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 2018 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFIJX Vanguard GNMA Adm 10.00%
FTBFX Fidelity Total Bond Fund 10.00%
VWAHX Vanguard High-Yield Tax-Exempt 5.00%
VWIAX Vanguard Wellesley Income Admiral 15.00%
FIUIX Fidelity Telecom and Utilities 5.00%
DGRO iShares Core Dividend Growth ETF 10.00%
LGLV SPDR SSGA US Large Cap Low Volatil ETF 10.00%
TRECX T. Rowe Price Emerging Mkts Corp Bd 5.00%
VTABX Vanguard Total Intl Bd Idx Admiral 10.00%
VMNVX Vanguard Global Minimum Volatility Admr 5.00%
MUA BlackRock MuniAssets Fund 5.00%
FSREX Fidelity Series Real Estate Income 5.00%
SPIP SPDR Portfolio TIPS ETF 5.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,582 7.62% 4.78%16.65%-0.72%-2.76% 1.151.990.84
Vanguard Wellesley Income Admiral$10,000$11,357 6.57% 5.19%16.47%-2.49%-3.46% 0.871.400.82
   
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.
  • 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
YearInflationReturnBalanceVanguard GNMA Adm (VFIJX)Fidelity Total Bond Fund (FTBFX)Vanguard High-Yield Tax-Exempt (VWAHX)Vanguard Wellesley Income Admiral (VWIAX)Fidelity Telecom and Utilities (FIUIX)iShares Core Dividend Growth ETF (DGRO)SPDR SSGA US Large Cap Low Volatil ETF (LGLV)T. Rowe Price Emerging Mkts Corp Bd (TRECX)Vanguard Total Intl Bd Idx Admiral (VTABX)Vanguard Global Minimum Volatility Admr (VMNVX)BlackRock MuniAssets Fund (MUA)Fidelity Series Real Estate Income (FSREX)SPDR Portfolio TIPS ETF (SPIP)
Portfolio 1Vanguard Wellesley Income AdmiralPortfolio 1Vanguard Wellesley Income Admiral
20181.91%-0.72%-2.49%$9,928$9,7510.97%-0.67%1.29%-2.49%3.32%-2.35%0.32%-1.60%2.93%-1.73%-9.68%0.67%-1.53%
20192.29%16.65%16.47%$11,582$11,3575.93%9.87%9.17%16.47%22.02%29.88%30.83%13.00%7.88%22.66%23.25%16.01%8.79%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard GNMA Adm (VFIJX)Fidelity Total Bond Fund (FTBFX)Vanguard High-Yield Tax-Exempt (VWAHX)Vanguard Wellesley Income Admiral (VWIAX)Fidelity Telecom and Utilities (FIUIX)iShares Core Dividend Growth ETF (DGRO)SPDR SSGA US Large Cap Low Volatil ETF (LGLV)T. Rowe Price Emerging Mkts Corp Bd (TRECX)Vanguard Total Intl Bd Idx Admiral (VTABX)Vanguard Global Minimum Volatility Admr (VMNVX)BlackRock MuniAssets Fund (MUA)Fidelity Series Real Estate Income (FSREX)SPDR Portfolio TIPS ETF (SPIP)
Portfolio 1Vanguard Wellesley Income AdmiralPortfolio 1Vanguard Wellesley Income Admiral
201810.33%0.57%$10,033$10,057-1.10%-0.72%-1.17%0.57%0.42%4.80%3.24%0.22%-0.46%1.81%-5.73%-1.28%-0.82%
20182-1.96%-2.73%$9,837$9,783-0.63%-0.94%-0.42%-2.73%-5.18%-3.87%-2.94%-1.07%0.31%-3.23%-2.25%-1.21%-1.04%
201830.12%-0.27%$9,849$9,7560.64%0.51%0.59%-0.27%3.58%-2.70%-0.37%-0.51%1.07%0.71%-1.07%0.75%1.01%
20184-0.32%-0.49%$9,817$9,708-0.43%-0.64%-0.31%-0.49%1.03%-0.06%-1.02%-0.53%-0.11%0.86%-1.60%0.19%-0.11%
201850.62%0.67%$9,878$9,7730.74%0.42%1.31%0.67%-0.40%1.59%0.64%-1.09%0.04%1.44%0.49%1.58%0.21%
201860.56%0.16%$9,934$9,7890.05%0.04%0.13%0.16%4.13%0.15%1.00%-0.71%0.46%1.27%0.42%1.40%0.70%
201871.56%2.06%$10,089$9,991-0.04%0.24%0.23%2.06%0.37%5.13%4.36%1.87%-0.05%2.48%0.57%0.73%-0.52%
201881.20%0.56%$10,211$10,0470.45%0.43%0.32%0.56%3.28%2.80%3.07%-0.86%0.09%1.58%1.93%1.37%0.67%
20189-0.17%-0.21%$10,194$10,026-0.54%-0.35%-0.67%-0.21%0.55%0.64%0.58%1.34%-0.27%0.07%-3.17%-0.40%-1.03%
201810-1.98%-2.28%$9,992$9,797-0.64%-0.92%-0.85%-2.28%-0.24%-5.37%-3.62%-0.88%0.27%-4.86%-2.04%-0.83%-1.62%
2018111.54%1.65%$10,146$9,9580.86%0.18%0.95%1.65%1.52%3.74%3.60%-0.36%0.46%2.39%2.49%0.47%0.48%
201812-2.14%-2.08%$9,928$9,7511.65%1.10%1.23%-2.08%-5.30%-8.25%-7.53%1.04%1.09%-5.80%0.13%-2.02%0.57%
201913.42%3.23%$10,268$10,0660.84%1.74%0.68%3.23%3.42%6.24%6.33%3.12%1.11%5.65%7.81%4.10%1.48%
201921.59%1.52%$10,431$10,219-0.03%0.25%0.64%1.52%2.68%3.77%4.44%0.99%0.17%2.14%2.20%0.94%-0.15%
201931.95%1.87%$10,635$10,4111.14%1.82%2.09%1.87%2.45%1.07%1.93%1.20%1.78%2.17%5.95%1.84%1.96%
201941.34%1.10%$10,777$10,525-0.03%0.36%0.56%1.10%0.90%3.76%3.98%0.61%0.09%1.94%1.51%0.64%0.22%
20195-0.44%-0.63%$10,731$10,4591.22%1.30%1.61%-0.63%-2.95%-5.77%-1.50%0.42%1.17%-1.47%1.57%0.73%1.89%
201963.07%3.15%$11,060$10,7880.74%1.38%0.45%3.15%5.42%6.96%5.25%2.28%1.65%3.68%4.72%1.71%0.73%
201970.64%0.46%$11,131$10,8390.34%0.34%0.80%0.46%0.39%1.41%1.63%0.96%1.36%1.23%-3.27%1.08%0.37%
201981.25%1.68%$11,270$11,0211.09%2.10%1.99%1.68%2.85%-1.37%1.11%0.30%2.07%0.66%0.94%1.16%2.55%
201990.81%0.63%$11,361$11,0900.03%-0.41%-0.66%0.63%4.34%3.09%1.20%0.52%-0.47%1.48%1.01%1.16%-1.21%
2019100.38%0.64%$11,405$11,1610.31%0.42%0.02%0.64%-0.44%1.97%-0.19%0.73%-0.55%0.03%0.40%0.98%-0.03%
2019110.47%0.60%$11,458$11,2280.11%-0.05%0.26%0.60%-1.31%3.38%1.82%0.27%-0.30%1.87%-3.94%-0.18%0.14%
2019121.08%1.15%$11,582$11,3570.03%0.24%0.42%1.15%2.65%2.54%1.44%0.92%-0.43%1.40%2.80%0.84%0.56%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFIJXVanguard GNMA AdmIntermediate Government10.00%0.11%1.00$68.631.28%
FTBFXFidelity Total Bond FundIntermediate Core-Plus Bond10.00%0.45%5.45$91.223.32%
VWAHXVanguard High-Yield Tax-ExemptMuni National Long5.00%0.17%6.42$52.000.98%
VWIAXVanguard Wellesley Income Admiral30% to 50% Equity15.00%0.16%14.607.00$20816.27%
FIUIXFidelity Telecom and UtilitiesUtilities5.00%0.75%16.32$1267.58%
DGROiShares Core Dividend Growth ETFLarge Value10.00%0.08%20.11$27324.26%
LGLVSPDR SSGA US Large Cap Low Volatil ETFLarge Blend10.00%0.12%27.16$30920.89%
TRECXT. Rowe Price Emerging Mkts Corp BdEmerging Markets Bond5.00%0.97%5.63$56.562.34%
VTABXVanguard Total Intl Bd Idx AdmiralWorld Bond-USD Hedged10.00%0.11%8.43$1071.28%
VMNVXVanguard Global Minimum Volatility AdmrWorld Small/Mid Stock5.00%0.14%16.49$1048.64%
MUABlackRock MuniAssets FundHigh Yield Muni5.00%$67.017.69%
FSREXFidelity Series Real Estate IncomeReal Estate5.00%13.64$82.813.79%
SPIPSPDR Portfolio TIPS ETFInflation-Protected Bond5.00%0.12%8.55$35.991.68%
100.00%0.24%18.485.95$1,582100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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 1Vanguard Wellesley Income Admiral
Arithmetic Mean (monthly)0.62%0.54%
Arithmetic Mean (annualized)7.74%6.71%
Geometric Mean (monthly)0.61%0.53%
Geometric Mean (annualized)7.62%6.57%
Volatility (monthly)1.38%1.50%
Volatility (annualized)4.78%5.19%
Downside Deviation (monthly)0.73%0.86%
Max. Drawdown-2.76%-3.46%
US Market Correlation0.840.82
Beta(*)0.901.00
Alpha (annualized)1.59%0.00%
R296.28%100.00%
Sharpe Ratio1.150.87
Sortino Ratio1.991.40
Treynor Ratio (%)6.064.51
Active Return1.05%N/A
Tracking Error1.05%N/A
Information Ratio1.00N/A
Skewness-0.29-0.45
Excess Kurtosis0.520.37
Historical Value-at-Risk (5%)-2.10%-2.61%
Analytical Value-at-Risk (5%)-1.56%-1.92%
Conditional Value-at-Risk (5%)-2.14%-2.73%
Upside Capture Ratio (%)100.63100.00
Downside Capture Ratio (%)79.50100.00
Safe Withdrawal Rate51.91%50.94%
Perpetual Withdrawal Rate5.13%4.20%
Positive Periods18 out of 24 (75.00%)17 out of 24 (70.83%)
Gain/Loss Ratio1.051.03
* Vanguard Wellesley Income Admiral 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 2018Dec 20184 monthsJan 20191 month5 months-2.76%
2Feb 2018Apr 20183 monthsJul 20183 months6 months-2.15%
3May 2019May 20191 monthJun 20191 month2 months-0.44%

Drawdowns for Vanguard Wellesley Income Admiral

Drawdowns for Vanguard Wellesley Income Admiral
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Apr 20183 monthsJan 20199 months1 year-3.46%
2May 2019May 20191 monthJun 20191 month2 months-0.63%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFIJXVanguard GNMA Adm3.42%2.36%5.93%0.97%-1.72%0.611.03-0.17
FTBFXFidelity Total Bond Fund4.46%2.93%9.87%-0.67%-1.94%0.841.650.10
VWAHXVanguard High-Yield Tax-Exempt5.16%2.96%9.17%1.29%-1.59%1.062.03-0.11
VWIAXVanguard Wellesley Income Admiral6.57%5.19%16.47%-2.49%-3.46%0.871.400.82
FIUIXFidelity Telecom and Utilities12.28%9.56%22.02%3.32%-5.30%1.061.690.60
DGROiShares Core Dividend Growth ETF12.62%13.54%29.88%-2.35%-9.93%0.801.200.98
LGLVSPDR SSGA US Large Cap Low Volatil ETF14.56%10.70%30.83%0.32%-7.67%1.141.840.91
TRECXT. Rowe Price Emerging Mkts Corp Bd5.45%3.77%13.00%-1.60%-3.85%0.911.800.42
VTABXVanguard Total Intl Bd Idx Admiral5.37%2.71%7.88%2.93%-1.74%1.233.24-0.21
VMNVXVanguard Global Minimum Volatility Admr9.79%8.69%22.66%-1.73%-8.23%0.891.260.93
MUABlackRock MuniAssets Fund5.51%10.83%23.25%-9.68%-11.99%0.370.590.31
FSREXFidelity Series Real Estate Income8.07%4.33%16.01%0.67%-2.78%1.372.620.60
SPIPSPDR Portfolio TIPS ETF3.50%3.60%8.79%-1.53%-2.63%0.420.700.04

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFIJXFTBFXVWAHXVWIAXFIUIXDGROLGLVTRECXVTABXVMNVXMUAFSREXSPIPPortfolio 1Vanguard Wellesley Income Admiral
VFIJXVanguard GNMA Adm1.000.860.880.270.02-0.20-0.080.260.690.030.600.380.790.260.27
FTBFXFidelity Total Bond Fund0.861.000.850.550.240.050.220.520.770.290.700.570.900.530.55
VWAHXVanguard High-Yield Tax-Exempt0.880.851.000.330.01-0.150.040.170.720.120.550.400.860.310.33
VWIAXVanguard Wellesley Income Admiral0.270.550.331.000.690.840.890.630.200.910.620.760.430.981.00
FIUIXFidelity Telecom and Utilities0.020.240.010.691.000.610.680.230.130.720.450.680.230.740.69
DGROiShares Core Dividend Growth ETF-0.200.05-0.150.840.611.000.930.45-0.250.900.290.54-0.050.840.84
LGLVSPDR SSGA US Large Cap Low Volatil ETF-0.080.220.040.890.680.931.000.46-0.020.940.410.670.170.920.89
TRECXT. Rowe Price Emerging Mkts Corp Bd0.260.520.170.630.230.450.461.000.260.440.490.410.230.580.63
VTABXVanguard Total Intl Bd Idx Admiral0.690.770.720.200.13-0.25-0.020.261.000.010.430.310.740.220.20
VMNVXVanguard Global Minimum Volatility Admr0.030.290.120.910.720.900.940.440.011.000.440.760.290.930.91
MUABlackRock MuniAssets Fund0.600.700.550.620.450.290.410.490.430.441.000.740.570.670.62
FSREXFidelity Series Real Estate Income0.380.570.400.760.680.540.670.410.310.760.741.000.530.820.76
SPIPSPDR Portfolio TIPS ETF0.790.900.860.430.23-0.050.170.230.740.290.570.531.000.440.43

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFIJXVanguard GNMA Adm$68.63
FTBFXFidelity Total Bond Fund$91.22
VWAHXVanguard High-Yield Tax-Exempt$52.00
VWIAXVanguard Wellesley Income Admiral$208
FIUIXFidelity Telecom and Utilities$126
DGROiShares Core Dividend Growth ETF$273
LGLVSPDR SSGA US Large Cap Low Volatil ETF$309
TRECXT. Rowe Price Emerging Mkts Corp Bd$56.56
VTABXVanguard Total Intl Bd Idx Admiral$107
VMNVXVanguard Global Minimum Volatility Admr$104
MUABlackRock MuniAssets Fund$67.01
FSREXFidelity Series Real Estate Income$82.81
SPIPSPDR Portfolio TIPS ETF$35.99

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFIJXVanguard GNMA Adm1.28%
FTBFXFidelity Total Bond Fund3.32%
VWAHXVanguard High-Yield Tax-Exempt0.98%
VWIAXVanguard Wellesley Income Admiral16.27%
FIUIXFidelity Telecom and Utilities7.58%
DGROiShares Core Dividend Growth ETF24.26%
LGLVSPDR SSGA US Large Cap Low Volatil ETF20.89%
TRECXT. Rowe Price Emerging Mkts Corp Bd2.34%
VTABXVanguard Total Intl Bd Idx Admiral1.28%
VMNVXVanguard Global Minimum Volatility Admr8.64%
MUABlackRock MuniAssets Fund7.69%
FSREXFidelity Series Real Estate Income3.79%
SPIPSPDR Portfolio TIPS ETF1.68%

Annual Asset Returns