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 2011 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SHY iShares 1-3 Year Treasury Bond ETF 50.00%
UBR ProShares Ultra MSCI Brazil Capped 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
EWZ iShares MSCI Brazil Capped ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$3,089 -20.94% 27.43%-1.02%-42.36%-69.11% -0.71-0.900.64
Portfolio 2$10,000$3,091 -20.93% 28.33%0.42%-41.74%-69.21% -0.68-0.850.65
   
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.
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares 1-3 Year Treasury Bond ETF (SHY)ProShares Ultra MSCI Brazil Capped (UBR)iShares MSCI Brazil Capped ETF (EWZ)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20112.96%-23.24%-24.17%$7,676$7,5831.44%-48.96%-24.17%
20121.74%-1.02%0.42%$7,598$7,6150.28%-5.89%0.42%
20131.50%-18.36%-17.52%$6,203$6,2810.21%-36.26%-17.52%
20140.76%-13.60%-15.52%$5,360$5,3060.45%-35.65%-15.52%
20150.73%-42.36%-41.74%$3,089$3,0910.43%-70.55%-41.74%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares 1-3 Year Treasury Bond ETF (SHY)ProShares Ultra MSCI Brazil Capped (UBR)iShares MSCI Brazil Capped ETF (EWZ)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20111-5.30%-5.43%$9,470$9,4570.13%-10.72%-5.43%
201120.89%1.46%$9,555$9,596-0.12%2.02%1.46%
201134.07%4.36%$9,943$10,014-0.13%8.68%4.36%
201140.02%0.27%$9,945$10,0410.53%-0.50%0.27%
20115-2.99%-3.22%$9,648$9,7180.36%-6.41%-3.22%
20116-1.18%-0.99%$9,534$9,622-0.00%-2.46%-0.99%
20117-3.51%-3.79%$9,200$9,2570.29%-7.76%-3.79%
20118-7.18%-7.18%$8,539$8,5920.34%-16.36%-7.18%
20119-19.06%-20.60%$6,912$6,823-0.10%-38.01%-20.60%
20111020.60%19.92%$8,335$8,1820.03%41.16%19.92%
201111-5.77%-5.37%$7,854$7,7420.04%-11.58%-5.37%
201112-2.27%-2.05%$7,676$7,5830.05%-4.89%-2.05%
2012113.62%14.31%$8,722$8,6680.08%29.74%14.31%
201225.55%5.46%$9,206$9,141-0.14%10.78%5.46%
20123-7.03%-6.53%$8,559$8,544-0.08%-12.79%-6.53%
20124-6.99%-6.80%$7,961$7,9630.20%-13.81%-6.80%
20125-12.21%-13.64%$6,988$6,8760.06%-25.74%-13.64%
201260.59%1.40%$7,029$6,973-0.10%1.27%1.40%
201270.97%1.45%$7,098$7,0740.22%1.72%1.45%
201280.43%0.51%$7,128$7,1100.01%0.84%0.51%
201292.27%2.54%$7,290$7,2910.02%4.44%2.54%
201210-1.49%-1.31%$7,181$7,195-0.07%-2.80%-1.31%
201211-3.45%-3.32%$6,933$6,9570.05%-6.78%-3.32%
2012129.59%9.47%$7,598$7,6150.02%19.33%9.47%
201311.38%1.48%$7,703$7,7280.01%2.55%1.48%
20132-3.21%-2.89%$7,456$7,5050.06%-5.93%-2.89%
20133-1.24%-1.18%$7,363$7,4170.03%-2.38%-1.18%
20134-0.03%1.23%$7,361$7,5080.07%-0.12%1.23%
20135-7.14%-7.72%$6,835$6,928-0.13%-13.52%-7.72%
20136-11.26%-12.15%$6,066$6,086-0.10%-22.98%-12.15%
20137-1.07%-0.82%$6,001$6,0360.16%-2.29%-0.82%
20138-3.55%-2.55%$5,788$5,882-0.10%-7.09%-2.55%
2013914.29%13.02%$6,615$6,6480.22%29.79%13.02%
2013104.01%4.70%$6,880$6,9600.07%7.37%4.70%
201311-6.02%-6.40%$6,466$6,5150.09%-12.13%-6.40%
201312-4.06%-3.58%$6,203$6,281-0.18%-8.48%-3.58%
20141-11.10%-12.18%$5,515$5,5160.20%-22.40%-12.18%
201423.76%4.49%$5,722$5,7640.04%7.48%4.49%
2014310.17%9.85%$6,304$6,332-0.11%19.74%9.85%
201444.34%4.44%$6,578$6,6130.11%8.57%4.44%
201450.85%-1.17%$6,633$6,5360.18%1.46%-1.17%
201463.96%4.83%$6,896$6,851-0.08%7.63%4.83%
201470.33%1.51%$6,919$6,954-0.08%0.68%1.51%
2014811.10%10.72%$7,687$7,7000.19%20.25%10.72%
20149-17.25%-19.09%$6,361$6,230-0.07%-34.43%-19.09%
201410-2.52%-0.48%$6,200$6,2000.26%-5.30%-0.48%
201411-3.35%-3.21%$5,993$6,0010.11%-7.00%-3.21%
201412-10.56%-11.57%$5,360$5,306-0.29%-22.26%-11.57%
20151-6.52%-6.18%$5,010$4,9780.63%-13.68%-6.18%
201522.48%3.12%$5,135$5,134-0.29%5.71%3.12%
20153-10.36%-11.33%$4,603$4,5520.25%-22.02%-11.33%
2015415.09%15.43%$5,297$5,2540.03%30.15%15.43%
20155-10.17%-10.88%$4,758$4,6820.04%-20.39%-10.88%
201563.34%3.45%$4,917$4,8440.03%6.64%3.45%
20157-12.67%-12.45%$4,294$4,2410.04%-24.59%-12.45%
20158-12.88%-13.28%$3,741$3,678-0.05%-25.70%-13.28%
20159-11.59%-11.78%$3,307$3,2450.30%-23.48%-11.78%
2015103.43%4.19%$3,421$3,381-0.14%7.00%4.19%
201511-2.48%-1.53%$3,336$3,329-0.26%-4.56%-1.53%
201512-7.39%-7.14%$3,089$3,091-0.15%-14.45%-7.14%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SHYiShares 1-3 Year Treasury Bond ETFShort Government1.880.15%50.00%$116-0.01%
UBRProShares Ultra MSCI Brazil CappedLeveraged Equity0.95%50.00%-$7,027100.01%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
EWZiShares MSCI Brazil Capped ETFLatin America Stock0.59%100.00%-$6,909100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/05/2020. (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 1Portfolio 2
Arithmetic Mean (monthly)-1.63%-1.60%
Arithmetic Mean (annualized)-17.89%-17.63%
Geometric Mean (monthly)-1.94%-1.94%
Geometric Mean (annualized)-20.94%-20.93%
Volatility (monthly)7.92%8.18%
Volatility (annualized)27.43%28.33%
Downside Deviation (monthly)6.25%6.58%
Max. Drawdown-69.11%-69.21%
US Market Correlation0.640.65
Beta(*)1.461.53
Alpha (annualized)-37.29%-37.76%
R241.44%42.33%
Sharpe Ratio-0.71-0.68
Sortino Ratio-0.90-0.85
Treynor Ratio (%)-13.40-12.64
Calmar Ratio-0.43-0.43
Active Return-32.97%-32.96%
Tracking Error21.72%22.43%
Information Ratio-1.52-1.47
Skewness0.390.16
Excess Kurtosis0.460.29
Historical Value-at-Risk (5%)-12.87%-13.62%
Analytical Value-at-Risk (5%)-14.68%-15.05%
Conditional Value-at-Risk (5%)-16.40%-17.77%
Upside Capture Ratio (%)42.8349.46
Downside Capture Ratio (%)266.81276.69
Safe Withdrawal Rate10.07%10.06%
Perpetual Withdrawal Rate0.00%0.00%
Positive Periods25 out of 60 (41.67%)25 out of 60 (41.67%)
Gain/Loss Ratio0.820.84
* 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 2011Dec 20155 years-69.11%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Dec 20154 years 8 months-69.21%
2Jan 2011Jan 20111 monthMar 20112 months3 months-5.43%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SHYiShares 1-3 Year Treasury Bond ETF0.56%0.63%1.44%0.21%-0.55%0.811.61-0.14
UBRProShares Ultra MSCI Brazil Capped-43.42%55.34%-5.89%-70.55%-94.20%-0.73-0.920.65
EWZiShares MSCI Brazil Capped ETF-20.93%28.33%0.42%-41.74%-69.21%-0.68-0.850.65

Monthly Correlations

Correlations for the portfolio assets
TickerNameSHYUBREWZPortfolio 1Portfolio 2
SHYiShares 1-3 Year Treasury Bond ETF--0.03-0.02-0.01-0.02
UBRProShares Ultra MSCI Brazil Capped-0.03-1.001.001.00
EWZiShares MSCI Brazil Capped ETF-0.021.00-1.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SHYiShares 1-3 Year Treasury Bond ETF$116
UBRProShares Ultra MSCI Brazil Capped-$7,027
EWZiShares MSCI Brazil Capped ETF-$6,909

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SHYiShares 1-3 Year Treasury Bond ETF-0.01%
UBRProShares Ultra MSCI Brazil Capped100.01%
EWZiShares MSCI Brazil Capped ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year-19.71%-1.02%-42.36%-19.71%0.42%-41.74%
3 years-17.30%-11.28%-25.92%-17.18%-11.22%-25.96%
5 years-20.94%-20.94%-20.94%-20.93%-20.93%-20.93%
Result statistics are based on annualized rolling returns over full calendar year periods

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
108/31/2011iShares 1-3 Year Treasury Bond ETF (SHY): 59.38%
ProShares Ultra MSCI Brazil Capped (UBR): 40.62%
209/30/2011iShares 1-3 Year Treasury Bond ETF (SHY): 61.71%
ProShares Ultra MSCI Brazil Capped (UBR): 38.29%
310/31/2011iShares 1-3 Year Treasury Bond ETF (SHY): 41.47%
ProShares Ultra MSCI Brazil Capped (UBR): 58.53%
405/31/2012iShares 1-3 Year Treasury Bond ETF (SHY): 59.77%
ProShares Ultra MSCI Brazil Capped (UBR): 40.23%
506/30/2013iShares 1-3 Year Treasury Bond ETF (SHY): 57.66%
ProShares Ultra MSCI Brazil Capped (UBR): 42.34%
610/31/2013iShares 1-3 Year Treasury Bond ETF (SHY): 44.24%
ProShares Ultra MSCI Brazil Capped (UBR): 55.76%
712/31/2013iShares 1-3 Year Treasury Bond ETF (SHY): 55.41%
ProShares Ultra MSCI Brazil Capped (UBR): 44.59%
801/31/2014iShares 1-3 Year Treasury Bond ETF (SHY): 56.36%
ProShares Ultra MSCI Brazil Capped (UBR): 43.64%
903/31/2014iShares 1-3 Year Treasury Bond ETF (SHY): 43.71%
ProShares Ultra MSCI Brazil Capped (UBR): 56.29%
1008/31/2014iShares 1-3 Year Treasury Bond ETF (SHY): 41.14%
ProShares Ultra MSCI Brazil Capped (UBR): 58.86%
1109/30/2014iShares 1-3 Year Treasury Bond ETF (SHY): 60.38%
ProShares Ultra MSCI Brazil Capped (UBR): 39.62%
1212/31/2014iShares 1-3 Year Treasury Bond ETF (SHY): 59.38%
ProShares Ultra MSCI Brazil Capped (UBR): 40.62%
1303/31/2015iShares 1-3 Year Treasury Bond ETF (SHY): 58.57%
ProShares Ultra MSCI Brazil Capped (UBR): 41.43%
1404/30/2015iShares 1-3 Year Treasury Bond ETF (SHY): 43.46%
ProShares Ultra MSCI Brazil Capped (UBR): 56.54%
1505/31/2015iShares 1-3 Year Treasury Bond ETF (SHY): 55.69%
ProShares Ultra MSCI Brazil Capped (UBR): 44.31%
1607/31/2015iShares 1-3 Year Treasury Bond ETF (SHY): 55.45%
ProShares Ultra MSCI Brazil Capped (UBR): 44.55%
1708/31/2015iShares 1-3 Year Treasury Bond ETF (SHY): 57.36%
ProShares Ultra MSCI Brazil Capped (UBR): 42.64%
1809/30/2015iShares 1-3 Year Treasury Bond ETF (SHY): 56.72%
ProShares Ultra MSCI Brazil Capped (UBR): 43.28%

Portfolio 2 Rebalancing Events