Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. 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.

You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds, ETFs, and stocks.

$ .00
$ .00
%
%
%
Asset Allocation
US Stock Market
%
%
%
US Large Cap
%
%
%
US Large Cap Value
%
%
%
US Large Cap Growth
%
%
%
US Mid Cap
%
%
%
US Mid Cap Value
%
%
%
US Mid Cap Growth
%
%
%
US Small Cap
%
%
%
US Small Cap Value
%
%
%
US Small Cap Growth
%
%
%
US Micro Cap
%
%
%
Global ex-US Stock Market
%
%
%
Intl Developed ex-US Market
%
%
%
International ex-US Small Cap
%
%
%
International ex-US Value
%
%
%
European Stocks
%
%
%
Pacific Stocks
%
%
%
Emerging Markets
%
%
%
Cash
%
%
%
Short Term Treasury
%
%
%
Intermediate Term Treasury
%
%
%
10-year Treasury
%
%
%
Long Term Treasury
%
%
%
Total US Bond Market
%
%
%
TIPS
%
%
%
Global Bonds (Unhedged)
%
%
%
Global Bonds (USD Hedged)
%
%
%
Short-Term Investment Grade
%
%
%
Corporate Bonds
%
%
%
Long-Term Corporate Bonds
%
%
%
High Yield Corporate Bonds
%
%
%
Short-Term Tax-Exempt
%
%
%
Intermediate-Term Tax-Exempt
%
%
%
Long-Term Tax-Exempt
%
%
%
REIT
%
%
%
Gold
%
%
%
Precious Metals
%
%
%
Commodities
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1990 - Dec 1999)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save portfolio »
Portfolio 2
Asset Class Allocation
US Stock Market 50.00%
US Small Cap Value 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$49,199 17.27% 13.52%35.79%-6.08%-17.57% 0.891.381.00
Portfolio 2$10,000$44,484 16.10% 13.54%37.68%-12.56%-22.01% 0.811.190.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 118.26%23.81%25.98%26.84%17.27%17.27%17.28%14.35%
Portfolio 210.64%13.58%18.61%21.89%16.10%16.10%16.96%14.13%
Trailing annualized return and volatility are for full months ending in December 1999 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.
  • 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 1Portfolio 2US Stock MarketUS Small Cap Value
ReturnBalanceReturnBalance
19906.11%-6.08%$9,392-12.56%$8,744-6.08%-19.05%
19913.06%32.39%$12,43537.68%$12,03832.39%42.96%
19922.90%9.11%$13,56718.67%$14,2859.11%28.23%
19932.75%10.62%$15,00815.86%$16,55110.62%21.10%
19942.67%-0.17%$14,983-0.12%$16,532-0.17%-0.07%
19952.54%35.79%$20,34533.05%$21,99635.79%30.32%
19963.32%20.96%$24,60921.19%$26,65620.96%21.41%
19971.70%30.99%$32,23733.22%$35,51030.99%35.44%
19981.61%23.26%$39,73710.29%$39,16523.26%-2.68%
19992.68%23.81%$49,19913.58%$44,48423.81%3.35%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.41%1.33%
Arithmetic Mean (annualized)18.34%17.16%
Geometric Mean (monthly)1.34%1.25%
Geometric Mean (annualized)17.27%16.10%
Volatility (monthly)3.90%3.91%
Volatility (annualized)13.52%13.54%
Downside Deviation (monthly)2.32%2.49%
Max. Drawdown-17.57%-22.01%
US Market Correlation1.000.96
Beta(*)1.000.96
Alpha (annualized)-0.00%-0.32%
R2100.00%91.85%
Sharpe Ratio0.890.81
Sortino Ratio1.381.19
Treynor Ratio (%)12.0511.50
Calmar Ratio1.480.85
Active Return0.00%-1.18%
Tracking Error0.00%3.90%
Information RatioN/A-0.30
Skewness-0.79-1.08
Excess Kurtosis2.252.93
Historical Value-at-Risk (5%)-4.46%-4.85%
Analytical Value-at-Risk (5%)-5.01%-5.10%
Conditional Value-at-Risk (5%)-7.79%-8.60%
Upside Capture Ratio (%)100.0095.87
Downside Capture Ratio (%)100.0099.99
Safe Withdrawal Rate15.37%15.76%
Perpetual Withdrawal Rate12.23%11.34%
Positive Periods82 out of 120 (68.33%)86 out of 120 (71.67%)
Gain/Loss Ratio1.140.92
* 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
Asian CrisisJul 1997Jan 1998-3.72%-3.27%
Russian Debt DefaultJul 1998Oct 1998-17.57%-20.51%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
2Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
3Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
4Jan 1990Jan 19901 monthMay 19904 months5 months-7.01%
5Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
6Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
7Feb 1997Mar 19972 monthsMay 19972 months4 months-4.56%
8Jun 1991Jun 19911 monthJul 19911 month2 months-4.47%
9Nov 1991Nov 19911 monthDec 19911 month2 months-3.83%
10Feb 1999Feb 19991 monthMar 19991 month2 months-3.73%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 1998Aug 19984 monthsApr 19998 months1 year-22.01%
2Jan 1990Oct 199010 monthsFeb 19914 months1 year 2 months-20.66%
3Jul 1999Sep 19993 monthsDec 19993 months6 months-6.91%
4Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.77%
5Jun 1996Jul 19962 monthsSep 19962 months4 months-6.76%
6Nov 1991Nov 19911 monthDec 19911 month2 months-4.27%
7Jun 1991Jun 19911 monthJul 19911 month2 months-4.13%
8Mar 1997Mar 19971 monthMay 19972 months3 months-3.51%
9Oct 1997Oct 19971 monthDec 19972 months3 months-3.27%
10Oct 1995Oct 19951 monthNov 19951 month2 months-2.57%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market17.27%13.52%35.79%-6.08%-17.57%0.891.381.00
US Small Cap Value14.49%14.69%42.96%-19.05%-27.15%0.660.950.84

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValuePortfolio 1Portfolio 2
US Stock Market1.000.841.000.96
US Small Cap Value0.841.000.840.96

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$39,199$20,593
US Small Cap Value$13,891

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%47.83%
US Small Cap Value52.17%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year18.68%47.42%-6.08%18.51%48.75%-12.56%
3 years18.20%30.70%6.41%18.78%30.83%10.30%
5 years17.86%26.84%8.42%18.26%22.08%10.58%
7 years18.00%20.35%13.73%18.67%23.22%15.03%