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 (Oct 2010 - Jul 2020)

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%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$34,078 13.28% 13.64%35.15%-3.84%-20.69% 0.941.480.96
Portfolio 2$10,000$35,018 13.59% 13.10%32.39%-4.50%-19.58% 1.001.591.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 118.23%15.32%14.30%11.26%13.28%17.55%15.11%
Portfolio 212.93%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
YearInflationPortfolio 1Portfolio 2AQR Large Cap Momentum Style I (AMOMX)Vanguard S&P 500 ETF (VOO)
ReturnBalanceReturnBalance
20100.34%11.04%$11,10410.83%$11,08311.04%10.83%
20112.96%-2.68%$10,8061.89%$11,293-2.68%1.89%
20121.74%17.49%$12,69616.00%$13,10017.49%16.00%
20131.50%35.15%$17,15832.39%$17,34435.15%32.39%
20140.76%9.81%$18,84213.55%$19,6949.81%13.55%
20150.73%2.95%$19,3981.31%$19,9532.95%1.31%
20162.07%4.65%$20,29912.17%$22,3824.65%12.17%
20172.11%23.88%$25,14621.77%$27,25423.88%21.77%
20181.91%-3.84%$24,182-4.50%$26,027-3.84%-4.50%
20192.29%29.22%$31,24931.35%$34,18829.22%31.35%
20200.83%9.05%$34,0782.43%$35,0189.05%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
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnAQR Large Cap Momentum Style I (AMOMX)Vanguard S&P 500 ETF (VOO)
2010104.38%3.78%4.38%3.78%
2010111.69%-0.11%1.69%-0.11%
2010124.61%6.92%4.61%6.92%
201111.46%2.22%1.46%2.22%
201124.38%3.47%4.38%3.47%
201131.25%0.00%1.25%0.00%
201142.07%2.94%2.07%2.94%
20115-1.78%-1.17%-1.78%-1.17%
20116-1.29%-1.68%-1.29%-1.68%
20117-2.42%-2.06%-2.42%-2.06%
20118-7.51%-5.52%-7.51%-5.52%
20119-9.35%-6.79%-9.35%-6.79%
20111011.28%10.74%11.28%10.74%
201111-0.14%-0.30%-0.14%-0.30%
2011120.89%1.12%0.89%1.12%
201213.31%4.47%3.31%4.47%
201225.02%4.28%5.02%4.28%
201233.65%3.30%3.65%3.30%
201241.15%-0.64%1.15%-0.64%
20125-4.56%-6.00%-4.56%-6.00%
201262.92%4.14%2.92%4.14%
201271.35%1.20%1.35%1.20%
201282.16%2.51%2.16%2.51%
201291.93%2.55%1.93%2.55%
201210-1.95%-1.96%-1.95%-1.96%
2012111.06%0.57%1.06%0.57%
2012120.55%1.02%0.55%1.02%
201314.11%5.17%4.11%5.17%
201321.08%1.33%1.08%1.33%
201334.02%3.61%4.02%3.61%
201342.16%2.09%2.16%2.09%
201352.78%2.32%2.78%2.32%
20136-1.84%-1.50%-1.84%-1.50%
201376.29%5.30%6.29%5.30%
20138-3.06%-3.08%-3.06%-3.08%
201395.25%3.39%5.25%3.39%
2013103.72%4.47%3.72%4.47%
2013113.34%3.00%3.34%3.00%
2013123.06%2.64%3.06%2.64%
20141-1.69%-3.53%-1.69%-3.53%
201426.10%4.57%6.10%4.57%
20143-2.59%0.88%-2.59%0.88%
20144-2.33%0.72%-2.33%0.72%
201453.46%2.29%3.46%2.29%
201463.72%2.09%3.72%2.09%
20147-2.13%-1.38%-2.13%-1.38%
201484.78%3.97%4.78%3.97%
20149-3.10%-1.38%-3.10%-1.38%
2014101.96%2.40%1.96%2.40%
2014112.69%2.76%2.69%2.76%
201412-0.87%-0.32%-0.87%-0.32%
20151-0.77%-2.87%-0.77%-2.87%
201524.58%5.58%4.58%5.58%
20153-0.61%-1.57%-0.61%-1.57%
20154-1.69%1.00%-1.69%1.00%
201552.96%1.25%2.96%1.25%
20156-1.44%-1.95%-1.44%-1.95%
201573.10%2.18%3.10%2.18%
20158-6.34%-6.14%-6.34%-6.14%
20159-2.87%-2.47%-2.87%-2.47%
2015107.21%8.45%7.21%8.45%
2015110.61%0.43%0.61%0.43%
201512-1.11%-1.74%-1.11%-1.74%
20161-5.50%-4.91%-5.50%-4.91%
20162-1.40%-0.21%-1.40%-0.21%
201636.24%6.87%6.24%6.87%
20164-0.31%0.35%-0.31%0.35%
201651.91%1.75%1.91%1.75%
201661.93%0.32%1.93%0.32%
201672.73%3.68%2.73%3.68%
20168-1.11%0.12%-1.11%0.12%
201690.05%0.04%0.05%0.04%
201610-2.25%-1.79%-2.25%-1.79%
2016111.50%3.73%1.50%3.73%
2016121.24%2.07%1.24%2.07%
201712.74%1.78%2.74%1.78%
201723.02%3.88%3.02%3.88%
201730.30%0.13%0.30%0.13%
201740.89%1.04%0.89%1.04%
201751.62%1.40%1.62%1.40%
201760.48%0.63%0.48%0.63%
201772.79%2.06%2.79%2.06%
201781.12%0.29%1.12%0.29%
201791.90%2.04%1.90%2.04%
2017104.05%2.33%4.05%2.33%
2017112.58%3.06%2.58%3.06%
2017120.19%1.28%0.19%1.28%
201817.10%5.59%7.10%5.59%
20182-2.08%-3.73%-2.08%-3.73%
20183-2.39%-2.48%-2.39%-2.48%
201840.54%0.35%0.54%0.35%
201853.79%2.42%3.79%2.42%
20186-0.17%0.76%-0.17%0.76%
201872.52%3.56%2.52%3.56%
201885.73%3.22%5.73%3.22%
201890.28%0.58%0.28%0.58%
201810-9.80%-6.84%-9.80%-6.84%
2018110.71%1.89%0.71%1.89%
201812-8.66%-8.84%-8.66%-8.84%
201918.01%7.92%8.01%7.92%
201924.01%3.25%4.01%3.25%
201931.98%1.92%1.98%1.92%
201942.93%4.03%2.93%4.03%
20195-3.26%-6.35%-3.26%-6.35%
201965.79%6.99%5.79%6.99%
201971.26%1.46%1.26%1.46%
201980.62%-1.64%0.62%-1.64%
20199-0.62%1.97%-0.62%1.97%
2019100.93%2.18%0.93%2.18%
2019113.03%3.63%3.03%3.63%
2019121.69%2.97%1.69%2.97%
202011.76%-0.04%1.76%-0.04%
20202-7.58%-8.10%-7.58%-8.10%
20203-12.77%-12.46%-12.77%-12.46%
2020412.44%12.79%12.44%12.79%
202056.86%4.74%6.86%4.74%
202063.19%1.83%3.19%1.83%
202077.22%5.88%7.22%5.88%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%45.98%
Large-cap Growth65.17%53.62%
Mid-cap Value0.00%0.00%
Mid-cap Growth30.74%0.00%
Small-cap Value0.00%0.22%
Small-cap Growth0.48%0.08%
Global ex-US Developed Markets0.00%0.02%
Emerging Markets0.00%0.00%
Corporate Bonds3.61%0.00%
Long-Term Treasuries0.00%0.06%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared95.48%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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
AMOMXAQR Large Cap Momentum Style ILarge Growth100.00%0.62%0.40%33.26$24,078100.00%

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
VOOVanguard S&P 500 ETFLarge Blend100.00%1.48%0.03%27.41$25,018100.00%

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
MetricPortfolio 1Portfolio 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 Correlation0.961.00
Beta(*)0.950.96
Alpha (annualized)0.67%0.84%
R291.21%99.31%
Sharpe Ratio0.941.00
Sortino Ratio1.481.59
Treynor Ratio (%)13.4813.66
Calmar Ratio0.740.61
Active Return0.06%0.38%
Tracking Error4.09%1.24%
Information Ratio0.020.30
Skewness-0.59-0.49
Excess Kurtosis1.871.86
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 (%)95.7898.89
Downside Capture Ratio (%)92.4395.58
Safe Withdrawal Rate15.91%16.61%
Perpetual Withdrawal Rate10.01%10.26%
Positive Periods81 out of 118 (68.64%)84 out of 118 (71.19%)
Gain/Loss Ratio0.960.89
* 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)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsApr 20127 months1 year-20.69%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-19.38%
3Oct 2018Dec 20183 monthsJun 20196 months9 months-17.03%
4Aug 2015Feb 20167 monthsJul 20165 months1 year-9.59%
5Mar 2014Apr 20142 monthsJun 20142 months4 months-4.87%
6May 2012May 20121 monthAug 20123 months4 months-4.56%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-4.42%
8Aug 2016Oct 20163 monthsJan 20173 months6 months-3.29%
9Sep 2014Sep 20141 monthNov 20142 months3 months-3.10%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.06%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.58%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.18%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.47%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.45%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.60%
6May 2019May 20191 monthJun 20191 month2 months-6.35%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.11%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.53%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.18%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.08%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
AMOMXAQR Large Cap Momentum Style I13.28%13.64%35.15%-3.84%-20.69%0.941.480.96
VOOVanguard S&P 500 ETF13.59%13.10%32.39%-4.50%-19.58%1.001.591.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameAMOMXVOOPortfolio 1Portfolio 2
AMOMXAQR Large Cap Momentum Style I1.000.951.000.95
VOOVanguard S&P 500 ETF0.951.000.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
AMOMXAQR Large Cap Momentum Style I$24,078
VOOVanguard S&P 500 ETF$25,018

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
AMOMXAQR Large Cap Momentum Style I100.00%
VOOVanguard S&P 500 ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year12.19%35.15%-7.57%12.88%32.39%-6.98%
3 years12.84%23.49%5.76%13.43%22.90%5.08%
5 years11.63%15.96%5.69%12.51%16.30%6.70%
7 years12.80%17.13%9.14%13.39%16.85%9.61%