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 Assets 
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Portfolio Analysis Results (Jan 2012 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,536,721 5.52% 9.92%10.00%6.82%21.83%-3.20%-8.46%
(-12.20%)
1.332.210.99
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $50,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
20121.74%11.37%$1,062,839-$50,87116.25%4.05%
20131.50%19.10%$1,214,259-$51,63433.35%-2.26%
20140.76%9.76%$1,280,753-$52,02512.43%5.76%
20150.73%0.30%$1,232,135-$52,4050.29%0.30%
20162.07%8.52%$1,283,609-$53,49212.53%2.50%
20172.11%14.02%$1,408,893-$54,62021.05%3.46%
20181.91%-3.20%$1,308,081-$55,663-5.26%-0.13%
20192.29%21.83%$1,536,721-$56,93530.65%8.61%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
201213.40%$1,033,9825.08%0.87%
201222.58%$1,060,6424.26%-0.05%
201231.68%$1,078,4433.07%-0.58%
201240.01%$1,078,582-0.65%1.14%
20125-3.53%$1,040,459-6.24%0.95%
201262.39%$1,065,2813.91%0.04%
201271.17%$1,077,7271.03%1.39%
201281.54%$1,094,2952.48%0.03%
201291.64%$1,112,2432.58%0.11%
201210-1.06%$1,100,464-1.76%0.11%
2012110.53%$1,106,3150.74%0.19%
2012120.67%$1,062,8391.19%-0.20%
201313.01%$1,094,8795.50%-0.71%
201320.99%$1,105,7581.28%0.54%
201332.42%$1,132,5643.88%0.08%
201341.41%$1,148,4801.70%0.91%
201350.82%$1,157,8692.32%-1.71%
20136-1.41%$1,141,520-1.27%-1.65%
201373.57%$1,182,2245.49%0.20%
20138-2.06%$1,157,905-2.82%-0.64%
201392.70%$1,189,1863.66%0.96%
2013103.02%$1,225,0574.22%0.78%
2013111.77%$1,246,7982.88%-0.35%
2013121.53%$1,214,2592.63%-0.65%
20141-1.25%$1,199,119-3.11%1.54%
201422.98%$1,234,8894.73%0.48%
201430.25%$1,237,9480.51%-0.15%
201440.35%$1,242,2380.06%0.77%
201451.72%$1,263,6072.17%1.05%
201461.57%$1,283,4412.54%0.11%
20147-1.30%$1,266,724-1.98%-0.26%
201482.97%$1,304,3554.18%1.13%
20149-1.59%$1,283,675-2.14%-0.72%
2014102.03%$1,309,7592.74%0.94%
2014111.73%$1,332,3652.41%0.65%
2014120.03%$1,280,753-0.01%0.09%
20151-0.74%$1,271,288-2.77%2.31%
201522.94%$1,308,6735.76%-1.08%
20153-0.46%$1,302,589-1.04%0.41%
201540.11%$1,303,9970.42%-0.36%
201550.66%$1,312,5871.39%-0.45%
20156-1.43%$1,293,761-1.71%-1.01%
201571.29%$1,310,4221.63%0.76%
20158-3.80%$1,260,664-6.03%-0.36%
20159-1.43%$1,242,623-2.93%0.76%
2015104.59%$1,299,6057.84%0.01%
2015110.22%$1,302,4480.54%-0.27%
201512-1.37%$1,232,135-2.03%-0.38%
20161-2.83%$1,197,251-5.67%1.43%
201620.25%$1,200,260-0.04%0.66%
201634.47%$1,253,8797.01%0.94%
201640.53%$1,260,4780.63%0.38%
201651.07%$1,274,0061.79%0.01%
201660.91%$1,285,6100.23%1.94%
201672.61%$1,319,1933.95%0.64%
201680.09%$1,320,3700.26%-0.17%
201690.06%$1,321,1190.15%-0.09%
201610-1.66%$1,299,207-2.21%-0.81%
2016111.62%$1,320,1914.44%-2.64%
2016121.28%$1,283,6091.92%0.24%
201711.26%$1,299,8231.91%0.29%
201722.50%$1,332,3453.71%0.66%
201730.01%$1,332,5150.07%-0.07%
201740.94%$1,345,0171.05%0.76%
201750.88%$1,356,7931.01%0.67%
201760.57%$1,364,5260.92%0.01%
201771.30%$1,382,2251.87%0.39%
201780.42%$1,387,9760.15%0.85%
201791.31%$1,406,1092.45%-0.54%
2017101.39%$1,425,6252.16%0.11%
2017111.85%$1,451,9833.04%-0.17%
2017120.79%$1,408,8930.99%0.44%
201812.75%$1,447,5905.31%-1.09%
20182-2.68%$1,408,789-3.72%-1.03%
20183-0.97%$1,395,152-1.99%0.63%
20184-0.10%$1,393,7220.38%-0.83%
201851.93%$1,420,6092.79%0.61%
201860.43%$1,426,6470.68%0.03%
201872.05%$1,455,9613.34%0.03%
201882.33%$1,489,8563.44%0.52%
20189-0.10%$1,488,3200.16%-0.54%
201810-4.92%$1,415,121-7.40%-0.73%
2018111.47%$1,435,8572.06%0.53%
201812-5.02%$1,308,081-9.29%1.80%
201915.55%$1,380,7348.59%1.01%
201922.14%$1,410,2423.50%-0.06%
201931.63%$1,433,2361.44%1.96%
201942.50%$1,469,0533.98%0.04%
20195-3.41%$1,418,932-6.45%1.83%
201964.72%$1,485,9156.97%1.15%
201970.99%$1,500,5591.44%0.23%
20198-0.24%$1,496,908-2.03%2.78%
201990.83%$1,509,2611.70%-0.60%
2019101.39%$1,530,1912.10%0.21%
2019112.34%$1,566,0733.77%-0.06%
2019121.76%$1,536,7212.85%-0.15%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value21.14%
Large-cap Growth28.15%
Mid-cap Value2.68%
Mid-cap Growth3.78%
Small-cap Value0.90%
Small-cap Growth2.81%
Global ex-US Developed Markets0.55%
Emerging Markets0.46%
REITs0.14%
Corporate Bonds10.11%
Long-Term Treasuries1.07%
Intermediate-Term Treasuries9.01%
Short-Term Treasuries19.20%
R Squared99.79%
Style analysis is based on monthly returns from Jan 2012 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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$853,90399.44%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%40.00%$110,4640.56%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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 1
Arithmetic Mean (monthly)0.81%
Arithmetic Mean (annualized)10.17%
Geometric Mean (monthly)0.79%
Geometric Mean (annualized)9.92%
Volatility (monthly)1.97%
Volatility (annualized)6.82%
Downside Deviation (monthly)1.15%
Max. Drawdown-8.46%
US Market Correlation0.99
Beta(*)0.60
Alpha (annualized)1.24%
R297.06%
Sharpe Ratio1.33
Sortino Ratio2.21
Treynor Ratio (%)15.17
Calmar Ratio1.23
Active Return-4.55%
Tracking Error4.69%
Information Ratio-0.97
Skewness-0.63
Excess Kurtosis0.97
Historical Value-at-Risk (5%)-3.43%
Analytical Value-at-Risk (5%)-2.36%
Conditional Value-at-Risk (5%)-4.32%
Upside Capture Ratio (%)61.62
Downside Capture Ratio (%)57.54
Safe Withdrawal Rate17.94%
Perpetual Withdrawal Rate7.53%
Positive Periods73 out of 96 (76.04%)
Gain/Loss Ratio0.88
* 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
1Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
2Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
4May 2012May 20121 monthAug 20123 months4 months-3.53%
5May 2019May 20191 monthJun 20191 month2 months-3.41%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.06%
7Oct 2016Oct 20161 monthDec 20162 months3 months-1.66%
8Sep 2014Sep 20141 monthOct 20141 month2 months-1.59%
9Jun 2013Jun 20131 monthJul 20131 month2 months-1.41%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.30%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv14.47%11.26%33.35%-5.26%-14.28%1.201.951.00
VBMFXVanguard Total Bond Market Index Inv2.73%3.01%8.61%-2.26%-3.76%0.691.16-0.14

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXPortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv--0.140.99
VBMFXVanguard Total Bond Market Index Inv-0.14-0.03

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv$853,903
VBMFXVanguard Total Bond Market Index Inv$110,464

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv99.44%
VBMFXVanguard Total Bond Market Index Inv0.56%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year10.21%21.83%-3.20%
3 years8.82%13.34%6.11%
5 years8.35%10.16%5.68%
7 years9.01%9.71%8.31%
Result statistics are based on annualized rolling returns over full calendar year periods