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 Assets 
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Portfolio Analysis Results (Jan 2012 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
MHFIX AXS Managed Futures Strategy I 20.00%
VSMGX Vanguard LifeStrategy Moderate Gr Inv 80.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,043 6.99% 6.48%15.04%-4.91%-7.57% 1.001.580.95
Portfolio 2$10,000$14,865 5.83% 5.67%11.45%-4.00%-7.34% 0.941.490.87
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 1-7.42%-4.91%-4.91%5.43%4.53%6.99%6.35%6.41%
Portfolio 2-6.06%-4.00%-4.00%4.41%4.18%5.83%5.39%5.71%
Trailing return and volatility are as of last full calendar quarter ending December 2018
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.
  • 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
YearInflationPortfolio 1Portfolio 2Vanguard LifeStrategy Moderate Gr Inv (VSMGX)AXS Managed Futures Strategy I (MHFIX)
ReturnBalanceReturnBalance
20121.74%11.76%$11,1768.67%$10,86711.76%-3.71%
20131.50%15.04%$12,85811.45%$12,11115.04%-2.93%
20140.76%7.07%$13,7677.67%$13,0417.07%10.09%
20150.73%-0.57%$13,6890.16%$13,061-0.57%3.06%
20162.07%7.13%$14,6656.60%$13,9237.13%4.46%
20172.11%15.04%$16,87111.21%$15,48415.04%-4.11%
20181.91%-4.91%$16,043-4.00%$14,865-4.91%-0.37%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard LifeStrategy Moderate Gr Inv (VSMGX)AXS Managed Futures Strategy I (MHFIX)
ReturnBalanceReturnBalance
201213.81%$10,3812.95%$10,2953.81%-0.50%
201222.66%$10,6582.38%$10,5402.66%1.21%
201230.88%$10,7520.24%$10,5650.88%-2.49%
20124-0.10%$10,7410.17%$10,583-0.10%1.33%
20125-4.28%$10,282-2.79%$10,288-4.28%3.63%
201262.69%$10,5591.57%$10,4492.69%-2.92%
201271.10%$10,6751.31%$10,5861.10%2.20%
201281.58%$10,8431.05%$10,6971.58%-1.18%
201291.80%$11,0381.23%$10,8281.80%-1.19%
201210-0.62%$10,969-1.30%$10,687-0.62%-4.32%
2012110.72%$11,0480.63%$10,7540.72%0.21%
2012121.16%$11,1761.05%$10,8671.16%0.52%
201312.68%$11,4762.37%$11,1252.68%1.15%
201320.52%$11,5350.32%$11,1600.52%-0.51%
201331.84%$11,7481.50%$11,3271.84%0.10%
201341.71%$11,9491.72%$11,5221.71%1.76%
20135-0.27%$11,916-0.61%$11,451-0.27%-2.03%
20136-1.78%$11,704-2.29%$11,189-1.78%-4.46%
201373.19%$12,0782.33%$11,4503.19%-1.41%
20138-1.73%$11,869-1.87%$11,236-1.73%-2.53%
201393.19%$12,2482.70%$11,5403.19%0.45%
2013102.69%$12,5782.67%$11,8482.69%2.59%
2013111.14%$12,7211.40%$12,0141.14%2.63%
2013121.08%$12,8580.81%$12,1111.08%-0.44%
20141-1.56%$12,658-1.55%$11,924-1.56%-1.51%
201423.12%$13,0532.67%$12,2423.12%0.87%
201430.30%$13,092-0.21%$12,2170.30%-2.27%
201440.55%$13,1640.36%$12,2610.55%-0.44%
201451.65%$13,3811.72%$12,4711.65%2.00%
201461.44%$13,5731.27%$12,6291.44%0.55%
20147-1.12%$13,421-1.05%$12,497-1.12%-0.76%
201482.39%$13,7422.62%$12,8242.39%3.61%
20149-2.04%$13,461-1.57%$12,623-2.04%0.42%
2014101.54%$13,6691.74%$12,8421.54%2.52%
2014111.32%$13,8492.09%$13,1101.32%5.23%
201412-0.59%$13,767-0.53%$13,041-0.59%-0.30%
20151-0.25%$13,7331.05%$13,177-0.25%6.24%
201522.96%$14,1392.59%$13,5192.96%1.21%
20153-0.49%$14,070-0.11%$13,503-0.49%1.30%
201540.89%$14,1960.12%$13,5200.89%-2.76%
201550.20%$14,2240.18%$13,5440.20%0.10%
20156-1.61%$13,995-2.09%$13,261-1.61%-3.96%
201570.87%$14,1161.37%$13,4430.87%3.38%
20158-4.01%$13,550-3.94%$12,913-4.01%-3.68%
20159-1.70%$13,319-0.90%$12,797-1.70%2.23%
2015104.38%$13,9023.28%$13,2164.38%-0.83%
201511-0.17%$13,8790.80%$13,322-0.17%4.60%
201512-1.37%$13,689-1.96%$13,061-1.37%-4.16%
20161-2.78%$13,309-1.01%$12,929-2.78%6.04%
20162-0.22%$13,2790.57%$13,002-0.22%3.46%
201634.83%$13,9203.12%$13,4084.83%-2.92%
201640.90%$14,0450.43%$13,4660.90%-1.33%
201650.46%$14,1100.16%$13,4880.46%-1.01%
201660.64%$14,2011.13%$13,6410.64%3.08%
201672.79%$14,5962.53%$13,9862.79%1.55%
201680.25%$14,632-0.29%$13,9450.25%-2.39%
201690.37%$14,6860.12%$13,9620.37%-0.89%
201610-1.59%$14,452-1.59%$13,740-1.59%-1.57%
2016110.21%$14,482-0.06%$13,7320.21%-1.14%
2016121.26%$14,6651.39%$13,9231.26%1.92%
201711.61%$14,9020.82%$14,0371.61%-2.35%
201722.00%$15,2002.22%$14,3482.00%3.13%
201730.68%$15,3030.77%$14,4600.68%1.17%
201741.19%$15,4851.14%$14,6241.19%0.92%
201751.29%$15,6851.18%$14,7961.29%0.69%
201760.44%$15,754-0.80%$14,6780.44%-5.90%
201771.63%$16,0111.29%$14,8671.63%-0.24%
201780.54%$16,0970.70%$14,9710.54%1.45%
201791.14%$16,2810.34%$15,0231.14%-3.22%
2017101.32%$16,4962.13%$15,3431.32%5.91%
2017111.26%$16,7040.33%$15,3931.26%-3.84%
2017121.00%$16,8710.59%$15,4841.00%-1.33%
201812.87%$17,3563.60%$16,0412.87%6.50%
20182-2.79%$16,871-2.88%$15,579-2.79%-3.22%
20183-0.59%$16,772-0.27%$15,536-0.59%0.95%
201840.11%$16,7910.21%$15,5690.11%0.59%
201850.74%$16,915-0.12%$15,5500.74%-3.40%
20186-0.18%$16,8840.29%$15,596-0.18%2.18%
201871.82%$17,1921.45%$15,8221.82%0.00%
201880.84%$17,3360.14%$15,8440.84%-2.61%
20189-0.04%$17,330-0.12%$15,824-0.04%-0.49%
201810-4.89%$16,482-4.46%$15,119-4.89%-2.69%
2018111.26%$16,6890.65%$15,2181.26%-1.76%
201812-3.87%$16,043-2.32%$14,865-3.87%4.10%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value13.65%11.25%
Large-cap Growth19.13%18.49%
Mid-cap Value2.51%0.00%
Mid-cap Growth2.94%5.76%
Small-cap Value1.94%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets14.71%11.44%
Emerging Markets4.74%4.39%
Corporate Bonds10.76%4.24%
Long-Term Treasuries1.01%5.52%
Intermediate-Term Treasuries7.88%15.77%
Short-Term Treasuries20.73%23.15%
R Squared99.51%92.11%
Style analysis is based on monthly returns from January 2012 to December 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%1.54%1.56%0.13%0.13%19.237.26$6,043100.00%

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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
MHFIXAXS Managed Futures Strategy ISystematic Trend20.00%1.71%1.78%$17713.74%
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity80.00%1.54%1.56%0.13%0.13%19.237.26$4,68886.26%
100.00%1.23%1.25%0.45%0.46%19.237.26$4,865100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (c) 2021 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)0.58%0.49%
Arithmetic Mean (annualized)7.21%5.99%
Geometric Mean (monthly)0.56%0.47%
Geometric Mean (annualized)6.99%5.83%
Standard Deviation (monthly)1.87%1.64%
Standard Deviation (annualized)6.48%5.67%
Downside Deviation (monthly)1.17%1.02%
Max. Drawdown-7.57%-7.34%
US Market Correlation0.950.87
Beta(*)0.560.45
Alpha (annualized)0.08%0.30%
R289.35%74.92%
Sharpe Ratio1.000.94
Sortino Ratio1.581.49
Treynor Ratio (%)11.5811.90
Calmar Ratio0.720.60
Active Return-5.34%-6.50%
Tracking Error5.22%6.62%
Information Ratio-1.02-0.98
Skewness-0.63-0.63
Excess Kurtosis0.860.46
Historical Value-at-Risk (5%)-2.79%-2.31%
Analytical Value-at-Risk (5%)-2.49%-2.19%
Conditional Value-at-Risk (5%)-3.97%-3.28%
Upside Capture Ratio (%)55.9945.90
Downside Capture Ratio (%)60.3749.61
Safe Withdrawal Rate18.84%17.82%
Perpetual Withdrawal Rate5.09%4.04%
Positive Periods58 out of 84 (69.05%)58 out of 84 (69.05%)
Gain/Loss Ratio0.990.95
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-7.57%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.65%
3Apr 2012May 20122 monthsAug 20123 months5 months-4.37%
4Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
5May 2013Jun 20132 monthsJul 20131 month3 months-2.04%
6Aug 2013Aug 20131 monthSep 20131 month2 months-1.73%
7Oct 2016Oct 20161 monthJan 20173 months4 months-1.59%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-1.56%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.12%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-0.84%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 months-7.34%
2Jun 2015Sep 20154 monthsJun 20169 months1 year 1 month-5.52%
3May 2013Jun 20132 monthsSep 20133 months5 months-2.89%
4May 2012May 20121 monthJul 20122 months3 months-2.79%
5Aug 2016Nov 20164 monthsJan 20172 months6 months-1.82%
6Sep 2014Sep 20141 monthOct 20141 month2 months-1.57%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-1.55%
8Oct 2012Oct 20121 monthDec 20122 months3 months-1.30%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.05%
10Jun 2017Jun 20171 monthJul 20171 month2 months-0.80%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSMGXVanguard LifeStrategy Moderate Gr Inv6.99%6.48%15.04%-4.91%-7.57%1.001.580.95
MHFIXAXS Managed Futures Strategy I0.81%9.39%10.09%-4.11%-13.91%0.080.120.01

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 yearNetGross
Vanguard LifeStrategy Moderate Gr Inv-7.42%-4.91%-4.91%5.43%4.53%0.13%0.13%
AXS Managed Futures Strategy I-0.49%-0.37%-0.37%-0.07%2.52%1.71%1.78%
Trailing returns as of last calendar quarter ending December 2018

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSMGXMHFIXPortfolio 1Portfolio 2
VSMGXVanguard LifeStrategy Moderate Gr Inv1.000.101.000.95
MHFIXAXS Managed Futures Strategy I0.101.000.100.42

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VSMGXVanguard LifeStrategy Moderate Gr Inv$6,043$4,688
MHFIXAXS Managed Futures Strategy I$177

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VSMGXVanguard LifeStrategy Moderate Gr Inv100.00%86.26%
MHFIXAXS Managed Futures Strategy I13.74%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.00%16.47%-6.08%6.71%14.28%-4.00%
3 years6.86%11.43%4.42%6.24%9.60%4.41%
5 years7.57%8.81%4.53%6.60%7.59%4.18%