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 (Sep 2016 - Sep 2021)

Portfolio Allocations

Schwab Target 2020 Index
Ticker Name Allocation
SWYLX Schwab Target 2020 Index 100.00%
Save portfolio »
Vanguard Target Retirement 2020 Inv
Ticker Name Allocation
VTWNX Vanguard Target Retirement 2020 Inv 100.00%
Save portfolio »
Fidelity Freedom 2020
Ticker Name Allocation
FFFDX Fidelity Freedom 2020 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Schwab Target 2020 Index$10,000$14,718 7.90% 6.67%16.21%-3.09%-8.46% 1.011.580.96
Vanguard Target Retirement 2020 Inv$10,000$15,157 8.53% 7.82%17.63%-4.24%-10.95% 0.941.440.96
Fidelity Freedom 2020$10,000$15,739 9.33% 8.46%17.98%-5.20%-12.34% 0.971.480.95
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Schwab Target 2020 Index-0.07%4.71%11.21%8.46%7.97%7.90%8.30%6.73%
Vanguard Target Retirement 2020 Inv-0.41%5.10%13.37%9.00%8.60%8.53%9.77%7.89%
Fidelity Freedom 2020-0.68%6.19%16.53%9.77%9.35%9.33%10.53%8.54%
Trailing annualized return and volatility are for full months ending in September 2021 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 2016 are based on monthly returns from September to December
  • The annual results for 2021 are based on monthly returns from January to September
  • 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
YearInflationSchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020Schwab Target 2020 Index (SWYLX)Vanguard Target Retirement 2020 Inv (VTWNX)Fidelity Freedom 2020 (FFFDX)
ReturnBalanceReturnBalanceReturnBalance
20160.24%0.27%$10,0270.16%$10,0160.75%$10,0750.27%0.16%0.75%
20172.11%12.10%$11,24014.08%$11,42615.64%$11,65112.10%14.08%15.64%
20181.91%-3.09%$10,893-4.24%$10,942-5.20%$11,044-3.09%-4.24%-5.20%
20192.29%16.21%$12,65917.63%$12,87217.98%$13,03016.21%17.63%17.98%
20201.36%11.03%$14,05612.04%$14,42113.76%$14,82211.03%12.04%13.76%
20215.31%4.71%$14,7185.10%$15,1576.19%$15,7394.71%5.10%6.19%
Annual return for 2016 is from 09/01/2016 to 12/31/2016 and annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthSchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020Schwab Target 2020 Index (SWYLX)Vanguard Target Retirement 2020 Inv (VTWNX)Fidelity Freedom 2020 (FFFDX)
ReturnBalanceReturnBalanceReturnBalance
201690.30%$10,0300.34%$10,0340.66%$10,0660.30%0.34%0.66%
201610-1.40%$9,890-1.55%$9,879-1.44%$9,921-1.40%-1.55%-1.44%
2016110.30%$9,9200.14%$9,8930.46%$9,9670.30%0.14%0.46%
2016121.08%$10,0271.24%$10,0161.08%$10,0751.08%1.24%1.08%
201711.41%$10,1681.52%$10,1691.93%$10,2691.41%1.52%1.93%
201721.69%$10,3391.88%$10,3601.96%$10,4711.69%1.88%1.96%
201730.49%$10,3900.65%$10,4270.77%$10,5520.49%0.65%0.77%
201740.97%$10,4911.12%$10,5441.34%$10,6930.97%1.12%1.34%
201751.06%$10,6021.28%$10,6791.48%$10,8511.06%1.28%1.48%
201760.38%$10,6420.37%$10,7180.31%$10,8850.38%0.37%0.31%
201771.33%$10,7831.52%$10,8811.88%$11,0901.33%1.52%1.88%
201780.37%$10,8240.55%$10,9410.49%$11,1450.37%0.55%0.49%
201790.93%$10,9251.04%$11,0551.10%$11,2680.93%1.04%1.10%
2017101.02%$11,0361.25%$11,1931.21%$11,4041.02%1.25%1.21%
2017111.10%$11,1571.14%$11,3201.08%$11,5271.10%1.14%1.08%
2017120.75%$11,2400.94%$11,4261.07%$11,6510.75%0.94%1.07%
201812.00%$11,4652.52%$11,7143.26%$12,0302.00%2.52%3.26%
20182-2.40%$11,189-2.52%$11,419-2.86%$11,686-2.40%-2.52%-2.86%
20183-0.36%$11,148-0.48%$11,364-0.66%$11,608-0.36%-0.48%-0.66%
201840.09%$11,1590.06%$11,3720.12%$11,6220.09%0.06%0.12%
201850.82%$11,2510.67%$11,4480.58%$11,6890.82%0.67%0.58%
201860.18%$11,271-0.13%$11,434-0.12%$11,6750.18%-0.13%-0.12%
201871.36%$11,4241.59%$11,6161.23%$11,8191.36%1.59%1.23%
201881.07%$11,5470.82%$11,7100.85%$11,9201.07%0.82%0.85%
20189-0.09%$11,536-0.06%$11,703-0.18%$11,898-0.09%-0.06%-0.18%
201810-3.81%$11,097-4.39%$11,190-4.72%$11,336-3.81%-4.39%-4.72%
2018111.10%$11,2201.14%$11,3170.76%$11,4231.10%1.14%0.76%
201812-2.92%$10,893-3.31%$10,942-3.31%$11,044-2.92%-3.31%-3.31%
201914.31%$11,3634.72%$11,4584.98%$11,5944.31%4.72%4.98%
201921.19%$11,4981.47%$11,6261.43%$11,7591.19%1.47%1.43%
201931.54%$11,6761.48%$11,7981.34%$11,9171.54%1.48%1.34%
201941.52%$11,8531.85%$12,0161.77%$12,1281.52%1.85%1.77%
20195-1.76%$11,644-2.48%$11,718-2.46%$11,830-1.76%-2.48%-2.46%
201963.32%$12,0313.91%$12,1773.73%$12,2713.32%3.91%3.73%
201970.35%$12,0730.31%$12,2150.13%$12,2860.35%0.31%0.13%
201980.43%$12,1250.03%$12,219-0.31%$12,2480.43%0.03%-0.31%
201990.78%$12,2190.84%$12,3220.69%$12,3330.78%0.84%0.69%
2019101.20%$12,3651.36%$12,4901.76%$12,5491.20%1.36%1.76%
2019111.10%$12,5011.32%$12,6541.60%$12,7501.10%1.32%1.60%
2019121.26%$12,6591.72%$12,8722.19%$13,0301.26%1.72%2.19%
202010.59%$12,7330.22%$12,899-0.56%$12,9580.59%0.22%-0.56%
20202-2.26%$12,445-3.22%$12,484-3.16%$12,548-2.26%-3.22%-3.16%
20203-6.34%$11,656-7.99%$11,487-8.97%$11,422-6.34%-7.99%-8.97%
202045.86%$12,3396.30%$12,2116.19%$12,1305.86%6.30%6.19%
202052.25%$12,6162.82%$12,5553.23%$12,5212.25%2.82%3.23%
202061.44%$12,7971.92%$12,7962.51%$12,8361.44%1.92%2.51%
202072.58%$13,1283.15%$13,2003.55%$13,2922.58%3.15%3.55%
202082.11%$13,4052.64%$13,5482.99%$13,6892.11%2.64%2.99%
20209-1.27%$13,235-1.31%$13,370-1.33%$13,507-1.27%-1.31%-1.33%
202010-1.29%$13,064-1.18%$13,212-0.98%$13,374-1.29%-1.18%-0.98%
2020115.55%$13,7896.38%$14,0557.31%$14,3525.55%6.38%7.31%
2020121.93%$14,0562.61%$14,4213.28%$14,8221.93%2.61%3.28%
20211-0.46%$13,990-0.35%$14,3710.00%$14,822-0.46%-0.35%0.00%
202120.39%$14,0450.67%$14,4681.40%$15,0300.39%0.67%1.40%
202130.85%$14,1640.96%$14,6060.75%$15,1420.85%0.96%0.75%
202142.30%$14,4902.30%$14,9432.51%$15,5222.30%2.30%2.51%
202150.67%$14,5870.90%$15,0771.34%$15,7300.67%0.90%1.34%
202160.97%$14,7290.95%$15,2200.75%$15,8480.97%0.95%0.75%
202171.25%$14,9130.91%$15,3590.34%$15,9021.25%0.91%0.34%
202180.87%$15,0431.01%$15,5151.14%$16,0830.87%1.01%1.14%
20219-2.16%$14,718-2.30%$15,157-2.14%$15,739-2.16%-2.30%-2.14%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategorySchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020
Large-cap Value10.29%9.17%3.70%
Large-cap Growth15.66%15.67%15.41%
Mid-cap Value1.98%0.00%0.00%
Mid-cap Growth2.23%5.03%3.03%
Small-cap Value0.70%1.48%4.48%
Small-cap Growth1.04%0.57%1.65%
Global ex-US Developed Markets9.90%14.06%18.26%
Emerging Markets2.15%5.08%9.33%
Corporate Bonds12.23%16.05%12.89%
Long-Term Treasuries5.33%1.67%1.51%
Intermediate-Term Treasuries1.45%1.40%0.00%
Short-Term Treasuries37.05%29.81%29.74%
R Squared99.32%99.63%98.86%
Style analysis is based on monthly returns from September 2016 to September 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 Schwab Target 2020 Index

Holdings Based Style Analysis for Schwab Target 2020 Index
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SWYLXSchwab Target 2020 IndexTarget-Date 2020100.00%1.55%0.08%20.496.06$4,718100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Target Retirement 2020 Inv

Holdings Based Style Analysis for Vanguard Target Retirement 2020 Inv
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTWNXVanguard Target Retirement 2020 InvTarget-Date 2020100.00%1.47%0.13%20.016.47$5,157100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Fidelity Freedom 2020

Holdings Based Style Analysis for Fidelity Freedom 2020
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
FFFDXFidelity Freedom 2020Target-Date 2020100.00%0.99%0.59%18.576.30$5,739100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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
MetricSchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020
Arithmetic Mean (monthly)0.65%0.71%0.78%
Arithmetic Mean (annualized)8.13%8.85%9.72%
Geometric Mean (monthly)0.64%0.68%0.75%
Geometric Mean (annualized)7.90%8.53%9.33%
Volatility (monthly)1.93%2.26%2.44%
Volatility (annualized)6.67%7.82%8.46%
Downside Deviation (monthly)1.20%1.45%1.56%
Max. Drawdown-8.46%-10.95%-12.34%
US Market Correlation0.960.960.95
Beta(*)0.410.480.51
Alpha (annualized)1.07%0.54%0.77%
R292.24%93.03%91.06%
Sharpe Ratio1.010.940.97
Sortino Ratio1.581.441.48
Treynor Ratio (%)16.5815.4716.00
Calmar Ratio1.000.820.79
Active Return-8.59%-7.97%-7.16%
Tracking Error9.47%8.40%8.02%
Information Ratio-0.91-0.95-0.89
Skewness-0.57-0.79-0.86
Excess Kurtosis3.313.744.17
Historical Value-at-Risk (5%)-2.40%-3.22%-3.16%
Analytical Value-at-Risk (5%)-2.52%-3.00%-3.24%
Conditional Value-at-Risk (5%)-4.35%-5.23%-5.67%
Upside Capture Ratio (%)40.6946.4950.58
Downside Capture Ratio (%)39.4347.7550.96
Safe Withdrawal Rate22.32%22.58%22.90%
Perpetual Withdrawal Rate5.00%5.56%6.27%
Positive Periods48 out of 61 (78.69%)47 out of 61 (77.05%)45 out of 61 (73.77%)
Gain/Loss Ratio0.680.710.81
* 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 PeriodStartEndSchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020
COVID-19 StartJan 2020Mar 2020-8.46%-10.95%-12.34%

Drawdowns for Schwab Target 2020 Index

Drawdowns for Schwab Target 2020 Index
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-8.46%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-5.66%
3Feb 2018Mar 20182 monthsAug 20185 months7 months-2.76%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-2.55%
5Sep 2021Sep 20211 month-2.16%
6May 2019May 20191 monthJun 20191 month2 months-1.76%
7Oct 2016Oct 20161 monthJan 20173 months4 months-1.40%
8Jan 2021Jan 20211 monthMar 20212 months3 months-0.46%

Drawdowns for Vanguard Target Retirement 2020 Inv

Drawdowns for Vanguard Target Retirement 2020 Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-10.95%
2Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-6.59%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-2.48%
4May 2019May 20191 monthJun 20191 month2 months-2.48%
5Sep 2021Sep 20211 month-2.30%
6Oct 2016Oct 20161 monthJan 20173 months4 months-1.55%
7Jan 2021Jan 20211 monthFeb 20211 month2 months-0.35%

Drawdowns for Fidelity Freedom 2020

Drawdowns for Fidelity Freedom 2020
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-12.34%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.20%
3May 2019May 20191 monthJun 20191 month2 months-2.46%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-2.30%
5Sep 2021Sep 20211 month-2.14%
6Oct 2016Oct 20161 monthDec 20162 months3 months-1.44%
7Aug 2019Aug 20191 monthSep 20191 month2 months-0.31%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SWYLXSchwab Target 2020 Index7.90%6.67%16.21%-3.09%-8.46%1.011.580.96
VTWNXVanguard Target Retirement 2020 Inv8.53%7.82%17.63%-4.24%-10.95%0.941.440.96
FFFDXFidelity Freedom 20209.33%8.46%17.98%-5.20%-12.34%0.971.480.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameSWYLXVTWNXFFFDXSchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020
SWYLXSchwab Target 2020 Index1.000.990.981.000.990.98
VTWNXVanguard Target Retirement 2020 Inv0.991.000.990.991.000.99
FFFDXFidelity Freedom 20200.980.991.000.980.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameSchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020
SWYLXSchwab Target 2020 Index$4,718
VTWNXVanguard Target Retirement 2020 Inv$5,157
FFFDXFidelity Freedom 2020$5,739

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameSchwab Target 2020 IndexVanguard Target Retirement 2020 InvFidelity Freedom 2020
SWYLXSchwab Target 2020 Index100.00%
VTWNXVanguard Target Retirement 2020 Inv100.00%
FFFDXFidelity Freedom 2020100.00%

Annual Asset Returns