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 2017 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SH ProShares Short S&P500 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
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Portfolio 3
Ticker Name Allocation
SH ProShares Short S&P500 50.00%
VTI Vanguard Total Stock Market ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$5,843 -13.08% 14.46%4.94%-22.12%-44.59% -0.99-1.22-0.97
Portfolio 2$10,000$15,526 12.16% 16.38%30.67%-5.21%-20.84% 0.701.011.00
Portfolio 3$10,000$10,079 0.21% 2.42%4.27%-5.04%-5.44% -0.48-0.520.45
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 yearFull
Portfolio 1-1.71%-13.49%-18.64%-12.10%-13.08%
Portfolio 21.30%3.41%10.34%10.11%12.16%
Portfolio 3-0.09%-5.04%-3.52%-0.13%0.21%
Trailing returns are for full months ending in October 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 October
  • 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
YearInflationReturnBalanceProShares Short S&P500 (SH)Vanguard Total Stock Market ETF (VTI)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20172.11%-17.36%21.21%1.93%$8,264$12,121$10,193-17.36%21.21%
20181.91%4.94%-5.21%-0.14%$8,673$11,490$10,1794.94%-5.21%
20192.29%-22.12%30.67%4.27%$6,754$15,013$10,614-22.12%30.67%
20201.29%-13.49%3.41%-5.04%$5,843$15,526$10,079-13.49%3.41%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares Short S&P500 (SH)Vanguard Total Stock Market ETF (VTI)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20171-1.78%1.86%0.04%$9,822$10,186$10,004-1.78%1.86%
20172-3.73%3.69%0.05%$9,455$10,562$10,009-3.73%3.69%
20173-0.17%0.06%-0.05%$9,439$10,568$10,003-0.17%0.06%
20174-0.93%1.06%0.12%$9,351$10,680$10,016-0.93%1.06%
20175-1.38%1.01%-0.10%$9,223$10,788$10,005-1.38%1.01%
20176-0.59%0.95%0.24%$9,168$10,890$10,029-0.59%0.95%
20177-1.91%1.88%0.15%$8,993$11,095$10,044-1.91%1.88%
20178-0.21%0.15%-0.01%$8,974$11,112$10,043-0.21%0.15%
20179-1.89%2.44%0.50%$8,804$11,383$10,093-1.89%2.44%
201710-2.27%2.17%0.23%$8,604$11,630$10,117-2.27%2.17%
201711-2.83%3.03%0.54%$8,361$11,982$10,171-2.83%3.03%
201712-1.15%1.16%0.21%$8,264$12,121$10,193-1.15%1.16%
20181-5.20%5.23%0.01%$7,834$12,755$10,194-5.20%5.23%
201823.46%-3.76%-0.34%$8,106$12,276$10,1603.46%-3.76%
201832.50%-1.95%0.24%$8,308$12,036$10,1842.50%-1.95%
20184-0.33%0.45%0.06%$8,280$12,090$10,190-0.33%0.45%
20185-2.19%2.72%0.26%$8,100$12,419$10,216-2.19%2.72%
20186-0.44%0.70%0.14%$8,064$12,506$10,231-0.44%0.70%
20187-3.41%3.32%0.05%$7,789$12,921$10,236-3.41%3.32%
20188-2.93%3.43%0.45%$7,561$13,365$10,282-2.93%3.43%
20189-0.26%0.20%-0.01%$7,541$13,391$10,280-0.26%0.20%
2018107.14%-7.41%-0.83%$8,079$12,399$10,1957.14%-7.41%
201811-1.78%2.01%0.16%$7,935$12,648$10,212-1.78%2.01%
2018129.29%-9.16%-0.32%$8,673$11,490$10,1799.29%-9.16%
20191-7.21%8.54%0.66%$8,047$12,471$10,246-7.21%8.54%
20192-2.92%3.56%0.57%$7,812$12,915$10,305-2.92%3.56%
20193-1.66%1.42%0.05%$7,682$13,098$10,310-1.66%1.42%
20194-3.51%3.93%0.67%$7,413$13,612$10,380-3.51%3.93%
201956.97%-6.45%-0.82%$7,930$12,734$10,2946.97%-6.45%
20196-6.32%7.08%1.02%$7,428$13,635$10,399-6.32%7.08%
20197-1.20%1.41%0.32%$7,339$13,828$10,432-1.20%1.41%
201981.56%-2.08%-0.58%$7,453$13,540$10,3711.56%-2.08%
20199-1.73%1.78%0.30%$7,324$13,781$10,402-1.73%1.78%
201910-1.95%2.11%0.43%$7,181$14,071$10,447-1.95%2.11%
201911-3.40%3.79%0.89%$6,937$14,604$10,540-3.40%3.79%
201912-2.64%2.80%0.70%$6,754$15,013$10,614-2.64%2.80%
202010.17%-0.06%0.05%$6,765$15,004$10,6200.17%-0.06%
202028.57%-8.00%0.29%$7,345$13,804$10,6518.57%-8.00%
202036.04%-13.91%-3.10%$7,788$11,884$10,3206.04%-13.91%
20204-12.51%13.13%-2.07%$6,814$13,445$10,107-12.51%13.13%
20205-5.04%5.40%-0.13%$6,471$14,170$10,093-5.04%5.40%
20206-2.70%2.29%-0.22%$6,296$14,495$10,071-2.70%2.29%
20207-5.59%5.74%0.18%$5,944$15,327$10,089-5.59%5.74%
20208-6.77%7.10%0.68%$5,541$16,416$10,157-6.77%7.10%
202093.25%-3.54%-0.63%$5,722$15,835$10,0933.25%-3.54%
2020102.12%-1.95%-0.14%$5,843$15,526$10,0792.12%-1.95%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value32.17%
Large-cap Growth52.10%
Mid-cap Value7.40%
Mid-cap Growth4.86%
Small-cap Value2.04%
Small-cap Growth1.35%
Global ex-US Developed Markets0.00%
Emerging Markets0.07%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.86%
Style analysis is based on monthly returns from Jan 2017 to Oct 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
TickerNameCategoryWeightERReturn ContributionRisk Contribution
SHProShares Short S&P500Inverse Equity100.00%0.90%-$4,157100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%0.03%25.00$5,526100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SHProShares Short S&P500Inverse Equity50.00%0.90%-$2,458-145.14%
VTIVanguard Total Stock Market ETFLarge Blend50.00%0.03%25.00$2,537245.14%
100.00%0.47%25.00$79.09100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)-1.08%1.07%0.02%
Arithmetic Mean (annualized)-12.17%13.65%0.23%
Geometric Mean (monthly)-1.16%0.96%0.02%
Geometric Mean (annualized)-13.08%12.16%0.21%
Volatility (monthly)4.18%4.73%0.70%
Volatility (annualized)14.46%16.38%2.42%
Downside Deviation (monthly)3.32%3.22%0.60%
Max. Drawdown-44.59%-20.84%-5.44%
US Market Correlation-0.971.000.45
Beta(*)-0.851.000.07
Alpha (annualized)-2.01%0.15%-0.62%
R294.23%99.98%20.59%
Sharpe Ratio-0.990.70-0.48
Sortino Ratio-1.221.01-0.52
Treynor Ratio (%)16.7311.52-17.18
Calmar Ratio-0.340.49-0.02
Active Return-25.11%0.13%-11.82%
Tracking Error30.67%0.25%15.48%
Information Ratio-0.820.54-0.76
Skewness0.43-0.78-2.58
Excess Kurtosis1.312.189.40
Historical Value-at-Risk (5%)-7.06%-8.76%-1.64%
Analytical Value-at-Risk (5%)-7.94%-6.71%-1.01%
Conditional Value-at-Risk (5%)-9.86%-11.54%-2.59%
Upside Capture Ratio (%)-75.12100.105.89
Downside Capture Ratio (%)-93.3599.4510.95
Safe Withdrawal Rate24.93%40.70%33.04%
Perpetual Withdrawal Rate0.00%11.45%0.00%
Positive Periods11 out of 46 (23.91%)35 out of 46 (76.09%)31 out of 46 (67.39%)
Gain/Loss Ratio1.620.580.53
* 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
1Jan 2017Aug 20203 years 8 months-44.59%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.84%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
3May 2019May 20191 monthJun 20191 month2 months-6.45%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
5Sep 2020Oct 20202 months-5.42%
6Aug 2019Aug 20191 monthOct 20192 months3 months-2.08%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Jun 20204 months-5.44%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-1.00%
3May 2019May 20191 monthJun 20191 month2 months-0.82%
4Aug 2019Aug 20191 monthOct 20192 months3 months-0.58%
5Feb 2018Feb 20181 monthMay 20183 months4 months-0.34%
6May 2017May 20171 monthJun 20171 month2 months-0.10%
7Mar 2017Mar 20171 monthApr 20171 month2 months-0.05%
8Aug 2017Aug 20171 monthSep 20171 month2 months-0.01%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SHProShares Short S&P500-13.08%14.46%4.94%-22.12%-44.59%-0.99-1.22-0.97
VTIVanguard Total Stock Market ETF12.16%16.38%30.67%-5.21%-20.84%0.701.011.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSHVTIPortfolio 1Portfolio 2Portfolio 3
SHProShares Short S&P5001.00-0.971.00-0.97-0.31
VTIVanguard Total Stock Market ETF-0.971.00-0.971.000.46

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SHProShares Short S&P500-$4,157-$2,458
VTIVanguard Total Stock Market ETF$5,526$2,537

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SHProShares Short S&P500100.00%-145.14%
VTIVanguard Total Stock Market ETF100.00%245.14%

Annual Asset Returns