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 (Oct 2018 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$18,267 921.72% 9.60%21.38%17.66%30.80%-14.26%-14.26%
(0.00%)
0.480.681.00
Vanguard 500 Index Investor$1,000$18,369 926.30% 10.68%22.42%17.02%31.33%-13.55%-13.55%
(0.00%)
0.550.781.00
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 19.01%30.80%9.60%
Vanguard 500 Index Investor9.03%31.33%10.68%
Trailing returns are for full months ending in December 2019 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 2018 are based on monthly returns from October to December
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index InvestorAdjustment
2018-0.48%-14.26%-13.55%$3,686$3,698$2,995-14.26%
20192.29%30.80%31.33%$18,267$18,369$12,15330.80%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
201810-7.40%-6.85%$1,928$1,933-7.40%
2018112.08%2.03%$2,966$2,9712.08%
201812-9.30%-9.04%$3,686$3,698-9.30%
201918.60%8.00%$5,000$4,9918.60%
201923.51%3.20%$6,177$6,1523.51%
201931.45%1.94%$7,273$7,2781.45%
201943.98%4.04%$8,575$8,5843.98%
20195-6.43%-6.36%$9,038$9,052-6.43%
201966.99%7.03%$10,684$10,7046.99%
201971.44%1.43%$11,854$11,8731.44%
20198-2.01%-1.59%$12,632$12,700-2.01%
201991.70%1.86%$13,864$13,9531.70%
2019102.11%2.15%$15,176$15,2732.11%
2019113.78%3.62%$16,769$16,8453.78%
2019122.86%3.01%$18,267$18,3692.86%
* End-of-month balance includes the monthly contribution/withdrawal

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%0.04%25.59$2,118100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (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 500 Index Investor
Arithmetic Mean (monthly)0.89%0.96%
Arithmetic Mean (annualized)11.23%12.20%
Geometric Mean (monthly)0.77%0.85%
Geometric Mean (annualized)9.60%10.68%
Volatility (monthly)5.10%4.91%
Volatility (annualized)17.66%17.02%
Downside Deviation (monthly)3.53%3.38%
Max. Drawdown-14.26%-13.55%
US Market Correlation1.001.00
Beta(*)1.041.00
Alpha (annualized)-1.31%0.00%
R299.78%100.00%
Sharpe Ratio0.480.55
Sortino Ratio0.680.78
Treynor Ratio (%)8.259.43
Active Return-1.08%N/A
Tracking Error1.04%N/A
Information Ratio-1.04N/A
Skewness-0.79-0.86
Excess Kurtosis0.060.13
Historical Value-at-Risk (5%)-9.30%-9.04%
Analytical Value-at-Risk (5%)-7.50%-7.12%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)100.46100.00
Downside Capture Ratio (%)104.99100.00
Safe Withdrawal Rate48.34%48.83%
Perpetual Withdrawal Rate4.73%5.31%
Positive Periods11 out of 15 (73.33%)11 out of 15 (73.33%)
Gain/Loss Ratio0.560.58
* Vanguard 500 Index Investor 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
1Oct 2018Dec 20183 monthsApr 20194 months7 months-14.26%
2May 2019May 20191 monthJun 20191 month2 months-6.43%
3Aug 2019Aug 20191 monthOct 20192 months3 months-2.01%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
2May 2019May 20191 monthJun 20191 month2 months-6.36%
3Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm9.60%17.66%30.80%-14.26%-14.26%0.480.681.00

Annual Asset Returns