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

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

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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Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Oct 2010 - Jul 2020)

Note: The time period was constrained by the available data for Vanguard S&P 500 ETF (VOO) [Oct 2010 - Feb 2021]. You can extend the backtesting period by using Vanguard 500 Index Investor (VFINX), which is the oldest share class of the fund.

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
AMOMX	AQR Large Cap Momentum Style I	100.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
VOO	Vanguard S&P 500 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	$34,078	13.28%	13.64%	35.15%	-3.84%	-20.69%	0.94	1.48	0.96
Portfolio 2	$10,000	$35,018	13.59%	13.10%	32.39%	-4.50%	-19.58%	1.00	1.59	1.00

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Portfolio 1	18.23%	15.32%	14.30%	11.26%	13.28%	17.55%	15.11%
Portfolio 2	12.93%	12.02%	11.99%	11.45%	13.59%	17.09%	14.87%
Trailing annualized return and volatility are for full months ending in July 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 2010 are based on monthly returns from October to December
The annual results for 2020 are based on monthly returns from January to July
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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
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		AQR Large Cap Momentum Style I (AMOMX)	Vanguard S&P 500 ETF (VOO)
Year	Inflation	Return	Balance	Return	Balance	AQR Large Cap Momentum Style I (AMOMX)	Vanguard S&P 500 ETF (VOO)
2010	0.34%	11.04%	$11,104	10.83%	$11,083	11.04%	10.83%
2011	2.96%	-2.68%	$10,806	1.89%	$11,293	-2.68%	1.89%
2012	1.74%	17.49%	$12,696	16.00%	$13,100	17.49%	16.00%
2013	1.50%	35.15%	$17,158	32.39%	$17,344	35.15%	32.39%
2014	0.76%	9.81%	$18,842	13.55%	$19,694	9.81%	13.55%
2015	0.73%	2.95%	$19,398	1.31%	$19,953	2.95%	1.31%
2016	2.07%	4.65%	$20,299	12.17%	$22,382	4.65%	12.17%
2017	2.11%	23.88%	$25,146	21.77%	$27,254	23.88%	21.77%
2018	1.91%	-3.84%	$24,182	-4.50%	$26,027	-3.84%	-4.50%
2019	2.29%	29.22%	$31,249	31.35%	$34,188	29.22%	31.35%
2020	0.83%	9.05%	$34,078	2.43%	$35,018	9.05%	2.43%
Annual return for 2010 is from 10/01/2010 to 12/31/2010 and annual return for 2020 is from 01/01/2020 to 07/31/2020

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	AQR Large Cap Momentum Style I (AMOMX)	Vanguard S&P 500 ETF (VOO)
2010	10	4.38%	3.78%	4.38%	3.78%
2010	11	1.69%	-0.11%	1.69%	-0.11%
2010	12	4.61%	6.92%	4.61%	6.92%
2011	1	1.46%	2.22%	1.46%	2.22%
2011	2	4.38%	3.47%	4.38%	3.47%
2011	3	1.25%	0.00%	1.25%	0.00%
2011	4	2.07%	2.94%	2.07%	2.94%
2011	5	-1.78%	-1.17%	-1.78%	-1.17%
2011	6	-1.29%	-1.68%	-1.29%	-1.68%
2011	7	-2.42%	-2.06%	-2.42%	-2.06%
2011	8	-7.51%	-5.52%	-7.51%	-5.52%
2011	9	-9.35%	-6.79%	-9.35%	-6.79%
2011	10	11.28%	10.74%	11.28%	10.74%
2011	11	-0.14%	-0.30%	-0.14%	-0.30%
2011	12	0.89%	1.12%	0.89%	1.12%
2012	1	3.31%	4.47%	3.31%	4.47%
2012	2	5.02%	4.28%	5.02%	4.28%
2012	3	3.65%	3.30%	3.65%	3.30%
2012	4	1.15%	-0.64%	1.15%	-0.64%
2012	5	-4.56%	-6.00%	-4.56%	-6.00%
2012	6	2.92%	4.14%	2.92%	4.14%
2012	7	1.35%	1.20%	1.35%	1.20%
2012	8	2.16%	2.51%	2.16%	2.51%
2012	9	1.93%	2.55%	1.93%	2.55%
2012	10	-1.95%	-1.96%	-1.95%	-1.96%
2012	11	1.06%	0.57%	1.06%	0.57%
2012	12	0.55%	1.02%	0.55%	1.02%
2013	1	4.11%	5.17%	4.11%	5.17%
2013	2	1.08%	1.33%	1.08%	1.33%
2013	3	4.02%	3.61%	4.02%	3.61%
2013	4	2.16%	2.09%	2.16%	2.09%
2013	5	2.78%	2.32%	2.78%	2.32%
2013	6	-1.84%	-1.50%	-1.84%	-1.50%
2013	7	6.29%	5.30%	6.29%	5.30%
2013	8	-3.06%	-3.08%	-3.06%	-3.08%
2013	9	5.25%	3.39%	5.25%	3.39%
2013	10	3.72%	4.47%	3.72%	4.47%
2013	11	3.34%	3.00%	3.34%	3.00%
2013	12	3.06%	2.64%	3.06%	2.64%
2014	1	-1.69%	-3.53%	-1.69%	-3.53%
2014	2	6.10%	4.57%	6.10%	4.57%
2014	3	-2.59%	0.88%	-2.59%	0.88%
2014	4	-2.33%	0.72%	-2.33%	0.72%
2014	5	3.46%	2.29%	3.46%	2.29%
2014	6	3.72%	2.09%	3.72%	2.09%
2014	7	-2.13%	-1.38%	-2.13%	-1.38%
2014	8	4.78%	3.97%	4.78%	3.97%
2014	9	-3.10%	-1.38%	-3.10%	-1.38%
2014	10	1.96%	2.40%	1.96%	2.40%
2014	11	2.69%	2.76%	2.69%	2.76%
2014	12	-0.87%	-0.32%	-0.87%	-0.32%
2015	1	-0.77%	-2.87%	-0.77%	-2.87%
2015	2	4.58%	5.58%	4.58%	5.58%
2015	3	-0.61%	-1.57%	-0.61%	-1.57%
2015	4	-1.69%	1.00%	-1.69%	1.00%
2015	5	2.96%	1.25%	2.96%	1.25%
2015	6	-1.44%	-1.95%	-1.44%	-1.95%
2015	7	3.10%	2.18%	3.10%	2.18%
2015	8	-6.34%	-6.14%	-6.34%	-6.14%
2015	9	-2.87%	-2.47%	-2.87%	-2.47%
2015	10	7.21%	8.45%	7.21%	8.45%
2015	11	0.61%	0.43%	0.61%	0.43%
2015	12	-1.11%	-1.74%	-1.11%	-1.74%
2016	1	-5.50%	-4.91%	-5.50%	-4.91%
2016	2	-1.40%	-0.21%	-1.40%	-0.21%
2016	3	6.24%	6.87%	6.24%	6.87%
2016	4	-0.31%	0.35%	-0.31%	0.35%
2016	5	1.91%	1.75%	1.91%	1.75%
2016	6	1.93%	0.32%	1.93%	0.32%
2016	7	2.73%	3.68%	2.73%	3.68%
2016	8	-1.11%	0.12%	-1.11%	0.12%
2016	9	0.05%	0.04%	0.05%	0.04%
2016	10	-2.25%	-1.79%	-2.25%	-1.79%
2016	11	1.50%	3.73%	1.50%	3.73%
2016	12	1.24%	2.07%	1.24%	2.07%
2017	1	2.74%	1.78%	2.74%	1.78%
2017	2	3.02%	3.88%	3.02%	3.88%
2017	3	0.30%	0.13%	0.30%	0.13%
2017	4	0.89%	1.04%	0.89%	1.04%
2017	5	1.62%	1.40%	1.62%	1.40%
2017	6	0.48%	0.63%	0.48%	0.63%
2017	7	2.79%	2.06%	2.79%	2.06%
2017	8	1.12%	0.29%	1.12%	0.29%
2017	9	1.90%	2.04%	1.90%	2.04%
2017	10	4.05%	2.33%	4.05%	2.33%
2017	11	2.58%	3.06%	2.58%	3.06%
2017	12	0.19%	1.28%	0.19%	1.28%
2018	1	7.10%	5.59%	7.10%	5.59%
2018	2	-2.08%	-3.73%	-2.08%	-3.73%
2018	3	-2.39%	-2.48%	-2.39%	-2.48%
2018	4	0.54%	0.35%	0.54%	0.35%
2018	5	3.79%	2.42%	3.79%	2.42%
2018	6	-0.17%	0.76%	-0.17%	0.76%
2018	7	2.52%	3.56%	2.52%	3.56%
2018	8	5.73%	3.22%	5.73%	3.22%
2018	9	0.28%	0.58%	0.28%	0.58%
2018	10	-9.80%	-6.84%	-9.80%	-6.84%
2018	11	0.71%	1.89%	0.71%	1.89%
2018	12	-8.66%	-8.84%	-8.66%	-8.84%
2019	1	8.01%	7.92%	8.01%	7.92%
2019	2	4.01%	3.25%	4.01%	3.25%
2019	3	1.98%	1.92%	1.98%	1.92%
2019	4	2.93%	4.03%	2.93%	4.03%
2019	5	-3.26%	-6.35%	-3.26%	-6.35%
2019	6	5.79%	6.99%	5.79%	6.99%
2019	7	1.26%	1.46%	1.26%	1.46%
2019	8	0.62%	-1.64%	0.62%	-1.64%
2019	9	-0.62%	1.97%	-0.62%	1.97%
2019	10	0.93%	2.18%	0.93%	2.18%
2019	11	3.03%	3.63%	3.03%	3.63%
2019	12	1.69%	2.97%	1.69%	2.97%
2020	1	1.76%	-0.04%	1.76%	-0.04%
2020	2	-7.58%	-8.10%	-7.58%	-8.10%
2020	3	-12.77%	-12.46%	-12.77%	-12.46%
2020	4	12.44%	12.79%	12.44%	12.79%
2020	5	6.86%	4.74%	6.86%	4.74%
2020	6	3.19%	1.83%	3.19%	1.83%
2020	7	7.22%	5.88%	7.22%	5.88%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2
Large-cap Value	0.00%	45.98%
Large-cap Growth	65.17%	53.62%
Mid-cap Value	0.00%	0.00%
Mid-cap Growth	30.74%	0.00%
Small-cap Value	0.00%	0.22%
Small-cap Growth	0.48%	0.08%
Global ex-US Developed Markets	0.00%	0.02%
Emerging Markets	0.00%	0.00%
Corporate Bonds	3.61%	0.00%
Long-Term Treasuries	0.00%	0.06%
Intermediate-Term Treasuries	0.00%	0.00%
Short-Term Treasuries	0.00%	0.00%
R Squared	95.48%	99.95%
Style analysis is based on monthly returns from October 2010 to July 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
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
AMOMX	AQR Large Cap Momentum Style I	Large Growth	100.00%	0.62%	0.40%	33.26	$24,078	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
VOO	Vanguard S&P 500 ETF	Large Blend	100.00%	1.48%	0.03%	27.41	$25,018	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 03/05/2021. (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
Arithmetic Mean (monthly)	1.12%	1.14%
Arithmetic Mean (annualized)	14.32%	14.56%
Geometric Mean (monthly)	1.04%	1.07%
Geometric Mean (annualized)	13.28%	13.59%
Volatility (monthly)	3.94%	3.78%
Volatility (annualized)	13.64%	13.10%
Downside Deviation (monthly)	2.49%	2.35%
Max. Drawdown	-20.69%	-19.58%
US Market Correlation	0.96	1.00
Beta^(*)	0.95	0.96
Alpha (annualized)	0.67%	0.84%
R²	91.21%	99.31%
Sharpe Ratio	0.94	1.00
Sortino Ratio	1.48	1.59
Treynor Ratio (%)	13.48	13.66
Calmar Ratio	0.74	0.61
Active Return	0.06%	0.38%
Tracking Error	4.09%	1.24%
Information Ratio	0.02	0.30
Skewness	-0.59	-0.49
Excess Kurtosis	1.87	1.86
Historical Value-at-Risk (5%)	-6.51%	-6.17%
Analytical Value-at-Risk (5%)	-5.35%	-5.08%
Conditional Value-at-Risk (5%)	-9.28%	-8.23%
Upside Capture Ratio (%)	95.78	98.89
Downside Capture Ratio (%)	92.43	95.58
Safe Withdrawal Rate	15.91%	16.61%
Perpetual Withdrawal Rate	10.01%	10.26%
Positive Periods	81 out of 118 (68.64%)	84 out of 118 (71.19%)
Gain/Loss Ratio	0.96	0.89
^* 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)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	May 2011	Sep 2011	5 months	Apr 2012	7 months	1 year	-20.69%
2	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-19.38%
3	Oct 2018	Dec 2018	3 months	Jun 2019	6 months	9 months	-17.03%
4	Aug 2015	Feb 2016	7 months	Jul 2016	5 months	1 year	-9.59%
5	Mar 2014	Apr 2014	2 months	Jun 2014	2 months	4 months	-4.87%
6	May 2012	May 2012	1 month	Aug 2012	3 months	4 months	-4.56%
7	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-4.42%
8	Aug 2016	Oct 2016	3 months	Jan 2017	3 months	6 months	-3.29%
9	Sep 2014	Sep 2014	1 month	Nov 2014	2 months	3 months	-3.10%
10	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-3.06%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.58%
2	May 2011	Sep 2011	5 months	Feb 2012	5 months	10 months	-16.18%
3	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.47%
4	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.45%
5	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-6.60%
6	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.35%
7	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.11%
8	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-3.53%
9	Dec 2014	Jan 2015	2 months	Feb 2015	1 month	3 months	-3.18%
10	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-3.08%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
AMOMX	AQR Large Cap Momentum Style I	13.28%	13.64%	35.15%	-3.84%	-20.69%	0.94	1.48	0.96
VOO	Vanguard S&P 500 ETF	13.59%	13.10%	32.39%	-4.50%	-19.58%	1.00	1.59	1.00

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	AMOMX	VOO	Portfolio 1	Portfolio 2
AMOMX	AQR Large Cap Momentum Style I	1.00	0.95	1.00	0.95
VOO	Vanguard S&P 500 ETF	0.95	1.00	0.95	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2
AMOMX	AQR Large Cap Momentum Style I	$24,078
VOO	Vanguard S&P 500 ETF		$25,018

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2
AMOMX	AQR Large Cap Momentum Style I	100.00%
VOO	Vanguard S&P 500 ETF		100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	12.19%	35.15%	-7.57%	12.88%	32.39%	-6.98%
3 years	12.84%	23.49%	5.76%	13.43%	22.90%	5.08%
5 years	11.63%	15.96%	5.69%	12.51%	16.30%	6.70%
7 years	12.80%	17.13%	9.14%	13.39%	16.85%	9.61%