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. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2015 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DGRO iShares Core Dividend Growth ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VIG Vanguard Dividend Appreciation ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$17,852 12.29% 11.28%29.88%-2.35%-9.93% 1.001.620.97
Portfolio 2$10,000$17,032 11.24% 11.02%29.62%-2.08%-11.00% 0.931.480.95
Vanguard 500 Index Investor$10,000$17,271 11.55% 11.98%31.33%-4.52%-13.55% 0.891.391.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 18.09%29.88%15.98%12.29%12.29%11.39%11.28%
Portfolio 24.76%29.62%15.76%11.24%11.24%11.34%11.02%
Vanguard 500 Index Investor9.03%31.33%15.12%11.55%11.55%12.10%11.98%
Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows.
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.
  • 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Vanguard 500 Index InvestoriShares Core Dividend Growth ETF (DGRO)Vanguard Dividend Appreciation ETF (VIG)
ReturnBalanceReturnBalanceReturnBalance
20150.73%-0.68%$9,932-1.95%$9,8051.25%$10,125-0.68%-1.95%
20162.07%15.22%$11,44311.97%$10,97911.82%$11,32115.22%11.97%
20172.11%23.01%$14,07622.22%$13,41921.67%$13,77423.01%22.22%
20181.91%-2.35%$13,745-2.08%$13,140-4.52%$13,151-2.35%-2.08%
20192.29%29.88%$17,85229.62%$17,03231.33%$17,27129.88%29.62%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnVanguard 500 Index Investor ReturniShares Core Dividend Growth ETF (DGRO)Vanguard Dividend Appreciation ETF (VIG)
20151-3.68%-3.38%-3.02%-3.68%-3.38%
201525.28%5.59%5.74%5.28%5.59%
20153-1.56%-2.27%-1.59%-1.56%-2.27%
201540.12%-0.21%0.95%0.12%-0.21%
201551.25%0.96%1.27%1.25%0.96%
20156-2.45%-2.54%-1.93%-2.45%-2.54%
201571.93%2.16%2.08%1.93%2.16%
20158-5.81%-5.87%-6.05%-5.81%-5.87%
20159-1.64%-1.84%-2.48%-1.64%-1.84%
2015107.96%6.74%8.42%7.96%6.74%
2015110.04%0.27%0.29%0.04%0.27%
201512-1.35%-0.87%-1.59%-1.35%-0.87%
20161-3.35%-2.29%-4.98%-3.35%-2.29%
201620.81%1.13%-0.15%0.81%1.13%
201636.11%6.28%6.78%6.11%6.28%
201641.21%-0.33%0.37%1.21%-0.33%
201651.61%0.95%1.78%1.61%0.95%
201661.08%2.37%0.25%1.08%2.37%
201672.97%2.29%3.68%2.97%2.29%
20168-0.14%0.01%0.13%-0.14%0.01%
20169-0.87%-0.97%0.01%-0.87%-0.97%
201610-1.45%-1.93%-1.83%-1.45%-1.93%
2016114.81%2.98%3.70%4.81%2.98%
2016121.82%1.17%1.96%1.82%1.17%
201711.14%1.76%1.88%1.14%1.76%
201724.76%4.33%3.96%4.76%4.33%
20173-0.03%-0.07%0.10%-0.03%-0.07%
201740.95%1.72%1.02%0.95%1.72%
201751.14%1.57%1.39%1.14%1.57%
201761.34%0.28%0.61%1.34%0.28%
201771.15%0.73%2.04%1.15%0.73%
201780.38%-0.36%0.29%0.38%-0.36%
201792.63%2.38%2.06%2.63%2.38%
2017102.16%2.10%2.32%2.16%2.10%
2017114.19%4.48%3.06%4.19%4.48%
2017121.20%1.44%1.10%1.20%1.44%
201814.80%5.02%5.71%4.80%5.02%
20182-3.87%-4.03%-3.69%-3.87%-4.03%
20183-2.70%-1.35%-2.56%-2.70%-1.35%
20184-0.06%-0.93%0.37%-0.06%-0.93%
201851.59%1.77%2.39%1.59%1.77%
201860.15%0.30%0.61%0.15%0.30%
201875.13%4.68%3.71%5.13%4.68%
201882.80%2.80%3.25%2.80%2.80%
201890.64%1.68%0.55%0.64%1.68%
201810-5.37%-6.36%-6.85%-5.37%-6.36%
2018113.74%4.14%2.03%3.74%4.14%
201812-8.25%-8.73%-9.04%-8.25%-8.73%
201916.24%6.32%8.00%6.24%6.32%
201923.77%4.58%3.20%3.77%4.58%
201931.07%1.14%1.94%1.07%1.14%
201943.76%3.72%4.04%3.76%3.72%
20195-5.77%-4.63%-6.36%-5.77%-4.63%
201966.96%6.63%7.03%6.96%6.63%
201971.41%2.23%1.43%1.41%2.23%
20198-1.37%0.59%-1.59%-1.37%0.59%
201993.09%1.45%1.86%3.09%1.45%
2019101.97%0.03%2.15%1.97%0.03%
2019113.38%2.45%3.62%3.38%2.45%
2019122.54%2.22%3.01%2.54%2.22%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Vanguard 500 Index Investor
Large-cap Value63.55%50.25%46.46%
Large-cap Growth31.01%38.79%53.21%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%1.17%0.25%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.08%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries3.58%9.78%0.00%
Intermediate-Term Treasuries0.82%0.00%0.00%
Short-Term Treasuries1.04%0.00%0.00%
R Squared96.59%92.39%99.97%
Style analysis is based on monthly returns from January 2015 to December 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DGROiShares Core Dividend Growth ETFLarge Value100.00%2.33%0.08%22.07$7,852100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VIGVanguard Dividend Appreciation ETFLarge Blend100.00%1.67%0.06%26.72$7,032100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/26/2021. (c) 2021 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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.02%0.94%0.97%
Arithmetic Mean (annualized)12.99%11.90%12.33%
Geometric Mean (monthly)0.97%0.89%0.91%
Geometric Mean (annualized)12.29%11.24%11.55%
Volatility (monthly)3.26%3.18%3.46%
Volatility (annualized)11.28%11.02%11.98%
Downside Deviation (monthly)1.95%1.95%2.16%
Max. Drawdown-9.93%-11.00%-13.55%
US Market Correlation0.970.951.00
Beta(*)0.920.881.00
Alpha (annualized)1.51%1.02%-0.00%
R295.69%91.28%100.00%
Sharpe Ratio1.000.930.89
Sortino Ratio1.621.481.39
Treynor Ratio (%)12.1911.6610.64
Calmar Ratio1.611.431.12
Active Return0.74%-0.31%N/A
Tracking Error2.53%3.56%N/A
Information Ratio0.29-0.09N/A
Skewness-0.47-0.57-0.51
Excess Kurtosis0.500.810.93
Historical Value-at-Risk (5%)-5.39%-4.70%-6.06%
Analytical Value-at-Risk (5%)-4.33%-4.29%-4.71%
Conditional Value-at-Risk (5%)-6.61%-6.99%-7.42%
Upside Capture Ratio (%)97.0988.94100.00
Downside Capture Ratio (%)89.3483.33100.00
Safe Withdrawal Rate24.69%23.79%24.31%
Perpetual Withdrawal Rate9.32%8.47%8.72%
Positive Periods42 out of 60 (70.00%)41 out of 60 (68.33%)45 out of 60 (75.00%)
Gain/Loss Ratio0.961.000.70
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsMar 20193 months6 months-9.93%
2Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-8.08%
3Feb 2018Apr 20183 monthsAug 20184 months7 months-6.52%
4May 2019May 20191 monthJun 20191 month2 months-5.77%
5Jan 2015Jan 20151 monthFeb 20151 month2 months-3.68%
6Aug 2016Oct 20163 monthsNov 20161 month4 months-2.44%
7Aug 2019Aug 20191 monthSep 20191 month2 months-1.37%
8Mar 2017Mar 20171 monthApr 20171 month2 months-0.03%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsMar 20193 months6 months-11.00%
2Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.41%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-6.20%
4May 2019May 20191 monthJun 20191 month2 months-4.63%
5Jan 2015Jan 20151 monthFeb 20151 month2 months-3.38%
6Sep 2016Oct 20162 monthsNov 20161 month3 months-2.89%
7Aug 2017Aug 20171 monthSep 20171 month2 months-0.36%
8Apr 2016Apr 20161 monthMay 20161 month2 months-0.33%
9Mar 2017Mar 20171 monthApr 20171 month2 months-0.07%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3May 2019May 20191 monthJun 20191 month2 months-6.36%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
5Jan 2015Jan 20151 monthFeb 20151 month2 months-3.02%
6Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
7Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
8Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DGROiShares Core Dividend Growth ETF12.29%11.28%29.88%-2.35%-9.93%1.001.620.97
VIGVanguard Dividend Appreciation ETF11.24%11.02%29.62%-2.08%-11.00%0.931.480.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameDGROVIGPortfolio 1Portfolio 2Vanguard 500 Index Investor
DGROiShares Core Dividend Growth ETF1.000.971.000.970.98
VIGVanguard Dividend Appreciation ETF0.971.000.971.000.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DGROiShares Core Dividend Growth ETF$7,852
VIGVanguard Dividend Appreciation ETF$7,032

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DGROiShares Core Dividend Growth ETF100.00%
VIGVanguard Dividend Appreciation ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year12.85%29.88%-4.58%12.13%29.62%-5.03%11.59%31.33%-6.32%
3 years14.01%17.86%11.33%13.01%16.90%9.85%12.99%17.15%9.11%