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 (Apr 2019 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FOVL iShares Focused Value Factor ETF 100.00%
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Portfolio 2
Ticker Name Allocation
QVAL Alpha Architect US Quantitative Val ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VFVA Vanguard US Value Factor ETF 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$9,298 -4.08% 32.84%7.16%-13.23%-40.00% 0.010.010.88
Portfolio 2$10,000$10,156 0.89% 34.30%7.93%-5.90%-40.23% 0.170.220.94
Portfolio 3$10,000$11,307 7.27% 34.62%10.51%2.32%-39.23% 0.340.480.95
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 134.23%-13.23%-4.08%
Portfolio 215.60%-5.90%0.89%
Portfolio 327.31%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
YearInflationPortfolio 1Portfolio 2Portfolio 3iShares Focused Value Factor ETF (FOVL)Alpha Architect US Quantitative Val ETF (QVAL)Vanguard US Value Factor ETF (VFVA)
ReturnBalanceReturnBalanceReturnBalance
20191.09%7.16%$10,7167.93%$10,79310.51%$11,0517.16%7.93%10.51%
20201.36%-13.23%$9,298-5.90%$10,1562.32%$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
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturniShares Focused Value Factor ETF (FOVL)Alpha Architect US Quantitative Val ETF (QVAL)Vanguard US Value Factor ETF (VFVA)
201945.50%4.34%5.52%5.50%4.34%5.52%
20195-9.14%-13.99%-11.54%-9.14%-13.99%-11.54%
201966.79%9.49%8.21%6.79%9.49%8.21%
201971.80%1.37%0.78%1.80%1.37%0.78%
20198-7.78%-7.52%-7.22%-7.78%-7.52%-7.22%
201996.36%6.45%7.05%6.36%6.45%7.05%
201910-0.37%5.20%1.09%-0.37%5.20%1.09%
2019113.90%3.23%3.44%3.90%3.23%3.44%
2019121.27%1.36%4.54%1.27%1.36%4.54%
20201-5.45%-6.34%-6.69%-5.45%-6.34%-6.69%
20202-11.28%-11.34%-11.54%-11.28%-11.34%-11.54%
20203-28.46%-28.02%-26.38%-28.46%-28.02%-26.38%
2020410.55%16.12%18.91%10.55%16.12%18.91%
20205-0.75%4.56%3.54%-0.75%4.56%3.54%
202061.10%2.48%2.38%1.10%2.48%2.38%
20207-2.31%4.19%3.29%-2.31%4.19%3.29%
202083.82%4.24%5.24%3.82%4.24%5.24%
20209-4.24%0.77%-3.47%-4.24%0.77%-3.47%
2020104.94%-3.02%1.78%4.94%-3.02%1.78%
20201116.86%14.98%17.70%16.86%14.98%17.70%
2020129.45%3.67%6.27%9.45%3.67%6.27%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
FOVLiShares Focused Value Factor ETFMid-Cap Value100.00%2.88%0.25%15.24-$702100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
QVALAlpha Architect US Quantitative Val ETFMid-Cap Value100.00%1.07%0.49%12.30$156100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFVAVanguard US Value Factor ETFMid-Cap Value100.00%2.05%0.14%12.40$1,307100.00%

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
MetricPortfolio 1Portfolio 2Portfolio 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 Correlation0.880.940.95
Beta(*)1.301.461.49
Alpha (annualized)-26.08%-23.86%-18.38%
R276.96%88.47%90.36%
Sharpe Ratio0.010.170.34
Sortino Ratio0.010.220.48
Treynor Ratio (%)0.274.028.03
Active Return-24.54%-19.58%-13.19%
Tracking Error17.14%15.48%15.26%
Information Ratio-1.43-1.27-0.86
Skewness-1.22-1.20-0.81
Excess Kurtosis3.192.481.99
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 (%)83.99113.49123.38
Downside Capture Ratio (%)165.65181.90171.68
Safe Withdrawal Rate48.89%51.40%54.92%
Perpetual Withdrawal Rate0.00%0.00%4.81%
Positive Periods12 out of 21 (57.14%)15 out of 21 (71.43%)15 out of 21 (71.43%)
Gain/Loss Ratio0.780.470.54
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-40.00%
2May 2019May 20191 monthNov 20196 months7 months-9.14%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-40.23%
2May 2019May 20191 monthNov 20196 months7 months-13.99%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsDec 20209 months1 year-39.23%
2May 2019May 20191 monthNov 20196 months7 months-11.54%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FOVLiShares Focused Value Factor ETF-4.08%32.84%7.16%-13.23%-40.00%0.010.010.88
QVALAlpha Architect US Quantitative Val ETF0.89%34.30%7.93%-5.90%-40.23%0.170.220.94
VFVAVanguard US Value Factor ETF7.27%34.62%10.51%2.32%-39.23%0.340.480.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameFOVLQVALVFVAPortfolio 1Portfolio 2Portfolio 3
FOVLiShares Focused Value Factor ETF1.000.920.961.000.920.96
QVALAlpha Architect US Quantitative Val ETF0.921.000.970.921.000.97
VFVAVanguard US Value Factor ETF0.960.971.000.960.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FOVLiShares Focused Value Factor ETF-$702
QVALAlpha Architect US Quantitative Val ETF$156
VFVAVanguard US Value Factor ETF$1,307

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FOVLiShares Focused Value Factor ETF100.00%
QVALAlpha Architect US Quantitative Val ETF100.00%
VFVAVanguard US Value Factor ETF100.00%

Annual Asset Returns