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 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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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 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
  • 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. 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 Exposures for Portfolio 1

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

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 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
Safe Withdrawal Rate6.11%
Perpetual Withdrawal Rate3.90%
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
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-50.84%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-37.10%
3Oct 2018Dec 20183 months-14.26%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-5.62%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.00%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-4.64%
9May 2006May 20061 monthSep 20064 months5 months-3.23%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
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