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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

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Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

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Enter percentage allocation for asset 6 in portfolio 1 %

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2013 - Dec 2020)

Note: The time period was constrained by the available data for Vanguard Shrt-Term Infl-Prot Sec Idx Adm (VTAPX) [Nov 2012 - Feb 2021]. You can extend the backtesting period by using Vanguard Short-Term Infl-Prot Secs ETF (VTIP), which is the oldest share class of the fund.

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
VTAPX	Vanguard Shrt-Term Infl-Prot Sec Idx Adm	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$11,130	1.35%	1.74%	4.97%	-1.54%	-3.36%	0.37	0.55	0.39

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Portfolio 1	1.32%	4.97%	3.43%	2.76%	1.35%	1.78%	1.64%
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
Year	Inflation	Portfolio 1 Return	Portfolio 1 Balance	Vanguard Shrt-Term Infl-Prot Sec Idx Adm (VTAPX)
2013	1.50%	-1.54%	$9,846	-1.54%
2014	0.76%	-1.18%	$9,730	-1.18%
2015	0.73%	-0.17%	$9,714	-0.17%
2016	2.07%	2.72%	$9,978	2.72%
2017	2.11%	0.82%	$10,060	0.82%
2018	1.91%	0.53%	$10,113	0.53%
2019	2.29%	4.85%	$10,603	4.85%
2020	1.36%	4.97%	$11,130	4.97%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Vanguard Shrt-Term Infl-Prot Sec Idx Adm (VTAPX)
2013	1	0.24%	0.24%
2013	2	0.04%	0.04%
2013	3	0.24%	0.24%
2013	4	-0.48%	-0.48%
2013	5	-1.00%	-1.00%
2013	6	-0.97%	-0.97%
2013	7	0.69%	0.69%
2013	8	-0.52%	-0.52%
2013	9	0.45%	0.45%
2013	10	0.20%	0.20%
2013	11	-0.04%	-0.04%
2013	12	-0.39%	-0.39%
2014	1	0.32%	0.32%
2014	2	0.24%	0.24%
2014	3	-0.40%	-0.40%
2014	4	0.53%	0.53%
2014	5	0.72%	0.72%
2014	6	0.28%	0.28%
2014	7	-0.28%	-0.28%
2014	8	-0.16%	-0.16%
2014	9	-0.96%	-0.96%
2014	10	0.00%	0.00%
2014	11	-0.20%	-0.20%
2014	12	-1.26%	-1.26%
2015	1	0.87%	0.87%
2015	2	-0.20%	-0.20%
2015	3	-0.33%	-0.33%
2015	4	0.66%	0.66%
2015	5	-0.08%	-0.08%
2015	6	-0.04%	-0.04%
2015	7	-0.29%	-0.29%
2015	8	-0.33%	-0.33%
2015	9	0.00%	0.00%
2015	10	0.00%	0.00%
2015	11	-0.16%	-0.16%
2015	12	-0.25%	-0.25%
2016	1	0.58%	0.58%
2016	2	0.21%	0.21%
2016	3	1.03%	1.03%
2016	4	-0.04%	-0.04%
2016	5	-0.12%	-0.12%
2016	6	1.02%	1.02%
2016	7	-0.16%	-0.16%
2016	8	-0.32%	-0.32%
2016	9	0.73%	0.73%
2016	10	0.00%	0.00%
2016	11	-0.52%	-0.52%
2016	12	0.31%	0.31%
2017	1	0.45%	0.45%
2017	2	0.08%	0.08%
2017	3	0.16%	0.16%
2017	4	-0.04%	-0.04%
2017	5	-0.04%	-0.04%
2017	6	-0.44%	-0.44%
2017	7	0.28%	0.28%
2017	8	0.28%	0.28%
2017	9	-0.12%	-0.12%
2017	10	0.20%	0.20%
2017	11	-0.16%	-0.16%
2017	12	0.17%	0.17%
2018	1	-0.29%	-0.29%
2018	2	-0.04%	-0.04%
2018	3	0.53%	0.53%
2018	4	-0.04%	-0.04%
2018	5	0.33%	0.33%
2018	6	0.19%	0.19%
2018	7	-0.16%	-0.16%
2018	8	0.49%	0.49%
2018	9	-0.23%	-0.23%
2018	10	-0.41%	-0.41%
2018	11	0.00%	0.00%
2018	12	0.16%	0.16%
2019	1	0.79%	0.79%
2019	2	0.12%	0.12%
2019	3	0.78%	0.78%
2019	4	0.45%	0.45%
2019	5	0.49%	0.49%
2019	6	0.63%	0.63%
2019	7	0.04%	0.04%
2019	8	0.49%	0.49%
2019	9	-0.13%	-0.13%
2019	10	0.20%	0.20%
2019	11	0.16%	0.16%
2019	12	0.71%	0.71%
2020	1	0.45%	0.45%
2020	2	0.40%	0.40%
2020	3	-1.57%	-1.57%
2020	4	1.06%	1.06%
2020	5	0.85%	0.85%
2020	6	0.68%	0.68%
2020	7	0.76%	0.76%
2020	8	1.10%	1.10%
2020	9	-0.16%	-0.16%
2020	10	-0.16%	-0.16%
2020	11	0.55%	0.55%
2020	12	0.93%	0.93%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Yield	Fees	Duration	Return Contribution	Risk Contribution
VTAPX	Vanguard Shrt-Term Infl-Prot Sec Idx Adm	Inflation-Protected Bond	100.00%	1.18%	0.06%	2.78	$1,130	100.00%

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
Metric	Portfolio 1
Arithmetic Mean (monthly)	0.11%
Arithmetic Mean (annualized)	1.36%
Geometric Mean (monthly)	0.11%
Geometric Mean (annualized)	1.35%
Volatility (monthly)	0.50%
Volatility (annualized)	1.74%
Downside Deviation (monthly)	0.31%
Max. Drawdown	-3.36%
US Market Correlation	0.39
Beta^(*)	0.05
Alpha (annualized)	0.64%
R²	14.95%
Sharpe Ratio	0.37
Sortino Ratio	0.55
Treynor Ratio (%)	13.41
Calmar Ratio	2.19
Active Return	-13.68%
Tracking Error	13.62%
Information Ratio	-1.00
Skewness	-0.48
Excess Kurtosis	0.88
Historical Value-at-Risk (5%)	-0.63%
Analytical Value-at-Risk (5%)	-0.71%
Conditional Value-at-Risk (5%)	-1.15%
Upside Capture Ratio (%)	5.70
Downside Capture Ratio (%)	3.07
Safe Withdrawal Rate	11.87%
Perpetual Withdrawal Rate	0.00%
Positive Periods	51 out of 96 (53.13%)
Gain/Loss Ratio	1.41
^* 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
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Apr 2013	Dec 2015	2 years 9 months	Oct 2017	1 year 10 months	4 years 7 months	-3.36%
2	Mar 2020	Mar 2020	1 month	May 2020	2 months	3 months	-1.57%
3	Sep 2018	Oct 2018	2 months	Jan 2019	3 months	5 months	-0.64%
4	Jan 2018	Feb 2018	2 months	Mar 2018	1 month	3 months	-0.33%
5	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-0.32%
6	Jul 2018	Jul 2018	1 month	Aug 2018	1 month	2 months	-0.16%
7	Nov 2017	Nov 2017	1 month	Dec 2017	1 month	2 months	-0.16%
8	Sep 2019	Sep 2019	1 month	Oct 2019	1 month	2 months	-0.13%
9	Apr 2018	Apr 2018	1 month	May 2018	1 month	2 months	-0.04%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
VTAPX	Vanguard Shrt-Term Infl-Prot Sec Idx Adm	1.35%	1.74%	4.97%	-1.54%	-3.36%	0.37	0.55	0.39

Annual Asset Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	1.26%	4.97%	-2.17%
3 years	1.11%	3.43%	-0.96%
5 years	1.12%	2.76%	-0.00%
7 years	1.24%	1.77%	0.66%