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 2020 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTWNX Vanguard Target Retirement 2020 Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,038,733 3.87% 14.59%3.87%3.87%-10.95% 0.370.540.99
Vanguard 500 Index Investor$1,000,000$1,054,680 5.47% 27.45%5.47%5.47%-19.63% 0.360.561.00
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.
  • 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
YearInflationReturnBalanceVanguard Target Retirement 2020 Inv (VTWNX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20201.29%3.87%5.47%$1,038,733$1,054,6803.87%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Target Retirement 2020 Inv (VTWNX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
202010.22%-0.05%$1,002,152$999,4970.22%
20202-3.22%-8.24%$969,874$917,125-3.22%
20203-7.99%-12.37%$892,407$803,657-7.99%
202046.30%12.81%$948,663$906,6376.30%
202052.82%4.76%$975,407$949,7562.82%
202061.92%1.98%$994,159$968,5391.92%
202073.15%5.63%$1,025,515$1,023,0393.15%
202082.64%7.18%$1,052,567$1,096,4612.64%
20209-1.31%-3.81%$1,038,733$1,054,680-1.31%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTWNXVanguard Target Retirement 2020 InvTarget-Date 2020100.00%0.13%21.886.34$38,733100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (c) 2020 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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.50%0.88%
Arithmetic Mean (annualized)6.21%11.02%
Geometric Mean (monthly)0.42%0.59%
Geometric Mean (annualized)5.20%7.36%
Volatility (monthly)4.21%7.93%
Volatility (annualized)14.59%27.45%
Downside Deviation (monthly)2.90%5.12%
Max. Drawdown-10.95%-19.63%
US Market Correlation0.991.00
Beta(*)0.521.00
Alpha (annualized)0.58%-0.00%
R295.54%100.00%
Sharpe Ratio0.370.36
Sortino Ratio0.540.56
Treynor Ratio (%)10.569.95
Active Return-2.16%N/A
Tracking Error13.55%N/A
Information Ratio-0.16N/A
Skewness-0.93-0.34
Excess Kurtosis1.07-0.44
Historical Value-at-Risk (5%)-7.99%-12.37%
Analytical Value-at-Risk (5%)-6.43%-12.16%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)47.97100.00
Downside Capture Ratio (%)53.64100.00
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods6 out of 9 (66.67%)5 out of 9 (55.56%)
Gain/Loss Ratio0.681.06
* Vanguard 500 Index Investor 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 monthsJul 20204 months6 months-10.95%
2Sep 2020Sep 20201 month-1.31%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Sep 2020Sep 20201 month-3.81%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTWNXVanguard Target Retirement 2020 Inv3.87%14.59%3.87%3.87%-10.95%0.370.540.99

Annual Asset Returns