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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2007 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DIA SPDR Dow Jones Industrial Avrg ETF Tr 50.00%
DOG ProShares Short Dow30 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,079 0.05% 1.70%3.71%-5.42%-6.73% -0.45-0.530.11
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-0.44%-0.11%0.57%-0.97%0.32%0.08%0.05%2.44%2.03%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2021 are based on monthly returns from January to November
  • 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 1 ReturnPortfolio 1 BalanceSPDR Dow Jones Industrial Avrg ETF Tr (DIA)ProShares Short Dow30 (DOG)
20074.08%3.71%$10,3718.79%-1.37%
20080.09%-0.74%$10,295-32.16%30.68%
20092.72%-0.46%$10,24722.75%-23.66%
20101.50%-0.64%$10,18214.01%-15.29%
20112.96%-2.21%$9,9578.06%-12.47%
20121.74%-0.70%$9,8889.94%-11.34%
20131.50%2.77%$10,16129.64%-24.10%
20140.76%-0.51%$10,1099.82%-10.84%
20150.73%-1.41%$9,9670.10%-2.92%
20162.07%0.31%$9,99816.37%-15.75%
20172.11%3.29%$10,32728.08%-21.51%
20181.91%-0.09%$10,318-3.74%3.57%
20192.29%3.29%$10,65725.02%-18.43%
20201.36%-5.42%$10,0809.61%-20.45%
20216.19%-0.01%$10,07914.49%-14.52%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceSPDR Dow Jones Industrial Avrg ETF Tr (DIA)ProShares Short Dow30 (DOG)
200710.51%$10,0511.54%-0.51%
200720.26%$10,078-2.66%3.25%
200730.40%$10,1180.99%-0.16%
200740.38%$10,1575.82%-4.90%
200750.62%$10,2204.57%-3.67%
200760.20%$10,240-1.41%2.08%
200770.21%$10,261-1.40%2.03%
200780.12%$10,2731.15%-1.01%
200790.64%$10,3394.31%-3.48%
2007100.19%$10,3580.14%0.25%
200711-0.04%$10,354-3.17%3.76%
2007120.16%$10,371-0.96%1.43%
200810.28%$10,400-4.83%5.39%
20082-0.16%$10,384-2.19%1.68%
200830.15%$10,399-0.26%0.49%
20084-0.28%$10,3704.86%-4.71%
200850.17%$10,387-1.36%1.62%
200860.93%$10,484-9.87%10.87%
20087-0.23%$10,4600.39%-0.69%
20088-0.31%$10,4271.75%-1.88%
20089-0.10%$10,417-5.87%4.43%
2008101.21%$10,542-13.56%11.65%
200811-1.26%$10,410-5.16%0.88%
200812-1.11%$10,295-0.57%-1.38%
200910.07%$10,302-8.34%8.49%
200921.18%$10,424-11.20%11.64%
20093-2.10%$10,2057.44%-8.51%
20094-0.92%$10,1107.86%-7.86%
20095-0.54%$10,0564.87%-5.53%
200960.02%$10,058-0.53%0.57%
200970.14%$10,0728.44%-8.27%
200980.33%$10,1064.05%-4.11%
200990.23%$10,1292.33%-2.50%
200910-0.16%$10,1130.06%-0.46%
2009111.21%$10,2367.07%-6.82%
2009120.11%$10,2470.86%-1.08%
20101-0.05%$10,243-3.38%3.29%
20102-0.17%$10,2253.00%-3.13%
201030.04%$10,2305.34%-5.23%
20104-0.02%$10,2271.46%-1.65%
20105-0.52%$10,175-7.49%7.44%
20106-0.22%$10,152-3.51%3.01%
20107-0.23%$10,1297.23%-7.09%
20108-0.16%$10,113-3.94%3.85%
201090.08%$10,1217.89%-7.58%
2010100.19%$10,1403.24%-3.30%
201011-0.19%$10,122-0.71%0.45%
2010120.60%$10,1825.42%-5.24%
20111-0.05%$10,1772.69%-2.80%
201120.07%$10,1843.24%-3.27%
20113-0.07%$10,1770.90%-1.18%
201140.25%$10,2024.18%-4.27%
20115-0.21%$10,181-1.66%1.60%
20116-0.26%$10,154-1.16%0.82%
20117-0.29%$10,124-2.09%1.86%
20118-0.89%$10,034-3.90%2.55%
20119-0.46%$9,989-5.88%5.36%
201110-0.04%$9,9859.73%-9.38%
201111-0.27%$9,9580.96%-1.69%
201112-0.01%$9,9571.69%-2.02%
20121-0.02%$9,9563.60%-3.63%
201220.13%$9,9692.82%-2.75%
201230.02%$9,9702.14%-2.39%
20124-0.09%$9,9610.11%-0.34%
20125-0.44%$9,918-5.82%5.99%
201260.01%$9,9194.02%-4.24%
201270.01%$9,9201.13%-1.28%
201280.02%$9,9221.18%-1.35%
201290.21%$9,9432.63%-2.72%
201210-0.39%$9,905-2.44%2.23%
201211-0.07%$9,898-0.13%0.00%
201212-0.10%$9,8880.68%-1.06%
201310.22%$9,9096.11%-5.67%
201320.01%$9,9101.61%-1.79%
201330.29%$9,9403.81%-3.80%
201340.16%$9,9561.96%-2.09%
201350.30%$9,9862.37%-2.40%
20136-0.38%$9,948-1.49%1.13%
201370.69%$10,0174.37%-4.22%
20138-0.75%$9,941-4.27%4.37%
201390.28%$9,9692.33%-2.46%
2013100.46%$10,0142.95%-3.05%
2013110.71%$10,0863.69%-3.71%
2013120.75%$10,1613.21%-3.19%
201410.03%$10,164-5.19%5.25%
20142-0.23%$10,1414.28%-4.29%
20143-0.08%$10,1330.92%-1.06%
20144-0.09%$10,1240.82%-1.00%
20145-0.05%$10,1181.15%-1.28%
20146-0.01%$10,1170.77%-0.83%
20147-0.13%$10,104-1.44%1.27%
201480.08%$10,1123.57%-3.52%
20149-0.09%$10,104-0.24%0.08%
201410-0.01%$10,1032.08%-2.31%
2014110.19%$10,1222.94%-2.99%
201412-0.12%$10,1090.09%-0.39%
20151-0.01%$10,109-3.53%3.52%
20152-0.15%$10,0945.97%-5.85%
20153-0.16%$10,078-1.82%1.59%
20154-0.03%$10,0740.40%-0.48%
20155-0.07%$10,0671.31%-1.48%
20156-0.12%$10,055-2.12%1.99%
20157-0.05%$10,0500.58%-0.69%
20158-0.17%$10,033-6.20%5.99%
20159-0.12%$10,020-1.35%0.99%
201510-0.29%$9,9928.58%-8.12%
201511-0.10%$9,9820.74%-0.98%
201512-0.15%$9,967-1.59%1.39%
20161-0.11%$9,956-5.48%5.27%
20162-0.21%$9,9360.73%-1.05%
20163-0.08%$9,9287.31%-6.84%
20164-0.06%$9,9210.61%-0.78%
20165-0.09%$9,9120.38%-0.60%
20166-0.08%$9,9050.96%-1.20%
201670.14%$9,9182.94%-2.95%
201680.02%$9,9210.25%-0.24%
20169-0.12%$9,908-0.44%0.24%
201610-0.11%$9,898-0.78%0.68%
2016110.55%$9,9525.95%-5.65%
2016120.46%$9,9983.42%-3.35%
20171-0.05%$9,9930.53%-0.63%
201720.14%$10,0075.14%-4.92%
20173-0.03%$10,004-0.59%0.61%
201740.06%$10,0111.42%-1.44%
201750.08%$10,0180.73%-0.67%
201760.19%$10,0371.73%-1.58%
201770.28%$10,0652.67%-2.58%
201780.08%$10,0740.62%-0.59%
201790.33%$10,1072.17%-2.01%
2017100.78%$10,1854.46%-4.11%
2017110.85%$10,2724.19%-3.97%
2017120.53%$10,3272.10%-1.94%
201810.13%$10,3405.74%-5.49%
20182-0.37%$10,302-4.05%3.75%
20183-0.11%$10,290-3.34%3.24%
20184-0.05%$10,2860.11%-0.20%
201850.09%$10,2951.38%-1.16%
201860.09%$10,304-0.44%0.62%
201870.19%$10,3244.85%-4.39%
201880.20%$10,3452.45%-2.24%
201890.22%$10,3681.96%-1.75%
201810-0.31%$10,335-4.94%5.13%
2018110.08%$10,3431.96%-1.93%
201812-0.25%$10,318-8.48%8.86%
201910.25%$10,3447.33%-6.83%
201920.44%$10,3893.94%-3.59%
201930.13%$10,4020.15%0.09%
201940.44%$10,4492.63%-2.27%
20195-0.60%$10,386-6.38%6.94%
201960.89%$10,4797.36%-6.50%
201970.24%$10,5041.09%-0.86%
20198-0.24%$10,479-1.38%1.28%
201990.38%$10,5192.16%-1.94%
2019100.13%$10,5320.55%-0.44%
2019110.74%$10,6104.06%-3.81%
2019120.44%$10,6571.79%-1.54%
202010.03%$10,661-0.89%0.95%
202020.39%$10,702-9.61%10.20%
20203-2.34%$10,451-13.61%6.73%
20204-2.61%$10,17811.00%-11.49%
20205-0.65%$10,1124.76%-5.06%
20206-0.61%$10,0501.70%-2.70%
20207-0.22%$10,0292.59%-2.86%
202080.21%$10,0507.77%-7.32%
20209-0.38%$10,012-2.15%1.67%
202010-0.30%$9,982-4.44%4.32%
2020110.55%$10,03612.16%-11.30%
2020120.43%$10,0803.29%-3.26%
20211-0.10%$10,070-1.91%1.71%
20212-0.10%$10,0593.41%-3.49%
202130.24%$10,0846.92%-6.65%
202140.17%$10,1012.69%-2.81%
202150.18%$10,1202.19%-2.32%
20216-0.07%$10,113-0.05%-0.09%
202170.10%$10,1231.37%-1.56%
202180.16%$10,1391.45%-1.58%
20219-0.70%$10,068-4.21%4.18%
2021100.78%$10,1475.93%-5.79%
202111-0.68%$10,079-3.53%3.43%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
DIASPDR Dow Jones Industrial Avrg ETF TrLarge Value50.00%1.61%1.64%0.16%0.16%19.13$8,095154.42%
DOGProShares Short Dow30Inverse Equity50.00%0.95%0.96%-$8,016-54.42%
100.00%0.80%0.82%0.56%0.56%19.13$78.83100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 1
Arithmetic Mean (monthly)0.01%
Arithmetic Mean (annualized)0.07%
Geometric Mean (monthly)0.00%
Geometric Mean (annualized)0.05%
Standard Deviation (monthly)0.49%
Standard Deviation (annualized)1.70%
Downside Deviation (monthly)0.39%
Max. Drawdown-6.73%
US Market Correlation0.11
Beta(*)0.01
Alpha (annualized)-0.06%
R21.17%
Sharpe Ratio-0.45
Sortino Ratio-0.53
Treynor Ratio (%)-64.88
Calmar Ratio-0.13
Active Return-10.31%
Tracking Error15.78%
Information Ratio-0.65
Skewness-1.72
Excess Kurtosis8.40
Historical Value-at-Risk (5%)-0.68%
Analytical Value-at-Risk (5%)-0.64%
Conditional Value-at-Risk (5%)-1.41%
Upside Capture Ratio (%)2.44
Downside Capture Ratio (%)4.46
Safe Withdrawal Rate6.28%
Perpetual Withdrawal Rate0.00%
Positive Periods91 out of 179 (50.84%)
Gain/Loss Ratio1.00
* 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 1
Subprime CrisisNov 2007Mar 2009-3.20%
COVID-19 StartJan 2020Mar 2020-2.34%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Oct 20208 months-6.73%
2Nov 2008Dec 20124 years 2 monthsNov 20196 years 11 months11 years 1 month-6.21%
3Jul 2008Sep 20083 monthsOct 20081 month4 months-0.64%
4Feb 2008Apr 20083 monthsJun 20082 months5 months-0.29%
5Nov 2007Nov 20071 monthDec 20071 month2 months-0.04%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DIASPDR Dow Jones Industrial Avrg ETF Tr9.62%14.82%29.64%-32.16%-47.05%0.640.960.96
DOGProShares Short Dow30-11.51%14.13%30.68%-24.10%-90.00%-0.85-1.06-0.94

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
SPDR Dow Jones Industrial Avrg ETF Tr-1.49%12.04%24.03%10.84%15.53%14.54%0.16%0.16%
ProShares Short Dow300.94%-12.27%-21.47%-13.87%-15.74%-14.94%0.95%0.96%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameDIADOGPortfolio 1
DIASPDR Dow Jones Industrial Avrg ETF Tr1.00-0.990.16
DOGProShares Short Dow30-0.991.00-0.06

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
DIASPDR Dow Jones Industrial Avrg ETF Tr$8,095
DOGProShares Short Dow30-$8,016

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
DIASPDR Dow Jones Industrial Avrg ETF Tr154.42%
DOGProShares Short Dow30-54.42%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year-0.05%3.71%-6.00%
3 years0.00%2.26%-1.80%
5 years0.02%1.18%-1.04%
7 years0.03%1.10%-0.76%
10 years0.02%0.46%-0.23%