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 2019 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ARKK ARK Innovation ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
ARKW ARK Next Generation Internet ETF 25.00%
ARKG ARK Genomic Revolution ETF 25.00%
ARKF ARK Fintech Innovation ETF 25.00%
ARKQ ARK Autonomous Technology&Robotics ETF 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,465 128.42% 72.87%84.40%39.70%152.82%7.90%-16.73%
(-13.74%)
1.563.490.88
Portfolio 2$10,000$43,703 123.55% 69.76%79.84%32.29%138.32%10.72%-13.74%
(-10.96%)
1.784.150.90
Vanguard 500 Index Investor$10,000$24,080 61.50% 19.83%21.74%20.47%18.25%17.83%-19.63%
(-13.33%)
0.931.511.00
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 137.54%152.82%72.87%
Portfolio 236.48%138.32%69.76%
Vanguard 500 Index Investor12.12%18.25%19.83%
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 March to December
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted quarterly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Vanguard 500 Index InvestorARK Innovation ETF (ARKK)ARK Next Generation Internet ETF (ARKW)ARK Genomic Revolution ETF (ARKG)ARK Fintech Innovation ETF (ARKF)ARK Autonomous Technology&Robotics ETF (ARKQ)
ReturnBalanceReturnBalanceReturnBalance
20191.66%$4,0517.90%$15,13810.72%$15,45317.83%$16,1927.90%10.88%12.24%14.49%5.27%
20201.36%$4,101152.82%$45,465138.32%$43,70318.25%$24,080152.82%157.46%180.56%108.03%107.22%
Annual return for 2019 is from 03/01/2019 to 12/31/2019
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard 500 Index InvestorARK Innovation ETF (ARKK)ARK Next Generation Internet ETF (ARKW)ARK Genomic Revolution ETF (ARKG)ARK Fintech Innovation ETF (ARKF)ARK Autonomous Technology&Robotics ETF (ARKQ)
ReturnBalanceReturnBalanceReturnBalance
201930.37%$11,0421.18%$11,1231.94%$11,1990.37%-0.25%6.82%1.65%-3.51%
201941.05%$11,1582.29%$11,3784.04%$11,6521.05%3.01%-0.52%5.10%1.69%
20195-13.74%$9,624-10.96%$10,131-6.36%$10,910-13.74%-10.83%-10.98%-7.15%-15.24%
2019617.80%$12,35112.48%$12,4097.03%$12,69117.80%9.29%18.37%7.65%15.06%
201971.00%$12,4740.07%$12,4181.43%$12,8721.00%0.90%0.32%0.96%-2.07%
20198-8.54%$11,409-6.30%$11,635-1.59%$12,667-8.54%-4.99%-9.11%-5.41%-5.38%
20199-3.23%$12,056-2.05%$12,4121.86%$13,918-3.23%-2.39%-6.08%-0.65%1.34%
2019103.12%$12,4333.96%$12,9042.15%$14,2183.12%5.75%1.49%3.45%5.30%
20191114.02%$14,1769.38%$14,1133.62%$14,73314.02%9.18%16.56%7.51%4.25%
201912-0.38%$15,1382.29%$15,4533.01%$16,192-0.38%2.48%-1.07%1.60%6.72%
202013.50%$15,6674.09%$16,085-0.05%$16,1843.50%9.69%-2.42%5.23%3.86%
202022.01%$15,982-0.48%$16,007-8.24%$14,8502.01%-0.06%5.14%-2.30%-4.37%
20203-16.73%$14,329-13.32%$14,897-12.37%$14,034-16.73%-16.47%-9.04%-17.32%-10.11%
2020425.75%$18,01923.24%$18,35912.81%$15,83325.75%24.58%30.08%18.78%18.97%
2020513.54%$20,45814.65%$21,0484.76%$16,58613.54%14.31%13.89%16.93%13.71%
2020613.51%$24,24310.74%$24,3281.98%$17,93313.51%13.00%12.56%11.51%5.46%
2020712.71%$27,32311.43%$27,1105.63%$18,94312.71%17.25%2.95%14.82%11.56%
2020818.61%$32,40913.56%$30,7877.18%$20,30218.61%13.05%15.30%11.33%14.61%
20209-3.49%$32,307-1.79%$31,266-3.81%$20,558-3.49%-3.44%2.90%-1.78%-5.12%
202010-1.32%$31,8822.29%$31,983-2.67%$20,009-1.32%2.03%3.19%3.13%0.61%
20201123.77%$39,46020.33%$38,48510.94%$22,19723.77%22.83%24.28%14.14%19.05%
20201212.61%$45,46510.88%$43,7033.84%$24,08012.61%8.93%15.11%6.91%11.96%
* End-of-month balance includes the quarterly contribution/withdrawal

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
ARKKARK Innovation ETFMid-Cap Growth100.00%1.83%0.75%$27,313100.00%

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
ARKWARK Next Generation Internet ETFTechnology25.00%1.38%0.79%48.54$7,22826.68%
ARKGARK Genomic Revolution ETFHealth25.00%0.97%0.75%$8,23127.44%
ARKFARK Fintech Innovation ETFTechnology25.00%0.37%0.75%41.49$5,17321.96%
ARKQARK Autonomous Technology&Robotics ETFTechnology25.00%0.81%0.75%28.33$4,91823.93%
100.00%0.88%0.76%39.46$25,550100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 06/18/2021. (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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)5.27%4.91%1.69%
Arithmetic Mean (annualized)85.19%77.69%22.22%
Geometric Mean (monthly)4.67%4.51%1.52%
Geometric Mean (annualized)72.87%69.76%19.83%
Volatility (monthly)11.46%9.32%5.91%
Volatility (annualized)39.70%32.29%20.47%
Downside Deviation (monthly)5.07%3.96%3.60%
Max. Drawdown-16.73%-13.74%-19.63%
US Market Correlation0.880.901.00
Beta(*)1.681.401.00
Alpha (annualized)29.31%30.55%-0.00%
R274.71%78.75%100.00%
Sharpe Ratio1.561.780.93
Sortino Ratio3.494.151.51
Treynor Ratio (%)37.0241.2319.07
Active Return53.04%49.93%N/A
Tracking Error24.29%16.99%N/A
Information Ratio2.182.94N/A
Skewness-0.010.01-0.50
Excess Kurtosis-0.59-0.230.64
Historical Value-at-Risk (5%)-13.48%-10.73%-8.15%
Analytical Value-at-Risk (5%)-13.58%-10.01%-8.03%
Conditional Value-at-Risk (5%)-15.24%-12.14%-10.31%
Upside Capture Ratio (%)252.01212.03100.00
Downside Capture Ratio (%)111.8079.31100.00
Safe Withdrawal Rate75.76%76.41%62.41%
Perpetual Withdrawal Rate38.54%37.51%14.00%
Positive Periods15 out of 22 (68.18%)16 out of 22 (72.73%)15 out of 22 (68.18%)
Gain/Loss Ratio1.611.530.96
* 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
1Mar 2020Mar 20201 monthApr 20201 month2 months-16.73%
2May 2019May 20191 monthJun 20191 month2 months-13.74%
3Aug 2019Sep 20192 monthsNov 20192 months4 months-11.49%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-4.76%
5Dec 2019Dec 20191 monthJan 20201 month2 months-0.38%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-13.74%
2May 2019May 20191 monthJun 20191 month2 months-10.96%
3Aug 2019Sep 20192 monthsNov 20192 months4 months-8.23%
4Sep 2020Sep 20201 monthOct 20201 month2 months-1.79%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
3May 2019May 20191 monthJun 20191 month2 months-6.36%
4Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ARKKARK Innovation ETF72.87%39.70%152.82%7.90%-16.73%1.563.490.88
ARKWARK Next Generation Internet ETF77.21%35.17%157.46%10.88%-16.53%1.794.070.89
ARKGARK Genomic Revolution ETF86.95%38.44%180.56%12.24%-14.63%1.805.100.76
ARKFARK Fintech Innovation ETF60.54%29.60%108.03%14.49%-19.22%1.723.480.89
ARKQARK Autonomous Technology&Robotics ETF53.03%32.42%107.22%5.27%-16.84%1.443.040.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameARKKARKWARKGARKFARKQPortfolio 1Portfolio 2Vanguard 500 Index Investor
ARKKARK Innovation ETF1.000.950.930.920.931.000.990.86
ARKWARK Next Generation Internet ETF0.951.000.830.970.920.950.980.87
ARKGARK Genomic Revolution ETF0.930.831.000.800.820.930.920.75
ARKFARK Fintech Innovation ETF0.920.970.801.000.880.920.950.88
ARKQARK Autonomous Technology&Robotics ETF0.930.920.820.881.000.930.950.89

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
ARKKARK Innovation ETF$27,313
ARKWARK Next Generation Internet ETF$7,228
ARKGARK Genomic Revolution ETF$8,231
ARKFARK Fintech Innovation ETF$5,173
ARKQARK Autonomous Technology&Robotics ETF$4,918

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
ARKKARK Innovation ETF100.00%
ARKWARK Next Generation Internet ETF26.68%
ARKGARK Genomic Revolution ETF27.44%
ARKFARK Fintech Innovation ETF21.96%
ARKQARK Autonomous Technology&Robotics ETF23.93%

Annual Asset Returns