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 2011 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
EFA iShares MSCI EAFE ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VWO Vanguard FTSE Emerging Markets ETF 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$24,238 13.48% 11.13%33.45%0.36%-17.58% 1.182.101.00
Portfolio 2$10,000$14,907 5.87% 13.56%25.10%-12.25%-23.23% 0.480.710.84
Portfolio 3$10,000$11,429 1.93% 17.73%31.48%-18.76%-30.74% 0.190.270.72
   
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
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares MSCI EAFE ETF (EFA)Vanguard FTSE Emerging Markets ETF (VWO)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20112.96%0.97%-12.25%-18.76%$10,097$8,775$8,1240.97%-12.25%-18.76%
20121.74%16.45%18.82%19.20%$11,758$10,426$9,68416.45%18.82%19.20%
20131.50%33.45%21.40%-4.92%$15,691$12,658$9,20833.45%21.40%-4.92%
20140.76%12.54%-6.20%-0.07%$17,659$11,873$9,20212.54%-6.20%-0.07%
20150.73%0.36%-1.00%-15.81%$17,723$11,755$7,7470.36%-1.00%-15.81%
20162.07%12.83%1.37%12.21%$19,996$11,916$8,69312.83%1.37%12.21%
20172.11%21.21%25.10%31.48%$24,238$14,907$11,42921.21%25.10%31.48%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares MSCI EAFE ETF (EFA)Vanguard FTSE Emerging Markets ETF (VWO)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201112.05%2.10%-3.45%$10,205$10,210$9,6552.05%2.10%-3.45%
201123.70%3.55%-0.17%$10,582$10,572$9,6393.70%3.55%-0.17%
201130.42%-2.39%5.47%$10,626$10,319$10,1660.42%-2.39%5.47%
201142.90%5.63%3.37%$10,934$10,900$10,5092.90%5.63%3.37%
20115-1.06%-2.21%-2.94%$10,818$10,660$10,199-1.06%-2.21%-2.94%
20116-1.79%-1.19%-1.00%$10,624$10,532$10,098-1.79%-1.19%-1.00%
20117-2.27%-2.38%-0.62%$10,383$10,282$10,035-2.27%-2.38%-0.62%
20118-6.09%-8.75%-9.09%$9,751$9,382$9,124-6.09%-8.75%-9.09%
20119-7.57%-10.81%-18.44%$9,012$8,368$7,441-7.57%-10.81%-18.44%
20111011.37%9.63%15.91%$10,037$9,173$8,62511.37%9.63%15.91%
201111-0.37%-2.18%-1.71%$9,999$8,974$8,478-0.37%-2.18%-1.71%
2011120.98%-2.21%-4.17%$10,097$8,775$8,1240.98%-2.21%-4.17%
201215.07%5.27%10.78%$10,609$9,237$9,0005.07%5.27%10.78%
201224.22%4.83%5.43%$11,056$9,684$9,4894.22%4.83%5.43%
201233.06%0.42%-2.60%$11,395$9,725$9,2423.06%0.42%-2.60%
20124-0.64%-2.08%-2.09%$11,322$9,523$9,049-0.64%-2.08%-2.09%
20125-6.23%-11.14%-10.67%$10,617$8,461$8,084-6.23%-11.14%-10.67%
201264.05%7.11%5.02%$11,048$9,063$8,4904.05%7.11%5.02%
201270.88%0.08%0.20%$11,144$9,070$8,5070.88%0.08%0.20%
201282.70%3.20%0.25%$11,446$9,360$8,5282.70%3.20%0.25%
201292.49%2.71%5.31%$11,731$9,614$8,9812.49%2.71%5.31%
201210-1.81%1.09%-0.55%$11,519$9,720$8,931-1.81%1.09%-0.55%
2012110.77%2.78%1.28%$11,608$9,990$9,0450.77%2.78%1.28%
2012121.29%4.37%7.06%$11,758$10,426$9,6841.29%4.37%7.06%
201315.42%3.73%0.07%$12,395$10,815$9,6905.42%3.73%0.07%
201321.28%-1.29%-2.36%$12,554$10,676$9,4621.28%-1.29%-2.36%
201333.95%1.31%-1.27%$13,049$10,815$9,3423.95%1.31%-1.27%
201341.61%5.02%2.00%$13,258$11,358$9,5301.61%5.02%2.00%
201352.44%-3.02%-5.07%$13,582$11,015$9,0462.44%-3.02%-5.07%
20136-1.43%-2.70%-5.33%$13,388$10,718$8,564-1.43%-2.70%-5.33%
201375.75%5.32%0.70%$14,157$11,289$8,6245.75%5.32%0.70%
20138-3.03%-1.96%-3.43%$13,728$11,068$8,328-3.03%-1.96%-3.43%
201393.90%7.82%7.27%$14,264$11,934$8,9343.90%7.82%7.27%
2013104.27%3.26%4.34%$14,872$12,323$9,3214.27%3.26%4.34%
2013112.70%0.55%-0.93%$15,274$12,390$9,2342.70%0.55%-0.93%
2013122.73%2.16%-0.28%$15,691$12,658$9,2082.73%2.16%-0.28%
20141-3.17%-5.20%-8.43%$15,194$12,000$8,431-3.17%-5.20%-8.43%
201424.87%6.13%3.24%$15,933$12,736$8,7044.87%6.13%3.24%
201430.51%-0.46%4.62%$16,014$12,677$9,1070.51%-0.46%4.62%
201440.06%1.67%0.89%$16,024$12,888$9,1880.06%1.67%0.89%
201452.10%1.60%3.10%$16,361$13,094$9,4732.10%1.60%3.10%
201462.62%0.92%3.17%$16,790$13,215$9,7732.62%0.92%3.17%
20147-1.99%-2.60%1.37%$16,455$12,871$9,907-1.99%-2.60%1.37%
201484.15%0.18%3.84%$17,138$12,894$10,2884.15%0.18%3.84%
20149-2.10%-3.88%-7.18%$16,778$12,393$9,549-2.10%-3.88%-7.18%
2014102.75%-0.27%2.23%$17,239$12,360$9,7622.75%-0.27%2.23%
2014112.48%0.06%-1.10%$17,667$12,368$9,6542.48%0.06%-1.10%
201412-0.04%-4.00%-4.69%$17,659$11,873$9,202-0.04%-4.00%-4.69%
20151-2.74%0.62%-0.20%$17,176$11,947$9,183-2.74%0.62%-0.20%
201525.74%6.34%4.66%$18,163$12,704$9,6115.74%6.34%4.66%
20153-1.16%-1.43%-2.05%$17,953$12,523$9,414-1.16%-1.43%-2.05%
201540.62%3.65%7.41%$18,063$12,979$10,1120.62%3.65%7.41%
201551.30%0.20%-3.55%$18,298$13,005$9,7521.30%0.20%-3.55%
20156-1.67%-3.12%-2.54%$17,991$12,599$9,504-1.67%-3.12%-2.54%
201571.70%2.03%-6.26%$18,297$12,855$8,9091.70%2.03%-6.26%
20158-6.09%-7.43%-9.86%$17,182$11,901$8,030-6.09%-7.43%-9.86%
20159-2.92%-4.42%-2.88%$16,680$11,375$7,799-2.92%-4.42%-2.88%
2015107.91%6.61%5.29%$18,000$12,127$8,2127.91%6.61%5.29%
2015110.60%-0.75%-2.30%$18,108$12,036$8,0230.60%-0.75%-2.30%
201512-2.13%-2.34%-3.44%$17,723$11,755$7,747-2.13%-2.34%-3.44%
20161-5.72%-5.52%-5.75%$16,708$11,106$7,302-5.72%-5.52%-5.75%
20162-0.01%-3.33%-0.32%$16,707$10,736$7,278-0.01%-3.33%-0.32%
201637.11%6.58%12.72%$17,895$11,442$8,2047.11%6.58%12.72%
201640.66%2.22%1.01%$18,013$11,697$8,2870.66%2.22%1.01%
201651.73%-0.09%-3.24%$18,325$11,687$8,0191.73%-0.09%-3.24%
201660.27%-2.42%4.93%$18,375$11,404$8,4140.27%-2.42%4.93%
201673.98%3.98%5.14%$19,106$11,857$8,8463.98%3.98%5.14%
201680.21%0.53%0.78%$19,145$11,921$8,9160.21%0.53%0.78%
201690.21%1.34%2.05%$19,185$12,080$9,0990.21%1.34%2.05%
201610-2.19%-2.22%0.32%$18,764$11,813$9,128-2.19%-2.22%0.32%
2016114.49%-1.78%-4.05%$19,607$11,602$8,7584.49%-1.78%-4.05%
2016121.98%2.71%-0.74%$19,996$11,916$8,6931.98%2.71%-0.74%
201711.86%3.29%5.76%$20,367$12,308$9,1931.86%3.29%5.76%
201723.69%1.19%2.25%$21,120$12,455$9,4003.69%1.19%2.25%
201730.06%3.23%2.84%$21,131$12,857$9,6670.06%3.23%2.84%
201741.06%2.42%1.56%$21,356$13,169$9,8181.06%2.42%1.56%
201751.01%3.54%0.99%$21,572$13,635$9,9151.01%3.54%0.99%
201760.95%0.31%0.85%$21,776$13,678$10,0000.95%0.31%0.85%
201771.88%2.65%5.34%$22,186$14,040$10,5331.88%2.65%5.34%
201780.15%-0.04%3.00%$22,219$14,034$10,8490.15%-0.04%3.00%
201792.44%2.36%-0.49%$22,761$14,366$10,7962.44%2.36%-0.49%
2017102.17%1.68%2.43%$23,255$14,607$11,0592.17%1.68%2.43%
2017113.03%0.69%-0.34%$23,960$14,708$11,0223.03%0.69%-0.34%
2017121.16%1.35%3.70%$24,238$14,907$11,4291.16%1.35%3.70%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value33.85%0.00%0.00%
Large-cap Growth44.74%0.00%0.00%
Mid-cap Value7.54%0.00%0.00%
Mid-cap Growth4.78%0.00%0.00%
Small-cap Value3.49%0.00%0.00%
Small-cap Growth3.12%0.00%0.00%
Global ex-US Developed Markets2.48%100.00%0.00%
Emerging Markets0.00%0.00%100.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.86%100.00%100.00%
Style analysis is based on monthly returns from Jan 2011 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%100.00%$14,238100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
EFAiShares MSCI EAFE ETFForeign Large Blend0.31%100.00%$4,907100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts0.12%100.00%$1,429100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 06/05/2019. © 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 2Portfolio 3
Arithmetic Mean (monthly)1.11%0.55%0.29%
Arithmetic Mean (annualized)14.17%6.84%3.54%
Geometric Mean (monthly)1.06%0.48%0.16%
Geometric Mean (annualized)13.48%5.87%1.93%
Volatility (monthly)3.21%3.91%5.12%
Volatility (annualized)11.13%13.56%17.73%
Downside Deviation (monthly)1.81%2.64%3.55%
Max. Drawdown-17.58%-23.23%-30.74%
US Market Correlation1.000.840.72
Beta(*)1.001.031.15
Alpha (annualized)0.07%-6.97%-11.69%
R299.92%71.02%51.60%
Sharpe Ratio1.180.480.19
Sortino Ratio2.100.710.27
Treynor Ratio (%)13.116.282.89
Calmar Ratio1.260.450.27
Active Return0.13%-7.48%-11.42%
Tracking Error0.32%7.31%12.45%
Information Ratio0.41-1.02-0.92
Skewness-0.14-0.51-0.27
Excess Kurtosis1.170.862.22
Historical Value-at-Risk (5%)-6.00%-6.95%-8.92%
Analytical Value-at-Risk (5%)-4.17%-5.88%-8.13%
Conditional Value-at-Risk (5%)-6.50%-9.53%-12.01%
Upside Capture Ratio (%)101.0085.0776.51
Downside Capture Ratio (%)100.82138.81158.85
Safe Withdrawal Rate20.76%15.34%12.03%
Perpetual Withdrawal Rate10.39%3.95%0.23%
Positive Periods60 out of 84 (71.43%)51 out of 84 (60.71%)44 out of 84 (52.38%)
Gain/Loss Ratio0.980.931.06
* 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
1May 2011Sep 20115 monthsFeb 20125 months10 months-17.58%
2Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
3Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-3.17%
5Aug 2013Aug 20131 monthSep 20131 month2 months-3.03%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
7Oct 2016Oct 20161 monthNov 20161 month2 months-2.19%
8Sep 2014Sep 20141 monthOct 20141 month2 months-2.10%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.99%
10Oct 2012Oct 20121 monthDec 20122 months3 months-1.81%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsApr 20131 year 7 months2 years-23.23%
2Jul 2014Feb 20161 year 8 monthsMay 20171 year 3 months2 years 11 months-18.76%
3May 2013Jun 20132 monthsSep 20133 months5 months-5.63%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-5.20%
5Mar 2011Mar 20111 monthApr 20111 month2 months-2.39%
6Mar 2014Mar 20141 monthApr 20141 month2 months-0.46%
7Aug 2017Aug 20171 monthSep 20171 month2 months-0.04%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Feb 20164 years 10 monthsJul 20171 year 5 months6 years 3 months-30.74%
2Jan 2011Feb 20112 monthsMar 20111 month3 months-3.61%
3Sep 2017Sep 20171 monthOct 20171 month2 months-0.49%
4Nov 2017Nov 20171 monthDec 20171 month2 months-0.34%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF13.48%11.13%33.45%0.36%-17.58%1.182.101.00
EFAiShares MSCI EAFE ETF5.87%13.56%25.10%-12.25%-23.23%0.480.710.84
VWOVanguard FTSE Emerging Markets ETF1.93%17.73%31.48%-18.76%-30.74%0.190.270.72

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIEFAVWOPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF-0.840.721.000.840.72
EFAiShares MSCI EAFE ETF0.84-0.810.841.000.81
VWOVanguard FTSE Emerging Markets ETF0.720.81-0.720.811.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$14,238
EFAiShares MSCI EAFE ETF$4,907
VWOVanguard FTSE Emerging Markets ETF$1,429

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF100.00%
EFAiShares MSCI EAFE ETF100.00%
VWOVanguard FTSE Emerging Markets ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year13.97%33.45%0.36%6.75%25.10%-12.25%3.33%31.48%-18.76%
3 years14.18%20.48%8.42%5.75%10.60%-1.99%-0.01%7.49%-7.17%
5 years14.11%15.57%12.13%5.67%7.41%3.29%-0.08%3.37%-4.98%
7 years13.48%13.48%13.48%5.87%5.87%5.87%1.93%1.93%1.93%
Result statistics are based on annualized rolling returns over full calendar year periods