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 50.00%
VT Vanguard Total World Stock ETF 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 50.00%
VT Vanguard Total World Stock ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,747 3.08% 7.37%16.04%-9.44%-13.91% 0.400.580.76
Portfolio 2$10,000$14,375 4.64% 5.88%13.03%-4.38%-7.76% 0.741.130.89
   
Notes on results:
  • Past performance is not a guarantee of future returns. 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 Total World Stock ETF (VT)Vanguard Interm-Term Treasury Inv (VFITX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20112.96%-7.04%1.15%$9,296$10,115-6.59%-7.50%9.80%
20121.74%9.90%9.90%$10,216$11,1162.68%17.12%2.67%
20131.50%16.04%9.93%$11,855$12,2199.14%22.95%-3.09%
20140.76%6.51%3.99%$12,626$12,7089.34%3.67%4.32%
20150.73%-0.05%-0.18%$12,619$12,6851.75%-1.86%1.50%
20162.07%-0.10%4.85%$12,607$13,300-8.71%8.51%1.19%
20172.11%11.65%13.03%$14,076$15,033-1.19%24.49%1.57%
20181.91%-9.44%-4.38%$12,747$14,375-9.12%-9.76%1.00%
Monthly returns for the configured portfolios
YearMonthReturnBalanceAQR Managed Futures Strategy N (AQMNX)Vanguard Total World Stock ETF (VT)Vanguard Interm-Term Treasury Inv (VFITX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20111-0.22%0.85%$9,978$10,085-1.85%1.40%0.29%
201122.37%1.26%$10,214$10,2121.78%2.93%-0.43%
20113-1.32%-0.09%$10,079$10,202-2.63%-0.06%-0.12%
201144.33%3.01%$10,515$10,5094.30%4.35%1.60%
20115-2.38%-0.32%$10,266$10,475-2.49%-2.27%1.77%
20116-2.07%-0.76%$10,053$10,396-2.85%-1.34%-0.16%
20117-0.83%-0.01%$9,970$10,3950.61%-2.15%2.18%
20118-3.64%-2.21%$9,607$10,1650.20%-7.25%2.70%
20119-5.77%-4.63%$9,053$9,694-0.90%-10.72%0.73%
2011102.77%4.71%$9,303$10,150-4.76%11.27%-0.42%
201111-0.11%-0.42%$9,293$10,1081.06%-1.24%0.29%
2011120.03%0.07%$9,296$10,1151.08%-1.02%1.00%
201212.42%3.14%$9,520$10,432-0.63%5.47%0.81%
201222.86%2.12%$9,793$10,6530.84%4.77%-0.65%
201230.12%0.24%$9,805$10,678-1.04%1.17%-0.79%
20124-0.92%0.08%$9,714$10,687-0.63%-1.18%1.50%
20125-1.91%-4.08%$9,528$10,2515.95%-8.93%1.24%
201260.22%2.44%$9,549$10,501-4.51%5.13%-0.22%
201271.49%0.79%$9,692$10,5842.31%0.72%0.86%
201280.26%1.31%$9,717$10,723-2.05%2.48%0.10%
201291.22%1.57%$9,836$10,891-0.84%3.11%-0.06%
201210-0.82%-0.47%$9,756$10,840-1.06%-0.60%-0.32%
2012111.46%1.09%$9,898$10,9591.39%1.53%0.62%
2012123.21%1.43%$10,216$11,1163.33%3.10%-0.41%
201313.65%1.63%$10,588$11,2973.29%4.01%-0.74%
20132-0.75%0.19%$10,509$11,319-1.19%-0.31%0.71%
201331.58%1.33%$10,675$11,4690.81%2.35%0.27%
201343.43%1.72%$11,041$11,6674.20%2.68%0.71%
20135-1.33%-1.18%$10,894$11,530-2.11%-0.56%-1.84%
20136-2.17%-2.16%$10,658$11,280-1.67%-2.66%-1.62%
201372.96%2.74%$10,973$11,5900.70%5.16%0.13%
20138-1.51%-1.78%$10,808$11,383-0.49%-2.46%-1.02%
201392.03%3.64%$11,027$11,798-1.69%5.59%1.47%
2013102.44%2.22%$11,296$12,0601.01%3.71%0.49%
2013112.45%0.78%$11,573$12,1543.50%1.54%-0.14%
2013122.43%0.54%$11,855$12,2192.70%2.19%-1.49%
20141-3.79%-1.39%$11,405$12,050-3.14%-4.44%1.67%
201422.00%2.63%$11,633$12,367-1.18%5.21%0.21%
20143-0.67%-0.06%$11,555$12,360-1.89%0.48%-0.60%
201440.19%0.61%$11,576$12,436-0.41%0.74%0.49%
201451.16%1.54%$11,711$12,6270.20%2.05%1.03%
201461.64%1.05%$11,903$12,7591.02%2.21%-0.13%
20147-1.12%-1.08%$11,771$12,621-0.40%-1.75%-0.39%
201482.45%1.85%$12,059$12,8542.22%2.65%1.03%
20149-0.12%-2.02%$12,044$12,5943.46%-3.34%-0.66%
201410-0.03%1.03%$12,040$12,724-1.05%0.94%1.12%
2014114.35%1.05%$12,564$12,8597.62%1.26%0.84%
2014120.50%-1.17%$12,626$12,7082.97%-1.99%-0.35%
201511.60%0.53%$12,829$12,7754.84%-1.63%2.70%
201522.46%2.10%$13,144$13,044-0.81%5.95%-1.59%
201531.58%-0.24%$13,352$13,0134.38%-1.21%0.76%
20154-0.42%1.18%$13,296$13,166-3.23%2.55%-0.21%
201550.03%0.11%$13,301$13,181-0.27%0.33%-0.12%
20156-3.64%-1.50%$12,817$12,983-5.07%-2.22%-0.74%
201571.33%0.67%$12,987$13,0712.19%0.50%0.85%
20158-2.66%-3.37%$12,641$12,6301.40%-6.63%-0.03%
20159-0.52%-1.21%$12,575$12,4772.49%-3.71%1.19%
2015101.61%3.23%$12,778$12,880-3.41%7.29%-0.47%
2015110.80%-0.24%$12,881$12,8491.67%-0.08%-0.39%
201512-2.03%-1.28%$12,619$12,685-1.88%-2.19%-0.38%
20161-1.89%-1.75%$12,381$12,4632.08%-5.87%2.36%
201620.63%-0.10%$12,459$12,4502.23%-1.11%0.82%
201631.75%3.90%$12,677$12,935-3.80%7.98%0.22%
201640.01%0.43%$12,678$12,990-0.99%1.01%-0.13%
20165-1.00%0.22%$12,551$13,019-2.69%0.65%-0.21%
201662.60%0.94%$12,877$13,1415.53%-0.18%2.05%
201672.22%2.07%$13,163$13,4120.29%4.15%0.04%
20168-1.15%-0.19%$13,011$13,388-2.71%0.35%-0.72%
201690.26%0.54%$13,046$13,460-0.30%0.79%0.29%
201610-2.70%-1.36%$12,693$13,277-3.49%-1.97%-0.73%
201611-1.50%-0.72%$12,503$13,181-4.45%1.19%-2.65%
2016120.83%0.90%$12,607$13,300-0.31%1.81%-0.05%
201711.88%1.65%$12,844$13,5200.76%3.00%0.30%
201721.89%1.56%$13,087$13,7311.08%2.69%0.39%
20173-0.61%0.79%$13,008$13,839-2.77%1.48%0.07%
20174-0.10%1.21%$12,995$14,007-1.97%1.63%0.77%
201750.77%1.29%$13,094$14,188-0.56%1.95%0.59%
20176-0.71%0.10%$13,001$14,202-2.25%0.63%-0.47%
201771.49%1.59%$13,195$14,4270.12%2.65%0.42%
201780.49%0.63%$13,259$14,5180.57%0.42%0.86%
201790.85%0.72%$13,372$14,622-0.69%2.11%-0.83%
2017102.50%1.03%$13,706$14,7732.99%2.11%-0.21%
2017111.65%0.85%$13,932$14,8991.34%1.90%-0.39%
2017121.03%0.90%$14,076$15,0330.33%1.60%0.07%
201814.66%1.96%$14,732$15,3283.85%5.48%-1.56%
20182-5.13%-2.53%$13,977$14,940-5.82%-4.44%-0.49%
20183-1.15%-0.28%$13,816$14,898-1.01%-1.29%0.75%
20184-0.18%-0.24%$13,791$14,861-0.79%0.42%-0.92%
20185-0.94%0.66%$13,661$14,959-2.52%0.57%0.76%
201860.03%-0.25%$13,665$14,9220.70%-0.60%0.11%
201871.14%1.27%$13,821$15,112-0.70%2.88%-0.35%
201882.24%0.82%$14,131$15,2353.76%0.86%0.77%
20189-0.12%-0.36%$14,113$15,181-0.34%0.08%-0.82%
201810-5.31%-4.05%$13,365$14,566-2.61%-7.82%-0.06%
201811-0.98%1.34%$13,234$14,762-3.73%1.73%0.96%
201812-3.68%-2.62%$12,747$14,3750.12%-7.22%1.90%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value13.03%5.22%
Large-cap Growth9.08%13.01%
Mid-cap Value0.00%4.86%
Mid-cap Growth10.13%1.02%
Small-cap Value0.00%0.39%
Small-cap Growth0.00%0.39%
Global ex-US Developed Markets20.03%19.26%
Emerging Markets1.85%6.57%
Corporate Bonds0.72%0.00%
Long-Term Treasuries13.24%0.00%
Intermediate-Term Treasuries0.00%26.25%
Short-Term Treasuries31.91%23.03%
R Squared68.42%99.48%
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%50.00%-$34033.57%
VTVanguard Total World Stock ETFWorld Large Stock0.09%50.00%$3,08766.43%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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%50.00%$1,068-0.15%
VTVanguard Total World Stock ETFWorld Large Stock0.09%50.00%$3,307100.15%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/05/2019. © 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)0.28%0.39%
Arithmetic Mean (annualized)3.36%4.82%
Geometric Mean (monthly)0.25%0.38%
Geometric Mean (annualized)3.08%4.64%
Volatility (monthly)2.13%1.70%
Volatility (annualized)7.37%5.88%
Downside Deviation (monthly)1.45%1.09%
Max. Drawdown-13.91%-7.76%
US Market Correlation0.760.89
Beta(*)0.480.45
Alpha (annualized)-1.95%-0.20%
R257.96%79.34%
Sharpe Ratio0.400.74
Sortino Ratio0.581.13
Treynor Ratio (%)6.179.77
Calmar Ratio0.020.68
Active Return-7.76%-6.20%
Tracking Error7.78%7.04%
Information Ratio-1.00-0.88
Skewness-0.51-0.49
Excess Kurtosis0.300.87
Historical Value-at-Risk (5%)-3.70%-2.73%
Analytical Value-at-Risk (5%)-3.20%-2.42%
Conditional Value-at-Risk (5%)-5.00%-4.03%
Upside Capture Ratio (%)42.3843.68
Downside Capture Ratio (%)60.8149.79
Safe Withdrawal Rate13.69%14.50%
Perpetual Withdrawal Rate1.32%2.79%
Positive Periods55 out of 96 (57.29%)61 out of 96 (63.54%)
Gain/Loss Ratio1.041.04
* 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
1May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-13.91%
2Feb 2018Dec 201811 months-13.48%
3Apr 2015Jan 201610 monthsSep 20171 year 8 months2 years 6 months-7.28%
4Jan 2014Jan 20141 monthJun 20145 months6 months-3.79%
5May 2013Jun 20132 monthsOct 20134 months6 months-3.47%
6Mar 2011Mar 20111 monthApr 20111 month2 months-1.32%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.12%
8Feb 2013Feb 20131 monthMar 20131 month2 months-0.75%
9Jan 2011Jan 20111 monthFeb 20111 month2 months-0.22%
10Sep 2014Oct 20142 monthsNov 20141 month3 months-0.15%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-7.76%
2Feb 2018Dec 201811 months-6.22%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-5.55%
4May 2012May 20121 monthAug 20123 months4 months-4.08%
5May 2013Jun 20132 monthsSep 20133 months5 months-3.31%
6Oct 2016Nov 20162 monthsJan 20172 months4 months-2.07%
7Sep 2014Sep 20141 monthNov 20142 months3 months-2.02%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-1.39%
9Dec 2014Dec 20141 monthFeb 20152 months3 months-1.17%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.08%
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
VTVanguard Total World Stock ETF6.48%12.41%24.49%-9.76%-21.87%0.540.790.95
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
TickerNameAQMNXVTVFITXPortfolio 1Portfolio 2
AQMNXAQR Managed Futures Strategy N--0.080.300.550.01
VTVanguard Total World Stock ETF-0.08--0.280.790.96
VFITXVanguard Interm-Term Treasury Inv0.30-0.28--0.05-0.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
AQMNXAQR Managed Futures Strategy N-$340
VTVanguard Total World Stock ETF$3,087$3,307
VFITXVanguard Interm-Term Treasury Inv$1,068

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
AQMNXAQR Managed Futures Strategy N33.57%
VTVanguard Total World Stock ETF66.43%100.15%
VFITXVanguard Interm-Term Treasury Inv-0.15%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year3.43%16.04%-9.44%4.79%13.03%-4.38%
3 years5.00%10.75%0.34%5.37%7.90%2.87%
5 years4.78%6.62%1.46%5.01%6.22%3.30%
7 years4.81%5.01%4.61%5.57%6.00%5.15%
Result statistics are based on annualized rolling returns over full calendar year periods