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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2017 - Jan 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PIMIX PIMCO Income Instl 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,896 5.79% 1.90%8.60%0.58%-1.11% 2.084.300.32
Portfolio 2$10,000$15,236 14.63% 11.89%31.22%-4.56%-13.52% 1.081.591.00
AlphaCentric Income Opportunities I$10,000$13,569 10.40% 2.67%14.04%1.77%-0.87% 3.0812.930.05
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 yearFull
Portfolio 12.61%0.79%7.14%5.65%5.79%
Portfolio 26.59%-0.04%21.45%14.39%14.63%
AlphaCentric Income Opportunities I2.24%1.77%12.98%10.55%10.40%
Trailing returns are for full months ending in January 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 2020 are based on monthly returns from January to January
  • 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
YearInflationReturnBalancePIMCO Income Instl (PIMIX)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2AlphaCentric Income Opportunities IPortfolio 1Portfolio 2AlphaCentric Income Opportunities I
20172.11%8.60%21.70%14.04%$10,860$12,170$11,4048.60%21.70%
20181.91%0.58%-4.56%4.45%$10,923$11,615$11,9110.58%-4.56%
20192.29%8.05%31.22%11.93%$11,802$15,242$13,3328.05%31.22%
20200.39%0.79%-0.04%1.77%$11,896$15,236$13,5690.79%-0.04%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalancePIMCO Income Instl (PIMIX)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2AlphaCentric Income Opportunities IPortfolio 1Portfolio 2AlphaCentric Income Opportunities I
201710.87%1.79%0.42%$10,087$10,179$10,0420.87%1.79%
201721.20%3.93%1.57%$10,209$10,579$10,2001.20%3.93%
201730.78%0.13%0.86%$10,289$10,592$10,2870.78%0.13%
201740.70%0.99%0.59%$10,360$10,697$10,3480.70%0.99%
201751.02%1.41%2.43%$10,466$10,848$10,6001.02%1.41%
201760.53%0.64%0.85%$10,522$10,917$10,6900.53%0.64%
201770.61%2.06%1.10%$10,586$11,142$10,8070.61%2.06%
201780.93%0.29%2.79%$10,685$11,174$11,1090.93%0.29%
201790.53%2.01%1.66%$10,741$11,399$11,2930.53%2.01%
2017100.53%2.36%0.66%$10,798$11,668$11,3680.53%2.36%
2017110.29%3.06%0.58%$10,829$12,025$11,4340.29%3.06%
2017120.29%1.21%-0.26%$10,860$12,170$11,4040.29%1.21%
20181-0.28%5.64%0.66%$10,830$12,856$11,480-0.28%5.64%
20182-0.44%-3.64%-0.07%$10,782$12,388$11,471-0.44%-3.64%
201830.45%-2.74%0.58%$10,831$12,049$11,5380.45%-2.74%
20184-0.45%0.52%0.75%$10,782$12,111$11,624-0.45%0.52%
20185-0.04%2.43%0.42%$10,778$12,406$11,673-0.04%2.43%
201860.05%0.58%0.58%$10,783$12,477$11,7410.05%0.58%
201870.55%3.70%0.25%$10,842$12,939$11,7710.55%3.70%
20188-0.16%3.19%1.48%$10,825$13,352$11,945-0.16%3.19%
201890.17%0.59%0.50%$10,843$13,432$12,0050.17%0.59%
201810-0.12%-6.91%0.10%$10,830$12,503$12,016-0.12%-6.91%
2018110.05%1.85%-0.80%$10,835$12,735$11,9200.05%1.85%
2018120.81%-8.79%-0.07%$10,923$11,615$11,9110.81%-8.79%
201911.66%8.01%0.83%$11,104$12,545$12,0101.66%8.01%
201920.46%3.24%0.01%$11,155$12,952$12,0110.46%3.24%
201930.88%1.81%1.49%$11,254$13,186$12,1900.88%1.81%
201940.88%4.09%0.91%$11,353$13,725$12,3010.88%4.09%
201950.46%-6.38%1.39%$11,405$12,850$12,4720.46%-6.38%
201961.04%6.96%0.82%$11,524$13,744$12,5751.04%6.96%
201970.29%1.51%1.12%$11,557$13,952$12,7150.29%1.51%
20198-1.11%-1.67%2.38%$11,429$13,718$13,017-1.11%-1.67%
201990.72%1.95%0.47%$11,511$13,985$13,0780.72%1.95%
2019100.72%2.21%1.48%$11,593$14,295$13,2710.72%2.21%
2019110.46%3.62%0.46%$11,647$14,812$13,3320.46%3.62%
2019121.33%2.90%0.00%$11,802$15,242$13,3321.33%2.90%
202010.79%-0.04%1.77%$11,896$15,236$13,5690.79%-0.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value45.35%
Large-cap Growth54.10%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.26%
Small-cap Growth0.00%
Global ex-US Developed Markets0.29%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.96%
Style analysis is based on monthly returns from Jan 2017 to Jan 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/EDurationReturn ContributionRisk Contribution
PIMIXPIMCO Income InstlMultisector Bond100.00%1.09%7.881.67$1,896100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%0.09%26.67$5,236100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 2AlphaCentric Income Opportunities I
Arithmetic Mean (monthly)0.47%1.20%0.83%
Arithmetic Mean (annualized)5.81%15.42%10.44%
Geometric Mean (monthly)0.47%1.14%0.83%
Geometric Mean (annualized)5.79%14.63%10.40%
Volatility (monthly)0.55%3.43%0.77%
Volatility (annualized)1.90%11.89%2.67%
Downside Deviation (monthly)0.22%2.26%0.14%
Max. Drawdown-1.11%-13.52%-0.87%
US Market Correlation0.321.000.05
Beta(*)0.080.281.00
Alpha (annualized)4.86%11.61%0.00%
R21.26%0.40%100.00%
Sharpe Ratio2.081.083.08
Sortino Ratio4.301.5912.93
Treynor Ratio (%)50.5145.268.35
Calmar Ratio5.081.0612.09
Active Return-4.61%4.23%N/A
Tracking Error3.10%12.02%N/A
Information Ratio-1.490.35N/A
Skewness-0.57-1.070.57
Excess Kurtosis0.932.020.49
Historical Value-at-Risk (5%)-0.51%-7.10%-0.32%
Analytical Value-at-Risk (5%)-0.43%-4.44%-0.44%
Conditional Value-at-Risk (5%)-1.11%-8.79%-0.80%
Upside Capture Ratio (%)47.07159.31100.00
Downside Capture Ratio (%)-57.63802.74100.00
Safe Withdrawal Rate35.78%41.10%38.95%
Perpetual Withdrawal Rate3.51%11.15%7.66%
Positive Periods30 out of 37 (81.08%)30 out of 37 (81.08%)32 out of 37 (86.49%)
Gain/Loss Ratio1.800.583.30
* AlphaCentric Income Opportunities I 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
1Aug 2019Aug 20191 monthOct 20192 months3 months-1.11%
2Jan 2018May 20185 monthsDec 20187 months1 year-0.75%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
2May 2019May 20191 monthJun 20191 month2 months-6.38%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
4Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%
5Jan 2020Jan 20201 month-0.04%

Drawdowns for AlphaCentric Income Opportunities I

Drawdowns for AlphaCentric Income Opportunities I
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2018Dec 20182 monthsMar 20193 months5 months-0.87%
2Dec 2017Dec 20171 monthJan 20181 month2 months-0.26%
3Feb 2018Feb 20181 monthMar 20181 month2 months-0.07%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PIMIXPIMCO Income Instl5.79%1.90%8.60%0.58%-1.11%2.084.300.32
SPYSPDR S&P 500 ETF Trust14.63%11.89%31.22%-4.56%-13.52%1.081.591.00

Monthly Correlations

Correlations for the portfolio assets
TickerNamePIMIXSPYPortfolio 1Portfolio 2AlphaCentric Income Opportunities I
PIMIXPIMCO Income Instl1.000.321.000.320.11
SPYSPDR S&P 500 ETF Trust0.321.000.321.000.06

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PIMIXPIMCO Income Instl$1,896
SPYSPDR S&P 500 ETF Trust$5,236

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PIMIXPIMCO Income Instl100.00%
SPYSPDR S&P 500 ETF Trust100.00%

Annual Asset Returns