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 2001 - Dec 2005)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 47.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 53.00%
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Portfolio 2
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 38.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 62.00%
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Portfolio 3
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 67.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 33.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,793 6.64% 16.09%35.30%-17.71%-27.18% 0.350.490.95
Portfolio 2$10,000$15,116 8.61% 16.13%42.01%-16.52%-25.78% 0.460.680.96
Portfolio 3$10,000$15,100 8.59% 16.84%36.98%-16.32%-28.22% 0.450.640.91
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 11.26%5.99%18.91%6.64%6.64%11.85%16.09%
Portfolio 21.91%6.67%21.16%8.61%8.61%12.13%16.13%
Portfolio 30.88%5.99%20.09%8.59%8.59%12.91%16.84%
Trailing annualized return and volatility are for full months ending in December 2005 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
YearInflationPortfolio 1Portfolio 2Portfolio 3iShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Total Stock Mkt Idx Inv (VTSMX)DFA US Small Cap Value I (DFSVX)
ReturnBalanceReturnBalanceReturnBalance
20011.55%-0.32%$9,9681.81%$10,1814.21%$10,42111.68%-10.97%22.65%
20022.38%-17.71%$8,203-16.52%$8,499-16.32%$8,720-14.04%-20.96%-9.27%
20031.88%35.30%$11,09942.01%$12,07036.98%$11,94539.76%31.35%59.40%
20043.26%17.25%$13,01417.41%$14,17119.27%$14,24722.60%12.51%25.39%
20053.42%5.99%$13,7936.67%$15,1165.99%$15,1006.00%5.98%7.79%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturniShares S&P Small-Cap 600 Value ETF (IJS)Vanguard Total Stock Mkt Idx Inv (VTSMX)DFA US Small Cap Value I (DFSVX)
200115.72%6.29%6.53%7.86%3.83%10.31%
20012-6.92%-6.46%-5.89%-4.21%-9.41%-1.92%
20013-5.84%-4.96%-5.49%-4.94%-6.72%-2.46%
200147.50%7.30%7.23%6.82%8.16%6.12%
200151.95%3.17%2.33%2.91%1.01%6.16%
200160.18%0.69%0.90%2.01%-1.64%3.74%
20017-0.96%-1.67%-0.67%-0.22%-1.71%-1.63%
20018-3.42%-3.93%-2.44%-0.96%-6.00%-1.34%
20019-11.91%-11.54%-12.97%-14.53%-9.00%-14.56%
2001103.53%3.14%3.92%4.50%2.52%3.93%
2001117.59%7.71%7.58%7.55%7.63%7.81%
2001124.38%4.12%5.36%6.83%1.78%7.02%
200210.35%-0.18%1.03%2.14%-1.24%1.54%
20022-1.27%-1.32%-0.95%-0.42%-2.05%-0.16%
200236.47%6.52%7.33%8.72%4.38%9.86%
20024-0.50%-1.09%1.26%4.03%-4.90%4.53%
20025-2.46%-2.04%-2.93%-3.63%-1.22%-3.15%
20026-5.82%-4.96%-5.35%-4.62%-7.06%-2.07%
20027-12.02%-11.31%-13.52%-15.78%-8.02%-15.60%
200280.06%-0.21%-0.13%-0.42%0.53%-1.25%
20029-9.01%-8.93%-8.58%-7.91%-10.07%-7.28%
2002105.13%5.14%4.14%2.58%7.65%1.62%
2002115.79%7.05%5.68%5.50%6.06%8.52%
200212-4.20%-4.76%-3.64%-2.74%-5.57%-3.58%
20031-3.25%-2.89%-3.56%-4.05%-2.54%-3.45%
20032-2.79%-2.60%-3.27%-4.05%-1.69%-4.11%
200330.52%0.60%0.27%-0.15%1.09%-0.21%
200348.48%9.08%8.61%8.81%8.21%10.56%
200357.63%8.21%8.29%9.42%6.11%11.72%
200362.10%2.29%2.38%2.85%1.43%3.65%
200373.55%4.19%4.06%4.91%2.36%7.04%
200383.61%3.49%4.12%4.96%2.39%5.14%
20039-2.28%-1.00%-2.75%-3.51%-1.15%-0.78%
2003107.53%7.71%8.12%9.09%6.12%10.00%
2003112.79%2.54%3.37%4.30%1.38%4.16%
2003123.61%4.84%3.26%2.71%4.48%5.33%
200412.20%3.24%2.19%2.17%2.23%4.89%
200421.93%1.42%2.15%2.50%1.43%1.41%
200430.30%-0.29%0.88%1.82%-1.07%0.94%
20044-2.98%-2.52%-3.35%-3.93%-2.11%-3.17%
200451.45%0.97%1.50%1.58%1.35%0.38%
200463.64%3.87%4.29%5.35%2.09%6.69%
20047-4.26%-4.41%-4.45%-4.75%-3.80%-5.33%
200480.28%-0.40%0.26%0.24%0.31%-1.49%
200493.16%2.98%3.75%4.69%1.74%4.93%
2004101.32%1.39%1.18%0.95%1.68%0.96%
2004116.84%6.78%7.71%9.11%4.68%10.00%
2004122.61%3.63%2.21%1.57%3.63%3.62%
20051-2.95%-3.02%-3.06%-3.25%-2.68%-3.57%
200522.46%2.31%2.63%2.90%2.07%2.70%
20053-2.04%-1.82%-2.16%-2.36%-1.75%-1.95%
20054-3.63%-4.20%-4.19%-5.12%-2.32%-7.28%
200554.87%4.83%5.35%6.16%3.77%6.65%
200562.26%2.07%2.88%3.92%0.81%4.17%
200574.93%5.25%5.28%5.84%4.11%7.11%
20058-1.39%-1.22%-1.57%-1.87%-0.94%-1.67%
200590.47%0.83%0.31%0.05%0.86%0.80%
200510-2.60%-2.27%-2.91%-3.41%-1.86%-2.92%
2005114.41%4.06%4.60%4.91%3.97%4.21%
200512-0.43%0.21%-0.67%-1.06%0.14%0.34%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value47.00%1.00%0.18%18.34$2,97052.20%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend53.00%1.28%0.14%27.94$82347.80%
100.00%1.15%0.16%23.43$3,793100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value38.00%1.96%0.51%13.07$4,00543.93%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend62.00%1.28%0.14%27.94$1,11156.07%
100.00%1.54%0.28%22.29$5,116100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value67.00%1.00%0.18%18.34$4,50672.75%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend33.00%1.28%0.14%27.94$59427.25%
100.00%1.09%0.17%21.51$5,100100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/26/2021. (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 2Portfolio 3
Arithmetic Mean (monthly)0.64%0.80%0.81%
Arithmetic Mean (annualized)8.02%10.02%10.13%
Geometric Mean (monthly)0.54%0.69%0.69%
Geometric Mean (annualized)6.64%8.61%8.59%
Volatility (monthly)4.64%4.66%4.86%
Volatility (annualized)16.09%16.13%16.84%
Downside Deviation (monthly)3.18%3.05%3.30%
Max. Drawdown-27.18%-25.78%-28.22%
US Market Correlation0.950.960.91
Beta(*)1.011.021.01
Alpha (annualized)4.62%6.44%6.56%
R290.58%91.44%83.23%
Sharpe Ratio0.350.460.45
Sortino Ratio0.490.680.64
Treynor Ratio (%)5.547.317.45
Calmar Ratio3.093.172.98
Active Return4.68%6.65%6.63%
Tracking Error4.94%4.73%6.90%
Information Ratio0.951.410.96
Skewness-0.62-0.51-0.71
Excess Kurtosis0.380.160.74
Historical Value-at-Risk (5%)-7.03%-6.58%-6.02%
Analytical Value-at-Risk (5%)-6.90%-6.77%-7.09%
Conditional Value-at-Risk (5%)-10.98%-10.59%-11.69%
Upside Capture Ratio (%)118.36124.67126.11
Downside Capture Ratio (%)95.7192.7694.09
Safe Withdrawal Rate20.40%21.65%21.88%
Perpetual Withdrawal Rate3.89%5.64%5.62%
Positive Periods37 out of 60 (61.67%)34 out of 60 (56.67%)37 out of 60 (61.67%)
Gain/Loss Ratio0.881.170.94
* 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
1Feb 2001Sep 20021 year 8 monthsNov 20031 year 2 months2 years 10 months-27.18%
2Jan 2005Apr 20054 monthsJun 20052 months6 months-6.12%
3Jul 2004Jul 20041 monthOct 20043 months4 months-4.26%
4Aug 2005Oct 20053 monthsNov 20051 month4 months-3.50%
5Apr 2004Apr 20041 monthJun 20042 months3 months-2.98%
6Dec 2005Dec 20051 month-0.43%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-25.78%
2Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-17.20%
3Jan 2005Apr 20054 monthsJul 20053 months7 months-6.68%
4Jul 2004Aug 20042 monthsNov 20043 months5 months-4.79%
5Mar 2004Apr 20042 monthsJun 20042 months4 months-2.81%
6Aug 2005Oct 20053 monthsNov 20051 month4 months-2.66%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2002Feb 200310 monthsNov 20039 months1 year 7 months-28.22%
2Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-16.94%
3Jan 2005Apr 20054 monthsJun 20052 months6 months-6.75%
4Jul 2004Jul 20041 monthOct 20043 months4 months-4.45%
5Aug 2005Oct 20053 monthsNov 20051 month4 months-4.14%
6Apr 2004Apr 20041 monthJun 20042 months3 months-3.35%
7Dec 2005Dec 20051 month-0.67%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJSiShares S&P Small-Cap 600 Value ETF11.76%18.40%39.76%-14.04%-31.31%0.580.850.84
VTSMXVanguard Total Stock Mkt Idx Inv1.97%15.17%31.35%-20.96%-37.14%0.060.081.00
DFSVXDFA US Small Cap Value I19.11%19.62%59.40%-9.27%-28.00%0.891.430.81

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJSVTSMXDFSVXPortfolio 1Portfolio 2Portfolio 3
IJSiShares S&P Small-Cap 600 Value ETF1.000.840.970.970.950.99
VTSMXVanguard Total Stock Mkt Idx Inv0.841.000.810.950.960.91
DFSVXDFA US Small Cap Value I0.970.811.000.940.940.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IJSiShares S&P Small-Cap 600 Value ETF$2,970$4,506
VTSMXVanguard Total Stock Mkt Idx Inv$823$1,111$594
DFSVXDFA US Small Cap Value I$4,005

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IJSiShares S&P Small-Cap 600 Value ETF52.20%72.75%
VTSMXVanguard Total Stock Mkt Idx Inv47.80%56.07%27.25%
DFSVXDFA US Small Cap Value I43.93%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.30%49.88%-26.25%11.14%57.21%-24.29%11.15%54.19%-27.12%
3 years9.60%20.95%2.37%11.84%23.22%5.44%11.13%22.10%4.64%