Backtest Portfolio Asset Class Allocation

This 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 
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Asset 6
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Portfolio Analysis Results (Jan 1977 - Nov 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
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Portfolio 2
Asset Class Allocation
US Large Cap 10.00%
Short Term Treasury 90.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$901,268 11.06% 14.70%37.45%-37.02%-50.97% 0.490.720.99
Portfolio 2$10,000$149,382 6.50% 3.26%22.01%-0.31%-3.56% 0.651.070.51
   
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.
  • The annual results for 2019 are based on full calendar months from January to November
  • 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 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 include annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Large CapShort Term Treasury
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19776.70%-7.84%1.83%$9,216$10,183-7.84%2.91%
19789.02%5.87%3.60%$9,757$10,5505.87%3.35%
197913.29%18.05%9.08%$11,518$11,50718.05%8.08%
198012.52%31.92%11.12%$15,194$12,78731.92%8.81%
19818.92%-5.21%12.31%$14,403$14,361-5.21%14.26%
19823.83%20.97%22.01%$17,423$17,52220.97%22.12%
19833.79%21.29%9.33%$21,133$19,15621.29%8.00%
19843.95%6.21%13.23%$22,446$21,6906.21%14.01%
19853.80%31.23%15.57%$29,456$25,06831.23%13.83%
19861.10%18.06%11.12%$34,776$27,85618.06%10.35%
19874.43%4.71%4.78%$36,412$29,1874.71%4.78%
19884.42%16.22%6.73%$42,318$31,15016.22%5.67%
19894.65%31.36%13.47%$55,591$35,34531.36%11.48%
19906.11%-3.32%8.59%$53,743$38,383-3.32%9.92%
19913.06%30.22%13.37%$69,985$43,51330.22%11.49%
19922.90%7.42%6.81%$75,180$46,4787.42%6.75%
19932.75%9.89%6.66%$82,617$49,5759.89%6.31%
19942.67%1.18%-0.31%$83,589$49,4201.18%-0.48%
19952.54%37.45%14.64%$114,890$56,65737.45%12.11%
19963.32%22.88%6.24%$141,173$60,19322.88%4.39%
19971.70%33.19%9.18%$188,029$65,71633.19%6.51%
19981.61%28.62%9.49%$241,837$71,95028.62%7.36%
19992.68%21.07%3.77%$292,788$74,66421.07%1.85%
20003.39%-9.06%7.04%$266,273$79,923-9.06%8.83%
20011.55%-12.02%5.82%$234,259$84,571-12.02%7.80%
20022.38%-22.15%5.00%$182,382$88,803-22.15%8.02%
20031.88%28.50%5.00%$234,364$93,23928.50%2.38%
20043.26%10.74%2.00%$259,536$95,10510.74%1.03%
20053.42%4.77%2.07%$271,927$97,0724.77%1.77%
20062.54%15.64%4.95%$314,461$101,88115.64%3.77%
20074.08%5.39%7.64%$331,401$109,6615.39%7.89%
20080.09%-37.02%2.31%$208,714$112,192-37.02%6.68%
20092.72%26.49%3.94%$263,993$116,61826.49%1.44%
20101.50%14.91%3.86%$303,364$121,12214.91%2.63%
20112.96%1.97%2.23%$309,328$123,8201.97%2.26%
20121.74%15.82%2.21%$358,279$126,55115.82%0.69%
20131.50%32.18%3.13%$473,556$130,51132.18%-0.10%
20140.76%13.51%1.99%$537,528$133,11413.51%0.71%
20150.73%1.25%0.53%$544,253$133,8251.25%0.45%
20162.07%11.82%2.08%$608,567$136,60811.82%1.00%
20172.11%21.67%2.52%$740,430$140,05521.67%0.40%
20181.91%-4.53%0.76%$706,904$141,126-4.53%1.35%
20192.43%27.50%5.85%$901,268$149,38227.50%3.45%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.97%0.53%
Arithmetic Mean (annualized)12.27%6.56%
Geometric Mean (monthly)0.88%0.53%
Geometric Mean (annualized)11.06%6.50%
Volatility (monthly)4.24%0.94%
Volatility (annualized)14.70%3.26%
Downside Deviation (monthly)2.74%0.35%
Max. Drawdown-50.97%-3.56%
US Market Correlation0.990.51
Beta(*)0.970.11
Alpha (annualized)0.22%5.08%
R297.79%25.53%
Sharpe Ratio0.490.65
Sortino Ratio0.721.07
Treynor Ratio (%)7.4918.17
Calmar Ratio1.093.95
Active Return-0.12%-4.68%
Tracking Error2.24%13.67%
Information Ratio-0.05-0.34
Skewness-0.631.35
Excess Kurtosis2.218.87
Historical Value-at-Risk (5%)-6.40%-0.70%
Analytical Value-at-Risk (5%)-6.01%-1.02%
Conditional Value-at-Risk (5%)-9.43%-1.27%
Upside Capture Ratio (%)96.4920.72
Downside Capture Ratio (%)95.83-2.44
Safe Withdrawal Rate6.50%4.41%
Perpetual Withdrawal Rate6.92%2.86%
Positive Periods332 out of 515 (64.47%)388 out of 515 (75.34%)
Gain/Loss Ratio0.981.81
* 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 2
Black Monday PeriodSep 1987Nov 1987-29.78%-1.78%
Asian CrisisJul 1997Jan 1998-5.61%-0.67%
Russian Debt DefaultJul 1998Oct 1998-15.38%-0.16%
Dotcom CrashMar 2000Oct 2002-44.82%-0.38%
Subprime CrisisNov 2007Mar 2009-50.97%-1.91%

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%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.00%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jan 1977Feb 19781 year 2 monthsAug 19786 months1 year 8 months-14.86%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
8Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
9Mar 1980Mar 19801 monthJun 19803 months4 months-9.81%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-9.41%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Feb 19801 monthApr 19802 months3 months-3.56%
2Oct 1979Oct 19791 monthDec 19792 months3 months-2.99%
3Feb 1994Apr 19943 monthsJan 19959 months1 year-2.59%
4Aug 1980Oct 19803 monthsDec 19802 months5 months-2.08%
5Jan 2009Feb 20092 monthsApr 20092 months4 months-1.91%
6Sep 1987Nov 19873 monthsJan 19882 months5 months-1.78%
7Apr 1981Apr 19811 monthMay 19811 month2 months-1.75%
8Oct 1978Oct 19781 monthJan 19793 months4 months-1.56%
9Jan 1977Jan 19771 monthJun 19775 months6 months-1.50%
10Apr 2008Oct 20087 monthsDec 20082 months9 months-1.43%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap11.06%14.70%37.45%-37.02%-50.97%0.490.720.99
Short Term Treasury5.86%3.11%22.12%-0.48%-4.26%0.480.780.06

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapShort Term TreasuryPortfolio 1Portfolio 2
US Large Cap-0.071.000.52
Short Term Treasury0.07-0.070.89

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Large Cap$891,268$33,583
Short Term Treasury$105,799

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Large Cap100.00%23.41%
Short Term Treasury76.59%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.94%37.45%-37.02%6.61%22.01%-0.31%
3 years11.66%31.03%-14.60%6.81%15.05%1.53%
5 years11.49%28.49%-2.38%6.93%14.41%1.58%
7 years11.35%21.44%-1.64%6.95%13.46%1.89%
10 years11.06%19.04%-1.46%6.91%11.88%2.32%
15 years10.97%18.68%4.13%6.86%10.87%2.80%
Result statistics are based on annualized rolling returns over full calendar year periods