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 Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1985 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 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$231,425 9.41% 6.45%28.91%-9.84%-18.82% 0.941.560.69
   
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Wellesley Income Inv (VWINX)
19853.80%27.41%$12,74127.41%
19861.10%18.34%$15,07818.34%
19874.43%-1.92%$14,788-1.92%
19884.42%13.61%$16,80213.61%
19894.65%20.93%$20,31920.93%
19906.11%3.76%$21,0823.76%
19913.06%21.57%$25,62921.57%
19922.90%8.67%$27,8528.67%
19932.75%14.65%$31,93214.65%
19942.67%-4.44%$30,516-4.44%
19952.54%28.91%$39,33828.91%
19963.32%9.42%$43,0449.42%
19971.70%20.19%$51,73420.19%
19981.61%11.84%$57,86111.84%
19992.68%-4.14%$55,468-4.14%
20003.39%16.17%$64,43816.17%
20011.55%7.39%$69,1967.39%
20022.38%4.64%$72,4094.64%
20031.88%9.66%$79,4009.66%
20043.26%7.55%$85,3987.55%
20053.42%3.48%$88,3713.48%
20062.54%11.28%$98,33911.28%
20074.08%5.61%$103,8515.61%
20080.09%-9.84%$93,630-9.84%
20092.72%16.02%$108,63316.02%
20101.50%10.65%$120,19910.65%
20112.96%9.63%$131,7739.63%
20121.74%10.06%$145,02310.06%
20131.50%9.19%$158,3489.19%
20140.76%8.07%$171,1198.07%
20150.73%1.28%$173,3021.28%
20162.07%8.08%$187,3068.08%
20172.11%10.20%$206,40710.20%
20181.91%-2.57%$201,098-2.57%
20192.43%15.08%$231,42515.08%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Wellesley Income Inv (VWINX)
198513.61%$10,3613.61%
19852-1.02%$10,256-1.02%
198532.14%$10,4762.14%
198542.20%$10,7062.20%
198555.53%$11,2985.53%
198561.90%$11,5131.90%
19857-1.22%$11,372-1.22%
198581.79%$11,5761.79%
19859-1.76%$11,372-1.76%
1985104.00%$11,8274.00%
1985113.58%$12,2513.58%
1985124.00%$12,7414.00%
198610.85%$12,8490.85%
198625.70%$13,5825.70%
198632.39%$13,9072.39%
19864-1.03%$13,763-1.03%
198651.29%$13,9411.29%
198662.49%$14,2892.49%
198670.12%$14,3060.12%
198685.05%$15,0295.05%
19869-3.78%$14,461-3.78%
1986102.48%$14,8202.48%
1986112.24%$15,1522.24%
198612-0.49%$15,078-0.49%
198714.61%$15,7734.61%
198720.12%$15,7910.12%
19873-0.90%$15,649-0.90%
19874-4.27%$14,980-4.27%
19875-0.69%$14,876-0.69%
198762.58%$15,2612.58%
19877-0.19%$15,232-0.19%
198781.13%$15,4041.13%
19879-2.43%$15,029-2.43%
198710-2.60%$14,639-2.60%
198711-0.80%$14,522-0.80%
1987121.84%$14,7881.84%
198816.31%$15,7226.31%
198821.44%$15,9481.44%
19883-2.19%$15,598-2.19%
19884-0.54%$15,514-0.54%
198850.61%$15,6080.61%
198863.36%$16,1333.36%
19887-0.20%$16,101-0.20%
198880.00%$16,1010.00%
198893.00%$16,5853.00%
1988101.90%$16,9001.90%
198811-0.84%$16,759-0.84%
1988120.26%$16,8020.26%
198913.15%$17,3303.15%
19892-1.21%$17,121-1.21%
198931.48%$17,3751.48%
198942.77%$17,8572.77%
198953.26%$18,4403.26%
198962.49%$18,8992.49%
198973.68%$19,5943.68%
19898-0.52%$19,492-0.52%
198990.35%$19,5600.35%
1989101.07%$19,7691.07%
1989111.35%$20,0351.35%
1989121.42%$20,3191.42%
19901-3.09%$19,691-3.09%
199020.86%$19,8600.86%
199030.23%$19,9060.23%
19904-2.48%$19,412-2.48%
199054.77%$20,3384.77%
199060.62%$20,4630.62%
199070.61%$20,5890.61%
19908-3.97%$19,772-3.97%
19909-0.43%$19,687-0.43%
1990101.36%$19,9551.36%
1990113.46%$20,6463.46%
1990122.11%$21,0822.11%
199111.25%$21,3451.25%
199122.53%$21,8852.53%
199131.39%$22,1891.39%
199141.09%$22,4301.09%
199151.31%$22,7241.31%
19916-1.35%$22,417-1.35%
199172.49%$22,9752.49%
199182.37%$23,5192.37%
199191.92%$23,9711.92%
1991101.62%$24,3581.62%
199111-0.28%$24,289-0.28%
1991125.52%$25,6295.52%
19921-2.82%$24,906-2.82%
19922-0.06%$24,892-0.06%
19923-0.57%$24,751-0.57%
199242.04%$25,2562.04%
199252.11%$25,7892.11%
199261.07%$26,0651.07%
199273.99%$27,1053.99%
199280.49%$27,2370.49%
199291.03%$27,5181.03%
199210-1.51%$27,101-1.51%
1992110.66%$27,2800.66%
1992122.10%$27,8522.10%
199311.93%$28,3891.93%
199323.35%$29,3403.35%
199331.41%$29,7551.41%
199340.10%$29,7860.10%
199350.52%$29,9410.52%
199362.36%$30,6472.36%
199370.98%$30,9470.98%
199383.42%$32,0063.42%
199390.65%$32,2140.65%
1993100.45%$32,3580.45%
199311-2.23%$31,637-2.23%
1993120.93%$31,9320.93%
199411.87%$32,5301.87%
19942-2.96%$31,567-2.96%
19943-3.36%$30,506-3.36%
199440.06%$30,5230.06%
199450.72%$30,7430.72%
19946-1.12%$30,398-1.12%
199472.60%$31,1882.60%
199480.94%$31,4800.94%
19949-2.72%$30,622-2.72%
1994100.00%$30,6220.00%
199411-1.37%$30,204-1.37%
1994121.03%$30,5161.03%
199512.87%$31,3932.87%
199523.08%$32,3593.08%
199531.06%$32,7041.06%
199541.95%$33,3401.95%
199555.51%$35,1765.51%
199560.87%$35,4840.87%
199570.21%$35,5580.21%
199581.66%$36,1481.66%
199592.31%$36,9822.31%
1995100.76%$37,2620.76%
1995112.81%$38,3102.81%
1995122.68%$39,3382.68%
199610.93%$39,7040.93%
19962-2.18%$38,838-2.18%
199630.03%$38,8510.03%
19964-0.61%$38,616-0.61%
199650.30%$38,7340.30%
199661.33%$39,2491.33%
19967-0.91%$38,891-0.91%
199680.92%$39,2490.92%
199692.89%$40,3832.89%
1996104.14%$42,0574.14%
1996113.64%$43,5893.64%
199612-1.25%$43,044-1.25%
199711.32%$43,6101.32%
199720.67%$43,9040.67%
19973-2.55%$42,783-2.55%
199742.16%$43,7052.16%
199752.65%$44,8632.65%
199762.20%$45,8482.20%
199775.97%$48,5865.97%
19978-2.28%$47,478-2.28%
199793.71%$49,2373.71%
1997100.67%$49,5670.67%
1997112.40%$50,7552.40%
1997121.93%$51,7341.93%
199810.78%$52,1360.78%
199821.23%$52,7751.23%
199832.56%$54,1272.56%
199840.00%$54,1270.00%
199850.81%$54,5620.81%
199861.11%$55,1691.11%
19987-1.29%$54,458-1.29%
19988-2.39%$53,158-2.39%
199895.49%$56,0795.49%
1998100.31%$56,2530.31%
1998112.38%$57,5932.38%
1998120.46%$57,8610.46%
19991-0.54%$57,547-0.54%
19992-2.86%$55,899-2.86%
199930.81%$56,3510.81%
199943.22%$58,1683.22%
19995-0.69%$57,767-0.69%
19996-0.07%$57,725-0.07%
19997-1.64%$56,778-1.64%
19998-0.95%$56,236-0.95%
19999-0.53%$55,938-0.53%
1999100.88%$56,4320.88%
199911-0.68%$56,048-0.68%
199912-1.04%$55,468-1.04%
20001-1.01%$54,908-1.01%
20002-3.00%$53,261-3.00%
200035.61%$56,2475.61%
200040.16%$56,3370.16%
200051.27%$57,0531.27%
20006-0.63%$56,692-0.63%
200071.98%$57,8121.98%
200082.93%$59,5072.93%
200091.80%$60,5761.80%
2000101.27%$61,3431.27%
2000111.20%$62,0791.20%
2000123.80%$64,4383.80%
200110.25%$64,5960.25%
200121.23%$65,3881.23%
20013-0.07%$65,339-0.07%
200141.88%$66,5671.88%
200151.02%$67,2461.02%
20016-0.18%$67,126-0.18%
200171.80%$68,3351.80%
200180.67%$68,7920.67%
20019-0.56%$68,410-0.56%
2001100.43%$68,7070.43%
2001110.14%$68,8060.14%
2001120.57%$69,1960.57%
200210.45%$69,5090.45%
200221.65%$70,6561.65%
20023-0.10%$70,588-0.10%
200240.70%$71,0800.70%
200251.33%$72,0281.33%
20026-0.93%$71,359-0.93%
20027-2.09%$69,867-2.09%
200280.86%$70,4710.86%
20029-2.67%$68,587-2.67%
2002102.31%$70,1692.31%
2002112.36%$71,8222.36%
2002120.82%$72,4090.82%
20031-1.56%$71,281-1.56%
200320.10%$71,3540.10%
20033-0.11%$71,279-0.11%
200343.40%$73,7053.40%
200354.24%$76,8304.24%
200360.18%$76,9690.18%
20037-3.38%$74,371-3.38%
200380.40%$74,6680.40%
200391.72%$75,9521.72%
2003100.44%$76,2890.44%
2003110.54%$76,7020.54%
2003123.52%$79,4003.52%
200410.48%$79,7800.48%
200421.38%$80,8811.38%
200430.32%$81,1430.32%
20044-2.17%$79,382-2.17%
20045-0.34%$79,114-0.34%
200461.11%$79,9911.11%
200470.34%$80,2620.34%
200482.07%$81,9252.07%
200490.66%$82,4680.66%
2004100.66%$83,0150.66%
2004110.89%$83,7570.89%
2004121.96%$85,3981.96%
20051-0.09%$85,319-0.09%
200521.25%$86,3871.25%
20053-1.41%$85,166-1.41%
200540.94%$85,9640.94%
200551.07%$86,8831.07%
200560.87%$87,6410.87%
200570.09%$87,7220.09%
200580.78%$88,4070.78%
20059-0.25%$88,186-0.25%
200510-1.34%$87,006-1.34%
2005111.03%$87,9011.03%
2005120.53%$88,3710.53%
200610.85%$89,1260.85%
200620.80%$89,8390.80%
20063-0.66%$89,244-0.66%
200641.09%$90,2171.09%
20065-0.66%$89,625-0.66%
200660.58%$90,1450.58%
200672.14%$92,0702.14%
200681.81%$93,7391.81%
200691.23%$94,8961.23%
2006101.64%$96,4531.64%
2006111.30%$97,7071.30%
2006120.65%$98,3390.65%
200710.32%$98,6550.32%
200720.91%$99,5560.91%
200730.63%$100,1850.63%
200741.73%$101,9141.73%
200750.45%$102,3690.45%
20076-1.19%$101,148-1.19%
20077-0.73%$100,412-0.73%
200781.42%$101,8371.42%
200791.72%$103,5851.72%
2007100.94%$104,5610.94%
200711-0.18%$104,375-0.18%
200712-0.50%$103,851-0.50%
20081-0.82%$102,995-0.82%
20082-1.29%$101,662-1.29%
200830.38%$102,0470.38%
200841.18%$103,2501.18%
20085-0.56%$102,672-0.56%
20086-3.41%$99,171-3.41%
200870.15%$99,3170.15%
200880.78%$100,0960.78%
20089-3.47%$96,622-3.47%
200810-7.19%$89,671-7.19%
2008110.33%$89,9670.33%
2008124.07%$93,6304.07%
20091-4.62%$89,304-4.62%
20092-4.96%$84,877-4.96%
200932.94%$87,3692.94%
200943.54%$90,4633.54%
200954.39%$94,4354.39%
200961.25%$95,6171.25%
200975.68%$101,0455.68%
200982.32%$103,3942.32%
200991.87%$105,3231.87%
200910-0.05%$105,270-0.05%
2009113.20%$108,6443.20%
200912-0.01%$108,633-0.01%
20101-0.29%$108,313-0.29%
201021.08%$109,4861.08%
201031.99%$111,6631.99%
201041.49%$113,3311.49%
20105-2.71%$110,264-2.71%
201060.19%$110,4760.19%
201073.49%$114,3343.49%
201080.86%$115,3120.86%
201092.70%$118,4312.70%
2010100.88%$119,4730.88%
201011-0.92%$118,376-0.92%
2010121.54%$120,1991.54%
201110.65%$120,9750.65%
201121.88%$123,2461.88%
201130.14%$123,4210.14%
201142.58%$126,6062.58%
201150.84%$127,6670.84%
20116-1.06%$126,314-1.06%
201170.04%$126,3700.04%
20118-0.27%$126,032-0.27%
20119-1.46%$124,189-1.46%
2011104.03%$129,1984.03%
201111-0.53%$128,515-0.53%
2011122.53%$131,7732.53%
201211.88%$134,2441.88%
201221.28%$135,9681.28%
201230.46%$136,5940.46%
201240.93%$137,8680.93%
20125-1.43%$135,899-1.43%
201262.00%$138,6122.00%
201272.44%$141,9992.44%
201280.53%$142,7590.53%
201290.86%$143,9840.86%
2012100.25%$144,3370.25%
2012110.29%$144,7490.29%
2012120.19%$145,0230.19%
201311.45%$147,1281.45%
201321.23%$148,9331.23%
201331.26%$150,8121.26%
201341.97%$153,7791.97%
20135-0.87%$152,447-0.87%
20136-1.59%$150,018-1.59%
201372.04%$153,0712.04%
20138-1.87%$150,201-1.87%
201391.63%$152,6511.63%
2013102.10%$155,8502.10%
2013110.79%$157,0800.79%
2013120.81%$158,3480.81%
20141-0.36%$157,774-0.36%
201422.06%$161,0242.06%
201430.92%$162,5070.92%
201441.19%$164,4351.19%
201451.21%$166,4281.21%
201460.78%$167,7200.78%
20147-1.00%$166,037-1.00%
201481.99%$169,3381.99%
20149-1.25%$167,220-1.25%
2014101.17%$169,1761.17%
2014111.31%$171,3921.31%
201412-0.16%$171,119-0.16%
201510.55%$172,0560.55%
201520.82%$173,4610.82%
20153-0.10%$173,287-0.10%
201540.51%$174,1630.51%
20155-0.12%$173,961-0.12%
20156-2.06%$170,375-2.06%
201571.23%$172,4781.23%
20158-2.16%$168,746-2.16%
201590.11%$168,9360.11%
2015103.40%$174,6793.40%
2015110.00%$174,6790.00%
201512-0.79%$173,302-0.79%
20161-0.20%$172,949-0.20%
201620.45%$173,7260.45%
201633.52%$179,8343.52%
201640.91%$181,4700.91%
201650.59%$182,5370.59%
201662.18%$186,5162.18%
201671.38%$189,0961.38%
201680.00%$189,0960.00%
20169-0.32%$188,498-0.32%
201610-1.22%$186,189-1.22%
201611-0.74%$184,819-0.74%
2016121.35%$187,3061.35%
201710.27%$187,8210.27%
201721.96%$191,4981.96%
20173-0.04%$191,424-0.04%
201740.70%$192,7570.70%
201751.15%$194,9771.15%
201760.41%$195,7860.41%
201770.88%$197,5010.88%
201780.53%$198,5440.53%
201790.84%$200,2180.84%
2017100.90%$202,0200.90%
2017111.08%$204,1981.08%
2017121.08%$206,4071.08%
201810.56%$207,5550.56%
20182-2.73%$201,889-2.73%
20183-0.27%$201,338-0.27%
20184-0.50%$200,337-0.50%
201850.65%$201,6460.65%
201860.16%$201,9730.16%
201872.04%$206,0892.04%
201880.57%$207,2530.57%
20189-0.23%$206,780-0.23%
201810-2.27%$202,086-2.27%
2018111.63%$205,3721.63%
201812-2.08%$201,098-2.08%
201913.23%$207,6013.23%
201921.51%$210,7291.51%
201931.88%$214,6841.88%
201941.08%$217,0051.08%
20195-0.65%$215,596-0.65%
201963.14%$222,3753.14%
201970.49%$223,4610.49%
201981.68%$227,2191.68%
201990.59%$228,5650.59%
2019100.63%$229,9950.63%
2019110.62%$231,4250.62%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value21.18%
Large-cap Growth8.41%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets4.38%
Emerging Markets0.00%
REITs0.91%
Corporate Bonds19.82%
Long-Term Treasuries6.24%
Intermediate-Term Treasuries11.38%
Short-Term Treasuries27.69%
R Squared92.89%
Style analysis is based on monthly returns from Apr 2005 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity7.500.23%100.00%$221,425100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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 1
Arithmetic Mean (monthly)0.77%
Arithmetic Mean (annualized)9.64%
Geometric Mean (monthly)0.75%
Geometric Mean (annualized)9.41%
Volatility (monthly)1.86%
Volatility (annualized)6.45%
Downside Deviation (monthly)0.99%
Max. Drawdown-18.82%
US Market Correlation0.69
Beta(*)0.30
Alpha (annualized)5.81%
R247.07%
Sharpe Ratio0.94
Sortino Ratio1.56
Treynor Ratio (%)20.24
Calmar Ratio2.24
Active Return-1.53%
Tracking Error11.53%
Information Ratio-0.13
Skewness-0.15
Excess Kurtosis1.26
Historical Value-at-Risk (5%)-2.55%
Analytical Value-at-Risk (5%)-2.29%
Conditional Value-at-Risk (5%)-3.53%
Upside Capture Ratio (%)41.74
Downside Capture Ratio (%)17.95
Safe Withdrawal Rate9.09%
Perpetual Withdrawal Rate6.40%
Positive Periods295 out of 419 (70.41%)
Gain/Loss Ratio1.20
* 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 1
Black Monday PeriodSep 1987Nov 1987-5.73%
Asian CrisisJul 1997Jan 1998-2.28%
Russian Debt DefaultJul 1998Oct 1998-3.64%
Dotcom CrashMar 2000Oct 2002-4.78%
Subprime CrisisNov 2007Mar 2009-18.82%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-18.82%
2May 1999Feb 200010 monthsAug 20006 months1 year 4 months-8.44%
3Mar 1987Nov 19879 monthsFeb 19883 months1 year-8.04%
4Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-7.15%
5Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
6Jan 1990Apr 19904 monthsMay 19901 month5 months-4.46%
7Aug 1990Sep 19902 monthsNov 19902 months4 months-4.38%
8Sep 1986Sep 19861 monthNov 19862 months3 months-3.78%
9Jul 1998Aug 19982 monthsSep 19981 month3 months-3.64%
10Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWINXVanguard Wellesley Income Inv9.41%6.45%28.91%-9.84%-18.82%0.941.560.69

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.57%28.91%-9.84%
3 years9.10%19.24%1.95%
5 years9.16%15.23%3.35%
7 years9.13%14.39%4.41%
10 years8.96%13.34%4.93%
15 years8.79%12.10%6.39%
Result statistics are based on annualized rolling returns over full calendar year periods