Backtest Portfolio Asset Allocation

This online 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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2006 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DFEOX DFA US Core Equity 1 I 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$26,065 7.65% 15.50%36.60%-36.53%-51.66% 0.480.691.00
Portfolio 2$10,000$26,696 7.85% 14.65%33.52%-36.99%-50.84% 0.520.731.00
   
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
  • 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
YearInflationReturnBalanceDFA US Core Equity 1 I (DFEOX)Vanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20062.54%15.69%15.63%$11,569$11,56315.69%15.63%
20074.08%2.79%5.57%$11,892$12,2072.79%5.57%
20080.09%-36.53%-36.99%$7,549$7,692-36.53%-36.99%
20092.72%29.84%28.83%$9,801$9,90929.84%28.83%
20101.50%20.11%17.26%$11,772$11,61920.11%17.26%
20112.96%-0.64%1.08%$11,697$11,744-0.64%1.08%
20121.74%16.91%16.38%$13,675$13,66816.91%16.38%
20131.50%36.60%33.52%$18,681$18,25136.60%33.52%
20140.76%10.52%12.56%$20,646$20,54310.52%12.56%
20150.73%-1.35%0.39%$20,368$20,622-1.35%0.39%
20162.07%14.80%12.66%$23,382$23,23414.80%12.66%
20172.11%20.89%21.17%$28,267$28,15220.89%21.17%
20181.91%-7.79%-5.17%$26,065$26,696-7.79%-5.17%
Monthly returns for the configured portfolios
YearMonthReturnBalanceDFA US Core Equity 1 I (DFEOX)Vanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200614.03%3.50%$10,403$10,3504.03%3.50%
200620.19%0.03%$10,423$10,3530.19%0.03%
200632.22%1.79%$10,654$10,5392.22%1.79%
200641.20%1.11%$10,782$10,6561.20%1.11%
20065-3.47%-3.23%$10,408$10,311-3.47%-3.23%
200660.02%0.20%$10,411$10,3320.02%0.20%
20067-1.04%-0.10%$10,302$10,322-1.04%-0.10%
200682.40%2.31%$10,549$10,5612.40%2.31%
200692.08%2.26%$10,768$10,7992.08%2.26%
2006103.68%3.56%$11,164$11,1843.68%3.56%
2006112.38%2.23%$11,430$11,4342.38%2.23%
2006121.22%1.13%$11,569$11,5631.22%1.13%
200711.90%1.88%$11,789$11,7801.90%1.88%
20072-1.10%-1.61%$11,659$11,590-1.10%-1.61%
200731.00%1.13%$11,775$11,7201.00%1.13%
200743.74%4.04%$12,216$12,1943.74%4.04%
200753.85%3.69%$12,686$12,6433.85%3.69%
20076-1.62%-1.68%$12,481$12,431-1.62%-1.68%
20077-4.18%-3.38%$11,959$12,011-4.18%-3.38%
200781.01%1.45%$12,079$12,1851.01%1.45%
200792.87%3.61%$12,426$12,6252.87%3.61%
2007101.54%1.82%$12,617$12,8551.54%1.82%
200711-5.17%-4.46%$11,965$12,282-5.17%-4.46%
200712-0.61%-0.61%$11,892$12,207-0.61%-0.61%
20081-5.71%-6.08%$11,214$11,464-5.71%-6.08%
20082-2.98%-3.04%$10,879$11,116-2.98%-3.04%
20083-0.71%-0.59%$10,802$11,050-0.71%-0.59%
200844.99%5.02%$11,340$11,6054.99%5.02%
200852.60%2.12%$11,635$11,8512.60%2.12%
20086-8.56%-8.20%$10,639$10,879-8.56%-8.20%
200870.00%-0.77%$10,639$10,7960.00%-0.77%
200882.21%1.61%$10,873$10,9702.21%1.61%
20089-9.27%-9.28%$9,865$9,952-9.27%-9.28%
200810-18.56%-17.63%$8,034$8,198-18.56%-17.63%
200811-8.45%-7.86%$7,355$7,554-8.45%-7.86%
2008122.63%1.83%$7,549$7,6922.63%1.83%
20091-9.04%-8.26%$6,866$7,057-9.04%-8.26%
20092-10.69%-10.45%$6,132$6,319-10.69%-10.45%
200939.19%8.73%$6,696$6,8719.19%8.73%
2009412.11%10.60%$7,506$7,59912.11%10.60%
200954.71%5.33%$7,860$8,0044.71%5.33%
200960.45%0.37%$7,895$8,0340.45%0.37%
200978.47%7.87%$8,564$8,6658.47%7.87%
200983.66%3.63%$8,877$8,9803.66%3.63%
200994.74%4.25%$9,298$9,3624.74%4.25%
200910-3.54%-2.61%$8,969$9,118-3.54%-2.61%
2009115.04%5.66%$9,421$9,6345.04%5.66%
2009124.04%2.85%$9,801$9,9094.04%2.85%
20101-3.23%-3.46%$9,485$9,566-3.23%-3.46%
201023.89%3.36%$9,854$9,8873.89%3.36%
201036.65%6.26%$10,509$10,5066.65%6.26%
201043.12%2.21%$10,836$10,7383.12%2.21%
20105-7.89%-8.00%$9,981$9,879-7.89%-8.00%
20106-6.44%-5.67%$9,338$9,319-6.44%-5.67%
201077.15%7.03%$10,005$9,9747.15%7.03%
20108-5.40%-4.75%$9,465$9,501-5.40%-4.75%
2010910.20%9.50%$10,430$10,40310.20%9.50%
2010103.88%3.94%$10,835$10,8133.88%3.94%
2010111.28%0.58%$10,973$10,8751.28%0.58%
2010127.28%6.83%$11,772$11,6197.28%6.83%
201112.00%2.19%$12,007$11,8722.00%2.19%
201124.01%3.63%$12,489$12,3034.01%3.63%
201131.06%0.45%$12,621$12,3581.06%0.45%
201142.72%2.99%$12,964$12,7282.72%2.99%
20115-1.41%-1.16%$12,781$12,580-1.41%-1.16%
20116-1.85%-1.79%$12,545$12,355-1.85%-1.79%
20117-2.83%-2.22%$12,190$12,080-2.83%-2.22%
20118-6.97%-6.02%$11,340$11,353-6.97%-6.02%
20119-8.75%-7.75%$10,348$10,473-8.75%-7.75%
20111012.53%11.54%$11,644$11,68212.53%11.54%
201111-0.19%-0.29%$11,622$11,648-0.19%-0.29%
2011120.64%0.82%$11,697$11,7440.64%0.82%
201215.39%5.08%$12,327$12,3415.39%5.08%
201224.32%4.26%$12,860$12,8664.32%4.26%
201232.65%3.07%$13,201$13,2612.65%3.07%
20124-0.99%-0.63%$13,070$13,178-0.99%-0.63%
20125-6.58%-6.23%$12,210$12,357-6.58%-6.23%
201263.70%3.94%$12,661$12,8433.70%3.94%
201270.69%1.03%$12,749$12,9760.69%1.03%
201282.92%2.51%$13,121$13,3022.92%2.51%
201292.85%2.58%$13,494$13,6442.85%2.58%
201210-1.38%-1.76%$13,308$13,404-1.38%-1.76%
2012111.07%0.74%$13,451$13,5031.07%0.74%
2012121.67%1.22%$13,675$13,6681.67%1.22%
201316.07%5.50%$14,506$14,4206.07%5.50%
201321.22%1.28%$14,683$14,6041.22%1.28%
201334.10%3.91%$15,285$15,1754.10%3.91%
201341.09%1.70%$15,451$15,4331.09%1.70%
201353.30%2.35%$15,962$15,7953.30%2.35%
20136-1.01%-1.24%$15,801$15,599-1.01%-1.24%
201375.78%5.46%$16,715$16,4505.78%5.46%
20138-2.80%-2.80%$16,246$15,990-2.80%-2.80%
201394.12%3.67%$16,915$16,5764.12%3.67%
2013104.10%4.25%$17,609$17,2804.10%4.25%
2013113.24%2.88%$18,180$17,7783.24%2.88%
2013122.76%2.66%$18,681$18,2512.76%2.66%
20141-3.45%-3.11%$18,037$17,684-3.45%-3.11%
201424.82%4.75%$18,906$18,5244.82%4.75%
201430.80%0.52%$19,058$18,6210.80%0.52%
20144-0.24%0.06%$19,013$18,633-0.24%0.06%
201451.97%2.17%$19,387$19,0371.97%2.17%
201462.89%2.57%$19,947$19,5262.89%2.57%
20147-2.56%-1.98%$19,436$19,140-2.56%-1.98%
201484.27%4.18%$20,265$19,9404.27%4.18%
20149-2.74%-2.11%$19,710$19,520-2.74%-2.11%
2014102.49%2.74%$20,201$20,0552.49%2.74%
2014112.09%2.43%$20,623$20,5422.09%2.43%
2014120.11%0.00%$20,646$20,5430.11%0.00%
20151-3.13%-2.77%$20,001$19,973-3.13%-2.77%
201526.22%5.76%$21,245$21,1246.22%5.76%
20153-0.65%-1.01%$21,107$20,911-0.65%-1.01%
201540.27%0.42%$21,165$20,9990.27%0.42%
201551.31%1.39%$21,442$21,2911.31%1.39%
20156-1.46%-1.70%$21,130$20,928-1.46%-1.70%
201570.66%1.65%$21,269$21,2740.66%1.65%
20158-5.62%-6.00%$20,074$19,996-5.62%-6.00%
20159-3.28%-2.94%$19,415$19,408-3.28%-2.94%
2015107.44%7.86%$20,860$20,9347.44%7.86%
2015110.67%0.56%$21,000$21,0510.67%0.56%
201512-3.01%-2.04%$20,368$20,622-3.01%-2.04%
20161-5.88%-5.65%$19,170$19,457-5.88%-5.65%
201620.62%-0.04%$19,288$19,4490.62%-0.04%
201637.20%7.03%$20,677$20,8177.20%7.03%
201640.69%0.65%$20,820$20,9510.69%0.65%
201651.55%1.77%$21,142$21,3231.55%1.77%
20166-0.29%0.25%$21,081$21,376-0.29%0.25%
201674.09%3.95%$21,943$22,2204.09%3.95%
201680.60%0.28%$22,074$22,2810.60%0.28%
201690.20%0.15%$22,119$22,3150.20%0.15%
201610-2.23%-2.21%$21,627$21,821-2.23%-2.21%
2016116.11%4.45%$22,948$22,7936.11%4.45%
2016121.89%1.93%$23,382$23,2341.89%1.93%
201711.76%1.93%$23,794$23,6811.76%1.93%
201723.26%3.71%$24,571$24,5603.26%3.71%
201730.07%0.08%$24,587$24,5790.07%0.08%
201740.89%1.05%$24,807$24,8370.89%1.05%
201750.54%1.02%$24,941$25,0910.54%1.02%
201761.13%0.93%$25,223$25,3231.13%0.93%
201771.70%1.87%$25,651$25,7961.70%1.87%
20178-0.19%0.16%$25,602$25,838-0.19%0.16%
201793.27%2.46%$26,441$26,4743.27%2.46%
2017102.18%2.17%$27,018$27,0492.18%2.17%
2017113.41%3.04%$27,938$27,8723.41%3.04%
2017121.18%1.01%$28,267$28,1521.18%1.01%
201815.00%5.32%$29,682$29,6505.00%5.32%
20182-3.72%-3.71%$28,577$28,549-3.72%-3.71%
20183-1.67%-1.98%$28,101$27,983-1.67%-1.98%
201840.18%0.38%$28,151$28,0890.18%0.38%
201852.96%2.82%$28,984$28,8812.96%2.82%
201860.42%0.67%$29,105$29,0760.42%0.67%
201873.22%3.35%$30,041$30,0503.22%3.35%
201883.45%3.45%$31,077$31,0883.45%3.45%
20189-0.22%0.16%$31,008$31,138-0.22%0.16%
201810-8.00%-7.40%$28,527$28,834-8.00%-7.40%
2018111.67%2.08%$29,003$29,4321.67%2.08%
201812-10.13%-9.30%$26,065$26,696-10.13%-9.30%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value32.16%37.13%
Large-cap Growth30.10%43.83%
Mid-cap Value8.95%5.25%
Mid-cap Growth13.10%7.37%
Small-cap Value14.68%3.02%
Small-cap Growth0.22%2.42%
Global ex-US Developed Markets0.05%0.41%
Emerging Markets0.75%0.56%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.58%99.89%
Style analysis is based on monthly returns from Jan 2006 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
DFEOXDFA US Core Equity 1 ILarge Blend0.19%100.00%$16,065100.00%

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%$16,696100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 02/05/2019. © 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 2
Arithmetic Mean (monthly)0.72%0.72%
Arithmetic Mean (annualized)8.96%9.02%
Geometric Mean (monthly)0.62%0.63%
Geometric Mean (annualized)7.65%7.85%
Volatility (monthly)4.48%4.23%
Volatility (annualized)15.50%14.65%
Downside Deviation (monthly)3.14%2.96%
Max. Drawdown-51.66%-50.84%
US Market Correlation1.001.00
Beta(*)1.051.00
Alpha (annualized)-0.41%0.10%
R299.07%100.00%
Sharpe Ratio0.480.52
Sortino Ratio0.690.73
Treynor Ratio (%)7.157.59
Calmar Ratio0.530.63
Active Return-0.09%0.11%
Tracking Error1.69%0.06%
Information Ratio-0.051.84
Skewness-0.78-0.83
Excess Kurtosis2.162.16
Historical Value-at-Risk (5%)-8.47%-7.88%
Analytical Value-at-Risk (5%)-6.64%-6.24%
Conditional Value-at-Risk (5%)-10.72%-10.16%
Upside Capture Ratio (%)104.11100.36
Downside Capture Ratio (%)105.4999.84
Sustainable Withdrawal Rate9.65%9.70%
Positive Periods104 out of 156 (66.67%)107 out of 156 (68.59%)
Gain/Loss Ratio0.750.72
* 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 2009-51.40%-50.84%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-51.66%
2May 2011Sep 20115 monthsMar 20126 months11 months-20.18%
3Sep 2018Dec 20184 months-16.13%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-10.60%
5Apr 2012May 20122 monthsSep 20124 months6 months-7.51%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-5.32%
7May 2006Jul 20063 monthsOct 20063 months6 months-4.46%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.45%
9Jan 2015Jan 20151 monthFeb 20151 month2 months-3.13%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-50.84%
2Oct 2018Dec 20183 months-14.26%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-5.62%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-5.00%
7May 2006May 20061 monthSep 20064 months5 months-3.23%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.80%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-2.77%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DFEOXDFA US Core Equity 1 I7.65%15.50%36.60%-36.53%-51.66%0.480.691.00
VTSAXVanguard Total Stock Mkt Idx Adm7.85%14.65%33.52%-36.99%-50.84%0.520.731.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameDFEOXVTSAXPortfolio 1Portfolio 2
DFEOXDFA US Core Equity 1 I-1.001.001.00
VTSAXVanguard Total Stock Mkt Idx Adm1.00-1.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DFEOXDFA US Core Equity 1 I$16,065
VTSAXVanguard Total Stock Mkt Idx Adm$16,696

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DFEOXDFA US Core Equity 1 I100.00%
VTSAXVanguard Total Stock Mkt Idx Adm100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.37%36.60%-36.53%9.45%33.52%-36.99%
3 years8.35%20.85%-8.95%8.30%20.49%-8.38%
5 years10.14%19.87%0.22%10.05%18.86%0.31%
7 years10.54%15.23%4.57%10.43%15.13%4.57%
10 years9.22%13.19%7.29%9.18%13.25%7.23%
Result statistics are based on annualized rolling returns over full calendar year periods