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 2011 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSBSX Vanguard Short-Term Treasury Idx Admiral 50.00%
VLGSX Vanguard Long-Term Treasury Idx Admiral 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VSBSX Vanguard Short-Term Treasury Idx Admiral 40.00%
VLGSX Vanguard Long-Term Treasury Idx Admiral 40.00%
VSIGX Vanguard Intmdt-Term Trs Idx Admiral 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VSIGX Vanguard Intmdt-Term Trs Idx Admiral 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$15,684 4.60% 6.22%15.17%-6.22%-8.15% 0.661.25-0.41
Portfolio 2$10,000$15,304 4.35% 5.59%14.07%-5.52%-7.11% 0.691.30-0.41
Portfolio 3$10,000$13,806 3.28% 3.39%9.66%-2.74%-4.32% 0.801.52-0.38
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-1.56%10.39%6.29%4.87%4.60%4.60%6.96%6.36%
Portfolio 2-1.35%9.84%6.05%4.61%4.35%4.35%6.24%5.74%
Portfolio 3-0.44%7.65%5.03%3.55%3.28%3.28%3.54%3.47%
Trailing annualized return and volatility are for full months ending in December 2020 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 Short-Term Treasury Idx Admiral (VSBSX)Vanguard Long-Term Treasury Idx Admiral (VLGSX)Vanguard Intmdt-Term Trs Idx Admiral (VSIGX)
ReturnBalanceReturnBalanceReturnBalance
20112.96%15.17%$11,51714.07%$11,4079.66%$10,9661.46%28.88%9.66%
20121.74%1.93%$11,7402.07%$11,6432.63%$11,2550.37%3.49%2.63%
20131.50%-6.22%$11,009-5.52%$11,000-2.74%$10,9470.30%-12.74%-2.74%
20140.76%12.76%$12,41511.06%$12,2164.22%$11,4080.50%25.03%4.22%
20150.73%-0.42%$12,363-0.00%$12,2161.65%$11,5970.51%-1.34%1.65%
20162.07%1.04%$12,4921.05%$12,3441.10%$11,7240.78%1.30%1.10%
20172.11%4.54%$13,0593.96%$12,8331.63%$11,9150.40%8.69%1.63%
20181.91%-0.10%$13,0460.18%$12,8561.30%$12,0691.46%-1.67%1.30%
20192.29%8.91%$14,2088.38%$13,9336.26%$12,8253.51%14.30%6.26%
20201.36%10.39%$15,6849.84%$15,3047.65%$13,8063.09%17.69%7.65%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard Short-Term Treasury Idx Admiral (VSBSX)Vanguard Long-Term Treasury Idx Admiral (VLGSX)Vanguard Intmdt-Term Trs Idx Admiral (VSIGX)
20111-1.04%-0.77%0.33%0.20%-2.29%0.33%
201120.61%0.41%-0.37%-0.10%1.34%-0.37%
20113-0.06%-0.09%-0.20%-0.09%-0.02%-0.20%
201141.27%1.33%1.60%0.46%2.08%1.60%
201151.77%1.78%1.81%0.35%3.18%1.81%
20116-0.98%-0.84%-0.25%0.00%-1.93%-0.25%
201172.19%2.20%2.27%0.25%4.10%2.27%
201184.55%4.13%2.50%0.35%8.53%2.50%
201195.31%4.39%0.71%-0.11%10.07%0.71%
201110-1.80%-1.52%-0.35%0.04%-3.28%-0.35%
2011110.97%0.85%0.34%0.04%1.74%0.34%
2011121.68%1.53%0.94%0.06%2.98%0.94%
201210.09%0.23%0.82%0.14%0.03%0.82%
20122-1.16%-1.07%-0.67%-0.16%-2.17%-0.67%
20123-1.86%-1.66%-0.87%-0.06%-3.69%-0.87%
201242.20%2.05%1.46%0.23%4.29%1.46%
201253.84%3.33%1.30%0.03%7.72%1.30%
20126-0.75%-0.65%-0.23%-0.07%-1.40%-0.23%
201271.79%1.61%0.93%0.23%3.27%0.93%
20128-0.51%-0.40%0.04%0.02%-1.01%0.04%
20129-1.04%-0.85%-0.06%-0.02%-2.00%-0.06%
201210-0.24%-0.26%-0.31%-0.05%-0.42%-0.31%
2012110.73%0.70%0.59%0.10%1.33%0.59%
201212-1.00%-0.88%-0.37%-0.02%-1.94%-0.37%
20131-1.55%-1.37%-0.66%0.02%-3.13%-0.66%
201320.65%0.66%0.70%0.07%1.24%0.70%
201330.04%0.07%0.19%0.02%0.06%0.19%
201341.89%1.65%0.70%0.07%3.75%0.70%
20135-3.11%-2.83%-1.70%-0.13%-6.05%-1.70%
20136-1.70%-1.67%-1.54%-0.08%-3.40%-1.54%
20137-0.79%-0.60%0.16%0.17%-1.82%0.16%
20138-0.66%-0.71%-0.92%-0.13%-1.25%-0.92%
201390.50%0.67%1.33%0.22%0.80%1.33%
2013100.68%0.65%0.53%0.12%1.31%0.53%
201311-1.09%-0.89%-0.12%0.07%-2.37%-0.12%
201312-1.16%-1.20%-1.39%-0.14%-2.30%-1.39%
201413.16%2.85%1.59%0.17%6.16%1.59%
201420.34%0.31%0.22%0.08%0.58%0.22%
201430.25%0.07%-0.63%-0.13%0.60%-0.63%
201441.06%0.96%0.55%0.13%1.92%0.55%
201451.49%1.40%1.01%0.13%2.74%1.01%
20146-0.10%-0.11%-0.15%-0.01%-0.17%-0.15%
201470.23%0.11%-0.38%-0.11%0.54%-0.38%
201482.33%2.06%0.97%0.18%4.23%0.97%
20149-1.09%-0.99%-0.60%-0.10%-1.93%-0.60%
2014101.49%1.41%1.06%0.28%2.55%1.06%
2014111.56%1.42%0.83%0.14%2.77%0.83%
2014121.42%1.09%-0.32%-0.24%2.79%-0.32%
201514.67%4.27%2.66%0.54%8.79%2.66%
20152-3.00%-2.70%-1.48%-0.25%-5.54%-1.48%
201530.65%0.68%0.76%0.20%1.10%0.76%
20154-1.46%-1.21%-0.19%0.09%-2.97%-0.19%
20155-1.04%-0.86%-0.15%0.05%-2.13%-0.15%
20156-1.80%-1.58%-0.72%0.00%-3.64%-0.72%
201572.03%1.78%0.83%0.06%4.11%0.83%
20158-0.38%-0.30%-0.00%-0.05%-0.72%-0.00%
201591.14%1.14%1.15%0.31%1.98%1.15%
201510-0.27%-0.31%-0.51%-0.09%-0.44%-0.51%
201511-0.54%-0.50%-0.36%-0.29%-0.79%-0.36%
201512-0.20%-0.22%-0.29%-0.06%-0.33%-0.29%
201612.92%2.80%2.33%0.59%5.26%2.33%
201621.50%1.35%0.77%0.11%2.82%0.77%
201630.07%0.10%0.21%0.16%-0.02%0.21%
20164-0.30%-0.27%-0.14%0.01%-0.60%-0.14%
201650.31%0.21%-0.23%-0.13%0.73%-0.23%
201663.64%3.33%2.06%0.61%6.46%2.06%
201671.04%0.86%0.13%-0.08%2.02%0.13%
20168-0.61%-0.64%-0.76%-0.17%-0.98%-0.76%
20169-0.64%-0.46%0.30%0.12%-1.30%0.30%
201610-2.22%-1.94%-0.77%-0.03%-4.15%-0.77%
201611-4.28%-3.95%-2.61%-0.47%-7.77%-2.61%
201612-0.15%-0.14%-0.09%0.06%-0.35%-0.09%
201710.35%0.34%0.30%0.10%0.61%0.30%
201720.84%0.76%0.41%0.08%1.60%0.41%
20173-0.28%-0.21%0.08%0.07%-0.63%0.08%
201740.87%0.85%0.78%0.14%1.59%0.78%
201750.95%0.86%0.50%0.09%1.79%0.50%
201760.32%0.18%-0.37%-0.06%0.68%-0.37%
20177-0.21%-0.09%0.41%0.19%-0.58%0.41%
201781.78%1.61%0.92%0.24%3.26%0.92%
20179-1.23%-1.17%-0.94%-0.19%-2.20%-0.94%
201710-0.09%-0.10%-0.14%-0.10%-0.08%-0.14%
2017110.26%0.14%-0.36%-0.19%0.69%-0.36%
2017120.92%0.74%0.03%0.03%1.75%0.03%
20181-1.80%-1.73%-1.43%-0.34%-3.26%-1.43%
20182-1.46%-1.26%-0.47%-0.04%-2.92%-0.47%
201831.44%1.28%0.69%0.18%2.77%0.69%
20184-1.09%-1.04%-0.83%-0.17%-2.04%-0.83%
201851.08%1.01%0.74%0.34%1.86%0.74%
201860.33%0.28%0.06%-0.00%0.67%0.06%
20187-0.67%-0.59%-0.30%0.01%-1.36%-0.30%
201880.77%0.76%0.71%0.32%1.25%0.71%
20189-1.41%-1.27%-0.71%-0.13%-2.74%-0.71%
201810-1.28%-1.03%-0.04%0.13%-2.78%-0.04%
2018111.04%1.01%0.91%0.37%1.76%0.91%
2018123.08%2.86%2.01%0.79%5.55%2.01%
201910.37%0.40%0.52%0.26%0.47%0.52%
20192-0.56%-0.50%-0.23%0.08%-1.21%-0.23%
201933.04%2.78%1.74%0.66%5.44%1.74%
20194-0.88%-0.73%-0.13%0.20%-1.93%-0.13%
201953.72%3.39%2.05%0.75%6.66%2.05%
201960.73%0.78%0.96%0.43%1.01%0.96%
201970.12%0.08%-0.09%-0.05%0.29%-0.09%
201985.91%5.23%2.48%0.78%10.64%2.48%
20199-1.44%-1.30%-0.71%-0.11%-2.56%-0.71%
201910-0.42%-0.29%0.27%0.33%-1.07%0.27%
201911-0.23%-0.26%-0.40%-0.03%-0.40%-0.40%
201912-1.51%-1.28%-0.31%0.17%-2.98%-0.31%
202013.95%3.59%2.15%0.56%7.34%2.15%
202023.82%3.49%2.14%0.89%6.57%2.14%
202033.55%3.38%2.66%1.20%5.64%2.66%
202041.01%0.87%0.30%0.16%1.73%0.30%
20205-0.89%-0.67%0.26%0.10%-1.72%0.26%
202060.22%0.21%0.16%0.04%0.38%0.16%
202072.32%1.96%0.45%0.08%4.22%0.45%
20208-2.68%-2.23%-0.35%-0.02%-4.84%-0.35%
202090.44%0.37%0.11%0.01%0.80%0.11%
202010-1.82%-1.59%-0.65%-0.04%-3.33%-0.65%
2020110.83%0.71%0.23%0.00%1.56%0.23%
202012-0.57%-0.46%-0.01%0.07%-1.12%-0.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%0.00%
Large-cap Growth0.00%0.00%0.00%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.23%
Emerging Markets0.38%0.39%0.78%
Corporate Bonds1.50%1.27%0.00%
Long-Term Treasuries40.98%31.50%0.00%
Intermediate-Term Treasuries10.41%22.30%55.77%
Short-Term Treasuries46.73%44.54%43.22%
R Squared99.62%99.67%98.25%
Style analysis is based on monthly returns from January 2011 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VSBSXVanguard Short-Term Treasury Idx AdmiralShort Government50.00%0.06%0.07%1.96$7884.91%
VLGSXVanguard Long-Term Treasury Idx AdmiralLong Government50.00%1.92%0.07%18.38$4,89695.09%
100.00%0.99%0.07%10.17$5,684100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VSBSXVanguard Short-Term Treasury Idx AdmiralShort Government40.00%0.06%0.07%1.96$6224.56%
VLGSXVanguard Long-Term Treasury Idx AdmiralLong Government40.00%1.92%0.07%18.38$3,88584.20%
VSIGXVanguard Intmdt-Term Trs Idx AdmiralIntermediate Government20.00%0.54%0.07%5.33$79711.24%
100.00%0.90%0.07%9.20$5,304100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VSIGXVanguard Intmdt-Term Trs Idx AdmiralIntermediate Government100.00%0.54%0.07%5.33$3,806100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

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 2Portfolio 3
Arithmetic Mean (monthly)0.39%0.37%0.27%
Arithmetic Mean (annualized)4.80%4.51%3.34%
Geometric Mean (monthly)0.38%0.36%0.27%
Geometric Mean (annualized)4.60%4.35%3.28%
Volatility (monthly)1.79%1.61%0.98%
Volatility (annualized)6.22%5.59%3.39%
Downside Deviation (monthly)0.92%0.82%0.49%
Max. Drawdown-8.15%-7.11%-4.32%
US Market Correlation-0.41-0.41-0.38
Beta(*)-0.18-0.16-0.09
Alpha (annualized)7.22%6.69%4.54%
R217.11%17.17%14.18%
Sharpe Ratio0.660.690.80
Sortino Ratio1.251.301.52
Treynor Ratio (%)-22.58-23.36-29.82
Calmar Ratio1.541.692.47
Active Return-9.05%-9.31%-10.38%
Tracking Error17.63%17.21%15.72%
Information Ratio-0.51-0.54-0.66
Skewness0.600.560.38
Excess Kurtosis0.660.570.43
Historical Value-at-Risk (5%)-1.82%-1.67%-0.96%
Analytical Value-at-Risk (5%)-2.49%-2.23%-1.34%
Conditional Value-at-Risk (5%)-2.86%-2.56%-1.69%
Upside Capture Ratio (%)-0.82-0.232.06
Downside Capture Ratio (%)-40.89-37.24-22.46
Safe Withdrawal Rate11.50%11.36%10.73%
Perpetual Withdrawal Rate2.74%2.50%1.49%
Positive Periods66 out of 120 (55.00%)66 out of 120 (55.00%)66 out of 120 (55.00%)
Gain/Loss Ratio1.471.511.75
* 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
1Aug 2012Dec 20131 year 5 monthsAug 20148 months2 years 1 month-8.15%
2Aug 2016Dec 20165 monthsMay 20192 years 5 months2 years 10 months-7.71%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-6.51%
4Aug 2020Oct 20203 months-4.03%
5Sep 2019Dec 20194 monthsJan 20201 month5 months-3.56%
6Feb 2012Mar 20122 monthsMay 20122 months4 months-3.00%
7Oct 2011Oct 20111 monthDec 20112 months3 months-1.80%
8Sep 2014Sep 20141 monthOct 20141 month2 months-1.09%
9Jan 2011Jan 20111 monthApr 20113 months4 months-1.04%
10Jun 2011Jun 20111 monthJul 20111 month2 months-0.98%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsAug 20148 months2 years 1 month-7.11%
2Aug 2016Dec 20165 monthsMay 20192 years 5 months2 years 10 months-6.97%
3Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-5.58%
4Aug 2020Oct 20203 months-3.43%
5Sep 2019Dec 20194 monthsJan 20201 month5 months-3.09%
6Feb 2012Mar 20122 monthsMay 20122 months4 months-2.71%
7Oct 2011Oct 20111 monthDec 20112 months3 months-1.52%
8Sep 2014Sep 20141 monthOct 20141 month2 months-0.99%
9Jun 2011Jun 20111 monthJul 20111 month2 months-0.84%
10Jan 2011Jan 20111 monthApr 20113 months4 months-0.77%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Apr 20181 year 9 monthsMar 201911 months2 years 8 months-4.32%
2May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-3.95%
3Feb 2015Jun 20155 monthsSep 20153 months8 months-1.77%
4Feb 2012Mar 20122 monthsMay 20122 months4 months-1.54%
5Oct 2015Dec 20153 monthsJan 20161 month4 months-1.16%
6Sep 2019Dec 20194 monthsJan 20201 month5 months-1.15%
7Dec 2012Jan 20132 monthsApr 20133 months5 months-1.03%
8Aug 2020Oct 20203 months-0.89%
9Feb 2011Mar 20112 monthsApr 20111 month3 months-0.57%
10Sep 2012Oct 20122 monthsNov 20121 month3 months-0.37%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSBSXVanguard Short-Term Treasury Idx Admiral1.23%0.88%3.51%0.30%-0.84%0.771.61-0.37
VLGSXVanguard Long-Term Treasury Idx Admiral7.66%11.58%28.88%-12.74%-16.23%0.651.21-0.41
VSIGXVanguard Intmdt-Term Trs Idx Admiral3.28%3.39%9.66%-2.74%-4.32%0.801.52-0.38

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSBSXVLGSXVSIGXPortfolio 1Portfolio 2Portfolio 3
VSBSXVanguard Short-Term Treasury Idx Admiral1.000.640.860.680.710.86
VLGSXVanguard Long-Term Treasury Idx Admiral0.641.000.871.001.000.87
VSIGXVanguard Intmdt-Term Trs Idx Admiral0.860.871.000.880.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSBSXVanguard Short-Term Treasury Idx Admiral$788$622
VLGSXVanguard Long-Term Treasury Idx Admiral$4,896$3,885
VSIGXVanguard Intmdt-Term Trs Idx Admiral$797$3,806

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSBSXVanguard Short-Term Treasury Idx Admiral4.91%4.56%
VLGSXVanguard Long-Term Treasury Idx Admiral95.09%84.20%
VSIGXVanguard Intmdt-Term Trs Idx Admiral11.24%100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year4.84%20.62%-6.67%4.51%18.88%-5.99%3.20%12.03%-3.21%
3 years3.35%8.25%-0.44%3.13%7.62%-0.33%2.19%5.15%-0.01%
5 years3.34%5.70%1.35%3.12%5.26%1.20%2.20%3.76%0.55%
7 years3.35%5.50%1.51%3.13%5.09%1.44%2.18%3.47%1.10%