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 BalanceCAGRIRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
1$100,000$635,386 6.58% 9.51%10.86%30.50%-24.41%-36.08%
(-38.60%)
0.560.800.99
2$100,000$843,385 7.63% 10.28%15.32%35.79%-37.04%-50.89%
(-52.58%)
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
  • IRR = Internal Rate of Return taking into account the periodic contributions/withdrawals
  • 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
  • Inflation adjusted annual withdrawal starting with $4,177 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
YearInflationUS Stock MarketTotal US Bond MarketAnnual AdjustmentPF #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%-$4,1772.29%-2.05%$98,1132.61%-1.74%$98,436
19884.42%17.32%7.35%-$4,36214.33%9.49%$107,80817.32%12.35%$111,120
19894.65%28.12%13.64%-$4,56523.78%18.28%$128,87728.12%22.43%$137,803
19906.11%-6.08%8.65%-$4,843-1.66%-7.32%$121,895-6.08%-11.48%$124,584
19913.06%32.39%15.25%-$4,99227.25%23.46%$150,11732.39%28.46%$159,947
19922.90%9.11%7.14%-$5,1378.52%5.46%$157,7679.11%6.03%$169,377
19932.75%10.62%9.68%-$5,27810.34%7.39%$168,80510.62%7.67%$182,094
19942.67%-0.17%-2.66%-$5,419-0.91%-3.50%$161,842-0.17%-2.77%$176,368
19952.54%35.79%18.18%-$5,55730.50%27.27%$205,65435.79%32.42%$233,926
19963.32%20.96%3.58%-$5,74115.75%12.03%$232,29920.96%17.07%$277,220
19971.70%30.99%9.44%-$5,83924.53%22.44%$283,44130.99%28.80%$357,304
19981.61%23.26%8.58%-$5,93318.86%16.97%$330,96323.26%21.31%$434,495
19992.68%23.81%-0.76%-$6,09216.44%13.40%$379,28623.81%20.58%$531,869
20003.39%-10.57%11.39%-$6,299-3.98%-7.13%$357,873-10.57%-13.50%$469,328
20011.55%-10.97%8.43%-$6,396-5.15%-6.60%$333,054-10.97%-12.33%$411,465
20022.38%-20.96%8.26%-$6,548-12.20%-14.23%$285,889-20.96%-22.80%$318,671
20031.88%31.35%3.97%-$6,67123.14%20.87%$345,37231.35%28.93%$411,915
20043.26%12.52%4.24%-$6,88910.03%6.56%$373,13212.52%8.97%$456,581
20053.42%5.98%2.40%-$7,1244.91%1.44%$384,3105.98%2.48%$476,762
20062.54%15.51%4.27%-$7,30512.14%9.36%$423,65415.51%12.65%$543,409
20074.08%5.49%6.92%-$7,6035.92%1.77%$441,1285.49%1.35%$565,637
20080.09%-37.04%5.05%-$7,610-24.41%-24.48%$325,835-37.04%-37.10%$348,528
20092.72%28.70%5.93%-$7,81721.87%18.64%$389,27528.70%25.29%$440,731
20101.50%17.09%6.42%-$7,93413.89%12.21%$435,41817.09%15.37%$508,134
20112.96%0.96%7.56%-$8,1692.94%-0.02%$440,0520.96%-1.94%$504,853
20121.74%16.25%4.05%-$8,31112.59%10.66%$487,14916.25%14.26%$578,596
20131.50%33.35%-2.26%-$8,43622.67%20.85%$589,13133.35%31.38%$763,120
20140.76%12.43%5.76%-$8,50010.43%9.60%$642,06412.43%11.59%$849,470
20150.73%0.29%0.30%-$8,5620.29%-0.43%$635,3860.29%-0.43%$843,385
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 monthsApr 20113 years 6 months-38.60%
2Sep 2000Sep 20022 years 1 monthApr 20065 years 8 months-30.32%
3Sep 1987Nov 19873 monthsJul 19891 year 11 months-21.94%
4Jul 1998Aug 19982 monthsNov 19985 months-12.08%
5May 2011Sep 20115 monthsFeb 201210 months-11.30%
6Sep 1989Oct 19901 year 2 monthsFeb 19911 year 6 months-10.45%
7Nov 1993Jun 19948 monthsMar 19951 year 5 months-7.18%
8Jun 2015Sep 20154 months-6.22%
9Apr 2000May 20002 monthsAug 20005 months-6.12%
10Jul 1999Sep 19993 monthsNov 19995 months-4.45%
11Apr 2012May 20122 monthsAug 20125 months-4.38%
12Jun 1996Jul 19962 monthsSep 19964 months-4.06%
13Dec 1996Dec 19961 monthJan 19972 months-3.54%
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 2000Jan 20001 monthMar 20003 months-2.98%
19Aug 1997Aug 19971 monthSep 19972 months-2.96%
20Nov 1991Nov 19911 monthDec 19912 months-2.56%
21Dec 2014Jan 20152 monthsFeb 20153 months-2.52%
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 2012Dec 20123 monthsJan 20134 months-1.54%
33Dec 1992Dec 19921 monthFeb 19933 months-1.50%
34Jul 2014Jul 20141 monthAug 20142 months-1.47%
35Jun 2013Jun 20131 monthJul 20132 months-1.38%
36Dec 1995Dec 19951 monthJan 19962 months-1.16%
37Aug 1992Aug 19921 monthOct 19923 months-1.15%
38Dec 2006Dec 20061 monthJan 20072 months-1.03%
39Jun 1992Jun 19921 monthJul 19922 months-0.90%
40Feb 2007Feb 20071 monthMar 20072 months-0.69%
41Mar 2015Mar 20151 monthMay 20153 months-0.61%
42Dec 1997Dec 19971 monthJan 19982 months-0.53%
43Oct 1995Oct 19951 monthNov 19952 months-0.45%
44Jan 1992Jan 19921 monthFeb 19922 months-0.42%
45Sep 1991Sep 19911 monthOct 19912 months-0.32%
46Jul 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 monthsJan 20135 years 3 months-52.58%
2Sep 2000Sep 20022 years 1 monthApr 20076 years 8 months-45.69%
3Sep 1987Nov 19873 monthsJul 19891 year 11 months-29.34%
4Jul 1998Aug 19982 monthsNov 19985 months-17.57%
5Sep 1989Oct 19901 year 2 monthsMar 19911 year 7 months-16.79%
6Jun 2015Sep 20154 months-8.88%
7Apr 2000May 20002 monthsAug 20005 months-8.44%
8Feb 1994Jun 19945 monthsMar 19951 year 2 months-7.43%
9Jul 1999Sep 19993 monthsNov 19995 months-6.42%
10Jun 1996Jul 19962 monthsSep 19964 months-6.17%
11Jun 2007Jul 20072 monthsOct 20075 months-5.02%
12Feb 1997Mar 19972 monthsMay 19974 months-4.56%
13Jun 1991Jun 19911 monthJul 19912 months-4.47%
14Jan 2000Jan 20001 monthMar 20003 months-4.18%
15Nov 1991Nov 19911 monthDec 19912 months-3.83%
16Dec 2014Jan 20152 monthsFeb 20153 months-3.74%
17Feb 1999Feb 19991 monthMar 19992 months-3.73%
18Aug 1997Aug 19971 monthSep 19972 months-3.72%
19Oct 1997Oct 19971 monthJan 19984 months-3.40%
20Dec 1996Dec 19961 monthJan 19972 months-3.27%
21Jan 2014Jan 20141 monthFeb 20142 months-3.11%
22Aug 2013Aug 20131 monthSep 20132 months-2.82%
23Apr 1993Apr 19931 monthMay 19932 months-2.77%
24May 1998May 19981 monthJun 19982 months-2.71%
25Nov 1993Dec 19932 monthsJan 19943 months-2.57%
26Mar 1992Mar 19921 monthJul 19925 months-2.40%
27Sep 2014Sep 20141 monthOct 20142 months-2.14%
28Aug 1992Aug 19921 monthOct 19923 months-2.07%
29May 1999May 19991 monthJun 19992 months-2.00%
30Jul 2014Jul 20141 monthAug 20142 months-1.98%
31Apr 1987Apr 19871 monthJun 19873 months-1.48%
32Jun 2013Jun 20131 monthJul 20132 months-1.27%
33Sep 1991Sep 19911 monthOct 19912 months-1.19%
34Dec 1992Dec 19921 monthFeb 19933 months-1.19%
35Oct 1995Oct 19951 monthNov 19952 months-1.17%
36Mar 2015Mar 20151 monthMay 20153 months-1.04%
37Dec 1995Dec 19951 monthJan 19962 months-0.81%
38Jul 1993Jul 19931 monthAug 19932 months-0.27%
39Jan 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$579,822$931,496
Total US Bond Market$143,674

Portfolio Risk Decomposition

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

Annual Asset Returns