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 2016 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFSUX Vanguard Short-Term Investment-Grade Adm 100.00%
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Portfolio 2
Ticker Name Allocation
VUSFX Vanguard Ultra-Short-Term Bond Admiral 100.00%
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Portfolio 3
Ticker Name Allocation
CASHX Cash 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,705 3.31% 2.31%5.84%0.96%-3.10% 0.911.360.48
Portfolio 2$10,000$11,047 2.08% 0.77%3.39%1.33%-1.08% 1.171.660.44
Portfolio 3$10,000$10,575 1.16% 0.24%2.13%0.30%0.00%N/AN/A-0.15
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 yearFull
Portfolio 10.26%4.32%4.63%3.65%3.31%
Portfolio 20.28%1.88%2.22%2.48%2.08%
Portfolio 30.03%0.43%0.68%1.55%1.16%
Trailing returns are for full months ending in October 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.
  • The annual results for 2020 are based on monthly returns from January to October
  • 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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard Short-Term Investment-Grade Adm (VFSUX)Vanguard Ultra-Short-Term Bond Admiral (VUSFX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20162.07%2.82%1.33%0.30%$10,282$10,133$10,0302.17% [$217]1.08% [$108]0.30% [$29.56]2.82%1.33%0.30%
20172.11%2.12%1.37%0.88%$10,501$10,272$10,1182.13% [$219]1.52% [$154]0.88% [$88.42]2.12%1.37%0.88%
20181.91%0.96%2.10%1.90%$10,602$10,488$10,3112.76% [$290]2.25% [$231]1.90% [$193]0.96%2.10%1.90%
20192.29%5.84%3.39%2.13%$11,221$10,843$10,5303.04% [$323]2.73% [$286]2.13% [$219]5.84%3.39%2.13%
20201.29%4.32%1.88%0.43%$11,705$11,047$10,5752.06% [$231]1.48% [$160]0.43% [$44.83]4.32%1.88%0.43%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Short-Term Investment-Grade Adm (VFSUX)Vanguard Ultra-Short-Term Bond Admiral (VUSFX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201610.55%0.26%0.01%$10,055$10,026$10,0010.55%0.26%0.01%
201620.17%0.04%0.03%$10,072$10,029$10,0040.17%0.04%0.03%
201631.04%0.22%0.03%$10,176$10,051$10,0071.04%0.22%0.03%
201640.45%0.13%0.02%$10,222$10,065$10,0090.45%0.13%0.02%
201650.01%0.04%0.02%$10,223$10,069$10,0100.01%0.04%0.02%
201660.84%0.31%0.03%$10,309$10,100$10,0130.84%0.31%0.03%
201670.46%0.05%0.02%$10,356$10,106$10,0150.46%0.05%0.02%
20168-0.01%0.00%0.02%$10,354$10,107$10,018-0.01%0.00%0.02%
201690.12%0.17%0.03%$10,367$10,124$10,0200.12%0.17%0.03%
201610-0.03%0.08%0.02%$10,364$10,132$10,023-0.03%0.08%0.02%
201611-0.86%-0.05%0.03%$10,275$10,127$10,026-0.86%-0.05%0.03%
2016120.07%0.06%0.04%$10,282$10,133$10,0300.07%0.06%0.04%
201710.35%0.15%0.04%$10,319$10,148$10,0340.35%0.15%0.04%
201720.35%0.13%0.04%$10,355$10,161$10,0380.35%0.13%0.04%
201730.13%0.11%0.04%$10,368$10,172$10,0430.13%0.11%0.04%
201740.37%0.10%0.06%$10,406$10,183$10,0490.37%0.10%0.06%
201750.27%0.13%0.07%$10,435$10,195$10,0550.27%0.13%0.07%
201760.09%0.07%0.08%$10,444$10,202$10,0630.09%0.07%0.08%
201770.37%0.24%0.08%$10,483$10,227$10,0720.37%0.24%0.08%
201780.36%0.15%0.09%$10,521$10,242$10,0810.36%0.15%0.09%
20179-0.14%0.07%0.08%$10,506$10,250$10,089-0.14%0.07%0.08%
2017100.07%0.13%0.09%$10,513$10,263$10,0980.07%0.13%0.09%
201711-0.12%0.02%0.09%$10,500$10,265$10,107-0.12%0.02%0.09%
2017120.00%0.06%0.10%$10,501$10,272$10,1180.00%0.06%0.10%
20181-0.36%0.04%0.11%$10,462$10,276$10,130-0.36%0.04%0.11%
20182-0.28%0.04%0.12%$10,433$10,280$10,142-0.28%0.04%0.12%
201830.13%0.12%0.14%$10,447$10,293$10,1560.13%0.12%0.14%
20184-0.25%0.12%0.14%$10,420$10,305$10,170-0.25%0.12%0.14%
201850.42%0.28%0.15%$10,464$10,334$10,1860.42%0.28%0.15%
201860.04%0.13%0.16%$10,468$10,348$10,2020.04%0.13%0.16%
201870.14%0.20%0.16%$10,482$10,368$10,2180.14%0.20%0.16%
201880.53%0.25%0.17%$10,537$10,394$10,2350.53%0.25%0.17%
20189-0.05%0.14%0.17%$10,532$10,409$10,253-0.05%0.14%0.17%
201810-0.13%0.21%0.18%$10,518$10,431$10,271-0.13%0.21%0.18%
2018110.06%0.16%0.19%$10,524$10,448$10,2910.06%0.16%0.19%
2018120.74%0.38%0.19%$10,602$10,488$10,3110.74%0.38%0.19%
201910.82%0.37%0.20%$10,689$10,527$10,3310.82%0.37%0.20%
201920.42%0.22%0.20%$10,734$10,550$10,3520.42%0.22%0.20%
201930.92%0.44%0.20%$10,833$10,597$10,3730.92%0.44%0.20%
201940.35%0.28%0.20%$10,871$10,626$10,3930.35%0.28%0.20%
201950.74%0.34%0.20%$10,951$10,662$10,4140.74%0.34%0.20%
201960.82%0.37%0.19%$11,041$10,702$10,4340.82%0.37%0.19%
201970.15%0.18%0.17%$11,058$10,721$10,4520.15%0.18%0.17%
201980.89%0.37%0.17%$11,156$10,761$10,4700.89%0.37%0.17%
20199-0.05%0.11%0.16%$11,151$10,773$10,487-0.05%0.11%0.16%
2019100.33%0.31%0.15%$11,188$10,806$10,5030.33%0.31%0.15%
2019110.05%0.11%0.13%$11,194$10,818$10,5160.05%0.11%0.13%
2019120.25%0.23%0.13%$11,221$10,843$10,5300.25%0.23%0.13%
202010.88%0.30%0.13%$11,320$10,875$10,5430.88%0.30%0.13%
202020.76%0.35%0.13%$11,406$10,913$10,5570.76%0.35%0.13%
20203-3.10%-1.08%0.10%$11,053$10,795$10,568-3.10%-1.08%0.10%
202042.41%0.73%0.01%$11,319$10,874$10,5692.41%0.73%0.01%
202051.33%0.56%0.01%$11,469$10,935$10,5691.33%0.56%0.01%
202061.03%0.48%0.01%$11,588$10,987$10,5711.03%0.48%0.01%
202070.75%0.27%0.01%$11,675$11,016$10,5720.75%0.27%0.01%
202080.19%0.15%0.01%$11,697$11,033$10,5730.19%0.15%0.01%
20209-0.01%0.05%0.01%$11,696$11,038$10,574-0.01%0.05%0.01%
2020100.08%0.08%0.01%$11,705$11,047$10,5750.08%0.08%0.01%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VFSUXVanguard Short-Term Investment-Grade AdmShort-Term Bond100.00%0.10%2.66$1,705100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VUSFXVanguard Ultra-Short-Term Bond AdmiralUltrashort Bond100.00%0.10%0.91$1,047100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk Contribution
CASHXCashCash100.00%$575100.00%

Asset Allocation

Fund fundamentals data as of 11/25/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)0.27%0.17%0.10%
Arithmetic Mean (annualized)3.34%2.08%1.16%
Geometric Mean (monthly)0.27%0.17%0.10%
Geometric Mean (annualized)3.31%2.08%1.16%
Volatility (monthly)0.67%0.22%0.07%
Volatility (annualized)2.31%0.77%0.24%
Downside Deviation (monthly)0.43%0.14%0.00%
Max. Drawdown-3.10%-1.08%0.00%
US Market Correlation0.480.44-0.15
Beta(*)0.070.02-0.00
Alpha (annualized)2.38%1.78%1.19%
R222.83%19.42%2.20%
Sharpe Ratio0.911.17N/A
Sortino Ratio1.361.66N/A
Treynor Ratio (%)29.8141.11-0.00
Calmar Ratio1.182.29N/A
Active Return-8.82%-10.05%-10.97%
Tracking Error14.45%15.09%15.45%
Information Ratio-0.61-0.67-0.71
Skewness-1.69-2.750.12
Excess Kurtosis12.2217.53-1.50
Historical Value-at-Risk (5%)-0.39%0.00%0.00%
Analytical Value-at-Risk (5%)-0.82%-0.19%-0.02%
Conditional Value-at-Risk (5%)-1.98%0.00%0.00%
Upside Capture Ratio (%)10.295.982.93
Downside Capture Ratio (%)-2.06-2.35-2.23
Safe Withdrawal Rate25.28%24.77%24.33%
Perpetual Withdrawal Rate1.54%0.09%0.00%
Positive Periods45 out of 58 (77.59%)56 out of 58 (96.55%)58 out of 58 (100.00%)
Gain/Loss Ratio1.140.35N/A
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthMay 20202 months3 months-3.10%
2Sep 2017Apr 20188 monthsAug 20184 months1 year-0.95%
3Oct 2016Nov 20162 monthsMar 20174 months6 months-0.89%
4Sep 2018Oct 20182 monthsDec 20182 months4 months-0.18%
5Sep 2019Sep 20191 monthOct 20191 month2 months-0.05%
6Aug 2016Aug 20161 monthSep 20161 month2 months-0.01%
7Sep 2020Sep 20201 monthOct 20201 month2 months-0.01%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthMay 20202 months3 months-1.08%
2Nov 2016Nov 20161 monthDec 20161 month2 months-0.05%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
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Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFSUXVanguard Short-Term Investment-Grade Adm3.31%2.31%5.84%0.96%-3.10%0.911.360.48
VUSFXVanguard Ultra-Short-Term Bond Admiral2.08%0.77%3.39%1.33%-1.08%1.171.660.44
CASHXCash1.16%0.24%2.13%0.30%0.00%N/AN/A-0.15

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFSUXVUSFXCASHXPortfolio 1Portfolio 2Portfolio 3
VFSUXVanguard Short-Term Investment-Grade Adm1.000.94-0.051.000.94-0.05
VUSFXVanguard Ultra-Short-Term Bond Admiral0.941.000.130.941.000.13
CASHXCash-0.050.131.00-0.050.131.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFSUXVanguard Short-Term Investment-Grade Adm$1,705
VUSFXVanguard Ultra-Short-Term Bond Admiral$1,047
CASHXCash$575

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFSUXVanguard Short-Term Investment-Grade Adm100.00%
VUSFXVanguard Ultra-Short-Term Bond Admiral100.00%
CASHXCash100.00%

Annual Asset Returns