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 2012 - Aug 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$1,496,908 5.40% 9.47%9.62%6.93%19.10%-3.20%-8.46%
(-12.20%)
1.262.100.99
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to August
  • 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 (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
  • 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.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
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%
20192.12%14.44%$1,496,908$0.0017.89%9.25%
Annual returns for 2019 are based on partial year data
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%
* End-of-month balance includes the annual contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value20.98%
Large-cap Growth28.14%
Mid-cap Value3.06%
Mid-cap Growth3.61%
Small-cap Value1.43%
Small-cap Growth2.21%
Global ex-US Developed Markets0.81%
Emerging Markets0.39%
Corporate Bonds9.70%
Long-Term Treasuries1.23%
Intermediate-Term Treasuries9.25%
Short-Term Treasuries19.19%
R Squared99.81%
Style analysis is based on monthly returns from Jan 2012 to Aug 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$753,76199.33%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.020.15%40.00%$113,8570.67%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/05/2019. © 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 1
Arithmetic Mean (monthly)0.78%
Arithmetic Mean (annualized)9.73%
Geometric Mean (monthly)0.76%
Geometric Mean (annualized)9.47%
Volatility (monthly)2.00%
Volatility (annualized)6.93%
Downside Deviation (monthly)1.17%
Max. Drawdown-8.46%
US Market Correlation0.99
Beta(*)0.60
Alpha (annualized)1.28%
R297.06%
Sharpe Ratio1.26
Sortino Ratio2.10
Treynor Ratio (%)14.65
Calmar Ratio1.01
Active Return-4.14%
Tracking Error4.76%
Information Ratio-0.87
Skewness-0.58
Excess Kurtosis0.83
Historical Value-at-Risk (5%)-3.45%
Analytical Value-at-Risk (5%)-2.44%
Conditional Value-at-Risk (5%)-4.32%
Upside Capture Ratio (%)61.86
Downside Capture Ratio (%)57.60
Safe Withdrawal Rate19.84%
Perpetual Withdrawal Rate7.76%
Positive Periods69 out of 92 (75.00%)
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 Inv13.61%11.44%33.35%-5.26%-14.28%1.131.821.00
VBMFXVanguard Total Bond Market Index Inv2.93%3.05%9.25%-2.26%-3.76%0.781.33-0.13

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXPortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv--0.130.99
VBMFXVanguard Total Bond Market Index Inv-0.13-0.04

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv$753,761
VBMFXVanguard Total Bond Market Index Inv$113,857

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv99.33%
VBMFXVanguard Total Bond Market Index Inv0.67%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.55%19.10%-3.20%
3 years8.51%13.34%6.11%
5 years8.50%10.16%5.68%
7 years8.31%8.31%8.31%
Result statistics are based on annualized rolling returns over full calendar year periods