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 2007 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VYM Vanguard High Dividend Yield ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTV Vanguard Value ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,848 6.73% 14.13%30.08%-31.91%-51.79% 0.480.670.95
Portfolio 2$10,000$19,816 5.86% 15.03%33.10%-35.87%-54.78% 0.400.570.97
   
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 (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 annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard High Dividend Yield ETF (VYM)Vanguard Value ETF (VTV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20074.08%1.38%-0.11%$10,138$9,9892.65% [$265]2.69% [$269]1.38%-0.11%
20080.09%-31.91%-35.87%$6,903$6,4062.86% [$290]2.65% [$265]-31.91%-35.87%
20092.72%17.16%19.86%$8,088$7,6783.53% [$243]3.34% [$214]17.16%19.86%
20101.50%14.22%14.54%$9,238$8,7942.90% [$235]2.66% [$204]14.22%14.54%
20112.96%10.54%1.11%$10,212$8,8923.18% [$294]2.66% [$234]10.54%1.11%
20121.74%12.69%15.19%$11,508$10,2423.56% [$364]3.10% [$275]12.69%15.19%
20131.50%30.08%33.10%$14,970$13,6323.58% [$412]2.90% [$297]30.08%33.10%
20140.76%13.52%13.17%$16,994$15,4263.10% [$463]2.47% [$337]13.52%13.17%
20150.73%0.28%-0.98%$17,041$15,2753.16% [$538]2.54% [$391]0.28%-0.98%
20162.07%17.05%17.12%$19,946$17,8893.34% [$570]2.82% [$430]17.05%17.12%
20172.11%16.42%17.14%$23,221$20,9563.21% [$639]2.65% [$473]16.42%17.14%
20181.91%-5.91%-5.44%$21,848$19,8163.13% [$727]2.54% [$531]-5.91%-5.44%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard High Dividend Yield ETF (VYM)Vanguard Value ETF (VTV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200710.56%0.78%$10,056$10,0780.56%0.78%
20072-1.56%-1.59%$9,899$9,918-1.56%-1.59%
200731.24%1.69%$10,022$10,0861.24%1.69%
200744.23%4.20%$10,446$10,5094.23%4.20%
200753.01%3.58%$10,761$10,8853.01%3.58%
20076-2.06%-2.09%$10,539$10,658-2.06%-2.09%
20077-3.38%-4.72%$10,183$10,155-3.38%-4.72%
200781.92%1.46%$10,379$10,3041.92%1.46%
200793.57%3.56%$10,750$10,6703.57%3.56%
200710-0.31%0.15%$10,716$10,686-0.31%0.15%
200711-3.41%-5.04%$10,350$10,148-3.41%-5.04%
200712-2.05%-1.56%$10,138$9,989-2.05%-1.56%
20081-3.27%-4.73%$9,807$9,517-3.27%-4.73%
20082-4.79%-3.91%$9,337$9,145-4.79%-3.91%
200831.00%-0.45%$9,431$9,1041.00%-0.45%
200842.20%4.28%$9,639$9,4942.20%4.28%
20085-0.12%-0.57%$9,627$9,439-0.12%-0.57%
20086-10.32%-9.53%$8,633$8,540-10.32%-9.53%
200871.94%-0.18%$8,800$8,5251.94%-0.18%
200881.74%1.63%$8,953$8,6641.74%1.63%
20089-4.69%-6.85%$8,534$8,070-4.69%-6.85%
200810-14.85%-16.23%$7,267$6,760-14.85%-16.23%
200811-5.54%-6.65%$6,864$6,310-5.54%-6.65%
2008120.57%1.51%$6,903$6,4060.57%1.51%
20091-12.98%-11.10%$6,008$5,695-12.98%-11.10%
20092-13.65%-13.56%$5,188$4,923-13.65%-13.56%
200939.63%8.20%$5,687$5,3269.63%8.20%
2009410.26%11.02%$6,271$5,91310.26%11.02%
200955.80%7.10%$6,634$6,3335.80%7.10%
20096-0.29%-1.08%$6,615$6,265-0.29%-1.08%
200978.56%7.96%$7,181$6,7638.56%7.96%
200984.90%5.22%$7,533$7,1174.90%5.22%
200992.89%3.23%$7,750$7,3472.89%3.23%
200910-2.70%-2.65%$7,542$7,152-2.70%-2.65%
2009116.07%6.06%$8,000$7,5866.07%6.06%
2009121.11%1.22%$8,088$7,6781.11%1.22%
20101-3.08%-2.45%$7,839$7,490-3.08%-2.45%
201022.44%2.62%$8,031$7,6862.44%2.62%
201035.51%6.15%$8,473$8,1595.51%6.15%
201041.69%1.78%$8,617$8,3051.69%1.78%
20105-7.88%-7.77%$7,938$7,660-7.88%-7.77%
20106-4.30%-5.16%$7,596$7,264-4.30%-5.16%
201077.30%6.63%$8,151$7,7467.30%6.63%
20108-3.33%-4.24%$7,879$7,417-3.33%-4.24%
201097.40%7.56%$8,462$7,9787.40%7.56%
2010103.29%2.73%$8,740$8,1963.29%2.73%
201011-0.55%-0.62%$8,693$8,145-0.55%-0.62%
2010126.28%7.97%$9,238$8,7946.28%7.97%
201111.44%2.85%$9,372$9,0451.44%2.85%
201123.50%4.03%$9,700$9,4093.50%4.03%
201130.71%-0.03%$9,769$9,4060.71%-0.03%
201144.02%2.96%$10,161$9,6854.02%2.96%
20115-0.59%-1.37%$10,101$9,552-0.59%-1.37%
20116-1.10%-2.12%$9,990$9,350-1.10%-2.12%
20117-2.73%-3.50%$9,717$9,023-2.73%-3.50%
20118-2.83%-5.90%$9,442$8,491-2.83%-5.90%
20119-4.21%-6.85%$9,045$7,909-4.21%-6.85%
2011108.07%10.27%$9,774$8,7218.07%10.27%
2011111.26%-0.56%$9,897$8,6721.26%-0.56%
2011123.19%2.53%$10,212$8,8923.19%2.53%
201211.77%3.47%$10,393$9,2001.77%3.47%
201223.15%3.89%$10,720$9,5573.15%3.89%
201232.71%2.84%$11,011$9,8282.71%2.84%
20124-0.02%-0.92%$11,008$9,738-0.02%-0.92%
20125-4.66%-5.91%$10,495$9,162-4.66%-5.91%
201264.98%4.79%$11,018$9,6014.98%4.79%
201272.14%1.18%$11,254$9,7142.14%1.18%
201280.77%1.48%$11,341$9,8580.77%1.48%
201292.56%2.90%$11,632$10,1442.56%2.90%
201210-0.99%-0.39%$11,516$10,104-0.99%-0.39%
201211-0.34%-0.74%$11,477$10,030-0.34%-0.74%
2012120.27%2.12%$11,508$10,2420.27%2.12%
201315.65%6.36%$12,158$10,8945.65%6.36%
201322.07%1.31%$12,410$11,0362.07%1.31%
201333.61%4.04%$12,858$11,4823.61%4.04%
201343.01%2.21%$13,246$11,7363.01%2.21%
201350.73%2.58%$13,342$12,0400.73%2.58%
20136-0.13%-1.02%$13,325$11,917-0.13%-1.02%
201374.47%5.38%$13,920$12,5584.47%5.38%
20138-3.91%-3.68%$13,377$12,097-3.91%-3.68%
201392.35%2.29%$13,691$12,3742.35%2.29%
2013104.75%4.59%$14,341$12,9414.75%4.59%
2013112.31%3.18%$14,672$13,3522.31%3.18%
2013122.03%2.09%$14,970$13,6322.03%2.09%
20141-4.00%-3.69%$14,372$13,128-4.00%-3.69%
201423.61%3.97%$14,891$13,6503.61%3.97%
201432.48%2.69%$15,260$14,0162.48%2.69%
201442.11%0.86%$15,582$14,1362.11%0.86%
201451.58%1.38%$15,828$14,3321.58%1.38%
201462.02%1.92%$16,148$14,6072.02%1.92%
20147-1.67%-1.20%$15,878$14,432-1.67%-1.20%
201483.76%3.44%$16,475$14,9283.76%3.44%
20149-1.16%-1.28%$16,283$14,737-1.16%-1.28%
2014102.47%1.80%$16,685$15,0022.47%1.80%
2014113.03%2.47%$17,190$15,3723.03%2.47%
201412-1.14%0.35%$16,994$15,426-1.14%0.35%
20151-2.88%-4.10%$16,505$14,795-2.88%-4.10%
201524.90%5.31%$17,313$15,5804.90%5.31%
20153-1.83%-1.32%$16,996$15,374-1.83%-1.32%
201541.70%1.28%$17,285$15,5711.70%1.28%
201550.37%1.18%$17,349$15,7540.37%1.18%
20156-2.65%-2.24%$16,889$15,401-2.65%-2.24%
201571.05%1.02%$17,067$15,5581.05%1.02%
20158-5.66%-5.84%$16,101$14,649-5.66%-5.84%
20159-1.56%-2.54%$15,850$14,277-1.56%-2.54%
2015108.41%7.65%$17,184$15,3688.41%7.65%
2015110.22%0.54%$17,222$15,4520.22%0.54%
201512-1.05%-1.15%$17,041$15,275-1.05%-1.15%
20161-2.82%-4.76%$16,561$14,548-2.82%-4.76%
201620.51%0.10%$16,646$14,5630.51%0.10%
201636.64%6.70%$17,750$15,5386.64%6.70%
201640.72%1.52%$17,879$15,7740.72%1.52%
201651.39%1.06%$18,128$15,9421.39%1.06%
201662.18%1.13%$18,523$16,1212.18%1.13%
201672.35%2.81%$18,958$16,5752.35%2.81%
20168-0.30%0.68%$18,901$16,687-0.30%0.68%
20169-0.40%-0.46%$18,826$16,610-0.40%-0.46%
201610-1.28%-1.09%$18,586$16,429-1.28%-1.09%
2016114.23%6.00%$19,372$17,4144.23%6.00%
2016122.97%2.73%$19,946$17,8892.97%2.73%
20171-0.04%0.49%$19,939$17,978-0.04%0.49%
201723.58%3.58%$20,652$18,6223.58%3.58%
20173-0.30%-0.92%$20,589$18,451-0.30%-0.92%
20174-0.08%-0.03%$20,573$18,445-0.08%-0.03%
201750.36%0.06%$20,647$18,4570.36%0.06%
201761.13%1.80%$20,882$18,7891.13%1.80%
201771.61%1.54%$21,218$19,0791.61%1.54%
20178-0.18%-0.47%$21,181$18,990-0.18%-0.47%
201793.02%2.98%$21,820$19,5563.02%2.98%
2017101.74%1.83%$22,200$19,9151.74%1.83%
2017113.07%3.52%$22,881$20,6163.07%3.52%
2017121.49%1.65%$23,221$20,9561.49%1.65%
201814.11%4.71%$24,175$21,9444.11%4.71%
20182-4.72%-4.44%$23,034$20,970-4.72%-4.44%
20183-2.17%-2.45%$22,534$20,457-2.17%-2.45%
201840.13%0.42%$22,564$20,5420.13%0.42%
201851.60%0.61%$22,925$20,6671.60%0.61%
20186-0.29%0.20%$22,858$20,709-0.29%0.20%
201874.09%4.65%$23,793$21,6724.09%4.65%
201881.11%1.90%$24,058$22,0831.11%1.90%
201890.40%0.62%$24,155$22,2210.40%0.62%
201810-4.40%-4.98%$23,092$21,115-4.40%-4.98%
2018113.56%3.27%$23,913$21,8053.56%3.27%
201812-8.64%-9.12%$21,848$19,816-8.64%-9.12%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value83.85%86.12%
Large-cap Growth6.10%11.44%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
REITs0.00%0.00%
Corporate Bonds0.00%0.02%
Long-Term Treasuries10.05%1.81%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.60%
R Squared96.10%98.96%
Style analysis is based on monthly returns from Jan 2007 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VYMVanguard High Dividend Yield ETFLarge Value0.06%100.00%$11,848100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTVVanguard Value ETFLarge Value0.04%100.00%$9,816100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/04/2019. (c) 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)0.63%0.57%
Arithmetic Mean (annualized)7.81%7.08%
Geometric Mean (monthly)0.54%0.48%
Geometric Mean (annualized)6.73%5.86%
Volatility (monthly)4.08%4.34%
Volatility (annualized)14.13%15.03%
Downside Deviation (monthly)2.88%3.07%
Max. Drawdown-51.79%-54.78%
US Market Correlation0.950.97
Beta(*)0.880.97
Alpha (annualized)0.43%-0.93%
R289.51%94.94%
Sharpe Ratio0.480.40
Sortino Ratio0.670.57
Treynor Ratio (%)7.676.29
Calmar Ratio0.900.84
Active Return-0.38%-1.24%
Tracking Error4.90%3.41%
Information Ratio-0.08-0.36
Skewness-0.90-0.77
Excess Kurtosis2.471.74
Historical Value-at-Risk (5%)-5.63%-6.85%
Analytical Value-at-Risk (5%)-6.08%-6.56%
Conditional Value-at-Risk (5%)-10.57%-10.59%
Upside Capture Ratio (%)87.6293.65
Downside Capture Ratio (%)87.3599.02
Safe Withdrawal Rate9.13%8.40%
Perpetual Withdrawal Rate4.58%3.80%
Positive Periods88 out of 144 (61.11%)89 out of 144 (61.81%)
Gain/Loss Ratio0.960.88
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-51.59%-53.94%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20123 years 1 month4 years 10 months-51.79%
2Feb 2018Dec 201811 months-9.63%
3Jun 2015Sep 20154 monthsMar 20166 months10 months-8.64%
4Apr 2012May 20122 monthsJun 20121 month3 months-4.68%
5Jan 2014Jan 20141 monthMar 20142 months3 months-4.00%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.99%
7Aug 2013Aug 20131 monthOct 20132 months3 months-3.91%
8Aug 2016Oct 20163 monthsNov 20161 month4 months-1.96%
9Mar 2015Mar 20151 monthMay 20152 months3 months-1.83%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.67%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsJan 20133 years 11 months5 years 8 months-54.78%
2Oct 2018Dec 20183 months-10.82%
3Jun 2015Sep 20154 monthsApr 20167 months11 months-9.38%
4Feb 2018Mar 20182 monthsAug 20185 months7 months-6.78%
5Jan 2015Jan 20151 monthFeb 20151 month2 months-4.10%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.69%
7Aug 2013Aug 20131 monthOct 20132 months3 months-3.68%
8Feb 2007Feb 20071 monthMar 20071 month2 months-1.59%
9Sep 2016Oct 20162 monthsNov 20161 month3 months-1.54%
10Mar 2015Mar 20151 monthMay 20152 months3 months-1.32%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VYMVanguard High Dividend Yield ETF6.73%14.13%30.08%-31.91%-51.79%0.480.670.95
VTVVanguard Value ETF5.86%15.03%33.10%-35.87%-54.78%0.400.570.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameVYMVTVPortfolio 1Portfolio 2
VYMVanguard High Dividend Yield ETF-0.981.000.98
VTVVanguard Value ETF0.98-0.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VYMVanguard High Dividend Yield ETF$11,848
VTVVanguard Value ETF$9,816

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VYMVanguard High Dividend Yield ETF100.00%
VTVVanguard Value ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.96%30.08%-31.91%7.40%33.10%-35.87%
3 years9.61%18.50%-6.83%8.85%20.16%-8.43%
5 years10.75%16.74%0.42%9.91%16.30%-2.32%
7 years11.11%14.07%5.93%10.39%13.22%4.53%
10 years9.33%12.21%7.15%8.54%11.96%5.99%
Result statistics are based on annualized rolling returns over full calendar year periods