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 Assets 
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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%
Save portfolio »
Portfolio 2
Ticker Name Allocation
MHFIX AXS Managed Futures Strategy I 20.00%
PAUIX PIMCO All Asset All Authority Inst 80.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
MHFIX AXS Managed Futures Strategy I 100.00%
Save portfolio »

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% 0.170.250.55
Portfolio 2$10,000$11,215 1.52% 6.90%13.39%-8.78%-14.53% 0.190.270.51
Portfolio 3$10,000$10,646 0.83% 9.28%10.09%-4.11%-13.91% 0.090.13-0.06
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 1-1.86%-6.14%-6.14%6.15%0.61%1.55%7.14%7.51%
Portfolio 2-1.57%-4.98%-4.98%4.97%1.11%1.52%6.28%6.41%
Portfolio 3-0.49%-0.37%-0.37%-0.07%2.52%0.83%10.25%10.06%
Trailing return and volatility are as of last full calendar quarter ending December 2018
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 2011 are based on monthly returns 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 (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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3PIMCO All Asset All Authority Inst (PAUIX)AXS Managed Futures Strategy I (MHFIX)
ReturnBalanceReturnBalanceReturnBalance
2011-0.13%-2.03%$9,797-1.51%$9,8490.59%$10,059-2.03%0.59%
20121.74%17.66%$11,52713.39%$11,168-3.71%$9,68617.66%-3.71%
20131.50%-5.47%$10,896-4.96%$10,613-2.93%$9,402-5.47%-2.93%
20140.76%-2.35%$10,6410.14%$10,62810.09%$10,351-2.35%10.09%
20150.73%-11.73%$9,392-8.78%$9,6963.06%$10,668-11.73%3.06%
20162.07%13.73%$10,68211.88%$10,8474.46%$11,14313.73%4.46%
20172.11%12.04%$11,9688.81%$11,803-4.11%$10,68512.04%-4.11%
20181.91%-6.14%$11,234-4.98%$11,215-0.37%$10,646-6.14%-0.37%
Annual return for 2011 is from 06/01/2011 to 12/31/2011
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3PIMCO All Asset All Authority Inst (PAUIX)AXS Managed Futures Strategy I (MHFIX)
ReturnBalanceReturnBalanceReturnBalance
20116-0.58%$9,942-1.07%$9,893-3.01%$9,699-0.58%-3.01%
201172.03%$10,1432.37%$10,1283.80%$10,0682.03%3.80%
20118-1.17%$10,024-0.52%$10,0762.12%$10,282-1.17%2.12%
20119-6.80%$9,343-5.24%$9,5480.85%$10,369-6.80%0.85%
2011106.84%$9,9824.78%$10,005-2.62%$10,0976.84%-2.62%
201111-2.50%$9,732-2.12%$9,793-0.58%$10,039-2.50%-0.58%
2011120.67%$9,7970.57%$9,8490.20%$10,0590.67%0.20%
201215.58%$10,3434.37%$10,279-0.50%$10,0095.58%-0.50%
201222.17%$10,5681.99%$10,4831.21%$10,1302.17%1.21%
20123-0.86%$10,478-1.17%$10,361-2.49%$9,878-0.86%-2.49%
201241.03%$10,5861.09%$10,4741.33%$10,0091.03%1.33%
20125-4.28%$10,133-2.80%$10,1813.63%$10,372-4.28%3.63%
201263.09%$10,4461.89%$10,373-2.92%$10,0693.09%-2.92%
201272.85%$10,7432.72%$10,6562.20%$10,2912.85%2.20%
201281.66%$10,9221.12%$10,776-1.18%$10,1701.66%-1.18%
201292.34%$11,1771.68%$10,957-1.19%$10,0492.34%-1.19%
2012100.54%$11,237-0.34%$10,921-4.32%$9,6150.54%-4.32%
2012110.98%$11,3470.85%$11,0130.21%$9,6360.98%0.21%
2012121.59%$11,5271.41%$11,1680.52%$9,6861.59%0.52%
201310.27%$11,5580.45%$11,2181.15%$9,7970.27%1.15%
20132-0.36%$11,517-0.39%$11,174-0.51%$9,747-0.36%-0.51%
20133-0.47%$11,462-0.35%$11,1340.10%$9,757-0.47%0.10%
201341.92%$11,6831.89%$11,3441.76%$9,9281.92%1.76%
20135-3.50%$11,274-3.20%$10,981-2.03%$9,726-3.50%-2.03%
20136-4.17%$10,804-4.23%$10,516-4.46%$9,292-4.17%-4.46%
201370.59%$10,8670.18%$10,535-1.41%$9,1610.59%-1.41%
20138-1.46%$10,709-1.67%$10,359-2.53%$8,929-1.46%-2.53%
201392.63%$10,9902.20%$10,5870.45%$8,9702.63%0.45%
2013101.26%$11,1291.52%$10,7472.59%$9,2021.26%2.59%
201311-1.63%$10,948-0.79%$10,6632.63%$9,444-1.63%2.63%
201312-0.47%$10,896-0.46%$10,613-0.44%$9,402-0.47%-0.44%
20141-0.71%$10,819-0.87%$10,521-1.51%$9,260-0.71%-1.51%
201422.03%$11,0391.80%$10,7110.87%$9,3412.03%0.87%
201430.92%$11,1410.29%$10,742-2.27%$9,1290.92%-2.27%
201441.19%$11,2740.88%$10,837-0.44%$9,0891.19%-0.44%
201451.67%$11,4621.73%$11,0252.00%$9,2711.67%2.00%
201461.06%$11,5830.96%$11,1310.55%$9,3211.06%0.55%
20147-0.58%$11,516-0.61%$11,062-0.76%$9,250-0.58%-0.76%
201480.68%$11,5951.23%$11,1993.61%$9,5840.68%3.61%
20149-3.95%$11,137-3.10%$10,8510.42%$9,624-3.95%0.42%
2014100.40%$11,1820.83%$10,9412.52%$9,8670.40%2.52%
201411-1.21%$11,0470.10%$10,9525.23%$10,383-1.21%5.23%
201412-3.68%$10,641-2.96%$10,628-0.30%$10,351-3.68%-0.30%
201510.66%$10,7111.77%$10,8176.24%$10,9960.66%6.24%
201521.20%$10,8391.20%$10,9471.21%$11,1301.20%1.21%
20153-2.14%$10,606-1.43%$10,7911.30%$11,275-2.14%1.30%
201543.31%$10,9572.00%$11,007-2.76%$10,9633.31%-2.76%
20155-1.71%$10,770-1.34%$10,8600.10%$10,974-1.71%0.10%
20156-1.73%$10,583-2.19%$10,622-3.96%$10,540-1.73%-3.96%
20157-2.12%$10,359-1.00%$10,5163.38%$10,896-2.12%3.38%
20158-4.32%$9,912-4.19%$10,076-3.68%$10,496-4.32%-3.68%
20159-3.94%$9,522-2.62%$9,8122.23%$10,729-3.94%2.23%
2015102.63%$9,7721.85%$9,994-0.83%$10,6402.63%-0.83%
201511-2.20%$9,557-0.71%$9,9234.60%$11,130-2.20%4.60%
201512-1.73%$9,392-2.29%$9,696-4.16%$10,668-1.73%-4.16%
20161-0.92%$9,3060.48%$9,7426.04%$11,312-0.92%6.04%
20162-0.53%$9,2570.31%$9,7733.46%$11,704-0.53%3.46%
201637.10%$9,9144.92%$10,253-2.92%$11,3637.10%-2.92%
201643.73%$10,2842.71%$10,531-1.33%$11,2113.73%-1.33%
20165-2.88%$9,988-2.52%$10,266-1.01%$11,097-2.88%-1.01%
201663.77%$10,3653.64%$10,6403.08%$11,4393.77%3.08%
201672.03%$10,5761.94%$10,8461.55%$11,6162.03%1.55%
201680.47%$10,625-0.09%$10,836-2.39%$11,3370.47%-2.39%
201691.40%$10,7740.96%$10,940-0.89%$11,2361.40%-0.89%
2016100.69%$10,8490.27%$10,970-1.57%$11,0590.69%-1.57%
201611-3.56%$10,463-3.11%$10,628-1.14%$10,933-3.56%-1.14%
2016122.09%$10,6822.06%$10,8471.92%$11,1432.09%1.92%
201712.15%$10,9111.25%$10,983-2.35%$10,8812.15%-2.35%
201721.52%$11,0761.83%$11,1833.13%$11,2221.52%3.13%
201730.84%$11,1690.90%$11,2841.17%$11,3530.84%1.17%
201740.57%$11,2330.64%$11,3560.92%$11,4580.57%0.92%
201751.14%$11,3611.05%$11,4750.69%$11,5361.14%0.69%
201760.02%$11,363-1.14%$11,345-5.90%$10,8550.02%-5.90%
201772.16%$11,6081.71%$11,539-0.24%$10,8292.16%-0.24%
201781.22%$11,7501.26%$11,6841.45%$10,9861.22%1.45%
20179-0.23%$11,723-0.78%$11,594-3.22%$10,633-0.23%-3.22%
2017100.33%$11,7621.33%$11,7485.91%$11,2610.33%5.91%
201711-0.11%$11,749-0.81%$11,653-3.84%$10,829-0.11%-3.84%
2017121.87%$11,9681.29%$11,803-1.33%$10,6851.87%-1.33%
201811.79%$12,1832.73%$12,1266.50%$11,3791.79%6.50%
20182-2.42%$11,888-2.59%$11,812-3.22%$11,012-2.42%-3.22%
201830.80%$11,9830.83%$11,9100.95%$11,1170.80%0.95%
201840.22%$12,0100.30%$11,9460.59%$11,1830.22%0.59%
20185-2.02%$11,767-2.30%$11,671-3.40%$10,803-2.02%-3.40%
20186-1.41%$11,602-0.67%$11,5922.18%$11,039-1.41%2.18%
201870.58%$11,6700.46%$11,6460.00%$11,0390.58%0.00%
20188-2.56%$11,372-2.57%$11,347-2.61%$10,750-2.56%-2.61%
201890.66%$11,4460.42%$11,394-0.49%$10,6980.66%-0.49%
201810-2.15%$11,200-2.26%$11,137-2.69%$10,410-2.15%-2.69%
2018110.24%$11,228-0.17%$11,118-1.76%$10,2270.24%-1.76%
2018120.05%$11,2340.87%$11,2154.10%$10,6460.05%4.10%

Returns Based Style Analysis

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 Markets8.67%9.45%
Emerging Markets30.94%24.30%
Corporate Bonds40.97%31.19%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries7.21%24.72%
Short-Term Treasuries12.21%10.35%
R Squared83.47%83.31%
Style analysis is based on monthly returns from June 2011 to December 2018 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioDurationContribution
SECTTMNetGrossReturnRisk
PAUIXPIMCO All Asset All Authority InstTactical Allocation100.00%10.73%12.27%1.78%1.80%5.45$1,234100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioDurationContribution
SECTTMNetGrossReturnRisk
MHFIXAXS Managed Futures Strategy ISystematic Trend20.00%1.71%1.78%$1418.13%
PAUIXPIMCO All Asset All Authority InstTactical Allocation80.00%10.73%12.27%1.78%1.80%5.45$1,07491.87%
100.00%8.58%9.82%1.77%1.80%5.45$1,215100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightExpense RatioContribution
NetGrossReturnRisk
MHFIXAXS Managed Futures Strategy ISystematic Trend100.00%1.71%1.78%$646100.00%

Asset Allocation

Fund fundamentals data as of 12/03/2021. (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)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%
Standard Deviation (monthly)2.39%1.99%2.68%
Standard Deviation (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 Ratio0.170.190.09
Sortino Ratio0.250.270.13
Treynor Ratio (%)3.794.51-18.29
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%)-3.94%-3.11%-3.90%
Analytical Value-at-Risk (5%)-3.78%-3.13%-4.30%
Conditional Value-at-Risk (5%)-4.70%-3.99%-4.56%
Upside Capture Ratio (%)32.6027.084.40
Downside Capture Ratio (%)52.9642.461.96
Safe Withdrawal Rate12.75%12.73%12.27%
Perpetual Withdrawal Rate0.13%0.11%0.00%
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%0.170.250.55
MHFIXAXS Managed Futures Strategy I0.83%9.28%10.09%-4.11%-13.91%0.090.13-0.06

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 yearNetGross
PIMCO All Asset All Authority Inst-1.86%-6.14%-6.14%6.15%0.61%1.78%1.80%
AXS Managed Futures Strategy I-0.49%-0.37%-0.37%-0.07%2.52%1.71%1.78%
Trailing returns as of last calendar quarter ending December 2018

Monthly Correlations

Correlations for the portfolio assets
TickerNamePAUIXMHFIXPortfolio 1Portfolio 2Portfolio 3
PAUIXPIMCO All Asset All Authority Inst1.000.041.000.960.04
MHFIXAXS Managed Futures Strategy I0.041.000.040.301.00

Portfolio Return Decomposition

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

Portfolio Risk Decomposition

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

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year2.56%19.65%-14.59%2.33%14.76%-10.73%1.43%23.50%-12.20%
3 years0.80%6.33%-7.02%1.30%5.11%-4.60%2.82%8.28%-2.78%
5 years1.11%2.89%-0.02%1.49%2.76%0.53%2.37%3.80%1.02%
7 years2.13%2.94%1.66%2.01%2.56%1.54%0.86%1.87%0.27%