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 (Jan 2014 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
QYLD Global X NASDAQ 100 Covered Call ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
BRK.B Berkshire Hathaway Inc. 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$147,773 5.06% 8.80%8.61%10.63%22.67%-3.05%-17.18%
(-17.66%)
0.781.120.87
Portfolio 2$100,000$183,017 7.93% 11.30%11.25%16.06%26.64%-12.06%-21.19%
(-22.36%)
0.701.210.73
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 11.02%5.39%14.87%6.70%10.54%8.46%14.16%11.42%
Portfolio 2-1.79%17.71%28.18%8.43%13.57%11.36%20.14%17.35%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2021 are based on monthly returns from January to November
  • 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
  • Monthly withdrawal of $333 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Global X NASDAQ 100 Covered Call ETF (QYLD)Berkshire Hathaway Inc. (BRK.B)
ReturnBalanceYieldIncomeReturnBalanceYieldIncome
20140.76%-$3,9964.25%$100,20210.58%$10,39826.64%$122,0410.00%$0.004.25%26.64%
20150.73%-$3,9967.17%$103,1819.59%$9,423-12.06%$103,5140.00%$0.007.17%-12.06%
20162.07%-$3,9964.76%$103,8609.11%$9,23623.43%$123,2640.00%$0.004.76%23.43%
20172.11%-$3,99618.79%$119,0788.76%$8,92921.62%$145,4140.00%$0.0018.79%21.62%
20181.91%-$3,996-3.05%$111,72211.35%$13,3233.01%$145,7680.00%$0.00-3.05%3.01%
20192.29%-$3,99622.67%$132,71211.42%$12,57210.93%$157,3710.00%$0.0022.67%10.93%
20201.36%-$3,9967.66%$138,37710.53%$13,7482.37%$156,5370.00%$0.007.66%2.37%
20216.19%-$3,6639.56%$147,77310.82%$14,79819.33%$183,0170.00%$0.009.56%19.33%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Global X NASDAQ 100 Covered Call ETF (QYLD)Berkshire Hathaway Inc. (BRK.B)
ReturnBalanceReturnBalance
20141-0.61%$99,052-5.87%$93,797-0.61%-5.87%
201423.44%$102,1293.75%$96,9773.44%3.75%
20143-1.61%$100,1487.94%$104,341-1.61%7.94%
20144-0.74%$99,0753.10%$107,248-0.74%3.10%
201452.33%$101,048-0.40%$106,4902.33%-0.40%
201461.21%$101,941-1.39%$104,6801.21%-1.39%
201470.07%$101,674-0.89%$103,4130.07%-0.89%
201482.26%$103,6359.42%$112,8252.26%9.42%
20149-1.21%$102,0470.65%$113,223-1.21%0.65%
201410-2.00%$99,6711.46%$114,546-2.00%1.46%
201411-0.19%$99,1456.09%$121,184-0.19%6.09%
2014121.40%$100,2020.98%$122,0411.40%0.98%
20151-1.83%$98,034-4.16%$116,636-1.83%-4.16%
201522.25%$99,9042.43%$119,1402.25%2.43%
20153-0.29%$99,278-2.10%$116,310-0.29%-2.10%
201541.03%$99,972-2.15%$113,4701.03%-2.15%
201551.02%$100,6581.27%$114,5761.02%1.27%
20156-1.16%$99,160-4.82%$108,722-1.16%-4.82%
201573.27%$102,0674.87%$113,6853.27%4.87%
20158-6.79%$94,802-6.09%$106,423-6.79%-6.09%
201592.03%$96,398-2.72%$103,2002.03%-2.72%
2015107.10%$102,9084.31%$107,3157.10%4.31%
2015110.68%$103,278-1.42%$105,4590.68%-1.42%
2015120.23%$103,181-1.53%$103,5140.23%-1.53%
20161-6.41%$96,237-1.72%$101,401-6.41%-1.72%
201622.20%$98,0183.39%$104,5062.20%3.39%
201632.69%$100,3235.75%$110,1792.69%5.75%
20164-2.91%$97,0732.54%$112,641-2.91%2.54%
201651.70%$98,387-3.40%$108,4831.70%-3.40%
201660.71%$98,7483.02%$111,4310.71%3.02%
201671.50%$99,899-0.36%$110,6981.50%-0.36%
201680.58%$100,1434.31%$115,1370.58%4.31%
201692.05%$101,860-4.00%$110,1982.05%-4.00%
2016100.65%$102,186-0.12%$109,7360.65%-0.12%
2016111.45%$103,3359.11%$119,3951.45%9.11%
2016120.83%$103,8603.52%$123,2640.83%3.52%
201713.03%$106,6740.71%$123,8083.03%0.71%
201721.18%$107,5984.44%$128,9661.18%4.44%
201731.32%$108,685-2.77%$125,0671.32%-2.77%
201741.53%$110,011-0.88%$123,6311.53%-0.88%
201751.77%$111,6290.04%$123,3501.77%0.04%
201760.46%$111,8132.47%$126,0700.46%2.47%
201771.43%$113,0813.31%$129,9051.43%3.31%
201781.33%$114,2473.54%$134,1681.33%3.54%
201790.52%$114,5071.19%$135,4350.52%1.19%
2017102.56%$117,1021.97%$137,7762.56%1.97%
2017110.70%$117,5943.25%$141,9170.70%3.25%
2017121.55%$119,0782.70%$145,4141.55%2.70%
201812.35%$121,5468.15%$156,9362.35%8.15%
201821.21%$122,689-3.35%$151,3471.21%-3.35%
20183-3.49%$118,070-3.73%$145,375-3.49%-3.73%
201841.67%$119,707-2.88%$140,8521.67%-2.88%
201853.45%$123,503-1.14%$138,9193.45%-1.14%
20186-1.36%$121,492-2.55%$135,047-1.36%-2.55%
201872.78%$124,5336.01%$142,8322.78%6.01%
201883.46%$128,5055.48%$150,3313.46%5.48%
201890.72%$129,1002.58%$153,8800.72%2.58%
201810-5.40%$121,798-4.12%$147,201-5.40%-4.12%
2018110.18%$121,6846.31%$156,1610.18%6.31%
201812-7.91%$111,722-6.44%$145,768-7.91%-6.44%
201914.60%$116,5340.67%$146,4064.60%0.67%
201922.38%$118,980-2.06%$143,0522.38%-2.06%
201932.21%$121,271-0.20%$142,4282.21%-0.20%
201941.67%$122,9657.87%$153,3111.67%7.87%
20195-4.39%$117,234-8.90%$139,332-4.39%-8.90%
201966.06%$124,0127.98%$150,1146.06%7.98%
201972.46%$126,723-3.63%$144,3312.46%-3.63%
20198-1.26%$124,791-0.98%$142,579-1.26%-0.98%
201990.51%$125,0882.27%$145,4770.51%2.27%
2019103.14%$128,6812.19%$148,3333.14%2.19%
2019111.97%$130,8893.63%$153,3871.97%3.63%
2019121.65%$132,7122.81%$157,3711.65%2.81%
202010.41%$132,923-0.91%$155,5990.41%-0.91%
20202-8.07%$121,859-8.06%$142,724-8.07%-8.06%
20203-9.91%$109,448-11.39%$126,130-9.91%-11.39%
202045.21%$114,8182.48%$128,9225.21%2.48%
202053.97%$119,038-0.95%$127,3643.97%-0.95%
202062.66%$121,875-3.81%$122,1792.66%-3.81%
202073.79%$126,1569.67%$133,6663.79%9.67%
202083.63%$130,40011.37%$148,5313.63%11.37%
20209-1.64%$127,928-2.34%$144,724-1.64%-2.34%
202010-3.06%$123,680-5.18%$136,887-3.06%-5.18%
20201110.04%$135,76013.38%$154,86710.04%13.38%
2020122.17%$138,3771.29%$156,5372.17%1.29%
202111.13%$139,610-1.73%$153,5031.13%-1.73%
20212-0.88%$138,0465.55%$161,685-0.88%5.55%
202131.77%$140,1506.22%$171,4091.77%6.22%
202141.06%$141,3037.63%$184,1461.06%7.63%
20215-0.66%$140,0455.27%$193,518-0.66%5.27%
202161.87%$142,336-3.98%$185,4831.87%-3.98%
202171.28%$143,8290.13%$185,3961.28%0.13%
202183.20%$148,0952.69%$190,0473.20%2.69%
20219-3.35%$142,794-4.49%$181,181-3.35%-4.49%
2021104.35%$148,6705.15%$190,1884.35%5.15%
202111-0.38%$147,773-3.60%$183,017-0.38%-3.60%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value8.89%
Large-cap Growth40.37%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth7.35%
Global ex-US Developed Markets11.92%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries31.47%
R Squared76.82%
Style analysis is based on monthly returns from January 2014 to November 2021 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
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
QYLDGlobal X NASDAQ 100 Covered Call ETFDerivative Income100.00%0.07%11.50%0.60%0.60%32.10$79,408100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightContribution
ReturnRisk
BRK.BBerkshire Hathaway Inc.Financial Services / Insurance - Diversified100.00%$114,652100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/03/2021. (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)0.75%1.00%
Arithmetic Mean (annualized)9.42%12.70%
Geometric Mean (monthly)0.71%0.90%
Geometric Mean (annualized)8.80%11.30%
Standard Deviation (monthly)3.07%4.64%
Standard Deviation (annualized)10.63%16.06%
Downside Deviation (monthly)2.11%2.65%
Max. Drawdown-17.18%-21.19%
US Market Correlation0.870.73
Beta(*)0.640.82
Alpha (annualized)0.02%0.51%
R275.37%53.76%
Sharpe Ratio0.780.70
Sortino Ratio1.121.21
Treynor Ratio (%)12.9113.75
Calmar Ratio0.580.39
Active Return-4.98%-2.49%
Tracking Error7.34%11.22%
Information Ratio-0.68-0.22
Skewness-0.910.10
Excess Kurtosis2.69-0.02
Historical Value-at-Risk (5%)-5.70%-5.94%
Analytical Value-at-Risk (5%)-4.29%-6.62%
Conditional Value-at-Risk (5%)-7.82%-8.18%
Upside Capture Ratio (%)59.7386.64
Downside Capture Ratio (%)61.6293.69
Safe Withdrawal Rate17.81%20.54%
Perpetual Withdrawal Rate6.85%9.21%
Positive Periods69 out of 95 (72.63%)53 out of 95 (55.79%)
Gain/Loss Ratio0.721.36
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-17.18%-19.28%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsAug 20205 months7 months-17.18%
2Oct 2018Dec 20183 monthsJul 20197 months10 months-12.73%
3Aug 2015Aug 20151 monthOct 20152 months3 months-6.79%
4Jan 2016Jan 20161 monthSep 20168 months9 months-6.41%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.65%
6Sep 2014Jan 20155 monthsMay 20154 months9 months-3.82%
7Mar 2018Mar 20181 monthMay 20182 months3 months-3.49%
8Sep 2021Sep 20211 monthOct 20211 month2 months-3.35%
9Mar 2014Apr 20142 monthsJun 20142 months4 months-2.34%
10Jun 2018Jun 20181 monthJul 20181 month2 months-1.36%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Jun 20206 monthsNov 20205 months11 months-21.19%
2Jan 2015Jan 20161 year 1 monthAug 20167 months1 year 8 months-13.57%
3Feb 2018Jun 20185 monthsNov 20185 months10 months-12.93%
4Dec 2018May 20196 monthsNov 20196 months1 year-9.54%
5Jan 2014Jan 20141 monthMar 20142 months3 months-5.87%
6Jun 2021Sep 20214 months-5.70%
7Sep 2016Oct 20162 monthsNov 20161 month3 months-4.11%
8Mar 2017Apr 20172 monthsJul 20173 months5 months-3.62%
9May 2014Jul 20143 monthsAug 20141 month4 months-2.65%
10Jan 2021Jan 20211 monthFeb 20211 month2 months-1.73%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QYLDGlobal X NASDAQ 100 Covered Call ETF8.80%10.63%22.67%-3.05%-17.18%0.781.120.87
BRK.BBerkshire Hathaway Inc.11.30%16.06%26.64%-12.06%-21.19%0.701.210.73

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 yearNetGross
Global X NASDAQ 100 Covered Call ETF1.02%5.39%14.87%6.70%10.54%0.60%0.60%
Berkshire Hathaway Inc.-1.79%17.71%28.18%8.43%13.57%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameQYLDBRK.BPortfolio 1Portfolio 2
QYLDGlobal X NASDAQ 100 Covered Call ETF1.000.601.000.60
BRK.BBerkshire Hathaway Inc.0.601.000.601.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
QYLDGlobal X NASDAQ 100 Covered Call ETF$79,408
BRK.BBerkshire Hathaway Inc.$114,652

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
QYLDGlobal X NASDAQ 100 Covered Call ETF100.00%
BRK.BBerkshire Hathaway Inc.100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.13%32.07%-6.81%11.96%55.97%-16.26%
3 years9.07%14.81%3.61%10.42%17.97%1.77%
5 years9.06%11.75%5.67%10.38%15.55%4.84%
7 years8.85%9.61%8.20%10.97%12.32%9.28%