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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2011 - Sep 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 40.00%
VBMFX Vanguard Total Bond Market Index Inv 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$22,245 7.72% 5.44%16.39%-2.57%-8.59% 1.292.280.84
Portfolio 2$10,000$22,407 7.79% 5.50%17.69%-1.89%-7.06% 1.292.270.94
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.26%5.33%11.22%8.95%7.24%7.97%7.72%7.67%6.34%
Portfolio 20.29%5.33%10.80%9.67%8.47%8.36%7.79%7.82%6.39%
Trailing annualized return and volatility are for full months ending in September 2021 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.
  • The annual results for 2021 are based on monthly returns from January to September
  • 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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Vanguard Wellesley Income Inv (VWINX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
20112.96%9.63%$10,9635.32%$10,5329.63%1.97%7.56%
20121.74%10.06%$12,0658.76%$11,45510.06%15.82%4.05%
20131.50%9.19%$13,17411.51%$12,7739.19%32.18%-2.26%
20140.76%8.07%$14,2368.86%$13,9058.07%13.51%5.76%
20150.73%1.28%$14,4180.68%$13,9991.28%1.25%0.30%
20162.07%8.08%$15,5836.23%$14,8718.08%11.82%2.50%
20172.11%10.20%$17,17210.74%$16,46810.20%21.67%3.46%
20181.91%-2.57%$16,730-1.89%$16,158-2.57%-4.52%-0.13%
20192.29%16.39%$19,47317.69%$19,01716.39%31.33%8.61%
20201.36%8.45%$21,11911.87%$21,2738.45%18.25%7.61%
20215.31%5.33%$22,2455.33%$22,4075.33%15.81%-1.66%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Wellesley Income Inv (VWINX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
201110.65%$10,0650.99%$10,0990.65%2.36%0.08%
201121.88%$10,2531.48%$10,2491.88%3.42%0.16%
201130.14%$10,2680.01%$10,2500.14%0.03%-0.01%
201142.58%$10,5331.99%$10,4542.58%2.95%1.32%
201150.84%$10,6210.28%$10,4830.84%-1.15%1.30%
20116-1.06%$10,509-0.92%$10,387-1.06%-1.67%-0.39%
201170.04%$10,5130.10%$10,3970.04%-2.05%1.58%
20118-0.27%$10,485-1.30%$10,263-0.27%-5.45%1.46%
20119-1.46%$10,332-2.14%$10,043-1.46%-7.04%0.89%
2011104.03%$10,7494.07%$10,4514.03%10.91%0.16%
201111-0.53%$10,692-0.28%$10,422-0.53%-0.23%-0.30%
2011122.53%$10,9631.05%$10,5322.53%1.02%1.08%
201211.88%$11,1682.31%$10,7751.88%4.46%0.87%
201221.28%$11,3121.73%$10,9621.28%4.31%-0.05%
201230.46%$11,3641.04%$11,0750.46%3.28%-0.58%
201240.93%$11,4700.38%$11,1170.93%-0.64%1.14%
20125-1.43%$11,306-2.00%$10,895-1.43%-6.02%0.95%
201262.00%$11,5321.69%$11,0792.00%4.11%0.04%
201272.44%$11,8141.38%$11,2322.44%1.37%1.39%
201280.53%$11,8770.95%$11,3380.53%2.24%0.03%
201290.86%$11,9791.15%$11,4680.86%2.58%0.11%
2012100.25%$12,008-0.73%$11,3850.25%-1.86%0.11%
2012110.29%$12,0420.35%$11,4240.29%0.56%0.19%
2012120.19%$12,0650.27%$11,4550.19%0.90%-0.20%
201311.45%$12,2401.64%$11,6431.45%5.18%-0.71%
201321.23%$12,3910.87%$11,7441.23%1.34%0.54%
201331.26%$12,5471.60%$11,9331.26%3.74%0.08%
201341.97%$12,7941.34%$12,0921.97%1.91%0.91%
20135-0.87%$12,6830.01%$12,094-0.87%2.33%-1.71%
20136-1.59%$12,481-1.52%$11,910-1.59%-1.35%-1.65%
201372.04%$12,7352.33%$12,1872.04%5.07%0.20%
20138-1.87%$12,496-1.66%$11,985-1.87%-2.91%-0.64%
201391.63%$12,7001.92%$12,2151.63%3.12%0.96%
2013102.10%$12,9662.49%$12,5192.10%4.59%0.78%
2013110.79%$13,0681.20%$12,6690.79%3.03%-0.35%
2013120.81%$13,1740.83%$12,7730.81%2.51%-0.65%
20141-0.36%$13,126-0.46%$12,714-0.36%-3.47%1.54%
201422.06%$13,3962.06%$12,9772.06%4.56%0.48%
201430.92%$13,5200.24%$13,0070.92%0.82%-0.15%
201441.19%$13,6800.75%$13,1051.19%0.72%0.77%
201451.21%$13,8461.56%$13,3101.21%2.33%1.05%
201460.78%$13,9540.89%$13,4290.78%2.05%0.11%
20147-1.00%$13,813-0.72%$13,332-1.00%-1.39%-0.26%
201481.99%$14,0882.28%$13,6371.99%3.98%1.13%
20149-1.25%$13,912-1.01%$13,500-1.25%-1.41%-0.72%
2014101.17%$14,0751.55%$13,7091.17%2.42%0.94%
2014111.31%$14,2591.49%$13,9131.31%2.68%0.65%
201412-0.16%$14,236-0.06%$13,905-0.16%-0.26%0.09%
201510.55%$14,3140.18%$13,9300.55%-3.02%2.31%
201520.82%$14,4311.56%$14,1470.82%5.74%-1.08%
20153-0.10%$14,417-0.40%$14,091-0.10%-1.59%0.41%
201540.51%$14,4900.16%$14,1130.51%0.95%-0.36%
20155-0.12%$14,4730.24%$14,147-0.12%1.27%-0.45%
20156-2.06%$14,174-1.38%$13,951-2.06%-1.93%-1.01%
201571.23%$14,3491.29%$14,1321.23%2.08%0.76%
20158-2.16%$14,039-2.67%$13,755-2.16%-6.05%-0.36%
201590.11%$14,055-0.52%$13,6840.11%-2.48%0.76%
2015103.40%$14,5323.25%$14,1283.40%8.42%0.01%
2015110.00%$14,532-0.04%$14,1220.00%0.29%-0.27%
201512-0.79%$14,418-0.87%$13,999-0.79%-1.59%-0.38%
20161-0.20%$14,389-1.13%$13,841-0.20%-4.98%1.43%
201620.45%$14,4530.35%$13,8890.45%-0.15%0.66%
201633.52%$14,9613.17%$14,3303.52%6.78%0.94%
201640.91%$15,0970.38%$14,3840.91%0.37%0.38%
201650.59%$15,1860.71%$14,4870.59%1.78%0.01%
201662.18%$15,5171.26%$14,6702.18%0.25%1.94%
201671.38%$15,7321.84%$14,9401.38%3.68%0.64%
201680.00%$15,732-0.05%$14,9330.00%0.13%-0.17%
20169-0.32%$15,682-0.05%$14,926-0.32%0.01%-0.09%
201610-1.22%$15,490-1.22%$14,743-1.22%-1.83%-0.81%
201611-0.74%$15,376-0.10%$14,729-0.74%3.70%-2.64%
2016121.35%$15,5830.96%$14,8711.35%1.96%0.24%
201710.27%$15,6260.93%$15,0090.27%1.88%0.29%
201721.96%$15,9321.99%$15,3081.96%3.96%0.66%
20173-0.04%$15,926-0.00%$15,308-0.04%0.10%-0.07%
201740.70%$16,0360.87%$15,4410.70%1.02%0.76%
201751.15%$16,2210.97%$15,5901.15%1.39%0.67%
201760.41%$16,2880.26%$15,6310.41%0.61%0.01%
201770.88%$16,4311.08%$15,7990.88%2.04%0.39%
201780.53%$16,5180.62%$15,8970.53%0.29%0.85%
201790.84%$16,6570.55%$15,9840.84%2.06%-0.54%
2017100.90%$16,8071.05%$16,1520.90%2.32%0.11%
2017111.08%$16,9881.22%$16,3491.08%3.06%-0.17%
2017121.08%$17,1720.73%$16,4681.08%1.10%0.44%
201810.56%$17,2681.63%$16,7360.56%5.71%-1.09%
20182-2.73%$16,796-2.14%$16,379-2.73%-3.69%-1.03%
20183-0.27%$16,750-0.68%$16,268-0.27%-2.56%0.63%
20184-0.50%$16,667-0.35%$16,212-0.50%0.37%-0.83%
201850.65%$16,7761.33%$16,4270.65%2.39%0.61%
201860.16%$16,8030.26%$16,4710.16%0.61%0.03%
201872.04%$17,1461.54%$16,7252.04%3.71%0.03%
201880.57%$17,2421.66%$17,0020.57%3.25%0.52%
20189-0.23%$17,203-0.08%$16,989-0.23%0.55%-0.54%
201810-2.27%$16,813-3.35%$16,420-2.27%-6.85%-0.73%
2018111.63%$17,0861.15%$16,6081.63%2.03%0.53%
201812-2.08%$16,730-2.71%$16,158-2.08%-9.04%1.80%
201913.23%$17,2713.80%$16,7733.23%8.00%1.01%
201921.51%$17,5321.30%$16,9901.51%3.20%-0.06%
201931.88%$17,8611.95%$17,3211.88%1.94%1.96%
201941.08%$18,0541.74%$17,6221.08%4.04%0.04%
20195-0.65%$17,937-1.72%$17,318-0.65%-6.36%1.83%
201963.14%$18,5013.58%$17,9393.14%7.03%1.15%
201970.49%$18,5910.74%$18,0710.49%1.43%0.23%
201981.68%$18,9040.90%$18,2341.68%-1.59%2.78%
201990.59%$19,0160.43%$18,3130.59%1.86%-0.60%
2019100.63%$19,1341.04%$18,5030.63%2.15%0.21%
2019110.62%$19,2531.52%$18,7850.62%3.62%-0.06%
2019121.14%$19,4731.24%$19,0171.14%3.01%-0.15%
202011.28%$19,7221.25%$19,2541.28%-0.05%2.11%
20202-2.46%$19,238-2.22%$18,826-2.46%-8.24%1.71%
20203-6.28%$18,029-4.95%$17,894-6.28%-12.37%-0.59%
202045.70%$19,0565.49%$18,8775.70%12.81%1.69%
202052.11%$19,4592.08%$19,2692.11%4.76%0.54%
202060.47%$19,5501.18%$19,4960.47%1.98%0.70%
202072.81%$20,1003.09%$20,0992.81%5.63%1.55%
202080.22%$20,1442.15%$20,5310.22%7.18%-1.02%
20209-0.70%$20,002-1.50%$20,223-0.70%-3.81%0.08%
202010-1.27%$19,747-1.43%$19,934-1.27%-2.67%-0.61%
2020115.72%$20,8764.96%$20,9225.72%10.94%1.11%
2020121.16%$21,1191.68%$21,2731.16%3.84%0.15%
20211-1.27%$20,851-0.89%$21,085-1.27%-1.02%-0.80%
202120.64%$20,9850.19%$21,1260.64%2.75%-1.51%
202131.69%$21,3400.98%$21,3321.69%4.37%-1.38%
202142.00%$21,7682.80%$21,9312.00%5.32%0.95%
202151.41%$22,0750.43%$22,0251.41%0.69%0.24%
202160.51%$22,1891.44%$22,3420.51%2.31%0.77%
202171.29%$22,4751.72%$22,7271.29%2.38%1.21%
202180.94%$22,6861.22%$23,0050.94%3.03%-0.20%
20219-1.94%$22,245-2.60%$22,407-1.94%-4.66%-0.91%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value29.91%17.50%
Large-cap Growth3.75%22.71%
Mid-cap Value0.00%0.18%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.07%
Global ex-US Developed Markets2.29%0.02%
Emerging Markets0.00%0.52%
Corporate Bonds26.21%14.02%
Long-Term Treasuries6.26%2.40%
Intermediate-Term Treasuries15.14%13.71%
Short-Term Treasuries16.43%28.85%
R Squared95.70%99.73%
Style analysis is based on monthly returns from January 2011 to September 2021 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
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%2.40%0.22%21.407.88$12,245100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend40.00%1.24%0.14%25.31$9,39090.74%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond60.00%1.82%0.15%6.84$3,0189.26%
100.00%1.59%0.15%25.316.84$12,407100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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 1Portfolio 2
Arithmetic Mean (monthly)0.63%0.64%
Arithmetic Mean (annualized)7.88%7.95%
Geometric Mean (monthly)0.62%0.63%
Geometric Mean (annualized)7.72%7.79%
Volatility (monthly)1.57%1.59%
Volatility (annualized)5.44%5.50%
Downside Deviation (monthly)0.87%0.88%
Max. Drawdown-8.59%-7.06%
US Market Correlation0.840.94
Beta(*)0.330.37
Alpha (annualized)2.90%2.37%
R270.72%88.03%
Sharpe Ratio1.291.29
Sortino Ratio2.282.27
Treynor Ratio (%)21.3619.13
Calmar Ratio1.041.37
Active Return-6.41%-6.33%
Tracking Error9.73%8.89%
Information Ratio-0.66-0.71
Skewness-0.31-0.27
Excess Kurtosis3.381.42
Historical Value-at-Risk (5%)-2.01%-2.14%
Analytical Value-at-Risk (5%)-1.95%-1.99%
Conditional Value-at-Risk (5%)-2.86%-2.95%
Upside Capture Ratio (%)38.5841.85
Downside Capture Ratio (%)26.9833.54
Safe Withdrawal Rate13.65%13.20%
Perpetual Withdrawal Rate5.59%5.66%
Positive Periods92 out of 129 (71.32%)92 out of 129 (71.32%)
Gain/Loss Ratio1.121.13
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-8.59%-7.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-8.59%
2Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
3May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
4Jun 2011Sep 20114 monthsOct 20111 month5 months-2.72%
5May 2013Jun 20132 monthsOct 20134 months6 months-2.45%
6Sep 2016Nov 20163 monthsFeb 20173 months6 months-2.26%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-1.97%
8Sep 2021Sep 20211 month-1.94%
9May 2012May 20121 monthJun 20121 month2 months-1.43%
10Jan 2021Jan 20211 monthMar 20212 months3 months-1.27%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-7.06%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-4.97%
3Jun 2011Sep 20114 monthsDec 20113 months7 months-4.20%
4Jun 2015Sep 20154 monthsMar 20166 months10 months-3.28%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-3.14%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-2.91%
7Sep 2021Sep 20211 month-2.60%
8May 2012May 20121 monthJul 20122 months3 months-2.00%
9May 2019May 20191 monthJun 20191 month2 months-1.72%
10Aug 2013Aug 20131 monthSep 20131 month2 months-1.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWINXVanguard Wellesley Income Inv7.72%5.44%16.39%-2.57%-8.59%1.292.280.84
VFINXVanguard 500 Index Investor14.26%13.33%32.18%-4.52%-19.63%1.031.681.00
VBMFXVanguard Total Bond Market Index Inv3.26%3.10%8.61%-2.26%-3.94%0.881.54-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWINXVFINXVBMFXPortfolio 1Portfolio 2
VWINXVanguard Wellesley Income Inv1.000.850.391.000.94
VFINXVanguard 500 Index Investor0.851.00-0.050.850.94
VBMFXVanguard Total Bond Market Index Inv0.39-0.051.000.390.28

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VWINXVanguard Wellesley Income Inv$12,245
VFINXVanguard 500 Index Investor$9,390
VBMFXVanguard Total Bond Market Index Inv$3,018

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VWINXVanguard Wellesley Income Inv100.00%
VFINXVanguard 500 Index Investor90.74%
VBMFXVanguard Total Bond Market Index Inv9.26%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.73%18.37%-2.57%7.93%19.22%-1.89%
3 years7.02%10.43%4.22%7.31%10.76%4.73%
5 years6.78%8.70%4.57%6.98%9.03%4.81%
7 years6.84%8.03%5.31%7.13%7.99%5.96%
10 years7.71%8.02%7.42%7.88%8.41%7.50%