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 2009 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$36,601 15.51% 13.80%33.52%0.39%-17.84% 1.111.891.00
   
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 t-bills)
  • 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
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Adm (VTSAX)
20092.72%28.83%$12,88328.83%
20101.50%17.26%$15,10617.26%
20112.96%1.08%$15,2691.08%
20121.74%16.38%$17,77116.38%
20131.50%33.52%$23,72833.52%
20140.76%12.56%$26,70812.56%
20150.73%0.39%$26,8110.39%
20162.07%12.66%$30,20712.66%
20172.11%21.17%$36,60121.17%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Adm (VTSAX)
20091-8.26%$9,174-8.26%
20092-10.45%$8,216-10.45%
200938.73%$8,9338.73%
2009410.60%$9,88010.60%
200955.33%$10,4065.33%
200960.37%$10,4450.37%
200977.87%$11,2667.87%
200983.63%$11,6753.63%
200994.25%$12,1714.25%
200910-2.61%$11,854-2.61%
2009115.66%$12,5265.66%
2009122.85%$12,8832.85%
20101-3.46%$12,437-3.46%
201023.36%$12,8543.36%
201036.26%$13,6596.26%
201042.21%$13,9612.21%
20105-8.00%$12,844-8.00%
20106-5.67%$12,116-5.67%
201077.03%$12,9687.03%
20108-4.75%$12,352-4.75%
201099.50%$13,5259.50%
2010103.94%$14,0583.94%
2010110.58%$14,1390.58%
2010126.83%$15,1066.83%
201112.19%$15,4362.19%
201123.63%$15,9953.63%
201130.45%$16,0670.45%
201142.99%$16,5472.99%
20115-1.16%$16,355-1.16%
20116-1.79%$16,063-1.79%
20117-2.22%$15,706-2.22%
20118-6.02%$14,760-6.02%
20119-7.75%$13,616-7.75%
20111011.54%$15,18811.54%
201111-0.29%$15,144-0.29%
2011120.82%$15,2690.82%
201215.08%$16,0455.08%
201224.26%$16,7284.26%
201233.07%$17,2413.07%
20124-0.63%$17,133-0.63%
20125-6.23%$16,065-6.23%
201263.94%$16,6983.94%
201271.03%$16,8701.03%
201282.51%$17,2942.51%
201292.58%$17,7392.58%
201210-1.76%$17,427-1.76%
2012110.74%$17,5560.74%
2012121.22%$17,7711.22%
201315.50%$18,7485.50%
201321.28%$18,9871.28%
201333.91%$19,7293.91%
201341.70%$20,0651.70%
201352.35%$20,5362.35%
20136-1.24%$20,280-1.24%
201375.46%$21,3875.46%
20138-2.80%$20,788-2.80%
201393.67%$21,5513.67%
2013104.25%$22,4664.25%
2013112.88%$23,1132.88%
2013122.66%$23,7282.66%
20141-3.11%$22,991-3.11%
201424.75%$24,0844.75%
201430.52%$24,2100.52%
201440.06%$24,2250.06%
201452.17%$24,7512.17%
201462.57%$25,3862.57%
20147-1.98%$24,884-1.98%
201484.18%$25,9244.18%
20149-2.11%$25,378-2.11%
2014102.74%$26,0732.74%
2014112.43%$26,7072.43%
2014120.00%$26,7080.00%
20151-2.77%$25,968-2.77%
201525.76%$27,4635.76%
20153-1.01%$27,186-1.01%
201540.42%$27,3010.42%
201551.39%$27,6801.39%
20156-1.70%$27,209-1.70%
201571.65%$27,6581.65%
20158-6.00%$25,997-6.00%
20159-2.94%$25,232-2.94%
2015107.86%$27,2167.86%
2015110.56%$27,3680.56%
201512-2.04%$26,811-2.04%
20161-5.65%$25,296-5.65%
20162-0.04%$25,286-0.04%
201637.03%$27,0647.03%
201640.65%$27,2390.65%
201651.77%$27,7221.77%
201660.25%$27,7910.25%
201673.95%$28,8883.95%
201680.28%$28,9680.28%
201690.15%$29,0130.15%
201610-2.21%$28,370-2.21%
2016114.45%$29,6344.45%
2016121.93%$30,2071.93%
201711.93%$30,7881.93%
201723.71%$31,9303.71%
201730.08%$31,9550.08%
201741.05%$32,2911.05%
201751.02%$32,6211.02%
201760.93%$32,9230.93%
201771.87%$33,5381.87%
201780.16%$33,5920.16%
201792.46%$34,4192.46%
2017102.17%$35,1672.17%
2017113.04%$36,2373.04%
2017121.01%$36,6011.01%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value35.87%
Large-cap Growth43.81%
Mid-cap Value6.26%
Mid-cap Growth7.18%
Small-cap Value2.62%
Small-cap Growth2.69%
Global ex-US Developed Markets1.17%
Emerging Markets0.41%
Intermediate Treasuries0.00%
Long Treasuries0.00%
Corporate Bonds0.00%
Cash0.00%
R Squared99.88%
Style analysis is based on monthly returns from Jan 2009 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%$26,601100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/03/2018. © 2018 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 1
Arithmetic Mean (monthly)1.29%
Arithmetic Mean (annualized)16.59%
Geometric Mean (monthly)1.21%
Geometric Mean (annualized)15.51%
Volatility (monthly)3.98%
Volatility (annualized)13.80%
Downside Deviation (monthly)2.33%
Max. Drawdown-17.84%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)0.10%
R2100.00%
Sharpe Ratio1.11
Sortino Ratio1.89
Treynor Ratio (%)15.29
Information Ratio1.86
Diversification Ratio1.00
Skewness-0.31
Excess Kurtosis0.68
Historical Value-at-Risk (5%)-6.14%
Analytical Value-at-Risk (5%)-5.26%
Conditional Value-at-Risk (5%)-8.14%
Upside Capture Ratio (%)100.38
Downside Capture Ratio (%)99.81
Positive Periods78 out of 108 (72.22%)
Gain/Loss Ratio0.89
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-17.84%
2May 2011Sep 20115 monthsFeb 20125 months10 months-17.71%
3May 2010Jun 20102 monthsOct 20104 months6 months-13.22%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
6Jan 2010Jan 20101 monthMar 20102 months3 months-3.46%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.80%
9Jan 2015Jan 20151 monthFeb 20151 month2 months-2.77%
10Oct 2009Oct 20091 monthNov 20091 month2 months-2.61%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm15.51%13.80%33.52%0.39%-17.84%1.111.891.00

Annual Asset Returns