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 2014 - Sep 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 40.00%
VGTSX Vanguard Total Intl Stock Index Inv 40.00%
VBMFX Vanguard Total Bond Market Index Inv 26.00%
VTIFX Vanguard Total Intl Bd Idx Institutional 27.00%
VIPSX Vanguard Inflation-Protected Secs Inv -33.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 40.00%
VGTSX Vanguard Total Intl Stock Index Inv 40.00%
VBMFX Vanguard Total Bond Market Index Inv 10.00%
VTIFX Vanguard Total Intl Bd Idx Institutional 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,580 8.32% 10.74%22.52%-6.59%-17.78% 0.731.110.97
Portfolio 2$10,000$18,604 8.34% 10.97%22.48%-7.60%-17.75% 0.721.090.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 1-1.72%6.55%19.85%9.96%10.57%8.32%14.50%11.68%
Portfolio 2-1.23%8.23%21.87%10.72%10.96%8.34%14.82%11.91%
Trailing annualized return and volatility are for full months ending in September 2021 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 2021 are based on monthly returns from January to September
  • 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 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Intl Bd Idx Institutional (VTIFX)Vanguard Inflation-Protected Secs Inv (VIPSX)
ReturnBalanceReturnBalance
20140.76%5.92%$10,5924.74%$10,47412.43%-4.24%5.76%8.91%3.83%
20150.73%-0.64%$10,523-1.49%$10,3190.29%-4.37%0.30%1.14%-1.83%
20162.07%7.30%$11,2927.59%$11,10212.53%4.65%2.50%4.69%4.52%
20172.11%20.01%$13,55119.97%$13,31921.05%27.40%3.46%2.46%2.81%
20181.91%-6.59%$12,658-7.60%$12,307-5.26%-14.44%-0.13%2.96%-1.49%
20192.29%22.52%$15,50922.48%$15,07430.65%21.43%8.61%7.89%8.06%
20201.36%12.43%$17,43714.03%$17,19020.87%11.16%7.61%4.59%10.90%
20215.31%6.55%$18,5808.23%$18,60415.09%6.39%-1.66%-1.99%3.26%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Intl Bd Idx Institutional (VTIFX)Vanguard Inflation-Protected Secs Inv (VIPSX)
ReturnBalanceReturnBalance
20141-3.06%$9,694-2.85%$9,715-3.11%-4.78%1.54%1.50%2.16%
201424.16%$10,0974.10%$10,1134.73%5.39%0.48%0.43%0.30%
201430.56%$10,1540.38%$10,1520.51%0.41%-0.15%0.26%-0.47%
201440.47%$10,2010.69%$10,2210.06%1.31%0.77%0.64%1.36%
201451.45%$10,3501.81%$10,4062.17%1.88%1.05%0.85%2.01%
201461.80%$10,5361.78%$10,5922.54%1.74%0.11%0.55%0.31%
20147-1.35%$10,393-1.41%$10,442-1.98%-1.61%-0.26%0.60%0.00%
201482.58%$10,6612.34%$10,6874.18%1.05%1.13%1.29%0.51%
20149-2.23%$10,423-2.92%$10,375-2.14%-5.01%-0.72%-0.05%-2.49%
2014101.16%$10,5441.16%$10,4952.74%-0.31%0.94%0.56%0.75%
2014111.29%$10,6791.09%$10,6102.41%-0.25%0.65%1.12%0.30%
201412-0.82%$10,592-1.28%$10,474-0.01%-3.65%0.09%0.82%-0.91%
20151-0.99%$10,487-0.64%$10,407-2.77%0.13%2.31%1.84%3.11%
201524.59%$10,9694.34%$10,8585.76%5.52%-1.08%-0.35%-1.40%
20153-0.62%$10,900-0.93%$10,757-1.04%-1.54%0.41%0.67%-0.42%
201541.69%$11,0852.11%$10,9840.42%5.08%-0.36%-0.81%0.67%
201550.19%$11,1060.04%$10,9881.39%-0.94%-0.45%-0.68%-1.04%
20156-2.13%$10,870-2.02%$10,766-1.71%-2.69%-1.01%-1.45%-0.90%
201570.69%$10,9450.51%$10,8211.63%-0.80%0.76%1.25%0.46%
20158-5.28%$10,367-5.44%$10,232-6.03%-7.29%-0.36%-0.43%-0.91%
20159-2.19%$10,140-2.58%$9,968-2.93%-3.90%0.76%0.60%-0.46%
2015105.62%$10,7105.63%$10,5297.84%6.26%0.01%0.58%0.23%
201511-0.26%$10,683-0.30%$10,4970.54%-1.32%-0.27%0.24%-0.15%
201512-1.49%$10,523-1.70%$10,319-2.03%-2.07%-0.38%-0.28%-0.95%
20161-4.23%$10,079-4.21%$9,885-5.67%-5.59%1.43%1.56%1.56%
20162-0.80%$9,999-0.73%$9,813-0.04%-2.27%0.66%1.07%1.07%
201635.78%$10,5766.14%$10,4167.01%8.19%0.94%0.78%1.90%
201641.14%$10,6971.15%$10,5350.63%2.22%0.38%-0.17%0.15%
201650.73%$10,7750.38%$10,5751.79%-1.02%0.01%0.69%-0.67%
20166-0.02%$10,7730.10%$10,5860.23%-0.94%1.94%1.87%2.26%
201673.51%$11,1513.47%$10,9543.95%4.41%0.64%0.88%0.66%
201680.51%$11,2080.38%$10,9960.26%0.74%-0.17%0.04%-0.44%
201690.32%$11,2440.58%$11,0600.15%1.37%-0.09%-0.07%0.73%
201610-1.95%$11,024-1.78%$10,863-2.21%-1.72%-0.81%-1.23%-0.51%
2016110.59%$11,0890.54%$10,9224.44%-2.15%-2.64%-1.24%-2.04%
2016121.83%$11,2921.65%$11,1021.92%2.02%0.24%0.44%-0.16%
201711.82%$11,4972.25%$11,3521.91%3.87%0.29%-0.89%1.00%
201722.40%$11,7732.25%$11,6073.71%1.50%0.66%0.99%0.38%
201731.12%$11,9061.15%$11,7410.07%2.82%-0.07%-0.10%0.01%
201741.52%$12,0871.45%$11,9111.05%2.20%0.76%0.58%0.46%
201751.94%$12,3211.75%$12,1201.01%3.01%0.67%0.49%0.00%
201760.77%$12,4150.54%$12,1860.92%0.52%0.01%-0.46%-0.95%
201772.15%$12,6822.23%$12,4571.87%3.42%0.39%0.21%0.54%
201780.49%$12,7440.49%$12,5180.15%0.64%0.85%0.95%0.91%
201791.69%$12,9601.64%$12,7232.45%1.81%-0.54%-0.51%-0.71%
2017101.81%$13,1951.76%$12,9472.16%1.94%0.11%0.77%0.23%
2017111.56%$13,4001.56%$13,1493.04%0.78%-0.17%0.33%0.08%
2017121.13%$13,5511.30%$13,3190.99%2.01%0.44%0.08%0.86%
201814.25%$14,1274.20%$13,8795.31%5.59%-1.09%-0.49%-0.92%
20182-3.46%$13,638-3.65%$13,372-3.72%-5.14%-1.03%0.33%-0.93%
20183-0.91%$13,513-0.89%$13,253-1.99%-0.64%0.63%1.05%0.92%
201840.26%$13,5480.39%$13,3040.38%0.83%-0.83%-0.13%-0.08%
201850.44%$13,6080.41%$13,3582.79%-1.92%0.61%0.06%0.23%
20186-0.63%$13,522-0.49%$13,2930.68%-2.08%0.03%0.46%0.69%
201872.51%$13,8612.34%$13,6043.34%2.48%0.03%-0.03%-0.54%
201880.54%$13,9360.65%$13,6923.44%-2.19%0.52%0.06%0.62%
201890.29%$13,9760.11%$13,7060.16%0.30%-0.54%-0.21%-0.95%
201810-5.97%$13,142-6.37%$12,833-7.40%-8.35%-0.73%0.22%-1.42%
2018111.46%$13,3341.44%$13,0182.06%1.26%0.53%0.46%0.40%
201812-5.07%$12,658-5.46%$12,307-9.29%-4.85%1.80%1.16%0.50%
201916.54%$13,4876.68%$13,1298.59%7.58%1.01%1.08%1.44%
201922.20%$13,7832.13%$13,4093.50%1.72%-0.06%0.18%-0.16%
201931.22%$13,9521.23%$13,5741.44%0.72%1.96%1.80%1.90%
201942.71%$14,3302.76%$13,9483.98%2.76%0.04%0.09%0.23%
20195-4.71%$13,655-4.64%$13,301-6.45%-5.55%1.83%1.17%1.71%
201965.64%$14,4255.44%$14,0246.97%5.83%1.15%1.63%0.80%
201970.18%$14,451-0.00%$14,0241.44%-1.89%0.23%1.38%0.23%
20198-1.26%$14,269-1.32%$13,839-2.03%-2.35%2.78%2.08%2.27%
201991.82%$14,5281.66%$14,0691.70%2.72%-0.60%-0.48%-1.07%
2019102.14%$14,8392.16%$14,3742.10%3.38%0.21%-0.56%-0.15%
2019111.86%$15,1151.99%$14,6603.77%1.11%-0.06%-0.26%0.23%
2019122.61%$15,5092.83%$15,0742.85%4.27%-0.15%-0.45%0.39%
20201-0.97%$15,358-0.94%$14,932-0.08%-3.30%2.11%1.97%2.12%
20202-5.61%$14,498-5.68%$14,085-8.18%-6.72%1.71%0.68%0.97%
20203-12.04%$12,751-11.97%$12,399-13.78%-16.11%-0.59%-2.44%-1.31%
202048.10%$13,7848.47%$13,44913.25%8.09%1.69%1.53%2.54%
202053.96%$14,3294.00%$13,9885.38%4.80%0.54%0.17%0.51%
202062.45%$14,6812.63%$14,3552.28%4.24%0.70%0.49%1.09%
202073.77%$15,2344.12%$14,9465.64%4.10%1.55%1.07%2.29%
202083.75%$15,8054.38%$15,6017.18%4.31%-1.02%-0.75%0.98%
20209-1.91%$15,503-2.15%$15,265-3.57%-1.96%0.08%0.83%-0.33%
202010-1.56%$15,261-1.75%$14,997-2.16%-2.21%-0.61%0.40%-0.70%
2020119.95%$16,77910.04%$16,50312.19%12.93%1.11%0.25%1.19%
2020123.92%$17,4374.16%$17,1904.45%5.82%0.15%0.38%1.13%
20211-0.65%$17,325-0.30%$17,138-0.34%-0.10%-0.80%-0.46%0.42%
202121.90%$17,6531.87%$17,4593.19%2.32%-1.51%-1.85%-1.73%
202131.77%$17,9651.95%$17,7993.47%1.69%-1.38%-0.01%-0.08%
202143.00%$18,5053.30%$18,3865.14%2.78%0.95%-0.19%1.34%
202151.09%$18,7061.43%$18,6490.43%3.14%0.24%-0.28%1.11%
202161.06%$18,9041.00%$18,8352.53%-0.46%0.77%0.75%0.57%
202170.08%$18,9200.45%$18,9201.71%-1.28%1.21%1.53%2.55%
202181.81%$19,2621.84%$19,2682.86%1.73%-0.20%-0.42%-0.13%
20219-3.54%$18,580-3.45%$18,604-4.49%-3.42%-0.91%-1.04%-0.77%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value11.17%
Large-cap Growth21.51%
Mid-cap Value4.47%
Mid-cap Growth2.28%
Small-cap Value2.16%
Small-cap Growth0.00%
Global ex-US Developed Markets28.08%
Emerging Markets9.27%
Corporate Bonds11.53%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries9.54%
R Squared99.75%
Style analysis is based on monthly returns from January 2014 to September 2021 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 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend40.00%1.18%0.14%24.25$5,48650.13%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend40.00%2.46%0.17%15.90$2,45449.37%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond10.00%1.82%0.15%6.84$3150.20%
VTIFXVanguard Total Intl Bd Idx InstitutionalWorld Bond-USD Hedged10.00%0.89%0.07%14.868.46$3480.30%
100.00%1.73%0.15%19.507.65$8,604100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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 2
Arithmetic Mean (monthly)0.72%0.72%
Arithmetic Mean (annualized)8.94%8.99%
Geometric Mean (monthly)0.67%0.67%
Geometric Mean (annualized)8.32%8.34%
Volatility (monthly)3.10%3.17%
Volatility (annualized)10.74%10.97%
Downside Deviation (monthly)2.01%2.05%
Max. Drawdown-17.78%-17.75%
US Market Correlation0.970.97
Beta(*)0.730.74
Alpha (annualized)-1.31%-1.48%
R293.79%93.68%
Sharpe Ratio0.730.72
Sortino Ratio1.111.09
Treynor Ratio (%)10.8210.65
Calmar Ratio0.560.60
Active Return-5.05%-5.03%
Tracking Error4.74%4.61%
Information Ratio-1.06-1.09
Skewness-0.59-0.55
Excess Kurtosis3.132.83
Historical Value-at-Risk (5%)-4.86%-4.96%
Analytical Value-at-Risk (5%)-4.40%-4.50%
Conditional Value-at-Risk (5%)-6.79%-6.98%
Upside Capture Ratio (%)68.2569.58
Downside Capture Ratio (%)79.0981.39
Safe Withdrawal Rate17.19%16.86%
Perpetual Withdrawal Rate6.31%6.33%
Positive Periods64 out of 93 (68.82%)64 out of 93 (68.82%)
Gain/Loss Ratio0.850.84
* 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 PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-17.78%-17.75%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-17.78%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-10.40%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.97%
4May 2019May 20191 monthJun 20191 month2 months-4.71%
5Sep 2021Sep 20211 month-3.54%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.44%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.06%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.23%
9Oct 2016Oct 20161 monthDec 20162 months3 months-1.95%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-17.75%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-11.32%
3Jun 2015Feb 20169 monthsAug 20166 months1 year 3 months-10.70%
4May 2019May 20191 monthJun 20191 month2 months-4.64%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-3.87%
6Sep 2021Sep 20211 month-3.45%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-2.92%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-2.85%
9Oct 2016Oct 20161 monthDec 20162 months3 months-1.78%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.41%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv13.37%14.32%30.65%-5.26%-20.89%0.901.431.00
VGTSXVanguard Total Intl Stock Index Inv5.37%14.12%27.40%-14.44%-25.55%0.390.570.88
VBMFXVanguard Total Bond Market Index Inv3.35%3.22%8.61%-1.66%-3.94%0.821.45-0.00
VTIFXVanguard Total Intl Bd Idx Institutional3.90%2.97%8.91%-1.99%-2.97%1.071.840.08
VIPSXVanguard Inflation-Protected Secs Inv3.80%3.79%10.90%-1.83%-4.79%0.811.450.21

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXVTIFXVIPSXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.88-0.000.080.210.970.97
VGTSXVanguard Total Intl Stock Index Inv0.881.000.050.050.270.960.97
VBMFXVanguard Total Bond Market Index Inv-0.000.051.000.800.820.060.07
VTIFXVanguard Total Intl Bd Idx Institutional0.080.050.801.000.670.120.11
VIPSXVanguard Inflation-Protected Secs Inv0.210.270.820.671.000.240.28

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$5,601$5,486
VGTSXVanguard Total Intl Stock Index Inv$2,520$2,454
VBMFXVanguard Total Bond Market Index Inv$838$315
VTIFXVanguard Total Intl Bd Idx Institutional$957$348
VIPSXVanguard Inflation-Protected Secs Inv-$1,336

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv51.24%50.13%
VGTSXVanguard Total Intl Stock Index Inv50.17%49.37%
VBMFXVanguard Total Bond Market Index Inv0.48%0.20%
VTIFXVanguard Total Intl Bd Idx Institutional0.90%0.30%
VIPSXVanguard Inflation-Protected Secs Inv-2.79%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.83%40.89%-8.84%8.76%43.55%-9.63%
3 years8.07%11.82%2.31%7.84%12.32%1.83%
5 years8.04%12.04%3.19%7.82%12.21%2.88%
7 years8.65%8.93%8.27%8.53%8.86%8.05%