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 Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2005 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 65.00%
VB Vanguard Small-Cap ETF 10.00%
VBTLX Vanguard Total Bond Market Index Adm 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$440,088 9.15% 11.53%25.02%-26.37%-38.88% 0.711.071.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-0.30%10.78%24.32%13.09%13.16%13.11%9.02%15.04%12.10%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 November
  • 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.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Small-Cap ETF (VB)Vanguard Total Bond Market Index Adm (VBTLX)
ReturnBalanceYieldIncome
20053.42%5.30%$105,3022.41%$2,4086.09%7.25%2.49%
20062.54%12.83%$118,8082.61%$2,74715.63%15.77%4.36%
20074.08%5.51%$125,3532.65%$3,1545.57%1.35%7.02%
20080.09%-26.37%$92,2922.48%$3,114-36.99%-36.19%5.15%
20092.72%23.91%$114,3552.86%$2,63828.83%36.59%6.04%
20101.50%15.66%$132,2662.52%$2,88317.26%28.11%6.54%
20112.96%2.35%$135,3692.33%$3,0871.08%-2.78%7.69%
20121.74%13.52%$153,6662.64%$3,57816.38%18.29%4.15%
20131.50%25.02%$192,1202.35%$3,60533.52%37.70%-2.15%
20140.76%10.40%$212,0982.16%$4,15612.56%7.63%5.89%
20150.73%-0.02%$212,0472.06%$4,3590.39%-3.76%0.40%
20162.07%10.72%$234,7892.21%$4,67812.66%18.44%2.60%
20172.11%16.28%$273,0012.14%$5,02921.17%16.26%3.56%
20181.91%-4.30%$261,2602.08%$5,672-5.17%-9.33%-0.03%
20192.29%24.93%$326,4032.39%$6,24530.80%27.32%8.71%
20201.36%17.49%$383,4861.87%$6,10820.99%19.16%7.72%
20216.19%14.76%$440,0881.21%$4,64621.09%13.70%-1.27%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Small-Cap ETF (VB)Vanguard Total Bond Market Index Adm (VBTLX)
20051-1.93%$98,070-2.68%-3.56%0.66%
200521.40%$99,4412.11%2.01%-0.62%
20053-1.52%$97,934-1.76%-2.52%-0.48%
20054-1.58%$96,382-2.32%-4.35%1.36%
200553.29%$99,5523.77%6.17%1.06%
200561.00%$100,5520.84%3.27%0.56%
200573.09%$103,6544.14%6.41%-0.89%
20058-0.50%$103,133-0.94%-1.91%1.26%
200590.37%$103,5170.85%0.92%-1.09%
200510-1.81%$101,647-1.86%-3.85%-0.80%
2005113.28%$104,9814.01%5.49%0.49%
2005120.31%$105,3020.13%-0.19%1.00%
200613.01%$108,4743.50%7.62%-0.10%
200620.13%$108,6190.03%0.19%0.38%
200631.36%$110,0981.79%4.14%-0.99%
200640.69%$110,8551.11%0.06%-0.20%
20065-2.69%$107,873-3.23%-5.07%-0.09%
200660.16%$108,0480.20%0.03%0.11%
20067-0.06%$107,985-0.10%-3.09%1.35%
200682.15%$110,3062.31%2.31%1.65%
200691.77%$112,2542.26%0.84%0.82%
2006103.03%$115,6583.56%5.12%0.73%
2006112.08%$118,0632.23%3.31%1.12%
2006120.63%$118,8081.13%-0.07%-0.47%
200711.45%$120,5321.88%2.50%-0.07%
20072-0.69%$119,704-1.61%-0.07%1.51%
200730.85%$120,7221.13%1.14%0.03%
200743.02%$124,3674.04%2.65%0.52%
200752.68%$127,7013.69%4.46%-0.77%
20076-1.34%$125,990-1.68%-1.38%-0.38%
20077-2.67%$122,625-3.38%-6.22%0.85%
200781.43%$124,3841.45%1.53%1.35%
200792.77%$127,8343.61%2.32%0.73%
2007101.68%$129,9761.82%2.50%0.93%
200711-3.15%$125,879-4.46%-6.65%1.92%
200712-0.42%$125,353-0.61%-0.77%0.22%
20081-4.17%$120,130-6.08%-6.39%1.70%
20082-2.12%$117,585-3.04%-2.39%0.20%
20083-0.37%$117,146-0.59%-0.84%0.30%
200843.63%$121,4015.02%5.68%-0.29%
200851.63%$123,3762.12%4.83%-0.78%
20086-6.12%$115,828-8.20%-8.45%0.00%
20087-0.34%$115,439-0.77%1.46%0.01%
200881.53%$117,2031.61%3.22%0.71%
20089-7.01%$108,986-9.28%-8.90%-1.10%
200810-13.68%$94,075-17.63%-21.86%-2.53%
200811-4.42%$89,916-7.86%-11.41%3.65%
2008122.64%$92,2921.83%5.15%3.33%
20091-6.50%$86,289-8.26%-9.65%-0.69%
20092-7.94%$79,440-10.45%-12.01%-0.42%
200936.63%$84,7078.73%8.50%1.49%
200948.56%$91,95610.60%18.66%0.36%
200954.23%$95,8475.33%5.64%0.86%
200960.34%$96,1730.37%-0.31%0.55%
200976.47%$102,3907.87%9.55%1.44%
200983.09%$105,5513.63%4.27%1.02%
200993.77%$109,5344.25%6.30%1.20%
200910-2.34%$106,968-2.61%-6.35%0.42%
2009114.43%$111,7045.66%3.29%1.37%
2009122.37%$114,3552.85%7.90%-1.67%
20101-2.19%$111,849-3.46%-3.37%1.58%
201022.68%$114,8513.36%4.82%0.20%
201034.88%$120,4546.26%8.45%-0.07%
201042.29%$123,2072.21%5.59%1.07%
20105-5.85%$115,994-8.00%-7.76%0.88%
20106-4.03%$111,323-5.67%-7.74%1.62%
201075.40%$117,3377.03%7.19%0.95%
20108-3.33%$113,435-4.75%-6.64%1.49%
201097.16%$121,5599.50%12.01%-0.00%
2010103.05%$125,2653.94%4.08%0.37%
2010110.57%$125,9770.58%3.18%-0.56%
2010124.99%$132,2666.83%7.83%-1.14%
201111.51%$134,2682.19%0.70%0.09%
201122.96%$138,2473.63%5.52%0.17%
201130.53%$138,9850.45%2.35%0.00%
201142.59%$142,5812.99%2.94%1.33%
20115-0.66%$141,640-1.16%-1.96%1.31%
20116-1.48%$139,544-1.79%-2.09%-0.38%
20117-1.44%$137,534-2.22%-3.63%1.58%
20118-4.38%$131,515-6.02%-8.35%1.47%
20119-5.76%$123,940-7.75%-10.98%0.90%
2011108.64%$134,65311.54%15.28%0.17%
201111-0.30%$134,245-0.29%-0.44%-0.29%
2011120.84%$135,3690.82%0.23%1.09%
201214.22%$141,0795.08%6.95%0.88%
201223.12%$145,4764.26%3.27%-0.04%
201232.14%$148,5863.07%2.33%-0.57%
20124-0.26%$148,198-0.63%-1.02%1.15%
20125-4.62%$141,353-6.23%-6.72%0.96%
201263.05%$145,6683.94%4.62%0.04%
201270.91%$146,9971.03%-1.00%1.39%
201282.02%$149,9712.51%3.56%0.04%
201292.02%$153,0032.58%2.80%0.12%
201210-1.29%$151,025-1.76%-1.43%0.12%
2012110.66%$152,0290.74%1.25%0.20%
2012121.08%$153,6661.22%3.02%-0.19%
201314.03%$159,8645.50%6.35%-0.70%
201321.10%$161,6241.28%1.26%0.55%
201333.08%$166,6023.91%4.65%0.09%
201341.38%$168,8941.70%0.30%0.92%
201351.55%$171,5062.35%3.60%-1.70%
20136-1.31%$169,255-1.24%-1.06%-1.64%
201374.44%$176,7625.46%6.79%0.21%
20138-2.39%$172,545-2.80%-3.24%-0.63%
201393.32%$178,2703.67%5.85%0.97%
2013103.40%$184,3294.25%3.18%0.79%
2013112.20%$188,3822.88%2.71%-0.34%
2013121.98%$192,1202.66%2.54%-0.64%
20141-1.84%$188,593-3.11%-2.06%1.55%
201423.68%$195,5384.75%5.08%0.49%
201430.29%$196,0970.52%-0.18%-0.14%
20144-0.01%$196,0790.06%-2.44%0.78%
201451.80%$199,6112.17%1.26%1.06%
201462.19%$203,9842.57%4.97%0.12%
20147-1.86%$200,190-1.98%-5.02%-0.25%
201483.51%$207,2184.18%5.06%1.14%
20149-2.09%$202,895-2.11%-5.34%-0.71%
2014102.47%$207,9022.74%4.52%0.95%
2014111.87%$211,7832.43%1.06%0.66%
2014120.15%$212,0980.00%1.26%0.10%
20151-1.44%$209,054-2.77%-2.14%2.32%
201523.99%$217,3985.76%5.80%-1.07%
20153-0.40%$216,524-1.01%1.52%0.42%
20154-0.03%$216,4700.42%-2.04%-0.35%
201551.00%$218,6321.39%2.02%-0.44%
20156-1.44%$215,481-1.70%-0.82%-1.00%
201571.23%$218,1421.65%-0.29%0.77%
20158-4.60%$208,098-6.00%-5.83%-0.35%
20159-2.16%$203,613-2.94%-4.53%0.76%
2015105.59%$214,9927.86%5.68%0.02%
2015110.48%$216,0150.56%1.80%-0.26%
201512-1.84%$212,047-2.04%-4.19%-0.37%
20161-4.07%$203,421-5.65%-7.55%1.44%
201620.22%$203,877-0.04%0.77%0.67%
201635.56%$215,2087.03%8.47%0.95%
201640.69%$216,6980.65%1.77%0.39%
201651.34%$219,6031.77%1.89%0.02%
201660.68%$221,0990.25%0.34%1.94%
201673.22%$228,2193.95%5.01%0.65%
201680.21%$228,6970.28%0.68%-0.16%
201690.12%$228,9730.15%0.39%-0.08%
201610-2.06%$224,262-2.21%-4.06%-0.80%
2016113.11%$231,2324.45%8.57%-2.63%
2016121.54%$234,7891.93%1.92%0.25%
201711.48%$238,2641.93%1.53%0.30%
201722.82%$244,9803.71%2.32%0.67%
201730.02%$245,0220.08%-0.19%-0.06%
201740.96%$247,3811.05%0.86%0.77%
201750.73%$249,1821.02%-1.11%0.68%
201760.83%$251,2490.93%2.16%0.02%
201771.45%$254,8851.87%1.19%0.40%
201780.22%$255,4460.16%-0.93%0.86%
201791.94%$260,3992.46%4.41%-0.53%
2017101.64%$264,6562.17%1.56%0.12%
2017112.31%$270,7683.04%3.05%-0.16%
2017120.82%$273,0011.01%0.45%0.45%
201813.46%$282,4375.32%2.69%-1.09%
20182-3.09%$273,697-3.71%-3.96%-1.02%
20183-1.04%$270,848-1.98%1.10%0.63%
201840.08%$271,0650.38%0.37%-0.82%
201852.51%$277,8642.82%5.10%0.62%
201860.52%$279,3120.67%0.68%0.04%
201872.40%$286,0083.35%1.82%0.04%
201882.88%$294,2343.45%4.52%0.52%
20189-0.17%$293,7370.16%-1.47%-0.53%
201810-6.15%$275,661-7.40%-10.12%-0.72%
2018111.71%$280,3872.08%2.19%0.53%
201812-6.82%$261,260-9.30%-11.10%1.81%
201917.02%$279,5888.60%11.71%1.02%
201922.81%$287,4523.51%4.86%-0.05%
201931.32%$291,2421.45%-0.86%1.96%
201943.03%$300,0653.98%3.59%0.05%
20195-4.66%$286,094-6.43%-7.18%1.84%
201965.59%$302,0936.99%6.96%1.16%
201971.14%$305,5281.44%1.20%0.23%
20198-1.12%$302,102-2.01%-3.97%2.79%
201991.13%$305,5051.70%1.37%-0.59%
2019101.62%$310,4662.11%1.65%0.22%
2019112.95%$319,6133.78%4.20%-0.06%
2019122.12%$326,4032.86%2.17%-0.14%
202010.28%$327,317-0.08%-2.02%2.12%
20202-5.68%$308,712-8.16%-8.53%1.72%
20203-10.93%$274,984-13.77%-21.97%-0.58%
202049.82%$302,00013.26%14.55%1.70%
202054.20%$314,6875.37%7.65%0.54%
202061.88%$320,6142.29%2.59%0.71%
202074.45%$334,8805.65%4.60%1.56%
202084.73%$350,7157.17%3.96%-1.02%
20209-2.56%$341,720-3.56%-2.59%0.08%
202010-1.37%$337,049-2.15%2.15%-0.60%
2020119.68%$369,66612.20%15.78%1.12%
2020123.74%$383,4864.46%7.51%0.16%
20211-0.21%$382,686-0.33%2.01%-0.79%
202122.33%$391,5893.19%6.17%-1.50%
202132.14%$399,9843.48%1.81%-1.37%
202144.04%$416,1565.13%3.93%0.96%
202150.35%$417,6170.44%0.04%0.25%
202162.03%$426,1152.54%1.46%0.78%
202171.27%$431,5291.71%-1.48%1.22%
202182.10%$440,5732.86%1.96%-0.19%
20219-3.57%$424,831-4.49%-3.12%-0.90%
2021105.05%$446,2676.73%4.95%-0.02%
202111-1.38%$440,088-1.48%-4.29%0.33%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value23.80%
Large-cap Growth31.47%
Mid-cap Value4.75%
Mid-cap Growth7.23%
Small-cap Value2.49%
Small-cap Growth6.05%
Global ex-US Developed Markets0.26%
Emerging Markets1.02%
Corporate Bonds5.00%
Long-Term Treasuries0.79%
Intermediate-Term Treasuries6.06%
Short-Term Treasuries11.08%
R Squared99.74%
Style analysis is based on monthly returns from April 2005 to November 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 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend65.00%1.14%1.21%0.04%0.04%23.81$273,97783.89%
VBVanguard Small-Cap ETFSmall Blend10.00%0.99%1.18%0.05%0.05%17.60$37,00015.69%
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond25.00%1.52%1.89%0.05%0.05%6.83$29,1110.42%
100.00%1.22%1.38%0.04%0.04%22.986.83$340,088100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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
MetricPortfolio 1
Arithmetic Mean (monthly)0.79%
Arithmetic Mean (annualized)9.88%
Geometric Mean (monthly)0.73%
Geometric Mean (annualized)9.15%
Standard Deviation (monthly)3.33%
Standard Deviation (annualized)11.53%
Downside Deviation (monthly)2.19%
Max. Drawdown-38.88%
US Market Correlation1.00
Beta(*)0.76
Alpha (annualized)1.03%
R299.29%
Sharpe Ratio0.71
Sortino Ratio1.07
Treynor Ratio (%)10.89
Calmar Ratio1.01
Active Return-1.25%
Tracking Error3.75%
Information Ratio-0.33
Skewness-0.70
Excess Kurtosis2.27
Historical Value-at-Risk (5%)-5.58%
Analytical Value-at-Risk (5%)-4.75%
Conditional Value-at-Risk (5%)-7.50%
Upside Capture Ratio (%)76.99
Downside Capture Ratio (%)74.59
Safe Withdrawal Rate8.64%
Perpetual Withdrawal Rate6.69%
Positive Periods138 out of 203 (67.98%)
Gain/Loss Ratio0.88
* 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 1
Subprime CrisisNov 2007Mar 2009-38.88%
COVID-19 StartJan 2020Mar 2020-15.99%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-38.88%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-15.99%
3May 2011Sep 20115 monthsFeb 20125 months10 months-13.07%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-11.21%
5Jun 2015Jan 20168 monthsMay 20164 months1 year-6.96%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.87%
7May 2019May 20191 monthJun 20191 month2 months-4.66%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-4.10%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.97%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm10.52%15.13%33.52%-36.99%-50.84%0.660.981.00
VBVanguard Small-Cap ETF9.93%19.09%37.70%-36.19%-53.72%0.530.780.95
VBTLXVanguard Total Bond Market Index Adm4.02%3.28%8.71%-2.15%-3.94%0.861.52-0.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
Vanguard Total Stock Mkt Idx Adm-0.07%15.17%32.08%16.04%16.87%16.60%0.04%0.04%
Vanguard Small-Cap ETF-2.68%13.19%43.94%11.93%13.96%15.33%0.05%0.05%
Vanguard Total Bond Market Index Adm0.11%-1.58%-0.92%5.41%2.93%2.96%0.05%0.05%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSAXVBVBTLXPortfolio 1
VTSAXVanguard Total Stock Mkt Idx Adm1.000.95-0.001.00
VBVanguard Small-Cap ETF0.951.00-0.040.96
VBTLXVanguard Total Bond Market Index Adm-0.00-0.041.000.06

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTSAXVanguard Total Stock Mkt Idx Adm$273,977
VBVanguard Small-Cap ETF$37,000
VBTLXVanguard Total Bond Market Index Adm$29,111

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTSAXVanguard Total Stock Mkt Idx Adm83.89%
VBVanguard Small-Cap ETF15.69%
VBTLXVanguard Total Bond Market Index Adm0.42%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year10.05%45.46%-32.44%
3 years8.53%22.34%-9.90%
5 years9.19%19.74%1.92%
7 years9.45%14.41%4.42%
10 years9.44%13.72%6.49%
15 years8.69%9.68%7.13%