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 2008 - Dec 2020)

Portfolio Allocations

Small Cap Value
Ticker Name Allocation
VISVX Vanguard Small Cap Value Index Inv 100.00%
Save portfolio »
Mega Cap Growth
Ticker Name Allocation
VMGAX Vanguard Mega Cap Growth Index Instl 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Small Cap Value$10,000$28,487 8.39% 21.20%36.41%-32.05%-50.00% 0.460.650.94
Mega Cap Growth$10,000$48,283 12.88% 16.52%41.03%-36.42%-43.80% 0.781.220.97
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Small Cap Value29.31%5.72%5.72%4.35%9.60%9.93%8.39%25.81%21.31%
Mega Cap Growth10.01%41.03%41.03%23.52%21.03%17.23%12.88%20.12%16.48%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationSmall Cap ValueMega Cap GrowthVanguard Small Cap Value Index Inv (VISVX)Vanguard Mega Cap Growth Index Instl (VMGAX)
ReturnBalanceReturnBalance
20080.09%-32.05%$6,795-36.42%$6,358-32.05%-36.42%
20092.72%30.34%$8,85635.10%$8,58930.34%35.10%
20101.50%24.82%$11,05314.69%$9,85124.82%14.69%
20112.96%-4.16%$10,5933.07%$10,153-4.16%3.07%
20121.74%18.56%$12,56017.25%$11,90518.56%17.25%
20131.50%36.41%$17,13332.48%$15,77136.41%32.48%
20140.76%10.39%$18,91313.67%$17,92710.39%13.67%
20150.73%-4.78%$18,0103.72%$18,594-4.78%3.72%
20162.07%24.65%$22,4496.42%$19,78724.65%6.42%
20172.11%11.67%$25,06929.49%$25,62211.67%29.49%
20181.91%-12.34%$21,975-2.85%$24,891-12.34%-2.85%
20192.29%22.61%$26,94437.54%$34,23522.61%37.54%
20201.36%5.72%$28,48741.03%$48,2835.72%41.03%
Monthly returns for the configured portfolios
YearMonthSmall Cap ValueMega Cap GrowthVanguard Small Cap Value Index Inv (VISVX)Vanguard Mega Cap Growth Index Instl (VMGAX)
ReturnBalanceReturnBalance
20081-3.62%$9,638-7.64%$9,236-3.62%-7.64%
20082-3.15%$9,335-1.58%$9,090-3.15%-1.58%
200830.14%$9,348-0.31%$9,0620.14%-0.31%
200844.42%$9,7625.37%$9,5484.42%5.37%
200854.17%$10,1693.41%$9,8744.17%3.41%
20086-11.56%$8,993-7.00%$9,183-11.56%-7.00%
200874.02%$9,355-0.85%$9,1054.02%-0.85%
200883.87%$9,7161.38%$9,2303.87%1.38%
20089-6.05%$9,128-10.30%$8,279-6.05%-10.30%
200810-21.09%$7,203-16.98%$6,874-21.09%-16.98%
200811-10.49%$6,447-8.22%$6,308-10.49%-8.22%
2008125.38%$6,7950.78%$6,3585.38%0.78%
20091-13.03%$5,909-4.63%$6,064-13.03%-4.63%
20092-13.96%$5,084-7.31%$5,620-13.96%-7.31%
200939.39%$5,5628.22%$6,0829.39%8.22%
2009419.76%$6,6618.62%$6,60619.76%8.62%
200953.50%$6,8944.38%$6,8963.50%4.38%
20096-0.10%$6,8871.67%$7,011-0.10%1.67%
2009710.64%$7,6207.09%$7,50810.64%7.09%
200986.12%$8,0861.73%$7,6386.12%1.73%
200995.52%$8,5324.15%$7,9555.52%4.15%
200910-6.32%$7,993-0.88%$7,885-6.32%-0.88%
2009113.67%$8,2866.18%$8,3723.67%6.18%
2009126.88%$8,8562.59%$8,5896.88%2.59%
20101-3.06%$8,584-4.53%$8,200-3.06%-4.53%
201025.21%$9,0323.40%$8,4795.21%3.40%
201038.00%$9,7555.69%$8,9618.00%5.69%
201046.19%$10,3591.18%$9,0676.19%1.18%
20105-7.99%$9,531-8.52%$8,294-7.99%-8.52%
20106-8.04%$8,764-5.58%$7,832-8.04%-5.58%
201077.43%$9,4167.50%$8,4197.43%7.50%
20108-6.70%$8,785-4.90%$8,007-6.70%-4.90%
2010910.42%$9,70110.50%$8,84810.42%10.50%
2010103.57%$10,0465.27%$9,3153.57%5.27%
2010112.30%$10,2770.29%$9,3422.30%0.29%
2010127.55%$11,0535.45%$9,8517.55%5.45%
201110.62%$11,1231.82%$10,0300.62%1.82%
201124.66%$11,6402.38%$10,2684.66%2.38%
201131.50%$11,814-0.10%$10,2581.50%-0.10%
201142.40%$12,0973.21%$10,5872.40%3.21%
20115-2.11%$11,842-0.79%$10,504-2.11%-0.79%
20116-2.10%$11,593-1.31%$10,366-2.10%-1.31%
20117-3.45%$11,193-0.15%$10,350-3.45%-0.15%
20118-8.08%$10,288-5.17%$9,815-8.08%-5.17%
20119-10.60%$9,197-6.87%$9,141-10.60%-6.87%
20111014.34%$10,51611.34%$10,17714.34%11.34%
201111-0.26%$10,4890.13%$10,190-0.26%0.13%
2011121.00%$10,593-0.36%$10,1531.00%-0.36%
201216.85%$11,3195.90%$10,7526.85%5.90%
201222.49%$11,6014.85%$11,2742.49%4.85%
201232.35%$11,8733.70%$11,6912.35%3.70%
20124-0.89%$11,767-0.25%$11,662-0.89%-0.25%
20125-6.29%$11,028-6.12%$10,949-6.29%-6.12%
201264.28%$11,5003.28%$11,3084.28%3.28%
20127-0.43%$11,4501.70%$11,500-0.43%1.70%
201282.95%$11,7893.27%$11,8752.95%3.27%
201292.87%$12,1272.01%$12,1152.87%2.01%
201210-0.58%$12,056-3.24%$11,722-0.58%-3.24%
2012110.82%$12,1552.00%$11,9560.82%2.00%
2012123.33%$12,560-0.43%$11,9053.33%-0.43%
201316.49%$13,3763.91%$12,3706.49%3.91%
201321.78%$13,6140.93%$12,4861.78%0.93%
201334.53%$14,2303.56%$12,9314.53%3.56%
20134-0.05%$14,2231.76%$13,159-0.05%1.76%
201353.05%$14,6561.66%$13,3783.05%1.66%
20136-1.13%$14,490-2.28%$13,073-1.13%-2.28%
201376.68%$15,4585.26%$13,7606.68%5.26%
20138-4.20%$14,808-1.57%$13,544-4.20%-1.57%
201395.31%$15,5954.74%$14,1865.31%4.74%
2013103.89%$16,2014.81%$14,8683.89%4.81%
2013112.99%$16,6852.66%$15,2642.99%2.66%
2013122.68%$17,1333.32%$15,7712.68%3.32%
20141-2.83%$16,648-3.31%$15,249-2.83%-3.31%
201425.03%$17,4855.28%$16,0545.03%5.28%
201431.32%$17,716-1.55%$15,8051.32%-1.55%
20144-1.16%$17,5100.59%$15,898-1.16%0.59%
201451.59%$17,7893.60%$16,4701.59%3.60%
201464.29%$18,5532.10%$16,8164.29%2.10%
20147-4.71%$17,679-1.31%$16,596-4.71%-1.31%
201485.15%$18,5904.51%$17,3455.15%4.51%
20149-5.65%$17,539-1.50%$17,086-5.65%-1.50%
2014104.94%$18,4062.93%$17,5864.94%2.93%
2014111.04%$18,5973.11%$18,1341.04%3.11%
2014121.70%$18,913-1.14%$17,9271.70%-1.14%
20151-3.31%$18,286-1.44%$17,669-3.31%-1.44%
201525.71%$19,3316.30%$18,7835.71%6.30%
201531.22%$19,567-1.87%$18,4311.22%-1.87%
20154-1.26%$19,3210.13%$18,455-1.26%0.13%
201551.35%$19,5821.56%$18,7431.35%1.56%
20156-1.45%$19,298-1.71%$18,422-1.45%-1.71%
20157-1.01%$19,1043.46%$19,060-1.01%3.46%
20158-4.81%$18,186-6.52%$17,816-4.81%-6.52%
20159-3.58%$17,534-2.67%$17,341-3.58%-2.67%
2015106.59%$18,6899.72%$19,0266.59%9.72%
2015111.33%$18,9380.14%$19,0531.33%0.14%
201512-4.90%$18,010-2.41%$18,594-4.90%-2.41%
20161-6.46%$16,846-5.49%$17,573-6.46%-5.49%
201621.58%$17,113-0.70%$17,4501.58%-0.70%
201638.91%$18,6366.97%$18,6668.91%6.97%
201642.05%$19,018-0.81%$18,5152.05%-0.81%
201651.44%$19,2922.30%$18,9421.44%2.30%
201660.08%$19,307-0.69%$18,8120.08%-0.69%
201674.68%$20,2104.71%$19,6984.68%4.71%
201680.72%$20,355-0.26%$19,6470.72%-0.26%
201690.31%$20,4180.78%$19,8010.31%0.78%
201610-3.01%$19,802-2.24%$19,357-3.01%-2.24%
20161110.26%$21,8330.97%$19,54510.26%0.97%
2016122.82%$22,4491.24%$19,7872.82%1.24%
201710.66%$22,5963.72%$20,5230.66%3.72%
201722.06%$23,0604.71%$21,4912.06%4.71%
20173-0.78%$22,8801.50%$21,813-0.78%1.50%
201740.44%$22,9812.41%$22,3390.44%2.41%
20175-2.37%$22,4372.99%$23,007-2.37%2.99%
201762.40%$22,975-0.56%$22,8792.40%-0.56%
201770.95%$23,1932.66%$23,4870.95%2.66%
20178-1.44%$22,8581.38%$23,812-1.44%1.38%
201794.91%$23,9810.96%$24,0404.91%0.96%
2017100.85%$24,1853.00%$24,7630.85%3.00%
2017113.14%$24,9442.55%$25,3943.14%2.55%
2017120.50%$25,0690.90%$25,6220.50%0.90%
201811.98%$25,5657.40%$27,5191.98%7.40%
20182-4.78%$24,344-2.75%$26,763-4.78%-2.75%
201830.82%$24,543-3.16%$25,9170.82%-3.16%
201840.35%$24,6300.42%$26,0250.35%0.42%
201854.50%$25,7384.62%$27,2264.50%4.62%
201860.34%$25,8261.29%$27,5770.34%1.29%
201872.52%$26,4762.57%$28,2872.52%2.57%
201882.40%$27,1114.71%$29,6182.40%4.71%
20189-1.74%$26,6410.60%$29,796-1.74%0.60%
201810-9.01%$24,239-8.78%$27,180-9.01%-8.78%
2018112.37%$24,8140.10%$27,2082.37%0.10%
201812-11.44%$21,975-8.52%$24,891-11.44%-8.52%
2019111.19%$24,4348.91%$27,10811.19%8.91%
201923.95%$25,3983.37%$28,0213.95%3.37%
20193-1.95%$24,9023.37%$28,966-1.95%3.37%
201943.92%$25,8794.77%$30,3493.92%4.77%
20195-8.08%$23,789-6.65%$28,330-8.08%-6.65%
201966.76%$25,3966.82%$30,2626.76%6.82%
201970.77%$25,5912.36%$30,9770.77%2.36%
20198-5.42%$24,203-0.24%$30,902-5.42%-0.24%
201993.91%$25,1500.30%$30,9963.91%0.30%
2019101.68%$25,5742.66%$31,8201.68%2.66%
2019112.52%$26,2174.10%$33,1252.52%4.10%
2019122.77%$26,9443.35%$34,2352.77%3.35%
20201-3.41%$26,0263.47%$35,422-3.41%3.47%
20202-10.21%$23,369-6.42%$33,147-10.21%-6.42%
20203-24.93%$17,542-9.65%$29,948-24.93%-9.65%
2020412.95%$19,81314.96%$34,42812.95%14.96%
202054.73%$20,7516.49%$36,6644.73%6.49%
202062.07%$21,1825.21%$38,5752.07%5.21%
202073.32%$21,8847.70%$41,5463.32%7.70%
202084.61%$22,89311.47%$46,3134.61%11.47%
20209-3.77%$22,029-5.23%$43,889-3.77%-5.23%
2020103.02%$22,694-3.73%$42,2523.02%-3.73%
20201117.69%$26,7079.84%$46,41017.69%9.84%
2020126.66%$28,4874.03%$48,2836.66%4.03%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategorySmall Cap ValueMega Cap Growth
Large-cap Value10.47%0.00%
Large-cap Growth0.00%98.80%
Mid-cap Value33.23%0.00%
Mid-cap Growth1.50%0.00%
Small-cap Value51.15%0.73%
Small-cap Growth1.12%0.00%
Global ex-US Developed Markets1.35%0.00%
Emerging Markets1.17%0.47%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.66%98.28%
Style analysis is based on monthly returns from January 2008 to December 2020 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 Small Cap Value

Holdings Based Style Analysis for Small Cap Value
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VISVXVanguard Small Cap Value Index InvSmall Value100.00%1.37%1.54%0.19%0.19%13.90$18,487100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Mega Cap Growth

Holdings Based Style Analysis for Mega Cap Growth
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VMGAXVanguard Mega Cap Growth Index InstlLarge Growth100.00%0.38%0.49%0.06%0.06%36.68$38,283100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/03/2021. (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
MetricSmall Cap ValueMega Cap Growth
Arithmetic Mean (monthly)0.87%1.13%
Arithmetic Mean (annualized)10.89%14.41%
Geometric Mean (monthly)0.67%1.01%
Geometric Mean (annualized)8.39%12.88%
Standard Deviation (monthly)6.12%4.77%
Standard Deviation (annualized)21.20%16.52%
Downside Deviation (monthly)4.30%3.03%
Max. Drawdown-50.00%-43.80%
US Market Correlation0.940.97
Beta(*)1.210.96
Alpha (annualized)-2.76%3.07%
R289.14%93.26%
Sharpe Ratio0.460.78
Sortino Ratio0.651.22
Treynor Ratio (%)8.0913.43
Calmar Ratio0.121.43
Active Return-1.52%2.97%
Tracking Error7.80%4.33%
Information Ratio-0.190.69
Skewness-0.71-0.45
Excess Kurtosis2.901.11
Historical Value-at-Risk (5%)-10.28%-7.39%
Analytical Value-at-Risk (5%)-9.20%-6.72%
Conditional Value-at-Risk (5%)-14.64%-9.83%
Upside Capture Ratio (%)111.30105.05
Downside Capture Ratio (%)120.6092.20
Safe Withdrawal Rate10.26%10.13%
Perpetual Withdrawal Rate6.20%9.93%
Positive Periods102 out of 156 (65.38%)100 out of 156 (64.10%)
Gain/Loss Ratio0.781.03
* 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 PeriodStartEndSmall Cap ValueMega Cap Growth
COVID-19 StartJan 2020Mar 2020-34.89%-15.45%

Drawdowns for Small Cap Value

Drawdowns for Small Cap Value (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsApr 20101 year 2 months1 year 11 months-50.00%
2Sep 2018Mar 20201 year 7 monthsDec 20209 months2 years 4 months-35.29%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
4May 2010Jun 20102 monthsDec 20106 months8 months-15.39%
5Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
6Jan 2008Feb 20082 monthsMay 20083 months5 months-6.65%
7Sep 2014Sep 20141 monthNov 20142 months3 months-5.65%
8Feb 2018Feb 20181 monthMay 20183 months4 months-4.78%
9Jul 2014Jul 20141 monthAug 20141 month2 months-4.71%
10Aug 2013Aug 20131 monthSep 20131 month2 months-4.20%
Worst 10 drawdowns included above

Drawdowns for Mega Cap Growth

Drawdowns for Mega Cap Growth (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsJan 20111 year 11 months3 years 1 month-43.80%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-16.46%
3Feb 2020Mar 20202 monthsMay 20202 months4 months-15.45%
4May 2011Sep 20115 monthsJan 20124 months9 months-13.66%
5Aug 2015Sep 20152 monthsJul 201610 months1 year-9.02%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-8.77%
7May 2019May 20191 monthJul 20192 months3 months-6.65%
8Apr 2012May 20122 monthsAug 20123 months5 months-6.35%
9Feb 2018Mar 20182 monthsJun 20183 months5 months-5.82%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.31%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VISVXVanguard Small Cap Value Index Inv8.39%21.20%36.41%-32.05%-50.00%0.460.650.94
VMGAXVanguard Mega Cap Growth Index Instl12.88%16.52%41.03%-36.42%-43.80%0.781.220.97

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
Vanguard Small Cap Value Index Inv29.31%5.72%5.72%4.35%9.60%9.93%0.19%0.19%
Vanguard Mega Cap Growth Index Instl10.01%41.03%41.03%23.52%21.03%17.23%0.06%0.06%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameVISVXVMGAXSmall Cap ValueMega Cap Growth
VISVXVanguard Small Cap Value Index Inv1.000.851.000.85
VMGAXVanguard Mega Cap Growth Index Instl0.851.000.851.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameSmall Cap ValueMega Cap Growth
VISVXVanguard Small Cap Value Index Inv$18,487
VMGAXVanguard Mega Cap Growth Index Instl$38,283

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameSmall Cap ValueMega Cap Growth
VISVXVanguard Small Cap Value Index Inv100.00%
VMGAXVanguard Mega Cap Growth Index Instl100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodSmall Cap ValueMega Cap Growth
AverageHighLowAverageHighLow
1 year9.69%77.65%-45.54%14.51%50.86%-38.17%
3 years11.34%31.65%-8.47%14.75%26.12%-0.50%
5 years11.82%28.02%-2.16%14.56%23.36%3.55%
7 years11.79%18.93%3.03%14.63%19.20%8.70%
10 years11.18%17.45%6.04%14.67%19.19%9.87%