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 2014 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 80.00%
QSPIX AQR Style Premia Alternative I 20.00%
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Portfolio 3
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 80.00%
VBMFX Vanguard Total Bond Market Index Inv 20.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,894 6.86% 6.67%19.37%-4.91%-7.57% 0.901.440.95
Portfolio 2$10,000$14,081 5.87% 5.65%14.44%-6.40%-8.79% 0.881.370.93
Portfolio 3$10,000$14,339 6.19% 5.42%17.22%-3.95%-5.91% 0.981.590.92
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 15.15%19.37%9.30%6.82%6.86%6.81%6.91%
Portfolio 23.61%13.85%6.84%5.47%5.87%6.11%5.82%
Portfolio 34.16%17.22%8.27%6.07%6.19%5.51%5.59%
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 2Portfolio 3Vanguard LifeStrategy Moderate Gr Inv (VSMGX)AQR Style Premia Alternative I (QSPIX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
20140.76%7.07%$10,7077.92%$10,7926.81%$10,6817.07%11.30%5.76%
20150.73%-0.57%$10,6461.30%$10,932-0.40%$10,639-0.57%8.76%0.30%
20162.07%7.13%$11,4065.61%$11,5456.21%$11,2997.13%-0.47%2.50%
20172.11%15.04%$13,12114.44%$13,21312.73%$12,73715.04%12.04%3.46%
20181.91%-4.91%$12,477-6.40%$12,367-3.95%$12,233-4.91%-12.35%-0.13%
20192.29%19.37%$14,89413.85%$14,08117.22%$14,33919.37%-8.20%8.61%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard LifeStrategy Moderate Gr Inv (VSMGX)AQR Style Premia Alternative I (QSPIX)Vanguard Total Bond Market Index Inv (VBMFX)
20141-1.56%-1.74%-0.94%-1.56%-2.46%1.54%
201423.12%2.52%2.58%3.12%0.10%0.48%
201430.30%0.83%0.21%0.30%3.02%-0.15%
201440.55%0.71%0.60%0.55%1.37%0.77%
201451.65%1.57%1.53%1.65%1.25%1.05%
201461.44%0.85%1.17%1.44%-1.52%0.11%
20147-1.12%-0.42%-0.95%-1.12%2.47%-0.26%
201482.39%1.81%2.14%2.39%-0.48%1.13%
20149-2.04%-1.65%-1.78%-2.04%0.00%-0.72%
2014101.54%1.85%1.42%1.54%3.09%0.94%
2014111.32%1.88%1.18%1.32%4.12%0.65%
201412-0.59%-0.46%-0.46%-0.59%0.02%0.09%
20151-0.25%-0.42%0.26%-0.25%-1.12%2.31%
201522.96%1.59%2.13%2.96%-3.90%-1.08%
20153-0.49%0.09%-0.31%-0.49%2.56%0.41%
201540.89%0.44%0.64%0.89%-1.46%-0.36%
201550.20%0.78%0.07%0.20%3.27%-0.45%
20156-1.61%-1.42%-1.50%-1.61%-0.61%-1.01%
201570.87%1.12%0.85%0.87%2.16%0.76%
20158-4.01%-3.32%-3.29%-4.01%-0.50%-0.36%
20159-1.70%-0.23%-1.21%-1.70%5.57%0.76%
2015104.38%3.71%3.48%4.38%1.25%0.01%
201511-0.17%-0.43%-0.19%-0.17%-1.42%-0.27%
201512-1.37%-0.46%-1.17%-1.37%3.01%-0.38%
20161-2.78%-1.87%-1.93%-2.78%1.78%1.43%
20162-0.22%-0.56%-0.04%-0.22%-1.84%0.66%
201634.83%3.78%4.02%4.83%-0.30%0.94%
201640.90%0.80%0.79%0.90%0.40%0.38%
201650.46%0.08%0.37%0.46%-1.48%0.01%
201660.64%0.73%0.90%0.64%1.10%1.94%
201672.79%2.19%2.35%2.79%-0.30%0.64%
201680.25%-0.27%0.16%0.25%-2.48%-0.17%
201690.37%0.38%0.28%0.37%0.41%-0.09%
201610-1.59%-1.00%-1.44%-1.59%1.62%-0.81%
2016110.21%0.22%-0.36%0.21%0.30%-2.64%
2016121.26%1.10%1.06%1.26%0.42%0.24%
201711.61%1.37%1.35%1.61%0.40%0.29%
201722.00%2.14%1.73%2.00%2.71%0.66%
201730.68%0.15%0.53%0.68%-1.96%-0.07%
201741.19%0.88%1.11%1.19%-0.40%0.76%
201751.29%1.12%1.17%1.29%0.40%0.67%
201760.44%0.39%0.36%0.44%0.20%0.01%
201771.63%1.89%1.40%1.63%2.99%0.39%
201780.54%0.68%0.60%0.54%1.26%0.85%
201791.14%1.00%0.82%1.14%0.38%-0.54%
2017101.32%1.67%1.09%1.32%3.14%0.11%
2017111.26%1.27%1.00%1.26%1.29%-0.17%
2017121.00%1.03%0.90%1.00%1.13%0.44%
201812.87%2.63%2.08%2.87%1.64%-1.09%
20182-2.79%-2.63%-2.45%-2.79%-1.99%-1.03%
20183-0.59%-0.26%-0.35%-0.59%1.06%0.63%
201840.11%-0.05%-0.08%0.11%-0.67%-0.83%
201850.74%-0.30%0.71%0.74%-4.43%0.61%
20186-0.18%-0.75%-0.14%-0.18%-3.12%0.03%
201871.82%1.48%1.47%1.82%0.00%0.03%
201880.84%0.51%0.78%0.84%-0.94%0.52%
20189-0.04%0.22%-0.13%-0.04%1.36%-0.54%
201810-4.89%-4.54%-4.09%-4.89%-3.00%-0.73%
2018111.26%0.78%1.11%1.26%-1.28%0.53%
201812-3.87%-3.44%-2.75%-3.87%-1.55%1.80%
201915.28%4.45%4.43%5.28%1.11%1.01%
201921.69%1.36%1.35%1.69%0.00%-0.06%
201931.47%0.94%1.56%1.47%-1.32%1.96%
201942.12%1.66%1.72%2.12%-0.33%0.04%
20195-3.05%-3.05%-2.13%-3.05%-3.01%1.83%
201964.39%3.27%3.75%4.39%-1.72%1.15%
201970.33%0.23%0.31%0.33%-0.23%0.23%
20198-0.25%-0.45%0.33%-0.25%-1.41%2.78%
201991.05%1.26%0.73%1.05%2.26%-0.60%
2019101.54%1.17%1.29%1.54%-0.58%0.21%
2019111.59%1.26%1.27%1.59%-0.35%-0.06%
2019121.93%1.14%1.54%1.93%-2.81%-0.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value12.14%18.57%9.57%
Large-cap Growth19.14%12.22%15.73%
Mid-cap Value3.87%0.00%3.37%
Mid-cap Growth1.61%3.60%0.88%
Small-cap Value1.86%0.00%1.35%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets15.98%12.05%13.05%
Emerging Markets4.89%4.88%3.90%
Corporate Bonds9.83%0.81%12.04%
Long-Term Treasuries4.02%5.91%4.57%
Intermediate-Term Treasuries2.35%1.11%5.88%
Short-Term Treasuries24.31%40.84%29.66%
R Squared99.65%94.01%99.58%
Style analysis is based on monthly returns from January 2014 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/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%1.57%0.13%23.537.18$4,894100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity80.00%1.57%0.13%23.537.18$3,92792.17%
QSPIXAQR Style Premia Alternative IMultialternative20.00%1.83%16.26$1547.83%
100.00%1.26%0.47%22.087.18$4,081100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity80.00%1.57%0.13%23.537.18$3,87997.98%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond20.00%0.99%0.15%6.67$4602.02%
100.00%1.45%0.13%23.537.08$4,339100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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 2Portfolio 3
Arithmetic Mean (monthly)0.57%0.49%0.51%
Arithmetic Mean (annualized)7.10%6.04%6.34%
Geometric Mean (monthly)0.55%0.48%0.50%
Geometric Mean (annualized)6.86%5.87%6.19%
Volatility (monthly)1.93%1.63%1.57%
Volatility (annualized)6.67%5.65%5.42%
Downside Deviation (monthly)1.17%1.02%0.93%
Max. Drawdown-7.57%-8.79%-5.91%
US Market Correlation0.950.930.92
Beta(*)0.550.450.43
Alpha (annualized)0.63%0.75%1.25%
R291.04%85.74%85.49%
Sharpe Ratio0.900.880.98
Sortino Ratio1.441.371.59
Treynor Ratio (%)10.9911.1412.30
Calmar Ratio1.230.781.40
Active Return-4.44%-5.43%-5.11%
Tracking Error5.66%6.77%6.96%
Information Ratio-0.78-0.80-0.73
Skewness-0.36-0.57-0.34
Excess Kurtosis1.011.311.09
Historical Value-at-Risk (5%)-2.91%-2.82%-2.28%
Analytical Value-at-Risk (5%)-2.60%-2.17%-2.04%
Conditional Value-at-Risk (5%)-3.96%-3.59%-3.14%
Upside Capture Ratio (%)55.8645.9346.02
Downside Capture Ratio (%)56.2845.2542.57
Safe Withdrawal Rate19.18%19.17%18.89%
Perpetual Withdrawal Rate4.89%3.99%4.28%
Positive Periods50 out of 72 (69.44%)49 out of 72 (68.06%)50 out of 72 (69.44%)
Gain/Loss Ratio0.961.031.03
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.57%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.65%
3May 2019May 20191 monthJun 20191 month2 months-3.05%
4Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
5Oct 2016Oct 20161 monthJan 20173 months4 months-1.59%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-1.56%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.12%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-0.84%
9Mar 2015Mar 20151 monthApr 20151 month2 months-0.49%
10Aug 2019Aug 20191 monthSep 20191 month2 months-0.25%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsSep 20199 months1 year 8 months-8.79%
2Jun 2015Sep 20154 monthsMar 20166 months10 months-3.85%
3Jan 2014Jan 20141 monthFeb 20141 month2 months-1.74%
4Sep 2014Sep 20141 monthOct 20141 month2 months-1.65%
5Oct 2016Oct 20161 monthDec 20162 months3 months-1.00%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-0.88%
7Jul 2014Jul 20141 monthAug 20141 month2 months-0.42%
8Aug 2016Aug 20161 monthSep 20161 month2 months-0.27%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-5.91%
2Jun 2015Sep 20154 monthsJun 20169 months1 year 1 month-5.09%
3May 2019May 20191 monthJun 20191 month2 months-2.13%
4Oct 2016Nov 20162 monthsJan 20172 months4 months-1.79%
5Sep 2014Sep 20141 monthNov 20142 months3 months-1.78%
6Jul 2014Jul 20141 monthAug 20141 month2 months-0.95%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-0.94%
8Dec 2014Dec 20141 monthFeb 20152 months3 months-0.46%
9Mar 2015Mar 20151 monthApr 20151 month2 months-0.31%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSMGXVanguard LifeStrategy Moderate Gr Inv6.86%6.67%19.37%-4.91%-7.57%0.901.440.95
QSPIXAQR Style Premia Alternative I1.39%6.83%12.04%-12.35%-20.83%0.110.160.08
VBMFXVanguard Total Bond Market Index Inv3.37%3.07%8.61%-0.13%-3.67%0.821.45-0.15

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSMGXQSPIXVBMFXPortfolio 1Portfolio 2Portfolio 3
VSMGXVanguard LifeStrategy Moderate Gr Inv1.000.090.071.000.970.99
QSPIXAQR Style Premia Alternative I0.091.00-0.030.090.320.09
VBMFXVanguard Total Bond Market Index Inv0.07-0.031.000.070.060.18

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSMGXVanguard LifeStrategy Moderate Gr Inv$4,894$3,927$3,879
QSPIXAQR Style Premia Alternative I$154
VBMFXVanguard Total Bond Market Index Inv$460

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSMGXVanguard LifeStrategy Moderate Gr Inv100.00%92.17%97.98%
QSPIXAQR Style Premia Alternative I7.83%
VBMFXVanguard Total Bond Market Index Inv2.02%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.16%19.37%-6.08%5.41%15.86%-6.40%5.50%17.22%-4.65%
3 years6.82%9.30%4.48%6.13%8.06%4.20%5.89%8.27%4.15%
5 years5.89%6.82%4.53%5.18%5.62%4.34%5.28%6.07%4.11%