Backtest Portfolio Asset Class Allocation

This online portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio 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 1987 - Dec 2015)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Save asset allocation »
US Stock Market 70.00%
Total US Bond Market 30.00%
Portfolio 2
Asset Class Allocation
Save asset allocation »
US Stock Market 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$100,000$1,247,870 9.09% 10.86%30.50%-24.41%-36.08% 0.560.800.99
2$100,000$1,526,165 9.85% 15.32%35.79%-37.04%-50.89% 0.480.681.00
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationUS Stock MarketTotal US Bond MarketPF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End Balance
19874.43%2.61%1.54%2.29%-2.05%$102,2902.61%-1.74%$102,614
19884.42%17.32%7.35%14.33%9.49%$116,94617.32%12.35%$120,383
19894.65%28.12%13.64%23.78%18.28%$144,75328.12%22.43%$154,235
19906.11%-6.08%8.65%-1.66%-7.32%$142,351-6.08%-11.48%$144,861
19913.06%32.39%15.25%27.25%23.46%$181,13832.39%28.46%$191,784
19922.90%9.11%7.14%8.52%5.46%$196,5679.11%6.03%$209,250
19932.75%10.62%9.68%10.34%7.39%$216,89510.62%7.67%$231,481
19942.67%-0.17%-2.66%-0.91%-3.50%$214,911-0.17%-2.77%$231,091
19952.54%35.79%18.18%30.50%27.27%$280,46835.79%32.42%$313,788
19963.32%20.96%3.58%15.75%12.03%$324,63620.96%17.07%$379,564
19971.70%30.99%9.44%24.53%22.44%$404,26630.99%28.80%$497,208
19981.61%23.26%8.58%18.86%16.97%$480,50923.26%21.31%$612,879
19992.68%23.81%-0.76%16.44%13.40%$559,51023.81%20.58%$758,824
20003.39%-10.57%11.39%-3.98%-7.13%$537,215-10.57%-13.50%$678,582
20011.55%-10.97%8.43%-5.15%-6.60%$509,560-10.97%-12.33%$604,169
20022.38%-20.96%8.26%-12.20%-14.23%$447,419-20.96%-22.80%$477,531
20031.88%31.35%3.97%23.14%20.87%$550,95031.35%28.93%$627,256
20043.26%12.52%4.24%10.03%6.56%$606,22312.52%8.97%$705,762
20053.42%5.98%2.40%4.91%1.44%$635,9585.98%2.48%$747,969
20062.54%15.51%4.27%12.14%9.36%$713,15315.51%12.65%$863,988
20074.08%5.49%6.92%5.92%1.77%$755,3665.49%1.35%$911,417
20080.09%-37.04%5.05%-24.41%-24.48%$570,976-37.04%-37.10%$573,849
20092.72%28.70%5.93%21.87%18.64%$695,84328.70%25.29%$738,532
20101.50%17.09%6.42%13.89%12.21%$792,50717.09%15.37%$864,775
20112.96%0.96%7.56%2.94%-0.02%$815,8100.96%-1.94%$873,093
20121.74%16.25%4.05%12.59%10.66%$918,53216.25%14.26%$1,014,998
20131.50%33.35%-2.26%22.67%20.85%$1,126,72733.35%31.38%$1,353,498
20140.76%12.43%5.76%10.43%9.60%$1,244,21912.43%11.59%$1,521,728
20150.73%0.29%0.30%0.29%-0.43%$1,247,8700.29%-0.43%$1,526,165
Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.78%0.89%
Mean Return (annualized)9.74%11.17%
Compound Return (monthly)0.73%0.79%
Compound Return (annualized)9.09%9.85%
Volatility (monthly)3.13%4.42%
Volatility (annualized)10.86%15.32%
Downside Deviation (monthly)2.06%3.02%
Max. Drawdown-36.08%-50.89%
Market Correlation0.991.00
Beta(*)0.701.00
Alpha (annualized)1.84%-0.00%
R298.67%100.00%
Sharpe Ratio0.560.48
Sortino Ratio0.800.68
Treynor Ratio (%)8.597.35
Diversification Ratio1.091.00
Skewness-0.92-0.93
Excess Kurtosis3.052.90
Historical Value-at-Risk (95%)-4.81%-7.12%
Delta Normal Value-at-Risk (95%)-5.15%-7.27%
Conditional Value-at-Risk (95%)-7.15%-10.47%
Positive Periods226 out of 348 (64.94%)221 out of 348 (63.51%)
Gain/Loss Ratio1.020.96

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Black Monday PeriodSep 1987Nov 1987-21.94%-29.34%
Asian CrisisJul 1997Jan 1998-2.96%-3.72%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-12.08%-17.57%
Dotcom CrashMar 2000Oct 2002-27.73%-44.11%
Subprime CrisisNov 2007Mar 2009-36.08%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20103 years 2 months-36.08%
2Sep 2000Sep 20022 years 1 monthNov 20044 years 3 months-27.73%
3Sep 1987Nov 19873 monthsApr 19891 year 8 months-21.94%
4Jul 1998Aug 19982 monthsNov 19985 months-12.08%
5May 2011Sep 20115 monthsFeb 201210 months-11.30%
6Jul 1990Oct 19904 monthsJan 19917 months-10.32%
7Feb 1994Jun 19945 monthsFeb 19951 year 1 month-6.71%
8Jun 2015Sep 20154 months-6.22%
9Apr 2000May 20002 monthsAug 20005 months-6.12%
10Jan 1990Jan 19901 monthMay 19905 months-5.48%
11Jul 1999Sep 19993 monthsNov 19995 months-4.45%
12Apr 2012May 20122 monthsAug 20125 months-4.38%
13Jun 1996Jul 19962 monthsSep 19964 months-4.06%
14Feb 1997Mar 19972 monthsMay 19974 months-3.49%
15Jun 2007Jul 20072 monthsSep 20074 months-3.47%
16Jun 1991Jun 19911 monthJul 19912 months-3.28%
17Feb 1999Feb 19991 monthApr 19993 months-3.15%
18Jan 2005Apr 20054 monthsJun 20056 months-3.00%
19Jan 2000Jan 20001 monthMar 20003 months-2.98%
20Aug 1997Aug 19971 monthSep 19972 months-2.96%
21Nov 1991Nov 19911 monthDec 19912 months-2.56%
22May 2006May 20061 monthAug 20064 months-2.34%
23Aug 2013Aug 20131 monthSep 20132 months-2.26%
24Oct 1997Oct 19971 monthNov 19972 months-2.13%
25Apr 1987Apr 19871 monthJun 19873 months-1.93%
26Mar 1992Mar 19921 monthMay 19923 months-1.83%
27Sep 2014Sep 20141 monthOct 20142 months-1.73%
28Apr 1993Apr 19931 monthMay 19932 months-1.71%
29Jan 2014Jan 20141 monthFeb 20142 months-1.71%
30May 1998May 19981 monthJun 19982 months-1.68%
31May 1999May 19991 monthJun 19992 months-1.67%
32Oct 2005Oct 20051 monthNov 20052 months-1.55%
33Jul 2014Jul 20141 monthAug 20142 months-1.47%
34Sep 1989Oct 19892 monthsDec 19894 months-1.45%
35Nov 1993Nov 19931 monthDec 19932 months-1.42%
36Jun 2013Jun 20131 monthJul 20132 months-1.38%
37Jan 2015Jan 20151 monthFeb 20152 months-1.25%
38Oct 2012Oct 20121 monthDec 20123 months-1.24%
39Dec 1996Dec 19961 monthJan 19972 months-1.16%
40Aug 1992Aug 19921 monthOct 19923 months-1.15%
41Jun 1992Jun 19921 monthJul 19922 months-0.90%
42Feb 2007Feb 20071 monthMar 20072 months-0.69%
43Mar 2015Mar 20151 monthMay 20153 months-0.61%
44Oct 1995Oct 19951 monthNov 19952 months-0.45%
45Jan 1992Jan 19921 monthFeb 19922 months-0.42%
46Sep 1991Sep 19911 monthOct 19912 months-0.32%
47Aug 2005Aug 20051 monthSep 20052 months-0.26%
48Jul 1993Jul 19931 monthAug 19932 months-0.00%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20124 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20065 years 8 months-44.11%
3Sep 1987Nov 19873 monthsMay 19891 year 9 months-29.34%
4Jul 1998Aug 19982 monthsNov 19985 months-17.57%
5Jun 1990Oct 19905 monthsFeb 19919 months-16.20%
6Jun 2015Sep 20154 months-8.88%
7Apr 2000May 20002 monthsAug 20005 months-8.44%
8Feb 1994Jun 19945 monthsFeb 19951 year 1 month-7.43%
9Jan 1990Jan 19901 monthMay 19905 months-7.01%
10Apr 2012May 20122 monthsAug 20125 months-6.85%
11Jul 1999Sep 19993 monthsNov 19995 months-6.42%
12Jun 1996Jul 19962 monthsSep 19964 months-6.17%
13Jun 2007Jul 20072 monthsOct 20075 months-5.02%
14Feb 1997Mar 19972 monthsMay 19974 months-4.56%
15Jun 1991Jun 19911 monthJul 19912 months-4.47%
16Jan 2000Jan 20001 monthMar 20003 months-4.18%
17Nov 1991Nov 19911 monthDec 19912 months-3.83%
18Feb 1999Feb 19991 monthMar 19992 months-3.73%
19Aug 1997Aug 19971 monthSep 19972 months-3.72%
20Oct 1997Oct 19971 monthDec 19973 months-3.40%
21May 2006May 20061 monthSep 20065 months-3.23%
22Jan 2014Jan 20141 monthFeb 20142 months-3.11%
23Sep 1989Oct 19892 monthsDec 19894 months-3.05%
24Aug 2013Aug 20131 monthSep 20132 months-2.82%
25Dec 2014Jan 20152 monthsFeb 20153 months-2.78%
26Apr 1993Apr 19931 monthMay 19932 months-2.77%
27May 1998May 19981 monthJun 19982 months-2.71%
28Mar 1992Mar 19921 monthJul 19925 months-2.40%
29Sep 2014Sep 20141 monthOct 20142 months-2.14%
30Aug 1992Aug 19921 monthOct 19923 months-2.07%
31May 1999May 19991 monthJun 19992 months-2.00%
32Jul 2014Jul 20141 monthAug 20142 months-1.98%
33Oct 2012Oct 20121 monthDec 20123 months-1.76%
34Nov 1993Nov 19931 monthDec 19932 months-1.62%
35Feb 2007Feb 20071 monthApr 20073 months-1.61%
36Apr 1987Apr 19871 monthJun 19873 months-1.48%
37Jun 2013Jun 20131 monthJul 20132 months-1.27%
38Dec 1996Dec 19961 monthJan 19972 months-1.27%
39Sep 1991Sep 19911 monthOct 19912 months-1.19%
40Oct 1995Oct 19951 monthNov 19952 months-1.17%
41Mar 2015Mar 20151 monthMay 20153 months-1.04%
42Jul 1993Jul 19931 monthAug 19932 months-0.27%
43Jun 1989Jun 19891 monthJul 19892 months-0.22%
44Jan 1992Jan 19921 monthFeb 19922 months-0.01%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.85%15.32%35.79%-37.04%-50.89%0.480.681.00
Total US Bond Market6.18%3.88%18.18%-2.66%-5.86%0.731.170.08

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPF #1PF #2
US Stock Market-0.080.991.00
Total US Bond Market0.08-0.180.08

Portfolio Return Decomposition

Portfolio return decomposition
NamePF #1PF #2
US Stock Market$926,790$1,426,165
Total US Bond Market$221,080

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePF #1PF #2
US Stock Market98.04%100.00%
Total US Bond Market1.96%

Annual Asset Returns