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 2017 - Feb 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VIGRX Vanguard Growth Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VIVAX Vanguard Value Index Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VISGX Vanguard Small Cap Growth Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,611 22.90% 17.19%40.01%-3.46%-16.34% 1.212.110.96
Portfolio 2$10,000$14,781 9.83% 16.36%25.67%-5.55%-25.00% 0.580.840.97
Portfolio 3$10,000$21,680 20.41% 20.55%35.12%-5.80%-24.24% 0.951.500.94
Vanguard Small Cap Value Index Inv$10,000$14,090 8.58% 22.42%22.61%-12.34%-35.29% 0.430.580.93
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 yearFull3 year
Portfolio 14.03%-0.17%45.01%21.26%22.90%19.76%
Portfolio 27.94%4.18%21.13%8.04%9.83%18.72%
Portfolio 314.20%5.48%53.60%20.98%20.41%23.97%
Vanguard Small Cap Value Index Inv18.43%11.03%35.35%9.12%8.58%26.02%
Trailing annualized return and volatility are for full months ending in February 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 February
  • 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 2Portfolio 3Vanguard Small Cap Value Index InvVanguard Growth Index Investor (VIGRX)Vanguard Value Index Inv (VIVAX)Vanguard Small Cap Growth Index Inv (VISGX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20172.11%27.65%$12,76516.99%$11,69921.78%$12,17811.67%$11,16727.65%16.99%21.78%
20181.91%-3.46%$12,323-5.55%$11,050-5.80%$11,472-12.34%$9,789-3.46%-5.55%-5.80%
20192.29%37.08%$16,89225.67%$13,88632.60%$15,21122.61%$12,00337.08%25.67%32.60%
20201.36%40.01%$23,6512.18%$14,18935.12%$20,5545.72%$12,69040.01%2.18%35.12%
20210.43%-0.17%$23,6114.18%$14,7815.48%$21,68011.03%$14,090-0.17%4.18%5.48%
Annual return for 2021 is from 01/01/2021 to 02/28/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard Small Cap Value Index Inv ReturnVanguard Growth Index Investor (VIGRX)Vanguard Value Index Inv (VIVAX)Vanguard Small Cap Growth Index Inv (VISGX)
201713.65%0.61%2.73%0.66%3.65%0.61%2.73%
201724.34%3.62%2.76%2.06%4.34%3.62%2.76%
201731.30%-0.99%0.42%-0.78%1.30%-0.99%0.42%
201742.30%-0.03%1.36%0.44%2.30%-0.03%1.36%
201752.81%0.11%0.32%-2.37%2.81%0.11%0.32%
20176-0.48%1.71%2.03%2.40%-0.48%1.71%2.03%
201772.52%1.54%1.27%0.95%2.52%1.54%1.27%
201781.19%-0.44%-0.36%-1.44%1.19%-0.44%-0.36%
201791.04%3.00%3.79%4.91%1.04%3.00%3.79%
2017102.85%1.80%2.38%0.85%2.85%1.80%2.38%
2017112.50%3.50%3.00%3.14%2.50%3.50%3.00%
2017120.73%1.49%0.27%0.50%0.73%1.49%0.27%
201816.85%4.76%3.89%1.98%6.85%4.76%3.89%
20182-2.91%-4.36%-3.21%-4.78%-2.91%-4.36%-3.21%
20183-2.51%-2.53%1.50%0.82%-2.51%-2.53%1.50%
201840.27%0.45%0.24%0.35%0.27%0.45%0.24%
201854.36%0.62%5.80%4.50%4.36%0.62%5.80%
201861.18%0.15%1.19%0.34%1.18%0.15%1.19%
201872.49%4.69%0.99%2.52%2.49%4.69%0.99%
201884.69%1.93%7.01%2.40%4.69%1.93%7.01%
201890.43%0.56%-1.34%-1.74%0.43%0.56%-1.34%
201810-9.03%-4.98%-11.36%-9.01%-9.03%-4.98%-11.36%
2018110.65%3.36%1.91%2.37%0.65%3.36%1.91%
201812-8.62%-9.34%-10.70%-11.44%-8.62%-9.34%-10.70%
201919.31%7.02%12.56%11.19%9.31%7.02%12.56%
201923.64%2.89%5.83%3.95%3.64%2.89%5.83%
201933.15%0.56%0.28%-1.95%3.15%0.56%0.28%
201944.71%3.38%3.24%3.92%4.71%3.38%3.24%
20195-6.34%-6.33%-6.34%-8.08%-6.34%-6.33%-6.34%
201966.78%7.15%7.35%6.76%6.78%7.15%7.35%
201972.26%0.74%1.79%0.77%2.26%0.74%1.79%
20198-0.50%-2.91%-2.40%-5.42%-0.50%-2.91%-2.40%
201990.22%3.34%-1.55%3.91%0.22%3.34%-1.55%
2019102.49%1.86%1.48%1.68%2.49%1.86%1.48%
2019113.98%3.43%6.16%2.52%3.98%3.43%6.16%
2019123.10%2.72%1.48%2.77%3.10%2.72%1.48%
202013.08%-2.52%-0.38%-3.41%3.08%-2.52%-0.38%
20202-6.49%-9.85%-6.86%-10.21%-6.49%-9.85%-6.86%
20203-10.53%-14.66%-18.36%-24.93%-10.53%-14.66%-18.36%
2020415.10%10.69%16.46%12.95%15.10%10.69%16.46%
202056.97%2.80%10.76%4.73%6.97%2.80%10.76%
202064.77%-0.97%3.02%2.07%4.77%-0.97%3.02%
202077.61%3.60%5.75%3.32%7.61%3.60%5.75%
2020810.12%4.24%3.45%4.61%10.12%4.24%3.45%
20209-4.68%-2.23%-1.53%-3.77%-4.68%-2.23%-1.53%
202010-3.27%-2.06%0.86%3.02%-3.27%-2.06%0.86%
20201110.53%12.83%14.11%17.69%10.53%12.83%14.11%
2020124.21%3.61%8.26%6.66%4.21%3.61%8.26%
20211-0.93%-0.82%2.29%2.08%-0.93%-0.82%2.29%
202120.77%5.04%3.12%8.77%0.77%5.04%3.12%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard Small Cap Value Index Inv
Large-cap Value0.00%85.79%0.00%0.00%
Large-cap Growth97.64%7.88%4.38%0.00%
Mid-cap Value2.36%0.00%0.00%66.14%
Mid-cap Growth0.00%0.00%72.35%0.00%
Small-cap Value0.00%0.00%0.00%17.31%
Small-cap Growth0.00%2.00%23.27%10.47%
Global ex-US Developed Markets0.00%1.49%0.00%3.43%
Emerging Markets0.00%0.00%0.00%2.65%
Corporate Bonds0.00%0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%0.00%
Short-Term Treasuries0.00%2.84%0.00%0.00%
R Squared98.41%98.92%95.61%99.50%
Style analysis is based on monthly returns from January 2017 to February 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
VIGRXVanguard Growth Index InvestorLarge Growth100.00%0.46%0.17%38.23$13,611100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VIVAXVanguard Value Index InvLarge Value100.00%2.40%0.17%20.35$4,781100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VISGXVanguard Small Cap Growth Index InvSmall Growth100.00%0.27%0.19%35.77$11,680100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/26/2021. (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 2Portfolio 3Vanguard Small Cap Value Index Inv
Arithmetic Mean (monthly)1.85%0.90%1.73%0.90%
Arithmetic Mean (annualized)24.65%11.30%22.92%11.41%
Geometric Mean (monthly)1.73%0.78%1.56%0.69%
Geometric Mean (annualized)22.90%9.83%20.41%8.58%
Volatility (monthly)4.96%4.72%5.93%6.47%
Volatility (annualized)17.19%16.36%20.55%22.42%
Downside Deviation (monthly)2.82%3.21%3.72%4.68%
Max. Drawdown-16.34%-25.00%-24.24%-35.29%
US Market Correlation0.960.970.940.93
Beta(*)0.630.690.851.00
Alpha (annualized)15.41%3.30%11.55%0.00%
R267.33%88.58%86.84%100.00%
Sharpe Ratio1.210.580.950.43
Sortino Ratio2.110.841.500.58
Treynor Ratio (%)33.3213.7922.889.57
Calmar Ratio1.300.320.870.26
Active Return14.32%1.26%11.83%N/A
Tracking Error12.87%8.94%8.14%N/A
Information Ratio1.110.141.45N/A
Skewness-0.26-0.71-0.59-1.11
Excess Kurtosis1.002.462.824.99
Historical Value-at-Risk (5%)-7.66%-7.99%-8.97%-9.67%
Analytical Value-at-Risk (5%)-6.31%-6.87%-8.02%-9.74%
Conditional Value-at-Risk (5%)-9.40%-11.28%-13.47%-15.53%
Upside Capture Ratio (%)95.8573.47111.93100.00
Downside Capture Ratio (%)43.9165.5271.06100.00
Safe Withdrawal Rate36.62%29.93%33.67%26.92%
Perpetual Withdrawal Rate17.70%7.47%15.92%6.36%
Positive Periods38 out of 50 (76.00%)34 out of 50 (68.00%)38 out of 50 (76.00%)36 out of 50 (72.00%)
Gain/Loss Ratio0.840.790.740.59
* Vanguard Small Cap Value Index Inv 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 2020Mar 20202 monthsMay 20202 months4 months-16.34%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-16.34%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-7.80%
4May 2019May 20191 monthJun 20191 month2 months-6.34%
5Feb 2018Mar 20182 monthsJun 20183 months5 months-5.35%
6Jan 2021Jan 20211 month-0.93%
7Aug 2019Aug 20191 monthOct 20192 months3 months-0.50%
8Jun 2017Jun 20171 monthJul 20171 month2 months-0.48%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsDec 20209 months1 year-25.00%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-10.95%
3Feb 2018Mar 20182 monthsAug 20185 months7 months-6.78%
4May 2019May 20191 monthJun 20191 month2 months-6.33%
5Aug 2019Aug 20191 monthSep 20191 month2 months-2.91%
6Mar 2017Apr 20172 monthsJun 20172 months4 months-1.01%
7Jan 2021Jan 20211 monthFeb 20211 month2 months-0.82%
8Aug 2017Aug 20171 monthSep 20171 month2 months-0.44%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJun 20203 months6 months-24.24%
2Sep 2018Dec 20184 monthsJul 20197 months11 months-20.41%
3Aug 2019Sep 20192 monthsNov 20192 months4 months-3.91%
4Feb 2018Feb 20181 monthMay 20183 months4 months-3.21%
5Sep 2020Sep 20201 monthNov 20202 months3 months-1.53%
6Aug 2017Aug 20171 monthSep 20171 month2 months-0.36%

Drawdowns for Vanguard Small Cap Value Index Inv

Drawdowns for Vanguard Small Cap Value Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Mar 20201 year 7 monthsDec 20209 months2 years 4 months-35.29%
2Feb 2018Feb 20181 monthMay 20183 months4 months-4.78%
3Mar 2017May 20173 monthsJul 20172 months5 months-2.70%
4Aug 2017Aug 20171 monthSep 20171 month2 months-1.44%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIGRXVanguard Growth Index Investor22.90%17.19%40.01%-3.46%-16.34%1.212.110.96
VIVAXVanguard Value Index Inv9.83%16.36%25.67%-5.55%-25.00%0.580.840.97
VISGXVanguard Small Cap Growth Index Inv20.41%20.55%35.12%-5.80%-24.24%0.951.500.94

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIGRXVIVAXVISGXPortfolio 1Portfolio 2Portfolio 3Vanguard Small Cap Value Index Inv
VIGRXVanguard Growth Index Investor1.000.870.901.000.870.900.82
VIVAXVanguard Value Index Inv0.871.000.890.871.000.890.94
VISGXVanguard Small Cap Growth Index Inv0.900.891.000.900.891.000.93

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIGRXVanguard Growth Index Investor$13,611
VIVAXVanguard Value Index Inv$4,781
VISGXVanguard Small Cap Growth Index Inv$11,680

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIGRXVanguard Growth Index Investor100.00%
VIVAXVanguard Value Index Inv100.00%
VISGXVanguard Small Cap Growth Index Inv100.00%

Annual Asset Returns