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 1995 - Dec 2013)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 57.00%
Global ex-US Stock Market 23.00%
Total US Bond Market 20.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 70.00%
Global ex-US Stock Market 30.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 35.00%
US Mid Cap 8.00%
US Small Cap 27.00%
Global ex-US Stock Market 15.00%
International ex-US Small Cap 15.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$18,000$931,352 23.08% 8.46%7.45%12.50%27.94%-30.24%-43.23%
(-36.59%)
0.490.700.98
Portfolio 2$18,000$938,758 23.14% 8.54%7.53%15.83%34.05%-39.16%-53.26%
(-47.05%)
0.420.590.98
Portfolio 3$18,000$1,100,330 24.17% 9.62%9.05%16.38%42.05%-38.91%-53.93%
(-48.52%)
0.470.670.96
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual contribution of $18,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketUS Mid CapUS Small CapInternational ex-US Small Cap
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
19952.54%24.95%26.24%23.71%$40,948$41,181$40,725$18,45735.79%3.98%18.18%33.22%28.74%1.16%
19963.32%13.74%16.08%14.59%$65,645$66,872$65,737$19,07020.96%4.68%3.58%18.97%18.12%0.95%
19971.70%19.38%21.46%16.02%$97,760$100,620$95,661$19,39530.99%-0.77%9.44%25.66%24.59%-22.72%
19981.61%18.57%20.97%11.36%$135,617$141,423$126,235$19,70723.26%15.60%8.58%9.90%-2.61%5.27%
19992.68%20.30%25.64%23.15%$183,388$197,927$175,694$20,23723.81%29.92%-0.76%15.32%23.13%19.04%
20003.39%-7.34%-12.09%-5.78%$190,848$194,927$186,466$20,922-10.57%-15.61%11.39%18.10%-2.67%-3.08%
20011.55%-9.20%-13.72%-6.75%$194,536$189,425$195,121$21,247-10.97%-20.15%8.43%-0.50%3.10%-4.59%
20022.38%-13.77%-19.20%-15.30%$189,510$174,812$187,009$21,752-20.96%-15.08%8.26%-14.61%-20.02%5.79%
20031.88%27.94%34.05%42.05%$264,628$256,496$287,803$22,16031.35%40.34%3.97%34.14%45.63%66.48%
20043.26%12.77%15.01%19.73%$321,313$317,883$367,460$22,88212.52%20.84%4.24%20.35%19.90%34.80%
20053.42%7.47%8.86%11.02%$368,976$369,703$431,602$23,6635.98%15.57%2.40%13.93%7.36%23.23%
20062.54%15.82%18.85%19.00%$451,619$463,653$537,864$24,26515.51%26.64%4.27%13.60%15.66%28.39%
20074.08%8.08%8.50%5.49%$513,380$528,316$592,622$25,2555.49%15.52%6.92%6.02%1.16%2.95%
20080.09%-30.24%-39.16%-38.91%$383,391$346,723$387,282$25,278-37.04%-44.10%5.05%-41.82%-36.07%-41.68%
20092.72%25.99%31.11%35.65%$509,007$480,543$551,315$25,96628.70%36.73%5.93%40.22%36.12%47.52%
20101.50%13.59%15.30%21.01%$604,512$580,430$693,515$26,35417.09%11.12%6.42%25.46%27.72%25.60%
20112.96%-1.29%-3.70%-5.72%$623,848$586,112$680,994$27,1350.96%-14.56%7.56%-2.11%-2.80%-19.63%
20121.74%14.25%16.82%17.66%$740,331$712,301$828,831$27,60716.25%18.14%4.05%15.80%18.04%20.73%
20131.50%22.02%27.86%29.38%$931,352$938,758$1,100,330$28,02233.35%15.04%-2.26%35.00%37.62%16.60%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.75%0.79%0.88%
Arithmetic Mean (annualized)9.32%9.92%11.11%
Geometric Mean (monthly)0.68%0.69%0.77%
Geometric Mean (annualized)8.46%8.54%9.62%
Volatility (monthly)3.61%4.57%4.73%
Volatility (annualized)12.50%15.83%16.38%
Downside Deviation (monthly)2.45%3.18%3.25%
Max. Drawdown-43.23%-53.26%-53.93%
US Market Correlation0.980.980.96
Beta(*)0.780.980.99
Alpha (annualized)0.70%-0.94%0.06%
R296.62%96.86%91.86%
Sharpe Ratio0.490.420.47
Sortino Ratio0.700.590.67
Treynor Ratio (%)7.926.827.86
Calmar Ratio0.750.650.58
Active Return-1.29%-1.21%-0.13%
Tracking Error4.22%2.82%4.68%
Information Ratio-0.30-0.43-0.03
Skewness-0.83-0.83-0.82
Excess Kurtosis1.541.561.98
Historical Value-at-Risk (5%)-6.64%-8.52%-8.53%
Analytical Value-at-Risk (5%)-5.19%-6.72%-6.90%
Conditional Value-at-Risk (5%)-8.41%-10.81%-11.29%
Upside Capture Ratio (%)77.2595.0199.41
Downside Capture Ratio (%)76.9999.5099.84
Safe Withdrawal Rate9.95%10.01%10.33%
Perpetual Withdrawal Rate5.63%5.70%6.63%
Positive Periods146 out of 228 (64.04%)143 out of 228 (62.72%)144 out of 228 (63.16%)
Gain/Loss Ratio0.940.920.94
* 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 2Portfolio 3
Asian CrisisJul 1997Jan 1998-4.28%-5.07%-4.66%
Russian Debt DefaultJul 1998Oct 1998-12.81%-16.15%-18.54%
Dotcom CrashMar 2000Oct 2002-33.27%-44.46%-32.87%
Subprime CrisisNov 2007Mar 2009-43.23%-53.26%-53.93%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-43.23%
2Apr 2000Sep 20022 years 6 monthsDec 20042 years 3 months4 years 9 months-33.27%
3May 2011Sep 20115 monthsMar 20126 months11 months-15.00%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-12.81%
5Apr 2012May 20122 monthsSep 20124 months6 months-6.59%
6Aug 1997Aug 19971 monthSep 19971 month2 months-4.28%
7Jun 1996Jul 19962 monthsSep 19962 months4 months-4.01%
8Jan 2000Jan 20001 monthMar 20002 months3 months-3.85%
9Oct 1997Oct 19971 monthJan 19983 months4 months-3.73%
10Mar 2005Apr 20052 monthsJul 20053 months5 months-3.27%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20133 years 11 months5 years 3 months-53.26%
2Apr 2000Sep 20022 years 6 monthsDec 20053 years 3 months5 years 9 months-44.46%
3May 1998Aug 19984 monthsNov 19983 months7 months-16.16%
4Jun 1996Jul 19962 monthsSep 19962 months4 months-5.20%
5Aug 1997Aug 19971 monthSep 19971 month2 months-5.07%
6Oct 1997Oct 19971 monthFeb 19984 months5 months-4.92%
7Jan 2000Jan 20001 monthMar 20002 months3 months-4.79%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-3.64%
9May 2006Jun 20062 monthsSep 20063 months5 months-3.62%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-3.57%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-53.93%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-32.87%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-22.23%
4May 1998Aug 19984 monthsApr 19998 months1 year-20.34%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.34%
6Jun 1996Jul 19962 monthsNov 19964 months6 months-7.35%
7May 2006Jul 20063 monthsOct 20063 months6 months-5.37%
8Mar 2005Apr 20052 monthsJun 20052 months4 months-4.75%
9Oct 1997Oct 19971 monthFeb 19984 months5 months-4.66%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-4.35%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.75%15.83%35.79%-37.04%-50.89%0.490.701.00
Global ex-US Stock Market5.21%17.81%40.34%-44.10%-58.50%0.220.300.84
Total US Bond Market6.00%3.62%18.18%-2.26%-3.99%0.871.45-0.02
US Mid Cap12.12%17.38%40.22%-41.82%-54.14%0.590.860.94
US Small Cap10.80%19.95%45.63%-36.07%-53.95%0.480.690.89
International ex-US Small Cap8.01%17.72%66.48%-41.68%-57.69%0.370.540.69

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketUS Mid CapUS Small CapInternational ex-US Small CapPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.84-0.020.940.890.690.980.980.96
Global ex-US Stock Market0.84--0.010.830.780.880.920.920.92
Total US Bond Market-0.02-0.01--0.03-0.070.020.04-0.02-0.03
US Mid Cap0.940.83-0.03-0.930.730.940.940.96
US Small Cap0.890.78-0.070.93-0.700.880.890.95
International ex-US Small Cap0.690.880.020.730.70-0.770.770.83

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$321,530$366,773$210,176
Global ex-US Stock Market$96,380$114,611$66,131
Total US Bond Market$56,068
US Mid Cap$60,615
US Small Cap$203,866
International ex-US Small Cap$102,168

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market70.01%68.84%32.36%
Global ex-US Stock Market29.74%31.16%14.92%
Total US Bond Market0.25%
US Mid Cap8.15%
US Small Cap31.18%
International ex-US Small Cap13.39%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.63%27.94%-30.24%10.47%34.05%-39.16%11.44%42.05%-38.91%
3 years7.50%19.41%-10.14%7.48%22.67%-15.06%8.57%23.60%-9.38%
5 years6.51%19.33%0.69%6.17%22.02%-1.41%7.76%18.84%-0.05%
7 years5.69%10.69%2.24%5.11%10.81%0.89%7.04%10.26%2.96%
10 years6.23%9.74%1.69%5.86%9.84%0.14%7.96%11.06%2.87%
15 years6.36%7.59%5.59%5.92%7.26%5.02%7.57%8.28%6.72%
Result statistics are based on annualized rolling returns over full calendar year periods