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 2015 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VMNIX Vanguard Market Neutral I 100.00%
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Portfolio 2
Ticker Name Allocation
QMNIX AQR Equity Market Neutral I 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$10,381 0.94% 5.58%5.52%-4.83%-6.44% 0.070.11-0.10
Portfolio 2$10,000$11,629 3.84% 6.67%17.60%-11.73%-16.63% 0.490.80-0.15
   
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 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 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Market Neutral I (VMNIX)AQR Equity Market Neutral I (QMNIX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20150.73%5.52%17.60%$10,552$11,7605.52%17.60%
20162.07%2.70%5.85%$10,837$12,4482.70%5.85%
20172.11%-4.83%5.84%$10,314$13,175-4.83%5.84%
20181.91%0.65%-11.73%$10,381$11,6290.65%-11.73%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Market Neutral I (VMNIX)AQR Equity Market Neutral I (QMNIX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201511.14%2.90%$10,114$10,2901.14%2.90%
20152-2.07%-0.78%$9,904$10,210-2.07%-0.78%
201531.15%0.49%$10,017$10,2601.15%0.49%
20154-1.13%-2.34%$9,904$10,020-1.13%-2.34%
201550.71%4.29%$9,974$10,4500.71%4.29%
20156-0.88%-0.10%$9,886$10,440-0.88%-0.10%
201572.65%3.44%$10,148$10,7992.65%3.44%
20158-0.69%0.65%$10,079$10,869-0.69%0.65%
201595.11%5.79%$10,594$11,4995.11%5.79%
201510-0.58%0.09%$10,533$11,508-0.58%0.09%
201511-0.66%0.35%$10,463$11,548-0.66%0.35%
2015120.85%1.83%$10,552$11,7600.85%1.83%
201611.33%2.18%$10,692$12,0161.33%2.18%
201621.55%-0.34%$10,858$11,9751.55%-0.34%
20163-0.40%0.17%$10,814$11,996-0.40%0.17%
20164-1.78%-2.22%$10,622$11,729-1.78%-2.22%
20165-1.81%0.79%$10,430$11,822-1.81%0.79%
20166-1.26%-0.26%$10,298$11,791-1.26%-0.26%
201670.68%0.26%$10,368$11,8220.68%0.26%
20168-2.02%-0.17%$10,159$11,801-2.02%-0.17%
201690.52%1.30%$10,211$11,9550.52%1.30%
2016100.68%1.71%$10,281$12,1600.68%1.71%
2016114.08%1.01%$10,701$12,2834.08%1.01%
2016121.27%1.35%$10,837$12,4481.27%1.35%
20171-1.78%-0.58%$10,644$12,375-1.78%-0.58%
20172-0.25%0.84%$10,617$12,479-0.25%0.84%
20173-0.39%0.58%$10,576$12,552-0.39%0.58%
20174-0.08%0.33%$10,567$12,594-0.08%0.33%
20175-2.08%0.00%$10,347$12,594-2.08%0.00%
201760.08%-0.08%$10,356$12,5830.08%-0.08%
201770.93%0.83%$10,453$12,6870.93%0.83%
20178-1.34%2.46%$10,312$12,999-1.34%2.46%
201790.17%0.48%$10,330$13,0620.17%0.48%
2017100.68%1.27%$10,400$13,2280.68%1.27%
201711-1.01%-0.16%$10,295$13,207-1.01%-0.16%
2017120.18%-0.25%$10,314$13,1750.18%-0.25%
201811.55%2.12%$10,473$13,4551.55%2.12%
201820.17%-1.04%$10,491$13,3150.17%-1.04%
20183-0.17%-1.13%$10,473$13,164-0.17%-1.13%
20184-1.19%-2.61%$10,349$12,820-1.19%-2.61%
201852.06%-1.34%$10,562$12,6482.06%-1.34%
20186-1.77%-4.76%$10,375$12,046-1.77%-4.76%
201871.03%-0.36%$10,482$12,0031.03%-0.36%
201881.87%-1.52%$10,678$11,8201.87%-1.52%
20189-0.33%0.18%$10,642$11,841-0.33%0.18%
2018100.75%-3.27%$10,722$11,4540.75%-3.27%
201811-3.65%-2.07%$10,331$11,217-3.65%-2.07%
2018120.48%3.67%$10,381$11,6290.48%3.67%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%1.06%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth3.98%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%12.30%
Long-Term Treasuries0.00%6.41%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries96.02%80.22%
R Squared1.81%3.96%
Style analysis is based on monthly returns from Jan 2015 to Dec 2018 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VMNIXVanguard Market Neutral IMarket Neutral1.74%100.00%$381100.00%

Asset Allocation

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
QMNIXAQR Equity Market Neutral IMarket Neutral2.03%100.00%$1,629100.00%

Asset Allocation

Equity Market Capitalization

Fixed Income Maturity

Fund fundamentals data as of 06/05/2019. © 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 2
Arithmetic Mean (monthly)0.09%0.33%
Arithmetic Mean (annualized)1.09%4.07%
Geometric Mean (monthly)0.08%0.31%
Geometric Mean (annualized)0.94%3.84%
Volatility (monthly)1.61%1.93%
Volatility (annualized)5.58%6.67%
Downside Deviation (monthly)1.00%1.14%
Max. Drawdown-6.44%-16.63%
US Market Correlation-0.10-0.15
Beta(*)-0.05-0.09
Alpha (annualized)1.42%4.60%
R20.98%2.24%
Sharpe Ratio0.070.49
Sortino Ratio0.110.80
Treynor Ratio (%)-8.20-38.72
Calmar Ratio-0.08-0.02
Active Return-5.73%-2.82%
Tracking Error13.49%14.35%
Information Ratio-0.42-0.20
Skewness0.600.20
Excess Kurtosis1.461.23
Historical Value-at-Risk (5%)-2.08%-2.97%
Analytical Value-at-Risk (5%)-2.56%-2.84%
Conditional Value-at-Risk (5%)-2.86%-4.02%
Upside Capture Ratio (%)-9.222.64
Downside Capture Ratio (%)-25.25-28.99
Safe Withdrawal Rate25.30%29.42%
Perpetual Withdrawal Rate0.00%2.06%
Positive Periods25 out of 48 (52.08%)27 out of 48 (56.25%)
Gain/Loss Ratio1.071.21
* 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
1Mar 2016Aug 20166 months-6.44%
2Feb 2015Jun 20155 monthsJul 20151 month6 months-2.25%
3Oct 2015Nov 20152 monthsJan 20162 months4 months-1.24%
4Aug 2015Aug 20151 monthSep 20151 month2 months-0.69%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Nov 201810 months-16.63%
2Feb 2015Apr 20153 monthsMay 20151 month4 months-2.62%
3Feb 2016Apr 20163 monthsOct 20166 months9 months-2.39%
4Jan 2017Jan 20171 monthFeb 20171 month2 months-0.58%
5Nov 2017Dec 20172 monthsJan 20181 month3 months-0.40%
6Jun 2015Jun 20151 monthJul 20151 month2 months-0.10%
7Jun 2017Jun 20171 monthJul 20171 month2 months-0.08%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VMNIXVanguard Market Neutral I0.94%5.58%5.52%-4.83%-6.44%0.070.11-0.10
QMNIXAQR Equity Market Neutral I3.84%6.67%17.60%-11.73%-16.63%0.490.80-0.15

Monthly Correlations

Correlations for the portfolio assets
TickerNameVMNIXQMNIXPortfolio 1Portfolio 2
VMNIXVanguard Market Neutral I-0.531.000.53
QMNIXAQR Equity Market Neutral I0.53-0.531.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VMNIXVanguard Market Neutral I$381
QMNIXAQR Equity Market Neutral I$1,629

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VMNIXVanguard Market Neutral I100.00%
QMNIXAQR Equity Market Neutral I100.00%

Annual Asset Returns