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 2016 - Aug 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
QMOM Alpha Architect US Quantitative Momt ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,930 9.46% 16.94%29.82%-11.75%-25.76% 0.550.820.83
Vanguard 500 Index Investor$10,000$15,359 12.42% 11.97%21.67%-4.52%-13.55% 0.941.421.00
   
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
  • The annual results for 2019 are based on full calendar months from January to August
  • 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
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include monthly 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
YearInflationReturnBalanceAlpha Architect US Quantitative Momt ETF (QMOM)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20162.07%4.88%11.82%$10,488$11,1824.88%
20172.11%15.92%21.67%$12,158$13,60515.92%
20181.91%-11.75%-4.52%$10,730$12,989-11.75%
20192.12%29.82%18.25%$13,930$15,35929.82%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceAlpha Architect US Quantitative Momt ETF (QMOM)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20161-7.99%-4.98%$9,201$9,502-7.99%
201620.30%-0.15%$9,228$9,4890.30%
201633.70%6.78%$9,569$10,1313.70%
201640.53%0.37%$9,620$10,1690.53%
201652.99%1.78%$9,908$10,3512.99%
20166-1.13%0.25%$9,796$10,376-1.13%
201676.11%3.68%$10,395$10,7586.11%
20168-1.70%0.13%$10,218$10,772-1.70%
201692.10%0.01%$10,433$10,7732.10%
201610-3.29%-1.83%$10,089$10,575-3.29%
2016115.13%3.70%$10,607$10,9665.13%
201612-1.12%1.96%$10,488$11,182-1.12%
201713.40%1.88%$10,845$11,3923.40%
201721.76%3.96%$11,036$11,8441.76%
20173-1.57%0.10%$10,862$11,856-1.57%
20174-0.24%1.02%$10,836$11,976-0.24%
20175-2.59%1.39%$10,556$12,143-2.59%
20176-0.25%0.61%$10,529$12,217-0.25%
201775.25%2.04%$11,081$12,4675.25%
20178-0.27%0.29%$11,052$12,504-0.27%
201794.53%2.06%$11,552$12,7614.53%
2017103.50%2.32%$11,957$13,0573.50%
2017113.70%3.06%$12,399$13,4563.70%
201712-1.94%1.10%$12,158$13,605-1.94%
201817.12%5.71%$13,024$14,3827.12%
20182-2.25%-3.69%$12,731$13,850-2.25%
20183-0.10%-2.56%$12,718$13,496-0.10%
20184-2.27%0.37%$12,429$13,547-2.27%
201857.17%2.39%$13,321$13,8717.17%
20186-2.07%0.61%$13,045$13,955-2.07%
201871.08%3.71%$13,185$14,4731.08%
201889.21%3.25%$14,400$14,9439.21%
201890.36%0.55%$14,452$15,0250.36%
201810-16.24%-6.85%$12,106$13,996-16.24%
201811-3.34%2.03%$11,702$14,280-3.34%
201812-8.31%-9.04%$10,730$12,989-8.31%
2019112.08%8.00%$12,026$14,02812.08%
201923.55%3.20%$12,452$14,4773.55%
201930.71%1.94%$12,540$14,7580.71%
201943.26%4.04%$12,949$15,3543.26%
20195-2.66%-6.36%$12,605$14,377-2.66%
201965.81%7.03%$13,338$15,3885.81%
201975.55%1.43%$14,078$15,6075.55%
20198-1.05%-1.59%$13,930$15,359-1.05%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value0.00%46.09%
Large-cap Growth57.07%52.99%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.92%
Small-cap Value0.00%0.00%
Small-cap Growth42.93%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared75.31%99.97%
Style analysis is based on monthly returns from Jan 2016 to Aug 2019 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
QMOMAlpha Architect US Quantitative Momt ETFMid-Cap Growth0.49%100.00%$3,930100.00%

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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.88%1.04%
Arithmetic Mean (annualized)11.03%13.20%
Geometric Mean (monthly)0.76%0.98%
Geometric Mean (annualized)9.46%12.42%
Volatility (monthly)4.89%3.46%
Volatility (annualized)16.94%11.97%
Downside Deviation (monthly)3.23%2.24%
Max. Drawdown-25.76%-13.55%
US Market Correlation0.831.00
Beta(*)1.151.00
Alpha (annualized)-3.81%0.00%
R265.83%100.00%
Sharpe Ratio0.550.94
Sortino Ratio0.821.42
Treynor Ratio (%)8.1211.28
Calmar Ratio0.420.93
Active Return-2.96%N/A
Tracking Error10.06%N/A
Information Ratio-0.29N/A
Skewness-0.77-0.80
Excess Kurtosis2.721.45
Historical Value-at-Risk (5%)-8.23%-6.73%
Analytical Value-at-Risk (5%)-7.17%-4.64%
Conditional Value-at-Risk (5%)-12.27%-7.94%
Upside Capture Ratio (%)94.44100.00
Downside Capture Ratio (%)114.04100.00
Safe Withdrawal Rate35.46%40.05%
Perpetual Withdrawal Rate8.00%10.95%
Positive Periods24 out of 44 (54.55%)35 out of 44 (79.55%)
Gain/Loss Ratio1.360.57
* Vanguard 500 Index Investor 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
1Oct 2018Dec 20183 months-25.76%
2Jan 2016Jan 20161 monthJul 20166 months7 months-7.99%
3Mar 2017Jun 20174 monthsJul 20171 month5 months-4.60%
4Feb 2018Apr 20183 monthsMay 20181 month4 months-4.57%
5Oct 2016Oct 20161 monthNov 20161 month2 months-3.29%
6Jun 2018Jun 20181 monthAug 20182 months3 months-2.07%
7Dec 2017Dec 20171 monthJan 20181 month2 months-1.94%
8Aug 2016Aug 20161 monthSep 20161 month2 months-1.70%
9Dec 2016Dec 20161 monthJan 20171 month2 months-1.12%
10Aug 2017Aug 20171 monthSep 20171 month2 months-0.27%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
2May 2019May 20191 monthJun 20191 month2 months-6.36%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
4Jan 2016Feb 20162 monthsMar 20161 month3 months-5.11%
5Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
6Aug 2019Aug 20191 month-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QMOMAlpha Architect US Quantitative Momt ETF9.46%16.94%29.82%-11.75%-25.76%0.550.820.83

Annual Asset Returns