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 2014 - Apr 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VXUS Vanguard Total International Stock 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$15,096 5.78% 14.47%27.45%-14.43%-25.54% 0.410.590.88
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 17.11%7.38%46.18%7.29%10.14%5.78%18.11%14.89%
Trailing annualized return and volatility are for full months ending in April 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 April
  • 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 1 ReturnPortfolio 1 BalanceVanguard Total International Stock ETF (VXUS)
20140.76%-4.74%$9,526-4.74%
20150.73%-4.19%$9,127-4.19%
20162.07%4.81%$9,5664.81%
20172.11%27.45%$12,19127.45%
20181.91%-14.43%$10,432-14.43%
20192.29%21.75%$12,70121.75%
20201.36%10.69%$14,05910.69%
20210.98%7.38%$15,0967.38%
Annual return for 2021 is from 01/01/2021 to 04/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total International Stock ETF (VXUS)
20141-5.40%$9,460-5.40%
201425.59%$9,9895.59%
201430.49%$10,0370.49%
201441.26%$10,1641.26%
201451.93%$10,3601.93%
201461.89%$10,5561.89%
20147-1.73%$10,373-1.73%
201481.16%$10,4931.16%
20149-5.01%$9,968-5.01%
201410-0.08%$9,960-0.08%
201411-0.51%$9,909-0.51%
201412-3.87%$9,526-3.87%
201510.27%$9,5510.27%
201525.78%$10,1035.78%
20153-1.49%$9,952-1.49%
201544.81%$10,4314.81%
20155-0.91%$10,336-0.91%
20156-2.73%$10,054-2.73%
20157-0.56%$9,998-0.56%
20158-7.43%$9,255-7.43%
20159-3.85%$8,898-3.85%
2015106.25%$9,4546.25%
201511-1.32%$9,330-1.32%
201512-2.17%$9,127-2.17%
20161-5.45%$8,629-5.45%
20162-2.46%$8,417-2.46%
201638.33%$9,1188.33%
201642.16%$9,3152.16%
20165-0.98%$9,224-0.98%
20166-0.90%$9,141-0.90%
201674.52%$9,5544.52%
201680.45%$9,5970.45%
201691.70%$9,7601.70%
201610-1.91%$9,574-1.91%
201611-2.01%$9,381-2.01%
2016121.96%$9,5661.96%
201714.08%$9,9554.08%
201721.34%$10,0891.34%
201733.00%$10,3913.00%
201742.05%$10,6052.05%
201752.96%$10,9182.96%
201760.63%$10,9870.63%
201773.37%$11,3573.37%
201780.54%$11,4190.54%
201791.88%$11,6341.88%
2017102.03%$11,8702.03%
2017110.63%$11,9440.63%
2017122.07%$12,1912.07%
201815.72%$12,8895.72%
20182-5.24%$12,213-5.24%
20183-0.38%$12,166-0.38%
201840.46%$12,2220.46%
20185-1.64%$12,022-1.64%
20186-2.14%$11,765-2.14%
201872.55%$12,0652.55%
20188-2.40%$11,776-2.40%
201890.21%$11,8010.21%
201810-8.56%$10,792-8.56%
2018111.68%$10,9731.68%
201812-4.93%$10,432-4.93%
201917.67%$11,2317.67%
201921.63%$11,4151.63%
201930.77%$11,5030.77%
201942.77%$11,8222.77%
20195-5.42%$11,181-5.42%
201965.77%$11,8275.77%
20197-1.99%$11,591-1.99%
20198-2.17%$11,340-2.17%
201992.73%$11,6502.73%
2019103.43%$12,0493.43%
2019110.99%$12,1680.99%
2019124.38%$12,7014.38%
20201-3.39%$12,270-3.39%
20202-6.60%$11,460-6.60%
20203-16.26%$9,597-16.26%
202047.60%$10,3277.60%
202055.01%$10,8445.01%
202064.24%$11,3034.24%
202074.15%$11,7724.15%
202084.43%$12,2944.43%
20209-1.82%$12,071-1.82%
202010-2.30%$11,793-2.30%
20201112.62%$13,28112.62%
2020125.86%$14,0595.86%
202110.25%$14,0940.25%
202122.30%$14,4192.30%
202131.87%$14,6881.87%
202142.78%$15,0962.78%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value4.81%
Mid-cap Growth0.11%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets69.43%
Emerging Markets25.65%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.55%
Style analysis is based on monthly returns from January 2014 to April 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/EReturn ContributionRisk Contribution
VXUSVanguard Total International Stock ETFForeign Large Blend100.00%2.08%0.08%20.16$5,096100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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)0.56%
Arithmetic Mean (annualized)6.89%
Geometric Mean (monthly)0.47%
Geometric Mean (annualized)5.78%
Volatility (monthly)4.18%
Volatility (annualized)14.47%
Downside Deviation (monthly)2.84%
Max. Drawdown-25.54%
US Market Correlation0.88
Beta(*)0.87
Alpha (annualized)-5.55%
R277.19%
Sharpe Ratio0.41
Sortino Ratio0.59
Treynor Ratio (%)6.75
Calmar Ratio0.30
Active Return-7.97%
Tracking Error7.15%
Information Ratio-1.11
Skewness-0.59
Excess Kurtosis2.51
Historical Value-at-Risk (5%)-5.44%
Analytical Value-at-Risk (5%)-6.31%
Conditional Value-at-Risk (5%)-8.86%
Upside Capture Ratio (%)74.66
Downside Capture Ratio (%)109.85
Safe Withdrawal Rate14.67%
Perpetual Withdrawal Rate4.07%
Positive Periods53 out of 88 (60.23%)
Gain/Loss Ratio0.94
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-25.54%
2Jul 2014Feb 20161 year 8 monthsApr 20171 year 2 months2 years 10 months-20.26%
3Jan 2014Jan 20141 monthMar 20142 months3 months-5.40%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VXUSVanguard Total International Stock ETF5.78%14.47%27.45%-14.43%-25.54%0.410.590.88

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year4.74%53.05%-16.69%
3 years4.89%10.69%-2.62%
5 years4.34%11.37%-0.72%
7 years5.53%5.86%4.99%