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.

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$635,385 6.58% 9.09%9.51%10.86%30.50%-24.41%-36.08%
(-38.60%)
0.560.800.99
Portfolio 2$100,000$843,384 7.63% 9.85%10.28%15.32%35.79%-37.04%-50.89%
(-52.58%)
0.480.681.00
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
   
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
  • 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 (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 of $4,000 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 MarketTotal US Bond Market
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19874.43%2.29%2.61%$98,113$98,436-$4,1772.61%1.54%
19884.42%14.33%17.32%$107,808$111,120-$4,36217.32%7.35%
19894.65%23.78%28.12%$128,877$137,803-$4,56528.12%13.64%
19906.11%-1.66%-6.08%$121,895$124,584-$4,843-6.08%8.65%
19913.06%27.25%32.39%$150,118$159,947-$4,99232.39%15.25%
19922.90%8.52%9.11%$157,767$169,377-$5,1379.11%7.14%
19932.75%10.34%10.62%$168,805$182,094-$5,27810.62%9.68%
19942.67%-0.91%-0.17%$161,842$176,368-$5,419-0.17%-2.66%
19952.54%30.50%35.79%$205,654$233,926-$5,55735.79%18.18%
19963.32%15.75%20.96%$232,299$277,220-$5,74120.96%3.58%
19971.70%24.53%30.99%$283,441$357,304-$5,83930.99%9.44%
19981.61%18.86%23.26%$330,963$434,495-$5,93323.26%8.58%
19992.68%16.44%23.81%$379,286$531,869-$6,09223.81%-0.76%
20003.39%-3.98%-10.57%$357,873$469,328-$6,299-10.57%11.39%
20011.55%-5.15%-10.97%$333,054$411,465-$6,396-10.97%8.43%
20022.38%-12.20%-20.96%$285,889$318,671-$6,548-20.96%8.26%
20031.88%23.14%31.35%$345,372$411,915-$6,67231.35%3.97%
20043.26%10.03%12.52%$373,131$456,581-$6,88912.52%4.24%
20053.42%4.91%5.98%$384,310$476,762-$7,1245.98%2.40%
20062.54%12.14%15.51%$423,654$543,408-$7,30515.51%4.27%
20074.08%5.92%5.49%$441,127$565,636-$7,6035.49%6.92%
20080.09%-24.41%-37.04%$325,835$348,527-$7,610-37.04%5.05%
20092.72%21.87%28.70%$389,274$440,730-$7,81728.70%5.93%
20101.50%13.89%17.09%$435,417$508,133-$7,93417.09%6.42%
20112.96%2.94%0.96%$440,051$504,852-$8,1690.96%7.56%
20121.74%12.59%16.25%$487,149$578,595-$8,31116.25%4.05%
20131.50%22.67%33.35%$589,130$763,119-$8,43633.35%-2.26%
20140.76%10.43%12.43%$642,063$849,469-$8,50012.43%5.76%
20150.73%0.29%0.29%$635,385$843,384-$8,5620.29%0.30%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.78%0.89%
Arithmetic Mean (annualized)9.74%11.17%
Geometric Mean (monthly)0.73%0.79%
Geometric Mean (annualized)9.09%9.85%
Volatility (monthly)3.14%4.42%
Volatility (annualized)10.86%15.32%
Downside Deviation (monthly)2.06%3.02%
Max. Drawdown-36.08%-50.89%
US 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
Information Ratio-0.28N/A
Diversification Ratio1.091.00
Skewness-0.92-0.93
Excess Kurtosis3.052.90
Historical Value-at-Risk (5%)-4.81%-7.12%
Analytical Value-at-Risk (5%)-4.38%-6.39%
Conditional Value-at-Risk (5%)-7.15%-10.47%
Upside Capture Ratio (%)73.36100.00
Downside Capture Ratio (%)67.89100.00
Positive Periods226 out of 348 (64.94%)221 out of 348 (63.51%)
Gain/Loss Ratio1.020.96
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

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 Debt 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-38.60%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-30.32%
3Sep 1987Nov 19873 monthsJul 19891 year 8 months1 year 11 months-21.94%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-12.08%
5May 2011Sep 20115 monthsFeb 20125 months10 months-11.30%
6Sep 1989Oct 19901 year 2 monthsFeb 19914 months1 year 6 months-10.45%
7Nov 1993Jun 19948 monthsMar 19959 months1 year 5 months-7.18%
8Jun 2015Sep 20154 months-6.22%
9Apr 2000May 20002 monthsAug 20003 months5 months-6.12%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-4.45%
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-52.58%
2Sep 2000Sep 20022 years 1 monthApr 20074 years 7 months6 years 8 months-45.69%
3Sep 1987Nov 19873 monthsJul 19891 year 8 months1 year 11 months-29.34%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
5Sep 1989Oct 19901 year 2 monthsMar 19915 months1 year 7 months-16.79%
6Jun 2015Sep 20154 months-8.88%
7Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
8Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-7.43%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
10Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
Worst 10 drawdowns included above

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 MarketPortfolio 1Portfolio 2
US Stock Market-0.080.991.00
Total US Bond Market0.08-0.180.08

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$579,822$931,495
Total US Bond Market$143,674

Portfolio Risk Decomposition

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

Annual Asset Returns