Backtest Portfolio Asset Allocation

This online 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 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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Portfolio Analysis Results (Jan 2001 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$3,000$153,896 24.45% 6.20%8.56%14.79%33.52%-36.99%-50.84%
(-39.71%)
0.390.541.00
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • 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
  • Inflation adjusted annual contribution of $3,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentVanguard Total Stock Mkt Idx Adm (VTSAX)
20011.55%-10.89%$5,720$3,047-10.89%
20022.38%-20.95%$7,640$3,119-20.95%
20031.88%31.42%$13,218$3,17831.42%
20043.26%12.61%$18,167$3,28112.61%
20053.42%6.09%$22,665$3,3936.09%
20062.54%15.63%$29,686$3,47915.63%
20074.08%5.57%$34,961$3,6215.57%
20080.09%-36.99%$25,654$3,625-36.99%
20092.72%28.83%$36,772$3,72328.83%
20101.50%17.26%$46,897$3,77917.26%
20112.96%1.08%$51,295$3,8911.08%
20121.74%16.38%$63,658$3,95916.38%
20131.50%33.52%$89,016$4,01833.52%
20140.76%12.56%$104,243$4,04812.56%
20150.73%0.39%$108,725$4,0780.39%
20162.07%12.66%$126,657$4,16312.66%
20172.11%21.17%$157,720$4,25021.17%
20181.91%-5.17%$153,896$4,332-5.17%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Adm (VTSAX)
200113.86%$3,1163.86%
20012-9.44%$2,822-9.44%
20013-6.71%$2,632-6.71%
200148.16%$2,8478.16%
200151.01%$2,8761.01%
20016-1.62%$2,829-1.62%
20017-1.71%$2,781-1.71%
20018-6.00%$2,614-6.00%
20019-8.98%$2,379-8.98%
2001102.52%$2,4392.52%
2001117.68%$2,6267.68%
2001121.79%$5,7201.79%
20021-1.28%$5,647-1.28%
20022-2.05%$5,531-2.05%
200234.39%$5,7744.39%
20024-4.90%$5,491-4.90%
20025-1.18%$5,426-1.18%
20026-7.09%$5,042-7.09%
20027-8.02%$4,637-8.02%
200280.58%$4,6640.58%
20029-10.10%$4,193-10.10%
2002107.65%$4,5147.65%
2002116.06%$4,7886.06%
200212-5.56%$7,640-5.56%
20031-2.54%$7,446-2.54%
20032-1.69%$7,321-1.69%
200331.10%$7,4011.10%
200348.21%$8,0098.21%
200356.11%$8,4986.11%
200361.44%$8,6201.44%
200372.36%$8,8242.36%
200382.39%$9,0342.39%
20039-1.13%$8,932-1.13%
2003106.12%$9,4786.12%
2003111.42%$9,6131.42%
2003124.45%$13,2184.45%
200412.23%$13,5132.23%
200421.47%$13,7121.47%
20043-1.09%$13,563-1.09%
20044-2.11%$13,277-2.11%
200451.38%$13,4611.38%
200462.07%$13,7392.07%
20047-3.80%$13,217-3.80%
200480.31%$13,2580.31%
200491.76%$13,4911.76%
2004101.71%$13,7231.71%
2004114.68%$14,3654.68%
2004123.62%$18,1673.62%
20051-2.68%$17,680-2.68%
200522.11%$18,0532.11%
20053-1.76%$17,735-1.76%
20054-2.32%$17,323-2.32%
200553.77%$17,9763.77%
200560.84%$18,1260.84%
200574.14%$18,8774.14%
20058-0.94%$18,699-0.94%
200590.85%$18,8580.85%
200510-1.86%$18,506-1.86%
2005114.01%$19,2474.01%
2005120.13%$22,6650.13%
200613.50%$23,4583.50%
200620.03%$23,4660.03%
200631.79%$23,8871.79%
200641.11%$24,1521.11%
20065-3.23%$23,371-3.23%
200660.20%$23,4180.20%
20067-0.10%$23,395-0.10%
200682.31%$23,9362.31%
200692.26%$24,4772.26%
2006103.56%$25,3493.56%
2006112.23%$25,9152.23%
2006121.13%$29,6861.13%
200711.88%$30,2441.88%
20072-1.61%$29,756-1.61%
200731.13%$30,0911.13%
200744.04%$31,3074.04%
200753.69%$32,4613.69%
20076-1.68%$31,917-1.68%
20077-3.38%$30,837-3.38%
200781.45%$31,2851.45%
200793.61%$32,4153.61%
2007101.82%$33,0051.82%
200711-4.46%$31,533-4.46%
200712-0.61%$34,961-0.61%
20081-6.08%$32,835-6.08%
20082-3.04%$31,837-3.04%
20083-0.59%$31,648-0.59%
200845.02%$33,2375.02%
200852.12%$33,9432.12%
20086-8.20%$31,160-8.20%
20087-0.77%$30,920-0.77%
200881.61%$31,4191.61%
20089-9.28%$28,504-9.28%
200810-17.63%$23,480-17.63%
200811-7.86%$21,634-7.86%
2008121.83%$25,6541.83%
20091-8.26%$23,536-8.26%
20092-10.45%$21,076-10.45%
200938.73%$22,9178.73%
2009410.60%$25,34610.60%
200955.33%$26,6975.33%
200960.37%$26,7940.37%
200977.87%$28,9027.87%
200983.63%$29,9503.63%
200994.25%$31,2244.25%
200910-2.61%$30,410-2.61%
2009115.66%$32,1335.66%
2009122.85%$36,7722.85%
20101-3.46%$35,500-3.46%
201023.36%$36,6923.36%
201036.26%$38,9896.26%
201042.21%$39,8502.21%
20105-8.00%$36,663-8.00%
20106-5.67%$34,583-5.67%
201077.03%$37,0157.03%
20108-4.75%$35,259-4.75%
201099.50%$38,6079.50%
2010103.94%$40,1293.94%
2010110.58%$40,3590.58%
2010126.83%$46,8976.83%
201112.19%$47,9212.19%
201123.63%$49,6593.63%
201130.45%$49,8810.45%
201142.99%$51,3732.99%
20115-1.16%$50,776-1.16%
20116-1.79%$49,869-1.79%
20117-2.22%$48,761-2.22%
20118-6.02%$45,825-6.02%
20119-7.75%$42,273-7.75%
20111011.54%$47,15211.54%
201111-0.29%$47,017-0.29%
2011120.82%$51,2950.82%
201215.08%$53,9015.08%
201224.26%$56,1954.26%
201233.07%$57,9193.07%
20124-0.63%$57,557-0.63%
20125-6.23%$53,969-6.23%
201263.94%$56,0953.94%
201271.03%$56,6741.03%
201282.51%$58,0972.51%
201292.58%$59,5932.58%
201210-1.76%$58,546-1.76%
2012110.74%$58,9780.74%
2012121.22%$63,6581.22%
201315.50%$67,1575.50%
201321.28%$68,0141.28%
201333.91%$70,6743.91%
201341.70%$71,8761.70%
201352.35%$73,5622.35%
20136-1.24%$72,648-1.24%
201375.46%$76,6135.46%
20138-2.80%$74,468-2.80%
201393.67%$77,2013.67%
2013104.25%$80,4794.25%
2013112.88%$82,7972.88%
2013122.66%$89,0162.66%
20141-3.11%$86,252-3.11%
201424.75%$90,3514.75%
201430.52%$90,8230.52%
201440.06%$90,8800.06%
201452.17%$92,8522.17%
201462.57%$95,2372.57%
20147-1.98%$93,352-1.98%
201484.18%$97,2564.18%
20149-2.11%$95,207-2.11%
2014102.74%$97,8152.74%
2014112.43%$100,1902.43%
2014120.00%$104,2430.00%
20151-2.77%$101,354-2.77%
201525.76%$107,1935.76%
20153-1.01%$106,111-1.01%
201540.42%$106,5580.42%
201551.39%$108,0391.39%
20156-1.70%$106,200-1.70%
201571.65%$107,9531.65%
20158-6.00%$101,471-6.00%
20159-2.94%$98,484-2.94%
2015107.86%$106,2287.86%
2015110.56%$106,8220.56%
201512-2.04%$108,725-2.04%
20161-5.65%$102,581-5.65%
20162-0.04%$102,539-0.04%
201637.03%$109,7517.03%
201640.65%$110,4610.65%
201651.77%$112,4181.77%
201660.25%$112,6980.25%
201673.95%$117,1483.95%
201680.28%$117,4720.28%
201690.15%$117,6520.15%
201610-2.21%$115,048-2.21%
2016114.45%$120,1714.45%
2016121.93%$126,6571.93%
201711.93%$129,0961.93%
201723.71%$133,8843.71%
201730.08%$133,9890.08%
201741.05%$135,3961.05%
201751.02%$136,7801.02%
201760.93%$138,0480.93%
201771.87%$140,6241.87%
201780.16%$140,8520.16%
201792.46%$144,3202.46%
2017102.17%$147,4562.17%
2017113.04%$151,9423.04%
2017121.01%$157,7201.01%
201815.32%$166,1125.32%
20182-3.71%$159,942-3.71%
20183-1.98%$156,770-1.98%
201840.38%$157,3630.38%
201852.82%$161,8022.82%
201860.67%$162,8930.67%
201873.35%$168,3523.35%
201883.45%$174,1683.45%
201890.16%$174,4480.16%
201810-7.40%$161,540-7.40%
2018112.08%$164,8932.08%
201812-9.30%$153,896-9.30%
* End-of-month balance includes the annual contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value37.25%
Large-cap Growth43.63%
Mid-cap Value5.12%
Mid-cap Growth7.57%
Small-cap Value3.18%
Small-cap Growth2.24%
Global ex-US Developed Markets0.49%
Emerging Markets0.52%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.88%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%100.00%$83,912100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 02/05/2019. © 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 1
Arithmetic Mean (monthly)0.59%
Arithmetic Mean (annualized)7.37%
Geometric Mean (monthly)0.50%
Geometric Mean (annualized)6.20%
Volatility (monthly)4.27%
Volatility (annualized)14.79%
Downside Deviation (monthly)3.01%
Max. Drawdown-50.84%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)0.09%
R2100.00%
Sharpe Ratio0.39
Sortino Ratio0.54
Treynor Ratio (%)5.77
Calmar Ratio0.63
Active Return0.10%
Tracking Error0.06%
Information Ratio1.58
Skewness-0.70
Excess Kurtosis1.41
Historical Value-at-Risk (5%)-8.00%
Analytical Value-at-Risk (5%)-6.43%
Conditional Value-at-Risk (5%)-9.97%
Upside Capture Ratio (%)100.37
Downside Capture Ratio (%)99.91
Sustainable Withdrawal Rate6.11%
Positive Periods142 out of 216 (65.74%)
Gain/Loss Ratio0.75
* 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 2009-50.84%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsDec 200910 months2 years-39.71%
2Apr 2002Sep 20026 monthsDec 20023 months9 months-27.37%
3Feb 2001Sep 20018 monthsDec 20013 months11 months-23.65%
4May 2011Sep 20115 monthsJan 20124 months9 months-17.71%
5May 2010Jun 20102 monthsOct 20104 months6 months-13.22%
6Oct 2018Dec 20183 months-11.78%
7Jun 2015Sep 20154 monthsDec 20153 months7 months-8.84%
8Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
9Jan 2016Feb 20162 monthsMar 20161 month3 months-5.69%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-5.62%
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 Adm6.20%14.79%33.52%-36.99%-50.84%0.390.541.00

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.84%33.52%-36.99%
3 years8.17%20.49%-8.38%
5 years8.08%18.86%-1.68%
7 years7.60%15.13%-0.66%
10 years7.47%13.25%2.54%
15 years7.85%10.41%5.65%
Result statistics are based on annualized rolling returns over full calendar year periods