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
BND Vanguard Total Bond Market ETF 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$10,046 0.46% 3.31%3.63%-3.06%-3.49% -0.00-0.00-0.23
   
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 received dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Bond Market ETF (BND)
20160.24%-3.06%$9,694-3.06%
20171.69%3.63%$10,0463.63%
Annual returns for 2016 and 2017 are based on partial years
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Bond Market ETF (BND)
201690.11%$10,0110.11%
201610-0.94%$9,917-0.94%
201611-2.57%$9,662-2.57%
2016120.33%$9,6940.33%
201710.19%$9,7120.19%
201720.62%$9,7720.62%
20173-0.04%$9,768-0.04%
201740.80%$9,8460.80%
201750.71%$9,9160.71%
201760.05%$9,9210.05%
201770.40%$9,9610.40%
201780.86%$10,0460.86%

Holdings Based Exposures for Portfolio 1

Holdings Based 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 07/05/2018. © 2018 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)0.04%
Arithmetic Mean (annualized)0.51%
Geometric Mean (monthly)0.04%
Geometric Mean (annualized)0.46%
Volatility (monthly)0.96%
Volatility (annualized)3.31%
Downside Deviation (monthly)0.79%
Max. Drawdown-3.49%
US Market Correlation-0.23
Beta(*)-0.13
Alpha (annualized)2.39%
R25.25%
Sharpe Ratio-0.00
Sortino Ratio-0.00
Treynor Ratio (%)0.05
Information Ratio-1.92
Diversification Ratio1.00
Skewness-2.16
Excess Kurtosis5.18
Historical Value-at-Risk (5%)-2.57%
Analytical Value-at-Risk (5%)-1.53%
Conditional Value-at-Risk (5%)N/A
Upside Capture Ratio (%)7.67
Downside Capture Ratio (%)42.41
Positive Periods9 out of 12 (75.00%)
Gain/Loss Ratio0.38
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2016Nov 20162 monthsAug 20179 months11 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%-0.00-0.00-0.23

Annual Asset Returns