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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2008 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VMNFX Vanguard Market Neutral Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,466 0.51% 4.92%8.59%-11.38%-19.53% 0.080.120.12
Portfolio 2$10,000$10,466 0.51% 4.92%8.59%-11.38%-19.53% 0.080.120.12
Portfolio 3$10,000$10,466 0.51% 4.92%8.59%-11.38%-19.53% 0.080.120.12
   
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.
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Market Neutral Inv (VMNFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20080.09%-8.24%-8.24%-8.24%$9,176$9,176$9,176-8.24%
20092.72%-11.38%-11.38%-11.38%$8,131$8,131$8,131-11.38%
20101.50%-1.03%-1.03%-1.03%$8,047$8,047$8,047-1.03%
20112.96%7.80%7.80%7.80%$8,676$8,676$8,6767.80%
20121.74%-1.50%-1.50%-1.50%$8,546$8,546$8,546-1.50%
20131.50%8.59%8.59%8.59%$9,280$9,280$9,2808.59%
20140.76%4.26%4.26%4.26%$9,676$9,676$9,6764.26%
20150.73%5.41%5.41%5.41%$10,199$10,199$10,1995.41%
20162.07%2.62%2.62%2.62%$10,466$10,466$10,4662.62%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Market Neutral Inv (VMNFX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20081-2.43%-2.43%-2.43%$9,757$9,757$9,757-2.43%
200820.08%0.08%0.08%$9,765$9,765$9,7650.08%
200830.08%0.08%0.08%$9,772$9,772$9,7720.08%
20084-0.96%-0.96%-0.96%$9,678$9,678$9,678-0.96%
200851.14%1.14%1.14%$9,788$9,788$9,7881.14%
200861.12%1.12%1.12%$9,898$9,898$9,8981.12%
20087-0.72%-0.72%-0.72%$9,827$9,827$9,827-0.72%
20088-0.80%-0.80%-0.80%$9,748$9,748$9,748-0.80%
20089-1.62%-1.62%-1.62%$9,590$9,590$9,590-1.62%
200810-2.47%-2.47%-2.47%$9,353$9,353$9,353-2.47%
200811-3.46%-3.46%-3.46%$9,029$9,029$9,029-3.46%
2008121.62%1.62%1.62%$9,176$9,176$9,1761.62%
20091-1.28%-1.28%-1.28%$9,058$9,058$9,058-1.28%
20092-2.40%-2.40%-2.40%$8,841$8,841$8,841-2.40%
20093-3.01%-3.01%-3.01%$8,575$8,575$8,575-3.01%
20094-2.93%-2.93%-2.93%$8,324$8,324$8,324-2.93%
20095-1.51%-1.51%-1.51%$8,198$8,198$8,198-1.51%
200961.43%1.43%1.43%$8,315$8,315$8,3151.43%
20097-1.31%-1.31%-1.31%$8,207$8,207$8,207-1.31%
20098-0.10%-0.10%-0.10%$8,198$8,198$8,198-0.10%
20099-0.82%-0.82%-0.82%$8,131$8,131$8,131-0.82%
200910-0.10%-0.10%-0.10%$8,123$8,123$8,123-0.10%
200911-0.21%-0.21%-0.21%$8,106$8,106$8,106-0.21%
2009120.31%0.31%0.31%$8,131$8,131$8,1310.31%
201010.10%0.10%0.10%$8,140$8,140$8,1400.10%
201021.34%1.34%1.34%$8,248$8,248$8,2481.34%
201030.00%0.00%0.00%$8,248$8,248$8,2480.00%
20104-0.71%-0.71%-0.71%$8,190$8,190$8,190-0.71%
201050.82%0.82%0.82%$8,257$8,257$8,2570.82%
20106-0.81%-0.81%-0.81%$8,190$8,190$8,190-0.81%
20107-0.10%-0.10%-0.10%$8,181$8,181$8,181-0.10%
20108-0.82%-0.82%-0.82%$8,114$8,114$8,114-0.82%
201090.93%0.93%0.93%$8,190$8,190$8,1900.93%
2010100.20%0.20%0.20%$8,207$8,207$8,2070.20%
2010110.61%0.61%0.61%$8,257$8,257$8,2570.61%
201012-2.54%-2.54%-2.54%$8,047$8,047$8,047-2.54%
201110.31%0.31%0.31%$8,073$8,073$8,0730.31%
201121.35%1.35%1.35%$8,181$8,181$8,1811.35%
201132.46%2.46%2.46%$8,382$8,382$8,3822.46%
201140.60%0.60%0.60%$8,433$8,433$8,4330.60%
201150.10%0.10%0.10%$8,441$8,441$8,4410.10%
201162.38%2.38%2.38%$8,642$8,642$8,6422.38%
20117-0.29%-0.29%-0.29%$8,617$8,617$8,617-0.29%
201181.55%1.55%1.55%$8,751$8,751$8,7511.55%
20119-1.15%-1.15%-1.15%$8,650$8,650$8,650-1.15%
2011100.87%0.87%0.87%$8,726$8,726$8,7260.87%
2011110.10%0.10%0.10%$8,734$8,734$8,7340.10%
201112-0.67%-0.67%-0.67%$8,676$8,676$8,676-0.67%
201210.19%0.19%0.19%$8,692$8,692$8,6920.19%
201220.67%0.67%0.67%$8,751$8,751$8,7510.67%
20123-0.29%-0.29%-0.29%$8,726$8,726$8,726-0.29%
20124-1.06%-1.06%-1.06%$8,634$8,634$8,634-1.06%
20125-1.16%-1.16%-1.16%$8,533$8,533$8,533-1.16%
201260.59%0.59%0.59%$8,583$8,583$8,5830.59%
201272.44%2.44%2.44%$8,793$8,793$8,7932.44%
20128-1.14%-1.14%-1.14%$8,692$8,692$8,692-1.14%
20129-1.35%-1.35%-1.35%$8,575$8,575$8,575-1.35%
201210-0.39%-0.39%-0.39%$8,542$8,542$8,542-0.39%
2012110.59%0.59%0.59%$8,592$8,592$8,5920.59%
201212-0.54%-0.54%-0.54%$8,546$8,546$8,546-0.54%
201311.38%1.38%1.38%$8,664$8,664$8,6641.38%
201320.58%0.58%0.58%$8,714$8,714$8,7140.58%
201330.99%0.99%0.99%$8,801$8,801$8,8010.99%
201340.38%0.38%0.38%$8,834$8,834$8,8340.38%
201350.95%0.95%0.95%$8,918$8,918$8,9180.95%
201360.28%0.28%0.28%$8,944$8,944$8,9440.28%
201370.09%0.09%0.09%$8,952$8,952$8,9520.09%
20138-1.32%-1.32%-1.32%$8,834$8,834$8,834-1.32%
201390.86%0.86%0.86%$8,910$8,910$8,9100.86%
2013102.93%2.93%2.93%$9,171$9,171$9,1712.93%
2013111.10%1.10%1.10%$9,272$9,272$9,2721.10%
2013120.09%0.09%0.09%$9,280$9,280$9,2800.09%
20141-0.18%-0.18%-0.18%$9,263$9,263$9,263-0.18%
201421.09%1.09%1.09%$9,364$9,364$9,3641.09%
201431.89%1.89%1.89%$9,541$9,541$9,5411.89%
201440.62%0.62%0.62%$9,600$9,600$9,6000.62%
201450.96%0.96%0.96%$9,693$9,693$9,6930.96%
20146-1.56%-1.56%-1.56%$9,541$9,541$9,541-1.56%
201470.88%0.88%0.88%$9,625$9,625$9,6250.88%
201480.00%0.00%0.00%$9,625$9,625$9,6250.00%
201490.09%0.09%0.09%$9,634$9,634$9,6340.09%
201410-0.17%-0.17%-0.17%$9,617$9,617$9,617-0.17%
2014110.87%0.87%0.87%$9,701$9,701$9,7010.87%
201412-0.26%-0.26%-0.26%$9,676$9,676$9,676-0.26%
201511.13%1.13%1.13%$9,785$9,785$9,7851.13%
20152-2.06%-2.06%-2.06%$9,583$9,583$9,583-2.06%
201531.14%1.14%1.14%$9,693$9,693$9,6931.14%
20154-1.22%-1.22%-1.22%$9,575$9,575$9,575-1.22%
201550.79%0.79%0.79%$9,650$9,650$9,6500.79%
20156-0.87%-0.87%-0.87%$9,566$9,566$9,566-0.87%
201572.55%2.55%2.55%$9,810$9,810$9,8102.55%
20158-0.60%-0.60%-0.60%$9,751$9,751$9,751-0.60%
201595.00%5.00%5.00%$10,239$10,239$10,2395.00%
201510-0.49%-0.49%-0.49%$10,189$10,189$10,189-0.49%
201511-0.66%-0.66%-0.66%$10,122$10,122$10,122-0.66%
2015120.76%0.76%0.76%$10,199$10,199$10,1990.76%
201611.32%1.32%1.32%$10,334$10,334$10,3341.32%
201621.55%1.55%1.55%$10,494$10,494$10,4941.55%
20163-0.40%-0.40%-0.40%$10,451$10,451$10,451-0.40%
20164-1.85%-1.85%-1.85%$10,258$10,258$10,258-1.85%
20165-1.80%-1.80%-1.80%$10,073$10,073$10,073-1.80%
20166-1.25%-1.25%-1.25%$9,947$9,947$9,947-1.25%
201670.68%0.68%0.68%$10,014$10,014$10,0140.68%
20168-2.02%-2.02%-2.02%$9,812$9,812$9,812-2.02%
201690.51%0.51%0.51%$9,862$9,862$9,8620.51%
2016100.68%0.68%0.68%$9,930$9,930$9,9300.68%
2016114.07%4.07%4.07%$10,334$10,334$10,3344.07%
2016121.28%1.28%1.28%$10,466$10,466$10,4661.28%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VMNFXVanguard Market Neutral InvMarket Neutral1.80%100.00%$466100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VMNFXVanguard Market Neutral InvMarket Neutral1.80%100.00%$466100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VMNFXVanguard Market Neutral InvMarket Neutral1.80%100.00%$466100.00%

Asset Allocation

Fund fundamentals data as of 12/04/2019. (c) 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)0.05%0.05%0.05%
Arithmetic Mean (annualized)0.63%0.63%0.63%
Geometric Mean (monthly)0.04%0.04%0.04%
Geometric Mean (annualized)0.51%0.51%0.51%
Volatility (monthly)1.42%1.42%1.42%
Volatility (annualized)4.92%4.92%4.92%
Downside Deviation (monthly)0.96%0.96%0.96%
Max. Drawdown-19.53%-19.53%-19.53%
US Market Correlation0.120.120.12
Beta(*)0.040.040.04
Alpha (annualized)0.32%0.32%0.32%
R21.44%1.44%1.44%
Sharpe Ratio0.080.080.08
Sortino Ratio0.120.120.12
Treynor Ratio (%)10.9010.9010.90
Calmar Ratio0.630.630.63
Active Return-6.79%-6.79%-6.79%
Tracking Error16.49%16.49%16.49%
Information Ratio-0.41-0.41-0.41
Skewness0.260.260.26
Excess Kurtosis1.101.101.10
Historical Value-at-Risk (5%)-2.45%-2.45%-2.45%
Analytical Value-at-Risk (5%)-2.28%-2.28%-2.28%
Conditional Value-at-Risk (5%)-2.88%-2.88%-2.88%
Upside Capture Ratio (%)3.533.533.53
Downside Capture Ratio (%)3.053.053.05
Safe Withdrawal Rate9.32%9.32%9.32%
Perpetual Withdrawal Rate0.00%0.00%0.00%
Positive Periods58 out of 108 (53.70%)58 out of 108 (53.70%)58 out of 108 (53.70%)
Gain/Loss Ratio0.910.910.91
* 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 2008Dec 20103 yearsSep 20154 years 9 months7 years 9 months-19.53%
2Mar 2016Aug 20166 months-6.50%
3Oct 2015Nov 20152 monthsJan 20162 months4 months-1.15%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Dec 20103 yearsSep 20154 years 9 months7 years 9 months-19.53%
2Mar 2016Aug 20166 months-6.50%
3Oct 2015Nov 20152 monthsJan 20162 months4 months-1.15%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Dec 20103 yearsSep 20154 years 9 months7 years 9 months-19.53%
2Mar 2016Aug 20166 months-6.50%
3Oct 2015Nov 20152 monthsJan 20162 months4 months-1.15%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VMNFXVanguard Market Neutral Inv0.51%4.92%8.59%-11.38%-19.53%0.080.120.12

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year0.73%8.59%-11.38%0.73%8.59%-11.38%0.73%8.59%-11.38%
3 years1.65%6.07%-6.98%1.65%6.07%-6.98%1.65%6.07%-6.98%
5 years1.87%4.85%-3.09%1.87%4.85%-3.09%1.87%4.85%-3.09%
7 years1.57%3.67%-0.47%1.57%3.67%-0.47%1.57%3.67%-0.47%
Result statistics are based on annualized rolling returns over full calendar year periods