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 2011 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSEAX JPMorgan Small Cap Equity A 100.00%
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Portfolio 2
Ticker Name Allocation
VRTIX Vanguard Russell 2000 Index I 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$281,217 12.17% 13.66%35.77%-9.24%-20.53% 0.871.370.94
Portfolio 2$100,000$242,484 10.34% 16.08%38.94%-10.92%-25.09% 0.661.010.91
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 17.23%28.10%10.26%9.88%12.17%
Portfolio 29.97%25.61%8.70%8.32%10.34%
Trailing returns 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
YearInflationReturnBalanceJPMorgan Small Cap Equity A (VSEAX)Vanguard Russell 2000 Index I (VRTIX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20112.96%2.61%-4.20%$102,609$95,7992.61%-4.20%
20121.74%17.77%16.34%$120,840$111,45617.77%16.34%
20131.50%35.77%38.94%$164,063$154,85235.77%38.94%
20140.76%7.00%5.00%$175,539$162,5897.00%5.00%
20150.73%-1.85%-4.35%$172,300$155,520-1.85%-4.35%
20162.07%21.77%21.41%$209,813$188,81721.77%21.41%
20172.11%15.28%14.78%$241,883$216,72415.28%14.78%
20181.91%-9.24%-10.92%$219,535$193,052-9.24%-10.92%
20192.29%28.10%25.61%$281,217$242,48428.10%25.61%
Monthly returns for the configured portfolios
YearMonthReturnBalanceJPMorgan Small Cap Equity A (VSEAX)Vanguard Russell 2000 Index I (VRTIX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201110.44%-0.28%$100,444$99,7200.44%-0.28%
201124.12%5.50%$104,587$105,2074.12%5.50%
201133.11%2.59%$107,843$107,9293.11%2.59%
201143.32%2.64%$111,423$110,7783.32%2.64%
20115-0.37%-1.88%$111,009$108,701-0.37%-1.88%
20116-2.11%-2.30%$108,671$106,199-2.11%-2.30%
20117-3.10%-3.61%$105,297$102,366-3.10%-3.61%
20118-6.66%-8.70%$98,284$93,462-6.66%-8.70%
20119-9.91%-11.21%$88,547$82,988-9.91%-11.21%
20111013.44%15.11%$100,444$95,53113.44%15.11%
2011111.71%-0.36%$102,160$95,1831.71%-0.36%
2011120.44%0.65%$102,609$95,7990.44%0.65%
201215.98%7.06%$108,746$102,5625.98%7.06%
201223.43%2.37%$112,472$104,9943.43%2.37%
201233.26%2.58%$116,136$107,7073.26%2.58%
20124-0.59%-1.55%$115,447$106,038-0.59%-1.55%
20125-4.83%-6.61%$109,873$99,026-4.83%-6.61%
201262.65%5.00%$112,785$103,9752.65%5.00%
20127-0.81%-1.38%$111,877$102,545-0.81%-1.38%
201282.83%3.33%$115,040$105,9612.83%3.33%
201292.97%3.29%$118,453$109,4452.97%3.29%
201210-1.08%-2.18%$117,169$107,057-1.08%-2.18%
2012111.23%0.54%$118,609$107,6301.23%0.54%
2012121.88%3.55%$120,840$111,4561.88%3.55%
201315.93%6.26%$128,001$118,4335.93%6.26%
201322.28%1.11%$130,921$119,7462.28%1.11%
201335.07%4.63%$137,561$125,2875.07%4.63%
20134-0.23%-0.37%$137,248$124,826-0.23%-0.37%
201351.80%4.01%$139,716$129,8371.80%4.01%
20136-0.62%-0.51%$138,847$129,176-0.62%-0.51%
201375.78%7.01%$146,878$138,2315.78%7.01%
20138-2.77%-3.17%$142,810$133,855-2.77%-3.17%
201394.77%6.39%$149,624$142,4154.77%6.39%
2013103.76%2.52%$155,256$146,0083.76%2.52%
2013113.31%4.00%$160,401$151,8533.31%4.00%
2013122.28%1.98%$164,063$154,8522.28%1.98%
20141-2.76%-2.78%$159,541$150,552-2.76%-2.78%
201425.12%4.71%$167,702$157,6405.12%4.71%
20143-0.04%-0.66%$167,629$156,593-0.04%-0.66%
20144-2.57%-3.87%$163,328$150,526-2.57%-3.87%
201450.41%0.82%$163,990$151,7570.41%0.82%
201464.37%5.34%$171,158$159,8564.37%5.34%
20147-5.50%-6.04%$161,747$150,200-5.50%-6.04%
201484.05%4.96%$168,291$157,6574.05%4.96%
20149-3.91%-6.03%$161,710$148,152-3.91%-6.03%
2014105.91%6.59%$171,268$157,9125.91%6.59%
2014110.86%0.10%$172,739$158,0710.86%0.10%
2014121.62%2.86%$175,539$162,5891.62%2.86%
20151-1.88%-3.22%$172,245$157,358-1.88%-3.22%
201526.12%5.94%$182,787$166,7086.12%5.94%
201531.33%1.75%$185,216$169,6261.33%1.75%
20154-2.45%-2.54%$180,687$165,311-2.45%-2.54%
201551.46%2.29%$183,322$169,0931.46%2.29%
201560.36%0.76%$183,981$170,3740.36%0.76%
201570.22%-1.16%$184,393$168,3990.22%-1.16%
20158-5.76%-6.28%$173,769$157,829-5.76%-6.28%
20159-3.55%-4.91%$167,592$150,083-3.55%-4.91%
2015105.14%5.63%$176,198$158,5355.14%5.63%
2015111.43%3.26%$178,710$163,7071.43%3.26%
201512-3.59%-5.00%$172,300$155,520-3.59%-5.00%
20161-4.92%-8.77%$163,821$141,884-4.92%-8.77%
201621.20%0.01%$165,785$141,8931.20%0.01%
201637.78%7.99%$178,682$153,2367.78%7.99%
201641.50%1.56%$181,359$155,6291.50%1.56%
201651.48%2.26%$184,037$159,1511.48%2.26%
201661.07%-0.06%$186,000$159,0591.07%-0.06%
201674.29%5.97%$193,988$168,5554.29%5.97%
201681.54%1.77%$196,978$171,5461.54%1.77%
20169-0.57%1.12%$195,863$173,460-0.57%1.12%
201610-2.98%-4.74%$190,017$165,233-2.98%-4.74%
2016118.15%11.16%$205,502$183,6798.15%11.16%
2016122.10%2.80%$209,813$188,8172.10%2.80%
201711.01%0.40%$211,927$189,5761.01%0.40%
201722.41%1.94%$217,027$193,2612.41%1.94%
201730.19%0.15%$217,441$193,5540.19%0.15%
201741.84%1.10%$221,439$195,6891.84%1.10%
20175-0.77%-2.02%$219,739$191,740-0.77%-2.02%
201761.69%3.45%$223,461$198,3481.69%3.45%
20177-0.37%0.75%$222,633$199,828-0.37%0.75%
20178-1.51%-1.25%$219,279$197,327-1.51%-1.25%
201795.89%6.25%$232,191$209,6555.89%6.25%
2017101.35%0.87%$235,316$211,4721.35%0.87%
2017112.44%2.90%$241,060$217,6072.44%2.90%
2017120.34%-0.41%$241,883$216,7240.34%-0.41%
201813.46%2.62%$250,264$222,4033.46%2.62%
20182-4.03%-3.86%$240,177$213,814-4.03%-3.86%
201830.89%1.31%$242,321$216,6090.89%1.31%
201840.14%0.87%$242,663$218,4930.14%0.87%
201853.92%6.09%$252,164$231,7913.92%6.09%
201861.31%0.71%$255,478$233,4391.31%0.71%
201872.23%1.74%$261,179$237,5092.23%1.74%
201883.71%4.34%$270,876$247,8083.71%4.34%
20189-0.94%-2.40%$268,342$241,853-0.94%-2.40%
201810-9.62%-10.85%$242,516$215,604-9.62%-10.85%
2018112.71%1.60%$249,095$219,0432.71%1.60%
201812-11.87%-11.87%$219,535$193,052-11.87%-11.87%
201919.47%11.25%$240,318$214,7739.47%11.25%
201924.32%5.20%$250,710$225,9384.32%5.20%
20193-0.61%-2.08%$249,188$221,228-0.61%-2.08%
201945.29%3.41%$262,361$228,7655.29%3.41%
20195-6.54%-7.76%$245,199$211,003-6.54%-7.76%
201967.13%7.07%$262,676$225,9177.13%7.07%
201972.08%0.57%$268,134$227,2002.08%0.57%
20198-3.68%-4.92%$258,267$216,023-3.68%-4.92%
201991.54%2.08%$262,256$220,5091.54%2.08%
2019101.34%2.65%$265,772$226,3421.34%2.65%
2019113.22%4.13%$274,327$235,6893.22%4.13%
2019122.51%2.88%$281,217$242,4842.51%2.88%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value7.02%0.00%
Large-cap Growth3.24%0.00%
Mid-cap Value16.76%0.00%
Mid-cap Growth24.88%11.96%
Small-cap Value9.62%40.61%
Small-cap Growth34.79%45.81%
Global ex-US Developed Markets0.00%0.13%
Emerging Markets0.00%1.48%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.60%0.00%
Intermediate-Term Treasuries3.09%0.00%
Short-Term Treasuries0.00%0.00%
R Squared97.74%97.99%
Style analysis is based on monthly returns from Jan 2011 to Dec 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VSEAXJPMorgan Small Cap Equity ASmall Blend100.00%1.25%24.80$181,217100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VRTIXVanguard Russell 2000 Index ISmall Blend100.00%0.08%16.87$142,484100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/28/2020. (c) 2020 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)1.04%0.93%
Arithmetic Mean (annualized)13.21%11.76%
Geometric Mean (monthly)0.96%0.82%
Geometric Mean (annualized)12.17%10.34%
Volatility (monthly)3.94%4.64%
Volatility (annualized)13.66%16.08%
Downside Deviation (monthly)2.48%2.99%
Max. Drawdown-20.53%-25.09%
US Market Correlation0.940.91
Beta(*)1.071.23
Alpha (annualized)-1.30%-4.66%
R287.82%83.69%
Sharpe Ratio0.870.66
Sortino Ratio1.371.01
Treynor Ratio (%)11.108.60
Calmar Ratio0.540.39
Active Return-0.71%-2.54%
Tracking Error4.84%7.04%
Information Ratio-0.15-0.36
Skewness-0.44-0.29
Excess Kurtosis1.540.91
Historical Value-at-Risk (5%)-6.19%-8.28%
Analytical Value-at-Risk (5%)-5.44%-6.70%
Conditional Value-at-Risk (5%)-8.92%-10.28%
Upside Capture Ratio (%)97.98105.37
Downside Capture Ratio (%)101.88129.09
Safe Withdrawal Rate17.59%16.04%
Perpetual Withdrawal Rate9.26%7.75%
Positive Periods73 out of 108 (67.59%)70 out of 108 (64.81%)
Gain/Loss Ratio0.950.91
* 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 monthsFeb 20125 months10 months-20.53%
2Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-18.95%
3Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-11.55%
4Jul 2014Sep 20143 monthsOct 20141 month4 months-5.52%
5Apr 2012May 20122 monthsSep 20124 months6 months-5.39%
6Feb 2018Feb 20181 monthMay 20183 months4 months-4.03%
7Sep 2016Oct 20162 monthsNov 20161 month3 months-3.53%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.77%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.76%
10Mar 2014Apr 20142 monthsJun 20142 months4 months-2.61%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-25.09%
2Sep 2018Dec 20184 months-22.10%
3Jul 2015Jan 20167 monthsAug 20167 months1 year 2 months-16.72%
4Jul 2014Sep 20143 monthsDec 20143 months6 months-7.32%
5Oct 2016Oct 20161 monthNov 20161 month2 months-4.74%
6Mar 2014Apr 20142 monthsJun 20142 months4 months-4.51%
7Feb 2018Feb 20181 monthMay 20183 months4 months-3.86%
8Jan 2015Jan 20151 monthFeb 20151 month2 months-3.22%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.17%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.78%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSEAXJPMorgan Small Cap Equity A12.17%13.66%35.77%-9.24%-20.53%0.871.370.94
VRTIXVanguard Russell 2000 Index I10.34%16.08%38.94%-10.92%-25.09%0.661.010.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSEAXVRTIXPortfolio 1Portfolio 2
VSEAXJPMorgan Small Cap Equity A1.000.981.000.98
VRTIXVanguard Russell 2000 Index I0.981.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VSEAXJPMorgan Small Cap Equity A$181,217
VRTIXVanguard Russell 2000 Index I$142,484

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VSEAXJPMorgan Small Cap Equity A100.00%
VRTIXVanguard Russell 2000 Index I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year13.02%35.77%-9.24%11.40%38.94%-10.92%
3 years12.66%19.60%8.41%11.40%19.28%6.83%
5 years11.53%15.38%6.00%10.16%14.53%4.51%
7 years12.58%13.45%11.48%11.32%11.74%10.53%
Result statistics are based on annualized rolling returns over full calendar year periods