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 2011 - Dec 2019)

Portfolio Allocations

IJR
Ticker Name Allocation
IJT iShares S&P Small-Cap 600 Growth ETF 100.00%
Save portfolio »
EWSC
Ticker Name Allocation
EWSC Invesco S&P SmallCap 600 Equal Wt ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJR$10,000$29,031 12.57% 15.38%42.26%-4.39%-22.47% 0.811.290.89
EWSC$10,000$19,807 7.89% 18.10%43.04%-10.98%-24.68% 0.480.710.88
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
IJR8.67%20.99%9.81%10.67%12.57%
EWSC7.55%20.51%5.71%5.68%7.89%
Trailing returns are for full months ending in December 2019 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.
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares S&P Small-Cap 600 Growth ETF (IJT)Invesco S&P SmallCap 600 Equal Wt ETF (EWSC)
IJREWSCIJREWSC
20112.96%3.26%-6.71%$10,326$9,3293.26%-6.71%
20121.74%14.47%11.25%$11,820$10,37814.47%11.25%
20131.50%42.26%43.04%$16,815$14,84642.26%43.04%
20140.76%4.01%1.21%$17,489$15,0254.01%1.21%
20150.73%2.70%-10.90%$17,962$13,3872.70%-10.90%
20162.07%22.07%25.24%$21,925$16,76622.07%25.24%
20172.11%14.47%10.11%$25,098$18,46214.47%10.11%
20181.91%-4.39%-10.98%$23,996$16,435-4.39%-10.98%
20192.29%20.99%20.51%$29,031$19,80720.99%20.51%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares S&P Small-Cap 600 Growth ETF (IJT)Invesco S&P SmallCap 600 Equal Wt ETF (EWSC)
IJREWSCIJREWSC
201110.18%-1.04%$10,018$9,8960.18%-1.04%
201124.58%4.78%$10,477$10,3694.58%4.78%
201134.03%2.76%$10,899$10,6554.03%2.76%
201143.99%2.37%$11,333$10,9073.99%2.37%
201150.15%-2.20%$11,350$10,6670.15%-2.20%
20116-2.18%-1.54%$11,102$10,503-2.18%-1.54%
20117-3.50%-2.95%$10,714$10,193-3.50%-2.95%
20118-7.67%-10.02%$9,892$9,173-7.67%-10.02%
20119-9.86%-10.44%$8,917$8,215-9.86%-10.44%
20111014.58%14.96%$10,218$9,44314.58%14.96%
2011110.60%-3.32%$10,279$9,1300.60%-3.32%
2011120.47%2.18%$10,326$9,3290.47%2.18%
201215.30%7.39%$10,874$10,0185.30%7.39%
201222.56%3.20%$11,153$10,3392.56%3.20%
201232.98%1.04%$11,485$10,4472.98%1.04%
20124-0.85%-1.68%$11,388$10,272-0.85%-1.68%
20125-5.35%-9.39%$10,779$9,308-5.35%-9.39%
201264.40%7.18%$11,253$9,9764.40%7.18%
20127-1.44%-0.93%$11,092$9,883-1.44%-0.93%
201283.76%1.71%$11,508$10,0533.76%1.71%
201291.48%5.01%$11,679$10,5571.48%5.01%
201210-2.22%-4.06%$11,419$10,128-2.22%-4.06%
2012110.48%0.16%$11,474$10,1440.48%0.16%
2012123.02%2.31%$11,820$10,3783.02%2.31%
201316.10%7.51%$12,542$11,1586.10%7.51%
201321.20%0.81%$12,692$11,2481.20%0.81%
201334.25%4.55%$13,231$11,7604.25%4.55%
20134-0.56%-0.39%$13,156$11,715-0.56%-0.39%
201354.47%4.92%$13,744$12,2914.47%4.92%
20136-0.50%-0.37%$13,675$12,246-0.50%-0.37%
201377.38%8.36%$14,685$13,2697.38%8.36%
20138-1.48%-3.67%$14,467$12,782-1.48%-3.67%
201395.91%6.61%$15,323$13,6275.91%6.61%
2013103.58%2.77%$15,871$14,0053.58%2.77%
2013114.92%3.53%$16,652$14,4994.92%3.53%
2013120.98%2.39%$16,815$14,8460.98%2.39%
20141-3.91%-2.77%$16,157$14,435-3.91%-2.77%
201424.33%4.61%$16,856$15,1004.33%4.61%
201430.21%0.20%$16,892$15,1300.21%0.20%
20144-3.48%-3.95%$16,304$14,532-3.48%-3.95%
20145-0.17%0.11%$16,276$14,548-0.17%0.11%
201465.54%5.64%$17,178$15,3695.54%5.64%
20147-5.99%-6.78%$16,149$14,327-5.99%-6.78%
201483.96%4.80%$16,789$15,0153.96%4.80%
20149-4.49%-6.51%$16,035$14,037-4.49%-6.51%
2014106.88%5.36%$17,138$14,7896.88%5.36%
201411-0.90%-1.51%$16,984$14,566-0.90%-1.51%
2014122.98%3.15%$17,489$15,0252.98%3.15%
20151-1.80%-5.46%$17,175$14,205-1.80%-5.46%
201526.24%5.75%$18,247$15,0226.24%5.75%
201532.16%1.79%$18,641$15,2912.16%1.79%
20154-2.89%-1.21%$18,102$15,106-2.89%-1.21%
201552.18%0.22%$18,496$15,1392.18%0.22%
201561.69%0.63%$18,808$15,2351.69%0.63%
201570.96%-4.61%$18,989$14,5320.96%-4.61%
20158-5.82%-4.56%$17,884$13,869-5.82%-4.56%
20159-3.32%-6.30%$17,291$12,995-3.32%-6.30%
2015105.77%6.93%$18,288$13,8965.77%6.93%
2015112.72%2.61%$18,785$14,2592.72%2.61%
201512-4.38%-6.11%$17,962$13,387-4.38%-6.11%
20161-6.44%-13.02%$16,806$11,644-6.44%-13.02%
201620.04%4.72%$16,813$12,1940.04%4.72%
201637.13%9.33%$18,012$13,3327.13%9.33%
201640.30%2.33%$18,065$13,6420.30%2.33%
201652.79%1.10%$18,569$13,7932.79%1.10%
201660.53%-0.20%$18,666$13,7650.53%-0.20%
201674.90%5.62%$19,581$14,5384.90%5.62%
201681.57%1.87%$19,889$14,8101.57%1.87%
201690.43%0.96%$19,975$14,9520.43%0.96%
201610-5.20%-5.07%$18,936$14,194-5.20%-5.07%
20161111.83%13.35%$21,176$16,08911.83%13.35%
2016123.53%4.21%$21,925$16,7663.53%4.21%
201710.16%-1.20%$21,960$16,5650.16%-1.20%
201721.73%1.18%$22,340$16,7591.73%1.18%
201730.33%-1.06%$22,413$16,5830.33%-1.06%
201741.25%1.65%$22,694$16,8551.25%1.65%
20175-2.01%-4.04%$22,237$16,175-2.01%-4.04%
201762.91%4.39%$22,883$16,8852.91%4.39%
201771.28%0.62%$23,177$16,9891.28%0.62%
20178-2.39%-3.64%$22,624$16,372-2.39%-3.64%
201796.93%8.60%$24,191$17,7806.93%8.60%
2017101.18%0.69%$24,476$17,9021.18%0.69%
2017113.29%3.84%$25,281$18,5893.29%3.84%
201712-0.72%-0.68%$25,098$18,462-0.72%-0.68%
201813.57%2.57%$25,993$18,9373.57%2.57%
20182-3.59%-3.99%$25,061$18,180-3.59%-3.99%
201832.52%1.12%$25,692$18,3842.52%1.12%
201840.35%1.78%$25,781$18,7100.35%1.78%
201857.11%6.84%$27,613$19,9897.11%6.84%
201861.30%1.33%$27,971$20,2551.30%1.33%
201873.70%2.54%$29,006$20,7703.70%2.54%
201886.70%3.43%$30,948$21,4836.70%3.43%
20189-3.36%-2.76%$29,908$20,890-3.36%-2.76%
201810-11.12%-10.74%$26,583$18,646-11.12%-10.74%
2018112.65%0.39%$27,287$18,7182.65%0.39%
201812-12.06%-12.19%$23,996$16,435-12.06%-12.19%
201919.06%11.96%$26,169$18,4029.06%11.96%
201924.53%5.09%$27,354$19,3394.53%5.09%
20193-2.78%-4.15%$26,595$18,536-2.78%-4.15%
201943.40%3.11%$27,498$19,1123.40%3.11%
20195-7.50%-10.04%$25,437$17,194-7.50%-10.04%
201967.16%7.30%$27,257$18,4507.16%7.30%
201971.03%0.80%$27,538$18,5981.03%0.80%
20198-3.93%-6.29%$26,455$17,427-3.93%-6.29%
201990.98%5.67%$26,714$18,4160.98%5.67%
2019102.12%1.01%$27,282$18,6032.12%1.01%
2019113.28%3.03%$28,178$19,1663.28%3.03%
2019123.03%3.34%$29,031$19,8073.03%3.34%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryIJREWSC
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%92.61%
Small-cap Growth100.00%7.39%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared100.00%93.80%
Style analysis is based on monthly returns from Jan 2011 to Dec 2019 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
IJTiShares S&P Small-Cap 600 Growth ETFSmall Growth100.00%0.18%21.85$19,031100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for EWSC

Holdings Based Style Analysis for EWSC
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
EWSCInvesco S&P SmallCap 600 Equal Wt ETFSmall Blend100.00%0.40%15.59$9,807100.00%

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
MetricIJREWSC
Arithmetic Mean (monthly)1.09%0.77%
Arithmetic Mean (annualized)13.89%9.65%
Geometric Mean (monthly)0.99%0.63%
Geometric Mean (annualized)12.57%7.89%
Volatility (monthly)4.44%5.23%
Volatility (annualized)15.38%18.10%
Downside Deviation (monthly)2.76%3.47%
Max. Drawdown-22.47%-24.68%
US Market Correlation0.890.88
Beta(*)1.151.33
Alpha (annualized)-1.71%-7.84%
R279.74%77.01%
Sharpe Ratio0.810.48
Sortino Ratio1.290.71
Treynor Ratio (%)10.876.52
Calmar Ratio0.440.24
Active Return-0.31%-4.99%
Tracking Error7.14%9.52%
Information Ratio-0.04-0.52
Skewness-0.31-0.27
Excess Kurtosis0.970.48
Historical Value-at-Risk (5%)-7.02%-10.03%
Analytical Value-at-Risk (5%)-6.21%-7.82%
Conditional Value-at-Risk (5%)-9.64%-11.29%
Upside Capture Ratio (%)104.19103.74
Downside Capture Ratio (%)109.85145.22
Safe Withdrawal Rate17.98%14.49%
Perpetual Withdrawal Rate9.59%5.66%
Positive Periods74 out of 108 (68.52%)68 out of 108 (62.96%)
Gain/Loss Ratio0.860.86
* 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 2018Dec 20184 months-22.47%
2Jun 2011Sep 20114 monthsMar 20126 months10 months-21.43%
3Aug 2015Jan 20166 monthsJul 20166 months1 year-11.50%
4Jul 2014Sep 20143 monthsDec 20143 months6 months-6.65%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.15%
6Oct 2016Oct 20161 monthNov 20161 month2 months-5.20%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.91%
8Apr 2014May 20142 monthsJun 20141 month3 months-3.65%
9Feb 2018Feb 20181 monthMay 20183 months4 months-3.59%
10Apr 2015Apr 20151 monthJun 20152 months3 months-2.89%
Worst 10 drawdowns included above

Drawdowns for EWSC

Drawdowns for EWSC (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-24.68%
2Jul 2014Jan 20161 year 7 monthsNov 201610 months2 years 5 months-24.24%
3Sep 2018Dec 20184 months-23.49%
4May 2017May 20171 monthJun 20171 month2 months-4.04%
5Feb 2018Feb 20181 monthMay 20183 months4 months-3.99%
6Apr 2014Apr 20141 monthJun 20142 months3 months-3.95%
7Aug 2013Aug 20131 monthSep 20131 month2 months-3.67%
8Aug 2017Aug 20171 monthSep 20171 month2 months-3.64%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.77%
10Jan 2017Jan 20171 monthApr 20173 months4 months-1.20%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJTiShares S&P Small-Cap 600 Growth ETF12.57%15.38%42.26%-4.39%-22.47%0.811.290.89
EWSCInvesco S&P SmallCap 600 Equal Wt ETF7.89%18.10%43.04%-10.98%-24.68%0.480.710.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJTEWSCIJREWSC
IJTiShares S&P Small-Cap 600 Growth ETF1.000.951.000.95
EWSCInvesco S&P SmallCap 600 Equal Wt ETF0.951.000.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameIJREWSC
IJTiShares S&P Small-Cap 600 Growth ETF$19,031
EWSCInvesco S&P SmallCap 600 Equal Wt ETF$9,807

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameIJREWSC
IJTiShares S&P Small-Cap 600 Growth ETF100.00%
EWSCInvesco S&P SmallCap 600 Equal Wt ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodIJREWSC
AverageHighLowAverageHighLow
1 year13.31%42.26%-4.39%9.20%43.04%-10.98%
3 years13.58%19.20%9.25%9.17%17.22%4.14%
5 years12.59%16.25%7.37%7.68%12.44%2.06%
7 years13.52%14.05%12.80%9.08%9.67%8.43%
Result statistics are based on annualized rolling returns over full calendar year periods