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 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 (Jan 2016 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
OUSA O'Shares FTSE US Quality Dividend ETF 100.00%
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Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
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Portfolio 3
Ticker Name Allocation
VYM Vanguard High Dividend Yield 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$13,342 15.51% 7.15%18.81%12.30%-5.11% 2.005.560.72
Portfolio 2$10,000$13,651 16.84% 8.29%21.17%12.66%-5.69% 1.873.601.00
Portfolio 3$10,000$13,626 16.73% 6.95%17.05%16.42%-2.82% 2.206.790.91
Vanguard 500 Index Investor$10,000$13,605 16.64% 7.72%21.67%11.82%-5.11% 1.984.060.99
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeO'Shares FTSE US Quality Dividend ETF (OUSA)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard High Dividend Yield ETF (VYM)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3
20162.07%12.30%12.66%17.05%11.82%$11,230$11,266$11,705$11,1822.57% [$257]2.14% [$214]3.34% [$334]12.30%12.66%17.05%
20172.11%18.81%21.17%16.42%21.67%$13,342$13,651$13,626$13,6052.53% [$284]2.05% [$231]3.21% [$375]18.81%21.17%16.42%
Monthly returns for the configured portfolios
YearMonthReturnBalanceO'Shares FTSE US Quality Dividend ETF (OUSA)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard High Dividend Yield ETF (VYM)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20161-1.18%-5.65%-2.82%-4.98%$9,882$9,435$9,718$9,502-1.18%-5.65%-2.82%
201620.98%-0.04%0.51%-0.15%$9,979$9,431$9,768$9,4890.98%-0.04%0.51%
201636.27%7.03%6.64%6.78%$10,605$10,094$10,416$10,1316.27%7.03%6.64%
201640.48%0.65%0.72%0.37%$10,655$10,160$10,491$10,1690.48%0.65%0.72%
201651.16%1.77%1.39%1.78%$10,779$10,340$10,638$10,3511.16%1.77%1.39%
201663.70%0.25%2.18%0.25%$11,178$10,365$10,869$10,3763.70%0.25%2.18%
201671.88%3.95%2.35%3.68%$11,388$10,775$11,125$10,7581.88%3.95%2.35%
20168-1.79%0.28%-0.30%0.13%$11,184$10,804$11,091$10,772-1.79%0.28%-0.30%
20169-0.68%0.15%-0.40%0.01%$11,108$10,821$11,047$10,773-0.68%0.15%-0.40%
201610-2.72%-2.21%-1.28%-1.83%$10,806$10,582$10,907$10,575-2.72%-2.21%-1.28%
2016111.16%4.45%4.23%3.70%$10,931$11,053$11,368$10,9661.16%4.45%4.23%
2016122.73%1.93%2.97%1.96%$11,230$11,266$11,705$11,1822.73%1.93%2.97%
201710.31%1.93%-0.04%1.88%$11,265$11,483$11,700$11,3920.31%1.93%-0.04%
201724.84%3.71%3.58%3.96%$11,810$11,909$12,119$11,8444.84%3.71%3.58%
201730.29%0.08%-0.30%0.10%$11,845$11,919$12,082$11,8560.29%0.08%-0.30%
201740.35%1.05%-0.08%1.02%$11,886$12,044$12,073$11,9760.35%1.05%-0.08%
201752.17%1.02%0.36%1.39%$12,143$12,167$12,116$12,1432.17%1.02%0.36%
20176-0.62%0.93%1.13%0.61%$12,068$12,280$12,254$12,217-0.62%0.93%1.13%
201771.54%1.87%1.61%2.04%$12,254$12,509$12,451$12,4671.54%1.87%1.61%
201780.54%0.16%-0.18%0.29%$12,320$12,529$12,429$12,5040.54%0.16%-0.18%
201791.74%2.46%3.02%2.06%$12,535$12,838$12,804$12,7611.74%2.46%3.02%
2017100.75%2.17%1.74%2.32%$12,628$13,117$13,027$13,0570.75%2.17%1.74%
2017114.08%3.04%3.07%3.06%$13,144$13,516$13,427$13,4564.08%3.04%3.07%
2017121.50%1.01%1.49%1.10%$13,342$13,651$13,626$13,6051.50%1.01%1.49%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
OUSAO'Shares FTSE US Quality Dividend ETFLarge Value0.48%100.00%$3,342100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%100.00%$3,651100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VYMVanguard High Dividend Yield ETFLarge Value0.06%100.00%$3,626100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 08/05/2019. © 2019 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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.23%1.33%1.32%1.31%
Arithmetic Mean (annualized)15.78%17.22%16.99%16.96%
Geometric Mean (monthly)1.21%1.31%1.30%1.29%
Geometric Mean (annualized)15.51%16.84%16.73%16.64%
Volatility (monthly)2.06%2.39%2.01%2.23%
Volatility (annualized)7.15%8.29%6.95%7.72%
Downside Deviation (monthly)0.73%1.24%0.64%1.08%
Max. Drawdown-5.11%-5.69%-2.82%-5.11%
US Market Correlation0.721.000.910.99
Beta(*)0.701.070.811.00
Alpha (annualized)3.76%-0.85%2.97%0.00%
R256.42%98.90%81.45%100.00%
Sharpe Ratio2.001.872.201.98
Sortino Ratio5.563.606.794.06
Treynor Ratio (%)20.4614.5018.8115.27
Active Return-1.13%0.20%0.09%N/A
Tracking Error5.27%1.02%3.32%N/A
Information Ratio-0.210.200.03N/A
Skewness0.53-0.490.54-0.33
Excess Kurtosis0.643.101.092.74
Historical Value-at-Risk (5%)-2.48%-4.79%-2.43%-4.19%
Analytical Value-at-Risk (5%)-2.17%-2.60%-1.98%-2.35%
Conditional Value-at-Risk (5%)-2.72%-5.65%-2.82%-4.98%
Upside Capture Ratio (%)82.63103.9090.49100.00
Downside Capture Ratio (%)42.17113.7651.61100.00
Safe Withdrawal Rate59.16%59.90%61.09%59.56%
Perpetual Withdrawal Rate11.61%12.62%12.54%12.47%
Positive Periods19 out of 24 (79.17%)21 out of 24 (87.50%)16 out of 24 (66.67%)21 out of 24 (87.50%)
Gain/Loss Ratio1.370.723.430.79
* 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
1Aug 2016Oct 20163 monthsFeb 20174 months7 months-5.11%
2Jan 2016Jan 20161 monthMar 20162 months3 months-1.18%
3Jun 2017Jun 20171 monthJul 20171 month2 months-0.62%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2016Feb 20162 monthsMar 20161 month3 months-5.69%
2Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2016Jan 20161 monthMar 20162 months3 months-2.82%
2Aug 2016Oct 20163 monthsNov 20161 month4 months-1.96%
3Mar 2017Apr 20172 monthsJun 20172 months4 months-0.38%
4Aug 2017Aug 20171 monthSep 20171 month2 months-0.18%
5Jan 2017Jan 20171 monthFeb 20171 month2 months-0.04%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2016Feb 20162 monthsMar 20161 month3 months-5.11%
2Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
OUSAO'Shares FTSE US Quality Dividend ETF15.51%7.15%18.81%12.30%-5.11%2.005.560.72
VTSAXVanguard Total Stock Mkt Idx Adm16.84%8.29%21.17%12.66%-5.69%1.873.601.00
VYMVanguard High Dividend Yield ETF16.73%6.95%17.05%16.42%-2.82%2.206.790.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameOUSAVTSAXVYMPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
OUSAO'Shares FTSE US Quality Dividend ETF-0.720.831.000.720.830.75
VTSAXVanguard Total Stock Mkt Idx Adm0.72-0.910.721.000.910.99
VYMVanguard High Dividend Yield ETF0.830.91-0.830.911.000.90

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
OUSAO'Shares FTSE US Quality Dividend ETF$3,342
VTSAXVanguard Total Stock Mkt Idx Adm$3,651
VYMVanguard High Dividend Yield ETF$3,626

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
OUSAO'Shares FTSE US Quality Dividend ETF100.00%
VTSAXVanguard Total Stock Mkt Idx Adm100.00%
VYMVanguard High Dividend Yield ETF100.00%

Annual Asset Returns