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 2020 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,103 21.03% 27.29%-20.84% 0.811.331.00
Portfolio 2$10,000$11,829 18.29% 25.89%-19.58% 0.751.251.00
   
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
YearInflationPortfolio 1Portfolio 2Vanguard Total Stock Market ETF (VTI)Vanguard S&P 500 ETF (VOO)
ReturnBalanceReturnBalance
20201.36%21.03%$12,10318.29%$11,82921.03%18.29%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Total Stock Market ETF (VTI)Vanguard S&P 500 ETF (VOO)
ReturnBalanceReturnBalance
20201-0.06%$9,994-0.04%$9,996-0.06%-0.04%
20202-8.00%$9,194-8.10%$9,187-8.00%-8.10%
20203-13.91%$7,916-12.46%$8,042-13.91%-12.46%
2020413.13%$8,95512.79%$9,07013.13%12.79%
202055.40%$9,4384.74%$9,5005.40%4.74%
202062.29%$9,6551.83%$9,6742.29%1.83%
202075.74%$10,2095.88%$10,2435.74%5.88%
202087.10%$10,9356.97%$10,9577.10%6.97%
20209-3.54%$10,547-3.75%$10,546-3.54%-3.75%
202010-1.95%$10,341-2.55%$10,277-1.95%-2.55%
20201111.80%$11,56210.95%$11,40211.80%10.95%
2020124.68%$12,1033.75%$11,8294.68%3.75%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%1.23%0.03%28.31$2,103100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend100.00%1.31%0.03%28.87$1,829100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/11/2021. (c) 2021 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 2
Arithmetic Mean (monthly)1.89%1.67%
Arithmetic Mean (annualized)25.20%21.94%
Geometric Mean (monthly)1.60%1.41%
Geometric Mean (annualized)21.03%18.29%
Volatility (monthly)7.88%7.47%
Volatility (annualized)27.29%25.89%
Downside Deviation (monthly)4.78%4.49%
Max. Drawdown-20.84%-19.58%
US Market Correlation1.001.00
Beta(*)0.990.94
Alpha (annualized)0.26%-1.25%
R299.96%99.70%
Sharpe Ratio0.810.75
Sortino Ratio1.331.25
Treynor Ratio (%)22.4220.81
Active Return0.16%-2.58%
Tracking Error0.59%2.17%
Information Ratio0.26-1.19
Skewness-0.55-0.41
Excess Kurtosis0.05-0.29
Historical Value-at-Risk (5%)-10.66%-10.06%
Analytical Value-at-Risk (5%)-11.07%-10.63%
Conditional Value-at-Risk (5%)-13.91%-12.46%
Upside Capture Ratio (%)99.5691.74
Downside Capture Ratio (%)99.1296.88
Safe Withdrawal Rate100.00%100.00%
Perpetual Withdrawal Rate16.25%14.31%
Positive Periods7 out of 12 (58.33%)7 out of 12 (58.33%)
Gain/Loss Ratio1.301.25
* 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
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.84%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-5.42%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.58%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.20%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF21.03%27.29%-20.84%0.811.331.00
VOOVanguard S&P 500 ETF18.29%25.89%-19.58%0.751.251.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVOOPortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF1.001.001.001.00
VOOVanguard S&P 500 ETF1.001.001.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF$2,103
VOOVanguard S&P 500 ETF$1,829

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF100.00%
VOOVanguard S&P 500 ETF100.00%

Annual Asset Returns