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 2021 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
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Portfolio 2
Ticker Name Allocation
BND Vanguard Total Bond Market ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 60.00%
BND Vanguard Total Bond Market ETF 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$40,500$48,832 20.57% 6.04%-0.33% 4.7269.541.00
Portfolio 2$40,500$40,168 -0.82% 3.62%-3.64% -0.34-0.450.08
Portfolio 3$40,500$45,366 12.02% 4.13%-0.54% 4.1625.560.93
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
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market ETF (BND)
ReturnBalanceReturnBalanceReturnBalance
20215.03%20.57%$48,832-0.82%$40,16812.02%$45,36620.57%-0.82%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market ETF (BND)
ReturnBalanceReturnBalanceReturnBalance
20211-0.33%$40,367-0.86%$40,151-0.54%$40,281-0.33%-0.86%
202123.19%$41,654-1.55%$39,5301.30%$40,8043.19%-1.55%
202133.48%$43,104-1.27%$39,0271.64%$41,4733.48%-1.27%
202145.13%$45,3170.87%$39,3653.53%$42,9365.13%0.87%
202150.44%$45,5150.15%$39,4250.33%$43,0790.44%0.15%
202162.54%$46,6730.90%$39,7791.94%$43,9152.54%0.90%
202171.71%$47,4731.17%$40,2441.52%$44,5811.71%1.17%
202182.86%$48,832-0.19%$40,1681.76%$45,3662.86%-0.19%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%1.19%0.04%24.25$8,332100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond100.00%1.95%0.04%6.79-$332100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend60.00%1.19%0.04%24.25$4,99984.32%
BNDVanguard Total Bond Market ETFIntermediate Core Bond40.00%1.95%0.04%6.79-$13315.68%
100.00%1.49%0.04%24.256.79$4,866100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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 3
Arithmetic Mean (monthly)2.38%-0.10%1.43%
Arithmetic Mean (annualized)32.60%-1.17%18.64%
Geometric Mean (monthly)2.37%-0.10%1.43%
Geometric Mean (annualized)32.40%-1.23%18.55%
Volatility (monthly)1.74%1.05%1.19%
Volatility (annualized)6.04%3.62%4.13%
Downside Deviation (monthly)0.12%0.77%0.19%
Max. Drawdown-0.33%-3.64%-0.54%
US Market Correlation1.000.080.93
Beta(*)1.000.050.64
Alpha (annualized)0.15%-2.56%-0.89%
R2100.00%0.66%87.03%
Sharpe Ratio4.72-0.344.16
Sortino Ratio69.54-0.4525.56
Treynor Ratio (%)28.56-25.1126.98
Active Return0.13%-33.50%-13.71%
Tracking Error0.02%6.79%2.65%
Information Ratio5.48-4.93-5.17
Skewness-0.16-0.200.03
Excess Kurtosis-0.16-1.731.23
Historical Value-at-Risk (5%)-0.06%-1.45%-0.24%
Analytical Value-at-Risk (5%)-0.49%-1.82%-0.39%
Conditional Value-at-Risk (5%)-0.33%-1.55%-0.54%
Upside Capture Ratio (%)100.320.1959.27
Downside Capture Ratio (%)96.85254.72160.05
Safe Withdrawal RateN/AN/AN/A
Perpetual Withdrawal RateN/AN/AN/A
Positive Periods7 out of 8 (87.50%)4 out of 8 (50.00%)7 out of 8 (87.50%)
Gain/Loss Ratio8.450.803.17
* US stock market 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
1Jan 2021Jan 20211 monthFeb 20211 month2 months-0.33%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2021Mar 20213 months-3.64%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2021Jan 20211 monthFeb 20211 month2 months-0.54%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm20.57%6.04%-0.33%4.7269.541.00
BNDVanguard Total Bond Market ETF-0.82%3.62%-3.64%-0.34-0.450.08

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSAXBNDPortfolio 1Portfolio 2Portfolio 3
VTSAXVanguard Total Stock Mkt Idx Adm1.000.081.000.080.93
BNDVanguard Total Bond Market ETF0.081.000.081.000.43

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSAXVanguard Total Stock Mkt Idx Adm$8,332$4,999
BNDVanguard Total Bond Market ETF-$332-$133

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSAXVanguard Total Stock Mkt Idx Adm100.00%84.32%
BNDVanguard Total Bond Market ETF100.00%15.68%

Annual Asset Returns