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 2011 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
AQMNX AQR Managed Futures Strategy N 100.00%
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Portfolio 2
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 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$9,548 -0.58% 9.09%9.34%-9.12%-23.24% -0.06-0.09-0.06
Portfolio 2$10,000$12,009 2.31% 3.39%9.80%-3.09%-4.49% 0.581.00-0.34
   
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
YearInflationReturnBalanceAQR Managed Futures Strategy N (AQMNX)Vanguard Interm-Term Treasury Inv (VFITX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20112.96%-6.59%9.80%$9,341$10,980-6.59%9.80%
20121.74%2.68%2.67%$9,592$11,2732.68%2.67%
20131.50%9.14%-3.09%$10,469$10,9259.14%-3.09%
20140.76%9.34%4.32%$11,446$11,3979.34%4.32%
20150.73%1.75%1.50%$11,647$11,5681.75%1.50%
20162.07%-8.71%1.19%$10,633$11,706-8.71%1.19%
20172.11%-1.19%1.57%$10,506$11,889-1.19%1.57%
20181.91%-9.12%1.00%$9,548$12,009-9.12%1.00%
Monthly returns for the configured portfolios
YearMonthReturnBalanceAQR Managed Futures Strategy N (AQMNX)Vanguard Interm-Term Treasury Inv (VFITX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20111-1.85%0.29%$9,815$10,029-1.85%0.29%
201121.78%-0.43%$9,990$9,9861.78%-0.43%
20113-2.63%-0.12%$9,728$9,974-2.63%-0.12%
201144.30%1.60%$10,146$10,1344.30%1.60%
20115-2.49%1.77%$9,893$10,313-2.49%1.77%
20116-2.85%-0.16%$9,611$10,296-2.85%-0.16%
201170.61%2.18%$9,669$10,5200.61%2.18%
201180.20%2.70%$9,689$10,8050.20%2.70%
20119-0.90%0.73%$9,601$10,884-0.90%0.73%
201110-4.76%-0.42%$9,144$10,838-4.76%-0.42%
2011111.06%0.29%$9,241$10,8701.06%0.29%
2011121.08%1.00%$9,341$10,9801.08%1.00%
20121-0.63%0.81%$9,283$11,068-0.63%0.81%
201220.84%-0.65%$9,361$10,9960.84%-0.65%
20123-1.04%-0.79%$9,263$10,908-1.04%-0.79%
20124-0.63%1.50%$9,205$11,072-0.63%1.50%
201255.95%1.24%$9,752$11,2105.95%1.24%
20126-4.51%-0.22%$9,312$11,185-4.51%-0.22%
201272.31%0.86%$9,527$11,2812.31%0.86%
20128-2.05%0.10%$9,332$11,293-2.05%0.10%
20129-0.84%-0.06%$9,253$11,286-0.84%-0.06%
201210-1.06%-0.32%$9,156$11,250-1.06%-0.32%
2012111.39%0.62%$9,283$11,3201.39%0.62%
2012123.33%-0.41%$9,592$11,2733.33%-0.41%
201313.29%-0.74%$9,907$11,1903.29%-0.74%
20132-1.19%0.71%$9,789$11,270-1.19%0.71%
201330.81%0.27%$9,868$11,3000.81%0.27%
201344.20%0.71%$10,282$11,3814.20%0.71%
20135-2.11%-1.84%$10,065$11,171-2.11%-1.84%
20136-1.67%-1.62%$9,897$10,990-1.67%-1.62%
201370.70%0.13%$9,966$11,0040.70%0.13%
20138-0.49%-1.02%$9,917$10,892-0.49%-1.02%
20139-1.69%1.47%$9,750$11,052-1.69%1.47%
2013101.01%0.49%$9,848$11,1051.01%0.49%
2013113.50%-0.14%$10,193$11,0903.50%-0.14%
2013122.70%-1.49%$10,469$10,9252.70%-1.49%
20141-3.14%1.67%$10,140$11,107-3.14%1.67%
20142-1.18%0.21%$10,020$11,130-1.18%0.21%
20143-1.89%-0.60%$9,831$11,064-1.89%-0.60%
20144-0.41%0.49%$9,791$11,118-0.41%0.49%
201450.20%1.03%$9,811$11,2330.20%1.03%
201461.02%-0.13%$9,911$11,2181.02%-0.13%
20147-0.40%-0.39%$9,871$11,174-0.40%-0.39%
201482.22%1.03%$10,090$11,2902.22%1.03%
201493.46%-0.66%$10,439$11,2163.46%-0.66%
201410-1.05%1.12%$10,329$11,341-1.05%1.12%
2014117.62%0.84%$11,116$11,4377.62%0.84%
2014122.97%-0.35%$11,446$11,3972.97%-0.35%
201514.84%2.70%$12,000$11,7044.84%2.70%
20152-0.81%-1.59%$11,902$11,518-0.81%-1.59%
201534.38%0.76%$12,423$11,6064.38%0.76%
20154-3.23%-0.21%$12,022$11,582-3.23%-0.21%
20155-0.27%-0.12%$11,989$11,568-0.27%-0.12%
20156-5.07%-0.74%$11,381$11,482-5.07%-0.74%
201572.19%0.85%$11,631$11,5792.19%0.85%
201581.40%-0.03%$11,794$11,5751.40%-0.03%
201592.49%1.19%$12,087$11,7132.49%1.19%
201510-3.41%-0.47%$11,674$11,658-3.41%-0.47%
2015111.67%-0.39%$11,870$11,6121.67%-0.39%
201512-1.88%-0.38%$11,647$11,568-1.88%-0.38%
201612.08%2.36%$11,889$11,8412.08%2.36%
201622.23%0.82%$12,155$11,9382.23%0.82%
20163-3.80%0.22%$11,693$11,964-3.80%0.22%
20164-0.99%-0.13%$11,578$11,949-0.99%-0.13%
20165-2.69%-0.21%$11,266$11,924-2.69%-0.21%
201665.53%2.05%$11,889$12,1685.53%2.05%
201670.29%0.04%$11,924$12,1730.29%0.04%
20168-2.71%-0.72%$11,601$12,085-2.71%-0.72%
20169-0.30%0.29%$11,566$12,120-0.30%0.29%
201610-3.49%-0.73%$11,162$12,031-3.49%-0.73%
201611-4.45%-2.65%$10,666$11,712-4.45%-2.65%
201612-0.31%-0.05%$10,633$11,706-0.31%-0.05%
201710.76%0.30%$10,714$11,7410.76%0.30%
201721.08%0.39%$10,829$11,7871.08%0.39%
20173-2.77%0.07%$10,529$11,795-2.77%0.07%
20174-1.97%0.77%$10,321$11,886-1.97%0.77%
20175-0.56%0.59%$10,263$11,957-0.56%0.59%
20176-2.25%-0.47%$10,033$11,900-2.25%-0.47%
201770.12%0.42%$10,044$11,9500.12%0.42%
201780.57%0.86%$10,102$12,0530.57%0.86%
20179-0.69%-0.83%$10,033$11,952-0.69%-0.83%
2017102.99%-0.21%$10,333$11,9282.99%-0.21%
2017111.34%-0.39%$10,471$11,8811.34%-0.39%
2017120.33%0.07%$10,506$11,8890.33%0.07%
201813.85%-1.56%$10,910$11,7043.85%-1.56%
20182-5.82%-0.49%$10,275$11,647-5.82%-0.49%
20183-1.01%0.75%$10,171$11,734-1.01%0.75%
20184-0.79%-0.92%$10,090$11,627-0.79%-0.92%
20185-2.52%0.76%$9,836$11,715-2.52%0.76%
201860.70%0.11%$9,906$11,7270.70%0.11%
20187-0.70%-0.35%$9,836$11,686-0.70%-0.35%
201883.76%0.77%$10,206$11,7763.76%0.77%
20189-0.34%-0.82%$10,171$11,680-0.34%-0.82%
201810-2.61%-0.06%$9,906$11,672-2.61%-0.06%
201811-3.73%0.96%$9,536$11,785-3.73%0.96%
2018120.12%1.90%$9,548$12,0090.12%1.90%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.80%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth7.53%0.00%
Small-cap Value0.00%0.03%
Small-cap Growth0.00%0.29%
Global ex-US Developed Markets0.00%0.47%
Emerging Markets0.00%0.74%
Corporate Bonds0.00%0.00%
Long-Term Treasuries29.07%0.00%
Intermediate-Term Treasuries0.00%57.84%
Short-Term Treasuries62.59%40.62%
R Squared16.39%98.00%
Style analysis is based on monthly returns from Jan 2011 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
AQMNXAQR Managed Futures Strategy NManaged Futures1.47%100.00%-$452100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.240.20%100.00%$2,009100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/03/2019. © 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)-0.01%0.20%
Arithmetic Mean (annualized)-0.17%2.37%
Geometric Mean (monthly)-0.05%0.19%
Geometric Mean (annualized)-0.58%2.31%
Volatility (monthly)2.62%0.98%
Volatility (annualized)9.09%3.39%
Downside Deviation (monthly)1.77%0.56%
Max. Drawdown-23.24%-4.49%
US Market Correlation-0.06-0.34
Beta(*)-0.05-0.10
Alpha (annualized)0.33%3.41%
R20.34%11.26%
Sharpe Ratio-0.060.58
Sortino Ratio-0.091.00
Treynor Ratio (%)11.85-20.51
Calmar Ratio-0.300.28
Active Return-11.41%-8.52%
Tracking Error15.27%13.28%
Information Ratio-0.75-0.64
Skewness0.320.17
Excess Kurtosis0.000.55
Historical Value-at-Risk (5%)-4.46%-1.56%
Analytical Value-at-Risk (5%)-4.33%-1.41%
Conditional Value-at-Risk (5%)-5.04%-1.93%
Upside Capture Ratio (%)-0.911.55
Downside Capture Ratio (%)3.45-18.54
Safe Withdrawal Rate11.94%13.24%
Perpetual Withdrawal Rate0.00%0.58%
Positive Periods45 out of 96 (46.88%)51 out of 96 (53.13%)
Gain/Loss Ratio1.121.49
* 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
1Apr 2015Nov 20183 years 8 months-23.24%
2May 2011Oct 20116 monthsApr 20131 year 6 months2 years-9.88%
3Jan 2014Apr 20144 monthsNov 20147 months11 months-6.47%
4May 2013Sep 20135 monthsDec 20133 months8 months-5.18%
5Jan 2011Mar 20113 monthsApr 20111 month4 months-2.72%
6Feb 2015Feb 20151 monthMar 20151 month2 months-0.81%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Apr 20181 year 9 months-4.49%
2May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
3Feb 2015Jun 20155 monthsSep 20153 months8 months-1.90%
4Feb 2012Mar 20122 monthsApr 20121 month3 months-1.44%
5Oct 2015Dec 20153 monthsJan 20161 month4 months-1.23%
6Dec 2012Jan 20132 monthsApr 20133 months5 months-1.15%
7Feb 2011Mar 20112 monthsApr 20111 month3 months-0.55%
8Oct 2011Oct 20111 monthDec 20112 months3 months-0.42%
9Sep 2012Oct 20122 monthsNov 20121 month3 months-0.38%
10Dec 2014Dec 20141 monthJan 20151 month2 months-0.35%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
AQMNXAQR Managed Futures Strategy N-0.58%9.09%9.34%-9.12%-23.24%-0.06-0.09-0.06
VFITXVanguard Interm-Term Treasury Inv2.31%3.39%9.80%-3.09%-4.49%0.581.00-0.34

Monthly Correlations

Correlations for the portfolio assets
TickerNameAQMNXVFITXPortfolio 1Portfolio 2
AQMNXAQR Managed Futures Strategy N-0.301.000.30
VFITXVanguard Interm-Term Treasury Inv0.30-0.301.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
AQMNXAQR Managed Futures Strategy N-$452
VFITXVanguard Interm-Term Treasury Inv$2,009

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
AQMNXAQR Managed Futures Strategy N100.00%
VFITXVanguard Interm-Term Treasury Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year-0.34%9.34%-9.12%2.37%9.80%-3.09%
3 years1.09%7.01%-6.41%1.68%2.99%0.87%
5 years1.43%3.10%-1.82%1.81%2.96%1.07%
7 years0.51%0.71%0.31%1.90%2.50%1.29%
Result statistics are based on annualized rolling returns over full calendar year periods