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 2011 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
RPMGX T. Rowe Price Mid-Cap Growth 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SCHB Schwab US Broad Market ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SCHG Schwab US Large-Cap Growth ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$31,115 13.58% 12.83%36.89%-2.04%-20.15% 1.021.730.95
Portfolio 2$10,000$29,248 12.79% 11.98%33.20%-5.30%-17.47% 1.021.661.00
Portfolio 3$10,000$33,208 14.41% 12.77%34.05%-1.36%-17.72% 1.081.810.98
   
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.
  • The annual results for 2019 are based on full calendar months from January to November
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceT. Rowe Price Mid-Cap Growth (RPMGX)Schwab US Broad Market ETF (SCHB)Schwab US Large-Cap Growth ETF (SCHG)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20112.96%-1.21%1.37%-0.74%$9,879$10,137$9,926-1.21%1.37%-0.74%
20121.74%13.91%16.35%16.89%$11,254$11,794$11,60213.91%16.35%16.89%
20131.50%36.89%33.20%34.05%$15,405$15,710$15,55336.89%33.20%34.05%
20140.76%13.16%12.69%15.81%$17,432$17,703$18,01113.16%12.69%15.81%
20150.73%6.56%0.39%3.24%$18,576$17,772$18,5956.56%0.39%3.24%
20162.07%6.30%12.66%6.82%$19,746$20,022$19,8626.30%12.66%6.82%
20172.11%24.86%21.20%28.04%$24,655$24,266$25,43224.86%21.20%28.04%
20181.91%-2.04%-5.30%-1.36%$24,152$22,979$25,086-2.04%-5.30%-1.36%
20192.43%28.83%27.28%32.38%$31,115$29,248$33,20828.83%27.28%32.38%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceT. Rowe Price Mid-Cap Growth (RPMGX)Schwab US Broad Market ETF (SCHB)Schwab US Large-Cap Growth ETF (SCHG)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201112.39%2.27%2.45%$10,239$10,227$10,2452.39%2.27%2.45%
201124.59%3.54%2.78%$10,709$10,589$10,5314.59%3.54%2.78%
201131.52%0.46%0.45%$10,871$10,638$10,5781.52%0.46%0.45%
201142.70%2.98%2.89%$11,165$10,955$10,8832.70%2.98%2.89%
20115-1.59%-1.12%-1.16%$10,988$10,833$10,757-1.59%-1.12%-1.16%
20116-2.25%-1.81%-1.53%$10,740$10,637$10,592-2.25%-1.81%-1.53%
20117-3.87%-2.44%-1.35%$10,325$10,378$10,449-3.87%-2.44%-1.35%
20118-5.82%-5.82%-6.18%$9,723$9,774$9,803-5.82%-5.82%-6.18%
20119-8.31%-7.49%-8.65%$8,915$9,042$8,955-8.31%-7.49%-8.65%
20111012.61%11.48%12.37%$10,039$10,080$10,06312.61%11.48%12.37%
201111-0.65%-0.40%-0.33%$9,974$10,040$10,030-0.65%-0.40%-0.33%
201112-0.95%0.97%-1.04%$9,879$10,137$9,926-0.95%0.97%-1.04%
201216.20%4.86%7.32%$10,492$10,630$10,6536.20%4.86%7.32%
201224.39%4.17%4.87%$10,953$11,073$11,1724.39%4.17%4.87%
201232.12%3.21%2.81%$11,185$11,428$11,4862.12%3.21%2.81%
20124-0.15%-0.62%-0.61%$11,168$11,358$11,415-0.15%-0.62%-0.61%
20125-6.88%-6.23%-6.62%$10,400$10,650$10,660-6.88%-6.23%-6.62%
201262.29%3.90%2.92%$10,638$11,065$10,9712.29%3.90%2.92%
20127-1.46%1.13%0.80%$10,482$11,190$11,059-1.46%1.13%0.80%
201283.66%2.42%3.77%$10,867$11,461$11,4763.66%2.42%3.77%
201291.88%2.53%2.04%$11,071$11,751$11,7111.88%2.53%2.04%
201210-2.28%-1.65%-2.94%$10,818$11,557$11,366-2.28%-1.65%-2.94%
2012112.29%0.68%1.60%$11,065$11,635$11,5492.29%0.68%1.60%
2012121.70%1.36%0.46%$11,254$11,794$11,6021.70%1.36%0.46%
201316.23%5.43%4.89%$11,955$12,435$12,1696.23%5.43%4.89%
201321.25%1.07%0.50%$12,105$12,569$12,2311.25%1.07%0.50%
201334.03%3.97%3.66%$12,593$13,067$12,6784.03%3.97%3.66%
201340.32%1.74%1.72%$12,633$13,295$12,8960.32%1.74%1.72%
201353.30%2.41%2.98%$13,049$13,615$13,2803.30%2.41%2.98%
20136-0.87%-1.14%-1.96%$12,936$13,459$13,020-0.87%-1.14%-1.96%
201376.52%5.32%5.75%$13,779$14,175$13,7686.52%5.32%5.75%
20138-1.52%-2.93%-1.79%$13,569$13,760$13,522-1.52%-2.93%-1.79%
201395.26%3.75%4.16%$14,283$14,276$14,0845.26%3.75%4.16%
2013102.30%4.28%4.67%$14,612$14,888$14,7422.30%4.28%4.67%
2013111.90%2.80%2.93%$14,889$15,305$15,1741.90%2.80%2.93%
2013123.47%2.65%2.49%$15,405$15,710$15,5533.47%2.65%2.49%
20141-0.26%-3.20%-2.43%$15,365$15,207$15,174-0.26%-3.20%-2.43%
201424.89%4.75%5.17%$16,116$15,930$15,9584.89%4.75%5.17%
20143-1.69%0.61%-0.62%$15,843$16,028$15,860-1.69%0.61%-0.62%
20144-1.66%0.11%0.04%$15,581$16,045$15,867-1.66%0.11%0.04%
201451.44%2.25%3.39%$15,805$16,406$16,4051.44%2.25%3.39%
201463.60%2.46%2.30%$16,374$16,809$16,7813.60%2.46%2.30%
20147-2.90%-1.87%-0.93%$15,900$16,496$16,626-2.90%-1.87%-0.93%
201484.58%4.10%4.26%$16,628$17,172$17,3354.58%4.10%4.26%
20149-3.48%-2.03%-1.59%$16,051$16,823$17,059-3.48%-2.03%-1.59%
2014104.59%2.67%2.87%$16,787$17,273$17,5484.59%2.67%2.87%
2014113.22%2.52%3.08%$17,327$17,708$18,0893.22%2.52%3.08%
2014120.60%-0.03%-0.43%$17,432$17,703$18,0110.60%-0.03%-0.43%
20151-1.76%-2.77%-1.31%$17,124$17,213$17,775-1.76%-2.77%-1.31%
201527.33%5.72%6.55%$18,379$18,197$18,9407.33%5.72%6.55%
201531.03%-1.00%-0.85%$18,569$18,014$18,7791.03%-1.00%-0.85%
20154-0.49%0.52%-0.19%$18,478$18,107$18,744-0.49%0.52%-0.19%
201552.15%1.32%1.67%$18,876$18,346$19,0582.15%1.32%1.67%
20156-0.36%-1.77%-1.43%$18,809$18,021$18,785-0.36%-1.77%-1.43%
201571.54%1.75%2.94%$19,098$18,337$19,3381.54%1.75%2.94%
20158-4.34%-6.05%-5.99%$18,268$17,228$18,179-4.34%-6.05%-5.99%
20159-3.30%-2.94%-3.51%$17,665$16,722$17,541-3.30%-2.94%-3.51%
2015106.11%7.93%8.28%$18,744$18,049$18,9946.11%7.93%8.28%
2015111.10%0.60%0.26%$18,950$18,157$19,0431.10%0.60%0.26%
201512-1.97%-2.12%-2.35%$18,576$17,772$18,595-1.97%-2.12%-2.35%
20161-8.21%-5.71%-7.04%$17,051$16,757$17,285-8.21%-5.71%-7.04%
201621.40%-0.02%0.12%$17,289$16,754$17,3071.40%-0.02%0.12%
201636.99%7.13%6.87%$18,497$17,948$18,4966.99%7.13%6.87%
201640.38%0.57%-0.44%$18,568$18,050$18,4150.38%0.57%-0.44%
201652.63%1.76%2.01%$19,057$18,367$18,7862.63%1.76%2.01%
20166-1.05%0.23%-1.16%$18,857$18,409$18,567-1.05%0.23%-1.16%
201675.07%3.96%4.99%$19,812$19,137$19,4945.07%3.96%4.99%
20168-0.68%0.21%0.27%$19,678$19,177$19,547-0.68%0.21%0.27%
20169-0.13%0.18%0.61%$19,652$19,211$19,666-0.13%0.18%0.61%
201610-3.66%-2.14%-2.56%$18,933$18,800$19,162-3.66%-2.14%-2.56%
2016114.36%4.45%2.77%$19,759$19,637$19,6944.36%4.45%2.77%
201612-0.06%1.96%0.85%$19,746$20,022$19,862-0.06%1.96%0.85%
201713.36%1.90%3.53%$20,409$20,403$20,5633.36%1.90%3.53%
201723.27%3.69%4.19%$21,077$21,157$21,4243.27%3.69%4.19%
201731.33%0.08%0.66%$21,358$21,173$21,5651.33%0.08%0.66%
201741.85%1.00%2.25%$21,753$21,384$22,0501.85%1.00%2.25%
201752.70%1.09%2.33%$22,340$21,618$22,5632.70%1.09%2.33%
201761.31%0.79%0.16%$22,634$21,790$22,5991.31%0.79%0.16%
201771.64%2.02%2.67%$23,006$22,229$23,2041.64%2.02%2.67%
201780.52%0.13%1.03%$23,126$22,259$23,4430.52%0.13%1.03%
201792.08%2.43%1.11%$23,608$22,799$23,7032.08%2.43%1.11%
2017102.31%2.17%3.03%$24,153$23,293$24,4202.31%2.17%3.03%
2017112.26%3.00%3.06%$24,698$23,993$25,1662.26%3.00%3.06%
201712-0.18%1.14%1.05%$24,655$24,266$25,432-0.18%1.14%1.05%
201816.40%5.21%7.16%$26,233$25,529$27,2526.40%5.21%7.16%
20182-2.78%-3.71%-2.81%$25,504$24,582$26,486-2.78%-3.71%-2.81%
201830.59%-2.01%-2.43%$25,655$24,088$25,8430.59%-2.01%-2.43%
20184-1.18%0.38%0.61%$25,352$24,178$26,001-1.18%0.38%0.61%
201851.80%2.83%3.95%$25,808$24,862$27,0291.80%2.83%3.95%
201860.31%0.66%1.26%$25,887$25,027$27,3700.31%0.66%1.26%
201873.71%3.36%2.63%$26,847$25,869$28,0893.71%3.36%2.63%
201883.41%3.40%5.05%$27,763$26,748$29,5093.41%3.40%5.05%
201890.16%0.24%0.59%$27,808$26,813$29,6830.16%0.24%0.59%
201810-7.41%-7.44%-8.47%$25,748$24,817$27,167-7.41%-7.44%-8.47%
2018112.61%1.92%0.97%$26,420$25,293$27,4322.61%1.92%0.97%
201812-8.58%-9.15%-8.55%$24,152$22,979$25,086-8.58%-9.15%-8.55%
201919.98%8.56%8.99%$26,562$24,946$27,3429.98%8.56%8.99%
201924.64%3.52%3.26%$27,795$25,824$28,2344.64%3.52%3.26%
201930.98%1.45%2.59%$28,067$26,199$28,9650.98%1.45%2.59%
201943.76%3.94%4.54%$29,123$27,231$30,2813.76%3.94%4.54%
20195-4.80%-6.46%-6.17%$27,725$25,471$28,414-4.80%-6.46%-6.17%
201968.25%7.07%7.05%$30,011$27,272$30,4178.25%7.07%7.05%
201971.53%1.45%1.89%$30,470$27,667$30,9911.53%1.45%1.89%
20198-2.01%-2.10%-0.96%$29,856$27,087$30,695-2.01%-2.10%-0.96%
20199-0.21%1.87%0.29%$29,793$27,593$30,786-0.21%1.87%0.29%
2019100.16%2.08%3.19%$29,841$28,168$31,7680.16%2.08%3.19%
2019114.27%3.83%4.53%$31,115$29,248$33,2084.27%3.83%4.53%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%36.49%0.00%
Large-cap Growth37.39%45.82%74.85%
Mid-cap Value11.54%6.81%1.79%
Mid-cap Growth42.85%4.41%16.02%
Small-cap Value0.00%1.33%4.01%
Small-cap Growth4.43%3.86%0.00%
Global ex-US Developed Markets2.76%1.16%0.00%
Emerging Markets0.00%0.12%3.34%
REITs0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries1.02%0.00%0.00%
R Squared93.02%99.88%97.05%
Style analysis is based on monthly returns from Jan 2011 to Nov 2019 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
RPMGXT. Rowe Price Mid-Cap GrowthMid-Cap Growth0.75%100.00%$21,115100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SCHBSchwab US Broad Market ETFLarge Blend0.03%100.00%$19,248100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SCHGSchwab US Large-Cap Growth ETFLarge Growth0.04%100.00%$23,208100.00%

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 2Portfolio 3
Arithmetic Mean (monthly)1.13%1.07%1.20%
Arithmetic Mean (annualized)14.49%13.59%15.32%
Geometric Mean (monthly)1.07%1.01%1.13%
Geometric Mean (annualized)13.58%12.79%14.41%
Volatility (monthly)3.70%3.46%3.69%
Volatility (annualized)12.83%11.98%12.77%
Downside Deviation (monthly)2.15%2.10%2.17%
Max. Drawdown-20.15%-17.47%-17.72%
US Market Correlation0.951.000.98
Beta(*)1.021.001.04
Alpha (annualized)0.73%0.16%1.19%
R290.40%99.94%95.16%
Sharpe Ratio1.021.021.08
Sortino Ratio1.731.661.81
Treynor Ratio (%)12.8612.3013.30
Calmar Ratio1.240.991.23
Active Return0.92%0.14%1.75%
Tracking Error3.98%0.30%2.84%
Information Ratio0.230.460.62
Skewness-0.19-0.39-0.33
Excess Kurtosis0.951.091.05
Historical Value-at-Risk (5%)-6.46%-6.16%-6.44%
Analytical Value-at-Risk (5%)-4.96%-4.62%-4.87%
Conditional Value-at-Risk (5%)-7.88%-7.36%-7.87%
Upside Capture Ratio (%)99.54100.36106.74
Downside Capture Ratio (%)92.0599.5898.43
Safe Withdrawal Rate18.70%18.85%19.04%
Perpetual Withdrawal Rate11.47%10.78%12.19%
Positive Periods69 out of 107 (64.49%)77 out of 107 (71.96%)73 out of 107 (68.22%)
Gain/Loss Ratio1.220.861.08
* 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
1May 2011Sep 20115 monthsMar 20126 months11 months-20.15%
2Oct 2018Dec 20183 monthsMar 20193 months6 months-13.15%
3Aug 2015Jan 20166 monthsJul 20166 months1 year-10.72%
4Apr 2012May 20122 monthsDec 20127 months9 months-7.02%
5May 2019May 20191 monthJun 20191 month2 months-4.80%
6Aug 2016Oct 20163 monthsJan 20173 months6 months-4.44%
7Sep 2014Sep 20141 monthOct 20141 month2 months-3.48%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.36%
9Mar 2014Apr 20142 monthsJun 20142 months4 months-3.32%
10Jul 2014Jul 20141 monthAug 20141 month2 months-2.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-17.47%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.30%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.85%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.81%
5May 2019May 20191 monthJun 20191 month2 months-6.46%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-5.65%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.20%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.93%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.80%
10Oct 2016Oct 20161 monthNov 20161 month2 months-2.14%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-17.72%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-15.49%
3Aug 2015Jan 20166 monthsJul 20166 months1 year-10.61%
4Apr 2012May 20122 monthsSep 20124 months6 months-7.19%
5May 2019May 20191 monthJun 20191 month2 months-6.17%
6Feb 2018Mar 20182 monthsJun 20183 months5 months-5.17%
7Oct 2012Oct 20121 monthJan 20133 months4 months-2.94%
8Oct 2016Oct 20161 monthNov 20161 month2 months-2.56%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.43%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.96%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
RPMGXT. Rowe Price Mid-Cap Growth13.58%12.83%36.89%-2.04%-20.15%1.021.730.95
SCHBSchwab US Broad Market ETF12.79%11.98%33.20%-5.30%-17.47%1.021.661.00
SCHGSchwab US Large-Cap Growth ETF14.41%12.77%34.05%-1.36%-17.72%1.081.810.98

Monthly Correlations

Correlations for the portfolio assets
TickerNameRPMGXSCHBSCHGPortfolio 1Portfolio 2Portfolio 3
RPMGXT. Rowe Price Mid-Cap Growth-0.950.951.000.950.95
SCHBSchwab US Broad Market ETF0.95-0.970.951.000.97
SCHGSchwab US Large-Cap Growth ETF0.950.97-0.950.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
RPMGXT. Rowe Price Mid-Cap Growth$21,115
SCHBSchwab US Broad Market ETF$19,248
SCHGSchwab US Large-Cap Growth ETF$23,208

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
RPMGXT. Rowe Price Mid-Cap Growth100.00%
SCHBSchwab US Broad Market ETF100.00%
SCHGSchwab US Large-Cap Growth ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.30%36.89%-2.04%11.57%33.20%-5.30%12.84%34.05%-1.36%
3 years14.09%20.84%8.63%13.29%20.42%8.42%14.34%21.97%8.49%
5 years13.61%16.98%9.41%12.55%15.52%7.90%13.78%16.99%10.03%
7 years13.69%13.76%13.62%12.95%13.50%12.40%14.21%14.26%14.16%
Result statistics are based on annualized rolling returns over full calendar year periods