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 2020 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SWAN Amplify BlackSwan Gr&Trsry Cor ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VOO Vanguard S&P 500 ETF 20.00%
VGLT Vanguard Long-Term Treasury ETF 25.00%
VGIT Vanguard Intmdt-Term Trs ETF 55.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,740 7.40% 8.35%7.40%7.40%-5.06% 1.001.880.78
Portfolio 2$10,000$10,895 8.95% 5.09%8.95%8.95%-2.44% 1.995.000.17
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.
  • 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)Vanguard S&P 500 ETF (VOO)Vanguard Long-Term Treasury ETF (VGLT)Vanguard Intmdt-Term Trs ETF (VGIT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20201.29%7.40%8.95%$10,740$10,8957.40%2.77%17.19%7.46%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceAmplify BlackSwan Gr&Trsry Cor ETF (SWAN)Vanguard S&P 500 ETF (VOO)Vanguard Long-Term Treasury ETF (VGLT)Vanguard Intmdt-Term Trs ETF (VGIT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
202012.51%3.03%$10,251$10,3032.51%-0.04%7.29%2.22%
20202-1.09%1.28%$10,139$10,435-1.09%-8.10%6.60%2.08%
20203-1.27%1.19%$10,010$10,559-1.27%-12.46%6.42%2.94%
202043.76%2.22%$10,386$10,7933.76%12.79%0.97%-0.02%
202051.64%0.50%$10,557$10,8471.64%4.74%-1.73%0.36%
202061.25%0.48%$10,689$10,8991.25%1.83%0.35%0.11%
202073.46%2.47%$11,058$11,1683.46%5.88%4.19%0.48%
202082.30%-0.29%$11,313$11,1362.30%6.97%-4.80%-0.39%
20209-2.41%-0.44%$11,040$11,086-2.41%-3.75%0.81%0.14%
202010-2.71%-1.72%$10,740$10,895-2.71%-2.55%-3.30%-0.63%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SWANAmplify BlackSwan Gr&Trsry Cor ETFOptions-based100.00%0.49%25.85$740100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VOOVanguard S&P 500 ETFLarge Blend20.00%0.03%25.27$55.4420.79%
VGLTVanguard Long-Term Treasury ETFLong Government25.00%0.05%18.72$43053.81%
VGITVanguard Intmdt-Term Trs ETFIntermediate Government55.00%0.05%5.29$41025.41%
100.00%0.05%25.279.49$895100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

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 2
Arithmetic Mean (monthly)0.74%0.87%
Arithmetic Mean (annualized)9.28%10.96%
Geometric Mean (monthly)0.72%0.86%
Geometric Mean (annualized)8.94%10.84%
Volatility (monthly)2.41%1.47%
Volatility (annualized)8.35%5.09%
Downside Deviation (monthly)1.26%0.57%
Max. Drawdown-5.06%-2.44%
US Market Correlation0.780.17
Beta(*)0.240.03
Alpha (annualized)7.21%10.22%
R260.59%3.00%
Sharpe Ratio1.001.99
Sortino Ratio1.885.00
Treynor Ratio (%)35.42309.12
Active Return5.16%7.05%
Tracking Error21.56%27.00%
Information Ratio0.240.26
Skewness-0.29-0.21
Excess Kurtosis-1.61-0.49
Historical Value-at-Risk (5%)-2.71%-1.72%
Analytical Value-at-Risk (5%)-3.22%-1.42%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)33.3213.90
Downside Capture Ratio (%)20.01-13.46
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods6 out of 10 (60.00%)7 out of 10 (70.00%)
Gain/Loss Ratio1.331.95
* 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
1Sep 2020Oct 20202 months-5.06%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-2.34%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2020Oct 20203 months-2.44%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SWANAmplify BlackSwan Gr&Trsry Cor ETF7.40%8.35%7.40%7.40%-5.06%1.001.880.78
VOOVanguard S&P 500 ETF2.77%26.11%2.77%2.77%-19.58%0.220.341.00
VGLTVanguard Long-Term Treasury ETF17.19%14.87%17.19%17.19%-7.20%1.342.95-0.51
VGITVanguard Intmdt-Term Trs ETF7.46%4.25%7.46%7.46%-0.87%2.029.99-0.68

Monthly Correlations

Correlations for the portfolio assets
TickerNameSWANVOOVGLTVGITPortfolio 1Portfolio 2
SWANAmplify BlackSwan Gr&Trsry Cor ETF1.000.800.02-0.121.000.68
VOOVanguard S&P 500 ETF0.801.00-0.49-0.660.800.20
VGLTVanguard Long-Term Treasury ETF0.02-0.491.000.890.020.74
VGITVanguard Intmdt-Term Trs ETF-0.12-0.660.891.00-0.120.56

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SWANAmplify BlackSwan Gr&Trsry Cor ETF$740
VOOVanguard S&P 500 ETF$55.44
VGLTVanguard Long-Term Treasury ETF$430
VGITVanguard Intmdt-Term Trs ETF$410

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SWANAmplify BlackSwan Gr&Trsry Cor ETF100.00%
VOOVanguard S&P 500 ETF20.79%
VGLTVanguard Long-Term Treasury ETF53.81%
VGITVanguard Intmdt-Term Trs ETF25.41%

Annual Asset Returns