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 (Mar 2013 - Oct 2020)

Portfolio Allocations

IJR
Ticker Name Allocation
IJR iShares Core S&P Small-Cap ETF 100.00%
Save portfolio »
XSLV
Ticker Name Allocation
XSLV Invesco S&P SmallCap Low Volatility ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJR$10,000$19,113 8.82% 18.06%31.69%-13.04%-36.12% 0.520.730.90
XSLV$10,000$15,980 6.31% 16.23%31.44%-31.96%-33.79% 0.420.550.78
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
IJR1.57%-13.04%-7.73%0.21%6.50%8.82%
XSLV-1.28%-31.96%-30.39%-7.55%2.22%6.31%
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 March 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 Core S&P Small-Cap ETF (IJR)Invesco S&P SmallCap Low Volatility ETF (XSLV)
IJRXSLVIJRXSLV
20130.38%31.69%25.04%$13,169$12,50431.69%25.04%
20140.76%5.85%10.78%$13,939$13,8535.85%10.78%
20150.73%-2.07%2.71%$13,650$14,228-2.07%2.71%
20162.07%26.61%31.44%$17,282$18,70126.61%31.44%
20172.11%13.15%8.56%$19,555$20,30213.15%8.56%
20181.91%-8.49%-5.37%$17,894$19,211-8.49%-5.37%
20192.29%22.82%22.26%$21,978$23,48822.82%22.26%
20201.29%-13.04%-31.96%$19,113$15,980-13.04%-31.96%
Annual returns for 2013 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P Small-Cap ETF (IJR)Invesco S&P SmallCap Low Volatility ETF (XSLV)
IJRXSLVIJRXSLV
201334.15%4.92%$10,415$10,4924.15%4.92%
20134-0.16%0.60%$10,398$10,555-0.16%0.60%
201354.33%1.16%$10,848$10,6784.33%1.16%
20136-0.11%0.70%$10,836$10,752-0.11%0.70%
201376.85%7.21%$11,579$11,5286.85%7.21%
20138-2.33%-5.69%$11,309$10,871-2.33%-5.69%
201396.15%4.92%$12,005$11,4076.15%4.92%
2013103.58%5.11%$12,434$11,9893.58%5.11%
2013114.48%3.46%$12,991$12,4044.48%3.46%
2013121.37%0.81%$13,169$12,5041.37%0.81%
20141-3.70%-2.70%$12,682$12,166-3.70%-2.70%
201424.41%3.27%$13,241$12,5644.41%3.27%
201430.67%2.08%$13,329$12,8260.67%2.08%
20144-2.73%-2.77%$12,965$12,470-2.73%-2.77%
201450.16%0.91%$12,985$12,5840.16%0.91%
201464.77%3.20%$13,604$12,9874.77%3.20%
20147-5.56%-4.10%$12,848$12,455-5.56%-4.10%
201484.25%3.06%$13,394$12,8364.25%3.06%
20149-5.21%-4.43%$12,696$12,267-5.21%-4.43%
2014106.91%9.34%$13,573$13,4136.91%9.34%
201411-0.19%-0.21%$13,548$13,385-0.19%-0.21%
2014122.89%3.50%$13,939$13,8532.89%3.50%
20151-3.59%-1.43%$13,439$13,655-3.59%-1.43%
201526.01%1.81%$14,247$13,9026.01%1.81%
201531.61%1.70%$14,476$14,1381.61%1.70%
20154-2.30%-3.72%$14,143$13,613-2.30%-3.72%
201551.46%0.40%$14,349$13,6671.46%0.40%
201561.06%1.11%$14,501$13,8181.06%1.11%
20157-0.83%1.71%$14,380$14,055-0.83%1.71%
20158-5.19%-4.67%$13,634$13,399-5.19%-4.67%
20159-3.53%0.83%$13,153$13,510-3.53%0.83%
2015106.08%6.00%$13,952$14,3206.08%6.00%
2015112.70%2.74%$14,329$14,7122.70%2.74%
201512-4.74%-3.29%$13,650$14,228-4.74%-3.29%
20161-6.16%-2.79%$12,810$13,832-6.16%-2.79%
201621.09%0.37%$12,950$13,8831.09%0.37%
201638.18%6.63%$14,009$14,8038.18%6.63%
201641.20%0.63%$14,177$14,8961.20%0.63%
201651.61%3.18%$14,405$15,3691.61%3.18%
201660.71%2.28%$14,506$15,7190.71%2.28%
201674.99%3.32%$15,230$16,2414.99%3.32%
201681.40%2.06%$15,444$16,5761.40%2.06%
201690.64%-0.44%$15,542$16,5040.64%-0.44%
201610-4.41%-2.12%$14,856$16,154-4.41%-2.12%
20161112.52%10.72%$16,716$17,88612.52%10.72%
2016123.39%4.56%$17,282$18,7013.39%4.56%
20171-0.58%-2.03%$17,182$18,322-0.58%-2.03%
201721.61%1.36%$17,458$18,5721.61%1.36%
20173-0.10%-0.51%$17,440$18,477-0.10%-0.51%
201740.91%1.31%$17,599$18,7180.91%1.31%
20175-2.09%-1.27%$17,231$18,481-2.09%-1.27%
201762.91%2.34%$17,732$18,9142.91%2.34%
201771.00%1.35%$17,910$19,1691.00%1.35%
20178-2.46%-1.97%$17,469$18,792-2.46%-1.97%
201797.79%6.44%$18,831$20,0037.79%6.44%
2017100.86%1.11%$18,993$20,2250.86%1.11%
2017113.50%3.16%$19,658$20,8653.50%3.16%
201712-0.52%-2.70%$19,555$20,302-0.52%-2.70%
201812.51%-0.61%$20,046$20,1792.51%-0.61%
20182-3.81%-5.18%$19,283$19,134-3.81%-5.18%
201831.99%3.49%$19,666$19,8031.99%3.49%
201841.05%0.73%$19,873$19,9481.05%0.73%
201856.45%5.56%$21,155$21,0576.45%5.56%
201861.04%1.51%$21,376$21,3741.04%1.51%
201873.24%2.65%$22,067$21,9403.24%2.65%
201884.82%3.04%$23,130$22,6084.82%3.04%
20189-3.08%-2.72%$22,418$21,994-3.08%-2.72%
201810-10.53%-7.00%$20,056$20,455-10.53%-7.00%
2018111.60%3.61%$20,377$21,1931.60%3.61%
201812-12.19%-9.35%$17,894$19,211-12.19%-9.35%
2019110.63%8.58%$19,797$20,86010.63%8.58%
201924.34%3.63%$20,656$21,6174.34%3.63%
20193-3.26%-2.17%$19,982$21,149-3.26%-2.17%
201943.86%3.03%$20,754$21,7883.86%3.03%
20195-8.69%-4.63%$18,952$20,779-8.69%-4.63%
201967.34%5.06%$20,342$21,8307.34%5.06%
201971.19%1.71%$20,584$22,2031.19%1.71%
20198-4.58%-2.58%$19,641$21,629-4.58%-2.58%
201993.37%3.37%$20,302$22,3593.37%3.37%
2019102.03%2.68%$20,714$22,9582.03%2.68%
2019113.01%0.76%$21,337$23,1323.01%0.76%
2019123.00%1.54%$21,978$23,4883.00%1.54%
20201-4.02%-2.52%$21,095$22,897-4.02%-2.52%
20202-9.56%-8.71%$19,079$20,903-9.56%-8.71%
20203-22.55%-25.60%$14,776$15,551-22.55%-25.60%
2020412.90%6.04%$16,683$16,49012.90%6.04%
202054.40%-4.52%$17,418$15,7434.40%-4.52%
202063.61%1.41%$18,046$15,9663.61%1.41%
202074.28%1.39%$18,817$16,1884.28%1.39%
202083.88%2.56%$19,547$16,6033.88%2.56%
20209-4.65%-5.71%$18,638$15,655-4.65%-5.71%
2020102.55%2.08%$19,113$15,9802.55%2.08%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryIJRXSLV
Large-cap Value0.93%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.01%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value48.00%76.01%
Small-cap Growth50.83%6.87%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%17.12%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.24%0.00%
R Squared99.98%87.03%
Style analysis is based on monthly returns from Mar 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 IJR

Holdings Based Style Analysis for IJR
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IJRiShares Core S&P Small-Cap ETFSmall Blend100.00%0.06%18.10$9,113100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for XSLV

Holdings Based Style Analysis for XSLV
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
XSLVInvesco S&P SmallCap Low Volatility ETFSmall Blend100.00%0.25%21.52$5,980100.00%

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
MetricIJRXSLV
Arithmetic Mean (monthly)0.85%0.63%
Arithmetic Mean (annualized)10.64%7.79%
Geometric Mean (monthly)0.71%0.51%
Geometric Mean (annualized)8.82%6.31%
Volatility (monthly)5.21%4.69%
Volatility (annualized)18.06%16.23%
Downside Deviation (monthly)3.70%3.55%
Max. Drawdown-36.12%-33.79%
US Market Correlation0.900.78
Beta(*)1.180.92
Alpha (annualized)-4.77%-4.15%
R280.73%61.25%
Sharpe Ratio0.520.42
Sortino Ratio0.730.55
Treynor Ratio (%)8.007.36
Calmar Ratio0.01-0.22
Active Return-3.57%-6.08%
Tracking Error8.29%10.16%
Information Ratio-0.43-0.60
Skewness-1.10-1.98
Excess Kurtosis3.949.88
Historical Value-at-Risk (5%)-8.99%-6.16%
Analytical Value-at-Risk (5%)-7.73%-7.08%
Conditional Value-at-Risk (5%)-13.71%-12.67%
Upside Capture Ratio (%)99.0673.60
Downside Capture Ratio (%)121.9397.59
Safe Withdrawal Rate22.29%22.92%
Perpetual Withdrawal Rate7.34%4.93%
Positive Periods60 out of 92 (65.22%)61 out of 92 (66.30%)
Gain/Loss Ratio0.820.74
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for IJR

Drawdowns for IJR (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Mar 20201 year 7 months-36.12%
2Jul 2015Jan 20167 monthsJun 20165 months1 year-11.66%
3Jul 2014Sep 20143 monthsDec 20143 months6 months-6.68%
4Oct 2016Oct 20161 monthNov 20161 month2 months-4.41%
5Feb 2018Feb 20181 monthMay 20183 months4 months-3.81%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.70%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-3.59%
8Apr 2014Apr 20141 monthJun 20142 months3 months-2.73%
9Aug 2017Aug 20171 monthSep 20171 month2 months-2.46%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.33%
Worst 10 drawdowns included above

Drawdowns for XSLV

Drawdowns for XSLV (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-33.79%
2Sep 2018Dec 20184 monthsOct 201910 months1 year 2 months-15.03%
3Dec 2017Feb 20183 monthsMay 20183 months6 months-8.29%
4Dec 2015Jan 20162 monthsMar 20162 months4 months-5.98%
5Aug 2013Aug 20131 monthOct 20132 months3 months-5.69%
6Jul 2014Sep 20143 monthsOct 20141 month4 months-5.54%
7Apr 2015Aug 20155 monthsOct 20152 months7 months-5.23%
8Apr 2014Apr 20141 monthJun 20142 months3 months-2.77%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.70%
10Sep 2016Oct 20162 monthsNov 20161 month3 months-2.55%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJRiShares Core S&P Small-Cap ETF8.82%18.06%31.69%-13.04%-36.12%0.520.730.90
XSLVInvesco S&P SmallCap Low Volatility ETF6.31%16.23%31.44%-31.96%-33.79%0.420.550.78

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJRXSLVIJRXSLV
IJRiShares Core S&P Small-Cap ETF1.000.921.000.92
XSLVInvesco S&P SmallCap Low Volatility ETF0.921.000.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameIJRXSLV
IJRiShares Core S&P Small-Cap ETF$9,113
XSLVInvesco S&P SmallCap Low Volatility ETF$5,980

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameIJRXSLV
IJRiShares Core S&P Small-Cap ETF100.00%
XSLVInvesco S&P SmallCap Low Volatility ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodIJRXSLV
AverageHighLowAverageHighLow
1 year9.64%26.61%-8.49%11.73%31.44%-5.37%
3 years9.80%11.95%8.34%11.59%14.36%7.89%
5 years7.93%9.53%6.32%10.05%11.14%8.97%
Result statistics are based on annualized rolling returns over full calendar year periods