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 Analysis Results (Jan 2006 - Dec 2010)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 50.00%
VFIDX Vanguard Interm-Term Investment-Grde Adm 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 70.00%
VFIUX Vanguard Interm-Term Treasury Adm 30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,858 5.16% 10.69%23.35%-21.52%-30.25% 0.320.430.96
Portfolio 2$10,000$12,803 5.07% 12.31%19.71%-21.85%-33.98% 0.280.390.99
   
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
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Interm-Term Investment-Grde Adm (VFIDX)Vanguard Interm-Term Treasury Adm (VFIUX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20062.54%10.09%11.93%$11,009$11,19315.63%4.55%3.30%
20074.08%5.91%6.94%$11,659$11,9705.57%6.26%10.15%
20080.09%-21.52%-21.85%$9,150$9,355-36.99%-6.06%13.49%
20092.72%23.35%19.71%$11,286$11,19928.83%17.88%-1.56%
20101.50%13.93%14.32%$12,858$12,80317.26%10.60%7.48%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Interm-Term Investment-Grde Adm (VFIDX)Vanguard Interm-Term Treasury Adm (VFIUX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200611.71%2.35%$10,171$10,2353.50%-0.09%-0.32%
200620.05%0.05%$10,176$10,2410.03%0.08%0.10%
200630.47%0.98%$10,223$10,3411.79%-0.91%-0.97%
200640.42%0.69%$10,267$10,4131.11%-0.31%-0.36%
20065-1.67%-2.31%$10,095$10,172-3.23%0.02%0.03%
200660.11%0.18%$10,106$10,1900.20%0.01%0.11%
200670.64%0.33%$10,171$10,224-0.10%1.41%1.37%
200682.07%2.11%$10,381$10,4402.31%1.82%1.64%
200691.61%1.88%$10,549$10,6362.26%0.95%0.95%
2006102.19%2.70%$10,780$10,9233.56%0.75%0.59%
2006111.76%1.92%$10,969$11,1332.23%1.25%1.13%
2006120.36%0.54%$11,009$11,1931.13%-0.48%-0.97%
200710.90%1.24%$11,108$11,3321.88%-0.07%-0.24%
200720.16%-0.58%$11,125$11,266-1.61%1.96%1.87%
200730.47%0.80%$11,178$11,3561.13%-0.17%0.04%
200742.33%3.00%$11,439$11,6964.04%0.63%0.58%
200751.33%2.26%$11,591$11,9613.69%-1.09%-1.17%
20076-1.06%-1.25%$11,468$11,811-1.68%-0.40%-0.17%
20077-1.33%-1.89%$11,316$11,588-3.38%0.87%1.82%
200781.27%1.61%$11,459$11,7751.45%1.07%1.98%
200792.20%2.67%$11,711$12,0903.61%0.75%0.47%
2007101.35%1.54%$11,870$12,2751.82%0.86%0.85%
200711-1.39%-2.16%$11,705$12,011-4.46%1.88%3.47%
200712-0.39%-0.34%$11,659$11,970-0.61%-0.16%0.29%
20081-2.10%-3.32%$11,415$11,573-6.08%1.88%3.11%
20082-1.29%-1.63%$11,267$11,384-3.04%0.32%1.36%
20083-0.57%-0.09%$11,202$11,374-0.59%-0.56%0.94%
200842.16%2.64%$11,445$11,6745.02%-0.39%-2.12%
200850.67%1.03%$11,522$11,7952.12%-0.69%-1.31%
20086-4.23%-5.41%$11,035$11,156-8.20%-0.39%0.78%
20087-0.73%-0.25%$10,954$11,128-0.77%-0.69%0.79%
200880.95%1.40%$11,059$11,2841.61%0.37%0.99%
20089-7.41%-6.02%$10,239$10,605-9.28%-5.73%0.52%
200810-11.75%-11.84%$9,036$9,350-17.63%-6.66%-1.35%
200811-2.21%-2.50%$8,836$9,116-7.86%2.11%5.59%
2008123.55%2.62%$9,150$9,3551.83%4.73%3.67%
20091-3.95%-6.49%$8,788$8,748-8.26%0.36%-2.38%
20092-5.79%-7.36%$8,279$8,104-10.45%-1.54%-0.57%
200934.52%6.88%$8,653$8,6628.73%1.01%3.22%
200946.31%6.59%$9,199$9,23310.60%2.47%-1.74%
200954.33%3.41%$9,598$9,5475.33%3.37%-1.09%
200961.26%0.16%$9,719$9,5620.37%2.14%-0.36%
200975.84%5.80%$10,287$10,1177.87%3.89%0.61%
200982.74%2.89%$10,569$10,4093.63%1.85%0.90%
200992.99%3.37%$10,885$10,7604.25%1.70%0.93%
200910-0.81%-1.86%$10,797$10,560-2.61%1.07%0.26%
2009113.71%4.69%$11,198$11,0545.66%1.75%1.97%
2009120.79%1.31%$11,286$11,1992.85%-1.37%-3.12%
20101-0.54%-1.83%$11,226$10,994-3.46%2.38%1.98%
201021.83%2.44%$11,431$11,2633.36%0.39%0.41%
201033.39%4.07%$11,818$11,7226.26%0.60%-0.90%
201041.98%1.93%$12,052$11,9472.21%1.74%1.24%
20105-4.15%-5.15%$11,552$11,332-8.00%-0.18%1.86%
20106-1.72%-3.27%$11,353$10,962-5.67%2.03%2.08%
201074.36%5.09%$11,848$11,5197.03%2.01%1.08%
20108-1.25%-2.62%$11,701$11,218-4.75%1.98%2.01%
201094.86%6.49%$12,269$11,9459.50%0.87%0.37%
2010102.31%2.86%$12,552$12,2873.94%0.78%0.46%
201011-0.21%0.11%$12,526$12,3000.58%-0.97%-0.97%
2010122.65%4.10%$12,858$12,8036.83%-1.44%-2.28%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value13.54%26.20%
Large-cap Growth26.41%31.63%
Mid-cap Value8.59%5.86%
Mid-cap Growth3.99%4.61%
Small-cap Value0.00%1.99%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets2.99%0.66%
Corporate Bonds17.90%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries9.60%21.21%
Short-Term Treasuries16.98%7.84%
R Squared97.94%99.87%
Style analysis is based on monthly returns from Jan 2006 to Dec 2010 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%50.00%$1,22481.01%
VFIDXVanguard Interm-Term Investment-Grde AdmCorporate Bond5.390.10%50.00%$1,63418.99%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%70.00%$1,671100.59%
VFIUXVanguard Interm-Term Treasury AdmIntermediate Government5.220.10%30.00%$1,132-0.59%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2019. © 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 1Portfolio 2
Arithmetic Mean (monthly)0.47%0.48%
Arithmetic Mean (annualized)5.76%5.86%
Geometric Mean (monthly)0.42%0.41%
Geometric Mean (annualized)5.16%5.07%
Volatility (monthly)3.09%3.55%
Volatility (annualized)10.69%12.31%
Downside Deviation (monthly)2.24%2.54%
Max. Drawdown-30.25%-33.98%
US Market Correlation0.960.99
Beta(*)0.560.66
Alpha (annualized)3.03%2.66%
R292.67%97.64%
Sharpe Ratio0.320.28
Sortino Ratio0.430.39
Treynor Ratio (%)6.095.30
Calmar Ratio0.110.07
Active Return2.21%2.12%
Tracking Error8.62%6.53%
Information Ratio0.260.33
Skewness-1.28-0.90
Excess Kurtosis3.601.62
Historical Value-at-Risk (5%)-5.72%-6.47%
Analytical Value-at-Risk (5%)-4.70%-5.54%
Conditional Value-at-Risk (5%)-8.32%-8.56%
Upside Capture Ratio (%)57.9169.26
Downside Capture Ratio (%)50.0962.58
Sustainable Withdrawal Rate20.61%20.83%
Positive Periods39 out of 60 (65.00%)39 out of 60 (65.00%)
Gain/Loss Ratio0.820.76
* 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 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-30.25%-33.98%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-30.25%
2May 2010Jun 20102 monthsSep 20103 months5 months-5.80%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-2.37%
4May 2006May 20061 monthAug 20063 months4 months-1.67%
5Nov 2010Nov 20101 monthDec 20101 month2 months-0.21%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-33.98%
2Jun 2007Jul 20072 monthsSep 20072 months4 months-3.11%
3May 2006May 20061 monthAug 20063 months4 months-2.31%
4Feb 2007Feb 20071 monthMar 20071 month2 months-0.58%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm3.05%18.43%28.83%-36.99%-50.84%0.140.181.00
VFIDXVanguard Interm-Term Investment-Grde Adm6.35%6.27%17.88%-6.06%-14.06%0.650.940.44
VFIUXVanguard Interm-Term Treasury Adm6.44%5.48%13.49%-1.56%-3.40%0.761.40-0.19

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSAXVFIDXVFIUXPortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm-0.44-0.190.960.99
VFIDXVanguard Interm-Term Investment-Grde Adm0.44-0.480.660.51
VFIUXVanguard Interm-Term Treasury Adm-0.190.48--0.01-0.05

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm$1,224$1,671
VFIDXVanguard Interm-Term Investment-Grde Adm$1,634
VFIUXVanguard Interm-Term Treasury Adm$1,132

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm81.01%100.59%
VFIDXVanguard Interm-Term Investment-Grde Adm18.99%
VFIUXVanguard Interm-Term Treasury Adm-0.59%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.35%23.35%-21.52%6.21%19.71%-21.85%
3 years0.41%3.32%-2.92%0.03%2.27%-2.20%
5 years5.16%5.16%5.16%5.07%5.07%5.07%
Result statistics are based on annualized rolling returns over full calendar year periods