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 Assets 
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Portfolio Analysis Results (Aug 2009 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ASMOX AQR Small Cap Momentum Style I 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
NAESX Vanguard Small Cap Index Inv 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$42,412 13.49% 19.83%44.67%-11.65%-31.34% 0.711.100.91
Portfolio 2$10,000$45,295 14.15% 18.38%37.62%-9.43%-30.10% 0.791.220.95
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 125.90%26.42%12.20%13.43%12.09%13.49%24.60%20.65%
Portfolio 227.05%18.96%11.08%13.47%11.86%14.15%24.72%20.38%
Trailing annualized return and volatility 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 2009 are based on monthly returns from August to December
  • 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 Small Cap Momentum Style I (ASMOX)Vanguard Small Cap Index Inv (NAESX)
ReturnBalanceReturnBalance
20090.28%6.07%$10,60715.60%$11,5606.07%15.60%
20101.50%27.69%$13,54427.72%$14,76527.69%27.72%
20112.96%-2.62%$13,189-2.80%$14,351-2.62%-2.80%
20121.74%19.62%$15,77618.04%$16,94019.62%18.04%
20131.50%44.67%$22,82337.62%$23,31344.67%37.62%
20140.76%2.96%$23,4987.37%$25,0312.96%7.37%
20150.73%-3.88%$22,586-3.78%$24,085-3.88%-3.78%
20162.07%13.25%$25,57718.17%$28,46213.25%18.17%
20172.11%17.39%$30,02416.10%$33,04417.39%16.10%
20181.91%-11.65%$26,526-9.43%$29,929-11.65%-9.43%
20192.29%26.47%$33,54827.22%$38,07526.47%27.22%
20201.36%26.42%$42,41218.96%$45,29526.42%18.96%
Annual return for 2009 is from 08/01/2009 to 12/31/2009
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnAQR Small Cap Momentum Style I (ASMOX)Vanguard Small Cap Index Inv (NAESX)
200980.17%4.46%0.17%4.46%
200994.19%6.34%4.19%6.34%
200910-8.38%-6.64%-8.38%-6.64%
2009112.38%3.33%2.38%3.33%
2009128.35%7.88%8.35%7.88%
20101-4.30%-3.35%-4.30%-3.35%
201024.86%4.97%4.86%4.97%
201038.65%8.08%8.65%8.08%
201048.21%5.54%8.21%5.54%
20105-8.62%-7.80%-8.62%-7.80%
20106-9.44%-7.57%-9.44%-7.57%
201078.09%7.16%8.09%7.16%
20108-8.98%-6.61%-8.98%-6.61%
2010914.79%11.98%14.79%11.98%
2010104.53%4.08%4.53%4.08%
2010113.65%3.07%3.65%3.07%
2010126.87%7.72%6.87%7.72%
201110.00%0.86%0.00%0.86%
201125.70%5.34%5.70%5.34%
201133.42%2.42%3.42%2.42%
201142.48%2.94%2.48%2.94%
20115-1.92%-2.03%-1.92%-2.03%
20116-1.33%-1.99%-1.33%-1.99%
20117-2.88%-3.72%-2.88%-3.72%
20118-10.30%-8.31%-10.30%-8.31%
20119-12.44%-11.00%-12.44%-11.00%
20111017.56%15.26%17.56%15.26%
2011110.07%-0.41%0.07%-0.41%
2011120.09%0.22%0.09%0.22%
201216.34%6.95%6.34%6.95%
201222.84%3.19%2.84%3.19%
201233.23%2.30%3.23%2.30%
20124-1.15%-0.93%-1.15%-0.93%
20125-5.42%-6.78%-5.42%-6.78%
201265.05%4.51%5.05%4.51%
20127-0.32%-0.82%-0.32%-0.82%
201283.39%3.47%3.39%3.47%
201292.71%2.73%2.71%2.73%
201210-1.60%-1.46%-1.60%-1.46%
2012110.44%1.16%0.44%1.16%
2012123.13%3.07%3.13%3.07%
201316.27%6.35%6.27%6.35%
201320.97%1.33%0.97%1.33%
201336.30%4.69%6.30%4.69%
201340.16%0.14%0.16%0.14%
201353.46%3.61%3.46%3.61%
20136-0.21%-0.99%-0.21%-0.99%
201378.15%6.66%8.15%6.66%
20138-3.15%-3.17%-3.15%-3.17%
201397.24%5.69%7.24%5.69%
2013101.75%3.27%1.75%3.27%
2013114.56%2.71%4.56%2.71%
2013122.63%2.57%2.63%2.57%
20141-2.10%-2.07%-2.10%-2.07%
201425.76%5.06%5.76%5.06%
20143-2.38%-0.31%-2.38%-0.31%
20144-5.76%-2.33%-5.76%-2.33%
20145-0.42%1.17%-0.42%1.17%
201467.36%4.96%7.36%4.96%
20147-6.64%-4.94%-6.64%-4.94%
201485.37%4.97%5.37%4.97%
20149-5.76%-5.31%-5.76%-5.31%
2014105.74%4.48%5.74%4.48%
2014110.31%0.98%0.31%0.98%
2014122.82%1.25%2.82%1.25%
20151-2.33%-2.17%-2.33%-2.17%
201525.22%5.82%5.22%5.82%
201532.08%1.18%2.08%1.18%
20154-4.31%-1.69%-4.31%-1.69%
201553.24%2.00%3.24%2.00%
201561.22%-0.87%1.22%-0.87%
201570.65%-0.29%0.65%-0.29%
20158-7.36%-5.85%-7.36%-5.85%
20159-5.16%-4.50%-5.16%-4.50%
2015105.03%5.68%5.03%5.68%
2015113.59%1.81%3.59%1.81%
201512-4.76%-4.21%-4.76%-4.21%
20161-9.72%-7.66%-9.72%-7.66%
20162-1.47%0.92%-1.47%0.92%
201636.73%8.35%6.73%8.35%
201640.86%1.72%0.86%1.72%
201652.94%1.93%2.94%1.93%
201661.45%0.25%1.45%0.25%
201674.65%5.07%4.65%5.07%
201680.44%0.62%0.44%0.62%
201691.22%0.39%1.22%0.39%
201610-4.81%-4.12%-4.81%-4.12%
2016119.55%8.61%9.55%8.61%
2016122.07%1.86%2.07%1.86%
201711.23%1.57%1.23%1.57%
201722.02%2.34%2.02%2.34%
20173-0.31%-0.24%-0.31%-0.24%
201740.84%0.85%0.84%0.85%
20175-2.32%-1.15%-2.32%-1.15%
201763.77%2.24%3.77%2.24%
201771.51%1.09%1.51%1.09%
20178-0.38%-0.94%-0.38%-0.94%
201796.20%4.40%6.20%4.40%
2017102.05%1.55%2.05%1.55%
2017111.85%3.08%1.85%3.08%
201712-0.08%0.37%-0.08%0.37%
201814.22%2.84%4.22%2.84%
20182-3.19%-4.07%-3.19%-4.07%
201830.55%1.12%0.55%1.12%
201840.38%0.33%0.38%0.33%
201857.41%5.07%7.41%5.07%
201860.39%0.72%0.39%0.72%
201871.71%1.82%1.71%1.82%
201886.64%4.48%6.64%4.48%
20189-2.90%-1.54%-2.90%-1.54%
201810-12.56%-10.10%-12.56%-10.10%
201811-0.59%2.16%-0.59%2.16%
201812-12.10%-11.11%-12.10%-11.11%
2019110.38%11.83%10.38%11.83%
201926.06%4.81%6.06%4.81%
20193-1.82%-0.91%-1.82%-0.91%
201942.66%3.59%2.66%3.59%
20195-5.24%-7.25%-5.24%-7.25%
201966.65%7.04%6.65%7.04%
201972.20%1.25%2.20%1.25%
20198-3.49%-4.03%-3.49%-4.03%
20199-0.85%1.37%-0.85%1.37%
2019103.05%1.60%3.05%1.60%
2019113.33%4.14%3.33%4.14%
2019121.84%2.18%1.84%2.18%
20201-1.08%-2.04%-1.08%-2.04%
20202-7.46%-8.67%-7.46%-8.67%
20203-20.06%-21.86%-20.06%-21.86%
2020413.81%14.65%13.81%14.65%
202057.55%7.73%7.55%7.73%
202063.80%2.54%3.80%2.54%
202075.44%4.49%5.44%4.49%
202083.95%4.05%3.95%4.05%
20209-1.47%-2.73%-1.47%-2.73%
2020100.05%2.00%0.05%2.00%
20201116.58%16.01%16.58%16.01%
2020127.94%7.38%7.94%7.38%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%27.14%
Mid-cap Growth18.75%32.80%
Small-cap Value8.65%17.07%
Small-cap Growth72.59%21.98%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%1.01%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared94.61%98.69%
Style analysis is based on monthly returns from August 2009 to December 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
ASMOXAQR Small Cap Momentum Style ISmall Growth100.00%0.54%0.60%21.12$32,412100.00%

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
NAESXVanguard Small Cap Index InvSmall Blend100.00%1.05%0.17%23.26$35,295100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/26/2021. (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)1.22%1.25%
Arithmetic Mean (annualized)15.72%16.08%
Geometric Mean (monthly)1.06%1.11%
Geometric Mean (annualized)13.49%14.15%
Volatility (monthly)5.73%5.31%
Volatility (annualized)19.83%18.38%
Downside Deviation (monthly)3.68%3.41%
Max. Drawdown-31.34%-30.10%
US Market Correlation0.910.95
Beta(*)1.251.20
Alpha (annualized)-3.88%-2.92%
R283.41%90.51%
Sharpe Ratio0.710.79
Sortino Ratio1.101.22
Treynor Ratio (%)11.3612.02
Calmar Ratio0.390.37
Active Return-1.27%-0.61%
Tracking Error8.84%6.39%
Information Ratio-0.14-0.10
Skewness-0.39-0.55
Excess Kurtosis1.532.59
Historical Value-at-Risk (5%)-9.07%-7.68%
Analytical Value-at-Risk (5%)-8.19%-7.48%
Conditional Value-at-Risk (5%)-12.37%-11.26%
Upside Capture Ratio (%)113.38111.56
Downside Capture Ratio (%)129.20122.46
Safe Withdrawal Rate15.40%16.71%
Perpetual Withdrawal Rate9.93%10.42%
Positive Periods89 out of 137 (64.96%)92 out of 137 (67.15%)
Gain/Loss Ratio0.930.92
* 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
1Sep 2018Mar 20201 year 7 monthsNov 20208 months2 years 3 months-31.34%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-26.18%
3Aug 2015Feb 20167 monthsNov 20169 months1 year 4 months-19.03%
4May 2010Aug 20104 monthsNov 20103 months7 months-18.59%
5Mar 2014Sep 20147 monthsFeb 20155 months1 year-8.82%
6Oct 2009Oct 20091 monthDec 20092 months3 months-8.38%
7Apr 2015Apr 20151 monthJul 20153 months4 months-4.31%
8Jan 2010Jan 20101 monthFeb 20101 month2 months-4.30%
9Feb 2018Feb 20181 monthMay 20183 months4 months-3.19%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.15%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-30.10%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.56%
3Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.62%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-15.41%
5May 2010Jun 20102 monthsNov 20105 months7 months-14.78%
6Oct 2009Oct 20091 monthDec 20092 months3 months-6.64%
7Jul 2014Sep 20143 monthsDec 20143 months6 months-5.51%
8Oct 2016Oct 20161 monthNov 20161 month2 months-4.12%
9Feb 2018Feb 20181 monthMay 20183 months4 months-4.07%
10Jan 2010Jan 20101 monthFeb 20101 month2 months-3.35%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ASMOXAQR Small Cap Momentum Style I13.49%19.83%44.67%-11.65%-31.34%0.711.100.91
NAESXVanguard Small Cap Index Inv14.15%18.38%37.62%-9.43%-30.10%0.791.220.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameASMOXNAESXPortfolio 1Portfolio 2
ASMOXAQR Small Cap Momentum Style I1.000.971.000.97
NAESXVanguard Small Cap Index Inv0.971.000.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
ASMOXAQR Small Cap Momentum Style I$32,412
NAESXVanguard Small Cap Index Inv$35,295

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
ASMOXAQR Small Cap Momentum Style I100.00%
NAESXVanguard Small Cap Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year12.27%45.38%-19.47%12.13%39.26%-23.44%
3 years11.89%24.37%-2.31%11.99%23.38%-3.39%
5 years11.05%18.96%-0.08%11.54%18.83%0.30%
7 years11.46%17.54%4.54%11.86%16.65%4.84%
10 years11.43%12.90%7.82%11.59%13.73%7.70%