Backtest Portfolio Asset Allocation

This online 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 (Jun 2011 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PAUIX PIMCO All Asset All Authority Inst 100.00%
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Portfolio 2
Ticker Name Allocation
MHFIX Equinox MutualHedge Futures Strategy I 20.00%
PAUIX PIMCO All Asset All Authority Inst 80.00%
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Portfolio 3
Ticker Name Allocation
MHFIX Equinox MutualHedge Futures Strategy I 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,234 1.55% 8.28%17.66%-11.73%-20.76% 0.180.260.55
Portfolio 2$10,000$11,215 1.52% 6.90%13.39%-8.78%-14.53% 0.200.280.51
Portfolio 3$10,000$10,646 0.83% 9.28%10.09%-4.11%-13.91% 0.090.14-0.06
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2011 are based on full calendar months from June to December
  • 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
  • The backtested results include annual 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
YearInflationReturnBalancePIMCO All Asset All Authority Inst (PAUIX)Equinox MutualHedge Futures Strategy I (MHFIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2011-0.13%-2.03%-1.51%0.59%$9,797$9,849$10,059-2.03%0.59%
20121.74%17.66%13.39%-3.71%$11,527$11,168$9,68617.66%-3.71%
20131.50%-5.47%-4.96%-2.93%$10,896$10,613$9,402-5.47%-2.93%
20140.76%-2.35%0.14%10.09%$10,641$10,628$10,351-2.35%10.09%
20150.73%-11.73%-8.78%3.06%$9,392$9,696$10,668-11.73%3.06%
20162.07%13.73%11.88%4.46%$10,682$10,847$11,14313.73%4.46%
20172.11%12.04%8.81%-4.11%$11,968$11,803$10,68512.04%-4.11%
20181.91%-6.14%-4.98%-0.37%$11,234$11,215$10,646-6.14%-0.37%
Annual returns for 2011 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalancePIMCO All Asset All Authority Inst (PAUIX)Equinox MutualHedge Futures Strategy I (MHFIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20116-0.58%-1.07%-3.01%$9,942$9,893$9,699-0.58%-3.01%
201172.03%2.37%3.80%$10,143$10,128$10,0682.03%3.80%
20118-1.17%-0.52%2.12%$10,024$10,076$10,282-1.17%2.12%
20119-6.80%-5.24%0.85%$9,343$9,548$10,369-6.80%0.85%
2011106.84%4.78%-2.62%$9,982$10,005$10,0976.84%-2.62%
201111-2.50%-2.12%-0.58%$9,732$9,793$10,039-2.50%-0.58%
2011120.67%0.57%0.20%$9,797$9,849$10,0590.67%0.20%
201215.58%4.37%-0.50%$10,343$10,279$10,0095.58%-0.50%
201222.17%1.99%1.21%$10,568$10,483$10,1302.17%1.21%
20123-0.86%-1.17%-2.49%$10,478$10,361$9,878-0.86%-2.49%
201241.03%1.09%1.33%$10,586$10,474$10,0091.03%1.33%
20125-4.28%-2.80%3.63%$10,133$10,181$10,372-4.28%3.63%
201263.09%1.89%-2.92%$10,446$10,373$10,0693.09%-2.92%
201272.85%2.72%2.20%$10,743$10,656$10,2912.85%2.20%
201281.66%1.12%-1.18%$10,922$10,776$10,1701.66%-1.18%
201292.34%1.68%-1.19%$11,177$10,957$10,0492.34%-1.19%
2012100.54%-0.34%-4.32%$11,237$10,921$9,6150.54%-4.32%
2012110.98%0.85%0.21%$11,347$11,013$9,6360.98%0.21%
2012121.59%1.41%0.52%$11,527$11,168$9,6861.59%0.52%
201310.27%0.45%1.15%$11,558$11,218$9,7970.27%1.15%
20132-0.36%-0.39%-0.51%$11,517$11,174$9,747-0.36%-0.51%
20133-0.47%-0.35%0.10%$11,462$11,134$9,757-0.47%0.10%
201341.92%1.89%1.76%$11,683$11,344$9,9281.92%1.76%
20135-3.50%-3.20%-2.03%$11,274$10,981$9,726-3.50%-2.03%
20136-4.17%-4.23%-4.46%$10,804$10,516$9,292-4.17%-4.46%
201370.59%0.18%-1.41%$10,867$10,535$9,1610.59%-1.41%
20138-1.46%-1.67%-2.53%$10,709$10,359$8,929-1.46%-2.53%
201392.63%2.20%0.45%$10,990$10,587$8,9702.63%0.45%
2013101.26%1.52%2.59%$11,129$10,747$9,2021.26%2.59%
201311-1.63%-0.79%2.63%$10,948$10,663$9,444-1.63%2.63%
201312-0.47%-0.46%-0.44%$10,896$10,613$9,402-0.47%-0.44%
20141-0.71%-0.87%-1.51%$10,819$10,521$9,260-0.71%-1.51%
201422.03%1.80%0.87%$11,039$10,711$9,3412.03%0.87%
201430.92%0.29%-2.27%$11,141$10,742$9,1290.92%-2.27%
201441.19%0.88%-0.44%$11,274$10,837$9,0891.19%-0.44%
201451.67%1.73%2.00%$11,462$11,025$9,2711.67%2.00%
201461.06%0.96%0.55%$11,583$11,131$9,3211.06%0.55%
20147-0.58%-0.61%-0.76%$11,516$11,062$9,250-0.58%-0.76%
201480.68%1.23%3.61%$11,595$11,199$9,5840.68%3.61%
20149-3.95%-3.10%0.42%$11,137$10,851$9,624-3.95%0.42%
2014100.40%0.83%2.52%$11,182$10,941$9,8670.40%2.52%
201411-1.21%0.10%5.23%$11,047$10,952$10,383-1.21%5.23%
201412-3.68%-2.96%-0.30%$10,641$10,628$10,351-3.68%-0.30%
201510.66%1.77%6.24%$10,711$10,817$10,9960.66%6.24%
201521.20%1.20%1.21%$10,839$10,947$11,1301.20%1.21%
20153-2.14%-1.43%1.30%$10,606$10,791$11,275-2.14%1.30%
201543.31%2.00%-2.76%$10,957$11,007$10,9633.31%-2.76%
20155-1.71%-1.34%0.10%$10,770$10,860$10,974-1.71%0.10%
20156-1.73%-2.19%-3.96%$10,583$10,622$10,540-1.73%-3.96%
20157-2.12%-1.00%3.38%$10,359$10,516$10,896-2.12%3.38%
20158-4.32%-4.19%-3.68%$9,912$10,076$10,496-4.32%-3.68%
20159-3.94%-2.62%2.23%$9,522$9,812$10,729-3.94%2.23%
2015102.63%1.85%-0.83%$9,772$9,994$10,6402.63%-0.83%
201511-2.20%-0.71%4.60%$9,557$9,923$11,130-2.20%4.60%
201512-1.73%-2.29%-4.16%$9,392$9,696$10,668-1.73%-4.16%
20161-0.92%0.48%6.04%$9,306$9,742$11,312-0.92%6.04%
20162-0.53%0.31%3.46%$9,257$9,773$11,704-0.53%3.46%
201637.10%4.92%-2.92%$9,914$10,253$11,3637.10%-2.92%
201643.73%2.71%-1.33%$10,284$10,531$11,2113.73%-1.33%
20165-2.88%-2.52%-1.01%$9,988$10,266$11,097-2.88%-1.01%
201663.77%3.64%3.08%$10,365$10,640$11,4393.77%3.08%
201672.03%1.94%1.55%$10,576$10,846$11,6162.03%1.55%
201680.47%-0.09%-2.39%$10,625$10,836$11,3370.47%-2.39%
201691.40%0.96%-0.89%$10,774$10,940$11,2361.40%-0.89%
2016100.69%0.27%-1.57%$10,849$10,970$11,0590.69%-1.57%
201611-3.56%-3.11%-1.14%$10,463$10,628$10,933-3.56%-1.14%
2016122.09%2.06%1.92%$10,682$10,847$11,1432.09%1.92%
201712.15%1.25%-2.35%$10,911$10,983$10,8812.15%-2.35%
201721.52%1.83%3.13%$11,076$11,183$11,2221.52%3.13%
201730.84%0.90%1.17%$11,169$11,284$11,3530.84%1.17%
201740.57%0.64%0.92%$11,233$11,356$11,4580.57%0.92%
201751.14%1.05%0.69%$11,361$11,475$11,5361.14%0.69%
201760.02%-1.14%-5.90%$11,363$11,345$10,8550.02%-5.90%
201772.16%1.71%-0.24%$11,608$11,539$10,8292.16%-0.24%
201781.22%1.26%1.45%$11,750$11,684$10,9861.22%1.45%
20179-0.23%-0.78%-3.22%$11,723$11,594$10,633-0.23%-3.22%
2017100.33%1.33%5.91%$11,762$11,748$11,2610.33%5.91%
201711-0.11%-0.81%-3.84%$11,749$11,653$10,829-0.11%-3.84%
2017121.87%1.29%-1.33%$11,968$11,803$10,6851.87%-1.33%
201811.79%2.73%6.50%$12,183$12,126$11,3791.79%6.50%
20182-2.42%-2.59%-3.22%$11,888$11,812$11,012-2.42%-3.22%
201830.80%0.83%0.95%$11,983$11,910$11,1170.80%0.95%
201840.22%0.30%0.59%$12,010$11,946$11,1830.22%0.59%
20185-2.02%-2.30%-3.40%$11,767$11,671$10,803-2.02%-3.40%
20186-1.41%-0.67%2.18%$11,602$11,592$11,039-1.41%2.18%
201870.58%0.46%0.00%$11,670$11,646$11,0390.58%0.00%
20188-2.56%-2.57%-2.61%$11,372$11,347$10,750-2.56%-2.61%
201890.66%0.42%-0.49%$11,446$11,394$10,6980.66%-0.49%
201810-2.15%-2.26%-2.69%$11,200$11,137$10,410-2.15%-2.69%
2018110.24%-0.17%-1.76%$11,228$11,118$10,2270.24%-1.76%
2018120.05%0.87%4.10%$11,234$11,215$10,6460.05%4.10%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%0.00%
Large-cap Growth0.00%0.00%13.40%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets8.67%9.45%0.22%
Emerging Markets30.94%24.30%0.00%
Corporate Bonds40.97%31.19%0.00%
Long-Term Treasuries0.00%0.00%13.62%
Intermediate-Term Treasuries7.21%24.72%58.62%
Short-Term Treasuries12.21%10.35%14.15%
R Squared83.47%83.31%26.40%
Style analysis is based on monthly returns from Jun 2011 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
PAUIXPIMCO All Asset All Authority InstTactical Allocation3.272.29%100.00%$1,234100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
MHFIXEquinox MutualHedge Futures Strategy IManaged Futures1.70%20.00%$1418.13%
PAUIXPIMCO All Asset All Authority InstTactical Allocation3.272.29%80.00%$1,07491.87%

Asset Allocation

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
MHFIXEquinox MutualHedge Futures Strategy IManaged Futures1.70%100.00%$646100.00%

Asset Allocation

Fixed Income Maturity

Fund fundamentals data as of 02/05/2019. © 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 2Portfolio 3
Arithmetic Mean (monthly)0.16%0.15%0.10%
Arithmetic Mean (annualized)1.89%1.76%1.26%
Geometric Mean (monthly)0.13%0.13%0.07%
Geometric Mean (annualized)1.55%1.52%0.83%
Volatility (monthly)2.39%1.99%2.68%
Volatility (annualized)8.28%6.90%9.28%
Downside Deviation (monthly)1.63%1.39%1.74%
Max. Drawdown-20.76%-14.53%-13.91%
US Market Correlation0.550.51-0.06
Beta(*)0.380.29-0.04
Alpha (annualized)-2.14%-1.33%1.72%
R230.15%25.57%0.33%
Sharpe Ratio0.180.200.09
Sortino Ratio0.260.280.14
Treynor Ratio (%)3.944.70-19.56
Calmar Ratio0.760.60-0.01
Active Return-8.76%-8.78%-9.48%
Tracking Error10.15%10.36%15.56%
Information Ratio-0.86-0.85-0.61
Skewness0.01-0.250.29
Excess Kurtosis0.920.10-0.27
Historical Value-at-Risk (5%)-4.04%-3.15%-4.04%
Analytical Value-at-Risk (5%)-3.78%-3.13%-4.30%
Conditional Value-at-Risk (5%)-4.89%-4.21%-4.71%
Upside Capture Ratio (%)32.6027.084.40
Downside Capture Ratio (%)52.9642.461.96
Sustainable Withdrawal Rate12.75%12.73%12.27%
Positive Periods54 out of 91 (59.34%)53 out of 91 (58.24%)46 out of 91 (50.55%)
Gain/Loss Ratio0.810.861.05
* 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
1May 2013Feb 20162 years 10 monthsAug 20171 year 6 months4 years 4 months-20.76%
2Feb 2018Oct 20189 months-8.06%
3Aug 2011Sep 20112 monthsJan 20124 months6 months-7.89%
4May 2012May 20121 monthJul 20122 months3 months-4.28%
5Mar 2012Mar 20121 monthApr 20121 month2 months-0.86%
6Feb 2013Mar 20132 monthsApr 20131 month3 months-0.83%
7Jun 2011Jun 20111 monthJul 20111 month2 months-0.58%
8Sep 2017Sep 20171 monthOct 20171 month2 months-0.23%
9Nov 2017Nov 20171 monthDec 20171 month2 months-0.11%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Dec 20152 years 8 monthsApr 20171 year 4 months4 years-14.53%
2Feb 2018Nov 201810 months-8.31%
3Aug 2011Sep 20112 monthsJan 20124 months6 months-5.73%
4Mar 2012May 20123 monthsJul 20122 months5 months-2.89%
5Jun 2017Jun 20171 monthJul 20171 month2 months-1.14%
6Jun 2011Jun 20111 monthJul 20111 month2 months-1.07%
7Nov 2017Nov 20171 monthDec 20171 month2 months-0.81%
8Sep 2017Sep 20171 monthOct 20171 month2 months-0.78%
9Feb 2013Mar 20132 monthsApr 20131 month3 months-0.74%
10Oct 2012Oct 20121 monthNov 20121 month2 months-0.34%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2012Aug 20131 year 3 monthsNov 20141 year 3 months2 years 6 months-13.91%
2Mar 2016Nov 20182 years 9 months-12.62%
3Apr 2015Aug 20155 monthsJan 20165 months10 months-6.91%
4Oct 2011Mar 20126 monthsMay 20122 months8 months-4.74%
5Jun 2011Jun 20111 monthJul 20111 month2 months-3.01%
6Dec 2014Dec 20141 monthJan 20151 month2 months-0.30%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PAUIXPIMCO All Asset All Authority Inst1.55%8.28%17.66%-11.73%-20.76%0.180.260.55
MHFIXEquinox MutualHedge Futures Strategy I0.83%9.28%10.09%-4.11%-13.91%0.090.14-0.06

Monthly Correlations

Correlations for the portfolio assets
TickerNamePAUIXMHFIXPortfolio 1Portfolio 2Portfolio 3
PAUIXPIMCO All Asset All Authority Inst-0.041.000.960.04
MHFIXEquinox MutualHedge Futures Strategy I0.04-0.040.301.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PAUIXPIMCO All Asset All Authority Inst$1,234$1,074
MHFIXEquinox MutualHedge Futures Strategy I$141$646

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PAUIXPIMCO All Asset All Authority Inst100.00%91.87%
MHFIXEquinox MutualHedge Futures Strategy I8.13%100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year2.54%17.66%-11.73%2.21%13.39%-8.78%0.93%10.09%-4.11%
3 years1.14%6.15%-6.60%1.45%4.97%-4.60%2.21%5.83%-0.07%
5 years1.04%1.75%0.61%1.39%1.95%1.11%2.19%2.52%1.98%
7 years1.97%1.97%1.97%1.87%1.87%1.87%0.81%0.81%0.81%
Result statistics are based on annualized rolling returns over full calendar year periods