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 2011 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 49.00%
VBTLX Vanguard Total Bond Market Index Adm 30.00%
VTIAX Vanguard Total Intl Stock Index Admiral 21.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$3,000,000$4,785,606 4.78% 9.15%8.94%9.73%22.23%-5.57%-14.35%
(-15.86%)
0.891.410.98
* The number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 110.78%14.97%9.89%10.93%9.15%9.15%13.22%10.76%
Trailing annualized return and volatility are for full months ending in December 2020 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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 withdrawal of 4.00% of portfolio balance is reflected in the CAGR and maximum drawdown shown above
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Total Intl Stock Index Admiral (VTIAX)
ReturnBalanceCashflow
20112.96%-0.21%$2,873,838-$119,7431.08%7.69%-14.52%
20121.74%13.10%$3,120,228-$130,00916.38%4.15%18.21%
20131.50%18.96%$3,563,447-$148,47733.52%-2.15%15.14%
20140.76%7.05%$3,661,918-$152,58012.56%5.89%-4.17%
20150.73%-0.58%$3,494,883-$145,6200.39%0.40%-4.26%
20162.07%7.97%$3,622,341-$150,93112.66%2.60%4.67%
20172.11%17.23%$4,076,494-$169,85421.17%3.56%27.55%
20181.91%-5.57%$3,695,340-$153,973-5.17%-0.03%-14.43%
20192.29%22.23%$4,335,976-$180,66630.80%8.71%21.51%
20201.36%14.97%$4,785,606-$199,40020.99%7.72%11.28%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Total Intl Stock Index Admiral (VTIAX)
201111.25%$3,037,4982.19%0.09%0.72%
201122.41%$3,110,7393.63%0.17%2.71%
201130.14%$3,115,0940.45%0.00%-0.40%
201142.97%$3,207,7612.99%1.33%5.23%
20115-0.82%$3,181,469-1.16%1.31%-2.87%
20116-1.31%$3,139,730-1.79%-0.38%-1.48%
20117-0.97%$3,109,325-2.22%1.58%-1.57%
20118-4.26%$2,976,828-6.02%1.47%-8.44%
20119-5.88%$2,801,866-7.75%0.90%-12.26%
2011107.39%$3,008,79811.54%0.17%10.13%
201111-0.77%$2,985,499-0.29%-0.29%-2.86%
2011120.27%$2,873,8380.82%1.09%-2.63%
201214.29%$2,997,2025.08%0.88%7.33%
201223.20%$3,093,0314.26%-0.04%5.12%
201231.21%$3,130,4073.07%-0.57%-0.73%
20124-0.40%$3,117,942-0.63%1.15%-1.84%
20125-5.25%$2,954,298-6.23%0.96%-11.08%
201263.19%$3,048,4233.94%0.04%6.00%
201271.02%$3,079,3911.03%1.39%0.44%
201281.84%$3,135,9212.51%0.04%2.73%
201292.09%$3,201,4802.58%0.12%3.63%
201210-0.74%$3,177,736-1.76%0.12%0.59%
2012110.81%$3,203,4760.74%0.20%1.80%
2012121.46%$3,120,2281.22%-0.19%4.19%
201313.19%$3,219,6805.50%-0.70%3.35%
201320.55%$3,237,2861.28%0.55%-1.20%
201332.16%$3,307,1753.91%0.09%0.77%
201341.86%$3,368,7991.70%0.92%3.58%
201350.12%$3,372,8072.35%-1.70%-2.93%
20136-1.86%$3,310,058-1.24%-1.64%-3.77%
201373.84%$3,437,2045.46%0.21%4.60%
20138-2.00%$3,368,499-2.80%-0.63%-1.67%
201393.65%$3,491,3753.67%0.97%7.22%
2013103.18%$3,602,4184.25%0.79%3.49%
2013111.47%$3,655,4842.88%-0.34%0.07%
2013121.54%$3,563,4472.66%-0.64%1.27%
20141-2.05%$3,490,306-3.11%1.55%-4.75%
201423.56%$3,614,4924.75%0.49%5.40%
201430.30%$3,625,2860.52%-0.14%0.41%
201440.54%$3,644,8960.06%0.78%1.32%
201451.78%$3,709,7422.17%1.06%1.90%
201461.66%$3,771,4412.57%0.12%1.75%
20147-1.38%$3,719,229-1.98%-0.25%-1.58%
201482.62%$3,816,6124.18%1.14%1.05%
20149-2.30%$3,728,828-2.11%-0.71%-5.03%
2014101.60%$3,788,6572.74%0.95%-0.26%
2014111.37%$3,840,5232.43%0.66%-0.29%
201412-0.68%$3,661,9180.00%0.10%-3.66%
20151-0.62%$3,639,181-2.77%2.32%0.19%
201523.59%$3,769,9215.76%-1.07%5.49%
20153-0.70%$3,743,582-1.01%0.42%-1.52%
201541.18%$3,787,6720.42%-0.35%5.04%
201550.34%$3,800,5541.39%-0.44%-0.92%
20156-1.71%$3,735,441-1.70%-1.00%-2.69%
201570.86%$3,767,4281.65%0.77%-0.81%
20158-4.62%$3,593,523-6.00%-0.35%-7.27%
20159-2.00%$3,521,474-2.94%0.76%-3.89%
2015105.07%$3,699,9307.86%0.02%6.27%
201511-0.07%$3,697,3430.56%-0.26%-1.31%
201512-1.54%$3,494,883-2.04%-0.37%-2.04%
20161-3.52%$3,371,712-5.65%1.44%-5.65%
20162-0.27%$3,362,702-0.04%0.67%-2.23%
201635.34%$3,542,1397.03%0.95%8.22%
201640.90%$3,573,8930.65%0.39%2.24%
201650.66%$3,597,3761.77%0.02%-1.01%
201660.52%$3,615,9590.25%1.94%-0.93%
201673.04%$3,725,8193.95%0.65%4.44%
201680.23%$3,734,3540.28%-0.16%0.68%
201690.35%$3,747,3410.15%-0.08%1.43%
201610-1.69%$3,683,830-2.21%-0.80%-1.74%
2016110.95%$3,718,7814.45%-2.63%-2.17%
2016121.47%$3,622,3411.93%0.25%2.01%
201711.86%$3,689,7701.93%0.30%3.94%
201722.33%$3,775,8713.71%0.67%1.48%
201730.62%$3,799,3880.08%-0.06%2.83%
201741.22%$3,845,8301.05%0.77%2.22%
201751.35%$3,897,8231.02%0.68%2.98%
201760.58%$3,920,5150.93%0.02%0.54%
201771.80%$3,991,0881.87%0.40%3.44%
201780.46%$4,009,5540.16%0.86%0.62%
201791.47%$4,068,4382.46%-0.53%1.79%
2017101.55%$4,131,6872.17%0.12%1.94%
2017111.66%$4,200,2863.04%-0.16%0.80%
2017121.10%$4,076,4941.01%0.45%2.07%
201813.45%$4,217,1785.32%-1.09%5.57%
20182-3.24%$4,080,430-3.71%-1.02%-5.12%
20183-0.93%$4,042,470-1.98%0.63%-0.63%
201840.11%$4,046,8260.38%-0.82%0.79%
201851.17%$4,094,1142.82%0.62%-1.90%
20186-0.08%$4,090,8910.67%0.04%-2.08%
201872.21%$4,181,3033.35%0.04%2.52%
201881.46%$4,242,5133.45%0.52%-2.22%
20189-0.01%$4,241,9770.16%-0.53%0.29%
201810-5.69%$4,000,653-7.40%-0.72%-8.34%
2018111.46%$4,058,9362.08%0.53%1.24%
201812-5.16%$3,695,340-9.30%1.81%-4.83%
201916.12%$3,921,6678.60%1.02%7.65%
201922.11%$4,004,2433.51%-0.05%1.68%
201931.44%$4,061,7091.45%1.96%0.71%
201942.62%$4,168,0263.98%0.05%2.76%
20195-3.97%$4,002,440-6.43%1.84%-5.51%
201965.06%$4,204,7676.99%1.16%5.82%
201970.40%$4,221,6661.44%0.23%-1.91%
20198-0.74%$4,190,554-2.01%2.79%-2.34%
201991.24%$4,242,6621.70%-0.59%2.72%
2019101.84%$4,320,8022.11%0.22%3.43%
2019112.16%$4,414,0823.78%-0.06%1.12%
2019122.32%$4,335,9762.86%-0.14%4.23%
20201-0.10%$4,331,805-0.08%2.12%-3.31%
20202-4.84%$4,122,151-8.16%1.72%-6.72%
20203-9.90%$3,713,879-13.77%-0.58%-16.07%
202048.11%$4,014,98313.26%1.70%8.03%
202053.63%$4,160,8315.37%0.54%4.84%
202062.14%$4,249,9242.29%0.71%4.28%
202074.02%$4,420,6945.65%1.56%4.08%
202084.02%$4,598,5427.17%-1.02%4.31%
20209-2.14%$4,500,029-3.56%0.08%-1.93%
202010-1.69%$4,424,074-2.15%-0.60%-2.25%
2020118.88%$4,817,13512.20%1.12%12.99%
2020123.48%$4,785,6064.46%0.16%5.84%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value14.88%
Large-cap Growth25.48%
Mid-cap Value4.66%
Mid-cap Growth2.30%
Small-cap Value0.59%
Small-cap Growth1.82%
Global ex-US Developed Markets15.43%
Emerging Markets4.92%
Corporate Bonds10.68%
Long-Term Treasuries0.61%
Intermediate-Term Treasuries4.83%
Short-Term Treasuries13.80%
R Squared99.80%
Style analysis is based on monthly returns from January 2011 to December 2020 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend49.00%1.22%0.04%28.31$2,478,42969.04%
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond30.00%1.32%0.05%6.63$414,8530.42%
VTIAXVanguard Total Intl Stock Index AdmiralForeign Large Blend21.00%2.05%0.11%20.16$443,57730.53%
100.00%1.42%0.06%25.876.63$3,336,859100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/11/2021. (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
MetricPortfolio 1
Arithmetic Mean (monthly)0.77%
Arithmetic Mean (annualized)9.66%
Geometric Mean (monthly)0.73%
Geometric Mean (annualized)9.15%
Volatility (monthly)2.81%
Volatility (annualized)9.73%
Downside Deviation (monthly)1.75%
Max. Drawdown-14.35%
US Market Correlation0.98
Beta(*)0.68
Alpha (annualized)-0.11%
R296.27%
Sharpe Ratio0.89
Sortino Ratio1.41
Treynor Ratio (%)12.82
Calmar Ratio0.69
Active Return-4.51%
Tracking Error4.95%
Information Ratio-0.91
Skewness-0.44
Excess Kurtosis1.98
Historical Value-at-Risk (5%)-4.63%
Analytical Value-at-Risk (5%)-3.88%
Conditional Value-at-Risk (5%)-6.12%
Upside Capture Ratio (%)66.12
Downside Capture Ratio (%)70.74
Safe Withdrawal Rate13.67%
Perpetual Withdrawal Rate6.78%
Positive Periods82 out of 120 (68.33%)
Gain/Loss Ratio0.96
* 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 2020Mar 20203 monthsJul 20204 months7 months-14.35%
2May 2011Sep 20115 monthsFeb 20125 months10 months-12.65%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-9.27%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.83%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.63%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-4.14%
7May 2019May 20191 monthJun 20191 month2 months-3.97%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-3.79%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.30%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.05%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm13.78%14.13%33.52%-5.17%-20.87%0.951.531.00
VBTLXVanguard Total Bond Market Index Adm3.80%3.05%8.71%-2.15%-3.73%1.051.94-0.07
VTIAXVanguard Total Intl Stock Index Admiral5.13%15.20%27.55%-14.52%-25.45%0.370.530.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSAXVBTLXVTIAXPortfolio 1
VTSAXVanguard Total Stock Mkt Idx Adm1.00-0.070.880.98
VBTLXVanguard Total Bond Market Index Adm-0.071.000.020.05
VTIAXVanguard Total Intl Stock Index Admiral0.880.021.000.94

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTSAXVanguard Total Stock Mkt Idx Adm$2,478,429
VBTLXVanguard Total Bond Market Index Adm$414,853
VTIAXVanguard Total Intl Stock Index Admiral$443,577

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTSAXVanguard Total Stock Mkt Idx Adm69.04%
VBTLXVanguard Total Bond Market Index Adm0.42%
VTIAXVanguard Total Intl Stock Index Admiral30.53%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.46%22.23%-7.09%
3 years8.41%14.58%3.38%
5 years7.87%10.93%4.00%
7 years8.38%10.52%5.91%