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 2017 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSBSX Vanguard Short-Term Treasury Idx Admiral 100.00%
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Portfolio 2
Ticker Name Allocation
VSIGX Vanguard Intmdt-Term Trs Idx Admiral 100.00%
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Portfolio 3
Ticker Name Allocation
VBTLX Vanguard Total Bond Market Index Adm 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$10,100 0.75% 0.99%1.46%-0.46%-0.84% -1.04-1.33-0.53
Portfolio 2$10,000$9,988 -0.09% 2.96%1.30%-1.40%-3.41% -0.60-0.82-0.47
Portfolio 3$10,000$9,984 -0.12% 2.66%-0.03%-0.13%-2.45% -0.68-0.88-0.24
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 11.30%1.46%0.75%
Portfolio 22.89%1.30%-0.09%
Portfolio 31.61%-0.03%-0.12%
Trailing returns are for full months ending in December 2018 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 2017 are based on monthly returns from September to December
  • 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
YearInflationReturnBalanceVanguard Short-Term Treasury Idx Admiral (VSBSX)Vanguard Intmdt-Term Trs Idx Admiral (VSIGX)Vanguard Total Bond Market Index Adm (VBTLX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20170.41%-0.46%-1.40%-0.13%$9,954$9,860$9,987-0.46%-1.40%-0.13%
20181.91%1.46%1.30%-0.03%$10,100$9,988$9,9841.46%1.30%-0.03%
Annual returns for 2017 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Short-Term Treasury Idx Admiral (VSBSX)Vanguard Intmdt-Term Trs Idx Admiral (VSIGX)Vanguard Total Bond Market Index Adm (VBTLX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20179-0.19%-0.94%-0.53%$9,981$9,906$9,947-0.19%-0.94%-0.53%
201710-0.10%-0.14%0.12%$9,971$9,893$9,959-0.10%-0.14%0.12%
201711-0.19%-0.36%-0.16%$9,952$9,857$9,943-0.19%-0.36%-0.16%
2017120.03%0.03%0.45%$9,954$9,860$9,9870.03%0.03%0.45%
20181-0.34%-1.43%-1.09%$9,920$9,718$9,879-0.34%-1.43%-1.09%
20182-0.04%-0.47%-1.02%$9,916$9,673$9,778-0.04%-0.47%-1.02%
201830.18%0.69%0.63%$9,934$9,740$9,8400.18%0.69%0.63%
20184-0.17%-0.83%-0.82%$9,918$9,659$9,759-0.17%-0.83%-0.82%
201850.34%0.74%0.62%$9,952$9,730$9,8190.34%0.74%0.62%
20186-0.00%0.06%0.04%$9,951$9,736$9,823-0.00%0.06%0.04%
201870.01%-0.30%0.04%$9,952$9,707$9,8270.01%-0.30%0.04%
201880.32%0.71%0.52%$9,984$9,776$9,8790.32%0.71%0.52%
20189-0.13%-0.71%-0.53%$9,971$9,707$9,826-0.13%-0.71%-0.53%
2018100.13%-0.04%-0.72%$9,984$9,703$9,7550.13%-0.04%-0.72%
2018110.37%0.91%0.53%$10,021$9,791$9,8070.37%0.91%0.53%
2018120.79%2.01%1.81%$10,100$9,988$9,9840.79%2.01%1.81%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VSBSXVanguard Short-Term Treasury Idx AdmiralShort Government100.00%0.07%1.93$100100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VSIGXVanguard Intmdt-Term Trs Idx AdmiralIntermediate Government100.00%0.07%5.25-$12.03100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond100.00%0.05%6.60-$15.58100.00%

Asset Allocation

Fixed Income Credit Quality

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 2Portfolio 3
Arithmetic Mean (monthly)0.06%-0.00%-0.01%
Arithmetic Mean (annualized)0.75%-0.05%-0.08%
Geometric Mean (monthly)0.06%-0.01%-0.01%
Geometric Mean (annualized)0.75%-0.09%-0.12%
Volatility (monthly)0.28%0.86%0.77%
Volatility (annualized)0.99%2.96%2.66%
Downside Deviation (monthly)0.12%0.53%0.50%
Max. Drawdown-0.84%-3.41%-2.45%
US Market Correlation-0.53-0.47-0.24
Beta(*)-0.04-0.10-0.05
Alpha (annualized)0.87%0.28%0.07%
R227.84%22.12%5.99%
Sharpe Ratio-1.04-0.60-0.68
Sortino Ratio-1.33-0.82-0.88
Treynor Ratio (%)25.1617.4038.03
Active Return-1.64%-2.48%-2.51%
Tracking Error14.47%15.54%14.80%
Information Ratio-0.11-0.16-0.17
Skewness1.090.640.57
Excess Kurtosis1.430.700.48
Historical Value-at-Risk (5%)-0.34%-1.43%-1.09%
Analytical Value-at-Risk (5%)-0.41%-1.41%-1.27%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)-0.20-7.77-2.83
Downside Capture Ratio (%)-4.96-10.24-3.16
Safe Withdrawal Rate49.46%48.95%49.25%
Perpetual Withdrawal Rate0.00%0.00%0.00%
Positive Periods8 out of 16 (50.00%)7 out of 16 (43.75%)9 out of 16 (56.25%)
Gain/Loss Ratio1.861.270.76
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2017Feb 20186 monthsNov 20189 months1 year 3 months-0.84%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2017Apr 20188 months-3.41%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2017Oct 20181 year 2 months-2.45%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSBSXVanguard Short-Term Treasury Idx Admiral0.75%0.99%1.46%-0.46%-0.84%-1.04-1.33-0.53
VSIGXVanguard Intmdt-Term Trs Idx Admiral-0.09%2.96%1.30%-1.40%-3.41%-0.60-0.82-0.47
VBTLXVanguard Total Bond Market Index Adm-0.12%2.66%-0.03%-0.13%-2.45%-0.68-0.88-0.24

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSBSXVSIGXVBTLXPortfolio 1Portfolio 2Portfolio 3
VSBSXVanguard Short-Term Treasury Idx Admiral1.000.970.851.000.970.85
VSIGXVanguard Intmdt-Term Trs Idx Admiral0.971.000.920.971.000.92
VBTLXVanguard Total Bond Market Index Adm0.850.921.000.850.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSBSXVanguard Short-Term Treasury Idx Admiral$100
VSIGXVanguard Intmdt-Term Trs Idx Admiral-$12.03
VBTLXVanguard Total Bond Market Index Adm-$15.58

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSBSXVanguard Short-Term Treasury Idx Admiral100.00%
VSIGXVanguard Intmdt-Term Trs Idx Admiral100.00%
VBTLXVanguard Total Bond Market Index Adm100.00%

Annual Asset Returns