)2.91%1.01%
R285.46%99.05%
Sharpe Ratio1.161.04
Sortino Ratio1.951.67
Treynor Ratio (%)14.5012.06
Calmar Ratio1.751.07
Active Return0.58%0.76%
Tracking Error4.49%1.15%
Information Ratio0.130.67
Skewness-0.52-0.55
Excess Kurtosis1.191.25
Historical Value-at-Risk (5%)-4.57%-6.15%
Analytical Value-at-Risk (5%)-3.63%-4.29%
Conditional Value-at-Risk (5%)-6.43%-7.41%
Upside Capture Ratio (%)87.27100.95
Downside Capture Ratio (%)71.5895.35
Safe Withdrawal Rate22.57%22.99%
Perpetual Withdrawal Rate9.62%9.76%
Positive Periods52 out of 72 (72.22%)53 out of 72 (73.61%)
Gain/Loss Ratio1.000.84
* 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
1Oct 2018Dec 20183 monthsFeb 20192 months5 months-8.99%
2Aug 2015Sep 20152 monthsOct 20151 month3 months-6.60%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-5.68%
4Sep 2016Oct 20162 monthsJan 20173 months5 months-4.23%
5Dec 2015Jan 20162 monthsMar 20162 months4 months-3.90%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.84%
7Mar 2015Jun 20154 monthsJul 20151 month5 months-2.76%
8May 2019May 20191 monthJun 20191 month2 months-2.61%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.86%
10Oct 2019Oct 20191 monthNov 20191 month2 months-0.56%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.53%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.37%
3May 2019May 20191 monthJun 20191 month2 months-6.36%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.14%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.25%
6Jun 2015Jun 20151 monthJul 20151 month2 months-1.92%
7Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
8Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.58%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.40%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VDIGXVanguard Dividend Growth Inv12.46%9.80%30.95%0.18%-8.99%1.161.950.92
VFIAXVanguard 500 Index Admiral12.64%11.25%31.46%-4.43%-13.53%1.041.671.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVDIGXVFIAXPortfolio 1Portfolio 2
VDIGXVanguard Dividend Growth Inv1.000.941.000.94
VFIAXVanguard 500 Index Admiral0.941.000.941.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VDIGXVanguard Dividend Growth Inv$10,227
VFIAXVanguard 500 Index Admiral$10,425

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VDIGXVanguard Dividend Growth Inv100.00%
VFIAXVanguard 500 Index Admiral100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year12.12%30.95%0.18%12.42%31.46%-4.43%
3 years11.48%16.11%8.73%11.94%15.23%9.22%
5 years11.55%11.55%11.55%11.66%11.66%11.66%
Result statistics are based on annualized rolling returns over full calendar year periods