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.

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Asset Allocation 
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Asset 2
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Asset 3
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2000 - Dec 2015)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
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Portfolio 2
Asset Class Allocation
US Mid Cap 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Small Cap 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,589 3.95% 15.13%32.18%-37.02%-50.97% 0.220.300.99
Portfolio 2$10,000$38,973 8.87% 17.35%40.22%-41.82%-54.14% 0.480.700.95
Portfolio 3$10,000$31,911 7.52% 19.84%45.63%-36.07%-53.95% 0.380.550.91
   
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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Large CapUS Mid CapUS Small Cap
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20003.39%-9.06%18.10%-2.67%$9,094$11,810$9,733-9.06%18.10%-2.67%
20011.55%-12.02%-0.50%3.10%$8,001$11,751$10,035-12.02%-0.50%3.10%
20022.38%-22.15%-14.61%-20.02%$6,229$10,034$8,026-22.15%-14.61%-20.02%
20031.88%28.50%34.14%45.63%$8,005$13,460$11,68828.50%34.14%45.63%
20043.26%10.74%20.35%19.90%$8,864$16,200$14,01410.74%20.35%19.90%
20053.42%4.77%13.93%7.36%$9,288$18,456$15,0454.77%13.93%7.36%
20062.54%15.64%13.60%15.66%$10,740$20,966$17,40115.64%13.60%15.66%
20074.08%5.39%6.02%1.16%$11,319$22,228$17,6025.39%6.02%1.16%
20080.09%-37.02%-41.82%-36.07%$7,128$12,932$11,253-37.02%-41.82%-36.07%
20092.72%26.49%40.22%36.12%$9,017$18,132$15,31726.49%40.22%36.12%
20101.50%14.91%25.46%27.72%$10,361$22,749$19,56314.91%25.46%27.72%
20112.96%1.97%-2.11%-2.80%$10,565$22,269$19,0151.97%-2.11%-2.80%
20121.74%15.82%15.80%18.04%$12,237$25,787$22,44615.82%15.80%18.04%
20131.50%32.18%35.00%37.62%$16,174$34,811$30,88932.18%35.00%37.62%
20140.76%13.51%13.60%7.37%$18,359$39,547$33,16513.51%13.60%7.37%
20150.73%1.25%-1.45%-3.78%$18,589$38,973$31,9111.25%-1.45%-3.78%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.42%0.84%0.77%
Arithmetic Mean (annualized)5.15%10.53%9.66%
Geometric Mean (monthly)0.32%0.71%0.61%
Geometric Mean (annualized)3.95%8.87%7.52%
Volatility (monthly)4.37%5.01%5.73%
Volatility (annualized)15.13%17.35%19.84%
Downside Deviation (monthly)3.08%3.37%3.85%
Max. Drawdown-50.97%-54.14%-53.95%
US Market Correlation0.990.950.91
Beta(*)0.961.061.16
Alpha (annualized)-0.35%4.11%2.79%
R297.73%90.72%81.91%
Sharpe Ratio0.220.480.38
Sortino Ratio0.300.700.55
Treynor Ratio (%)3.427.826.50
Calmar Ratio1.781.611.12
Active Return-0.51%4.41%3.06%
Tracking Error2.35%5.37%8.78%
Information Ratio-0.220.820.35
Skewness-0.52-0.64-0.36
Excess Kurtosis0.971.891.14
Historical Value-at-Risk (5%)-7.92%-7.53%-9.08%
Analytical Value-at-Risk (5%)-6.76%-7.40%-8.65%
Conditional Value-at-Risk (5%)-9.92%-11.26%-12.71%
Upside Capture Ratio (%)93.48119.97129.52
Downside Capture Ratio (%)95.8899.48114.49
Safe Withdrawal Rate5.13%9.43%7.94%
Perpetual Withdrawal Rate1.73%6.17%5.00%
Positive Periods116 out of 192 (60.42%)112 out of 192 (58.33%)113 out of 192 (58.85%)
Gain/Loss Ratio0.831.070.98
* 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
Dotcom CrashMar 2000Oct 2002-44.82%-24.36%-33.95%
Subprime CrisisNov 2007Mar 2009-50.97%-53.58%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Aug 2015Sep 20152 months-8.38%
4Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
5Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-54.14%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-24.36%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.40%
4Sep 2000Sep 20011 year 1 monthMar 20026 months1 year 7 months-19.33%
5Jun 2015Sep 20154 months-9.17%
6May 2006Jul 20063 monthsOct 20063 months6 months-6.06%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.76%
8Mar 2005Apr 20052 monthsMay 20051 month3 months-4.63%
9Jul 2004Jul 20041 monthOct 20043 months4 months-4.61%
10Mar 2004Apr 20042 monthsJun 20042 months4 months-4.28%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.95%
2Mar 2000Sep 20022 years 7 monthsDec 20031 year 3 months3 years 10 months-33.95%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.56%
4Jun 2015Sep 20154 months-11.12%
5Jan 2005Apr 20054 monthsJun 20052 months6 months-8.23%
6May 2006Jul 20063 monthsNov 20064 months7 months-7.91%
7Jul 2004Aug 20042 monthsNov 20043 months5 months-6.21%
8Jul 2014Sep 20143 monthsDec 20143 months6 months-5.51%
9Apr 2004Apr 20041 monthJun 20042 months3 months-4.77%
10Aug 2005Oct 20053 monthsNov 20051 month4 months-4.17%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap3.95%15.13%32.18%-37.02%-50.97%0.220.300.99
US Mid Cap8.87%17.35%40.22%-41.82%-54.14%0.480.700.95
US Small Cap7.52%19.84%45.63%-36.07%-53.95%0.380.550.91

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapUS Mid CapUS Small CapPortfolio 1Portfolio 2Portfolio 3
US Large Cap1.000.920.841.000.920.84
US Mid Cap0.921.000.930.921.000.93
US Small Cap0.840.931.000.840.931.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap$8,589
US Mid Cap$28,973
US Small Cap$21,911

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap100.00%
US Mid Cap100.00%
US Small Cap100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year5.68%32.18%-37.02%10.98%40.22%-41.82%9.65%45.63%-36.07%
3 years5.47%20.22%-14.60%9.55%22.52%-11.18%9.18%23.30%-9.23%
5 years5.32%17.81%-2.38%9.09%21.90%-0.80%8.94%22.38%-0.76%
7 years4.62%14.67%-1.64%8.13%17.07%1.38%8.04%16.06%1.65%
10 years4.59%7.55%-1.03%8.07%9.97%6.13%8.00%10.83%4.36%
15 years4.51%4.88%4.13%8.94%9.60%8.29%8.28%8.32%8.24%
Result statistics are based on annualized rolling returns over full calendar year periods