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 Analysis Results (Aug 2013 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
QUAL iShares MSCI USA Quality Factor ETF 100.00%
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Portfolio 2
Ticker Name Allocation
MTUM iShares MSCI USA Momentum Factor ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 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$22,848 12.07% 13.35%33.89%-5.68%-19.34% 0.861.370.98
Portfolio 2$10,000$28,430 15.50% 13.79%37.50%-1.66%-17.90% 1.061.760.91
Portfolio 3$10,000$21,741 11.31% 14.02%30.65%-5.26%-20.89% 0.781.191.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
Portfolio 10.82%1.40%8.92%10.33%11.04%12.07%
Portfolio 20.91%13.47%19.20%13.49%15.53%15.50%
Portfolio 31.12%3.15%10.09%9.94%11.37%11.31%
Trailing returns are for full months ending in October 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 2013 are based on monthly returns from August to December
  • The annual results for 2020 are based on monthly returns from January to October
  • 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
YearInflationReturnBalanceiShares MSCI USA Quality Factor ETF (QUAL)iShares MSCI USA Momentum Factor ETF (MTUM)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2013-0.23%13.52%11.07%10.86%$11,352$11,107$11,08613.52%11.07%10.86%
20140.76%11.62%14.61%12.43%$12,671$12,730$12,46411.62%14.61%12.43%
20150.73%5.46%8.93%0.29%$13,363$13,867$12,5005.46%8.93%0.29%
20162.07%9.21%5.00%12.53%$14,593$14,560$14,0679.21%5.00%12.53%
20172.11%22.27%37.50%21.05%$17,843$20,020$17,02922.27%37.50%21.05%
20181.91%-5.68%-1.66%-5.26%$16,829$19,688$16,133-5.68%-1.66%-5.26%
20192.29%33.89%27.25%30.65%$22,533$25,054$21,07833.89%27.25%30.65%
20201.29%1.40%13.47%3.15%$22,848$28,430$21,7411.40%13.47%3.15%
Annual returns for 2013 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares MSCI USA Quality Factor ETF (QUAL)iShares MSCI USA Momentum Factor ETF (MTUM)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20138-2.08%-3.56%-2.82%$9,792$9,644$9,718-2.08%-3.56%-2.82%
201393.81%3.01%3.66%$10,165$9,934$10,0743.81%3.01%3.66%
2013104.86%5.57%4.22%$10,660$10,487$10,4994.86%5.57%4.22%
2013114.11%3.15%2.88%$11,098$10,817$10,8024.11%3.15%2.88%
2013122.29%2.68%2.63%$11,352$11,107$11,0862.29%2.68%2.63%
20141-4.19%-2.32%-3.11%$10,876$10,850$10,742-4.19%-2.32%-3.11%
201424.89%6.72%4.73%$11,408$11,579$11,2504.89%6.72%4.73%
20143-0.47%-3.42%0.51%$11,355$11,183$11,308-0.47%-3.42%0.51%
201440.75%-0.99%0.06%$11,439$11,072$11,3150.75%-0.99%0.06%
201452.33%4.07%2.17%$11,705$11,522$11,5602.33%4.07%2.17%
201460.59%2.07%2.54%$11,774$11,761$11,8540.59%2.07%2.54%
20147-0.76%-1.04%-1.98%$11,685$11,638$11,619-0.76%-1.04%-1.98%
201484.35%4.60%4.18%$12,193$12,173$12,1054.35%4.60%4.18%
20149-0.77%-0.67%-2.14%$12,098$12,092$11,847-0.77%-0.67%-2.14%
2014102.67%2.30%2.74%$12,421$12,370$12,1712.67%2.30%2.74%
2014112.29%3.75%2.41%$12,705$12,834$12,4652.29%3.75%2.41%
201412-0.27%-0.81%-0.01%$12,671$12,730$12,464-0.27%-0.81%-0.01%
20151-1.73%-0.69%-2.77%$12,451$12,642$12,118-1.73%-0.69%-2.77%
201526.02%5.43%5.76%$13,201$13,329$12,8176.02%5.43%5.76%
20153-1.56%-1.05%-1.04%$12,994$13,189$12,684-1.56%-1.05%-1.04%
201540.17%-1.04%0.42%$13,016$13,052$12,7370.17%-1.04%0.42%
201551.52%3.36%1.39%$13,215$13,491$12,9141.52%3.36%1.39%
20156-1.84%-0.34%-1.71%$12,971$13,445$12,693-1.84%-0.34%-1.71%
201572.88%3.79%1.63%$13,344$13,955$12,9012.88%3.79%1.63%
20158-5.41%-6.00%-6.03%$12,622$13,118$12,123-5.41%-6.00%-6.03%
20159-1.30%-1.89%-2.93%$12,458$12,870$11,768-1.30%-1.89%-2.93%
2015108.65%7.32%7.84%$13,536$13,812$12,6918.65%7.32%7.84%
2015110.44%0.53%0.54%$13,596$13,885$12,7590.44%0.53%0.54%
201512-1.72%-0.13%-2.03%$13,363$13,867$12,500-1.72%-0.13%-2.03%
20161-4.62%-3.81%-5.67%$12,746$13,339$11,791-4.62%-3.81%-5.67%
201620.60%-1.28%-0.04%$12,822$13,168$11,7870.60%-1.28%-0.04%
201636.43%5.31%7.01%$13,646$13,867$12,6136.43%5.31%7.01%
20164-0.40%-0.63%0.63%$13,592$13,780$12,692-0.40%-0.63%0.63%
201651.07%2.45%1.79%$13,738$14,118$12,9201.07%2.45%1.79%
201660.48%2.95%0.23%$13,804$14,534$12,9490.48%2.95%0.23%
201673.05%2.68%3.95%$14,225$14,924$13,4603.05%2.68%3.95%
20168-0.22%-1.49%0.26%$14,193$14,702$13,495-0.22%-1.49%0.26%
20169-0.10%0.50%0.15%$14,179$14,775$13,515-0.10%0.50%0.15%
201610-2.04%-1.94%-2.21%$13,889$14,488$13,216-2.04%-1.94%-2.21%
2016113.01%-0.59%4.44%$14,307$14,402$13,8023.01%-0.59%4.44%
2016122.00%1.10%1.92%$14,593$14,560$14,0672.00%1.10%1.92%
201711.16%3.15%1.91%$14,762$15,019$14,3361.16%3.15%1.91%
201724.69%3.80%3.71%$15,454$15,589$14,8684.69%3.80%3.71%
20173-0.04%2.05%0.07%$15,448$15,909$14,878-0.04%2.05%0.07%
201740.62%2.58%1.05%$15,543$16,319$15,0340.62%2.58%1.05%
201751.49%4.77%1.01%$15,774$17,096$15,1851.49%4.77%1.01%
201760.57%0.35%0.92%$15,864$17,156$15,3250.57%0.35%0.92%
201771.02%3.48%1.87%$16,026$17,752$15,6111.02%3.48%1.87%
201780.47%1.47%0.15%$16,101$18,012$15,6340.47%1.47%0.15%
201792.65%2.81%2.45%$16,528$18,518$16,0172.65%2.81%2.45%
2017102.92%5.04%2.16%$17,010$19,451$16,3632.92%5.04%2.16%
2017113.60%2.80%3.04%$17,623$19,995$16,8613.60%2.80%3.04%
2017121.25%0.12%0.99%$17,843$20,020$17,0291.25%0.12%0.99%
201814.57%8.22%5.31%$18,658$21,666$17,9324.57%8.22%5.31%
20182-2.91%-1.46%-3.72%$18,116$21,349$17,266-2.91%-1.46%-3.72%
20183-1.29%-3.44%-1.99%$17,883$20,614$16,922-1.29%-3.44%-1.99%
20184-1.31%0.50%0.38%$17,650$20,717$16,986-1.31%0.50%0.38%
201852.70%3.45%2.79%$18,125$21,431$17,4602.70%3.45%2.79%
20186-0.00%-0.07%0.68%$18,125$21,416$17,578-0.00%-0.07%0.68%
201873.71%1.76%3.34%$18,798$21,793$18,1653.71%1.76%3.34%
201883.73%5.87%3.44%$19,499$23,071$18,7903.73%5.87%3.44%
201891.07%0.92%0.16%$19,708$23,283$18,8201.07%0.92%0.16%
201810-7.57%-9.86%-7.40%$18,216$20,988$17,427-7.57%-9.86%-7.40%
2018110.92%1.42%2.06%$18,384$21,286$17,7860.92%1.42%2.06%
201812-8.46%-7.51%-9.29%$16,829$19,688$16,133-8.46%-7.51%-9.29%
201918.25%6.46%8.59%$18,216$20,959$17,5198.25%6.46%8.59%
201924.36%3.39%3.50%$19,010$21,670$18,1324.36%3.39%3.50%
201932.53%2.12%1.44%$19,492$22,129$18,3922.53%2.12%1.44%
201943.79%2.26%3.98%$20,231$22,628$19,1243.79%2.26%3.98%
20195-6.58%-2.20%-6.45%$18,900$22,131$17,891-6.58%-2.20%-6.45%
201967.07%6.12%6.97%$20,236$23,486$19,1387.07%6.12%6.97%
201971.38%1.80%1.44%$20,515$23,908$19,4131.38%1.80%1.44%
20198-1.78%0.27%-2.03%$20,150$23,971$19,020-1.78%0.27%-2.03%
201991.85%-1.14%1.70%$20,524$23,699$19,3441.85%-1.14%1.70%
2019102.21%0.65%2.10%$20,977$23,852$19,7492.21%0.65%2.10%
2019114.46%3.29%3.77%$21,912$24,637$20,4944.46%3.29%3.77%
2019122.83%1.69%2.85%$22,533$25,054$21,0782.83%1.69%2.85%
20201-0.68%3.74%-0.08%$22,379$25,992$21,062-0.68%3.74%-0.08%
20202-8.33%-7.19%-8.18%$20,514$24,124$19,340-8.33%-7.19%-8.18%
20203-11.40%-11.54%-13.78%$18,175$21,340$16,675-11.40%-11.54%-13.78%
2020412.28%11.70%13.25%$20,407$23,837$18,88412.28%11.70%13.25%
202055.62%5.87%5.38%$21,553$25,236$19,9005.62%5.87%5.38%
202060.18%4.32%2.28%$21,592$26,326$20,3530.18%4.32%2.28%
202074.95%7.02%5.64%$22,662$28,173$21,5014.95%7.02%5.64%
202086.86%9.48%7.18%$24,217$30,843$23,0446.86%9.48%7.18%
20209-3.14%-3.80%-3.57%$23,456$29,672$22,221-3.14%-3.80%-3.57%
202010-2.59%-4.19%-2.16%$22,848$28,430$21,741-2.59%-4.19%-2.16%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value39.81%0.00%32.74%
Large-cap Growth53.01%93.42%50.80%
Mid-cap Value0.00%0.00%5.04%
Mid-cap Growth4.58%0.48%4.73%
Small-cap Value0.00%0.00%3.18%
Small-cap Growth0.00%0.00%3.48%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.00%0.00%0.03%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%6.10%0.00%
Intermediate-Term Treasuries2.60%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared97.22%92.47%99.81%
Style analysis is based on monthly returns from Aug 2013 to Oct 2020 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
QUALiShares MSCI USA Quality Factor ETFLarge Blend100.00%0.15%25.13$12,848100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
MTUMiShares MSCI USA Momentum Factor ETFLarge Growth100.00%0.15%32.55$18,430100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%25.00$11,741100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2020. (c) 2020 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)1.03%1.29%0.98%
Arithmetic Mean (annualized)13.06%16.58%12.39%
Geometric Mean (monthly)0.95%1.21%0.90%
Geometric Mean (annualized)12.07%15.50%11.31%
Volatility (monthly)3.85%3.98%4.05%
Volatility (annualized)13.35%13.79%14.02%
Downside Deviation (monthly)2.39%2.37%2.63%
Max. Drawdown-19.34%-17.90%-20.89%
US Market Correlation0.980.911.00
Beta(*)0.940.901.00
Alpha (annualized)1.36%4.93%0.00%
R296.32%82.84%100.00%
Sharpe Ratio0.861.060.78
Sortino Ratio1.371.761.19
Treynor Ratio (%)12.3516.3710.96
Calmar Ratio0.530.750.48
Active Return0.76%4.20%0.00%
Tracking Error2.72%5.90%0.00%
Information Ratio0.280.710.39
Skewness-0.43-0.51-0.60
Excess Kurtosis1.501.212.27
Historical Value-at-Risk (5%)-7.17%-6.71%-7.02%
Analytical Value-at-Risk (5%)-5.31%-5.26%-5.68%
Conditional Value-at-Risk (5%)-8.94%-9.02%-9.66%
Upside Capture Ratio (%)95.93103.72100.00
Downside Capture Ratio (%)88.9579.23100.00
Safe Withdrawal Rate20.59%21.55%19.77%
Perpetual Withdrawal Rate9.75%12.53%9.11%
Positive Periods56 out of 87 (64.37%)56 out of 87 (64.37%)62 out of 87 (71.26%)
Gain/Loss Ratio1.131.270.77
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.34%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.61%
3Aug 2015Sep 20152 monthsOct 20151 month3 months-6.64%
4May 2019May 20191 monthJun 20191 month2 months-6.58%
5Dec 2015Jan 20162 monthsMar 20162 months4 months-6.25%
6Sep 2020Oct 20202 months-5.66%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-5.41%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-4.19%
9Aug 2016Oct 20163 monthsNov 20161 month4 months-2.36%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.08%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-17.90%
2Oct 2018Dec 20183 monthsJun 20196 months9 months-15.44%
3Sep 2020Oct 20202 months-7.82%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-7.78%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-4.85%
6Mar 2014Apr 20142 monthsJun 20142 months4 months-4.38%
7Aug 2013Aug 20131 monthOct 20132 months3 months-3.56%
8Aug 2016Nov 20164 monthsJan 20172 months6 months-3.50%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.32%
10Mar 2015Apr 20152 monthsMay 20151 month3 months-2.07%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
4May 2019May 20191 monthJun 20191 month2 months-6.45%
5Sep 2020Oct 20202 months-5.65%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
10Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QUALiShares MSCI USA Quality Factor ETF12.07%13.35%33.89%-5.68%-19.34%0.861.370.98
MTUMiShares MSCI USA Momentum Factor ETF15.50%13.79%37.50%-1.66%-17.90%1.061.760.91
VTSMXVanguard Total Stock Mkt Idx Inv11.31%14.02%30.65%-5.26%-20.89%0.781.191.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameQUALMTUMVTSMXPortfolio 1Portfolio 2Portfolio 3
QUALiShares MSCI USA Quality Factor ETF1.000.910.981.000.910.98
MTUMiShares MSCI USA Momentum Factor ETF0.911.000.910.911.000.91
VTSMXVanguard Total Stock Mkt Idx Inv0.980.911.000.980.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
QUALiShares MSCI USA Quality Factor ETF$12,848
MTUMiShares MSCI USA Momentum Factor ETF$18,430
VTSMXVanguard Total Stock Mkt Idx Inv$11,741

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
QUALiShares MSCI USA Quality Factor ETF100.00%
MTUMiShares MSCI USA Momentum Factor ETF100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.79%33.89%-5.68%15.27%37.50%-1.66%11.95%30.65%-5.26%
3 years11.10%15.58%7.99%14.49%19.83%9.44%10.63%14.43%8.26%
5 years10.20%12.20%8.19%13.32%14.50%12.13%9.44%11.08%7.79%
Result statistics are based on annualized rolling returns over full calendar year periods