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 Analysis Results (Jan 2018 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 70.00%
TAIL Cambria Tail Risk ETF 30.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 50.00%
TLT iShares 20+ Year Treasury Bond ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100$136 10.81% 9.37%18.43%-1.30%-7.23% 0.981.790.96
Portfolio 2$100$146 13.40% 9.03%22.82%-2.50%-5.94% 1.282.600.73
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 yearFull3 year
Portfolio 17.07%18.43%18.43%10.81%10.81%9.37%
Portfolio 24.57%21.79%21.79%13.40%13.40%9.03%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)Cambria Tail Risk ETF (TAIL)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20181.91%-1.30%$98.70-2.50%$97.50-4.56%2.87%-1.61%
20192.29%16.39%$11522.82%$12031.22%-14.27%14.12%
20201.36%18.43%$13621.79%$14618.37%6.92%18.15%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)Cambria Tail Risk ETF (TAIL)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
201812.92%$1031.19%$1015.64%-3.41%-3.26%
20182-2.57%$100-3.35%$97.80-3.64%0.16%-3.04%
20183-1.19%$99.09-0.06%$97.75-2.74%2.62%2.86%
20184-0.69%$98.40-0.79%$96.980.52%-3.51%-2.09%
201851.44%$99.822.22%$99.132.43%-0.97%2.01%
201860.38%$1000.61%$99.740.58%-0.11%0.65%
201871.61%$1021.13%$1013.70%-3.27%-1.44%
201882.29%$1042.28%$1033.19%0.05%1.31%
20189-0.20%$104-1.07%$1020.59%-2.25%-2.86%
201810-3.59%$100-4.92%$97.03-6.91%4.17%-2.93%
2018110.97%$1011.82%$98.801.85%-0.86%1.79%
201812-2.46%$98.70-1.32%$97.50-8.79%11.11%5.85%
201912.93%$1024.19%$1028.01%-8.91%0.38%
201921.60%$1031.02%$1033.24%-2.94%-1.38%
201931.67%$1053.58%$1061.81%1.28%5.57%
201942.18%$1071.05%$1074.09%-2.26%-1.99%
20195-2.80%$1040.03%$107-6.38%6.07%6.84%
201963.86%$1083.85%$1126.96%-2.94%0.95%
201970.50%$1090.88%$1131.51%-1.86%0.26%
201980.29%$1094.65%$118-1.67%5.03%11.04%
201990.44%$110-0.49%$1171.95%-2.95%-2.68%
2019101.16%$1110.55%$1182.21%-1.27%-1.11%
2019111.93%$1131.64%$1203.62%-2.14%-0.41%
2019121.65%$115-0.04%$1202.90%-1.57%-3.20%
202010.84%$1163.83%$124-0.04%2.90%7.69%
20202-3.04%$112-0.37%$124-7.92%8.00%6.63%
20203-4.32%$107-2.01%$121-12.46%11.41%6.38%
202047.51%$1166.96%$13012.70%-4.61%1.22%
202053.02%$1191.68%$1324.76%-1.80%-1.76%
202061.23%$1201.12%$1331.78%-0.38%0.34%
202073.91%$1255.16%$1405.89%-0.72%4.44%
202084.24%$1301.01%$1426.98%-2.58%-5.05%
20209-2.63%$127-1.63%$139-3.74%0.41%0.77%
202010-1.89%$125-2.94%$135-2.49%-0.49%-3.39%
2020116.51%$1336.29%$14410.88%-3.47%1.66%
2020122.46%$1361.36%$1463.71%-0.80%-1.23%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value14.64%21.96%
Large-cap Growth34.91%27.99%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets4.30%0.00%
Emerging Markets0.37%0.11%
Corporate Bonds0.00%0.00%
Long-Term Treasuries5.46%49.73%
Intermediate-Term Treasuries9.14%0.18%
Short-Term Treasuries31.17%0.02%
R Squared97.75%99.97%
Style analysis is based on monthly returns from January 2018 to December 2020 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/EContribution
SECTTMNetGrossReturnRisk
SPYSPDR S&P 500 ETF TrustLarge Blend70.00%1.17%1.24%0.09%0.09%24.03$35.93132.13%
TAILCambria Tail Risk ETFInverse Equity30.00%0.79%0.37%0.59%0.59%24.03$0.13-32.13%
100.00%1.06%0.98%0.24%0.24%24.03$36.05100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
SPYSPDR S&P 500 ETF TrustLarge Blend50.00%1.17%1.24%0.09%0.09%24.03$28.3374.61%
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%1.78%1.45%0.15%0.15%18.96$17.5025.39%
100.00%1.47%1.34%0.12%0.12%24.0318.96$45.83100.00%

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)0.89%1.09%
Arithmetic Mean (annualized)11.27%13.84%
Geometric Mean (monthly)0.86%1.05%
Geometric Mean (annualized)10.81%13.40%
Standard Deviation (monthly)2.70%2.61%
Standard Deviation (annualized)9.37%9.03%
Downside Deviation (monthly)1.43%1.23%
Max. Drawdown-7.23%-5.94%
US Market Correlation0.960.73
Beta(*)0.460.33
Alpha (annualized)3.69%7.87%
R292.22%53.30%
Sharpe Ratio0.981.28
Sortino Ratio1.792.60
Treynor Ratio (%)20.2334.50
Calmar Ratio1.492.26
Active Return-3.57%-0.97%
Tracking Error10.99%14.46%
Information Ratio-0.32-0.07
Skewness0.140.15
Excess Kurtosis0.120.25
Historical Value-at-Risk (5%)-3.18%-3.04%
Analytical Value-at-Risk (5%)-3.63%-3.25%
Conditional Value-at-Risk (5%)-3.95%-4.14%
Upside Capture Ratio (%)49.5141.42
Downside Capture Ratio (%)41.2315.21
Safe Withdrawal Rate36.81%37.88%
Perpetual Withdrawal Rate8.08%10.18%
Positive Periods25 out of 36 (69.44%)24 out of 36 (66.67%)
Gain/Loss Ratio1.001.53
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-7.23%-2.37%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-7.23%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-5.23%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-4.47%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-4.39%
5May 2019May 20191 monthJun 20191 month2 months-2.80%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Oct 20182 monthsMar 20195 months7 months-5.94%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-4.53%
3Feb 2018Apr 20183 monthsAug 20184 months7 months-4.16%
4Feb 2020Mar 20202 monthsApr 20201 month3 months-2.37%
5Sep 2019Sep 20191 monthOct 20191 month2 months-0.49%
6Dec 2019Dec 20191 monthJan 20201 month2 months-0.04%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust14.03%18.66%31.22%-4.56%-19.43%0.721.101.00
TAILCambria Tail Risk ETF-1.94%14.61%6.92%-14.27%-14.27%-0.17-0.28-0.86
TLTiShares 20+ Year Treasury Bond ETF9.88%13.14%18.15%-1.61%-8.68%0.671.40-0.37

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 yearNetGross
SPDR S&P 500 ETF Trust12.12%18.37%18.37%14.03%0.09%0.09%
Cambria Tail Risk ETF-4.70%6.92%6.92%-1.94%0.59%0.59%
iShares 20+ Year Treasury Bond ETF-2.98%18.15%18.15%9.88%0.15%0.15%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTAILTLTPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.00-0.86-0.370.960.73
TAILCambria Tail Risk ETF-0.861.000.65-0.70-0.38
TLTiShares 20+ Year Treasury Bond ETF-0.370.651.00-0.210.35

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$35.93$28.33
TAILCambria Tail Risk ETF$0.13
TLTiShares 20+ Year Treasury Bond ETF$17.50

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust132.13%74.61%
TAILCambria Tail Risk ETF-32.13%
TLTiShares 20+ Year Treasury Bond ETF25.39%

Annual Asset Returns