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 2009 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
VFISX Vanguard Short-Term Treasury Inv 20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 80.00%
EDV Vanguard Extended Duration Trs ETF 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$27,916 10.81% 11.15%26.66%-3.93%-14.30% 0.951.531.00
Portfolio 2$10,000$30,947 11.96% 10.43%22.71%-4.88%-18.79% 1.111.740.92
   
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 Stock Mkt Idx Inv (VTSMX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Extended Duration Trs ETF (EDV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20092.72%23.25%15.81%$12,325$11,58128.70%1.44%-35.74%
20101.50%14.20%15.65%$14,075$13,39317.09%2.64%9.87%
20112.96%1.22%11.99%$14,247$14,9980.96%2.26%56.08%
20121.74%13.14%13.48%$16,119$17,02016.25%0.69%2.37%
20131.50%26.66%22.71%$20,416$20,88533.35%-0.10%-19.86%
20140.76%10.09%18.88%$22,476$24,82712.43%0.71%44.66%
20150.73%0.33%-0.73%$22,549$24,6450.29%0.45%-4.84%
20162.07%10.22%10.36%$24,854$27,19712.53%0.99%1.65%
20172.11%16.92%19.63%$29,059$32,53621.05%0.39%13.96%
20181.91%-3.93%-4.88%$27,916$30,947-5.26%1.35%-3.39%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Extended Duration Trs ETF (EDV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20091-6.62%-10.90%$9,338$8,910-8.26%-0.09%-21.47%
20092-8.22%-8.85%$8,570$8,121-10.45%-0.01%-1.39%
200936.85%7.96%$9,157$8,7678.65%0.90%5.00%
200948.22%6.39%$9,909$9,32810.61%-0.25%-12.12%
200954.33%3.75%$10,339$9,6775.38%0.21%-5.25%
200960.24%0.66%$10,364$9,7410.34%-0.17%2.61%
200976.35%6.65%$11,022$10,3897.82%0.22%-0.40%
200983.03%3.76%$11,356$10,7803.63%0.37%4.65%
200993.53%4.12%$11,756$11,2244.23%0.29%3.44%
200910-2.08%-3.05%$11,511$10,882-2.57%0.24%-6.15%
2009114.78%4.94%$12,062$11,4205.63%0.87%0.33%
2009122.18%1.41%$12,325$11,5812.86%-1.13%-8.87%
20101-2.61%-2.23%$12,003$11,323-3.50%0.95%2.83%
201022.70%2.50%$12,328$11,6053.36%0.19%-0.74%
201034.93%4.14%$12,936$12,0866.27%-0.36%-4.17%
201041.83%2.90%$13,172$12,4372.17%0.39%6.05%
20105-6.40%-4.83%$12,330$11,836-8.00%0.48%8.41%
20106-4.40%-2.59%$11,788$11,530-5.66%0.56%8.31%
201075.58%4.73%$12,446$12,0766.99%0.38%-2.24%
20108-3.71%-0.72%$11,984$11,989-4.75%0.37%12.88%
201097.50%5.88%$12,883$12,6939.47%0.18%-4.37%
2010103.22%0.87%$13,297$12,8043.94%0.26%-9.14%
2010110.41%0.06%$13,351$12,8120.58%-0.30%-1.87%
2010125.42%4.54%$14,075$13,3936.81%-0.48%-4.15%
201111.80%0.51%$14,328$13,4622.19%0.25%-6.20%
201122.84%3.43%$14,736$13,9233.60%-0.22%2.70%
201130.34%0.34%$14,786$13,9710.45%-0.13%-0.12%
201142.56%3.01%$15,164$14,3922.99%0.71%3.12%
20115-0.85%0.11%$15,036$14,408-1.16%0.52%5.73%
20116-1.46%-2.28%$14,817$14,079-1.79%-0.04%-4.33%
20117-1.74%-0.70%$14,558$13,980-2.28%0.52%5.99%
20118-4.72%-1.44%$13,872$13,780-5.99%0.52%16.37%
20119-6.19%-0.16%$13,013$13,758-7.75%-0.22%23.80%
2011109.00%6.08%$14,184$14,59411.51%0.15%-6.68%
201111-0.24%0.70%$14,151$14,696-0.29%-0.04%3.46%
2011120.68%2.06%$14,247$14,9980.80%0.21%5.48%
201214.11%3.76%$14,833$15,5625.08%0.23%-1.53%
201223.41%2.83%$15,339$16,0024.26%-0.14%-3.28%
201232.47%1.34%$15,718$16,2163.07%-0.13%-6.63%
20124-0.48%0.56%$15,643$16,307-0.65%0.32%6.72%
20125-5.08%-2.69%$14,847$15,868-6.24%0.06%14.08%
201263.13%2.65%$15,312$16,2893.91%-0.13%-2.24%
201270.89%1.96%$15,449$16,6091.03%0.29%5.81%
201282.04%1.47%$15,765$16,8522.48%0.11%-2.54%
201292.11%1.29%$16,098$17,0702.58%0.03%-4.04%
201210-1.47%-1.51%$15,861$16,813-1.76%-0.16%-0.39%
2012110.63%0.93%$15,960$16,9700.74%0.12%1.78%
2012121.00%0.29%$16,119$17,0201.19%0.09%-3.61%
201314.39%3.39%$16,826$17,5975.50%-0.06%-5.03%
201321.06%1.33%$17,004$17,8311.28%0.12%1.55%
201333.15%3.04%$17,540$18,3733.88%0.03%-0.70%
201341.41%2.70%$17,787$18,8691.70%0.12%7.32%
201351.84%0.08%$18,114$18,8842.32%-0.34%-9.77%
20136-1.09%-1.82%$17,916$18,539-1.27%-0.26%-4.57%
201374.52%4.01%$18,726$19,2825.49%0.12%-3.61%
20138-2.37%-2.57%$18,283$18,786-2.82%-0.16%-1.14%
201393.09%3.04%$18,849$19,3583.66%0.40%-0.41%
2013103.52%3.88%$19,513$20,1084.22%0.13%1.89%
2013112.43%1.83%$19,986$20,4772.88%0.13%-4.37%
2013122.15%1.99%$20,416$20,8852.63%-0.33%-2.07%
20141-2.42%-0.54%$19,922$20,771-3.11%0.32%9.71%
201423.77%3.77%$20,672$21,5534.73%0.03%0.35%
201430.37%0.81%$20,749$21,7280.51%-0.21%1.91%
201440.10%0.68%$20,769$21,8770.06%0.23%2.94%
201451.77%2.60%$21,136$22,4452.17%0.13%4.10%
201462.05%1.91%$21,570$22,8752.54%0.04%-0.25%
20147-1.63%-1.22%$21,218$22,595-1.98%-0.14%1.48%
201483.40%4.81%$21,940$23,6824.18%0.14%6.97%
20149-1.76%-2.33%$21,553$23,131-2.14%-0.14%-2.97%
2014102.28%3.07%$22,045$23,8412.74%0.33%4.19%
2014112.00%2.86%$22,487$24,5222.41%0.23%4.34%
201412-0.05%1.24%$22,476$24,827-0.01%-0.24%5.33%
20151-2.10%0.63%$22,005$24,984-2.77%0.61%14.25%
201524.49%2.38%$22,993$25,5795.76%-0.42%-9.12%
20153-0.77%-0.54%$22,816$25,442-1.04%0.33%1.45%
201540.35%-0.82%$22,896$25,2330.42%0.05%-5.62%
201551.13%0.41%$23,154$25,3361.39%0.06%-3.64%
20156-1.38%-2.53%$22,834$24,695-1.71%-0.04%-6.07%
201571.34%2.61%$23,139$25,3401.63%0.15%7.04%
20158-4.87%-5.04%$22,012$24,063-6.03%-0.13%-0.79%
20159-2.24%-1.92%$21,519$23,602-2.93%0.43%2.23%
2015106.16%6.15%$22,845$25,0547.84%-0.13%-0.41%
2015110.37%0.16%$22,929$25,0940.54%-0.31%-1.43%
201512-1.66%-1.79%$22,549$24,645-2.03%-0.16%-0.77%
20161-4.37%-2.85%$21,563$23,942-5.67%0.82%8.43%
20162-0.00%0.88%$21,563$24,152-0.04%0.15%4.07%
201635.58%5.35%$22,767$25,4457.01%0.26%-0.19%
201640.50%0.25%$22,880$25,5080.63%-0.03%-1.10%
201651.42%1.63%$23,204$25,9231.79%-0.10%1.02%
201660.33%2.26%$23,280$26,5080.23%0.75%9.72%
201673.15%3.81%$24,013$27,5193.95%-0.10%3.35%
201680.15%-0.14%$24,050$27,4820.26%-0.29%-1.47%
201690.16%-0.41%$24,090$27,3690.15%0.23%-2.34%
201610-1.82%-3.09%$23,653$26,522-2.21%-0.12%-6.18%
2016113.46%1.03%$24,472$26,7944.44%-0.58%-11.49%
2016121.56%1.50%$24,854$27,1971.92%-0.00%-0.31%
201711.58%1.78%$25,247$27,6801.91%0.26%1.25%
201722.99%3.36%$26,002$28,6103.71%0.07%1.95%
201730.06%-0.14%$26,017$28,5710.07%0.02%-0.97%
201740.89%1.20%$26,248$28,9151.05%0.19%1.84%
201750.83%1.44%$26,466$29,3301.01%0.09%3.20%
201760.73%0.99%$26,659$29,6200.92%-0.09%1.26%
201771.57%1.24%$27,077$29,9881.87%0.28%-1.26%
201780.15%1.07%$27,119$30,3090.15%0.19%4.89%
201791.96%1.28%$27,651$30,6962.45%-0.20%-3.35%
2017101.75%1.76%$28,135$31,2362.16%-0.08%0.09%
2017112.45%2.72%$28,826$32,0873.04%-0.27%1.35%
2017120.81%1.40%$29,059$32,5360.99%-0.07%3.16%
201814.16%3.39%$30,268$33,6405.31%-0.44%-4.27%
20182-3.02%-3.82%$29,353$32,354-3.72%-0.08%-4.29%
20183-1.54%-0.87%$28,900$32,073-1.99%0.29%4.12%
201840.24%-0.23%$28,970$31,9990.38%-0.30%-2.77%
201852.31%2.70%$29,638$32,8652.79%0.36%2.33%
201860.57%0.81%$29,805$33,1290.68%0.10%1.35%
201872.67%2.29%$30,601$33,8883.34%-0.10%-2.21%
201882.86%3.12%$31,476$34,9443.44%0.37%1.65%
201890.09%-0.60%$31,505$34,7350.16%-0.20%-4.10%
201810-6.02%-6.92%$29,609$32,331-7.40%0.10%-4.61%
2018111.73%2.08%$30,121$33,0042.06%0.38%2.18%
201812-7.32%-6.23%$27,916$30,947-9.29%0.88%8.08%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value28.96%29.97%
Large-cap Growth36.03%31.47%
Mid-cap Value5.25%0.00%
Mid-cap Growth5.47%6.76%
Small-cap Value1.06%5.56%
Small-cap Growth2.63%0.83%
Global ex-US Developed Markets0.68%0.01%
Emerging Markets0.46%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%25.39%
Intermediate-Term Treasuries0.19%0.00%
Short-Term Treasuries19.28%0.00%
R Squared99.90%99.04%
Style analysis is based on monthly returns from Jan 2009 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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%80.00%$17,550100.29%
VFISXVanguard Short-Term Treasury InvShort Government2.360.20%20.00%$366-0.29%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%80.00%$18,29298.60%
EDVVanguard Extended Duration Trs ETFLong Government24.190.07%20.00%$2,6561.40%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

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)0.91%0.99%
Arithmetic Mean (annualized)11.49%12.57%
Geometric Mean (monthly)0.86%0.95%
Geometric Mean (annualized)10.81%11.96%
Volatility (monthly)3.22%3.01%
Volatility (annualized)11.15%10.43%
Downside Deviation (monthly)1.98%1.91%
Max. Drawdown-14.30%-18.79%
US Market Correlation1.000.92
Beta(*)0.800.68
Alpha (annualized)0.28%2.75%
R299.94%84.41%
Sharpe Ratio0.951.11
Sortino Ratio1.531.74
Treynor Ratio (%)13.3416.94
Calmar Ratio0.650.69
Active Return-2.31%-1.17%
Tracking Error2.87%6.04%
Information Ratio-0.81-0.19
Skewness-0.41-0.92
Excess Kurtosis0.572.25
Historical Value-at-Risk (5%)-5.97%-4.78%
Analytical Value-at-Risk (5%)-4.37%-3.98%
Conditional Value-at-Risk (5%)-6.79%-7.13%
Upside Capture Ratio (%)78.9974.54
Downside Capture Ratio (%)80.0464.77
Safe Withdrawal Rate17.13%17.76%
Perpetual Withdrawal Rate8.13%9.08%
Positive Periods85 out of 120 (70.83%)85 out of 120 (70.83%)
Gain/Loss Ratio0.850.97
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-14.30%
2May 2011Sep 20115 monthsFeb 20125 months10 months-14.19%
3Oct 2018Dec 20183 months-11.39%
4May 2010Jun 20102 monthsOct 20104 months6 months-10.51%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-7.06%
6Apr 2012May 20122 monthsAug 20123 months5 months-5.54%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-4.52%
8Jan 2010Jan 20101 monthFeb 20101 month2 months-2.61%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.42%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsJul 20095 months7 months-18.79%
2Sep 2018Dec 20184 months-11.44%
3Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-7.73%
4May 2010Jun 20102 monthsSep 20103 months5 months-7.29%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-4.88%
6Jun 2011Sep 20114 monthsOct 20111 month5 months-4.52%
7Aug 2016Oct 20163 monthsJan 20173 months6 months-3.62%
8Oct 2009Oct 20091 monthNov 20091 month2 months-3.05%
9May 2012May 20121 monthJul 20122 months3 months-2.69%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.57%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv13.13%14.00%33.35%-5.26%-17.84%0.931.501.00
VFISXVanguard Short-Term Treasury Inv1.08%1.13%2.64%-0.10%-1.15%0.681.16-0.16
EDVVanguard Extended Duration Trs ETF3.37%20.77%56.08%-35.74%-37.15%0.250.39-0.35

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVFISXEDVPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv--0.16-0.351.000.92
VFISXVanguard Short-Term Treasury Inv-0.16-0.49-0.140.01
EDVVanguard Extended Duration Trs ETF-0.350.49--0.340.04

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$17,550$18,292
VFISXVanguard Short-Term Treasury Inv$366
EDVVanguard Extended Duration Trs ETF$2,656

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv100.29%98.60%
VFISXVanguard Short-Term Treasury Inv-0.29%
EDVVanguard Extended Duration Trs ETF1.40%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.21%26.66%-3.93%12.29%22.71%-4.88%
3 years10.80%16.41%6.78%12.76%18.29%7.89%
5 years11.46%15.34%6.46%13.33%16.48%8.18%
7 years10.96%12.32%10.09%12.79%13.75%10.90%
10 years10.81%10.81%10.81%11.96%11.96%11.96%
Result statistics are based on annualized rolling returns over full calendar year periods