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 (Apr 2013 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
QSMLX AQR Small Cap Multi-Style I 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market 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$16,811 7.25% 18.20%29.32%-14.02%-36.01% 0.440.610.91
Portfolio 2$10,000$25,156 13.25% 13.87%30.67%-5.21%-20.84% 0.911.401.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
Portfolio 115.29%-5.24%5.12%2.04%5.38%7.25%
Portfolio 215.85%9.35%21.25%13.89%13.82%13.25%
Trailing returns are for full months ending in August 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 2013 are based on monthly returns from April to December
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceAQR Small Cap Multi-Style I (QSMLX)Vanguard Total Stock Market ETF (VTI)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20130.12%29.32%20.25%$12,932$12,02529.32%20.25%
20140.76%3.63%12.54%$13,402$13,5333.63%12.54%
20150.73%-4.50%0.36%$12,799$13,582-4.50%0.36%
20162.07%22.49%12.83%$15,677$15,32422.49%12.83%
20172.11%9.29%21.21%$17,133$18,5749.29%21.21%
20181.91%-14.02%-5.21%$14,731$17,606-14.02%-5.21%
20192.29%20.42%30.67%$17,740$23,00620.42%30.67%
20201.15%-5.24%9.35%$16,811$25,156-5.24%9.35%
Annual returns for 2013 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceAQR Small Cap Multi-Style I (QSMLX)Vanguard Total Stock Market ETF (VTI)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201340.99%1.61%$10,099$10,1610.99%1.61%
201354.91%2.44%$10,595$10,4094.91%2.44%
201361.03%-1.43%$10,704$10,2601.03%-1.43%
201378.16%5.75%$11,577$10,8498.16%5.75%
20138-4.20%-3.03%$11,091$10,521-4.20%-3.03%
201396.26%3.90%$11,786$10,9316.26%3.90%
2013103.03%4.27%$12,143$11,3973.03%4.27%
2013114.90%2.70%$12,738$11,7054.90%2.70%
2013121.52%2.73%$12,932$12,0251.52%2.73%
20141-4.81%-3.17%$12,310$11,644-4.81%-3.17%
201424.98%4.87%$12,922$12,2104.98%4.87%
201431.01%0.51%$13,053$12,2721.01%0.51%
20144-3.08%0.06%$12,651$12,280-3.08%0.06%
201450.00%2.10%$12,651$12,5380.00%2.10%
201464.44%2.62%$13,213$12,8674.44%2.62%
20147-5.78%-1.99%$12,450$12,610-5.78%-1.99%
201485.32%4.15%$13,113$13,1345.32%4.15%
20149-5.51%-2.10%$12,390$12,858-5.51%-2.10%
2014105.83%2.75%$13,113$13,2115.83%2.75%
201411-0.31%2.48%$13,073$13,539-0.31%2.48%
2014122.52%-0.04%$13,402$13,5332.52%-0.04%
20151-4.10%-2.74%$12,852$13,163-4.10%-2.74%
201526.02%5.74%$13,626$13,9196.02%5.74%
201531.87%-1.16%$13,880$13,7581.87%-1.16%
20154-2.93%0.62%$13,473$13,843-2.93%0.62%
201551.51%1.30%$13,676$14,0221.51%1.30%
201560.74%-1.67%$13,778$13,7870.74%-1.67%
20157-1.03%1.70%$13,636$14,022-1.03%1.70%
20158-5.15%-6.09%$12,934$13,168-5.15%-6.09%
20159-3.23%-2.92%$12,516$12,783-3.23%-2.92%
2015105.85%7.91%$13,249$13,7945.85%7.91%
2015112.15%0.60%$13,534$13,8772.15%0.60%
201512-5.43%-2.13%$12,799$13,582-5.43%-2.13%
20161-6.61%-5.72%$11,952$12,804-6.61%-5.72%
201620.85%-0.01%$12,054$12,8030.85%-0.01%
201636.77%7.11%$12,870$13,7146.77%7.11%
201640.16%0.66%$12,891$13,8040.16%0.66%
201652.29%1.73%$13,186$14,0432.29%1.73%
20166-0.31%0.27%$13,145$14,082-0.31%0.27%
201676.28%3.98%$13,972$14,6426.28%3.98%
201680.80%0.21%$14,084$14,6720.80%0.21%
201691.09%0.21%$14,237$14,7021.09%0.21%
201610-4.87%-2.19%$13,543$14,380-4.87%-2.19%
20161111.37%4.49%$15,083$15,02611.37%4.49%
2016123.93%1.98%$15,677$15,3243.93%1.98%
20171-0.33%1.86%$15,624$15,608-0.33%1.86%
201721.87%3.69%$15,917$16,1851.87%3.69%
201730.07%0.06%$15,927$16,1940.07%0.06%
201741.25%1.06%$16,126$16,3661.25%1.06%
20175-3.37%1.01%$15,583$16,532-3.37%1.01%
201762.62%0.95%$15,990$16,6882.62%0.95%
201771.11%1.88%$16,168$17,0021.11%1.88%
20178-2.13%0.15%$15,823$17,028-2.13%0.15%
201796.27%2.44%$16,816$17,4436.27%2.44%
2017100.75%2.17%$16,941$17,8210.75%2.17%
2017112.28%3.03%$17,328$18,3612.28%3.03%
201712-1.12%1.16%$17,133$18,574-1.12%1.16%
201813.37%5.23%$17,711$19,5463.37%5.23%
20182-4.77%-3.76%$16,867$18,811-4.77%-3.76%
201831.10%-1.95%$17,052$18,4441.10%-1.95%
20184-0.34%0.45%$16,994$18,527-0.34%0.45%
201855.17%2.72%$17,873$19,0315.17%2.72%
201860.65%0.70%$17,989$19,1650.65%0.70%
201871.80%3.32%$18,312$19,8011.80%3.32%
201883.16%3.43%$18,890$20,4803.16%3.43%
20189-2.82%0.20%$18,359$20,520-2.82%0.20%
201810-9.32%-7.41%$16,648$19,000-9.32%-7.41%
201811-0.28%2.01%$16,601$19,382-0.28%2.01%
201812-11.27%-9.16%$14,731$17,606-11.27%-9.16%
2019110.17%8.54%$16,229$19,11010.17%8.54%
201925.18%3.56%$17,070$19,7905.18%3.56%
20193-3.23%1.42%$16,518$20,071-3.23%1.42%
201942.94%3.93%$17,004$20,8582.94%3.93%
20195-9.04%-6.45%$15,467$19,513-9.04%-6.45%
201967.14%7.08%$16,571$20,8947.14%7.08%
201971.19%1.41%$16,768$21,1891.19%1.41%
20198-4.62%-2.08%$15,992$20,748-4.62%-2.08%
201991.31%1.78%$16,203$21,1171.31%1.78%
2019103.65%2.11%$16,794$21,5623.65%2.11%
2019113.68%3.79%$17,412$22,3793.68%3.79%
2019121.88%2.80%$17,740$23,0061.88%2.80%
20201-4.04%-0.06%$17,023$22,992-4.04%-0.06%
20202-8.57%-8.00%$15,564$21,153-8.57%-8.00%
20203-22.34%-13.91%$12,087$18,211-22.34%-13.91%
2020413.94%13.13%$13,772$20,60213.94%13.13%
202055.88%5.40%$14,582$21,7145.88%5.40%
202063.91%2.29%$15,152$22,2123.91%2.29%
202075.43%5.74%$15,975$23,4885.43%5.74%
202085.23%7.10%$16,811$25,1565.23%7.10%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%30.97%
Large-cap Growth2.80%50.68%
Mid-cap Value0.00%7.12%
Mid-cap Growth9.37%4.37%
Small-cap Value44.68%3.24%
Small-cap Growth42.59%2.99%
Global ex-US Developed Markets0.56%0.15%
Emerging Markets0.00%0.46%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared97.57%99.84%
Style analysis is based on monthly returns from Apr 2013 to Aug 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
QSMLXAQR Small Cap Multi-Style ISmall Blend100.00%0.60%14.17$6,811100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%0.03%25.00$15,156100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/27/2020. (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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.73%1.12%
Arithmetic Mean (annualized)9.08%14.33%
Geometric Mean (monthly)0.59%1.04%
Geometric Mean (annualized)7.25%13.25%
Volatility (monthly)5.25%4.00%
Volatility (annualized)18.20%13.87%
Downside Deviation (monthly)3.73%2.57%
Max. Drawdown-36.01%-20.84%
US Market Correlation0.911.00
Beta(*)1.201.00
Alpha (annualized)-7.33%0.07%
R283.40%99.96%
Sharpe Ratio0.440.91
Sortino Ratio0.611.40
Treynor Ratio (%)6.6212.67
Calmar Ratio0.060.67
Active Return-5.88%0.11%
Tracking Error7.92%0.29%
Information Ratio-0.740.39
Skewness-0.98-0.68
Excess Kurtosis3.492.47
Historical Value-at-Risk (5%)-8.81%-6.93%
Analytical Value-at-Risk (5%)-7.91%-5.46%
Conditional Value-at-Risk (5%)-12.99%-9.62%
Upside Capture Ratio (%)94.37100.78
Downside Capture Ratio (%)130.45100.54
Safe Withdrawal Rate20.18%21.43%
Perpetual Withdrawal Rate5.68%10.95%
Positive Periods57 out of 89 (64.04%)65 out of 89 (73.03%)
Gain/Loss Ratio0.790.78
* 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 months-36.01%
2Apr 2015Jan 201610 monthsJul 20166 months1 year 4 months-13.89%
3Jul 2014Sep 20143 monthsDec 20143 months6 months-6.23%
4Oct 2016Oct 20161 monthNov 20161 month2 months-4.87%
5Jan 2014Jan 20141 monthMar 20142 months3 months-4.81%
6Feb 2018Feb 20181 monthMay 20183 months4 months-4.77%
7Aug 2013Aug 20131 monthSep 20131 month2 months-4.20%
8Jan 2015Jan 20151 monthFeb 20151 month2 months-4.10%
9May 2017May 20171 monthJul 20172 months3 months-3.37%
10Apr 2014Apr 20141 monthJun 20142 months3 months-3.08%
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-20.84%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
4May 2019May 20191 monthJun 20191 month2 months-6.45%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.17%
7Aug 2013Aug 20131 monthSep 20131 month2 months-3.03%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
9Oct 2016Oct 20161 monthNov 20161 month2 months-2.19%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.10%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QSMLXAQR Small Cap Multi-Style I7.25%18.20%29.32%-14.02%-36.01%0.440.610.91
VTIVanguard Total Stock Market ETF13.25%13.87%30.67%-5.21%-20.84%0.911.401.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameQSMLXVTIPortfolio 1Portfolio 2
QSMLXAQR Small Cap Multi-Style I1.000.911.000.91
VTIVanguard Total Stock Market ETF0.911.000.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
QSMLXAQR Small Cap Multi-Style I$6,811
VTIVanguard Total Stock Market ETF$15,156

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
QSMLXAQR Small Cap Multi-Style I100.00%
VTIVanguard Total Stock Market ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.22%22.49%-14.02%12.07%30.67%-5.21%
3 years6.04%8.53%4.21%10.77%14.51%8.42%
5 years4.20%5.77%2.64%9.56%11.20%7.92%
Result statistics are based on annualized rolling returns over full calendar year periods