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 2015 - Dec 2020)

Portfolio Allocations

Vanguard S&P 500 ETF
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard S&P 500 ETF$10,000$20,535 12.74% 14.92%31.35%-4.50%-19.58% 0.821.291.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Vanguard S&P 500 ETF12.17%18.29%18.29%14.06%15.18%12.74%18.70%15.18%
Trailing return and volatility are as of last full calendar month ending December 2020
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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
  • 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
YearInflationVanguard S&P 500 ETF ReturnVanguard S&P 500 ETF BalanceVanguard S&P 500 ETF (VOO)
20150.73%1.31%$10,1311.31%
20162.07%12.17%$11,36512.17%
20172.11%21.77%$13,83921.77%
20181.91%-4.50%$13,216-4.50%
20192.29%31.35%$17,36031.35%
20201.36%18.29%$20,53518.29%
Monthly returns for the configured portfolios
YearMonthVanguard S&P 500 ETF ReturnVanguard S&P 500 ETF BalanceVanguard S&P 500 ETF (VOO)
20151-2.87%$9,713-2.87%
201525.58%$10,2555.58%
20153-1.57%$10,094-1.57%
201541.00%$10,1951.00%
201551.25%$10,3231.25%
20156-1.95%$10,121-1.95%
201572.18%$10,3422.18%
20158-6.14%$9,707-6.14%
20159-2.47%$9,467-2.47%
2015108.45%$10,2688.45%
2015110.43%$10,3110.43%
201512-1.74%$10,131-1.74%
20161-4.91%$9,634-4.91%
20162-0.21%$9,614-0.21%
201636.87%$10,2756.87%
201640.35%$10,3110.35%
201651.75%$10,4911.75%
201660.32%$10,5250.32%
201673.68%$10,9133.68%
201680.12%$10,9260.12%
201690.04%$10,9300.04%
201610-1.79%$10,734-1.79%
2016113.73%$11,1343.73%
2016122.07%$11,3652.07%
201711.78%$11,5671.78%
201723.88%$12,0163.88%
201730.13%$12,0310.13%
201741.04%$12,1571.04%
201751.40%$12,3271.40%
201760.63%$12,4050.63%
201772.06%$12,6612.06%
201780.29%$12,6980.29%
201792.04%$12,9572.04%
2017102.33%$13,2582.33%
2017113.06%$13,6643.06%
2017121.28%$13,8391.28%
201815.59%$14,6125.59%
20182-3.73%$14,068-3.73%
20183-2.48%$13,719-2.48%
201840.35%$13,7660.35%
201852.42%$14,0992.42%
201860.76%$14,2060.76%
201873.56%$14,7123.56%
201883.22%$15,1853.22%
201890.58%$15,2730.58%
201810-6.84%$14,229-6.84%
2018111.89%$14,4971.89%
201812-8.84%$13,216-8.84%
201917.92%$14,2627.92%
201923.25%$14,7263.25%
201931.92%$15,0091.92%
201944.03%$15,6144.03%
20195-6.35%$14,623-6.35%
201966.99%$15,6456.99%
201971.46%$15,8731.46%
20198-1.64%$15,613-1.64%
201991.97%$15,9211.97%
2019102.18%$16,2692.18%
2019113.63%$16,8583.63%
2019122.97%$17,3602.97%
20201-0.04%$17,353-0.04%
20202-8.10%$15,948-8.10%
20203-12.46%$13,960-12.46%
2020412.79%$15,74512.79%
202054.74%$16,4914.74%
202061.83%$16,7941.83%
202075.88%$17,7815.88%
202086.97%$19,0216.97%
20209-3.75%$18,307-3.75%
202010-2.55%$17,841-2.55%
20201110.95%$19,79410.95%
2020123.75%$20,5353.75%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard S&P 500 ETF
Large-cap Value45.16%
Large-cap Growth54.78%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.06%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.96%
Style analysis is based on monthly returns from January 2015 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 Vanguard S&P 500 ETF

Holdings Based Style Analysis for Vanguard S&P 500 ETF
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VOOVanguard S&P 500 ETFLarge Blend100.00%1.21%1.25%0.03%0.03%25.16$10,535100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/19/2022. (c) 2022 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
MetricVanguard S&P 500 ETF
Arithmetic Mean (monthly)1.10%
Arithmetic Mean (annualized)13.97%
Geometric Mean (monthly)1.00%
Geometric Mean (annualized)12.74%
Standard Deviation (monthly)4.31%
Standard Deviation (annualized)14.92%
Downside Deviation (monthly)2.68%
Max. Drawdown-19.58%
US Market Correlation1.00
Beta(*)0.95
Alpha (annualized)0.57%
R299.38%
Sharpe Ratio0.82
Sortino Ratio1.29
Treynor Ratio (%)12.79
Calmar Ratio0.72
Active Return0.09%
Tracking Error1.37%
Information Ratio0.06
Skewness-0.35
Excess Kurtosis1.44
Historical Value-at-Risk (5%)-6.57%
Analytical Value-at-Risk (5%)-5.99%
Conditional Value-at-Risk (5%)-9.06%
Upside Capture Ratio (%)98.18
Downside Capture Ratio (%)96.77
Safe Withdrawal Rate21.56%
Perpetual Withdrawal Rate9.76%
Positive Periods52 out of 72 (72.22%)
Gain/Loss Ratio0.76
* 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 PeriodStartEndVanguard S&P 500 ETF
COVID-19 StartJan 2020Mar 2020-19.58%

Drawdowns for Vanguard S&P 500 ETF

Drawdowns for Vanguard S&P 500 ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.58%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.47%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.45%
4May 2019May 20191 monthJun 20191 month2 months-6.35%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.20%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.11%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-2.87%
8Jun 2015Jun 20151 monthJul 20151 month2 months-1.95%
9Oct 2016Oct 20161 monthNov 20161 month2 months-1.79%
10Aug 2019Aug 20191 monthSep 20191 month2 months-1.64%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VOOVanguard S&P 500 ETF12.74%14.92%31.35%-4.50%-19.58%0.821.291.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Vanguard S&P 500 ETF12.17%18.29%18.29%14.06%15.18%0.03%0.03%
Trailing returns as of last calendar month ending December 2020

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year11.66%31.35%-6.98%
3 years12.51%17.28%5.08%
5 years11.55%15.18%6.70%