Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Sep 2016 - Aug 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
Save portfolio »
BND Vanguard Total Bond Market ETF 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$10,046 0.46% 3.31%3.63%-3.06%-3.49% 0.000.00-0.23
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2016 are based on full calendar months from September to December
  • The annual results for 2017 are based on full calendar months from January to August
  • 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 (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationVanguard Total Bond Market ETF (BND)Total ReturnInflation Adjusted ReturnYear End Balance
Annual returns for 2016 and 2017 are based on partial years
20160.24%-3.06%-3.06%-3.29%$9,694
20171.69%3.63%3.63%1.91%$10,046
Monthly returns for the configured portfolios
YearMonthVanguard Total Bond Market ETF (BND)Total ReturnMonth End Balance
201690.11%0.11%$10,011
201610-0.94%-0.94%$9,917
201611-2.57%-2.57%$9,662
2016120.33%0.33%$9,694
201710.19%0.19%$9,712
201720.62%0.62%$9,772
20173-0.04%-0.04%$9,768
201740.80%0.80%$9,846
201750.71%0.71%$9,916
201760.05%0.05%$9,921
201770.40%0.40%$9,961
201780.86%0.86%$10,046

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
BNDVanguard Total Bond Market ETFIntermediate-Term Bond100.00%$46.34100.00%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/03/2017. © 2017 Morningstar. All Rights Reserved. The 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
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.04%
Mean Return (annualized)0.51%
Compound Return (monthly)0.04%
Compound Return (annualized)0.46%
Volatility (monthly)0.92%
Volatility (annualized)3.31%
Downside Deviation (monthly)0.79%
Max. Drawdown-3.49%
Market Correlation-0.23
Beta(*)-0.13
Alpha (annualized)2.39%
R25.25%
Sharpe Ratio0.00
Sortino Ratio0.00
Treynor Ratio (%)-0.11
Diversification Ratio1.00
Skewness-2.16
Excess Kurtosis5.18
Historical Value-at-Risk (95%)-2.57%
Delta Normal Value-at-Risk (95%)-1.51%
Conditional Value-at-Risk (95%)N/A
Positive Periods9 out of 12 (75.00%)
Gain/Loss Ratio0.38

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Oct 2016Nov 20162 monthsAug 201711 months-3.49%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
BNDVanguard Total Bond Market ETF0.46%3.31%3.63%-3.06%-3.49%0.000.00-0.23

Annual Asset Returns