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 2021)

Portfolio Allocations

Vanguard Total Bond Market Index Inv
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »
Vanguard Real Estate Index Investor
Ticker Name Allocation
VGSIX Vanguard Real Estate Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total Bond Market Index Inv$10,000$10,583 3.29% 3.76%7.61%-1.66%-3.94% 0.821.450.23
Vanguard Real Estate Index Investor$10,000$11,623 8.97% 21.76%22.06%-4.78%-25.02% 0.490.650.92
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Vanguard Total Bond Market Index Inv0.08%-1.66%-1.02%3.29%
Vanguard Real Estate Index Investor0.64%22.06%33.33%8.97%
Trailing annualized returns are for full months ending in September 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 September
  • 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 Total Bond Market Index InvVanguard Real Estate Index InvestorVanguard Total Bond Market Index Inv (VBMFX)Vanguard Real Estate Index Investor (VGSIX)
ReturnBalanceReturnBalance
20201.36%7.61%$10,761-4.78%$9,5227.61%-4.78%
20215.31%-1.66%$10,58322.06%$11,623-1.66%22.06%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthVanguard Total Bond Market Index InvVanguard Real Estate Index InvestorVanguard Total Bond Market Index Inv (VBMFX)Vanguard Real Estate Index Investor (VGSIX)
ReturnBalanceReturnBalance
202012.11%$10,2111.17%$10,1172.11%1.17%
202021.71%$10,386-7.08%$9,4001.71%-7.08%
20203-0.59%$10,325-19.30%$7,586-0.59%-19.30%
202041.69%$10,5008.87%$8,2591.69%8.87%
202050.54%$10,5561.74%$8,4020.54%1.74%
202060.70%$10,6302.44%$8,6070.70%2.44%
202071.55%$10,7953.56%$8,9141.55%3.56%
20208-1.02%$10,6840.44%$8,953-1.02%0.44%
202090.08%$10,692-2.64%$8,7170.08%-2.64%
202010-0.61%$10,627-3.09%$8,448-0.61%-3.09%
2020111.11%$10,7459.67%$9,2651.11%9.67%
2020120.15%$10,7612.78%$9,5220.15%2.78%
20211-0.80%$10,6760.00%$9,522-0.80%0.00%
20212-1.51%$10,5143.37%$9,843-1.51%3.37%
20213-1.38%$10,3705.10%$10,345-1.38%5.10%
202140.95%$10,4697.97%$11,1690.95%7.97%
202150.24%$10,4940.76%$11,2540.24%0.76%
202160.77%$10,5742.62%$11,5480.77%2.62%
202171.21%$10,7024.44%$12,0611.21%4.44%
20218-0.20%$10,6812.15%$12,320-0.20%2.15%
20219-0.91%$10,583-5.66%$11,623-0.91%-5.66%

Holdings Based Style Analysis for Vanguard Total Bond Market Index Inv

Holdings Based Style Analysis for Vanguard Total Bond Market Index Inv
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%1.82%0.15%6.84$583100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Real Estate Index Investor

Holdings Based Style Analysis for Vanguard Real Estate Index Investor
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VGSIXVanguard Real Estate Index InvestorReal Estate100.00%3.06%0.26%38.80$1,623100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (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
MetricVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
Arithmetic Mean (monthly)0.28%0.92%
Arithmetic Mean (annualized)3.36%11.60%
Geometric Mean (monthly)0.27%0.72%
Geometric Mean (annualized)3.29%8.97%
Volatility (monthly)1.09%6.28%
Volatility (annualized)3.76%21.76%
Downside Deviation (monthly)0.60%4.74%
Max. Drawdown-3.94%-25.02%
US Market Correlation0.230.92
Beta(*)0.040.93
Alpha (annualized)2.46%-8.78%
R25.22%83.75%
Sharpe Ratio0.820.49
Sortino Ratio1.450.65
Treynor Ratio (%)75.4211.51
Active Return-17.47%-11.79%
Tracking Error20.77%8.88%
Information Ratio-0.84-1.33
Skewness-0.03-1.67
Excess Kurtosis-1.134.58
Historical Value-at-Risk (5%)-1.38%-7.08%
Analytical Value-at-Risk (5%)-1.51%-9.41%
Conditional Value-at-Risk (5%)-1.51%-19.30%
Upside Capture Ratio (%)5.8477.73
Downside Capture Ratio (%)-3.06113.27
Safe Withdrawal Rate100.00%93.94%
Perpetual Withdrawal Rate0.00%8.16%
Positive Periods13 out of 21 (61.90%)15 out of 21 (71.43%)
Gain/Loss Ratio1.120.50
* 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 Total Bond Market Index InvVanguard Real Estate Index Investor
COVID-19 StartJan 2020Mar 2020-0.59%-25.02%

Drawdowns for Vanguard Total Bond Market Index Inv

Drawdowns for Vanguard Total Bond Market Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2020Mar 20218 months-3.94%
2Mar 2020Mar 20201 monthApr 20201 month2 months-0.59%

Drawdowns for Vanguard Real Estate Index Investor

Drawdowns for Vanguard Real Estate Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMar 20211 year1 year 2 months-25.02%
2Sep 2021Sep 20211 month-5.66%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBMFXVanguard Total Bond Market Index Inv3.29%3.76%7.61%-1.66%-3.94%0.821.450.23
VGSIXVanguard Real Estate Index Investor8.97%21.76%22.06%-4.78%-25.02%0.490.650.92

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBMFXVGSIXVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
VBMFXVanguard Total Bond Market Index Inv1.000.291.000.29
VGSIXVanguard Real Estate Index Investor0.291.000.291.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
VBMFXVanguard Total Bond Market Index Inv$583
VGSIXVanguard Real Estate Index Investor$1,623

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
VBMFXVanguard Total Bond Market Index Inv100.00%
VGSIXVanguard Real Estate Index Investor100.00%

Annual Asset Returns