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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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 not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-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 include bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
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%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets100.00%100.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared73.26%73.13%
Style analysis is based on monthly returns from Jan 2011 to Dec 2015 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures 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 Exposures for Portfolio 2

Holdings Based Exposures 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 09/05/2019. © 2019 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 (%)-13.38-12.61
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%0.861.76-0.14
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