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 Assets 
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Portfolio Analysis Results (Jan 2005 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBK Vanguard Small-Cap Growth ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VBR Vanguard Small-Cap Value ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$41,042 9.87% 18.53%42.79%-40.32%-53.24% 0.530.780.94
Portfolio 2$10,000$32,334 8.14% 18.08%36.55%-32.20%-55.89% 0.450.650.94
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 19.40%32.75%15.12%10.50%13.65%9.87%15.56%15.15%
Portfolio 27.17%22.77%6.39%7.45%11.92%8.14%15.01%14.77%
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 Small-Cap Growth ETF (VBK)Vanguard Small-Cap Value ETF (VBR)
ReturnBalanceReturnBalance
20053.42%8.66%$10,8666.26%$10,6268.66%6.26%
20062.54%12.19%$12,19119.49%$12,69612.19%19.49%
20074.08%9.90%$13,397-6.94%$11,8169.90%-6.94%
20080.09%-40.32%$7,995-32.20%$8,011-40.32%-32.20%
20092.72%42.79%$11,41630.92%$10,48842.79%30.92%
20101.50%30.95%$14,94925.10%$13,12130.95%25.10%
20112.96%-1.62%$14,706-4.23%$12,566-1.62%-4.23%
20121.74%17.81%$17,32518.98%$14,95117.81%18.98%
20131.50%38.26%$23,95536.55%$20,41538.26%36.55%
20140.76%4.01%$24,91610.55%$22,5704.01%10.55%
20150.73%-2.63%$24,261-4.76%$21,496-2.63%-4.76%
20162.07%10.88%$26,90024.90%$26,84810.88%24.90%
20172.11%21.87%$32,78311.80%$30,01721.87%11.80%
20181.91%-5.69%$30,918-12.26%$26,338-5.69%-12.26%
20192.29%32.75%$41,04222.77%$32,33432.75%22.77%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnVanguard Small-Cap Growth ETF (VBK)Vanguard Small-Cap Value ETF (VBR)
20051-3.43%-3.65%-3.43%-3.65%
200521.75%2.40%1.75%2.40%
20053-2.74%-2.16%-2.74%-2.16%
20054-5.26%-5.03%-5.26%-5.03%
200557.35%7.28%7.35%7.28%
200562.99%3.56%2.99%3.56%
200576.76%5.46%6.76%5.46%
20058-1.14%-2.01%-1.14%-2.01%
200590.82%0.77%0.82%0.77%
200510-3.81%-3.22%-3.81%-3.22%
2005115.95%3.78%5.95%3.78%
2005120.09%-0.24%0.09%-0.24%
200618.27%6.85%8.27%6.85%
20062-0.16%0.51%-0.16%0.51%
200635.01%3.64%5.01%3.64%
20064-0.05%-0.04%-0.05%-0.04%
20065-5.98%-3.75%-5.98%-3.75%
20066-1.25%1.00%-1.25%1.00%
20067-4.78%-1.22%-4.78%-1.22%
200682.10%2.13%2.10%2.13%
200690.87%0.89%0.87%0.89%
2006105.60%4.64%5.60%4.64%
2006113.03%3.29%3.03%3.29%
200612-0.19%0.42%-0.19%0.42%
200712.65%1.97%2.65%1.97%
200720.34%-0.59%0.34%-0.59%
200731.89%0.63%1.89%0.63%
200743.53%1.72%3.53%1.72%
200755.15%3.84%5.15%3.84%
20076-0.47%-2.29%-0.47%-2.29%
20077-4.87%-7.70%-4.87%-7.70%
200781.49%1.66%1.49%1.66%
200793.48%0.87%3.48%0.87%
2007103.53%1.60%3.53%1.60%
200711-6.72%-6.86%-6.72%-6.86%
2007120.16%-1.31%0.16%-1.31%
20081-9.06%-3.88%-9.06%-3.88%
20082-1.74%-2.62%-1.74%-2.62%
20083-1.35%-0.39%-1.35%-0.39%
200846.56%4.68%6.56%4.68%
200855.97%4.14%5.97%4.14%
20086-5.93%-11.36%-5.93%-11.36%
20087-0.78%4.06%-0.78%4.06%
200882.66%3.60%2.66%3.60%
20089-12.81%-5.32%-12.81%-5.32%
200810-22.19%-21.96%-22.19%-21.96%
200811-11.95%-9.56%-11.95%-9.56%
2008124.74%4.46%4.74%4.46%
20091-6.89%-12.39%-6.89%-12.39%
20092-9.92%-14.01%-9.92%-14.01%
200939.35%8.83%9.35%8.83%
2009416.66%19.56%16.66%19.56%
200954.17%3.83%4.17%3.83%
200962.32%-0.09%2.32%-0.09%
200978.87%10.65%8.87%10.65%
200982.74%6.18%2.74%6.18%
200997.00%5.41%7.00%5.41%
200910-6.70%-6.09%-6.70%-6.09%
2009113.06%3.55%3.06%3.55%
2009128.79%6.92%8.79%6.92%
20101-3.66%-2.99%-3.66%-2.99%
201024.68%5.01%4.68%5.01%
201038.15%8.20%8.15%8.20%
201044.95%6.23%4.95%6.23%
20105-7.51%-7.95%-7.51%-7.95%
20106-7.12%-8.16%-7.12%-8.16%
201076.90%7.46%6.90%7.46%
20108-6.61%-6.66%-6.61%-6.66%
2010913.65%10.43%13.65%10.43%
2010104.67%3.60%4.67%3.60%
2010113.85%2.28%3.85%2.28%
2010127.99%7.69%7.99%7.69%
201110.90%0.60%0.90%0.60%
201126.22%4.70%6.22%4.70%
201133.19%1.47%3.19%1.47%
201143.31%2.34%3.31%2.34%
20115-1.67%-2.12%-1.67%-2.12%
20116-2.02%-2.08%-2.02%-2.08%
20117-3.88%-3.32%-3.88%-3.32%
20118-8.59%-8.19%-8.59%-8.19%
20119-11.42%-10.64%-11.42%-10.64%
20111016.27%14.43%16.27%14.43%
201111-0.66%-0.14%-0.66%-0.14%
201112-0.60%0.82%-0.60%0.82%
201217.22%6.97%7.22%6.97%
201223.87%2.55%3.87%2.55%
201232.25%2.41%2.25%2.41%
20124-0.99%-0.99%-0.99%-0.99%
20125-7.20%-6.31%-7.20%-6.31%
201264.86%4.47%4.86%4.47%
20127-1.34%-0.43%-1.34%-0.43%
201284.02%2.99%4.02%2.99%
201292.64%2.80%2.64%2.80%
201210-2.37%-0.70%-2.37%-0.70%
2012111.72%1.01%1.72%1.01%
2012122.65%3.34%2.65%3.34%
201316.10%6.46%6.10%6.46%
201320.89%1.62%0.89%1.62%
201334.86%4.56%4.86%4.56%
20134-0.39%0.09%-0.39%0.09%
201354.40%3.11%4.40%3.11%
20136-0.93%-1.27%-0.93%-1.27%
201376.79%6.85%6.79%6.85%
20138-1.91%-4.17%-1.91%-4.17%
201396.15%5.30%6.15%5.30%
2013102.48%3.92%2.48%3.92%
2013112.36%2.93%2.36%2.93%
2013122.51%2.74%2.51%2.74%
20141-1.14%-2.78%-1.14%-2.78%
201425.14%4.97%5.14%4.97%
20143-2.25%1.31%-2.25%1.31%
20144-3.77%-1.13%-3.77%-1.13%
201450.70%1.64%0.70%1.64%
201465.81%4.32%5.81%4.32%
20147-5.24%-4.79%-5.24%-4.79%
201484.73%5.12%4.73%5.12%
20149-4.81%-5.54%-4.81%-5.54%
2014103.89%4.85%3.89%4.85%
2014110.98%1.10%0.98%1.10%
2014120.74%1.79%0.74%1.79%
20151-0.91%-3.30%-0.91%-3.30%
201525.97%5.66%5.97%5.66%
20153-0.33%1.30%-0.33%1.30%
20154-0.73%-1.30%-0.73%-1.30%
201552.74%1.37%2.74%1.37%
20156-0.13%-1.51%-0.13%-1.51%
201570.50%-0.95%0.50%-0.95%
20158-6.99%-4.84%-6.99%-4.84%
20159-5.59%-3.58%-5.59%-3.58%
2015104.68%6.63%4.68%6.63%
2015112.41%1.32%2.41%1.32%
201512-3.46%-4.90%-3.46%-4.90%
20161-8.98%-6.37%-8.98%-6.37%
201620.05%1.50%0.05%1.50%
201637.75%8.94%7.75%8.94%
201641.34%2.10%1.34%2.10%
201652.50%1.40%2.50%1.40%
201660.53%0.15%0.53%0.15%
201675.38%4.64%5.38%4.64%
201680.69%0.73%0.69%0.73%
201690.48%0.30%0.48%0.30%
201610-5.39%-2.92%-5.39%-2.92%
2016116.52%10.21%6.52%10.21%
2016120.72%2.86%0.72%2.86%
201712.69%0.65%2.69%0.65%
201722.68%2.01%2.68%2.01%
201730.45%-0.72%0.45%-0.72%
201741.36%0.40%1.36%0.40%
201750.35%-2.40%0.35%-2.40%
201762.00%2.44%2.00%2.44%
201771.37%1.02%1.37%1.02%
20178-0.39%-1.46%-0.39%-1.46%
201793.87%4.95%3.87%4.95%
2017102.33%0.86%2.33%0.86%
2017113.07%3.17%3.07%3.17%
2017120.26%0.50%0.26%0.50%
201813.88%1.93%3.88%1.93%
20182-3.19%-4.74%-3.19%-4.74%
201831.50%0.82%1.50%0.82%
201840.26%0.40%0.26%0.40%
201855.82%4.52%5.82%4.52%
201861.20%0.36%1.20%0.36%
201870.97%2.49%0.97%2.49%
201887.00%2.41%7.00%2.41%
20189-1.22%-1.67%-1.22%-1.67%
201810-11.44%-9.05%-11.44%-9.05%
2018111.98%2.35%1.98%2.35%
201812-10.71%-11.41%-10.71%-11.41%
2019112.56%11.16%12.56%11.16%
201925.79%3.99%5.79%3.99%
201930.36%-1.92%0.36%-1.92%
201943.27%3.91%3.27%3.91%
20195-6.37%-8.13%-6.37%-8.13%
201967.29%6.84%7.29%6.84%
201971.76%0.75%1.76%0.75%
20198-2.36%-5.44%-2.36%-5.44%
20199-1.49%3.98%-1.49%3.98%
2019101.52%1.75%1.52%1.75%
2019116.16%2.48%6.16%2.48%
2019121.50%2.78%1.50%2.78%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%12.38%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%33.02%
Mid-cap Growth47.39%0.46%
Small-cap Value4.21%50.53%
Small-cap Growth43.88%2.43%
Global ex-US Developed Markets0.00%0.11%
Emerging Markets4.51%1.07%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared96.01%98.15%
Style analysis is based on monthly returns from April 2005 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
VBKVanguard Small-Cap Growth ETFSmall Growth100.00%0.37%0.07%35.77$31,042100.00%

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
VBRVanguard Small-Cap Value ETFSmall Value100.00%1.67%0.07%18.30$22,334100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/05/2021. (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 2
Arithmetic Mean (monthly)0.93%0.79%
Arithmetic Mean (annualized)11.78%9.93%
Geometric Mean (monthly)0.79%0.65%
Geometric Mean (annualized)9.87%8.14%
Volatility (monthly)5.35%5.22%
Volatility (annualized)18.53%18.08%
Downside Deviation (monthly)3.61%3.58%
Max. Drawdown-53.24%-55.89%
US Market Correlation0.940.94
Beta(*)1.221.20
Alpha (annualized)-0.66%-2.07%
R288.71%88.92%
Sharpe Ratio0.530.45
Sortino Ratio0.780.65
Treynor Ratio (%)8.086.86
Calmar Ratio0.740.34
Active Return0.86%-0.87%
Tracking Error7.00%6.63%
Information Ratio0.12-0.13
Skewness-0.56-0.54
Excess Kurtosis2.002.54
Historical Value-at-Risk (5%)-8.61%-8.16%
Analytical Value-at-Risk (5%)-7.87%-7.79%
Conditional Value-at-Risk (5%)-12.05%-12.06%
Upside Capture Ratio (%)122.88112.68
Downside Capture Ratio (%)123.71121.15
Safe Withdrawal Rate9.58%8.79%
Perpetual Withdrawal Rate7.14%5.65%
Positive Periods115 out of 180 (63.89%)116 out of 180 (64.44%)
Gain/Loss Ratio0.900.83
* 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 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-53.24%-53.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-53.24%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-25.01%
3Sep 2018Dec 20184 monthsJul 20197 months11 months-20.35%
4Aug 2015Jan 20166 monthsNov 201610 months1 year 4 months-17.29%
5Apr 2006Jul 20064 monthsJan 20076 months10 months-11.63%
6Jan 2005Apr 20054 monthsJun 20052 months6 months-9.45%
7Mar 2014Apr 20142 monthsJun 20142 months4 months-5.93%
8Jul 2014Sep 20143 monthsFeb 20155 months8 months-5.53%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-5.31%
10Aug 2005Oct 20053 monthsNov 20051 month4 months-4.13%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.89%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.99%
3Sep 2018Dec 20184 months-18.92%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.89%
5Jan 2005Apr 20054 monthsJun 20052 months6 months-8.32%
6Sep 2014Sep 20141 monthNov 20142 months3 months-5.54%
7Jul 2014Jul 20141 monthAug 20141 month2 months-4.79%
8Feb 2018Feb 20181 monthMay 20183 months4 months-4.74%
9Aug 2005Oct 20053 monthsJan 20063 months6 months-4.44%
10Aug 2013Aug 20131 monthSep 20131 month2 months-4.17%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBKVanguard Small-Cap Growth ETF9.87%18.53%42.79%-40.32%-53.24%0.530.780.94
VBRVanguard Small-Cap Value ETF8.14%18.08%36.55%-32.20%-55.89%0.450.650.94

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBKVBRPortfolio 1Portfolio 2
VBKVanguard Small-Cap Growth ETF1.000.941.000.94
VBRVanguard Small-Cap Value ETF0.941.000.941.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBKVanguard Small-Cap Growth ETF$31,042
VBRVanguard Small-Cap Value ETF$22,334

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBKVanguard Small-Cap Growth ETF100.00%
VBRVanguard Small-Cap Value ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.72%71.69%-43.98%9.83%77.06%-45.43%
3 years9.77%34.67%-17.05%8.56%31.70%-19.13%
5 years10.71%30.00%1.18%9.80%28.12%-1.39%
7 years11.33%18.57%5.66%10.44%19.05%3.32%
10 years10.64%18.57%6.50%9.69%17.57%5.89%