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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2017 - Jul 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SUPIX Superfund Managed Futures Strategy I 50.00%
VT Vanguard Total World Stock ETF 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
VFITX Vanguard Interm-Term Treasury Inv 100.00%
CASHX Cash -100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,218 11.40% 12.45%26.26%-10.91%-16.23% 0.811.160.78
Portfolio 2$10,000$13,544 12.46% 11.58%25.43%-10.31%-13.61% 0.941.440.93
Portfolio 3$10,000$13,046 10.84% 12.00%24.49%-9.76%-14.45% 0.791.140.97
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to July
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSuperfund Managed Futures Strategy I (SUPIX)Vanguard Total World Stock ETF (VT)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20172.11%26.26%25.43%24.49%$12,626$12,543$12,44927.70%24.49%1.57%0.79%
20181.91%-10.91%-10.31%-9.76%$11,248$11,249$11,234-12.66%-9.76%1.00%1.80%
20192.12%17.51%20.40%16.13%$13,218$13,544$13,04618.75%16.13%5.04%1.37%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSuperfund Managed Futures Strategy I (SUPIX)Vanguard Total World Stock ETF (VT)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201711.50%3.26%3.00%$10,150$10,326$10,3000.00%3.00%0.30%0.04%
201722.96%3.04%2.69%$10,450$10,641$10,5773.23%2.69%0.39%0.04%
201731.78%1.51%1.48%$10,636$10,801$10,7332.08%1.48%0.07%0.03%
201740.30%2.35%1.63%$10,668$11,055$10,908-1.02%1.63%0.77%0.05%
201751.89%2.48%1.95%$10,870$11,329$11,1201.83%1.95%0.59%0.06%
201760.37%0.09%0.63%$10,910$11,340$11,1890.11%0.63%-0.47%0.06%
201773.29%3.00%2.65%$11,269$11,680$11,4863.93%2.65%0.42%0.07%
201780.26%1.19%0.42%$11,299$11,818$11,5340.11%0.42%0.86%0.09%
201791.76%1.18%2.11%$11,497$11,958$11,7771.40%2.11%-0.83%0.09%
2017107.18%1.81%2.11%$12,322$12,175$12,02512.25%2.11%-0.21%0.09%
2017110.90%1.43%1.90%$12,433$12,349$12,253-0.09%1.90%-0.39%0.08%
2017121.55%1.57%1.60%$12,626$12,543$12,4491.51%1.60%0.07%0.09%
201815.09%3.82%5.48%$13,269$13,022$13,1314.69%5.48%-1.56%0.11%
20182-8.37%-5.04%-4.44%$12,158$12,366$12,548-12.30%-4.44%-0.49%0.11%
201830.19%-0.66%-1.29%$12,181$12,284$12,3861.66%-1.29%0.75%0.12%
201841.38%-0.64%0.42%$12,349$12,206$12,4392.34%0.42%-0.92%0.14%
20185-1.66%1.19%0.57%$12,144$12,350$12,509-3.89%0.57%0.76%0.14%
20186-1.31%-0.63%-0.60%$11,985$12,272$12,434-2.02%-0.60%0.11%0.14%
201872.47%2.37%2.88%$12,281$12,562$12,7922.06%2.88%-0.35%0.16%
201881.14%1.47%0.86%$12,421$12,747$12,9021.43%0.86%0.77%0.16%
20189-1.89%-0.88%0.08%$12,186$12,634$12,912-3.87%0.08%-0.82%0.15%
201810-8.79%-8.08%-7.82%$11,115$11,614$11,903-9.76%-7.82%-0.06%0.19%
2018112.49%2.52%1.73%$11,391$11,906$12,1093.24%1.73%0.96%0.18%
201812-1.26%-5.52%-7.22%$11,248$11,249$11,2344.71%-7.22%1.90%0.19%
201914.93%8.36%7.99%$11,803$12,190$12,1311.88%7.99%0.58%0.21%
201923.13%2.37%2.82%$12,172$12,479$12,4733.44%2.82%-0.26%0.18%
201932.67%2.65%1.06%$12,497$12,810$12,6064.27%1.06%1.78%0.19%
201944.52%3.21%3.47%$13,062$13,222$13,0435.57%3.47%-0.05%0.21%
20195-5.30%-4.13%-5.97%$12,369$12,676$12,265-4.63%-5.97%2.05%0.21%
201966.46%7.21%6.37%$13,169$13,590$13,0466.55%6.37%1.02%0.18%
201970.37%-0.34%0.00%$13,218$13,544$13,0460.74%0.00%-0.16%0.18%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SUPIXSuperfund Managed Futures Strategy IManaged Futures50.00%$1,66858.92%
VTVanguard Total World Stock ETFWorld Large Stock0.09%50.00%$1,54941.08%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large Stock0.09%100.00%$3,046100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/05/2019. © 2019 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 2Portfolio 3
Arithmetic Mean (monthly)0.97%1.04%0.92%
Arithmetic Mean (annualized)12.25%13.19%11.62%
Geometric Mean (monthly)0.90%0.98%0.86%
Geometric Mean (annualized)11.40%12.46%10.84%
Volatility (monthly)3.60%3.34%3.46%
Volatility (annualized)12.45%11.58%12.00%
Downside Deviation (monthly)2.44%2.13%2.35%
Max. Drawdown-16.23%-13.61%-14.45%
US Market Correlation0.780.930.97
Beta(*)0.740.820.89
Alpha (annualized)1.72%1.44%-0.83%
R260.07%86.12%93.19%
Sharpe Ratio0.810.940.79
Sortino Ratio1.161.441.14
Treynor Ratio (%)13.6313.2610.71
Active Return-1.88%-0.82%-2.44%
Tracking Error8.57%4.89%3.45%
Information Ratio-0.22-0.17-0.71
Skewness-1.10-0.69-0.89
Excess Kurtosis1.931.681.56
Historical Value-at-Risk (5%)-8.54%-6.54%-7.46%
Analytical Value-at-Risk (5%)-4.85%-4.37%-4.78%
Conditional Value-at-Risk (5%)-8.79%-8.08%-7.82%
Upside Capture Ratio (%)82.6686.3785.92
Downside Capture Ratio (%)82.6581.6292.80
Safe Withdrawal Rate57.68%57.50%57.25%
Perpetual Withdrawal Rate10.34%11.42%9.74%
Positive Periods24 out of 31 (77.42%)22 out of 31 (70.97%)24 out of 31 (77.42%)
Gain/Loss Ratio0.600.920.51
* 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
1Feb 2018Oct 20189 months-16.23%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-13.61%
2May 2019May 20191 monthJun 20191 month2 months-4.13%
3Jul 2019Jul 20191 month-0.34%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-14.45%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SUPIXSuperfund Managed Futures Strategy I11.49%15.96%27.70%-12.66%-22.84%0.670.970.48
VTVanguard Total World Stock ETF10.84%12.00%24.49%-9.76%-14.45%0.791.140.97
VFITXVanguard Interm-Term Treasury Inv2.93%2.88%5.04%1.00%-3.53%0.500.84-0.30
CASHXCash1.54%0.20%1.80%0.79%0.00%-0.21-0.28-0.10

Monthly Correlations

Correlations for the portfolio assets
TickerNameSUPIXVTVFITXCASHXPortfolio 1Portfolio 2Portfolio 3
SUPIXSuperfund Managed Futures Strategy I-0.580.07-0.040.920.620.58
VTVanguard Total World Stock ETF0.58--0.27-0.190.850.971.00
VFITXVanguard Interm-Term Treasury Inv0.07-0.27-0.29-0.09-0.04-0.27
CASHXCash-0.04-0.190.29--0.12-0.14-0.19

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SUPIXSuperfund Managed Futures Strategy I$1,668
VTVanguard Total World Stock ETF$1,549$3,134$3,046
VFITXVanguard Interm-Term Treasury Inv$893
CASHXCash-$483

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SUPIXSuperfund Managed Futures Strategy I58.92%
VTVanguard Total World Stock ETF41.08%100.69%100.00%
VFITXVanguard Interm-Term Treasury Inv-0.94%
CASHXCash0.24%

Annual Asset Returns