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 2008 - Dec 2018)

Portfolio Allocations

Vanguard Total Bond Market Index Adm
Ticker Name Allocation
VBTLX Vanguard Total Bond Market Index Adm 100.00%
Save portfolio »
Vanguard Interm-Term Bond Index Adm
Ticker Name Allocation
VBILX Vanguard Interm-Term Bond Index Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total Bond Market Index Adm$10,000$14,723 3.58% 3.31%7.69%-2.15%-3.94% 0.931.65-0.01
Vanguard Interm-Term Bond Index Adm$10,000$16,239 4.51% 5.05%10.74%-3.45%-8.88% 0.801.370.04
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Vanguard Total Bond Market Index Adm1.61%-0.03%2.03%2.46%3.42%3.58%2.97%2.90%
Vanguard Interm-Term Bond Index Adm1.95%-0.17%2.15%2.92%4.46%4.51%3.66%3.76%
Trailing annualized return and volatility are for full months ending in December 2018 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.
  • 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 Total Bond Market Index AdmVanguard Interm-Term Bond Index AdmVanguard Total Bond Market Index Adm (VBTLX)Vanguard Interm-Term Bond Index Adm (VBILX)
ReturnBalanceReturnBalance
20080.09%5.15%$10,5155.01%$10,5015.15%5.01%
20092.72%6.04%$11,1506.89%$11,2256.04%6.89%
20101.50%6.54%$11,8799.49%$12,2906.54%9.49%
20112.96%7.69%$12,79210.74%$13,6107.69%10.74%
20121.74%4.15%$13,3237.02%$14,5654.15%7.02%
20131.50%-2.15%$13,037-3.45%$14,063-2.15%-3.45%
20140.76%5.89%$13,8066.96%$15,0425.89%6.96%
20150.73%0.40%$13,8611.27%$15,2330.40%1.27%
20162.07%2.60%$14,2212.83%$15,6642.60%2.83%
20172.11%3.56%$14,7273.85%$16,2673.56%3.85%
20181.91%-0.03%$14,723-0.17%$16,239-0.03%-0.17%
Monthly returns for the configured portfolios
YearMonthVanguard Total Bond Market Index AdmVanguard Interm-Term Bond Index AdmVanguard Total Bond Market Index Adm (VBTLX)Vanguard Interm-Term Bond Index Adm (VBILX)
ReturnBalanceReturnBalance
200811.70%$10,1702.51%$10,2511.70%2.51%
200820.20%$10,1900.66%$10,3190.20%0.66%
200830.30%$10,2210.03%$10,3220.30%0.03%
20084-0.29%$10,191-0.83%$10,236-0.29%-0.83%
20085-0.78%$10,111-1.30%$10,104-0.78%-1.30%
200860.00%$10,111-0.08%$10,0960.00%-0.08%
200870.01%$10,1120.03%$10,0990.01%0.03%
200880.71%$10,1840.71%$10,1700.71%0.71%
20089-1.10%$10,072-3.37%$9,828-1.10%-3.37%
200810-2.53%$9,818-4.30%$9,405-2.53%-4.30%
2008113.65%$10,1765.81%$9,9523.65%5.81%
2008123.33%$10,5155.52%$10,5013.33%5.52%
20091-0.69%$10,442-1.32%$10,363-0.69%-1.32%
20092-0.42%$10,399-1.19%$10,240-0.42%-1.19%
200931.49%$10,5531.79%$10,4231.49%1.79%
200940.36%$10,5920.19%$10,4430.36%0.19%
200950.86%$10,6820.88%$10,5360.86%0.88%
200960.55%$10,7411.07%$10,6480.55%1.07%
200971.44%$10,8952.61%$10,9251.44%2.61%
200981.02%$11,0061.33%$11,0701.02%1.33%
200991.20%$11,1381.39%$11,2251.20%1.39%
2009100.42%$11,1860.56%$11,2880.42%0.56%
2009111.37%$11,3392.02%$11,5161.37%2.02%
200912-1.67%$11,150-2.53%$11,225-1.67%-2.53%
201011.58%$11,3262.06%$11,4561.58%2.06%
201020.20%$11,3490.34%$11,4950.20%0.34%
20103-0.07%$11,341-0.18%$11,474-0.07%-0.18%
201041.07%$11,4631.56%$11,6531.07%1.56%
201050.88%$11,5641.19%$11,7910.88%1.19%
201061.62%$11,7512.52%$12,0871.62%2.52%
201070.95%$11,8621.58%$12,2790.95%1.58%
201081.49%$12,0392.52%$12,5881.49%2.52%
20109-0.00%$12,0390.57%$12,660-0.00%0.57%
2010100.37%$12,0830.49%$12,7230.37%0.49%
201011-0.56%$12,016-1.05%$12,589-0.56%-1.05%
201012-1.14%$11,879-2.37%$12,290-1.14%-2.37%
201110.09%$11,8900.34%$12,3320.09%0.34%
201120.17%$11,9100.04%$12,3360.17%0.04%
201130.00%$11,911-0.11%$12,3230.00%-0.11%
201141.33%$12,0691.86%$12,5521.33%1.86%
201151.31%$12,2271.94%$12,7951.31%1.94%
20116-0.38%$12,181-0.47%$12,735-0.38%-0.47%
201171.58%$12,3742.71%$13,0801.58%2.71%
201181.47%$12,5562.04%$13,3471.47%2.04%
201190.90%$12,6700.39%$13,3980.90%0.39%
2011100.17%$12,6910.39%$13,4510.17%0.39%
201111-0.29%$12,654-0.64%$13,365-0.29%-0.64%
2011121.09%$12,7921.83%$13,6101.09%1.83%
201210.88%$12,9051.65%$13,8350.88%1.65%
20122-0.04%$12,900-0.07%$13,825-0.04%-0.07%
20123-0.57%$12,826-0.93%$13,697-0.57%-0.93%
201241.15%$12,9741.81%$13,9451.15%1.81%
201250.96%$13,0981.37%$14,1370.96%1.37%
201260.04%$13,1030.10%$14,1500.04%0.10%
201271.39%$13,2861.77%$14,4001.39%1.77%
201280.04%$13,2910.26%$14,4380.04%0.26%
201290.12%$13,3060.41%$14,4970.12%0.41%
2012100.12%$13,3220.25%$14,5340.12%0.25%
2012110.20%$13,3490.57%$14,6170.20%0.57%
201212-0.19%$13,323-0.35%$14,565-0.19%-0.35%
20131-0.70%$13,230-0.93%$14,430-0.70%-0.93%
201320.55%$13,3030.99%$14,5720.55%0.99%
201330.09%$13,3150.29%$14,6150.09%0.29%
201340.92%$13,4381.33%$14,8090.92%1.33%
20135-1.70%$13,210-2.43%$14,450-1.70%-2.43%
20136-1.64%$12,992-2.85%$14,038-1.64%-2.85%
201370.21%$13,0190.43%$14,0980.21%0.43%
20138-0.63%$12,937-1.25%$13,922-0.63%-1.25%
201390.97%$13,0631.59%$14,1440.97%1.59%
2013100.79%$13,1661.05%$14,2920.79%1.05%
201311-0.34%$13,121-0.37%$14,240-0.34%-0.37%
201312-0.64%$13,037-1.24%$14,063-0.64%-1.24%
201411.55%$13,2402.25%$14,3791.55%2.25%
201420.49%$13,3050.58%$14,4620.49%0.58%
20143-0.14%$13,286-0.32%$14,416-0.14%-0.32%
201440.78%$13,3900.86%$14,5400.78%0.86%
201451.06%$13,5321.57%$14,7681.06%1.57%
201460.12%$13,548-0.03%$14,7640.12%-0.03%
20147-0.25%$13,515-0.28%$14,723-0.25%-0.28%
201481.14%$13,6691.38%$14,9261.14%1.38%
20149-0.71%$13,572-1.07%$14,766-0.71%-1.07%
2014100.95%$13,7011.20%$14,9440.95%1.20%
2014110.66%$13,7920.92%$15,0820.66%0.92%
2014120.10%$13,806-0.26%$15,0420.10%-0.26%
201512.32%$14,1273.29%$15,5372.32%3.29%
20152-1.07%$13,975-1.49%$15,305-1.07%-1.49%
201530.42%$14,0330.69%$15,4110.42%0.69%
20154-0.35%$13,984-0.21%$15,379-0.35%-0.21%
20155-0.44%$13,922-0.38%$15,321-0.44%-0.38%
20156-1.00%$13,783-1.34%$15,116-1.00%-1.34%
201570.77%$13,8880.94%$15,2570.77%0.94%
20158-0.35%$13,840-0.38%$15,199-0.35%-0.38%
201590.76%$13,9451.19%$15,3800.76%1.19%
2015100.02%$13,949-0.04%$15,3740.02%-0.04%
201511-0.26%$13,912-0.31%$15,327-0.26%-0.31%
201512-0.37%$13,861-0.61%$15,233-0.37%-0.61%
201611.44%$14,0601.92%$15,5261.44%1.92%
201620.67%$14,1541.00%$15,6800.67%1.00%
201630.95%$14,2891.09%$15,8510.95%1.09%
201640.39%$14,3440.47%$15,9250.39%0.47%
201650.02%$14,348-0.21%$15,8920.02%-0.21%
201661.94%$14,6272.45%$16,2811.94%2.45%
201670.65%$14,7210.72%$16,3980.65%0.72%
20168-0.16%$14,698-0.54%$16,309-0.16%-0.54%
20169-0.08%$14,6860.20%$16,342-0.08%0.20%
201610-0.80%$14,569-0.89%$16,197-0.80%-0.89%
201611-2.63%$14,185-3.38%$15,650-2.63%-3.38%
2016120.25%$14,2210.10%$15,6640.25%0.10%
201710.30%$14,2640.40%$15,7270.30%0.40%
201720.67%$14,3590.82%$15,8570.67%0.82%
20173-0.06%$14,3500.05%$15,864-0.06%0.05%
201740.77%$14,4601.10%$16,0390.77%1.10%
201750.68%$14,5590.84%$16,1730.68%0.84%
201760.02%$14,562-0.31%$16,1230.02%-0.31%
201770.40%$14,6200.66%$16,2290.40%0.66%
201780.86%$14,7461.01%$16,3930.86%1.01%
20179-0.53%$14,667-0.82%$16,257-0.53%-0.82%
2017100.12%$14,6850.14%$16,2800.12%0.14%
201711-0.16%$14,661-0.40%$16,215-0.16%-0.40%
2017120.45%$14,7270.32%$16,2670.45%0.32%
20181-1.09%$14,567-1.54%$16,017-1.09%-1.54%
20182-1.02%$14,418-0.96%$15,864-1.02%-0.96%
201830.63%$14,5100.51%$15,9450.63%0.51%
20184-0.82%$14,391-0.94%$15,795-0.82%-0.94%
201850.62%$14,4790.70%$15,9050.62%0.70%
201860.04%$14,485-0.04%$15,8990.04%-0.04%
201870.04%$14,4910.06%$15,9090.04%0.06%
201880.52%$14,5670.79%$16,0360.52%0.79%
20189-0.53%$14,489-0.67%$15,928-0.53%-0.67%
201810-0.72%$14,385-0.48%$15,851-0.72%-0.48%
2018110.53%$14,4620.62%$15,9480.53%0.62%
2018121.81%$14,7231.82%$16,2391.81%1.82%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Bond Market Index AdmVanguard Interm-Term Bond Index Adm
Large-cap Value0.00%0.00%
Large-cap Growth1.38%1.09%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.33%0.70%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets2.42%3.56%
Corporate Bonds12.39%22.67%
Long-Term Treasuries2.08%0.00%
Intermediate-Term Treasuries30.59%55.89%
Short-Term Treasuries50.81%16.09%
R Squared90.14%93.22%
Style analysis is based on monthly returns from January 2008 to December 2018 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 Total Bond Market Index Adm

Holdings Based Style Analysis for Vanguard Total Bond Market Index Adm
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond100.00%1.93%0.05%6.79$4,723100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Interm-Term Bond Index Adm

Holdings Based Style Analysis for Vanguard Interm-Term Bond Index Adm
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VBILXVanguard Interm-Term Bond Index AdmIntermediate Core Bond100.00%1.94%0.07%6.64$6,239100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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 Total Bond Market Index AdmVanguard Interm-Term Bond Index Adm
Arithmetic Mean (monthly)0.30%0.38%
Arithmetic Mean (annualized)3.63%4.64%
Geometric Mean (monthly)0.29%0.37%
Geometric Mean (annualized)3.58%4.51%
Volatility (monthly)0.95%1.46%
Volatility (annualized)3.31%5.05%
Downside Deviation (monthly)0.52%0.84%
Max. Drawdown-3.94%-8.88%
US Market Correlation-0.010.04
Beta(*)-0.000.01
Alpha (annualized)3.59%4.45%
R20.01%0.12%
Sharpe Ratio0.930.80
Sortino Ratio1.651.37
Treynor Ratio (%)-1,764.14357.18
Calmar Ratio0.560.47
Active Return-3.68%-2.75%
Tracking Error15.93%16.18%
Information Ratio-0.23-0.17
Skewness0.100.17
Excess Kurtosis1.662.49
Historical Value-at-Risk (5%)-1.09%-1.91%
Analytical Value-at-Risk (5%)-1.27%-2.02%
Conditional Value-at-Risk (5%)-1.77%-3.03%
Upside Capture Ratio (%)7.6410.04
Downside Capture Ratio (%)-9.15-10.73
Safe Withdrawal Rate10.75%11.47%
Perpetual Withdrawal Rate1.87%2.74%
Positive Periods88 out of 132 (66.67%)83 out of 132 (62.88%)
Gain/Loss Ratio1.161.20
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Vanguard Total Bond Market Index Adm

Drawdowns for Vanguard Total Bond Market Index Adm (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.94%
2May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.73%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.65%
4Sep 2017Oct 20181 year 2 months-2.45%
5Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.43%
6Nov 2010Dec 20102 monthsMay 20115 months7 months-1.69%
7Dec 2009Dec 20091 monthFeb 20102 months3 months-1.67%
8Jan 2009Feb 20092 monthsMar 20091 month3 months-1.11%
9Dec 2012Jan 20132 monthsApr 20133 months5 months-0.89%
10Sep 2014Sep 20141 monthOct 20141 month2 months-0.71%
Worst 10 drawdowns included above

Drawdowns for Vanguard Interm-Term Bond Index Adm

Drawdowns for Vanguard Interm-Term Bond Index Adm (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-8.88%
2May 2013Aug 20134 monthsAug 20141 year1 year 4 months-5.99%
3Aug 2016Nov 20164 months-4.56%
4Nov 2010Dec 20102 monthsMay 20115 months7 months-3.40%
5Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.71%
6Dec 2009Dec 20091 monthApr 20104 months5 months-2.53%
7Jan 2009Feb 20092 monthsMay 20093 months5 months-2.49%
8Dec 2012Jan 20132 monthsApr 20133 months5 months-1.28%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.07%
10Feb 2012Mar 20122 monthsApr 20121 month3 months-1.00%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBTLXVanguard Total Bond Market Index Adm3.58%3.31%7.69%-2.15%-3.94%0.931.65-0.01
VBILXVanguard Interm-Term Bond Index Adm4.51%5.05%10.74%-3.45%-8.88%0.801.370.04

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBTLXVBILXVanguard Total Bond Market Index AdmVanguard Interm-Term Bond Index Adm
VBTLXVanguard Total Bond Market Index Adm1.000.981.000.98
VBILXVanguard Interm-Term Bond Index Adm0.981.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total Bond Market Index AdmVanguard Interm-Term Bond Index Adm
VBTLXVanguard Total Bond Market Index Adm$4,723
VBILXVanguard Interm-Term Bond Index Adm$6,239

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total Bond Market Index AdmVanguard Interm-Term Bond Index Adm
VBTLXVanguard Total Bond Market Index Adm100.00%
VBILXVanguard Interm-Term Bond Index Adm100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Total Bond Market Index AdmVanguard Interm-Term Bond Index Adm
AverageHighLowAverageHighLow
1 year3.69%13.93%-2.66%4.78%20.02%-3.57%
3 years3.68%8.93%0.96%4.90%12.66%0.89%
5 years3.46%6.04%1.38%4.63%8.73%1.30%
7 years3.59%5.15%1.81%4.80%7.27%2.37%
10 years3.65%3.95%3.42%4.69%5.36%4.39%