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 2008 - Dec 2012)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 30.00%
VEU Vanguard FTSE All-Wld ex-US ETF 30.00%
BND Vanguard Total Bond Market ETF 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$929,919 -1.44% 3.35%2.86%13.16%21.40%-21.38%-31.35%
(-34.85%)
0.290.400.96
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
   
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 withdrawal of $40,000 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 Market ETF (VTI)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Total Bond Market ETF (BND)
20080.09%-21.38%$746,120-$40,037-36.98%-43.45%6.86%
20092.72%21.40%$864,668-$41,12628.89%37.59%3.64%
20101.50%11.25%$920,206-$41,74117.42%11.81%6.20%
20112.96%-0.75%$870,351-$42,9780.97%-14.02%7.92%
20121.74%11.87%$929,919-$43,72616.45%18.90%3.16%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Market ETF (VTI)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Total Bond Market ETF (BND)
20081-3.67%$963,278-6.17%-7.75%1.25%
20082-0.76%$955,994-2.50%-0.22%0.09%
20083-0.11%$954,905-0.90%-0.09%0.40%
200842.96%$983,1324.89%5.92%-0.34%
200850.60%$988,9982.02%1.42%-0.99%
20086-4.88%$940,705-8.12%-8.38%0.04%
20087-1.23%$929,140-0.62%-3.68%0.02%
20088-0.66%$923,0251.46%-5.11%0.84%
20089-6.28%$865,047-9.24%-12.48%-0.52%
200810-12.03%$760,955-17.48%-22.76%-2.95%
200811-1.60%$748,756-8.01%-6.77%3.92%
2008125.00%$746,1201.78%8.45%5.13%
20091-7.14%$692,823-8.05%-13.00%-2.08%
20092-5.96%$651,508-10.53%-9.21%-0.59%
200935.58%$687,8438.26%10.14%1.09%
200947.13%$736,88410.99%13.23%0.46%
200956.45%$784,4135.46%15.17%0.67%
20096-0.33%$781,8440.36%-2.07%0.62%
200976.19%$830,2697.74%10.61%1.31%
200982.46%$850,7313.71%2.92%1.01%
200993.52%$880,7034.14%5.68%1.00%
200910-1.80%$864,889-2.63%-3.17%0.27%
2009113.84%$898,0945.69%4.85%1.30%
2009120.86%$864,6682.86%1.39%-1.45%
20101-2.28%$844,933-3.57%-5.76%1.29%
201021.53%$857,8903.44%1.31%0.33%
201033.78%$890,3166.40%6.72%-0.22%
201040.58%$895,4362.18%-1.76%1.07%
20105-5.19%$848,943-7.88%-10.90%1.13%
20106-1.53%$835,934-5.83%-1.34%1.45%
201075.36%$880,7637.02%10.76%0.86%
20108-1.73%$865,491-4.71%-3.43%1.56%
201095.71%$914,8729.45%10.60%-0.00%
2010102.39%$936,7234.03%3.59%0.32%
201011-1.34%$924,1430.51%-4.10%-0.68%
2010124.09%$920,2066.96%8.12%-1.02%
201110.89%$928,3792.05%0.80%0.09%
201122.06%$947,5133.70%2.74%0.29%
201130.00%$947,5520.42%-0.22%-0.15%
201143.11%$977,0062.90%5.45%1.46%
20115-0.85%$968,679-1.06%-3.17%1.18%
20116-1.03%$958,710-1.79%-1.09%-0.38%
20117-0.76%$951,378-2.27%-2.37%1.63%
20118-3.67%$916,456-6.09%-8.47%1.66%
20119-5.60%$865,164-7.57%-13.01%0.66%
2011106.29%$919,61411.37%11.49%0.11%
201111-0.84%$911,917-0.37%-2.57%-0.06%
2011120.15%$870,3510.98%-2.43%1.18%
201213.83%$903,7095.07%6.86%0.63%
201222.94%$930,2424.22%5.31%0.04%
201230.47%$934,5833.06%-0.90%-0.51%
20124-0.35%$931,288-0.64%-1.81%1.10%
20125-5.10%$883,748-6.23%-11.40%0.93%
201263.16%$911,6414.05%6.52%0.07%
201270.90%$919,8430.88%0.49%1.23%
201281.69%$935,3902.70%2.65%0.16%
201291.90%$953,1332.49%3.49%0.18%
201210-0.38%$949,501-1.81%0.77%-0.10%
2012110.90%$958,0120.77%1.80%0.27%
2012121.63%$929,9191.29%5.06%-0.88%
* End-of-month balance includes the annual contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value8.92%
Large-cap Growth14.15%
Mid-cap Value5.58%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth2.04%
Global ex-US Developed Markets22.96%
Emerging Markets8.96%
Corporate Bonds5.12%
Long-Term Treasuries2.92%
Intermediate-Term Treasuries9.85%
Short-Term Treasuries19.51%
R Squared99.83%
Style analysis is based on monthly returns from Jan 2008 to Dec 2012 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
VTIVanguard Total Stock Market ETFLarge Blend0.03%30.00%$44,56041.37%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%30.00%-$4,92355.39%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.000.04%40.00%$99,8893.25%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/05/2019. © 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)0.35%
Arithmetic Mean (annualized)4.24%
Geometric Mean (monthly)0.27%
Geometric Mean (annualized)3.35%
Volatility (monthly)3.80%
Volatility (annualized)13.16%
Downside Deviation (monthly)2.68%
Max. Drawdown-31.35%
US Market Correlation0.96
Beta(*)0.64
Alpha (annualized)1.53%
R291.80%
Sharpe Ratio0.29
Sortino Ratio0.40
Treynor Ratio (%)5.92
Calmar Ratio0.64
Active Return1.17%
Tracking Error8.05%
Information Ratio0.15
Skewness-0.62
Excess Kurtosis0.82
Historical Value-at-Risk (5%)-6.27%
Analytical Value-at-Risk (5%)-6.13%
Conditional Value-at-Risk (5%)-8.49%
Upside Capture Ratio (%)63.16
Downside Capture Ratio (%)62.31
Safe Withdrawal Rate18.94%
Perpetual Withdrawal Rate1.50%
Positive Periods33 out of 60 (55.00%)
Gain/Loss Ratio1.04
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsSep 20101 year 7 months2 years 9 months-31.35%
2May 2011Sep 20115 monthsMar 20126 months11 months-11.45%
3Apr 2012May 20122 monthsAug 20123 months5 months-5.44%
4Nov 2010Nov 20101 monthDec 20101 month2 months-1.34%
5Oct 2012Oct 20121 monthNov 20121 month2 months-0.38%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF2.32%19.69%28.89%-36.98%-48.15%0.200.271.00
VEUVanguard FTSE All-Wld ex-US ETF-2.32%25.64%37.59%-43.45%-55.33%0.020.030.93
BNDVanguard Total Bond Market ETF5.54%4.12%7.92%3.16%-3.88%1.232.500.09

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVEUBNDPortfolio 1
VTIVanguard Total Stock Market ETF-0.930.080.96
VEUVanguard FTSE All-Wld ex-US ETF0.93-0.190.98
BNDVanguard Total Bond Market ETF0.080.19-0.27

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF$44,560
VEUVanguard FTSE All-Wld ex-US ETF-$4,923
BNDVanguard Total Bond Market ETF$99,889

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTIVanguard Total Stock Market ETF41.37%
VEUVanguard FTSE All-Wld ex-US ETF55.39%
BNDVanguard Total Bond Market ETF3.25%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year4.48%21.40%-21.38%
3 years6.52%10.26%2.02%
5 years3.35%3.35%3.35%
Result statistics are based on annualized rolling returns over full calendar year periods