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.

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Portfolio Analysis Results (Jan 2009 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VT Vanguard Total World Stock ETF 42.00%
IJS iShares S&P Small-Cap 600 Value ETF 12.00%
VNQ Vanguard Real Estate ETF 6.00%
BND Vanguard Total Bond Market ETF 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,955 7.68% 9.34%19.66%-6.05%-14.27% 0.811.290.95
   
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total World Stock ETF (VT)iShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Real Estate ETF (VNQ)Vanguard Total Bond Market ETF (BND)
20092.72%19.66%$11,96632.65%22.36%30.08%3.64%
20101.50%12.64%$13,47813.08%24.69%28.37%6.20%
20112.96%0.34%$13,523-7.50%-1.65%8.62%7.92%
20121.74%11.70%$15,10517.12%18.24%17.63%3.16%
20131.50%13.66%$17,16822.95%39.34%2.31%-2.10%
20140.76%6.60%$18,3013.67%7.56%30.36%5.82%
20150.73%-1.24%$18,074-1.86%-6.90%2.42%0.56%
20162.07%8.85%$19,6748.51%31.25%8.60%2.52%
20172.11%13.37%$22,30424.49%11.35%4.91%3.57%
20181.91%-6.05%$20,955-9.76%-12.84%-6.02%-0.12%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total World Stock ETF (VT)iShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Real Estate ETF (VNQ)Vanguard Total Bond Market ETF (BND)
20091-8.12%$9,188-10.86%-13.94%-17.53%-2.08%
20092-6.70%$8,573-9.52%-13.03%-20.53%-0.59%
200934.95%$8,9978.83%7.58%3.61%1.09%
200948.56%$9,76712.06%18.89%30.68%0.46%
200954.98%$10,25410.60%0.67%2.62%0.67%
20096-0.53%$10,199-1.73%1.52%-3.23%0.62%
200976.80%$10,89310.12%11.00%10.77%1.31%
200982.78%$11,1952.68%3.48%14.32%1.01%
200993.65%$11,6045.24%4.21%6.63%1.00%
200910-2.08%$11,363-2.53%-6.07%-4.46%0.27%
2009113.65%$11,7785.33%2.90%6.57%1.30%
2009121.59%$11,9661.55%8.10%7.37%-1.45%
20101-2.27%$11,695-5.11%-2.54%-5.52%1.29%
201021.88%$11,9142.08%4.76%5.58%0.33%
201034.20%$12,4156.66%7.80%10.18%-0.22%
201041.53%$12,604-0.45%6.63%7.15%1.07%
20105-5.11%$11,960-9.88%-8.54%-5.33%1.13%
20106-1.90%$11,732-2.80%-8.27%-5.19%1.45%
201075.35%$12,3599.20%6.71%9.59%0.86%
20108-2.01%$12,112-3.99%-7.91%-1.28%1.56%
201095.49%$12,77710.05%10.93%4.45%-0.00%
2010102.49%$13,0943.80%4.04%4.74%0.32%
201011-1.19%$12,939-2.65%2.47%-1.85%-0.68%
2010124.17%$13,4787.66%8.97%4.54%-1.02%
201110.79%$13,5841.40%-0.24%3.25%0.09%
201122.14%$13,8752.93%4.21%4.71%0.29%
201130.08%$13,887-0.06%2.21%-1.62%-0.15%
201142.91%$14,2914.35%1.06%5.75%1.46%
20115-0.65%$14,197-2.27%-1.77%1.37%1.18%
20116-1.12%$14,038-1.34%-1.59%-3.30%-0.38%
20117-0.50%$13,968-2.15%-2.77%1.56%1.63%
20118-3.65%$13,458-7.25%-7.98%-5.62%1.66%
20119-5.88%$12,667-10.72%-10.57%-10.85%0.66%
2011106.82%$13,53011.27%15.34%14.29%0.11%
201111-0.69%$13,437-1.24%0.63%-3.80%-0.06%
2011120.64%$13,523-1.02%2.02%4.85%1.18%
201213.88%$14,0485.47%7.90%6.38%0.63%
201222.19%$14,3554.77%1.71%-1.15%0.04%
201230.99%$14,4971.17%2.89%5.19%-0.51%
20124-0.17%$14,473-1.18%-1.91%2.86%1.10%
20125-4.70%$13,793-8.93%-7.18%-4.51%0.93%
201263.05%$14,2145.13%4.54%5.52%0.07%
201270.83%$14,3320.72%-0.69%2.00%1.23%
201281.60%$14,5622.48%4.08%-0.01%0.16%
201291.66%$14,8043.11%3.14%-1.86%0.18%
201210-0.60%$14,714-0.60%-1.96%-0.91%-0.10%
2012110.95%$14,8541.53%1.65%-0.26%0.27%
2012121.69%$15,1053.10%3.55%3.72%-0.88%
201312.27%$15,4494.01%5.35%3.74%-0.69%
201320.35%$15,503-0.31%1.63%1.22%0.54%
201331.72%$15,7692.35%4.11%2.87%0.08%
201341.97%$16,0792.68%0.12%6.73%1.01%
20135-0.82%$15,947-0.56%4.29%-5.98%-1.93%
20136-1.90%$15,644-2.66%-0.14%-1.98%-1.65%
201373.29%$16,1585.16%6.56%0.90%0.38%
20138-2.28%$15,791-2.46%-3.41%-6.98%-0.86%
201393.95%$16,4145.59%6.59%3.49%1.11%
2013102.69%$16,8563.71%3.48%4.52%0.86%
2013110.88%$17,0051.54%4.25%-5.25%-0.29%
2013120.96%$17,1682.19%1.29%0.10%-0.64%
20141-1.41%$16,926-4.44%-3.51%4.28%1.55%
201423.18%$17,4645.21%4.63%5.07%0.47%
201430.32%$17,5210.48%1.34%0.49%-0.17%
201440.56%$17,6190.74%-2.29%3.29%0.80%
201451.51%$17,8852.05%0.62%2.40%1.05%
201461.48%$18,1492.21%3.85%1.13%0.08%
20147-1.44%$17,888-1.75%-5.07%0.08%-0.28%
201482.28%$18,2962.65%4.46%3.04%1.14%
20149-2.74%$17,795-3.34%-5.94%-6.04%-0.57%
2014102.15%$18,1770.94%7.13%9.94%0.72%
2014111.05%$18,3681.26%0.48%2.00%0.83%
201412-0.36%$18,301-1.99%2.56%1.88%0.06%
201510.05%$18,310-1.63%-5.32%6.85%2.40%
201522.35%$18,7415.95%5.86%-3.67%-1.31%
20153-0.07%$18,727-1.21%1.03%1.74%0.55%
201540.37%$18,7972.55%-1.82%-5.85%-0.32%
201550.02%$18,8000.33%0.75%-0.30%-0.50%
20156-1.62%$18,496-2.22%0.42%-4.68%-1.11%
201570.56%$18,6000.50%-2.70%5.77%0.88%
20158-3.85%$17,883-6.63%-4.62%-6.29%-0.25%
20159-1.48%$17,619-3.71%-3.77%3.05%0.81%
2015104.07%$18,3367.29%6.57%5.76%0.03%
2015110.05%$18,345-0.08%2.47%-0.63%-0.39%
201512-1.48%$18,074-2.19%-5.08%1.82%-0.18%
20161-2.89%$17,551-5.87%-5.85%-3.44%1.20%
201620.13%$17,573-1.11%2.08%-0.36%0.85%
201635.32%$18,5087.98%9.41%10.48%0.88%
201640.69%$18,6361.01%2.13%-2.35%0.40%
201650.46%$18,7210.65%0.44%2.25%-0.01%
201661.26%$18,957-0.18%0.83%6.92%2.02%
201672.84%$19,4964.15%5.06%4.26%0.60%
20168-0.08%$19,4800.35%1.13%-3.76%-0.31%
201690.37%$19,5520.79%0.87%-1.82%0.11%
201610-2.03%$19,155-1.97%-3.74%-5.74%-0.94%
2016111.07%$19,3601.19%13.34%-1.68%-2.57%
2016121.62%$19,6741.81%3.20%4.82%0.33%
201711.18%$19,9053.00%-1.21%-0.19%0.19%
201721.76%$20,2562.69%1.35%3.51%0.62%
201730.40%$20,3371.48%-0.65%-2.42%-0.04%
201741.09%$20,5591.63%0.51%0.24%0.80%
201750.83%$20,7291.95%-2.26%-0.72%0.71%
201760.75%$20,8850.63%2.96%2.23%0.05%
201771.49%$21,1962.65%0.75%1.24%0.40%
201780.19%$21,2370.42%-2.72%-0.26%0.86%
201791.70%$21,5982.11%8.58%-0.11%-0.47%
2017100.95%$21,8022.11%0.59%-1.07%-0.03%
2017111.41%$22,1101.90%3.76%2.66%-0.11%
2017120.88%$22,3041.60%-0.37%-0.14%0.54%
201811.71%$22,6865.48%1.33%-4.25%-1.24%
20182-3.25%$21,947-4.44%-4.04%-7.68%-1.04%
201830.09%$21,967-1.29%1.37%3.88%0.69%
201840.10%$21,9880.42%1.76%0.82%-0.85%
201851.44%$22,3040.57%5.87%3.68%0.68%
201860.07%$22,320-0.60%0.80%4.20%-0.04%
201871.56%$22,6692.88%2.62%0.60%-0.04%
201881.18%$22,9380.86%3.14%2.58%0.67%
20189-0.74%$22,7680.08%-3.05%-2.64%-0.55%
201810-5.12%$21,601-7.82%-9.94%-2.93%-0.86%
2018111.33%$21,8881.73%0.57%4.67%0.64%
201812-4.26%$20,955-7.22%-12.38%-7.96%1.87%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value9.02%
Large-cap Growth7.74%
Mid-cap Value4.88%
Mid-cap Growth1.18%
Small-cap Value11.29%
Small-cap Growth2.90%
Global ex-US Developed Markets18.11%
Emerging Markets5.70%
Corporate Bonds13.69%
Long-Term Treasuries1.56%
Intermediate-Term Treasuries13.79%
Short-Term Treasuries10.14%
R Squared99.21%
Style analysis is based on monthly returns from Jan 2009 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock0.10%42.00%$5,90966.27%
IJSiShares S&P Small-Cap 600 Value ETFSmall Value0.25%12.00%$2,21221.08%
VNQVanguard Real Estate ETFReal Estate0.12%6.00%$1,02810.65%
BNDVanguard Total Bond Market ETFIntermediate-Term Bond6.240.05%40.00%$1,8062.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/04/2019. © 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 1
Arithmetic Mean (monthly)0.65%
Arithmetic Mean (annualized)8.14%
Geometric Mean (monthly)0.62%
Geometric Mean (annualized)7.68%
Volatility (monthly)2.70%
Volatility (annualized)9.34%
Downside Deviation (monthly)1.68%
Max. Drawdown-14.27%
US Market Correlation0.95
Beta(*)0.64
Alpha (annualized)-0.65%
R290.96%
Sharpe Ratio0.81
Sortino Ratio1.29
Treynor Ratio (%)11.86
Calmar Ratio0.58
Information Ratio-0.95
Diversification Ratio1.20
Skewness-0.31
Excess Kurtosis1.30
Historical Value-at-Risk (5%)-4.68%
Analytical Value-at-Risk (5%)-3.83%
Conditional Value-at-Risk (5%)-5.94%
Upside Capture Ratio (%)58.46
Downside Capture Ratio (%)64.48
Sustainable Withdrawal Rate14.91%
Positive Periods83 out of 120 (69.17%)
Gain/Loss Ratio0.85
* 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-14.27%
2May 2011Sep 20115 monthsFeb 20125 months10 months-11.36%
3Sep 2018Dec 20184 months-8.64%
4May 2010Jun 20102 monthsSep 20103 months5 months-6.92%
5Jun 2015Jan 20168 monthsJun 20165 months1 year 1 month-6.64%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.86%
7Feb 2018Feb 20181 monthAug 20186 months7 months-3.25%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.74%
9May 2013Jun 20132 monthsJul 20131 month3 months-2.71%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.28%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTVanguard Total World Stock ETF9.50%15.39%32.65%-9.76%-21.87%0.651.030.95
IJSiShares S&P Small-Cap 600 Value ETF12.17%18.89%39.34%-12.84%-25.15%0.691.100.91
VNQVanguard Real Estate ETF12.05%20.82%30.36%-6.02%-34.46%0.641.060.71
BNDVanguard Total Bond Market ETF3.08%3.04%7.92%-2.10%-4.01%0.911.47-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIJSVNQBNDPortfolio 1
VTVanguard Total World Stock ETF-0.830.690.020.97
IJSiShares S&P Small-Cap 600 Value ETF0.83-0.71-0.120.88
VNQVanguard Real Estate ETF0.690.71-0.340.81
BNDVanguard Total Bond Market ETF0.02-0.120.34-0.16

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTVanguard Total World Stock ETF$5,909
IJSiShares S&P Small-Cap 600 Value ETF$2,212
VNQVanguard Real Estate ETF$1,028
BNDVanguard Total Bond Market ETF$1,806

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTVanguard Total World Stock ETF66.27%
IJSiShares S&P Small-Cap 600 Value ETF21.08%
VNQVanguard Real Estate ETF10.65%
BNDVanguard Total Bond Market ETF2.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.95%19.66%-6.05%
3 years7.54%10.61%4.65%
5 years7.71%11.42%4.07%
7 years7.53%8.82%6.46%
10 years7.68%7.68%7.68%
Result statistics are based on annualized rolling returns over full calendar year periods