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.
Ticker | Name | Allocation |
---|---|---|
VOO | Vanguard S&P 500 ETF | 60.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 40.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VOO | Vanguard S&P 500 ETF | 70.00% |
VXX | iPath B S&P 500 VIX S/T Futs ETN | 30.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VOO | Vanguard S&P 500 ETF | 70.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 20.00% |
VXX | iPath B S&P 500 VIX S/T Futs ETN | 10.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $15,165 | 23.15% | 10.35% | 24.60% | 21.71% | -5.77% | 1.95 | 4.82 | 0.86 |
Portfolio 2 | $10,000 | $14,057 | 18.56% | 26.38% | 52.69% | -7.94% | -8.34% | 0.71 | 3.22 | -0.57 |
Portfolio 3 | $10,000 | $15,350 | 23.90% | 9.21% | 34.62% | 14.03% | -4.92% | 2.24 | 7.02 | 0.25 |
Vanguard 500 Index Investor | $10,000 | $15,529 | 24.62% | 20.08% | 31.33% | 18.25% | -19.63% | 1.14 | 1.89 | 1.00 |
Name | 3 Month | 1 year | Full |
---|---|---|---|
Portfolio 1 | 6.11% | 21.71% | 23.15% |
Portfolio 2 | -1.25% | 52.69% | 18.56% |
Portfolio 3 | 4.67% | 34.62% | 23.90% |
Vanguard 500 Index Investor | 12.12% | 18.25% | 24.62% |
Trailing annualized returns are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | Vanguard S&P 500 ETF (VOO) | iShares 20+ Year Treasury Bond ETF (TLT) | iPath B S&P 500 VIX S/T Futs ETN (VXX) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Yield | Income | Return | Balance | Yield | Income | Return | Balance | Yield | Income | Return | Balance | |||||
2019 | 2.29% | 24.60% | $12,460 | 2.49% | $249 | -7.94% | $9,206 | 1.50% | $150 | 14.03% | $11,403 | 2.13% | $213 | 31.33% | $13,133 | 31.35% | 14.12% | -67.82% |
2020 | 1.36% | 21.71% | $15,165 | 1.84% | $229 | 52.69% | $14,057 | 1.90% | $175 | 34.62% | $15,350 | 1.91% | $217 | 18.25% | $15,529 | 18.29% | 18.15% | 11.04% |
Year | Month | Portfolio 1 Return | Portfolio 2 Return | Portfolio 3 Return | Vanguard 500 Index Investor Return | Vanguard S&P 500 ETF (VOO) | iShares 20+ Year Treasury Bond ETF (TLT) | iPath B S&P 500 VIX S/T Futs ETN (VXX) |
---|---|---|---|---|---|---|---|---|
2019 | 1 | 4.90% | -1.84% | 3.16% | 8.00% | 7.92% | 0.38% | -24.60% |
2019 | 2 | 1.48% | -0.11% | 1.28% | 3.20% | 3.25% | -1.38% | -11.35% |
2019 | 3 | 3.28% | 0.13% | 2.05% | 1.94% | 1.92% | 5.57% | -6.84% |
2019 | 4 | 1.63% | -0.85% | 1.20% | 4.04% | 4.03% | -1.99% | -12.24% |
2019 | 5 | -1.26% | 0.24% | -1.64% | -6.36% | -6.35% | 6.84% | 18.46% |
2019 | 6 | 4.47% | 0.24% | 3.47% | 7.03% | 6.99% | 0.95% | -14.53% |
2019 | 7 | 0.98% | -1.76% | 0.15% | 1.43% | 1.46% | 0.26% | -9.27% |
2019 | 8 | 3.40% | 2.82% | 2.36% | -1.59% | -1.64% | 11.04% | 14.46% |
2019 | 9 | -0.01% | -2.36% | -0.46% | 1.86% | 1.97% | -2.68% | -12.07% |
2019 | 10 | 0.86% | -3.51% | -0.38% | 2.15% | 2.18% | -1.11% | -16.81% |
2019 | 11 | 2.04% | -1.52% | 1.17% | 3.62% | 3.63% | -0.41% | -16.25% |
2019 | 12 | 0.61% | 0.43% | 0.97% | 3.01% | 2.97% | -3.20% | -8.59% |
2020 | 1 | 3.05% | 2.12% | 2.23% | -0.05% | -0.04% | 7.69% | 7.14% |
2020 | 2 | -1.94% | 7.29% | 0.13% | -8.24% | -8.10% | 6.63% | 40.80% |
2020 | 3 | -3.90% | 35.13% | 8.75% | -12.37% | -12.46% | 6.38% | 102.76% |
2020 | 4 | 8.16% | 3.51% | 7.38% | 12.81% | 12.79% | 1.22% | -18.12% |
2020 | 5 | 2.30% | 0.64% | 2.20% | 4.76% | 4.74% | -1.76% | -12.52% |
2020 | 6 | 1.30% | 1.97% | 1.61% | 1.98% | 1.83% | 0.34% | 2.48% |
2020 | 7 | 5.30% | -0.68% | 3.40% | 5.63% | 5.88% | 4.44% | -15.99% |
2020 | 8 | 2.20% | 3.72% | 3.50% | 7.18% | 6.97% | -5.05% | -5.86% |
2020 | 9 | -2.09% | -4.56% | -3.17% | -3.81% | -3.75% | 0.77% | -7.26% |
2020 | 10 | -2.88% | 0.18% | -1.80% | -2.67% | -2.55% | -3.39% | 6.55% |
2020 | 11 | 7.25% | -3.79% | 4.11% | 10.94% | 10.95% | 1.66% | -35.24% |
2020 | 12 | 1.87% | 2.45% | 2.38% | 3.84% | 3.75% | -1.23% | -2.27% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|---|
VOO | Vanguard S&P 500 ETF | Large Blend | 60.00% | 1.51% | 0.03% | 27.41 | $3,654 | 98.19% | |
TLT | iShares 20+ Year Treasury Bond ETF | Long Government | 40.00% | 1.57% | 0.15% | 19.07 | $1,511 | 1.81% | |
100.00% | 1.53% | 0.08% | 27.41 | 19.07 | $5,165 | 100.00% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|
VOO | Vanguard S&P 500 ETF | Large Blend | 70.00% | 1.51% | 0.03% | 27.41 | $4,773 | -43.90% |
VXX | iPath B S&P 500 VIX S/T Futs ETN | Volatility | 30.00% | 0.89% | -$716 | 143.90% | ||
100.00% | 1.06% | 0.29% | 27.41 | $4,057 | 100.00% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|---|
VOO | Vanguard S&P 500 ETF | Large Blend | 70.00% | 1.51% | 0.03% | 27.41 | $4,493 | 56.28% | |
TLT | iShares 20+ Year Treasury Bond ETF | Long Government | 20.00% | 1.57% | 0.15% | 19.07 | $701 | 8.27% | |
VXX | iPath B S&P 500 VIX S/T Futs ETN | Volatility | 10.00% | 0.89% | $157 | 35.45% | |||
100.00% | 1.37% | 0.14% | 27.41 | 19.07 | $5,350 | 100.00% |
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.
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|
Arithmetic Mean (monthly) | 1.79% | 1.66% | 1.83% | 2.01% |
Arithmetic Mean (annualized) | 23.76% | 21.87% | 24.38% | 27.01% |
Geometric Mean (monthly) | 1.75% | 1.43% | 1.80% | 1.85% |
Geometric Mean (annualized) | 23.15% | 18.56% | 23.90% | 24.62% |
Volatility (monthly) | 2.99% | 7.61% | 2.66% | 5.80% |
Volatility (annualized) | 10.35% | 26.38% | 9.21% | 20.08% |
Downside Deviation (monthly) | 1.18% | 1.62% | 0.83% | 3.45% |
Max. Drawdown | -5.77% | -8.34% | -4.92% | -19.63% |
US Market Correlation | 0.86 | -0.57 | 0.25 | 1.00 |
Beta(*) | 0.45 | -0.72 | 0.13 | 1.00 |
Alpha (annualized) | 10.67% | 37.35% | 18.88% | 0.00% |
R2 | 75.74% | 30.08% | 8.03% | 100.00% |
Sharpe Ratio | 1.95 | 0.71 | 2.24 | 1.14 |
Sortino Ratio | 4.82 | 3.22 | 7.02 | 1.89 |
Treynor Ratio (%) | 45.09 | -25.92 | 159.54 | 22.88 |
Active Return | -1.47% | -6.06% | -0.72% | N/A |
Tracking Error | 12.19% | 40.99% | 19.58% | N/A |
Information Ratio | -0.12 | -0.15 | -0.04 | N/A |
Skewness | 0.16 | 3.97 | 0.70 | -0.60 |
Excess Kurtosis | 0.02 | 17.73 | 1.43 | 0.74 |
Historical Value-at-Risk (5%) | -2.76% | -3.75% | -1.78% | -7.96% |
Analytical Value-at-Risk (5%) | -3.22% | -7.42% | -2.09% | -7.52% |
Conditional Value-at-Risk (5%) | -3.39% | -4.18% | -2.49% | -10.31% |
Upside Capture Ratio (%) | 54.02 | -3.72 | 40.33 | 100.00 |
Downside Capture Ratio (%) | 17.34 | -124.22 | -19.26 | 100.00 |
Safe Withdrawal Rate | 66.46% | 54.09% | 63.60% | 69.13% |
Perpetual Withdrawal Rate | 17.32% | 14.12% | 17.82% | 18.29% |
Positive Periods | 18 out of 24 (75.00%) | 14 out of 24 (58.33%) | 19 out of 24 (79.17%) | 17 out of 24 (70.83%) |
Gain/Loss Ratio | 1.52 | 2.07 | 1.82 | 0.98 |
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Feb 2020 | Mar 2020 | 2 months | Apr 2020 | 1 month | 3 months | -5.77% |
2 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -4.91% |
3 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -1.26% |
4 | Sep 2019 | Sep 2019 | 1 month | Oct 2019 | 1 month | 2 months | -0.01% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jan 2019 | Nov 2019 | 11 months | Feb 2020 | 3 months | 1 year 2 months | -8.34% |
2 | Sep 2020 | Nov 2020 | 3 months | -8.01% | |||
3 | Jul 2020 | Jul 2020 | 1 month | Aug 2020 | 1 month | 2 months | -0.68% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Sep 2020 | Oct 2020 | 2 months | Dec 2020 | 2 months | 4 months | -4.92% |
2 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -1.64% |
3 | Sep 2019 | Oct 2019 | 2 months | Nov 2019 | 1 month | 3 months | -0.83% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.63% |
2 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -6.38% |
3 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
4 | Aug 2019 | Aug 2019 | 1 month | Sep 2019 | 1 month | 2 months | -1.59% |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
VOO | Vanguard S&P 500 ETF | 24.65% | 20.02% | 31.35% | 18.29% | -19.58% | 1.14 | 1.89 | 1.00 |
TLT | iShares 20+ Year Treasury Bond ETF | 16.12% | 14.32% | 18.15% | 14.12% | -7.55% | 1.03 | 2.49 | -0.47 |
VXX | iPath B S&P 500 VIX S/T Futs ETN | -40.22% | 93.86% | 11.04% | -67.82% | -67.82% | -0.21 | -0.44 | -0.85 |
Ticker | Name | VOO | TLT | VXX | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|
VOO | Vanguard S&P 500 ETF | 1.00 | -0.46 | -0.84 | 0.87 | -0.55 | 0.28 | 1.00 |
TLT | iShares 20+ Year Treasury Bond ETF | -0.46 | 1.00 | 0.49 | 0.03 | 0.34 | 0.20 | -0.46 |
VXX | iPath B S&P 500 VIX S/T Futs ETN | -0.84 | 0.49 | 1.00 | -0.65 | 0.90 | 0.26 | -0.84 |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
VOO | Vanguard S&P 500 ETF | $3,654 | $4,773 | $4,493 |
TLT | iShares 20+ Year Treasury Bond ETF | $1,511 | $701 | |
VXX | iPath B S&P 500 VIX S/T Futs ETN | -$716 | $157 |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
VOO | Vanguard S&P 500 ETF | 98.19% | -43.90% | 56.28% |
TLT | iShares 20+ Year Treasury Bond ETF | 1.81% | 8.27% | |
VXX | iPath B S&P 500 VIX S/T Futs ETN | 143.90% | 35.45% |