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 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
BRK.B Berkshire Hathaway Inc. 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
MGV Vanguard Mega Cap Value ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,927 7.66% 17.22%32.17%-32.14%-45.86% 0.500.800.52
Portfolio 2$10,000$19,966 7.16% 15.37%32.18%-35.64%-51.29% 0.510.720.97
   
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 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
YearInflationReturnBalanceBerkshire Hathaway Inc. (BRK.B)Vanguard Mega Cap Value ETF (MGV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20080.09%-32.14%-35.64%$6,786$6,436-32.14%-35.64%
20092.72%2.24%15.73%$6,938$7,4492.24%15.73%
20101.50%21.90%13.13%$8,458$8,42721.90%13.13%
20112.96%-4.76%1.37%$8,055$8,542-4.76%1.37%
20121.74%17.56%15.01%$9,470$9,82417.56%15.01%
20131.50%32.17%32.18%$12,517$12,98632.17%32.18%
20140.76%26.64%12.92%$15,852$14,66426.64%12.92%
20150.73%-12.06%-0.20%$13,940$14,635-12.06%-0.20%
20162.07%23.43%16.76%$17,207$17,08723.43%16.76%
20172.11%21.62%16.85%$20,927$19,96621.62%16.85%
Monthly returns for the configured portfolios
YearMonthReturnBalanceBerkshire Hathaway Inc. (BRK.B)Vanguard Mega Cap Value ETF (MGV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20081-3.93%-5.03%$9,607$9,497-3.93%-5.03%
200822.74%-4.83%$9,870$9,0382.74%-4.83%
20083-4.31%0.03%$9,445$9,041-4.31%0.03%
20084-0.36%3.95%$9,411$9,398-0.36%3.95%
200850.92%-1.32%$9,497$9,2740.92%-1.32%
20086-10.80%-9.39%$8,471$8,404-10.80%-9.39%
20087-4.56%-0.07%$8,085$8,397-4.56%-0.07%
200881.91%1.49%$8,239$8,5231.91%1.49%
2008912.63%-6.63%$9,280$7,95712.63%-6.63%
200810-12.63%-15.39%$8,108$6,732-12.63%-15.39%
200811-8.88%-5.82%$7,388$6,340-8.88%-5.82%
200812-8.15%1.51%$6,786$6,436-8.15%1.51%
20091-7.00%-12.05%$6,311$5,661-7.00%-12.05%
20092-14.22%-13.95%$5,414$4,871-14.22%-13.95%
200939.98%8.84%$5,954$5,3029.98%8.84%
200948.69%9.54%$6,472$5,8088.69%9.54%
20095-3.03%7.39%$6,275$6,237-3.03%7.39%
20096-2.56%-1.19%$6,115$6,163-2.56%-1.19%
200979.82%7.56%$6,716$6,6299.82%7.56%
200983.32%5.01%$6,938$6,9613.32%5.01%
200991.13%2.90%$7,016$7,1631.13%2.90%
200910-1.20%-2.41%$6,932$6,990-1.20%-2.41%
2009112.13%6.29%$7,080$7,4302.13%6.29%
200912-2.00%0.26%$6,938$7,449-2.00%0.26%
2010116.30%-2.25%$8,069$7,28116.30%-2.25%
201024.84%1.89%$8,460$7,4194.84%1.89%
201031.42%6.10%$8,580$7,8711.42%6.10%
20104-5.25%1.33%$8,129$7,976-5.25%1.33%
20105-8.38%-7.95%$7,448$7,342-8.38%-7.95%
2010612.96%-4.76%$8,413$6,99312.96%-4.76%
20107-1.97%6.85%$8,247$7,471-1.97%6.85%
201080.84%-4.54%$8,317$7,1320.84%-4.54%
201094.95%7.30%$8,729$7,6524.95%7.30%
201010-3.77%2.71%$8,399$7,860-3.77%2.71%
2010110.15%-0.85%$8,412$7,7930.15%-0.85%
2010120.54%8.13%$8,458$8,4270.54%8.13%
201112.05%3.02%$8,631$8,6822.05%3.02%
201126.76%4.06%$9,215$9,0346.76%4.06%
20113-4.18%-0.38%$8,829$9,000-4.18%-0.38%
20114-0.39%2.99%$8,794$9,269-0.39%2.99%
20115-5.08%-1.56%$8,348$9,124-5.08%-1.56%
20116-2.12%-1.97%$8,170$8,945-2.12%-1.97%
20117-4.16%-3.32%$7,830$8,648-4.16%-3.32%
20118-1.58%-5.73%$7,707$8,152-1.58%-5.73%
20119-2.68%-6.59%$7,500$7,615-2.68%-6.59%
2011109.60%10.46%$8,220$8,4129.60%10.46%
2011111.16%-1.11%$8,315$8,3191.16%-1.11%
201112-3.12%2.69%$8,055$8,542-3.12%2.69%
201212.71%3.12%$8,274$8,8092.71%3.12%
201220.10%3.89%$8,282$9,1510.10%3.89%
201233.44%3.15%$8,567$9,4393.44%3.15%
20124-0.86%-1.26%$8,493$9,319-0.86%-1.26%
20125-1.35%-5.48%$8,378$8,808-1.35%-5.48%
201265.00%4.95%$8,798$9,2455.00%4.95%
201271.81%1.42%$8,957$9,3761.81%1.42%
20128-0.59%1.16%$8,904$9,485-0.59%1.16%
201294.58%3.40%$9,312$9,8084.58%3.40%
201210-2.10%-0.77%$9,116$9,732-2.10%-0.77%
2012112.00%-0.84%$9,299$9,6502.00%-0.84%
2012121.84%1.80%$9,470$9,8241.84%1.80%
201318.06%6.28%$10,233$10,4418.06%6.28%
201325.40%1.19%$10,785$10,5655.40%1.19%
201332.00%3.92%$11,001$10,9792.00%3.92%
201342.03%2.21%$11,225$11,2222.03%2.21%
201357.29%2.66%$12,043$11,5217.29%2.66%
20136-1.88%-0.82%$11,816$11,426-1.88%-0.82%
201373.53%5.26%$12,233$12,0273.53%5.26%
20138-4.01%-3.78%$11,742$11,573-4.01%-3.78%
201392.06%1.92%$11,984$11,7952.06%1.92%
2013101.39%4.49%$12,151$12,3251.39%4.49%
2013111.25%3.25%$12,303$12,7261.25%3.25%
2013121.74%2.04%$12,517$12,9861.74%2.04%
20141-5.87%-3.69%$11,782$12,506-5.87%-3.69%
201423.75%3.70%$12,223$12,9693.75%3.70%
201437.94%2.81%$13,194$13,3347.94%2.81%
201443.10%0.93%$13,603$13,4573.10%0.93%
20145-0.40%1.53%$13,549$13,664-0.40%1.53%
20146-1.39%1.78%$13,361$13,907-1.39%1.78%
20147-0.89%-1.08%$13,242$13,757-0.89%-1.08%
201489.42%3.38%$14,490$14,2229.42%3.38%
201490.65%-0.98%$14,584$14,0830.65%-0.98%
2014101.46%1.59%$14,797$14,3061.46%1.59%
2014116.09%2.25%$15,698$14,6286.09%2.25%
2014120.98%0.25%$15,852$14,6640.98%0.25%
20151-4.16%-4.28%$15,193$14,036-4.16%-4.28%
201522.43%5.23%$15,563$14,7702.43%5.23%
20153-2.10%-1.66%$15,236$14,524-2.10%-1.66%
20154-2.15%1.79%$14,908$14,784-2.15%1.79%
201551.27%1.08%$15,097$14,9451.27%1.08%
20156-4.82%-2.05%$14,370$14,639-4.82%-2.05%
201574.87%1.09%$15,070$14,7974.87%1.09%
20158-6.09%-6.08%$14,151$13,898-6.09%-6.08%
20159-2.72%-2.18%$13,767$13,596-2.72%-2.18%
2015104.31%7.80%$14,360$14,6564.31%7.80%
201511-1.42%0.55%$14,156$14,737-1.42%0.55%
201512-1.53%-0.70%$13,940$14,635-1.53%-0.70%
20161-1.72%-4.42%$13,700$13,988-1.72%-4.42%
201623.39%-0.11%$14,165$13,9733.39%-0.11%
201635.75%6.33%$14,979$14,8575.75%6.33%
201642.54%1.53%$15,359$15,0842.54%1.53%
20165-3.40%1.22%$14,837$15,268-3.40%1.22%
201663.02%1.24%$15,286$15,4583.02%1.24%
20167-0.36%2.65%$15,231$15,867-0.36%2.65%
201684.31%0.54%$15,888$15,9534.31%0.54%
20169-4.00%-0.67%$15,252$15,846-4.00%-0.67%
201610-0.12%-1.05%$15,234$15,679-0.12%-1.05%
2016119.11%5.81%$16,622$16,5909.11%5.81%
2016123.52%3.00%$17,207$17,0873.52%3.00%
201710.71%0.19%$17,329$17,1200.71%0.19%
201724.44%3.61%$18,098$17,7394.44%3.61%
20173-2.77%-1.04%$17,597$17,554-2.77%-1.04%
20174-0.88%-0.16%$17,442$17,526-0.88%-0.16%
201750.04%0.16%$17,449$17,5540.04%0.16%
201762.47%1.81%$17,881$17,8732.47%1.81%
201773.31%1.61%$18,472$18,1613.31%1.61%
201783.54%-0.45%$19,126$18,0793.54%-0.45%
201791.19%3.06%$19,354$18,6311.19%3.06%
2017101.97%1.96%$19,736$18,9971.97%1.96%
2017113.25%3.42%$20,377$19,6463.25%3.42%
2017122.70%1.63%$20,927$19,9662.70%1.63%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value63.64%87.95%
Large-cap Growth0.00%7.34%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.45%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries5.61%4.26%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries30.74%0.00%
R Squared33.93%98.26%
Style analysis is based on monthly returns from Jan 2008 to Dec 2017 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
TickerNameCategoryWeightReturn ContributionRisk Contribution
BRK.BBerkshire Hathaway Inc.Financial Services / Insurance - Diversified100.00%$10,927100.00%

Asset Allocation

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
MGVVanguard Mega Cap Value ETFLarge Value0.07%100.00%$9,966100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 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)0.74%0.68%
Arithmetic Mean (annualized)9.24%8.44%
Geometric Mean (monthly)0.62%0.58%
Geometric Mean (annualized)7.66%7.16%
Volatility (monthly)4.97%4.44%
Volatility (annualized)17.22%15.37%
Downside Deviation (monthly)3.10%3.11%
Max. Drawdown-45.86%-51.29%
US Market Correlation0.520.97
Beta(*)0.580.95
Alpha (annualized)3.38%-0.93%
R227.35%93.29%
Sharpe Ratio0.500.51
Sortino Ratio0.800.72
Treynor Ratio (%)14.848.23
Calmar Ratio0.711.20
Active Return-0.93%-1.44%
Tracking Error16.08%4.05%
Information Ratio-0.06-0.36
Skewness0.05-0.83
Excess Kurtosis1.101.81
Historical Value-at-Risk (5%)-8.09%-6.63%
Analytical Value-at-Risk (5%)-7.44%-6.62%
Conditional Value-at-Risk (5%)-10.51%-10.89%
Upside Capture Ratio (%)62.1291.80
Downside Capture Ratio (%)54.8997.27
Safe Withdrawal Rate9.70%9.81%
Perpetual Withdrawal Rate5.62%5.17%
Positive Periods69 out of 120 (57.50%)74 out of 120 (61.67%)
Gain/Loss Ratio1.100.93
* 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 monthsJan 20133 years 11 months5 years 1 month-45.86%
2Jan 2015Jan 20161 year 1 monthAug 20167 months1 year 8 months-13.57%
3Jan 2014Jan 20141 monthMar 20142 months3 months-5.87%
4Sep 2016Oct 20162 monthsNov 20161 month3 months-4.11%
5Aug 2013Aug 20131 monthNov 20133 months4 months-4.01%
6Mar 2017Apr 20172 monthsJul 20173 months5 months-3.62%
7May 2014Jul 20143 monthsAug 20141 month4 months-2.65%
8Jun 2013Jun 20131 monthJul 20131 month2 months-1.88%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsJan 20133 years 11 months5 years 1 month-51.29%
2Jun 2015Sep 20154 monthsApr 20167 months11 months-9.03%
3Jan 2015Jan 20151 monthFeb 20151 month2 months-4.28%
4Aug 2013Aug 20131 monthOct 20132 months3 months-3.78%
5Jan 2014Jan 20141 monthMar 20142 months3 months-3.69%
6Sep 2016Oct 20162 monthsNov 20161 month3 months-1.71%
7Mar 2015Mar 20151 monthApr 20151 month2 months-1.66%
8Mar 2017Apr 20172 monthsJun 20172 months4 months-1.20%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.08%
10Sep 2014Sep 20141 monthOct 20141 month2 months-0.98%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
BRK.BBerkshire Hathaway Inc.7.66%17.22%32.17%-32.14%-45.86%0.500.800.52
MGVVanguard Mega Cap Value ETF7.16%15.37%32.18%-35.64%-51.29%0.510.720.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameBRK.BMGVPortfolio 1Portfolio 2
BRK.BBerkshire Hathaway Inc.-0.581.000.58
MGVVanguard Mega Cap Value ETF0.58-0.581.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
BRK.BBerkshire Hathaway Inc.$10,927
MGVVanguard Mega Cap Value ETF$9,966

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
BRK.BBerkshire Hathaway Inc.100.00%
MGVVanguard Mega Cap Value ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.66%32.17%-32.14%8.81%32.18%-35.64%
3 years10.66%25.31%-5.43%10.48%19.74%-5.55%
5 years12.33%17.97%-1.08%11.83%15.24%-0.35%
7 years11.33%13.85%6.80%10.94%13.11%5.62%
10 years7.66%7.66%7.66%7.16%7.16%7.16%
Result statistics are based on annualized rolling returns over full calendar year periods