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 Analysis Results (Jan 2007 - Dec 2011)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 48.00%
VGTSX Vanguard Total Intl Stock Index Inv 12.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,831 3.42% 11.51%19.59%-20.20%-30.72% 0.240.330.99
Portfolio 2$10,000$11,645 3.09% 11.87%20.56%-21.05%-31.88% 0.210.290.98
   
Notes on results:
  • Past performance is not a guarantee of future returns. 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 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
  • 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 Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20074.08%6.06%7.27%$10,606$10,7275.49%6.92%15.52%
20080.09%-20.20%-21.05%$8,464$8,469-37.04%5.05%-44.10%
20092.72%19.59%20.56%$10,122$10,21028.70%5.93%36.73%
20101.50%12.82%12.11%$11,420$11,44617.09%6.42%11.12%
20112.96%3.60%1.74%$11,831$11,6450.96%7.56%-14.56%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200711.09%0.98%$10,109$10,0981.88%-0.08%0.96%
20072-0.38%-0.18%$10,071$10,080-1.61%1.50%0.06%
200730.67%0.87%$10,138$10,1691.11%0.02%2.80%
200742.61%2.60%$10,403$10,4334.01%0.51%3.92%
200751.94%1.87%$10,605$10,6283.69%-0.78%3.09%
20076-1.18%-0.90%$10,479$10,533-1.67%-0.39%0.61%
20077-1.78%-1.48%$10,293$10,377-3.41%0.84%-1.06%
200781.41%1.13%$10,438$10,4941.45%1.34%-0.72%
200792.46%2.82%$10,695$10,7903.59%0.72%6.38%
2007101.49%2.02%$10,855$11,0081.85%0.93%5.90%
200711-2.02%-2.06%$10,635$10,781-4.49%1.91%-4.57%
200712-0.27%-0.50%$10,606$10,727-0.60%0.22%-2.28%
20081-2.97%-3.27%$10,291$10,376-6.08%1.69%-8.55%
20082-1.70%-1.31%$10,116$10,240-3.07%0.19%0.33%
20083-0.21%-0.22%$10,095$10,217-0.58%0.30%-0.71%
200842.74%2.83%$10,371$10,5065.02%-0.30%5.85%
200850.89%0.83%$10,463$10,5932.09%-0.79%1.51%
20086-4.84%-4.94%$9,957$10,070-8.19%-0.01%-8.99%
20087-0.44%-0.77%$9,914$9,993-0.77%0.00%-3.67%
200881.20%0.46%$10,033$10,0391.58%0.70%-5.10%
20089-5.75%-6.11%$9,456$9,425-9.26%-1.10%-13.09%
200810-10.81%-11.14%$8,433$8,375-17.63%-2.53%-22.09%
200811-2.21%-1.96%$8,247$8,210-7.90%3.64%-6.29%
2008122.62%3.15%$8,464$8,4691.86%3.32%8.16%
20091-5.23%-5.68%$8,021$7,988-8.26%-0.70%-11.96%
20092-6.25%-6.13%$7,520$7,498-10.45%-0.42%-9.58%
200935.46%5.52%$7,930$7,9128.65%1.48%9.31%
200946.22%6.45%$8,423$8,42210.61%0.36%12.78%
200953.55%4.61%$8,722$8,8105.38%0.85%14.35%
200960.42%0.20%$8,758$8,8280.34%0.54%-1.32%
200975.30%5.59%$9,222$9,3227.82%1.43%9.96%
200982.63%2.63%$9,465$9,5673.63%1.01%3.50%
200993.09%3.22%$9,758$9,8754.23%1.19%5.15%
200910-1.47%-1.43%$9,614$9,734-2.57%0.41%-2.17%
2009114.03%3.81%$10,001$10,1045.63%1.36%3.86%
2009121.20%1.04%$10,122$10,2102.86%-1.68%1.53%
20101-1.47%-1.66%$9,973$10,040-3.50%1.57%-5.07%
201022.06%1.69%$10,178$10,2103.36%0.20%0.22%
201033.70%3.74%$10,555$10,5916.27%-0.08%6.71%
201041.74%1.28%$10,738$10,7272.17%1.06%-1.71%
20105-4.56%-4.85%$10,248$10,207-8.00%0.87%-10.78%
20106-2.68%-2.17%$9,973$9,986-5.66%1.61%-1.17%
201074.40%4.75%$10,412$10,4606.99%0.94%10.33%
20108-2.17%-1.99%$10,186$10,252-4.75%1.48%-3.22%
201095.40%5.50%$10,737$10,8169.47%-0.01%10.41%
2010102.49%2.44%$11,003$11,0793.94%0.36%3.55%
2010110.12%-0.49%$11,017$11,0260.58%-0.57%-4.52%
2010123.66%3.81%$11,420$11,4466.81%-1.15%8.34%
201111.34%1.17%$11,574$11,5792.19%0.08%0.70%
201122.24%2.13%$11,833$11,8263.60%0.16%2.71%
201130.27%0.17%$11,865$11,8460.45%-0.01%-0.43%
201142.34%2.61%$12,143$12,1552.99%1.32%5.24%
20115-0.22%-0.43%$12,117$12,103-1.16%1.30%-2.87%
20116-1.24%-1.21%$11,966$11,957-1.79%-0.39%-1.51%
20117-0.77%-0.68%$11,873$11,876-2.28%1.58%-1.53%
20118-3.01%-3.29%$11,516$11,485-5.99%1.46%-8.45%
20119-4.13%-4.62%$11,041$10,954-7.75%0.89%-12.29%
2011106.50%6.32%$11,759$11,64711.51%0.16%10.22%
201111-0.29%-0.57%$11,724$11,580-0.29%-0.30%-2.88%
2011120.91%0.56%$11,831$11,6450.80%1.08%-2.64%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value19.87%15.45%
Large-cap Growth29.01%24.82%
Mid-cap Value9.47%8.10%
Mid-cap Growth2.48%1.24%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%8.04%
Emerging Markets1.24%4.17%
Corporate Bonds4.71%5.64%
Long-Term Treasuries0.38%0.69%
Intermediate-Term Treasuries11.73%10.74%
Short-Term Treasuries21.11%21.12%
R Squared99.74%99.75%
Style analysis is based on monthly returns from Jan 2007 to Dec 2011 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$53497.68%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.000.15%40.00%$1,2972.32%

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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%48.00%$41474.86%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%12.00%-$71.9522.65%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.000.15%40.00%$1,3032.49%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/05/2019. © 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)0.34%0.31%
Arithmetic Mean (annualized)4.10%3.82%
Geometric Mean (monthly)0.28%0.25%
Geometric Mean (annualized)3.42%3.09%
Volatility (monthly)3.32%3.43%
Volatility (annualized)11.51%11.87%
Downside Deviation (monthly)2.35%2.42%
Max. Drawdown-30.72%-31.88%
US Market Correlation0.990.98
Beta(*)0.580.60
Alpha (annualized)2.78%2.48%
R297.98%96.53%
Sharpe Ratio0.240.21
Sortino Ratio0.330.29
Treynor Ratio (%)4.734.15
Calmar Ratio1.060.98
Active Return3.21%2.88%
Tracking Error8.34%8.21%
Information Ratio0.390.35
Skewness-0.68-0.66
Excess Kurtosis1.081.06
Historical Value-at-Risk (5%)-5.73%-6.09%
Analytical Value-at-Risk (5%)-5.29%-5.52%
Conditional Value-at-Risk (5%)-7.60%-7.80%
Upside Capture Ratio (%)61.3761.37
Downside Capture Ratio (%)55.6956.86
Safe Withdrawal Rate19.36%19.39%
Perpetual Withdrawal Rate1.12%0.81%
Positive Periods34 out of 60 (56.67%)33 out of 60 (55.00%)
Gain/Loss Ratio0.991.04
* 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 2009-30.72%-31.88%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-30.72%
2May 2011Sep 20115 months-9.08%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-2.94%
4Feb 2007Feb 20071 monthMar 20071 month2 months-0.38%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-31.88%
2May 2011Sep 20115 months-9.88%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-2.37%
4Nov 2010Nov 20101 monthDec 20101 month2 months-0.49%
5Feb 2007Feb 20071 monthMar 20071 month2 months-0.18%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv0.21%19.57%28.70%-37.04%-50.89%0.040.061.00
VBMFXVanguard Total Bond Market Index Inv6.37%3.67%7.56%5.05%-3.99%1.332.660.06
VGTSXVanguard Total Intl Stock Index Inv-3.47%24.27%36.73%-44.10%-58.50%-0.08-0.100.92

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVGTSXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv-0.060.920.990.98
VBMFXVanguard Total Bond Market Index Inv0.06-0.180.190.21
VGTSXVanguard Total Intl Stock Index Inv0.920.18-0.930.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$534$414
VBMFXVanguard Total Bond Market Index Inv$1,297$1,303
VGTSXVanguard Total Intl Stock Index Inv-$71.95

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv97.68%74.86%
VBMFXVanguard Total Bond Market Index Inv2.32%2.49%
VGTSXVanguard Total Intl Stock Index Inv22.65%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.38%19.59%-20.20%4.12%20.56%-21.05%
3 years4.90%11.81%0.40%4.69%11.20%0.69%
5 years3.42%3.42%3.42%3.09%3.09%3.09%
Result statistics are based on annualized rolling returns over full calendar year periods