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.
| Ticker | Name | Allocation |
|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | 47.00% |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 53.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| DFSVX | DFA US Small Cap Value I | 38.00% |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 62.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | 67.00% |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 33.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $13,793 | 6.64% | 16.09% | 35.30% | -17.71% | -27.18% | 0.35 | 0.49 | 0.95 |
| Portfolio 2 | $10,000 | $15,116 | 8.61% | 16.13% | 42.01% | -16.52% | -25.78% | 0.46 | 0.68 | 0.96 |
| Portfolio 3 | $10,000 | $15,100 | 8.59% | 16.84% | 36.98% | -16.32% | -28.22% | 0.45 | 0.64 | 0.91 |
| Name | Annualized Return | Annualized Volatility | |||||
|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
| Portfolio 1 | 1.26% | 5.99% | 18.91% | 6.64% | 6.64% | 11.85% | 16.09% |
| Portfolio 2 | 1.91% | 6.67% | 21.16% | 8.61% | 8.61% | 12.13% | 16.13% |
| Portfolio 3 | 0.88% | 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. | |||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | iShares S&P Small-Cap 600 Value ETF (IJS) | Vanguard Total Stock Mkt Idx Inv (VTSMX) | DFA US Small Cap Value I (DFSVX) | |||
|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | |||||
| 2001 | 1.55% | -0.32% | $9,968 | 1.81% | $10,181 | 4.21% | $10,421 | 11.68% | -10.97% | 22.65% |
| 2002 | 2.38% | -17.71% | $8,203 | -16.52% | $8,499 | -16.32% | $8,720 | -14.04% | -20.96% | -9.27% |
| 2003 | 1.88% | 35.30% | $11,099 | 42.01% | $12,070 | 36.98% | $11,945 | 39.76% | 31.35% | 59.40% |
| 2004 | 3.26% | 17.25% | $13,014 | 17.41% | $14,171 | 19.27% | $14,247 | 22.60% | 12.51% | 25.39% |
| 2005 | 3.42% | 5.99% | $13,793 | 6.67% | $15,116 | 5.99% | $15,100 | 6.00% | 5.98% | 7.79% |
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | Portfolio 3 Return | iShares S&P Small-Cap 600 Value ETF (IJS) | Vanguard Total Stock Mkt Idx Inv (VTSMX) | DFA US Small Cap Value I (DFSVX) |
|---|---|---|---|---|---|---|---|
| 2001 | 1 | 5.72% | 6.29% | 6.53% | 7.86% | 3.83% | 10.31% |
| 2001 | 2 | -6.92% | -6.46% | -5.89% | -4.21% | -9.41% | -1.92% |
| 2001 | 3 | -5.84% | -4.96% | -5.49% | -4.94% | -6.72% | -2.46% |
| 2001 | 4 | 7.50% | 7.30% | 7.23% | 6.82% | 8.16% | 6.12% |
| 2001 | 5 | 1.95% | 3.17% | 2.33% | 2.91% | 1.01% | 6.16% |
| 2001 | 6 | 0.18% | 0.69% | 0.90% | 2.01% | -1.64% | 3.74% |
| 2001 | 7 | -0.96% | -1.67% | -0.67% | -0.22% | -1.71% | -1.63% |
| 2001 | 8 | -3.42% | -3.93% | -2.44% | -0.96% | -6.00% | -1.34% |
| 2001 | 9 | -11.91% | -11.54% | -12.97% | -14.53% | -9.00% | -14.56% |
| 2001 | 10 | 3.53% | 3.14% | 3.92% | 4.50% | 2.52% | 3.93% |
| 2001 | 11 | 7.59% | 7.71% | 7.58% | 7.55% | 7.63% | 7.81% |
| 2001 | 12 | 4.38% | 4.12% | 5.36% | 6.83% | 1.78% | 7.02% |
| 2002 | 1 | 0.35% | -0.18% | 1.03% | 2.14% | -1.24% | 1.54% |
| 2002 | 2 | -1.27% | -1.32% | -0.95% | -0.42% | -2.05% | -0.16% |
| 2002 | 3 | 6.47% | 6.52% | 7.33% | 8.72% | 4.38% | 9.86% |
| 2002 | 4 | -0.50% | -1.09% | 1.26% | 4.03% | -4.90% | 4.53% |
| 2002 | 5 | -2.46% | -2.04% | -2.93% | -3.63% | -1.22% | -3.15% |
| 2002 | 6 | -5.82% | -4.96% | -5.35% | -4.62% | -7.06% | -2.07% |
| 2002 | 7 | -12.02% | -11.31% | -13.52% | -15.78% | -8.02% | -15.60% |
| 2002 | 8 | 0.06% | -0.21% | -0.13% | -0.42% | 0.53% | -1.25% |
| 2002 | 9 | -9.01% | -8.93% | -8.58% | -7.91% | -10.07% | -7.28% |
| 2002 | 10 | 5.13% | 5.14% | 4.14% | 2.58% | 7.65% | 1.62% |
| 2002 | 11 | 5.79% | 7.05% | 5.68% | 5.50% | 6.06% | 8.52% |
| 2002 | 12 | -4.20% | -4.76% | -3.64% | -2.74% | -5.57% | -3.58% |
| 2003 | 1 | -3.25% | -2.89% | -3.56% | -4.05% | -2.54% | -3.45% |
| 2003 | 2 | -2.79% | -2.60% | -3.27% | -4.05% | -1.69% | -4.11% |
| 2003 | 3 | 0.52% | 0.60% | 0.27% | -0.15% | 1.09% | -0.21% |
| 2003 | 4 | 8.48% | 9.08% | 8.61% | 8.81% | 8.21% | 10.56% |
| 2003 | 5 | 7.63% | 8.21% | 8.29% | 9.42% | 6.11% | 11.72% |
| 2003 | 6 | 2.10% | 2.29% | 2.38% | 2.85% | 1.43% | 3.65% |
| 2003 | 7 | 3.55% | 4.19% | 4.06% | 4.91% | 2.36% | 7.04% |
| 2003 | 8 | 3.61% | 3.49% | 4.12% | 4.96% | 2.39% | 5.14% |
| 2003 | 9 | -2.28% | -1.00% | -2.75% | -3.51% | -1.15% | -0.78% |
| 2003 | 10 | 7.53% | 7.71% | 8.12% | 9.09% | 6.12% | 10.00% |
| 2003 | 11 | 2.79% | 2.54% | 3.37% | 4.30% | 1.38% | 4.16% |
| 2003 | 12 | 3.61% | 4.84% | 3.26% | 2.71% | 4.48% | 5.33% |
| 2004 | 1 | 2.20% | 3.24% | 2.19% | 2.17% | 2.23% | 4.89% |
| 2004 | 2 | 1.93% | 1.42% | 2.15% | 2.50% | 1.43% | 1.41% |
| 2004 | 3 | 0.30% | -0.29% | 0.88% | 1.82% | -1.07% | 0.94% |
| 2004 | 4 | -2.98% | -2.52% | -3.35% | -3.93% | -2.11% | -3.17% |
| 2004 | 5 | 1.45% | 0.97% | 1.50% | 1.58% | 1.35% | 0.38% |
| 2004 | 6 | 3.64% | 3.87% | 4.29% | 5.35% | 2.09% | 6.69% |
| 2004 | 7 | -4.26% | -4.41% | -4.45% | -4.75% | -3.80% | -5.33% |
| 2004 | 8 | 0.28% | -0.40% | 0.26% | 0.24% | 0.31% | -1.49% |
| 2004 | 9 | 3.16% | 2.98% | 3.75% | 4.69% | 1.74% | 4.93% |
| 2004 | 10 | 1.32% | 1.39% | 1.18% | 0.95% | 1.68% | 0.96% |
| 2004 | 11 | 6.84% | 6.78% | 7.71% | 9.11% | 4.68% | 10.00% |
| 2004 | 12 | 2.61% | 3.63% | 2.21% | 1.57% | 3.63% | 3.62% |
| 2005 | 1 | -2.95% | -3.02% | -3.06% | -3.25% | -2.68% | -3.57% |
| 2005 | 2 | 2.46% | 2.31% | 2.63% | 2.90% | 2.07% | 2.70% |
| 2005 | 3 | -2.04% | -1.82% | -2.16% | -2.36% | -1.75% | -1.95% |
| 2005 | 4 | -3.63% | -4.20% | -4.19% | -5.12% | -2.32% | -7.28% |
| 2005 | 5 | 4.87% | 4.83% | 5.35% | 6.16% | 3.77% | 6.65% |
| 2005 | 6 | 2.26% | 2.07% | 2.88% | 3.92% | 0.81% | 4.17% |
| 2005 | 7 | 4.93% | 5.25% | 5.28% | 5.84% | 4.11% | 7.11% |
| 2005 | 8 | -1.39% | -1.22% | -1.57% | -1.87% | -0.94% | -1.67% |
| 2005 | 9 | 0.47% | 0.83% | 0.31% | 0.05% | 0.86% | 0.80% |
| 2005 | 10 | -2.60% | -2.27% | -2.91% | -3.41% | -1.86% | -2.92% |
| 2005 | 11 | 4.41% | 4.06% | 4.60% | 4.91% | 3.97% | 4.21% |
| 2005 | 12 | -0.43% | 0.21% | -0.67% | -1.06% | 0.14% | 0.34% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | Small Value | 47.00% | 1.00% | 0.18% | 18.34 | $2,970 | 52.20% |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | Large Blend | 53.00% | 1.28% | 0.14% | 27.94 | $823 | 47.80% |
| 100.00% | 1.15% | 0.16% | 23.43 | $3,793 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| DFSVX | DFA US Small Cap Value I | Small Value | 38.00% | 1.96% | 0.51% | 13.07 | $4,005 | 43.93% |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | Large Blend | 62.00% | 1.28% | 0.14% | 27.94 | $1,111 | 56.07% |
| 100.00% | 1.54% | 0.28% | 22.29 | $5,116 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | Small Value | 67.00% | 1.00% | 0.18% | 18.34 | $4,506 | 72.75% |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | Large Blend | 33.00% | 1.28% | 0.14% | 27.94 | $594 | 27.25% |
| 100.00% | 1.09% | 0.17% | 21.51 | $5,100 | 100.00% |
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.
| Metric | Portfolio 1 | Portfolio 2 | Portfolio 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 Correlation | 0.95 | 0.96 | 0.91 |
| Beta(*) | 1.01 | 1.02 | 1.01 |
| Alpha (annualized) | 4.62% | 6.44% | 6.56% |
| R2 | 90.58% | 91.44% | 83.23% |
| Sharpe Ratio | 0.35 | 0.46 | 0.45 |
| Sortino Ratio | 0.49 | 0.68 | 0.64 |
| Treynor Ratio (%) | 5.54 | 7.31 | 7.45 |
| Calmar Ratio | 3.09 | 3.17 | 2.98 |
| Active Return | 4.68% | 6.65% | 6.63% |
| Tracking Error | 4.94% | 4.73% | 6.90% |
| Information Ratio | 0.95 | 1.41 | 0.96 |
| Skewness | -0.62 | -0.51 | -0.71 |
| Excess Kurtosis | 0.38 | 0.16 | 0.74 |
| 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 (%) | 118.36 | 124.67 | 126.11 |
| Downside Capture Ratio (%) | 95.71 | 92.76 | 94.09 |
| Safe Withdrawal Rate | 20.40% | 21.65% | 21.88% |
| Perpetual Withdrawal Rate | 3.89% | 5.64% | 5.62% |
| Positive Periods | 37 out of 60 (61.67%) | 34 out of 60 (56.67%) | 37 out of 60 (61.67%) |
| Gain/Loss Ratio | 0.88 | 1.17 | 0.94 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2001 | Sep 2002 | 1 year 8 months | Nov 2003 | 1 year 2 months | 2 years 10 months | -27.18% |
| 2 | Jan 2005 | Apr 2005 | 4 months | Jun 2005 | 2 months | 6 months | -6.12% |
| 3 | Jul 2004 | Jul 2004 | 1 month | Oct 2004 | 3 months | 4 months | -4.26% |
| 4 | Aug 2005 | Oct 2005 | 3 months | Nov 2005 | 1 month | 4 months | -3.50% |
| 5 | Apr 2004 | Apr 2004 | 1 month | Jun 2004 | 2 months | 3 months | -2.98% |
| 6 | Dec 2005 | Dec 2005 | 1 month | -0.43% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Apr 2002 | Sep 2002 | 6 months | Oct 2003 | 1 year 1 month | 1 year 7 months | -25.78% |
| 2 | Feb 2001 | Sep 2001 | 8 months | Mar 2002 | 6 months | 1 year 2 months | -17.20% |
| 3 | Jan 2005 | Apr 2005 | 4 months | Jul 2005 | 3 months | 7 months | -6.68% |
| 4 | Jul 2004 | Aug 2004 | 2 months | Nov 2004 | 3 months | 5 months | -4.79% |
| 5 | Mar 2004 | Apr 2004 | 2 months | Jun 2004 | 2 months | 4 months | -2.81% |
| 6 | Aug 2005 | Oct 2005 | 3 months | Nov 2005 | 1 month | 4 months | -2.66% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | May 2002 | Feb 2003 | 10 months | Nov 2003 | 9 months | 1 year 7 months | -28.22% |
| 2 | Feb 2001 | Sep 2001 | 8 months | Mar 2002 | 6 months | 1 year 2 months | -16.94% |
| 3 | Jan 2005 | Apr 2005 | 4 months | Jun 2005 | 2 months | 6 months | -6.75% |
| 4 | Jul 2004 | Jul 2004 | 1 month | Oct 2004 | 3 months | 4 months | -4.45% |
| 5 | Aug 2005 | Oct 2005 | 3 months | Nov 2005 | 1 month | 4 months | -4.14% |
| 6 | Apr 2004 | Apr 2004 | 1 month | Jun 2004 | 2 months | 3 months | -3.35% |
| 7 | Dec 2005 | Dec 2005 | 1 month | -0.67% |
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | 11.76% | 18.40% | 39.76% | -14.04% | -31.31% | 0.58 | 0.85 | 0.84 |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 1.97% | 15.17% | 31.35% | -20.96% | -37.14% | 0.06 | 0.08 | 1.00 |
| DFSVX | DFA US Small Cap Value I | 19.11% | 19.62% | 59.40% | -9.27% | -28.00% | 0.89 | 1.43 | 0.81 |
| Ticker | Name | IJS | VTSMX | DFSVX | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | 1.00 | 0.84 | 0.97 | 0.97 | 0.95 | 0.99 |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 0.84 | 1.00 | 0.81 | 0.95 | 0.96 | 0.91 |
| DFSVX | DFA US Small Cap Value I | 0.97 | 0.81 | 1.00 | 0.94 | 0.94 | 0.96 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | $2,970 | $4,506 | |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | $823 | $1,111 | $594 |
| DFSVX | DFA US Small Cap Value I | $4,005 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| IJS | iShares S&P Small-Cap 600 Value ETF | 52.20% | 72.75% | |
| VTSMX | Vanguard Total Stock Mkt Idx Inv | 47.80% | 56.07% | 27.25% |
| DFSVX | DFA US Small Cap Value I | 43.93% |
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 9.30% | 49.88% | -26.25% | 11.14% | 57.21% | -24.29% | 11.15% | 54.19% | -27.12% |
| 3 years | 9.60% | 20.95% | 2.37% | 11.84% | 23.22% | 5.44% | 11.13% | 22.10% | 4.64% |