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 (Dec 2015 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SEMIX Semper Short Duration Institutional 34.00%
IOFIX AlphaCentric Income Opportunities I 33.00%
VFINX Vanguard 500 Index Investor 33.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IOFIX AlphaCentric Income Opportunities I 67.00%
VFINX Vanguard 500 Index Investor 33.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,135 8.85% 4.19%15.50%-0.26%-4.81% 1.742.900.97
Portfolio 2$10,000$15,471 11.28% 4.53%18.33%0.07%-5.13% 2.113.820.91
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 yearFull
Portfolio 14.09%15.50%9.50%8.85%
Portfolio 24.43%18.33%11.86%11.28%
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.
  • The annual results for 2015 are based on monthly returns from December 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 annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSemper Short Duration Institutional (SEMIX)AlphaCentric Income Opportunities I (IOFIX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
2015-0.34%-0.26%0.07%$9,974$10,007-0.08%0.88%-1.59%
20162.07%7.94%10.45%$10,766$11,0532.39%9.78%11.82%
20172.11%12.81%16.56%$12,145$12,8823.03%14.04%21.67%
20181.91%0.77%1.49%$12,239$13,0742.33%4.45%-4.52%
20192.29%15.50%18.33%$14,135$15,4713.60%11.93%31.33%
Annual returns for 2015 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSemper Short Duration Institutional (SEMIX)AlphaCentric Income Opportunities I (IOFIX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201512-0.26%0.07%$9,974$10,007-0.08%0.88%-1.59%
20161-1.80%-1.98%$9,794$9,8080.02%-0.51%-4.98%
20162-0.15%-0.14%$9,779$9,794-0.17%-0.14%-0.15%
201632.57%2.84%$10,031$10,0720.22%0.98%6.78%
201641.32%2.16%$10,163$10,2890.57%3.04%0.37%
201650.73%0.86%$10,237$10,378-0.00%0.42%1.78%
201660.23%0.36%$10,260$10,4160.01%0.42%0.25%
201671.80%2.23%$10,445$10,6480.22%1.51%3.68%
201680.27%0.20%$10,473$10,6690.44%0.24%0.13%
201690.81%1.37%$10,558$10,8150.39%2.04%0.01%
201610-0.44%-0.38%$10,511$10,7730.20%0.33%-1.83%
2016111.52%1.66%$10,672$10,9530.20%0.69%3.70%
2016120.89%0.91%$10,766$11,0530.27%0.39%1.96%
201710.83%0.90%$10,856$11,1520.22%0.42%1.88%
201721.94%2.37%$11,066$11,4170.29%1.57%3.96%
201730.45%0.60%$11,116$11,4850.41%0.86%0.10%
201740.58%0.74%$11,180$11,5700.11%0.59%1.02%
201751.45%2.08%$11,342$11,8100.53%2.43%1.39%
201760.55%0.77%$11,405$11,9010.20%0.85%0.61%
201771.16%1.41%$11,537$12,0690.31%1.10%2.04%
201781.13%1.95%$11,667$12,3050.30%2.79%0.29%
201791.32%1.79%$11,821$12,5250.18%1.66%2.06%
2017101.10%1.21%$11,951$12,6770.25%0.66%2.32%
2017111.27%1.41%$12,104$12,8560.05%0.58%3.06%
2017120.35%0.20%$12,145$12,8820.15%-0.26%1.10%
201812.17%2.33%$12,409$13,1830.20%0.66%5.71%
20182-1.26%-1.31%$12,253$13,0100.08%-0.07%-3.69%
20183-0.59%-0.46%$12,181$12,9500.22%0.58%-2.56%
201840.45%0.62%$12,236$13,0310.24%0.75%0.37%
201851.00%1.06%$12,359$13,1690.24%0.42%2.39%
201860.48%0.59%$12,418$13,2470.25%0.58%0.61%
201871.40%1.39%$12,591$13,4310.25%0.25%3.71%
201881.67%2.08%$12,801$13,7100.25%1.48%3.25%
201890.44%0.52%$12,857$13,7810.25%0.50%0.55%
201810-2.24%-2.27%$12,569$13,4680.26%0.10%-6.85%
2018110.41%0.12%$12,621$13,4840.04%-0.80%2.03%
201812-3.03%-3.04%$12,239$13,0740.03%-0.07%-9.04%
201913.01%3.20%$12,606$13,4920.27%0.83%8.00%
201921.23%1.11%$12,761$13,6420.36%0.01%3.20%
201931.32%1.65%$12,930$13,8670.50%1.49%1.94%
201941.85%2.02%$13,169$14,1460.38%0.91%4.04%
20195-1.75%-1.40%$12,939$13,9480.38%1.39%-6.36%
201962.75%2.95%$13,295$14,3590.17%0.82%7.03%
201970.96%1.23%$13,423$14,5350.27%1.12%1.43%
201980.27%0.96%$13,459$14,6750.26%2.38%-1.59%
201990.89%0.95%$13,579$14,8140.25%0.47%1.86%
2019101.33%1.71%$13,760$15,0680.24%1.48%2.15%
2019111.53%1.57%$13,970$15,3050.23%0.46%3.62%
2019121.18%1.08%$14,135$15,4710.24%0.00%3.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value15.44%
Large-cap Growth21.67%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets1.84%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries61.05%
R Squared89.09%
Style analysis is based on monthly returns from Dec 2015 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SEMIXSemper Short Duration InstitutionalUltrashort Bond34.00%0.61%0.81$4351.32%
IOFIXAlphaCentric Income Opportunities IMultisector Bond33.00%1.50%59.99$1,5108.22%
VFINXVanguard 500 Index InvestorLarge Blend33.00%0.14%26.69$2,19090.46%
100.00%0.75%43.340.81$4,135100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IOFIXAlphaCentric Income Opportunities IMultisector Bond67.00%1.50%59.99$3,18421.86%
VFINXVanguard 500 Index InvestorLarge Blend33.00%0.14%26.69$2,28778.14%
100.00%1.05%49.00$5,471100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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)0.72%0.90%
Arithmetic Mean (annualized)8.94%11.39%
Geometric Mean (monthly)0.71%0.89%
Geometric Mean (annualized)8.85%11.28%
Volatility (monthly)1.21%1.31%
Volatility (annualized)4.19%4.53%
Downside Deviation (monthly)0.68%0.68%
Max. Drawdown-4.81%-5.13%
US Market Correlation0.970.91
Beta(*)0.340.35
Alpha (annualized)4.17%6.32%
R293.63%83.37%
Sharpe Ratio1.742.11
Sortino Ratio2.903.82
Treynor Ratio (%)21.6227.69
Calmar Ratio1.972.31
Active Return-4.24%-1.80%
Tracking Error7.98%8.04%
Information Ratio-0.53-0.22
Skewness-1.03-0.99
Excess Kurtosis1.681.31
Historical Value-at-Risk (5%)-2.02%-2.13%
Analytical Value-at-Risk (5%)-1.21%-1.19%
Conditional Value-at-Risk (5%)-2.64%-2.66%
Upside Capture Ratio (%)46.9755.42
Downside Capture Ratio (%)27.9924.87
Safe Withdrawal Rate22.57%23.63%
Perpetual Withdrawal Rate5.19%6.89%
Positive Periods40 out of 49 (81.63%)41 out of 49 (83.67%)
Gain/Loss Ratio0.910.98
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsMar 20193 months6 months-4.81%
2Dec 2015Feb 20163 monthsMar 20161 month4 months-2.21%
3Feb 2018Mar 20182 monthsJun 20183 months5 months-1.84%
4May 2019May 20191 monthJun 20191 month2 months-1.75%
5Oct 2016Oct 20161 monthNov 20161 month2 months-0.44%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsMar 20193 months6 months-5.13%
2Jan 2016Feb 20162 monthsMar 20161 month3 months-2.12%
3Feb 2018Mar 20182 monthsJun 20183 months5 months-1.76%
4May 2019May 20191 monthJun 20191 month2 months-1.40%
5Oct 2016Oct 20161 monthNov 20161 month2 months-0.38%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SEMIXSemper Short Duration Institutional2.76%0.50%3.60%-0.08%-0.22%2.819.260.16
IOFIXAlphaCentric Income Opportunities I10.01%2.79%14.04%0.88%-0.87%2.9513.400.14
VFINXVanguard 500 Index Investor13.53%11.54%31.33%-4.52%-13.55%1.051.611.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSEMIXIOFIXVFINXPortfolio 1Portfolio 2
SEMIXSemper Short Duration Institutional1.000.580.160.310.37
IOFIXAlphaCentric Income Opportunities I0.581.000.140.360.52
VFINXVanguard 500 Index Investor0.160.141.000.970.92

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SEMIXSemper Short Duration Institutional$435
IOFIXAlphaCentric Income Opportunities I$1,510$3,184
VFINXVanguard 500 Index Investor$2,190$2,287

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SEMIXSemper Short Duration Institutional1.32%
IOFIXAlphaCentric Income Opportunities I8.22%21.86%
VFINXVanguard 500 Index Investor90.46%78.14%

Annual Asset Returns