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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 1998 - Dec 2008)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 65.00%
VBMFX Vanguard Total Bond Market Index Inv 35.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 39.00%
VGTSX Vanguard Total Intl Stock Index Inv 26.00%
VBMFX Vanguard Total Bond Market Index Inv 35.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,520 3.45% 10.34%21.77%-22.31%-26.24% 0.060.080.99
Portfolio 2$10,000$15,463 4.04% 10.27%24.11%-24.14%-29.21% 0.120.150.96
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19981.61%18.13%16.13%$11,813$11,61323.26%8.58%15.60%
19992.68%15.21%16.80%$13,610$13,56423.81%-0.76%29.92%
20003.39%-2.89%-4.20%$13,217$12,995-10.57%11.39%-15.61%
20011.55%-4.18%-6.57%$12,664$12,142-10.97%8.43%-20.15%
20022.38%-10.73%-9.21%$11,305$11,024-20.96%8.26%-15.08%
20031.88%21.77%24.11%$13,766$13,68231.35%3.97%40.34%
20043.26%9.62%11.78%$15,090$15,29312.51%4.24%20.84%
20053.42%4.73%7.22%$15,803$16,3975.98%2.40%15.57%
20062.54%11.58%14.47%$17,633$18,77015.51%4.27%26.64%
20074.08%5.99%8.60%$18,689$20,3845.49%6.92%15.52%
20080.09%-22.31%-24.14%$14,520$15,463-37.04%5.05%-44.10%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199810.75%1.42%$10,075$10,1420.44%1.32%3.04%
199824.73%4.62%$10,551$10,6117.34%-0.10%6.88%
199833.47%2.98%$10,917$10,9285.06%0.33%3.22%
199840.91%0.75%$11,016$11,0101.10%0.51%0.53%
19985-1.50%-1.18%$10,851$10,881-2.71%1.02%-1.51%
199862.63%1.61%$11,137$11,0563.54%0.81%-0.27%
19987-1.46%-0.57%$10,974$10,993-2.27%0.23%1.08%
19988-9.82%-9.30%$9,896$9,971-15.65%1.90%-13.66%
199894.91%2.69%$10,382$10,2396.68%1.96%-2.07%
1998104.57%5.32%$10,857$10,7847.51%-0.55%10.77%
1998114.20%3.97%$11,312$11,2136.17%0.49%5.34%
1998124.42%3.57%$11,813$11,6136.45%0.38%3.26%
199912.65%1.54%$12,125$11,7923.65%0.79%-0.63%
19992-3.06%-2.65%$11,755$11,480-3.73%-1.77%-2.16%
199932.76%3.01%$12,079$11,8263.93%0.56%4.97%
199943.22%3.32%$12,468$12,2184.68%0.40%5.08%
19995-1.63%-2.42%$12,265$11,922-2.00%-0.88%-5.00%
199963.27%3.05%$12,666$12,2865.16%-0.50%4.39%
19997-2.29%-0.85%$12,376$12,181-3.20%-0.39%2.27%
19998-0.64%-0.31%$12,296$12,144-0.92%-0.08%0.33%
19999-1.22%-0.34%$12,147$12,103-2.44%1.26%0.82%
1999104.27%3.60%$12,666$12,5386.29%0.33%3.74%
1999112.31%2.50%$12,959$12,8523.42%0.02%4.08%
1999125.02%5.54%$13,610$13,5647.59%-0.48%9.37%
20001-2.78%-3.31%$13,231$13,115-4.18%-0.17%-6.22%
200022.05%2.12%$13,503$13,3942.54%1.18%2.83%
200034.16%3.59%$14,065$13,8755.69%1.40%3.48%
20004-3.57%-3.60%$13,562$13,375-5.21%-0.49%-5.41%
20005-2.25%-2.05%$13,258$13,100-3.41%-0.16%-2.67%
200063.59%3.55%$13,734$13,5654.42%2.15%4.27%
20007-0.93%-1.55%$13,606$13,355-1.95%0.88%-4.46%
200085.12%3.57%$14,302$13,8327.28%1.40%1.00%
20009-2.75%-2.77%$13,909$13,449-4.67%0.76%-5.00%
200010-1.09%-1.28%$13,758$13,276-2.04%0.57%-3.03%
200011-5.62%-4.24%$12,985$12,713-9.90%1.58%-4.44%
2000121.78%2.22%$13,217$12,9951.78%1.79%3.72%
200113.10%2.39%$13,627$13,3063.83%1.76%1.10%
20012-5.85%-5.36%$12,830$12,593-9.41%0.91%-7.61%
20013-4.03%-4.14%$12,313$12,072-6.72%0.54%-7.15%
200144.82%4.74%$12,906$12,6458.16%-0.46%7.89%
200150.91%-0.23%$13,023$12,6161.01%0.73%-3.52%
20016-0.84%-1.36%$12,914$12,445-1.64%0.52%-3.84%
20017-0.24%-0.38%$12,882$12,397-1.71%2.23%-2.43%
20018-3.29%-2.37%$12,459$12,103-6.00%1.11%-2.30%
20019-5.05%-5.40%$11,830$11,449-9.00%0.89%-10.73%
2001102.24%2.34%$12,095$11,7172.52%1.86%2.97%
2001113.84%2.89%$12,560$12,0557.63%-1.34%3.56%
2001120.83%0.72%$12,664$12,1421.78%-0.58%1.35%
20021-0.57%-1.45%$12,593$11,966-1.24%0.69%-4.63%
20022-1.02%-0.27%$12,464$11,934-2.05%0.85%0.90%
200232.27%2.61%$12,747$12,2454.38%-1.46%5.71%
20024-2.61%-1.21%$12,415$12,096-4.90%1.69%0.42%
20025-0.48%0.14%$12,355$12,113-1.22%0.80%1.16%
20026-4.36%-3.67%$11,817$11,669-7.06%0.29%-4.28%
20027-4.74%-5.31%$11,257$11,049-8.02%0.48%-9.80%
200280.99%0.81%$11,368$11,1390.53%1.66%-0.12%
20029-5.32%-5.62%$10,764$10,512-10.07%1.53%-10.88%
2002104.02%3.62%$11,196$10,8937.65%-0.61%5.70%
2002113.53%3.24%$11,591$11,2466.06%0.02%4.75%
200212-2.47%-1.98%$11,305$11,024-5.57%2.07%-3.43%
20031-1.63%-1.95%$11,120$10,809-2.54%0.05%-3.76%
20032-0.60%-0.78%$11,054$10,725-1.69%1.38%-2.42%
200330.65%-0.11%$11,125$10,7121.09%-0.13%-1.93%
200345.56%5.90%$11,744$11,3448.21%0.87%9.70%
200354.63%4.63%$12,288$11,8706.11%1.82%6.15%
200360.91%1.22%$12,400$12,0141.43%-0.13%2.66%
200370.47%0.67%$12,458$12,0952.36%-3.34%3.18%
200381.82%1.85%$12,685$12,3192.39%0.61%2.51%
200390.07%1.14%$12,694$12,459-1.15%2.71%2.78%
2003103.83%3.95%$13,180$12,9516.12%-0.96%6.49%
2003111.04%1.25%$13,316$13,1131.38%0.27%2.13%
2003123.38%4.33%$13,766$13,6824.48%0.88%7.80%
200411.75%1.59%$14,008$13,8992.23%0.86%1.60%
200421.29%1.57%$14,188$14,1171.43%1.03%2.50%
20043-0.43%-0.03%$14,128$14,113-1.07%0.80%0.45%
20044-2.28%-2.56%$13,805$13,752-2.11%-2.61%-3.14%
200450.73%0.50%$13,906$13,8211.35%-0.43%0.46%
200461.56%1.64%$14,123$14,0482.09%0.56%2.40%
20047-2.17%-2.05%$13,816$13,759-3.80%0.96%-3.34%
200480.89%1.00%$13,938$13,8970.31%1.94%0.75%
200491.18%1.50%$14,102$14,1051.74%0.16%2.96%
2004101.38%1.80%$14,297$14,3581.68%0.85%3.24%
2004112.76%3.46%$14,691$14,8554.68%-0.81%7.23%
2004122.71%2.95%$15,090$15,2933.63%0.92%4.44%
20051-1.51%-1.25%$14,862$15,103-2.68%0.65%-1.67%
200521.11%1.78%$15,027$15,3722.07%-0.63%4.68%
20053-1.31%-1.63%$14,830$15,122-1.75%-0.49%-2.93%
20054-1.02%-0.96%$14,679$14,977-2.32%1.35%-2.07%
200552.78%1.83%$15,088$15,2513.77%1.05%0.08%
200560.72%0.84%$15,196$15,3800.81%0.55%1.30%
200572.29%2.18%$15,544$15,7154.11%-0.99%3.68%
20058-0.15%0.84%$15,521$15,847-0.94%1.36%2.85%
200590.17%1.20%$15,547$16,0380.86%-1.10%4.73%
200510-1.50%-1.92%$15,314$15,730-1.86%-0.81%-3.37%
2005112.76%2.42%$15,736$16,1113.97%0.48%2.67%
2005120.43%1.78%$15,803$16,3970.14%0.99%5.14%
200612.24%3.11%$16,157$16,9083.50%-0.11%6.87%
200620.13%-0.07%$16,178$16,8970.00%0.37%-0.72%
200630.84%1.21%$16,314$17,1021.80%-1.00%3.17%
200640.67%1.77%$16,423$17,4041.11%-0.21%5.12%
20065-2.19%-2.55%$16,064$16,960-3.23%-0.09%-4.45%
200660.15%-0.00%$16,087$16,9590.17%0.10%-0.38%
200670.37%0.72%$16,147$17,081-0.13%1.35%1.15%
200682.08%2.15%$16,484$17,4482.31%1.64%2.53%
200691.77%1.22%$16,775$17,6602.27%0.81%0.25%
2006102.58%2.72%$17,207$18,1403.53%0.72%4.00%
2006111.86%2.28%$17,527$18,5542.23%1.11%3.73%
2006120.60%1.16%$17,633$18,7701.13%-0.48%3.09%
200711.19%0.95%$17,843$18,9491.88%-0.08%0.96%
20072-0.54%-0.10%$17,747$18,930-1.61%1.50%0.06%
200730.73%1.17%$17,876$19,1511.11%0.02%2.80%
200742.79%2.77%$18,374$19,6824.01%0.51%3.92%
200752.16%2.01%$18,771$20,0773.69%-0.78%3.09%
20076-1.24%-0.63%$18,537$19,951-1.67%-0.39%0.61%
20077-1.98%-1.36%$18,169$19,680-3.41%0.84%-1.06%
200781.41%0.82%$18,426$19,8411.45%1.34%-0.72%
200792.60%3.37%$18,906$20,5103.59%0.72%6.38%
2007101.54%2.67%$19,196$21,0571.85%0.93%5.90%
200711-2.33%-2.42%$18,748$20,548-4.49%1.91%-4.57%
200712-0.32%-0.80%$18,689$20,384-0.60%0.22%-2.28%
20081-3.36%-4.00%$18,061$19,568-6.08%1.69%-8.55%
20082-1.87%-1.02%$17,723$19,369-3.07%0.19%0.33%
20083-0.25%-0.29%$17,678$19,313-0.58%0.30%-0.71%
200843.01%3.22%$18,210$19,9355.02%-0.30%5.85%
200851.04%0.89%$18,400$20,1132.09%-0.79%1.51%
20086-5.25%-5.46%$17,433$19,015-8.19%-0.01%-8.99%
20087-0.48%-1.20%$17,350$18,787-0.77%0.00%-3.67%
200881.25%-0.37%$17,566$18,7171.58%0.70%-5.10%
20089-6.17%-6.98%$16,482$17,411-9.26%-1.10%-13.09%
200810-11.60%-12.36%$14,571$15,258-17.63%-2.53%-22.09%
200811-2.82%-2.30%$14,160$14,907-7.90%3.64%-6.29%
2008122.54%3.73%$14,520$15,4631.86%3.32%8.16%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value24.57%12.46%
Large-cap Growth30.59%22.57%
Mid-cap Value10.63%7.43%
Mid-cap Growth2.15%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.06%21.13%
Emerging Markets0.41%4.97%
REITs0.00%0.00%
Corporate Bonds3.01%3.26%
Long-Term Treasuries0.68%0.00%
Intermediate-Term Treasuries12.30%13.73%
Short-Term Treasuries15.60%14.45%
R Squared99.74%99.76%
Style analysis is based on monthly returns from Apr 2005 to Dec 2008 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%65.00%$1,47199.55%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.200.15%35.00%$3,0490.45%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%39.00%$70058.30%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%26.00%$1,67440.99%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.200.15%35.00%$3,0890.70%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2019. © 2019 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)0.33%0.38%
Arithmetic Mean (annualized)4.01%4.60%
Geometric Mean (monthly)0.28%0.33%
Geometric Mean (annualized)3.45%4.04%
Volatility (monthly)2.99%2.97%
Volatility (annualized)10.34%10.27%
Downside Deviation (monthly)2.16%2.16%
Max. Drawdown-26.24%-29.21%
US Market Correlation0.990.96
Beta(*)0.620.60
Alpha (annualized)2.26%2.89%
R297.93%92.88%
Sharpe Ratio0.060.12
Sortino Ratio0.080.15
Treynor Ratio (%)1.001.97
Calmar Ratio-0.11-0.07
Active Return2.14%2.73%
Tracking Error6.34%7.05%
Information Ratio0.340.39
Skewness-0.93-1.09
Excess Kurtosis1.712.31
Historical Value-at-Risk (5%)-5.27%-5.37%
Analytical Value-at-Risk (5%)-4.71%-4.66%
Conditional Value-at-Risk (5%)-7.40%-7.52%
Upside Capture Ratio (%)66.4966.15
Downside Capture Ratio (%)60.1857.16
Safe Withdrawal Rate11.12%11.25%
Perpetual Withdrawal Rate0.98%1.54%
Positive Periods79 out of 132 (59.85%)76 out of 132 (57.58%)
Gain/Loss Ratio0.891.02
* 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
Russian Debt DefaultJul 1998Oct 1998-11.14%-9.81%
Dotcom CrashMar 2000Oct 2002-24.74%-24.23%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Nov 20081 year 1 month-26.24%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-24.74%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-11.14%
4Apr 2000May 20002 monthsAug 20003 months5 months-5.74%
5Jul 1999Sep 19993 monthsNov 19992 months5 months-4.10%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-3.20%
7Feb 1999Feb 19991 monthApr 19992 months3 months-3.06%
8Jan 2000Jan 20001 monthMar 20002 months3 months-2.78%
9Jan 2005Apr 20054 monthsJun 20052 months6 months-2.72%
10May 2006May 20061 monthAug 20063 months4 months-2.19%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Nov 20081 year 1 month-29.21%
2Apr 2000Sep 20022 years 6 monthsJan 20041 year 4 months3 years 10 months-24.23%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.81%
4Jan 2000Jan 20001 monthMar 20002 months3 months-3.31%
5Feb 1999Feb 19991 monthMar 19991 month2 months-2.65%
6Mar 2004Apr 20042 monthsOct 20046 months8 months-2.58%
7Mar 2005Apr 20052 monthsJun 20052 months4 months-2.57%
8May 2006Jun 20062 monthsAug 20062 months4 months-2.55%
9May 1999May 19991 monthJun 19991 month2 months-2.42%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-1.98%
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 Inv1.31%16.40%31.35%-37.04%-44.11%-0.04-0.051.00
VBMFXVanguard Total Bond Market Index Inv5.65%3.73%11.39%-0.76%-3.99%0.610.97-0.10
VGTSXVanguard Total Intl Stock Index Inv2.95%17.56%40.34%-44.10%-51.80%0.070.090.87

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVGTSXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv--0.100.870.990.96
VBMFXVanguard Total Bond Market Index Inv-0.10--0.030.040.06
VGTSXVanguard Total Intl Stock Index Inv0.87-0.03-0.870.95

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$1,471$700
VBMFXVanguard Total Bond Market Index Inv$3,049$3,089
VGTSXVanguard Total Intl Stock Index Inv$1,674

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv99.55%58.30%
VBMFXVanguard Total Bond Market Index Inv0.45%0.70%
VGTSXVanguard Total Intl Stock Index Inv40.99%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.26%21.77%-22.31%5.00%24.11%-24.14%
3 years4.28%11.81%-6.00%5.23%14.15%-6.68%
5 years4.26%10.58%1.07%5.31%13.08%1.97%
7 years4.22%6.05%1.97%5.24%6.64%3.51%
10 years4.27%6.45%2.09%5.14%7.38%2.90%
Result statistics are based on annualized rolling returns over full calendar year periods