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 2012 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTIAX Vanguard Total Intl Stock Index Admiral 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VXUS Vanguard Total International Stock 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$14,266 5.21% 12.42%27.55%-14.43%-20.08% 0.440.650.79
Portfolio 2$10,000$14,181 5.12% 12.55%27.45%-14.43%-20.26% 0.430.630.79
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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
  • 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.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Intl Stock Index Admiral (VTIAX)Vanguard Total International Stock ETF (VXUS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20121.74%18.21%18.61%$11,821$11,86118.21%18.61%
20131.50%15.14%14.61%$13,611$13,59415.14%14.61%
20140.76%-4.17%-4.74%$13,043$12,949-4.17%-4.74%
20150.73%-4.26%-4.19%$12,487$12,408-4.26%-4.19%
20162.07%4.67%4.81%$13,071$13,0044.67%4.81%
20172.11%27.55%27.45%$16,672$16,57427.55%27.45%
20181.91%-14.43%-14.43%$14,266$14,181-14.43%-14.43%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Intl Stock Index Admiral (VTIAX)Vanguard Total International Stock ETF (VXUS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201217.33%7.33%$10,733$10,7337.33%7.33%
201225.12%4.56%$11,282$11,2225.12%4.56%
20123-0.73%-0.54%$11,200$11,161-0.73%-0.54%
20124-1.84%-2.08%$10,994$10,929-1.84%-2.08%
20125-11.08%-10.83%$9,776$9,746-11.08%-10.83%
201266.00%5.97%$10,362$10,3286.00%5.97%
201270.44%0.31%$10,408$10,3590.44%0.31%
201282.73%2.60%$10,691$10,6282.73%2.60%
201293.63%3.41%$11,080$10,9913.63%3.41%
2012100.59%0.81%$11,145$11,0810.59%0.81%
2012111.80%2.06%$11,345$11,3091.80%2.06%
2012124.19%4.88%$11,821$11,8614.19%4.88%
201313.35%2.40%$12,217$12,1463.35%2.40%
20132-1.20%-1.14%$12,071$12,007-1.20%-1.14%
201330.77%0.93%$12,164$12,1190.77%0.93%
201343.58%3.50%$12,599$12,5443.58%3.50%
20135-2.93%-3.30%$12,230$12,129-2.93%-3.30%
20136-3.77%-3.57%$11,769$11,697-3.77%-3.57%
201374.60%4.62%$12,311$12,2374.60%4.62%
20138-1.67%-1.95%$12,105$11,999-1.67%-1.95%
201397.22%7.51%$12,978$12,9007.22%7.51%
2013103.49%3.67%$13,431$13,3733.49%3.67%
2013110.07%0.13%$13,441$13,3910.07%0.13%
2013121.27%1.52%$13,611$13,5941.27%1.52%
20141-4.75%-5.40%$12,965$12,860-4.75%-5.40%
201425.40%5.59%$13,664$13,5795.40%5.59%
201430.41%0.49%$13,720$13,6450.41%0.49%
201441.32%1.26%$13,901$13,8171.32%1.26%
201451.90%1.93%$14,165$14,0841.90%1.93%
201461.75%1.89%$14,413$14,3501.75%1.89%
20147-1.58%-1.73%$14,185$14,101-1.58%-1.73%
201481.05%1.16%$14,333$14,2651.05%1.16%
20149-5.03%-5.01%$13,613$13,551-5.03%-5.01%
201410-0.26%-0.08%$13,578$13,540-0.26%-0.08%
201411-0.29%-0.51%$13,538$13,471-0.29%-0.51%
201412-3.66%-3.87%$13,043$12,949-3.66%-3.87%
201510.19%0.27%$13,068$12,9840.19%0.27%
201525.49%5.78%$13,785$13,7345.49%5.78%
20153-1.52%-1.49%$13,576$13,530-1.52%-1.49%
201545.04%4.81%$14,260$14,1805.04%4.81%
20155-0.92%-0.91%$14,129$14,051-0.92%-0.91%
20156-2.69%-2.73%$13,750$13,667-2.69%-2.73%
20157-0.81%-0.56%$13,638$13,591-0.81%-0.56%
20158-7.27%-7.43%$12,646$12,581-7.27%-7.43%
20159-3.89%-3.85%$12,154$12,096-3.89%-3.85%
2015106.27%6.25%$12,916$12,8526.27%6.25%
201511-1.31%-1.32%$12,747$12,683-1.31%-1.32%
201512-2.04%-2.17%$12,487$12,408-2.04%-2.17%
20161-5.65%-5.45%$11,782$11,731-5.65%-5.45%
20162-2.23%-2.46%$11,519$11,442-2.23%-2.46%
201638.22%8.33%$12,466$12,3958.22%8.33%
201642.24%2.16%$12,745$12,6632.24%2.16%
20165-1.01%-0.98%$12,616$12,539-1.01%-0.98%
20166-0.93%-0.90%$12,498$12,426-0.93%-0.90%
201674.44%4.52%$13,052$12,9884.44%4.52%
201680.68%0.45%$13,141$13,0470.68%0.45%
201691.43%1.70%$13,329$13,2681.43%1.70%
201610-1.74%-1.91%$13,097$13,015-1.74%-1.91%
201611-2.17%-2.01%$12,813$12,753-2.17%-2.01%
2016122.01%1.96%$13,071$13,0042.01%1.96%
201713.94%4.08%$13,586$13,5343.94%4.08%
201721.48%1.34%$13,787$13,7151.48%1.34%
201732.83%3.00%$14,178$14,1262.83%3.00%
201742.22%2.05%$14,492$14,4162.22%2.05%
201752.98%2.96%$14,923$14,8432.98%2.96%
201760.54%0.63%$15,004$14,9370.54%0.63%
201773.44%3.37%$15,520$15,4403.44%3.37%
201780.62%0.54%$15,617$15,5230.62%0.54%
201791.79%1.88%$15,896$15,8151.79%1.88%
2017101.94%2.03%$16,205$16,1361.94%2.03%
2017110.80%0.63%$16,335$16,2370.80%0.63%
2017122.07%2.07%$16,672$16,5742.07%2.07%
201815.57%5.72%$17,601$17,5225.57%5.72%
20182-5.12%-5.24%$16,700$16,603-5.12%-5.24%
20183-0.63%-0.38%$16,595$16,539-0.63%-0.38%
201840.79%0.46%$16,726$16,6150.79%0.46%
20185-1.90%-1.64%$16,409$16,343-1.90%-1.64%
20186-2.08%-2.14%$16,068$15,994-2.08%-2.14%
201872.52%2.55%$16,472$16,4022.52%2.55%
20188-2.22%-2.40%$16,107$16,009-2.22%-2.40%
201890.29%0.21%$16,153$16,0430.29%0.21%
201810-8.34%-8.56%$14,806$14,671-8.34%-8.56%
2018111.24%1.68%$14,990$14,9171.24%1.68%
201812-4.83%-4.93%$14,266$14,181-4.83%-4.93%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value3.67%2.38%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%1.11%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets70.76%70.59%
Emerging Markets23.67%25.13%
Corporate Bonds1.90%0.80%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.08%99.45%
Style analysis is based on monthly returns from Jan 2012 to Dec 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIAXVanguard Total Intl Stock Index AdmiralForeign Large Blend0.11%100.00%$4,266100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VXUSVanguard Total International Stock ETFForeign Large Blend0.09%100.00%$4,181100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 07/03/2019. © 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 2
Arithmetic Mean (monthly)0.49%0.48%
Arithmetic Mean (annualized)6.01%5.94%
Geometric Mean (monthly)0.42%0.42%
Geometric Mean (annualized)5.21%5.12%
Volatility (monthly)3.58%3.62%
Volatility (annualized)12.42%12.55%
Downside Deviation (monthly)2.39%2.42%
Max. Drawdown-20.08%-20.26%
US Market Correlation0.790.79
Beta(*)0.900.91
Alpha (annualized)-5.17%-5.33%
R262.07%61.76%
Sharpe Ratio0.440.43
Sortino Ratio0.650.63
Treynor Ratio (%)6.065.93
Calmar Ratio0.240.24
Active Return-7.12%-7.21%
Tracking Error7.73%7.83%
Information Ratio-0.92-0.92
Skewness-0.43-0.41
Excess Kurtosis0.670.56
Historical Value-at-Risk (5%)-5.52%-5.44%
Analytical Value-at-Risk (5%)-5.41%-5.48%
Conditional Value-at-Risk (5%)-8.08%-8.07%
Upside Capture Ratio (%)75.7876.42
Downside Capture Ratio (%)117.03119.08
Safe Withdrawal Rate18.15%18.08%
Perpetual Withdrawal Rate3.48%3.40%
Positive Periods50 out of 84 (59.52%)50 out of 84 (59.52%)
Gain/Loss Ratio0.960.96
* 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
1Jul 2014Feb 20161 year 8 monthsApr 20171 year 2 months2 years 10 months-20.08%
2Feb 2018Dec 201811 months-18.95%
3Mar 2012May 20123 monthsNov 20126 months9 months-13.35%
4May 2013Jun 20132 monthsSep 20133 months5 months-6.58%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-4.75%
6Feb 2013Feb 20131 monthApr 20132 months3 months-1.20%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2014Feb 20161 year 8 monthsApr 20171 year 2 months2 years 10 months-20.26%
2Feb 2018Dec 201811 months-19.06%
3Mar 2012May 20123 monthsNov 20126 months9 months-13.16%
4May 2013Jun 20132 monthsSep 20133 months5 months-6.75%
5Jan 2014Jan 20141 monthMar 20142 months3 months-5.40%
6Feb 2013Feb 20131 monthApr 20132 months3 months-1.14%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIAXVanguard Total Intl Stock Index Admiral5.21%12.42%27.55%-14.43%-20.08%0.440.650.79
VXUSVanguard Total International Stock ETF5.12%12.55%27.45%-14.43%-20.26%0.430.630.79

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIAXVXUSPortfolio 1Portfolio 2
VTIAXVanguard Total Intl Stock Index Admiral-1.001.001.00
VXUSVanguard Total International Stock ETF1.00-1.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTIAXVanguard Total Intl Stock Index Admiral$4,266
VXUSVanguard Total International Stock ETF$4,181

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTIAXVanguard Total Intl Stock Index Admiral100.00%
VXUSVanguard Total International Stock ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.10%27.55%-14.43%6.02%27.45%-14.43%
3 years4.57%9.26%-1.34%4.43%9.00%-1.47%
5 years4.52%7.12%0.94%4.39%6.92%0.85%
7 years5.21%5.21%5.21%5.12%5.12%5.12%
Result statistics are based on annualized rolling returns over full calendar year periods