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 2009 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWELX Vanguard Wellington Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 65.00%
VBMFX Vanguard Total Bond Market Index Inv 35.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$31,401 10.96% 8.73%22.51%-3.42%-11.54% 1.182.030.97
Portfolio 2$10,000$31,190 10.89% 8.75%23.37%-2.99%-12.20% 1.171.970.99
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Wellington Inv (VWELX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20092.72%22.20%19.29%$12,220$11,92922.20%26.49%5.93%
20101.50%10.94%11.94%$13,556$13,35410.94%14.91%6.42%
20112.96%3.85%3.92%$14,078$13,8783.85%1.97%7.56%
20121.74%12.57%11.70%$15,848$15,50212.57%15.82%4.05%
20131.50%19.66%20.12%$18,964$18,62119.66%32.18%-2.26%
20140.76%9.82%10.80%$20,827$20,6319.82%13.51%5.76%
20150.73%0.06%0.92%$20,839$20,8200.06%1.25%0.30%
20162.07%11.01%8.56%$23,134$22,60211.01%11.82%2.50%
20172.11%14.72%15.30%$26,540$26,05914.72%21.67%3.46%
20181.91%-3.42%-2.99%$25,632$25,281-3.42%-4.52%-0.13%
20192.29%22.51%23.37%$31,401$31,19022.51%31.33%8.61%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellington Inv (VWELX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20091-5.44%-5.71%$9,456$9,429-5.44%-8.41%-0.70%
20092-6.45%-6.88%$8,846$8,780-6.45%-10.66%-0.42%
200935.04%5.89%$9,291$9,2975.04%8.76%1.48%
200945.87%6.08%$9,836$9,8625.87%9.56%0.36%
200956.30%3.91%$10,456$10,2486.30%5.62%0.85%
200960.52%0.33%$10,510$10,2820.52%0.22%0.54%
200975.71%5.44%$11,110$10,8425.71%7.58%1.43%
200982.70%2.73%$11,410$11,1382.70%3.60%1.01%
200992.54%2.89%$11,701$11,4592.54%3.72%1.19%
200910-0.47%-1.13%$11,646$11,330-0.47%-1.87%0.41%
2009114.54%4.46%$12,175$11,8364.54%5.98%1.36%
2009120.37%0.79%$12,220$11,9290.37%1.95%-1.68%
20101-1.70%-1.79%$12,012$11,715-1.70%-3.60%1.57%
201021.48%2.04%$12,190$11,9551.48%3.09%0.20%
201033.93%3.85%$12,669$12,4153.93%6.01%-0.08%
201040.74%1.40%$12,763$12,5890.74%1.58%1.06%
20105-5.38%-4.98%$12,076$11,962-5.38%-8.01%0.87%
20106-2.17%-2.76%$11,814$11,632-2.17%-5.24%1.61%
201075.42%4.70%$12,455$12,1795.42%7.00%0.94%
20108-2.21%-2.34%$12,180$11,894-2.21%-4.53%1.48%
201095.26%5.54%$12,820$12,5535.26%8.92%-0.01%
2010102.13%2.56%$13,092$12,8742.13%3.79%0.36%
201011-1.02%-0.20%$12,958$12,848-1.02%0.00%-0.57%
2010124.61%3.94%$13,556$13,3544.61%6.67%-1.15%
201111.99%1.56%$13,826$13,5621.99%2.36%0.08%
201122.30%2.29%$14,144$13,8732.30%3.42%0.16%
20113-0.18%0.02%$14,120$13,876-0.18%0.03%-0.01%
201142.80%2.40%$14,514$14,2082.80%2.95%1.32%
20115-0.51%-0.33%$14,440$14,162-0.51%-1.15%1.30%
20116-1.32%-1.24%$14,249$13,987-1.32%-1.67%-0.39%
20117-1.30%-0.81%$14,063$13,874-1.30%-2.05%1.58%
20118-3.52%-3.02%$13,568$13,454-3.52%-5.45%1.46%
20119-4.12%-4.13%$13,009$12,899-4.12%-7.04%0.89%
2011107.12%6.76%$13,936$13,7717.12%10.91%0.16%
201111-0.64%-0.26%$13,847$13,735-0.64%-0.23%-0.30%
2011121.67%1.04%$14,078$13,8781.67%1.02%1.08%
201213.29%3.21%$14,541$14,3233.29%4.46%0.87%
201222.56%2.82%$14,914$14,7262.56%4.31%-0.05%
201231.53%2.00%$15,141$15,0201.53%3.28%-0.58%
20124-0.09%-0.06%$15,128$15,011-0.09%-0.64%1.14%
20125-3.98%-3.73%$14,526$14,451-3.98%-6.02%0.95%
201263.22%2.71%$14,994$14,8423.22%4.11%0.04%
201271.46%1.38%$15,213$15,0461.46%1.37%1.39%
201281.23%1.50%$15,399$15,2721.23%2.24%0.03%
201291.93%1.76%$15,697$15,5411.93%2.58%0.11%
2012100.00%-1.22%$15,697$15,3510.00%-1.86%0.11%
2012110.18%0.44%$15,725$15,4190.18%0.56%0.19%
2012120.79%0.54%$15,848$15,5020.79%0.90%-0.20%
201313.49%3.12%$16,401$15,9853.49%5.18%-0.71%
201320.89%1.07%$16,546$16,1560.89%1.34%0.54%
201332.53%2.51%$16,965$16,5622.53%3.74%0.08%
201342.28%1.58%$17,351$16,8242.28%1.91%0.91%
201350.65%1.02%$17,464$16,9950.65%2.33%-1.71%
20136-1.35%-1.45%$17,228$16,749-1.35%-1.35%-1.65%
201373.55%3.53%$17,840$17,3413.55%5.07%0.20%
20138-2.23%-2.22%$17,442$16,956-2.23%-2.91%-0.64%
201392.28%2.45%$17,840$17,3722.28%3.12%0.96%
2013102.78%3.42%$18,336$17,9662.78%4.59%0.78%
2013111.93%2.02%$18,689$18,3291.93%3.03%-0.35%
2013121.47%1.59%$18,964$18,6211.47%2.51%-0.65%
20141-1.53%-1.71%$18,675$18,302-1.53%-3.47%1.54%
201423.00%3.08%$19,234$18,8663.00%4.56%0.48%
201430.92%0.48%$19,412$18,9570.92%0.82%-0.15%
201441.09%0.74%$19,623$19,0971.09%0.72%0.77%
201451.46%1.88%$19,910$19,4571.46%2.33%1.05%
201461.40%1.38%$20,188$19,7251.40%2.05%0.11%
20147-1.03%-1.00%$19,981$19,528-1.03%-1.39%-0.26%
201482.46%3.00%$20,471$20,1132.46%3.98%1.13%
20149-1.36%-1.18%$20,192$19,876-1.36%-1.41%-0.72%
2014101.56%1.92%$20,508$20,2571.56%2.42%0.94%
2014111.81%2.00%$20,880$20,6621.81%2.68%0.65%
201412-0.25%-0.15%$20,827$20,631-0.25%-0.26%0.09%
20151-1.38%-1.15%$20,540$20,394-1.38%-3.02%2.31%
201523.26%3.27%$21,210$21,0603.26%5.74%-1.08%
20153-0.98%-0.90%$21,003$20,871-0.98%-1.59%0.41%
201541.10%0.49%$21,233$20,9731.10%0.95%-0.36%
201550.33%0.67%$21,303$21,1140.33%1.27%-0.45%
20156-1.94%-1.61%$20,890$20,773-1.94%-1.93%-1.01%
201571.78%1.62%$21,262$21,1101.78%2.08%0.76%
20158-4.51%-4.09%$20,303$20,247-4.51%-6.04%-0.36%
20159-1.35%-1.33%$20,029$19,978-1.35%-2.49%0.76%
2015105.44%5.35%$21,118$21,0485.44%8.42%0.01%
2015110.08%0.09%$21,135$21,0680.08%0.29%-0.27%
201512-1.40%-1.17%$20,839$20,820-1.40%-1.59%-0.38%
20161-2.77%-2.73%$20,261$20,251-2.77%-4.98%1.43%
20162-0.25%0.15%$20,210$20,281-0.25%-0.15%0.66%
201635.08%4.64%$21,236$21,2215.08%6.78%0.94%
201641.45%0.38%$21,544$21,3011.45%0.37%0.38%
201650.79%1.16%$21,715$21,5470.79%1.78%0.01%
201660.78%0.84%$21,883$21,7290.78%0.25%1.94%
201672.39%2.60%$22,406$22,2942.39%3.68%0.64%
201680.20%0.03%$22,451$22,3000.20%0.13%-0.17%
20169-0.13%-0.02%$22,422$22,294-0.13%0.01%-0.09%
201610-1.16%-1.48%$22,162$21,965-1.16%-1.83%-0.81%
2016112.21%1.49%$22,653$22,2922.21%3.70%-2.64%
2016122.12%1.39%$23,134$22,6022.12%1.96%0.24%
201710.92%1.33%$23,347$22,9020.92%1.88%0.29%
201722.66%2.82%$23,969$23,5472.66%3.96%0.66%
20173-0.18%0.04%$23,927$23,557-0.18%0.10%-0.07%
201740.77%0.93%$24,111$23,7760.77%1.02%0.76%
201751.16%1.15%$24,391$24,0491.16%1.39%0.67%
201760.69%0.41%$24,560$24,1480.69%0.61%0.01%
201771.20%1.49%$24,854$24,5071.20%2.04%0.39%
201780.14%0.48%$24,890$24,6250.14%0.29%0.85%
201792.02%1.19%$25,393$24,9192.02%2.06%-0.54%
2017101.38%1.60%$25,743$25,3171.38%2.32%0.11%
2017111.83%2.02%$26,213$25,8281.83%3.06%-0.17%
2017121.25%0.89%$26,540$26,0591.25%1.10%0.44%
201812.88%3.33%$27,305$26,9262.88%5.71%-1.09%
20182-3.58%-2.80%$26,326$26,172-3.58%-3.69%-1.03%
20183-1.10%-1.47%$26,036$25,787-1.10%-2.56%0.63%
201840.29%-0.05%$26,113$25,7750.29%0.37%-0.83%
201850.61%1.78%$26,271$26,2340.61%2.39%0.61%
20186-0.14%0.41%$26,234$26,341-0.14%0.61%0.03%
201873.37%2.46%$27,117$26,9883.37%3.71%0.03%
201881.13%2.34%$27,424$27,6191.13%3.25%0.52%
201890.26%0.20%$27,495$27,6740.26%0.55%-0.54%
201810-3.93%-4.87%$26,413$26,327-3.93%-6.85%-0.73%
2018112.02%1.52%$26,948$26,7272.02%2.03%0.53%
201812-4.88%-5.41%$25,632$25,281-4.88%-9.04%1.80%
201914.42%5.55%$26,764$26,6854.42%8.00%1.01%
201922.45%2.11%$27,420$27,2472.45%3.20%-0.06%
201931.56%1.94%$27,847$27,7771.56%1.94%1.96%
201942.42%2.73%$28,521$28,5352.42%4.04%0.04%
20195-2.83%-3.75%$27,715$27,465-2.83%-6.36%1.83%
201964.39%5.05%$28,931$28,8524.39%7.03%1.15%
201971.14%1.04%$29,260$29,1501.14%1.43%0.23%
201980.38%-0.18%$29,372$29,0980.38%-1.59%2.78%
201991.63%1.04%$29,851$29,4011.63%1.86%-0.60%
2019101.42%1.52%$30,273$29,8481.42%2.15%0.21%
2019111.67%2.43%$30,780$30,5741.67%3.62%-0.06%
2019122.02%2.01%$31,401$31,1902.02%3.01%-0.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value31.61%28.64%
Large-cap Growth21.11%35.64%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.44%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets7.87%0.00%
Emerging Markets0.00%0.61%
REITs0.00%0.00%
Corporate Bonds16.85%6.85%
Long-Term Treasuries0.00%0.46%
Intermediate-Term Treasuries0.00%9.69%
Short-Term Treasuries22.56%17.68%
R Squared97.42%99.89%
Style analysis is based on monthly returns from Jan 2009 to Dec 2019 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWELXVanguard Wellington Inv50% to 70% Equity7.500.25%100.00%$21,401100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%65.00%$18,68499.72%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%35.00%$2,5050.28%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/06/2020. (c) 2020 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)0.90%0.90%
Arithmetic Mean (annualized)11.38%11.31%
Geometric Mean (monthly)0.87%0.87%
Geometric Mean (annualized)10.96%10.89%
Volatility (monthly)2.52%2.53%
Volatility (annualized)8.73%8.75%
Downside Deviation (monthly)1.45%1.48%
Max. Drawdown-11.54%-12.20%
US Market Correlation0.970.99
Beta(*)0.610.62
Alpha (annualized)1.94%1.67%
R293.55%97.60%
Sharpe Ratio1.181.17
Sortino Ratio2.031.97
Treynor Ratio (%)17.0216.54
Calmar Ratio1.581.31
Active Return-3.65%-3.72%
Tracking Error5.94%5.48%
Information Ratio-0.62-0.68
Skewness-0.35-0.46
Excess Kurtosis0.510.63
Historical Value-at-Risk (5%)-4.03%-4.10%
Analytical Value-at-Risk (5%)-3.24%-3.25%
Conditional Value-at-Risk (5%)-5.13%-5.33%
Upside Capture Ratio (%)63.6564.21
Downside Capture Ratio (%)58.0659.63
Safe Withdrawal Rate15.35%15.11%
Perpetual Withdrawal Rate8.22%8.16%
Positive Periods91 out of 132 (68.94%)93 out of 132 (70.45%)
Gain/Loss Ratio1.091.03
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-11.54%
2May 2011Sep 20115 monthsJan 20124 months9 months-10.37%
3May 2010Jun 20102 monthsSep 20103 months5 months-7.43%
4Oct 2018Dec 20183 monthsMar 20193 months6 months-6.78%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.98%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-4.64%
7Apr 2012May 20122 monthsJul 20122 months4 months-4.06%
8May 2019May 20191 monthJun 20191 month2 months-2.83%
9Aug 2013Aug 20131 monthOct 20132 months3 months-2.23%
10Jan 2010Jan 20101 monthMar 20102 months3 months-1.70%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-12.20%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.22%
3Oct 2018Dec 20183 monthsMar 20193 months6 months-8.65%
4May 2010Jun 20102 monthsOct 20104 months6 months-7.60%
5Jun 2015Sep 20154 monthsMar 20166 months10 months-5.38%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-4.27%
7Apr 2012May 20122 monthsJul 20122 months4 months-3.79%
8May 2019May 20191 monthJun 20191 month2 months-3.75%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.22%
10Jan 2010Jan 20101 monthFeb 20101 month2 months-1.79%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWELXVanguard Wellington Inv10.96%8.73%22.51%-3.42%-11.54%1.182.030.97
VFINXVanguard 500 Index Investor14.53%13.55%32.18%-4.52%-18.17%1.041.691.00
VBMFXVanguard Total Bond Market Index Inv3.78%3.01%8.61%-2.26%-3.76%1.081.94-0.10

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWELXVFINXVBMFXPortfolio 1Portfolio 2
VWELXVanguard Wellington Inv-0.970.021.000.98
VFINXVanguard 500 Index Investor0.97--0.090.970.99
VBMFXVanguard Total Bond Market Index Inv0.02-0.09-0.020.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VWELXVanguard Wellington Inv$21,401
VFINXVanguard 500 Index Investor$18,684
VBMFXVanguard Total Bond Market Index Inv$2,505

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VWELXVanguard Wellington Inv100.00%
VFINXVanguard 500 Index Investor99.72%
VBMFXVanguard Total Bond Market Index Inv0.28%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.27%22.51%-3.42%11.18%23.37%-2.99%
3 years9.96%13.94%6.85%9.96%14.13%6.67%
5 years10.00%13.65%6.21%10.03%13.24%6.31%
7 years9.98%11.06%8.94%10.01%11.04%8.95%
10 years9.88%9.90%9.87%9.90%10.09%9.72%
Result statistics are based on annualized rolling returns over full calendar year periods