Backtest Portfolio Asset Allocation

This online 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 2014 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
AMOMX AQR Large Cap Momentum Style I 100.00%
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Portfolio 2
Ticker Name Allocation
MTUM iShares Edge MSCI USA Momentum Fctr ETF 100.00%
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Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 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$14,655 10.03% 10.01%23.88%2.95%-9.59% 0.981.760.91
Portfolio 2$10,000$18,024 15.87% 9.95%37.50%5.00%-7.78% 1.523.250.83
Portfolio 3$10,000$15,635 11.82% 9.56%21.67%1.25%-8.38% 1.202.230.99
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual 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
Annual returns for the configured portfolios
YearInflationReturnBalanceAQR Large Cap Momentum Style I (AMOMX)iShares Edge MSCI USA Momentum Fctr ETF (MTUM)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20140.76%9.81%14.61%13.51%$10,981$11,461$11,3519.81%14.61%13.51%
20150.73%2.95%8.93%1.25%$11,305$12,485$11,4932.95%8.93%1.25%
20162.07%4.65%5.00%11.82%$11,830$13,109$12,8514.65%5.00%11.82%
20172.11%23.88%37.50%21.67%$14,655$18,024$15,63523.88%37.50%21.67%
Monthly returns for the configured portfolios
YearMonthReturnBalanceAQR Large Cap Momentum Style I (AMOMX)iShares Edge MSCI USA Momentum Fctr ETF (MTUM)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20141-1.69%-2.32%-3.47%$9,831$9,768$9,653-1.69%-2.32%-3.47%
201426.10%6.72%4.56%$10,430$10,425$10,0936.10%6.72%4.56%
20143-2.59%-3.42%0.82%$10,159$10,068$10,176-2.59%-3.42%0.82%
20144-2.33%-0.99%0.72%$9,923$9,968$10,250-2.33%-0.99%0.72%
201453.46%4.07%2.33%$10,266$10,374$10,4903.46%4.07%2.33%
201463.72%2.07%2.05%$10,648$10,588$10,7053.72%2.07%2.05%
20147-2.13%-1.04%-1.39%$10,420$10,478$10,556-2.13%-1.04%-1.39%
201484.78%4.60%3.98%$10,918$10,960$10,9764.78%4.60%3.98%
20149-3.10%-0.67%-1.41%$10,580$10,887$10,821-3.10%-0.67%-1.41%
2014101.96%2.30%2.42%$10,788$11,137$11,0841.96%2.30%2.42%
2014112.69%3.75%2.68%$11,078$11,555$11,3812.69%3.75%2.68%
201412-0.87%-0.81%-0.26%$10,981$11,461$11,351-0.87%-0.81%-0.26%
20151-0.77%-0.69%-3.02%$10,896$11,382$11,008-0.77%-0.69%-3.02%
201524.58%5.43%5.74%$11,395$12,000$11,6404.58%5.43%5.74%
20153-0.61%-1.05%-1.59%$11,326$11,875$11,455-0.61%-1.05%-1.59%
20154-1.69%-1.04%0.95%$11,135$11,751$11,563-1.69%-1.04%0.95%
201552.96%3.36%1.27%$11,464$12,147$11,7112.96%3.36%1.27%
20156-1.44%-0.34%-1.93%$11,300$12,105$11,484-1.44%-0.34%-1.93%
201573.10%3.79%2.08%$11,650$12,564$11,7233.10%3.79%2.08%
20158-6.34%-6.00%-6.04%$10,912$11,810$11,015-6.34%-6.00%-6.04%
20159-2.87%-1.89%-2.49%$10,599$11,587$10,741-2.87%-1.89%-2.49%
2015107.21%7.32%8.42%$11,363$12,435$11,6457.21%7.32%8.42%
2015110.61%0.53%0.29%$11,432$12,501$11,6790.61%0.53%0.29%
201512-1.11%-0.13%-1.59%$11,305$12,485$11,493-1.11%-0.13%-1.59%
20161-5.50%-3.81%-4.98%$10,683$12,009$10,921-5.50%-3.81%-4.98%
20162-1.40%-1.28%-0.15%$10,533$11,856$10,905-1.40%-1.28%-0.15%
201636.24%5.31%6.78%$11,190$12,485$11,6446.24%5.31%6.78%
20164-0.31%-0.63%0.37%$11,155$12,407$11,687-0.31%-0.63%0.37%
201651.91%2.45%1.78%$11,368$12,711$11,8951.91%2.45%1.78%
201661.93%2.95%0.25%$11,587$13,086$11,9251.93%2.95%0.25%
201672.73%2.68%3.68%$11,904$13,437$12,3642.73%2.68%3.68%
20168-1.11%-1.49%0.13%$11,772$13,236$12,380-1.11%-1.49%0.13%
201690.05%0.50%0.01%$11,778$13,302$12,3810.05%0.50%0.01%
201610-2.25%-1.94%-1.83%$11,512$13,044$12,154-2.25%-1.94%-1.83%
2016111.50%-0.59%3.70%$11,685$12,967$12,6031.50%-0.59%3.70%
2016121.24%1.10%1.96%$11,830$13,109$12,8511.24%1.10%1.96%
201712.74%3.15%1.88%$12,154$13,522$13,0932.74%3.15%1.88%
201723.02%3.80%3.96%$12,522$14,035$13,6113.02%3.80%3.96%
201730.30%2.05%0.10%$12,559$14,323$13,6250.30%2.05%0.10%
201740.89%2.58%1.02%$12,671$14,692$13,7640.89%2.58%1.02%
201751.62%4.77%1.39%$12,877$15,392$13,9561.62%4.77%1.39%
201760.48%0.35%0.61%$12,939$15,446$14,0410.48%0.35%0.61%
201772.79%3.48%2.04%$13,300$15,983$14,3282.79%3.48%2.04%
201781.12%1.47%0.29%$13,450$16,217$14,3701.12%1.47%0.29%
201791.90%2.81%2.06%$13,705$16,673$14,6661.90%2.81%2.06%
2017104.05%5.04%2.32%$14,260$17,513$15,0064.05%5.04%2.32%
2017112.58%2.80%3.06%$14,627$18,002$15,4652.58%2.80%3.06%
2017120.19%0.12%1.10%$14,655$18,024$15,6350.19%0.12%1.10%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%45.91%
Large-cap Growth57.23%87.53%53.19%
Mid-cap Value0.00%0.00%0.04%
Mid-cap Growth35.99%3.55%0.00%
Small-cap Value0.00%0.00%0.47%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.61%0.00%0.09%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.79%6.62%0.00%
Intermediate-Term Treasuries5.38%2.30%0.00%
Short-Term Treasuries0.00%0.00%0.30%
R Squared92.21%85.01%99.96%
Style analysis is based on monthly returns from Jan 2014 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
AMOMXAQR Large Cap Momentum Style ILarge Growth100.00%$4,655100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
MTUMiShares Edge MSCI USA Momentum Fctr ETFLarge Growth100.00%$8,024100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$5,635100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/05/2018. © 2018 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)0.84%1.27%0.97%
Arithmetic Mean (annualized)10.56%16.42%12.31%
Geometric Mean (monthly)0.80%1.23%0.94%
Geometric Mean (annualized)10.03%15.87%11.82%
Volatility (monthly)2.89%2.87%2.76%
Volatility (annualized)10.01%9.95%9.56%
Downside Deviation (monthly)1.61%1.33%1.48%
Max. Drawdown-9.59%-7.78%-8.38%
US Market Correlation0.910.830.99
Beta(*)0.930.840.97
Alpha (annualized)-0.41%5.83%0.76%
R283.17%68.53%98.49%
Sharpe Ratio0.981.521.20
Sortino Ratio1.763.252.23
Treynor Ratio (%)10.5317.8711.77
Information Ratio-0.280.700.35
Diversification Ratio1.001.001.00
Skewness-0.12-0.090.03
Excess Kurtosis0.04-0.310.95
Historical Value-at-Risk (5%)-4.42%-3.63%-4.30%
Analytical Value-at-Risk (5%)-3.91%-3.45%-3.57%
Conditional Value-at-Risk (5%)-5.92%-4.90%-5.51%
Upside Capture Ratio (%)90.86108.89100.30
Downside Capture Ratio (%)95.1870.0195.33
Positive Periods30 out of 48 (62.50%)29 out of 48 (60.42%)35 out of 48 (72.92%)
Gain/Loss Ratio1.231.990.95
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2015Feb 20167 monthsJul 20165 months1 year-9.59%
2Mar 2014Apr 20142 monthsJun 20142 months4 months-4.87%
3Aug 2016Oct 20163 monthsJan 20173 months6 months-3.29%
4Sep 2014Sep 20141 monthNov 20142 months3 months-3.10%
5Mar 2015Apr 20152 monthsMay 20151 month3 months-2.28%
6Jul 2014Jul 20141 monthAug 20141 month2 months-2.13%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-1.69%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.64%
9Jun 2015Jun 20151 monthJul 20151 month2 months-1.44%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2015Sep 20152 monthsMay 20168 months10 months-7.78%
2Mar 2014Apr 20142 monthsJun 20142 months4 months-4.38%
3Aug 2016Nov 20164 monthsJan 20172 months6 months-3.50%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-2.32%
5Mar 2015Apr 20152 monthsMay 20151 month3 months-2.07%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.49%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.04%
8Sep 2014Sep 20141 monthOct 20141 month2 months-0.67%
9Jun 2015Jun 20151 monthJul 20151 month2 months-0.34%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
2Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
3Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
4Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
5Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
6Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
7Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
AMOMXAQR Large Cap Momentum Style I10.03%10.01%23.88%2.95%-9.59%0.981.760.91
MTUMiShares Edge MSCI USA Momentum Fctr ETF15.87%9.95%37.50%5.00%-7.78%1.523.250.83
VFINXVanguard 500 Index Investor11.82%9.56%21.67%1.25%-8.38%1.202.230.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameAMOMXMTUMVFINXPortfolio 1Portfolio 2Portfolio 3
AMOMXAQR Large Cap Momentum Style I-0.950.901.000.950.90
MTUMiShares Edge MSCI USA Momentum Fctr ETF0.95-0.840.951.000.84
VFINXVanguard 500 Index Investor0.900.84-0.900.841.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
AMOMXAQR Large Cap Momentum Style I$4,655
MTUMiShares Edge MSCI USA Momentum Fctr ETF$8,024
VFINXVanguard 500 Index Investor$5,635

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
AMOMXAQR Large Cap Momentum Style I100.00%
MTUMiShares Edge MSCI USA Momentum Fctr ETF100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns