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.
Trailing annualized return and volatility are for full months ending in December 2010 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
Year
Inflation
Portfolio 1 Return
Portfolio 1 Balance
Vanguard Total Stock Mkt Idx Inv (VTSMX)
2000
3.39%
-10.57%
$894,253
-10.57%
2001
1.55%
-10.97%
$796,190
-10.97%
2002
2.38%
-20.96%
$629,302
-20.96%
2003
1.88%
31.35%
$826,612
31.35%
2004
3.26%
12.51%
$930,057
12.51%
2005
3.42%
5.98%
$985,678
5.98%
2006
2.54%
15.51%
$1,138,567
15.51%
2007
4.08%
5.49%
$1,201,069
5.49%
2008
0.09%
-37.04%
$756,220
-37.04%
2009
2.72%
28.70%
$973,240
28.70%
2010
1.50%
17.09%
$1,139,602
17.09%
Monthly returns for the configured portfolios
Year
Month
Portfolio 1 Return
Vanguard Total Stock Mkt Idx Inv (VTSMX)
2000
1
-4.18%
-4.18%
2000
2
2.54%
2.54%
2000
3
5.69%
5.69%
2000
4
-5.21%
-5.21%
2000
5
-3.41%
-3.41%
2000
6
4.42%
4.42%
2000
7
-1.95%
-1.95%
2000
8
7.28%
7.28%
2000
9
-4.67%
-4.67%
2000
10
-2.04%
-2.04%
2000
11
-9.90%
-9.90%
2000
12
1.78%
1.78%
2001
1
3.83%
3.83%
2001
2
-9.41%
-9.41%
2001
3
-6.72%
-6.72%
2001
4
8.16%
8.16%
2001
5
1.01%
1.01%
2001
6
-1.64%
-1.64%
2001
7
-1.71%
-1.71%
2001
8
-6.00%
-6.00%
2001
9
-9.00%
-9.00%
2001
10
2.52%
2.52%
2001
11
7.63%
7.63%
2001
12
1.78%
1.78%
2002
1
-1.24%
-1.24%
2002
2
-2.05%
-2.05%
2002
3
4.38%
4.38%
2002
4
-4.90%
-4.90%
2002
5
-1.22%
-1.22%
2002
6
-7.06%
-7.06%
2002
7
-8.02%
-8.02%
2002
8
0.53%
0.53%
2002
9
-10.07%
-10.07%
2002
10
7.65%
7.65%
2002
11
6.06%
6.06%
2002
12
-5.57%
-5.57%
2003
1
-2.54%
-2.54%
2003
2
-1.69%
-1.69%
2003
3
1.09%
1.09%
2003
4
8.21%
8.21%
2003
5
6.11%
6.11%
2003
6
1.43%
1.43%
2003
7
2.36%
2.36%
2003
8
2.39%
2.39%
2003
9
-1.15%
-1.15%
2003
10
6.12%
6.12%
2003
11
1.38%
1.38%
2003
12
4.48%
4.48%
2004
1
2.23%
2.23%
2004
2
1.43%
1.43%
2004
3
-1.07%
-1.07%
2004
4
-2.11%
-2.11%
2004
5
1.35%
1.35%
2004
6
2.09%
2.09%
2004
7
-3.80%
-3.80%
2004
8
0.31%
0.31%
2004
9
1.74%
1.74%
2004
10
1.68%
1.68%
2004
11
4.68%
4.68%
2004
12
3.63%
3.63%
2005
1
-2.68%
-2.68%
2005
2
2.07%
2.07%
2005
3
-1.75%
-1.75%
2005
4
-2.32%
-2.32%
2005
5
3.77%
3.77%
2005
6
0.81%
0.81%
2005
7
4.11%
4.11%
2005
8
-0.94%
-0.94%
2005
9
0.86%
0.86%
2005
10
-1.86%
-1.86%
2005
11
3.97%
3.97%
2005
12
0.14%
0.14%
2006
1
3.50%
3.50%
2006
2
0.00%
0.00%
2006
3
1.80%
1.80%
2006
4
1.11%
1.11%
2006
5
-3.23%
-3.23%
2006
6
0.17%
0.17%
2006
7
-0.13%
-0.13%
2006
8
2.31%
2.31%
2006
9
2.27%
2.27%
2006
10
3.53%
3.53%
2006
11
2.23%
2.23%
2006
12
1.13%
1.13%
2007
1
1.88%
1.88%
2007
2
-1.61%
-1.61%
2007
3
1.11%
1.11%
2007
4
4.01%
4.01%
2007
5
3.69%
3.69%
2007
6
-1.67%
-1.67%
2007
7
-3.41%
-3.41%
2007
8
1.45%
1.45%
2007
9
3.59%
3.59%
2007
10
1.85%
1.85%
2007
11
-4.49%
-4.49%
2007
12
-0.60%
-0.60%
2008
1
-6.08%
-6.08%
2008
2
-3.07%
-3.07%
2008
3
-0.58%
-0.58%
2008
4
5.02%
5.02%
2008
5
2.09%
2.09%
2008
6
-8.19%
-8.19%
2008
7
-0.77%
-0.77%
2008
8
1.58%
1.58%
2008
9
-9.26%
-9.26%
2008
10
-17.63%
-17.63%
2008
11
-7.90%
-7.90%
2008
12
1.86%
1.86%
2009
1
-8.26%
-8.26%
2009
2
-10.45%
-10.45%
2009
3
8.65%
8.65%
2009
4
10.61%
10.61%
2009
5
5.38%
5.38%
2009
6
0.34%
0.34%
2009
7
7.82%
7.82%
2009
8
3.63%
3.63%
2009
9
4.23%
4.23%
2009
10
-2.57%
-2.57%
2009
11
5.63%
5.63%
2009
12
2.86%
2.86%
2010
1
-3.50%
-3.50%
2010
2
3.36%
3.36%
2010
3
6.27%
6.27%
2010
4
2.17%
2.17%
2010
5
-8.00%
-8.00%
2010
6
-5.66%
-5.66%
2010
7
6.99%
6.99%
2010
8
-4.75%
-4.75%
2010
9
9.47%
9.47%
2010
10
3.94%
3.94%
2010
11
0.58%
0.58%
2010
12
6.81%
6.81%
Returns Based Style Analysis
Returns Based Style Analysis
Style Category
Portfolio 1
Large-cap Value
38.97%
Large-cap Growth
42.38%
Mid-cap Value
4.27%
Mid-cap Growth
9.63%
Small-cap Value
4.01%
Small-cap Growth
0.00%
Global ex-US Developed Markets
0.00%
Emerging Markets
0.74%
Corporate Bonds
0.00%
Long-Term Treasuries
0.00%
Intermediate-Term Treasuries
0.00%
Short-Term Treasuries
0.00%
R Squared
99.89%
Style analysis is based on monthly returns from April 2005 to December 2010 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
Ticker
Name
Category
Weight
Yield
Fees
P/E
Return Contribution
Risk Contribution
VTSMX
Vanguard Total Stock Mkt Idx Inv
Large Blend
100.00%
1.27%
0.14%
27.11
$139,602
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fixed Income Maturity
Fund fundamentals data as of 03/05/2021. (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
Metric
Portfolio 1
Arithmetic Mean (monthly)
0.22%
Arithmetic Mean (annualized)
2.66%
Geometric Mean (monthly)
0.10%
Geometric Mean (annualized)
1.20%
Volatility (monthly)
4.87%
Volatility (annualized)
16.86%
Downside Deviation (monthly)
3.59%
Max. Drawdown
-50.89%
US Market Correlation
1.00
Beta(*)
1.00
Alpha (annualized)
-0.00%
R2
100.00%
Sharpe Ratio
0.01
Sortino Ratio
0.01
Treynor Ratio (%)
0.12
Calmar Ratio
-0.04
Active Return
-0.00%
Tracking Error
0.00%
Information Ratio
-0.47
Skewness
-0.60
Excess Kurtosis
0.62
Historical Value-at-Risk (5%)
-8.59%
Analytical Value-at-Risk (5%)
-7.79%
Conditional Value-at-Risk (5%)
-10.82%
Upside Capture Ratio (%)
100.00
Downside Capture Ratio (%)
100.00
Safe Withdrawal Rate
7.08%
Perpetual Withdrawal Rate
0.00%
Positive Periods
77 out of 132 (58.33%)
Gain/Loss Ratio
0.79
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.