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 2014 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VDADX Vanguard Dividend Appreciation Index Adm 75.00%
VIGAX Vanguard Growth Index Admiral 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,688 7.99% 10.83%23.62%-2.36%-12.42% 0.711.070.97
Vanguard 500 Index Investor$10,000$14,928 8.34% 10.94%21.67%-4.52%-13.55% 0.731.110.99
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 1-12.42%-2.36%10.03%7.99%7.99%
Vanguard 500 Index Investor-13.55%-4.52%9.11%8.34%8.34%
Trailing returns are for full months ending in December 2018 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.
  • 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
YearInflationReturnBalanceVanguard Dividend Appreciation Index Adm (VDADX)Vanguard Growth Index Admiral (VIGAX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20140.76%10.94%13.51%$11,094$11,35110.04%13.63%
20150.73%-0.62%1.25%$11,025$11,493-1.93%3.30%
20162.07%10.38%11.82%$12,169$12,85111.79%6.12%
20172.11%23.62%21.67%$15,043$15,63522.22%27.80%
20181.91%-2.36%-4.52%$14,688$14,928-2.03%-3.34%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Dividend Appreciation Index Adm (VDADX)Vanguard Growth Index Admiral (VIGAX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20141-4.53%-3.47%$9,547$9,653-5.04%-2.99%
201425.03%4.56%$10,027$10,0934.85%5.56%
201430.22%0.82%$10,049$10,1760.84%-1.59%
201440.76%0.72%$10,125$10,2500.98%0.10%
201452.09%2.33%$10,336$10,4901.60%3.55%
201461.72%2.05%$10,514$10,7051.48%2.41%
20147-2.85%-1.39%$10,215$10,556-3.26%-1.63%
201483.86%3.98%$10,609$10,9763.57%4.71%
20149-1.18%-1.41%$10,484$10,821-0.93%-1.89%
2014102.74%2.42%$10,772$11,0842.63%3.06%
2014113.08%2.68%$11,104$11,3813.13%2.97%
201412-0.09%-0.26%$11,094$11,3510.22%-0.96%
20151-2.93%-3.02%$10,769$11,008-3.40%-1.49%
201525.77%5.74%$11,391$11,6405.59%6.29%
20153-1.83%-1.59%$11,183$11,455-2.04%-1.21%
20154-0.39%0.95%$11,139$11,563-0.50%-0.07%
201551.09%1.27%$11,261$11,7110.96%1.46%
20156-2.24%-1.93%$11,008$11,484-2.46%-1.60%
201572.43%2.08%$11,275$11,7232.16%3.19%
20158-5.98%-6.04%$10,602$11,015-5.87%-6.26%
20159-2.11%-2.49%$10,378$10,741-1.85%-2.85%
2015107.28%8.42%$11,133$11,6456.70%8.95%
2015110.25%0.29%$11,161$11,6790.28%0.16%
201512-1.22%-1.59%$11,025$11,493-0.80%-2.40%
20161-3.22%-4.98%$10,670$10,921-2.32%-5.92%
201620.77%-0.15%$10,753$10,9051.16%-0.45%
201636.42%6.78%$11,443$11,6446.19%7.13%
20164-0.35%0.37%$11,402$11,687-0.23%-0.75%
201651.32%1.78%$11,553$11,8950.95%2.46%
201661.58%0.25%$11,736$11,9252.31%-0.67%
201672.89%3.68%$12,075$12,3642.30%4.78%
20168-0.08%0.13%$12,066$12,3800.00%-0.31%
20169-0.61%0.01%$11,993$12,381-1.01%0.65%
201610-2.11%-1.83%$11,740$12,154-1.93%-2.65%
2016112.56%3.70%$12,040$12,6033.00%1.19%
2016121.07%1.96%$12,169$12,8511.07%1.08%
201712.31%1.88%$12,450$13,0931.86%3.65%
201724.34%3.96%$12,991$13,6114.34%4.36%
201730.26%0.10%$13,024$13,625-0.10%1.32%
201741.90%1.02%$13,272$13,7641.76%2.32%
201751.89%1.39%$13,523$13,9561.57%2.81%
201760.05%0.61%$13,530$14,0410.24%-0.46%
201771.25%2.04%$13,699$14,3280.80%2.54%
201780.05%0.29%$13,706$14,370-0.36%1.19%
201792.02%2.06%$13,982$14,6662.36%1.05%
2017102.27%2.32%$14,299$15,0062.06%2.85%
2017113.98%3.06%$14,868$15,4654.49%2.53%
2017121.18%1.10%$15,043$15,6351.34%0.73%
201815.54%5.71%$15,877$16,5285.10%6.87%
20182-3.71%-3.69%$15,287$15,918-3.99%-2.90%
20183-1.65%-2.56%$15,035$15,511-1.36%-2.51%
20184-0.61%0.37%$14,943$15,569-0.91%0.29%
201852.40%2.39%$15,302$15,9421.73%4.36%
201860.54%0.61%$15,384$16,0380.30%1.19%
201874.13%3.71%$16,020$16,6334.72%2.49%
201883.32%3.25%$16,552$17,1732.84%4.71%
201891.32%0.55%$16,770$17,2681.63%0.44%
201810-7.05%-6.85%$15,588$16,085-6.36%-9.03%
2018113.30%2.03%$16,103$16,4114.19%0.66%
201812-8.78%-9.04%$14,688$14,928-8.84%-8.61%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value39.70%46.26%
Large-cap Growth50.13%53.18%
Mid-cap Value0.00%0.37%
Mid-cap Growth6.01%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.18%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.14%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries4.02%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared96.03%99.97%
Style analysis is based on monthly returns from Jan 2014 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VDADXVanguard Dividend Appreciation Index AdmLarge Blend75.00%0.08%25.81$3,36773.44%
VIGAXVanguard Growth Index AdmiralLarge Growth25.00%0.05%36.18$1,32126.56%
100.00%0.07%28.40$4,688100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 11/24/2020. (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)0.69%0.72%
Arithmetic Mean (annualized)8.62%8.98%
Geometric Mean (monthly)0.64%0.67%
Geometric Mean (annualized)7.99%8.34%
Volatility (monthly)3.13%3.16%
Volatility (annualized)10.83%10.94%
Downside Deviation (monthly)2.03%2.06%
Max. Drawdown-12.42%-13.55%
US Market Correlation0.970.99
Beta(*)0.971.00
Alpha (annualized)-0.06%0.00%
R295.71%100.00%
Sharpe Ratio0.710.73
Sortino Ratio1.071.11
Treynor Ratio (%)7.928.00
Calmar Ratio0.810.67
Active Return-0.35%N/A
Tracking Error2.27%N/A
Information Ratio-0.15N/A
Skewness-0.60-0.56
Excess Kurtosis0.951.31
Historical Value-at-Risk (5%)-5.90%-5.99%
Analytical Value-at-Risk (5%)-4.41%-4.48%
Conditional Value-at-Risk (5%)-7.27%-7.31%
Upside Capture Ratio (%)96.20100.00
Downside Capture Ratio (%)97.10100.00
Safe Withdrawal Rate24.29%25.16%
Perpetual Withdrawal Rate6.00%6.30%
Positive Periods39 out of 60 (65.00%)43 out of 60 (71.67%)
Gain/Loss Ratio0.960.72
* 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 months-12.42%
2Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-8.89%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-5.88%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-4.53%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.01%
6Jul 2014Jul 20141 monthAug 20141 month2 months-2.85%
7Aug 2016Oct 20163 monthsDec 20162 months5 months-2.78%
8Sep 2014Sep 20141 monthOct 20141 month2 months-1.18%
9Apr 2016Apr 20161 monthMay 20161 month2 months-0.35%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-13.55%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
6Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
7Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
8Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VDADXVanguard Dividend Appreciation Index Adm7.64%10.68%22.22%-2.03%-11.06%0.681.030.95
VIGAXVanguard Growth Index Admiral9.00%12.16%27.80%-3.34%-16.30%0.721.130.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameVDADXVIGAXPortfolio 1Vanguard 500 Index Investor
VDADXVanguard Dividend Appreciation Index Adm1.000.900.990.96
VIGAXVanguard Growth Index Admiral0.901.000.950.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VDADXVanguard Dividend Appreciation Index Adm$3,367
VIGAXVanguard Growth Index Admiral$1,321

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VDADXVanguard Dividend Appreciation Index Adm73.44%
VIGAXVanguard Growth Index Admiral26.56%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year8.39%23.62%-2.36%8.74%21.67%-4.52%
3 years9.16%10.68%6.76%9.70%11.26%8.72%
5 years7.99%7.99%7.99%8.34%8.34%8.34%
Result statistics are based on annualized rolling returns over full calendar year periods