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 (Jan 2016 - Nov 2021)

Portfolio Allocations

T. Rowe Price Capital Appreciation
Ticker Name Allocation
PRWCX T. Rowe Price Capital Appreciation 100.00%
Save portfolio »
Vanguard 500 Index Investor
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
T. Rowe Price Capital Appreciation$10,000$21,284 13.62% 9.89%24.61%0.62%-13.72% 1.242.170.95
Vanguard 500 Index Investor$10,000$24,818 16.61% 14.67%31.33%-4.52%-19.63% 1.061.691.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 yearFull3 year5 year
T. Rowe Price Capital Appreciation1.71%11.81%24.61%15.54%13.86%13.47%12.74%10.24%
Vanguard 500 Index Investor0.56%15.81%29.84%15.85%16.74%15.90%18.82%15.20%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2021 are based on monthly returns from January to November
  • 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
Annual returns for the configured portfolios
YearInflationT. Rowe Price Capital AppreciationVanguard 500 Index InvestorT. Rowe Price Capital Appreciation (PRWCX)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
20162.07%8.22%$10,82211.82%$11,1828.22%11.82%
20172.11%15.38%$12,48621.67%$13,60515.38%21.67%
20181.91%0.62%$12,563-4.52%$12,9890.62%-4.52%
20192.29%24.61%$15,65531.33%$17,05824.61%31.33%
20201.36%18.16%$18,49718.25%$20,17118.16%18.25%
20216.19%15.07%$21,28423.04%$24,81815.07%23.04%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthT. Rowe Price Capital AppreciationVanguard 500 Index InvestorT. Rowe Price Capital Appreciation (PRWCX)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
20161-2.83%$9,717-4.98%$9,502-2.83%-4.98%
201620.29%$9,745-0.15%$9,4890.29%-0.15%
201634.71%$10,2046.78%$10,1314.71%6.78%
201641.13%$10,3190.37%$10,1691.13%0.37%
201652.01%$10,5271.78%$10,3512.01%1.78%
20166-0.08%$10,5190.25%$10,376-0.08%0.25%
201672.31%$10,7623.68%$10,7582.31%3.68%
201680.11%$10,7740.13%$10,7720.11%0.13%
201690.30%$10,8060.01%$10,7730.30%0.01%
201610-1.40%$10,655-1.83%$10,575-1.40%-1.83%
2016110.71%$10,7313.70%$10,9660.71%3.70%
2016120.85%$10,8221.96%$11,1820.85%1.96%
201711.79%$11,0161.88%$11,3921.79%1.88%
201722.74%$11,3183.96%$11,8442.74%3.96%
201730.73%$11,4010.10%$11,8560.73%0.10%
201741.45%$11,5661.02%$11,9761.45%1.02%
201751.64%$11,7561.39%$12,1431.64%1.39%
201760.49%$11,8140.61%$12,2170.49%0.61%
201770.70%$11,8962.04%$12,4670.70%2.04%
201780.94%$12,0080.29%$12,5040.94%0.29%
201791.00%$12,1282.06%$12,7611.00%2.06%
2017101.02%$12,2522.32%$13,0571.02%2.32%
2017111.85%$12,4793.06%$13,4561.85%3.06%
2017120.06%$12,4861.10%$13,6050.06%1.10%
201813.64%$12,9415.71%$14,3823.64%5.71%
20182-2.76%$12,583-3.69%$13,850-2.76%-3.69%
20183-0.35%$12,539-2.56%$13,496-0.35%-2.56%
201840.32%$12,5790.37%$13,5470.32%0.37%
201850.81%$12,6802.39%$13,8710.81%2.39%
201860.97%$12,8040.61%$13,9550.97%0.61%
201872.34%$13,1043.71%$14,4732.34%3.71%
201882.39%$13,4183.25%$14,9432.39%3.25%
20189-0.07%$13,4090.55%$15,025-0.07%0.55%
201810-3.98%$12,875-6.85%$13,996-3.98%-6.85%
2018112.26%$13,1662.03%$14,2802.26%2.03%
201812-4.58%$12,563-9.04%$12,989-4.58%-9.04%
201917.09%$13,4538.00%$14,0287.09%8.00%
201922.46%$13,7853.20%$14,4772.46%3.20%
201931.99%$14,0591.94%$14,7581.99%1.94%
201942.43%$14,4004.04%$15,3542.43%4.04%
20195-2.14%$14,092-6.36%$14,377-2.14%-6.36%
201964.67%$14,7517.03%$15,3884.67%7.03%
201970.61%$14,8411.43%$15,6070.61%1.43%
20198-0.35%$14,789-1.59%$15,359-0.35%-1.59%
201990.32%$14,8361.86%$15,6450.32%1.86%
2019101.15%$15,0062.15%$15,9821.15%2.15%
2019112.43%$15,3713.62%$16,5602.43%3.62%
2019121.84%$15,6553.01%$17,0581.84%3.01%
202012.02%$15,970-0.05%$17,0502.02%-0.05%
20202-4.90%$15,188-8.24%$15,644-4.90%-8.24%
20203-9.28%$13,779-12.37%$13,709-9.28%-12.37%
202049.68%$15,11312.81%$15,4669.68%12.81%
202053.62%$15,6604.76%$16,2013.62%4.76%
202060.10%$15,6751.98%$16,5210.10%1.98%
202075.12%$16,4775.63%$17,4515.12%5.63%
202082.10%$16,8237.18%$18,7042.10%7.18%
20209-1.34%$16,597-3.81%$17,991-1.34%-3.81%
2020100.51%$16,682-2.67%$17,5100.51%-2.67%
2020118.27%$18,06110.94%$19,4258.27%10.94%
2020122.41%$18,4973.84%$20,1712.41%3.84%
20211-1.93%$18,139-1.02%$19,965-1.93%-1.02%
202122.27%$18,5512.75%$20,5152.27%2.75%
202133.77%$19,2514.37%$21,4113.77%4.37%
202144.59%$20,1355.32%$22,5514.59%5.32%
202150.19%$20,1730.69%$22,7060.19%0.69%
202160.81%$20,3352.31%$23,2300.81%2.31%
202172.21%$20,7852.38%$23,7822.21%2.38%
202181.85%$21,1703.03%$24,5021.85%3.03%
20219-2.31%$20,682-4.66%$23,360-2.31%-4.66%
2021104.67%$21,6486.99%$24,9934.67%6.99%
202111-1.68%$21,284-0.70%$24,818-1.68%-0.70%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryT. Rowe Price Capital AppreciationVanguard 500 Index Investor
Large-cap Value28.55%45.14%
Large-cap Growth22.62%54.73%
Mid-cap Value0.00%0.00%
Mid-cap Growth12.20%0.00%
Small-cap Value0.00%0.13%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.21%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds15.69%0.00%
Long-Term Treasuries5.08%0.00%
Intermediate-Term Treasuries2.98%0.00%
Short-Term Treasuries12.67%0.00%
R Squared93.63%99.94%
Style analysis is based on monthly returns from January 2016 to November 2021 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 T. Rowe Price Capital Appreciation

Holdings Based Style Analysis for T. Rowe Price Capital Appreciation
TickerNameCategoryWeightTTM YieldExpense RatioP/EDurationContribution
NetGrossReturnRisk
PRWCXT. Rowe Price Capital Appreciation50% to 70% Equity100.00%0.96%0.69%0.70%27.802.23$11,284100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard 500 Index Investor

Holdings Based Style Analysis for Vanguard 500 Index Investor
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VFINXVanguard 500 Index InvestorLarge Blend100.00%1.12%1.16%0.14%0.14%24.91$14,818100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/03/2021. (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
MetricT. Rowe Price Capital AppreciationVanguard 500 Index Investor
Arithmetic Mean (monthly)1.11%1.38%
Arithmetic Mean (annualized)14.16%17.84%
Geometric Mean (monthly)1.07%1.29%
Geometric Mean (annualized)13.62%16.61%
Standard Deviation (monthly)2.86%4.23%
Standard Deviation (annualized)9.89%14.67%
Downside Deviation (monthly)1.61%2.62%
Max. Drawdown-13.72%-19.63%
US Market Correlation0.951.00
Beta(*)0.620.96
Alpha (annualized)3.14%0.74%
R290.68%99.25%
Sharpe Ratio1.241.06
Sortino Ratio2.171.69
Treynor Ratio (%)20.0516.28
Calmar Ratio1.271.03
Active Return-2.86%0.13%
Tracking Error6.59%1.44%
Information Ratio-0.430.09
Skewness-0.26-0.55
Excess Kurtosis2.951.81
Historical Value-at-Risk (5%)-3.41%-6.61%
Analytical Value-at-Risk (5%)-3.59%-5.59%
Conditional Value-at-Risk (5%)-5.68%-9.13%
Upside Capture Ratio (%)65.3198.66
Downside Capture Ratio (%)51.7696.78
Safe Withdrawal Rate25.56%27.18%
Perpetual Withdrawal Rate11.29%13.97%
Positive Periods55 out of 71 (77.46%)54 out of 71 (76.06%)
Gain/Loss Ratio0.860.75
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndT. Rowe Price Capital AppreciationVanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-13.72%-19.63%

Drawdowns for T. Rowe Price Capital Appreciation

Drawdowns for T. Rowe Price Capital Appreciation (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-13.72%
2Sep 2018Dec 20184 monthsJan 20191 month5 months-6.37%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-3.10%
4Jan 2016Jan 20161 monthMar 20162 months3 months-2.83%
5Sep 2021Sep 20211 monthOct 20211 month2 months-2.31%
6May 2019May 20191 monthJun 20191 month2 months-2.14%
7Jan 2021Jan 20211 monthFeb 20211 month2 months-1.93%
8Nov 2021Nov 20211 month-1.68%
9Oct 2016Oct 20161 monthDec 20162 months3 months-1.40%
10Sep 2020Sep 20201 monthNov 20202 months3 months-1.34%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
4May 2019May 20191 monthJun 20191 month2 months-6.36%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jan 2016Feb 20162 monthsMar 20161 month3 months-5.11%
7Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
8Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%
10Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PRWCXT. Rowe Price Capital Appreciation13.62%9.89%24.61%0.62%-13.72%1.242.170.95
VFINXVanguard 500 Index Investor16.61%14.67%31.33%-4.52%-19.63%1.061.691.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 yearNetGross
T. Rowe Price Capital Appreciation1.71%11.81%24.61%15.54%13.86%0.69%0.70%
Vanguard 500 Index Investor0.56%15.81%29.84%15.85%16.74%0.14%0.14%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNamePRWCXVFINXT. Rowe Price Capital AppreciationVanguard 500 Index Investor
PRWCXT. Rowe Price Capital Appreciation1.000.951.000.95
VFINXVanguard 500 Index Investor0.951.000.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameT. Rowe Price Capital AppreciationVanguard 500 Index Investor
PRWCXT. Rowe Price Capital Appreciation$11,284
VFINXVanguard 500 Index Investor$14,818

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameT. Rowe Price Capital AppreciationVanguard 500 Index Investor
PRWCXT. Rowe Price Capital Appreciation100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodT. Rowe Price Capital AppreciationVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year14.27%39.71%-1.99%17.60%56.19%-7.11%
3 years12.67%18.91%6.52%13.89%21.32%4.96%
5 years14.02%15.23%13.09%17.00%18.77%15.07%