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.

Time Period

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Initial Amount

$ .00

Cashflows

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$ .00

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Frequency

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Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

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Asset 2

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Asset 3

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Asset 4

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Asset 5

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Asset 6

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Asset 7

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Asset 8

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Asset 9

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Asset 10

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Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Apr 2019 - Dec 2020)

Note: The time period was constrained by the available data for iShares Focused Value Factor ETF (FOVL) [Apr 2019 - Dec 2020].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
FOVL	iShares Focused Value Factor ETF	100.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
QVAL	Alpha Architect US Quantitative Val ETF	100.00%
Save portfolio »

Portfolio 3
Ticker	Name	Allocation
VFVA	Vanguard US Value Factor ETF	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$9,298	-4.08%	32.84%	7.16%	-13.23%	-40.00%	0.01	0.01	0.88
Portfolio 2	$10,000	$10,156	0.89%	34.30%	7.93%	-5.90%	-40.23%	0.17	0.22	0.94
Portfolio 3	$10,000	$11,307	7.27%	34.62%	10.51%	2.32%	-39.23%	0.34	0.48	0.95

Trailing Returns

Trailing Returns
Name	3 Month	1 year	Full
Portfolio 1	34.23%	-13.23%	-4.08%
Portfolio 2	15.60%	-5.90%	0.89%
Portfolio 3	27.31%	2.32%	7.27%
Trailing annualized returns are for full months ending in December 2020 excluding portfolio cashflows.

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 2019 are based on monthly returns from April 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
Year	Inflation	Portfolio 1		Portfolio 2		Portfolio 3		iShares Focused Value Factor ETF (FOVL)	Alpha Architect US Quantitative Val ETF (QVAL)	Vanguard US Value Factor ETF (VFVA)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	iShares Focused Value Factor ETF (FOVL)	Alpha Architect US Quantitative Val ETF (QVAL)	Vanguard US Value Factor ETF (VFVA)
2019	1.09%	7.16%	$10,716	7.93%	$10,793	10.51%	$11,051	7.16%	7.93%	10.51%
2020	1.36%	-13.23%	$9,298	-5.90%	$10,156	2.32%	$11,307	-13.23%	-5.90%	2.32%
Annual return for 2019 is from 04/01/2019 to 12/31/2019

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Portfolio 3 Return	iShares Focused Value Factor ETF (FOVL)	Alpha Architect US Quantitative Val ETF (QVAL)	Vanguard US Value Factor ETF (VFVA)
2019	4	5.50%	4.34%	5.52%	5.50%	4.34%	5.52%
2019	5	-9.14%	-13.99%	-11.54%	-9.14%	-13.99%	-11.54%
2019	6	6.79%	9.49%	8.21%	6.79%	9.49%	8.21%
2019	7	1.80%	1.37%	0.78%	1.80%	1.37%	0.78%
2019	8	-7.78%	-7.52%	-7.22%	-7.78%	-7.52%	-7.22%
2019	9	6.36%	6.45%	7.05%	6.36%	6.45%	7.05%
2019	10	-0.37%	5.20%	1.09%	-0.37%	5.20%	1.09%
2019	11	3.90%	3.23%	3.44%	3.90%	3.23%	3.44%
2019	12	1.27%	1.36%	4.54%	1.27%	1.36%	4.54%
2020	1	-5.45%	-6.34%	-6.69%	-5.45%	-6.34%	-6.69%
2020	2	-11.28%	-11.34%	-11.54%	-11.28%	-11.34%	-11.54%
2020	3	-28.46%	-28.02%	-26.38%	-28.46%	-28.02%	-26.38%
2020	4	10.55%	16.12%	18.91%	10.55%	16.12%	18.91%
2020	5	-0.75%	4.56%	3.54%	-0.75%	4.56%	3.54%
2020	6	1.10%	2.48%	2.38%	1.10%	2.48%	2.38%
2020	7	-2.31%	4.19%	3.29%	-2.31%	4.19%	3.29%
2020	8	3.82%	4.24%	5.24%	3.82%	4.24%	5.24%
2020	9	-4.24%	0.77%	-3.47%	-4.24%	0.77%	-3.47%
2020	10	4.94%	-3.02%	1.78%	4.94%	-3.02%	1.78%
2020	11	16.86%	14.98%	17.70%	16.86%	14.98%	17.70%
2020	12	9.45%	3.67%	6.27%	9.45%	3.67%	6.27%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
FOVL	iShares Focused Value Factor ETF	Mid-Cap Value	100.00%	2.88%	0.25%	15.24	-$702	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
QVAL	Alpha Architect US Quantitative Val ETF	Mid-Cap Value	100.00%	1.07%	0.49%	12.30	$156	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
VFVA	Vanguard US Value Factor ETF	Mid-Cap Value	100.00%	2.05%	0.14%	12.40	$1,307	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/26/2021. (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
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	0.12%	0.58%	1.09%
Arithmetic Mean (annualized)	1.47%	7.21%	13.89%
Geometric Mean (monthly)	-0.35%	0.07%	0.59%
Geometric Mean (annualized)	-4.08%	0.89%	7.27%
Volatility (monthly)	9.48%	9.90%	9.99%
Volatility (annualized)	32.84%	34.30%	34.62%
Downside Deviation (monthly)	7.35%	7.61%	7.14%
Max. Drawdown	-40.00%	-40.23%	-39.23%
US Market Correlation	0.88	0.94	0.95
Beta^(*)	1.30	1.46	1.49
Alpha (annualized)	-26.08%	-23.86%	-18.38%
R²	76.96%	88.47%	90.36%
Sharpe Ratio	0.01	0.17	0.34
Sortino Ratio	0.01	0.22	0.48
Treynor Ratio (%)	0.27	4.02	8.03
Active Return	-24.54%	-19.58%	-13.19%
Tracking Error	17.14%	15.48%	15.26%
Information Ratio	-1.43	-1.27	-0.86
Skewness	-1.22	-1.20	-0.81
Excess Kurtosis	3.19	2.48	1.99
Historical Value-at-Risk (5%)	-11.28%	-13.99%	-11.54%
Analytical Value-at-Risk (5%)	-15.47%	-15.71%	-15.35%
Conditional Value-at-Risk (5%)	-28.46%	-28.02%	-26.38%
Upside Capture Ratio (%)	83.99	113.49	123.38
Downside Capture Ratio (%)	165.65	181.90	171.68
Safe Withdrawal Rate	48.89%	51.40%	54.92%
Perpetual Withdrawal Rate	0.00%	0.00%	4.81%
Positive Periods	12 out of 21 (57.14%)	15 out of 21 (71.43%)	15 out of 21 (71.43%)
Gain/Loss Ratio	0.78	0.47	0.54
^* 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
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months				-40.00%
2	May 2019	May 2019	1 month	Nov 2019	6 months	7 months	-9.14%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months				-40.23%
2	May 2019	May 2019	1 month	Nov 2019	6 months	7 months	-13.99%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Dec 2020	9 months	1 year	-39.23%
2	May 2019	May 2019	1 month	Nov 2019	6 months	7 months	-11.54%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
FOVL	iShares Focused Value Factor ETF	-4.08%	32.84%	7.16%	-13.23%	-40.00%	0.01	0.01	0.88
QVAL	Alpha Architect US Quantitative Val ETF	0.89%	34.30%	7.93%	-5.90%	-40.23%	0.17	0.22	0.94
VFVA	Vanguard US Value Factor ETF	7.27%	34.62%	10.51%	2.32%	-39.23%	0.34	0.48	0.95

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	FOVL	QVAL	VFVA	Portfolio 1	Portfolio 2	Portfolio 3
FOVL	iShares Focused Value Factor ETF	1.00	0.92	0.96	1.00	0.92	0.96
QVAL	Alpha Architect US Quantitative Val ETF	0.92	1.00	0.97	0.92	1.00	0.97
VFVA	Vanguard US Value Factor ETF	0.96	0.97	1.00	0.96	0.97	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
FOVL	iShares Focused Value Factor ETF	-$702
QVAL	Alpha Architect US Quantitative Val ETF		$156
VFVA	Vanguard US Value Factor ETF			$1,307

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
FOVL	iShares Focused Value Factor ETF	100.00%
QVAL	Alpha Architect US Quantitative Val ETF		100.00%
VFVA	Vanguard US Value Factor ETF			100.00%

Backtest Portfolio Asset Allocation

Portfolio Analysis Results (Apr 2019 - Dec 2020)

Portfolio Allocations

Portfolio Returns

Trailing Returns

Holdings Based Style Analysis for Portfolio 1

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Asset Allocation

Equity Market Capitalization

Equity Sectors

Drawdowns for Portfolio 1

Drawdowns for Portfolio 2

Drawdowns for Portfolio 3

Portfolio Assets

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns