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. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2007 - Sep 2021)

Portfolio Allocations

Vanguard Target Retirement 2030 Inv
Ticker Name Allocation
VTHRX Vanguard Target Retirement 2030 Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Target Retirement 2030 Inv$10,000$26,598 6.86% 12.52%26.72%-32.91%-45.96% 0.530.750.98
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard Target Retirement 2030 Inv-0.78%7.03%18.29%10.45%10.44%10.78%6.86%12.87%10.35%
Trailing annualized return and volatility are for full months ending in September 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to September
  • 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationVanguard Target Retirement 2030 Inv ReturnVanguard Target Retirement 2030 Inv BalanceVanguard Target Retirement 2030 Inv (VTHRX)
20074.08%7.49%$10,7497.49%
20080.09%-32.91%$7,212-32.91%
20092.72%26.72%$9,14026.72%
20101.50%14.43%$10,45914.43%
20112.96%-1.27%$10,326-1.27%
20121.74%14.24%$11,79714.24%
20131.50%20.49%$14,21320.49%
20140.76%7.17%$15,2327.17%
20150.73%-1.03%$15,075-1.03%
20162.07%7.85%$16,2597.85%
20172.11%17.52%$19,10817.52%
20181.91%-5.86%$17,989-5.86%
20192.29%21.07%$21,78021.07%
20201.36%14.10%$24,85214.10%
20215.31%7.03%$26,5987.03%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthVanguard Target Retirement 2030 Inv ReturnVanguard Target Retirement 2030 Inv BalanceVanguard Target Retirement 2030 Inv (VTHRX)
200711.46%$10,1461.46%
20072-0.92%$10,053-0.92%
200731.28%$10,1821.28%
200743.53%$10,5413.53%
200752.99%$10,8562.99%
20076-1.10%$10,736-1.10%
20077-2.44%$10,475-2.44%
200781.10%$10,5901.10%
200793.64%$10,9763.64%
2007102.43%$11,2422.43%
200711-3.67%$10,830-3.67%
200712-0.74%$10,749-0.74%
20081-5.41%$10,168-5.41%
20082-2.04%$9,961-2.04%
20083-0.41%$9,920-0.41%
200844.41%$10,3574.41%
200851.57%$10,5201.57%
20086-7.15%$9,767-7.15%
20087-1.15%$9,655-1.15%
200880.33%$9,6860.33%
20089-8.70%$8,844-8.70%
200810-16.05%$7,425-16.05%
200811-5.83%$6,992-5.83%
2008123.15%$7,2123.15%
20091-7.66%$6,660-7.66%
20092-8.78%$6,075-8.78%
200937.79%$6,5497.79%
200949.36%$7,1619.36%
200956.16%$7,6026.16%
200960.12%$7,6110.12%
200977.20%$8,1597.20%
200983.19%$8,4193.19%
200993.86%$8,7443.86%
200910-1.91%$8,577-1.91%
2009114.60%$8,9714.60%
2009121.88%$9,1401.88%
20101-2.90%$8,875-2.90%
201022.35%$9,0832.35%
201035.21%$9,5565.21%
201041.34%$9,6841.34%
20105-6.89%$9,017-6.89%
20106-3.67%$8,685-3.67%
201076.49%$9,2496.49%
20108-3.38%$8,936-3.38%
201097.84%$9,6377.84%
2010103.24%$9,9493.24%
201011-0.48%$9,902-0.48%
2010125.63%$10,4595.63%
201111.48%$10,6131.48%
201122.73%$10,9032.73%
201130.18%$10,9220.18%
201143.22%$11,2743.22%
20115-1.11%$11,149-1.11%
20116-1.43%$10,990-1.43%
20117-1.27%$10,850-1.27%
20118-5.11%$10,295-5.11%
20119-7.17%$9,557-7.17%
2011108.99%$10,4168.99%
201111-0.93%$10,319-0.93%
2011120.07%$10,3260.07%
201214.73%$10,8154.73%
201223.61%$11,2053.61%
201231.41%$11,3631.41%
20124-0.56%$11,298-0.56%
20125-5.94%$10,627-5.94%
201263.58%$11,0073.58%
201270.99%$11,1160.99%
201282.04%$11,3432.04%
201292.31%$11,6052.31%
201210-0.81%$11,511-0.81%
2012110.90%$11,6140.90%
2012121.57%$11,7971.57%
201313.64%$12,2263.64%
201320.54%$12,2910.54%
201332.34%$12,5792.34%
201341.97%$12,8261.97%
201350.20%$12,8510.20%
20136-1.88%$12,609-1.88%
201374.08%$13,1244.08%
20138-2.04%$12,856-2.04%
201393.85%$13,3513.85%
2013103.25%$13,7853.25%
2013111.54%$13,9971.54%
2013121.55%$14,2131.55%
20141-2.42%$13,869-2.42%
201423.89%$14,4093.89%
201430.36%$14,4600.36%
201440.50%$14,5320.50%
201451.84%$14,8001.84%
201461.81%$15,0671.81%
20147-1.43%$14,851-1.43%
201482.74%$15,2572.74%
20149-2.43%$14,887-2.43%
2014101.66%$15,1341.66%
2014111.43%$15,3501.43%
201412-0.77%$15,232-0.77%
20151-0.86%$15,101-0.86%
201523.99%$15,7043.99%
20153-0.77%$15,584-0.77%
201541.28%$15,7831.28%
201550.33%$15,8360.33%
20156-1.82%$15,547-1.82%
201570.81%$15,6730.81%
20158-4.92%$14,902-4.92%
20159-2.25%$14,566-2.25%
2015105.37%$15,3485.37%
201511-0.17%$15,321-0.17%
201512-1.61%$15,075-1.61%
20161-3.75%$14,509-3.75%
20162-0.45%$14,444-0.45%
201635.72%$15,2715.72%
201641.03%$15,4291.03%
201650.53%$15,5100.53%
201660.35%$15,5650.35%
201673.21%$16,0653.21%
201680.30%$16,1140.30%
201690.47%$16,1900.47%
201610-1.75%$15,907-1.75%
2016110.72%$16,0210.72%
2016121.48%$16,2591.48%
201711.95%$16,5761.95%
201722.25%$16,9492.25%
201730.82%$17,0880.82%
201741.27%$17,3061.27%
201751.48%$17,5621.48%
201760.51%$17,6510.51%
201771.89%$17,9851.89%
201780.50%$18,0740.50%
201791.45%$18,3361.45%
2017101.55%$18,6201.55%
2017111.50%$18,8981.50%
2017121.11%$19,1081.11%
201813.54%$19,7843.54%
20182-3.16%$19,159-3.16%
20183-0.83%$19,000-0.83%
201840.24%$19,0460.24%
201850.78%$19,1930.78%
20186-0.24%$19,148-0.24%
201872.11%$19,5512.11%
201880.93%$19,7330.93%
201890.03%$19,7390.03%
201810-5.58%$18,636-5.58%
2018111.37%$18,8921.37%
201812-4.78%$17,989-4.78%
201915.97%$19,0635.97%
201921.93%$19,4311.93%
201931.41%$19,7051.41%
201942.40%$20,1782.40%
20195-3.70%$19,431-3.70%
201964.87%$20,3764.87%
201970.26%$20,4290.26%
20198-0.66%$20,295-0.66%
201991.29%$20,5571.29%
2019101.79%$20,9251.79%
2019111.81%$21,3041.81%
2019122.23%$21,7802.23%
20201-0.25%$21,726-0.25%
20202-4.68%$20,711-4.68%
20203-10.36%$18,565-10.36%
202048.05%$20,0598.05%
202053.63%$20,7883.63%
202062.33%$21,2722.33%
202073.85%$22,0913.85%
202083.71%$22,9103.71%
20209-1.85%$22,485-1.85%
202010-1.51%$22,145-1.51%
2020118.53%$24,0338.53%
2020123.41%$24,8523.41%
20211-0.37%$24,760-0.37%
202121.34%$25,0911.34%
202131.51%$25,4711.51%
202142.98%$26,2312.98%
202151.07%$26,5131.07%
202161.11%$26,8071.11%
202170.78%$27,0150.78%
202181.50%$27,4201.50%
20219-3.00%$26,598-3.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Target Retirement 2030 Inv
Large-cap Value22.43%
Large-cap Growth21.27%
Mid-cap Value0.00%
Mid-cap Growth8.16%
Small-cap Value0.00%
Small-cap Growth1.64%
Global ex-US Developed Markets17.00%
Emerging Markets7.45%
Corporate Bonds3.29%
Long-Term Treasuries0.34%
Intermediate-Term Treasuries5.97%
Short-Term Treasuries12.44%
R Squared99.05%
Style analysis is based on monthly returns from January 2007 to September 2021 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 Style Analysis for Vanguard Target Retirement 2030 Inv

Holdings Based Style Analysis for Vanguard Target Retirement 2030 Inv
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTHRXVanguard Target Retirement 2030 InvTarget-Date 2030100.00%1.51%0.14%20.017.33$16,598100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (c) 2021 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
MetricVanguard Target Retirement 2030 Inv
Arithmetic Mean (monthly)0.62%
Arithmetic Mean (annualized)7.70%
Geometric Mean (monthly)0.55%
Geometric Mean (annualized)6.86%
Volatility (monthly)3.61%
Volatility (annualized)12.52%
Downside Deviation (monthly)2.51%
Max. Drawdown-45.96%
US Market Correlation0.98
Beta(*)0.77
Alpha (annualized)-1.00%
R295.58%
Sharpe Ratio0.53
Sortino Ratio0.75
Treynor Ratio (%)8.58
Calmar Ratio0.71
Active Return-3.26%
Tracking Error4.49%
Information Ratio-0.73
Skewness-0.84
Excess Kurtosis2.75
Historical Value-at-Risk (5%)-5.85%
Analytical Value-at-Risk (5%)-5.32%
Conditional Value-at-Risk (5%)-8.74%
Upside Capture Ratio (%)72.11
Downside Capture Ratio (%)79.42
Safe Withdrawal Rate8.20%
Perpetual Withdrawal Rate4.68%
Positive Periods117 out of 177 (66.10%)
Gain/Loss Ratio0.82
* 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 PeriodStartEndVanguard Target Retirement 2030 Inv
Subprime CrisisNov 2007Mar 2009-45.96%
COVID-19 StartJan 2020Mar 2020-14.76%

Drawdowns for Vanguard Target Retirement 2030 Inv

Drawdowns for Vanguard Target Retirement 2030 Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-45.96%
2May 2011Sep 20115 monthsMar 20126 months11 months-15.23%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-14.76%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-9.07%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-8.79%
6Apr 2012May 20122 monthsSep 20124 months6 months-6.47%
7May 2019May 20191 monthJun 20191 month2 months-3.70%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-3.51%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-3.34%
10Sep 2021Sep 20211 month-3.00%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTHRXVanguard Target Retirement 2030 Inv6.86%12.52%26.72%-32.91%-45.96%0.530.750.98

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.64%49.51%-39.01%
3 years7.84%22.63%-6.82%
5 years8.20%18.85%-0.43%
7 years8.27%13.17%4.34%
10 years8.14%12.33%4.93%