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 2019 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SWAN Amplify BlackSwan Gr&Trsry Cor ETF 25.00%
DRSK Aptus Defined Risk ETF 25.00%
TAIL Cambria Tail Risk ETF 25.00%
PHDG Invesco S&P 500 Downside Hedged ETF 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SWAN Amplify BlackSwan Gr&Trsry Cor ETF 50.00%
DRSK Aptus Defined Risk ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,415 13.86% 4.22%15.95%7.07%-1.98% 2.707.82-0.16
Portfolio 2$10,000$13,409 19.24% 5.78%17.17%14.44%-1.70% 2.818.470.75
Vanguard 500 Index Investor$10,000$14,399 24.45% 20.01%31.33%9.65%-19.63% 1.121.761.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Portfolio 15.04%15.95%15.72%13.86%
Portfolio 26.05%14.44%16.24%19.24%
Vanguard 500 Index Investor15.45%9.65%21.77%24.45%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
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.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceAmplify BlackSwan Gr&Trsry Cor ETF (SWAN)Aptus Defined Risk ETF (DRSK)Cambria Tail Risk ETF (TAIL)Invesco S&P 500 Downside Hedged ETF (PHDG)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
20192.29%7.07%17.17%31.33%$10,707$11,717$13,13322.05%12.29%-14.27%8.22%
20200.83%15.95%14.44%9.65%$12,415$13,409$14,39913.13%15.75%11.74%23.18%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceAmplify BlackSwan Gr&Trsry Cor ETF (SWAN)Aptus Defined Risk ETF (DRSK)Cambria Tail Risk ETF (TAIL)Invesco S&P 500 Downside Hedged ETF (PHDG)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
201910.11%3.43%8.00%$10,011$10,343$10,8003.68%3.18%-8.91%2.48%
201920.57%0.92%3.20%$10,068$10,439$11,1460.99%0.85%-2.94%2.98%
201931.53%2.05%1.94%$10,221$10,653$11,3623.37%0.73%1.28%0.69%
201940.99%1.77%4.04%$10,322$10,842$11,8212.13%1.40%-2.26%2.15%
20195-0.78%-1.18%-6.36%$10,242$10,714$11,069-2.12%-0.20%6.07%-5.51%
201962.82%4.39%7.03%$10,530$11,184$11,8475.05%3.71%-2.94%4.74%
201970.39%0.75%1.43%$10,571$11,267$12,0160.87%0.61%-1.86%1.53%
201981.49%2.38%-1.59%$10,728$11,535$11,8252.81%1.93%5.03%-3.23%
20199-1.15%-0.88%1.86%$10,605$11,434$12,0440.10%-1.89%-2.95%-0.15%
201910-0.85%0.29%2.15%$10,516$11,468$12,3040.81%-0.26%-1.27%-2.95%
2019111.04%1.34%3.62%$10,625$11,622$12,7501.71%0.95%-2.14%3.12%
2019120.77%0.82%3.01%$10,707$11,717$13,1330.89%0.74%-1.57%2.61%
202012.30%2.87%-0.05%$10,953$12,053$13,1262.51%3.23%2.90%0.57%
202022.09%0.55%-8.24%$11,182$12,118$12,044-1.09%2.17%8.00%-0.82%
202033.44%-1.70%-12.37%$11,566$11,912$10,554-1.27%-2.12%11.41%5.20%
202041.31%4.42%12.81%$11,718$12,438$11,9073.76%5.06%-4.61%2.29%
202050.86%1.65%4.76%$11,819$12,644$12,4731.64%1.66%-1.80%2.24%
202060.75%1.08%1.98%$11,907$12,780$12,7201.25%0.91%-0.38%1.30%
202071.61%1.95%5.63%$12,100$13,029$13,4353.46%0.50%-0.72%3.39%
202082.61%2.92%7.18%$12,415$13,409$14,3992.30%3.53%-2.58%7.18%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SWANAmplify BlackSwan Gr&Trsry Cor ETFOptions-based25.00%0.49%26.57$90211.19%
DRSKAptus Defined Risk ETFOptions-based25.00%0.78%37.19$72913.80%
TAILCambria Tail Risk ETFBear Market25.00%0.59%26.86-$42.4837.33%
PHDGInvesco S&P 500 Downside Hedged ETFLong-Short Equity25.00%0.39%26.60$82637.68%
100.00%0.56%29.30$2,415100.00%

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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SWANAmplify BlackSwan Gr&Trsry Cor ETFOptions-based50.00%0.49%26.57$1,87150.49%
DRSKAptus Defined Risk ETFOptions-based50.00%0.78%37.19$1,53749.51%
100.00%0.64%31.88$3,409100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/18/2020. (c) 2020 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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.09%1.49%2.00%
Arithmetic Mean (annualized)13.95%19.43%26.83%
Geometric Mean (monthly)1.09%1.48%1.84%
Geometric Mean (annualized)13.86%19.24%24.45%
Volatility (monthly)1.22%1.67%5.78%
Volatility (annualized)4.22%5.78%20.01%
Downside Deviation (monthly)0.36%0.50%3.63%
Max. Drawdown-1.98%-1.70%-19.63%
US Market Correlation-0.160.751.00
Beta(*)-0.030.221.00
Alpha (annualized)13.84%12.63%0.00%
R21.96%57.47%100.00%
Sharpe Ratio2.702.811.12
Sortino Ratio7.828.471.76
Treynor Ratio (%)-394.2574.8422.50
Active Return-10.60%-5.21%N/A
Tracking Error21.02%16.08%N/A
Information Ratio-0.50-0.32N/A
Skewness-0.07-0.06-0.87
Excess Kurtosis-0.24-0.211.35
Historical Value-at-Risk (5%)-1.13%-1.68%-12.17%
Analytical Value-at-Risk (5%)-0.83%-1.18%-7.50%
Conditional Value-at-Risk (5%)-1.15%-1.70%-12.37%
Upside Capture Ratio (%)16.8435.16100.00
Downside Capture Ratio (%)-31.38-10.35100.00
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate16.93%23.09%28.38%
Positive Periods17 out of 20 (85.00%)17 out of 20 (85.00%)15 out of 20 (75.00%)
Gain/Loss Ratio1.571.580.80
* Vanguard 500 Index Investor 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
1Sep 2019Oct 20192 monthsJan 20203 months5 months-1.98%
2May 2019May 20191 monthJun 20191 month2 months-0.78%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthApr 20201 month2 months-1.70%
2May 2019May 20191 monthJun 20191 month2 months-1.18%
3Sep 2019Sep 20191 monthNov 20192 months3 months-0.88%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2May 2019May 20191 monthJun 20191 month2 months-6.36%
3Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SWANAmplify BlackSwan Gr&Trsry Cor ETF21.35%6.37%22.05%13.13%-2.34%2.847.940.77
DRSKAptus Defined Risk ETF17.04%6.27%15.75%12.29%-2.15%2.296.080.61
TAILCambria Tail Risk ETF-2.55%16.30%11.74%-14.27%-14.27%-0.17-0.29-0.92
PHDGInvesco S&P 500 Downside Hedged ETF18.83%10.35%23.18%8.22%-6.22%1.572.860.36

Monthly Correlations

Correlations for the portfolio assets
TickerNameSWANDRSKTAILPHDGPortfolio 1Portfolio 2Vanguard 500 Index Investor
SWANAmplify BlackSwan Gr&Trsry Cor ETF1.000.67-0.600.390.290.920.78
DRSKAptus Defined Risk ETF0.671.00-0.400.250.360.910.60
TAILCambria Tail Risk ETF-0.60-0.401.00-0.320.38-0.55-0.91
PHDGInvesco S&P 500 Downside Hedged ETF0.390.25-0.321.000.600.350.38

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SWANAmplify BlackSwan Gr&Trsry Cor ETF$902$1,871
DRSKAptus Defined Risk ETF$729$1,537
TAILCambria Tail Risk ETF-$42.48
PHDGInvesco S&P 500 Downside Hedged ETF$826

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SWANAmplify BlackSwan Gr&Trsry Cor ETF11.19%50.49%
DRSKAptus Defined Risk ETF13.80%49.51%
TAILCambria Tail Risk ETF37.33%
PHDGInvesco S&P 500 Downside Hedged ETF37.68%

Annual Asset Returns