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 2008 - Dec 2009)

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
VSMGX Vanguard LifeStrategy Moderate Gr Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VBINX Vanguard Balanced Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$9,543 -2.31% 14.78%19.59%-20.20%-29.10% -0.14-0.180.99
Portfolio 2$10,000$8,845 -5.95% 17.48%20.33%-26.50%-36.10% -0.31-0.390.99
Portfolio 3$10,000$9,339 -3.36% 15.43%20.05%-22.21%-31.02% -0.20-0.250.99
   
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 Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)Vanguard Balanced Index Inv (VBINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20080.09%-20.20%-26.50%-22.21%$7,980$7,350$7,779-37.04%5.05%-26.50%-22.21%
20092.72%19.59%20.33%20.05%$9,543$8,845$9,33928.70%5.93%20.33%20.05%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)Vanguard Balanced Index Inv (VBINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20081-2.97%-3.91%-2.91%$9,703$9,609$9,709-6.08%1.69%-3.91%-2.91%
20082-1.70%-1.82%-1.78%$9,537$9,434$9,537-3.07%0.19%-1.82%-1.78%
20083-0.21%-0.30%-0.19%$9,518$9,406$9,518-0.58%0.30%-0.30%-0.19%
200842.74%3.46%2.83%$9,778$9,731$9,7885.02%-0.30%3.46%2.83%
200850.89%0.97%0.98%$9,865$9,826$9,8842.09%-0.79%0.97%0.98%
20086-4.84%-5.92%-4.98%$9,388$9,244$9,392-8.19%-0.01%-5.92%-4.98%
20087-0.44%-0.83%-0.44%$9,347$9,168$9,350-0.77%0.00%-0.83%-0.44%
200881.20%0.63%1.23%$9,459$9,225$9,4661.58%0.70%0.63%1.23%
20089-5.75%-7.15%-6.04%$8,915$8,566$8,894-9.26%-1.10%-7.15%-6.04%
200810-10.81%-13.22%-11.59%$7,951$7,434$7,863-17.63%-2.53%-13.22%-11.59%
200811-2.21%-3.73%-3.43%$7,776$7,156$7,594-7.90%3.64%-3.73%-3.43%
2008122.62%2.71%2.44%$7,980$7,350$7,7791.86%3.32%2.71%2.44%
20091-5.23%-6.30%-5.18%$7,562$6,887$7,376-8.26%-0.70%-6.30%-5.18%
20092-6.25%-7.22%-6.48%$7,090$6,390$6,898-10.45%-0.42%-7.22%-6.48%
200935.46%6.64%6.10%$7,477$6,814$7,3198.65%1.48%6.64%6.10%
200946.22%7.01%6.40%$7,942$7,292$7,78710.61%0.36%7.01%6.40%
200953.55%4.48%3.58%$8,223$7,618$8,0665.38%0.85%4.48%3.58%
200960.42%0.25%0.50%$8,258$7,637$8,1060.34%0.54%0.25%0.50%
200975.30%5.81%5.28%$8,695$8,081$8,5347.82%1.43%5.81%5.28%
200982.63%2.75%2.62%$8,924$8,303$8,7583.63%1.01%2.75%2.62%
200993.09%3.21%2.98%$9,200$8,569$9,0184.23%1.19%3.21%2.98%
200910-1.47%-1.27%-1.33%$9,064$8,461$8,899-2.57%0.41%-1.27%-1.33%
2009114.03%4.02%3.88%$9,430$8,801$9,2445.63%1.36%4.02%3.88%
2009121.20%0.50%1.03%$9,543$8,845$9,3392.86%-1.68%0.50%1.03%

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%-$84893.92%
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond5.940.15%40.00%$3926.08%

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
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity6.650.13%100.00%-$1,155100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBINXVanguard Balanced Index Inv50% to 70% Equity5.940.19%100.00%-$661100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2019. © 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 2Portfolio 3
Arithmetic Mean (monthly)-0.11%-0.38%-0.19%
Arithmetic Mean (annualized)-1.26%-4.52%-2.22%
Geometric Mean (monthly)-0.19%-0.51%-0.28%
Geometric Mean (annualized)-2.31%-5.95%-3.36%
Volatility (monthly)4.27%5.05%4.46%
Volatility (annualized)14.78%17.48%15.43%
Downside Deviation (monthly)3.28%4.02%3.48%
Max. Drawdown-29.10%-36.10%-31.02%
US Market Correlation0.990.990.99
Beta(*)0.600.710.63
Alpha (annualized)3.26%0.75%2.51%
R297.68%98.10%98.63%
Sharpe Ratio-0.14-0.31-0.20
Sortino Ratio-0.18-0.39-0.25
Treynor Ratio (%)-3.50-7.65-4.89
Active Return7.67%4.03%6.62%
Tracking Error9.95%7.39%9.15%
Information Ratio0.770.550.72
Skewness-0.68-0.68-0.70
Excess Kurtosis0.150.240.31
Historical Value-at-Risk (5%)-9.67%-11.72%-10.32%
Analytical Value-at-Risk (5%)-7.34%-8.69%-7.52%
Conditional Value-at-Risk (5%)-10.81%-13.22%-11.59%
Upside Capture Ratio (%)63.4068.6264.26
Downside Capture Ratio (%)59.6572.2662.89
Sustainable Withdrawal Rate42.89%39.61%41.89%
Positive Periods13 out of 24 (54.17%)13 out of 24 (54.17%)13 out of 24 (54.17%)
Gain/Loss Ratio0.790.690.76
* 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 months-29.10%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 months-36.10%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 months-31.02%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv-9.98%24.30%28.70%-37.04%-48.27%-0.34-0.431.00
VBMFXVanguard Total Bond Market Index Inv5.49%4.81%5.93%5.05%-3.99%0.951.810.35
VSMGXVanguard LifeStrategy Moderate Gr Inv-5.95%17.48%20.33%-26.50%-36.10%-0.31-0.390.99
VBINXVanguard Balanced Index Inv-3.36%15.43%20.05%-22.21%-31.02%-0.20-0.250.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVSMGXVBINXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv-0.350.990.990.990.990.99
VBMFXVanguard Total Bond Market Index Inv0.35-0.470.460.480.470.46
VSMGXVanguard LifeStrategy Moderate Gr Inv0.990.47-1.001.001.001.00
VBINXVanguard Balanced Index Inv0.990.461.00-1.001.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv-$848
VBMFXVanguard Total Bond Market Index Inv$392
VSMGXVanguard LifeStrategy Moderate Gr Inv-$1,155
VBINXVanguard Balanced Index Inv-$661

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv93.92%
VBMFXVanguard Total Bond Market Index Inv6.08%
VSMGXVanguard LifeStrategy Moderate Gr Inv100.00%
VBINXVanguard Balanced Index Inv100.00%

Annual Asset Returns