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
Save portfolio »
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
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
YearInflationVanguard Total Stock Mkt Idx Adm (VTSAX)Total ReturnInflation Adjusted ReturnYear End Balance
20092.72%28.83%28.83%25.41%$12,883
20101.50%17.26%17.26%15.53%$15,106
20112.96%1.08%1.08%-1.83%$15,269
20121.74%16.38%16.38%14.39%$17,771
20131.50%33.52%33.52%31.55%$23,728
20140.76%12.56%12.56%11.71%$26,708
20150.73%0.39%0.39%-0.34%$26,811
20162.07%12.66%12.66%10.37%$30,207
20172.11%21.17%21.17%18.67%$36,601
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Mkt Idx Adm (VTSAX)Total ReturnMonth End Balance
20091-8.26%-8.26%$9,174
20092-10.45%-10.45%$8,216
200938.73%8.73%$8,933
2009410.60%10.60%$9,880
200955.33%5.33%$10,406
200960.37%0.37%$10,445
200977.87%7.87%$11,266
200983.63%3.63%$11,675
200994.25%4.25%$12,171
200910-2.61%-2.61%$11,854
2009115.66%5.66%$12,526
2009122.85%2.85%$12,883
20101-3.46%-3.46%$12,437
201023.36%3.36%$12,854
201036.26%6.26%$13,659
201042.21%2.21%$13,961
20105-8.00%-8.00%$12,844
20106-5.67%-5.67%$12,116
201077.03%7.03%$12,968
20108-4.75%-4.75%$12,352
201099.50%9.50%$13,525
2010103.94%3.94%$14,058
2010110.58%0.58%$14,139
2010126.83%6.83%$15,106
201112.19%2.19%$15,436
201123.63%3.63%$15,995
201130.45%0.45%$16,067
201142.99%2.99%$16,547
20115-1.16%-1.16%$16,355
20116-1.79%-1.79%$16,063
20117-2.22%-2.22%$15,706
20118-6.02%-6.02%$14,760
20119-7.75%-7.75%$13,616
20111011.54%11.54%$15,188
201111-0.29%-0.29%$15,144
2011120.82%0.82%$15,269
201215.08%5.08%$16,045
201224.26%4.26%$16,728
201233.07%3.07%$17,241
20124-0.63%-0.63%$17,133
20125-6.23%-6.23%$16,065
201263.94%3.94%$16,698
201271.03%1.03%$16,870
201282.51%2.51%$17,294
201292.58%2.58%$17,739
201210-1.76%-1.76%$17,427
2012110.74%0.74%$17,556
2012121.22%1.22%$17,771
201315.50%5.50%$18,748
201321.28%1.28%$18,987
201333.91%3.91%$19,729
201341.70%1.70%$20,065
201352.35%2.35%$20,536
20136-1.24%-1.24%$20,280
201375.46%5.46%$21,387
20138-2.80%-2.80%$20,788
201393.67%3.67%$21,551
2013104.25%4.25%$22,466
2013112.88%2.88%$23,113
2013122.66%2.66%$23,728
20141-3.11%-3.11%$22,991
201424.75%4.75%$24,084
201430.52%0.52%$24,210
201440.06%0.06%$24,225
201452.17%2.17%$24,751
201462.57%2.57%$25,386
20147-1.98%-1.98%$24,884
201484.18%4.18%$25,924
20149-2.11%-2.11%$25,378
2014102.74%2.74%$26,073
2014112.43%2.43%$26,707
2014120.00%0.00%$26,708
20151-2.77%-2.77%$25,968
201525.76%5.76%$27,463
20153-1.01%-1.01%$27,186
201540.42%0.42%$27,301
201551.39%1.39%$27,680
20156-1.70%-1.70%$27,209
201571.65%1.65%$27,658
20158-6.00%-6.00%$25,997
20159-2.94%-2.94%$25,232
2015107.86%7.86%$27,216
2015110.56%0.56%$27,368
201512-2.04%-2.04%$26,811
20161-5.65%-5.65%$25,296
20162-0.04%-0.04%$25,286
201637.03%7.03%$27,064
201640.65%0.65%$27,239
201651.77%1.77%$27,722
201660.25%0.25%$27,791
201673.95%3.95%$28,888
201680.28%0.28%$28,968
201690.15%0.15%$29,013
201610-2.21%-2.21%$28,370
2016114.45%4.45%$29,634
2016121.93%1.93%$30,207
201711.93%1.93%$30,788
201723.71%3.71%$31,930
201730.08%0.08%$31,955
201741.05%1.05%$32,291
201751.02%1.02%$32,621
201760.93%0.93%$32,923
201771.87%1.87%$33,538
201780.16%0.16%$33,592
201792.46%2.46%$34,419
2017102.17%2.17%$35,167
2017113.04%3.04%$36,237
2017121.01%1.01%$36,601

Exposures for Portfolio 1

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 02/05/2018. © 2018 Morningstar. All Rights Reserved. The 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
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)1.29%
Mean Return (annualized)16.59%
Compound Return (monthly)1.21%
Compound Return (annualized)15.51%
Volatility (monthly)3.96%
Volatility (annualized)13.80%
Downside Deviation (monthly)2.33%
Max. Drawdown-17.84%
Market Correlation1.00
Beta(*)1.00
Alpha (annualized)0.10%
R2100.00%
Sharpe Ratio1.11
Sortino Ratio1.89
Treynor Ratio (%)15.29
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%
Positive Periods78 out of 108 (72.22%)
Gain/Loss Ratio0.89

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jan 2009Feb 20092 monthsMay 20095 months-17.84%
2May 2011Sep 20115 monthsFeb 201210 months-17.71%
3May 2010Jun 20102 monthsOct 20106 months-13.22%
4Jun 2015Sep 20154 monthsMay 20161 year-8.84%
5Apr 2012May 20122 monthsAug 20125 months-6.82%
6Jan 2010Jan 20101 monthMar 20103 months-3.46%
7Jan 2014Jan 20141 monthFeb 20142 months-3.11%
8Aug 2013Aug 20131 monthSep 20132 months-2.80%
9Jan 2015Jan 20151 monthFeb 20152 months-2.77%
10Oct 2009Oct 20091 monthNov 20092 months-2.61%
11Oct 2016Oct 20161 monthNov 20162 months-2.21%
12Sep 2014Sep 20141 monthOct 20142 months-2.11%
13Jul 2014Jul 20141 monthAug 20142 months-1.98%
14Oct 2012Oct 20121 monthDec 20123 months-1.76%
15Jun 2013Jun 20131 monthJul 20132 months-1.24%
16Mar 2015Mar 20151 monthMay 20153 months-1.01%

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