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 
Asset Class
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Asset 2
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Asset 3
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Asset 4
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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 1972 - Oct 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Small Cap Value 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Large Cap Growth 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$4,385,328 13.27% 18.22%54.78%-32.05%-56.13% 0.530.760.89
Portfolio 2$10,000$1,289,790 10.46% 16.82%44.61%-38.32%-53.60% 0.400.600.96
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 13.70%-15.78%-11.26%-2.10%3.96%8.49%13.27%
Portfolio 21.53%21.55%30.31%18.42%16.30%15.61%10.46%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
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 2020 are based on monthly returns from January to October
  • 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 results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Small Cap ValueUS Large Cap Growth
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19723.41%11.15%22.97%$11,115$12,29711.15%22.97%
19738.71%-24.12%-23.09%$8,434$9,458-24.12%-23.09%
197412.34%-21.09%-32.34%$6,656$6,399-21.09%-32.34%
19756.94%53.94%33.10%$10,246$8,51753.94%33.10%
19764.86%54.78%14.85%$15,859$9,78154.78%14.85%
19776.70%15.88%-8.66%$18,377$8,93515.88%-8.66%
19789.02%19.25%7.11%$21,914$9,57019.25%7.11%
197913.29%37.80%17.44%$30,199$11,23837.80%17.44%
198012.52%25.77%35.59%$37,981$15,23825.77%35.59%
19818.92%15.69%-6.20%$43,940$14,29315.69%-6.20%
19823.83%36.87%20.33%$60,141$17,19836.87%20.33%
19833.79%42.61%16.92%$85,766$20,10842.61%16.92%
19843.95%5.69%1.56%$90,646$20,4215.69%1.56%
19853.80%37.46%33.57%$124,602$27,27737.46%33.57%
19861.10%13.99%16.96%$142,032$31,90213.99%16.96%
19874.43%-3.51%6.44%$137,050$33,956-3.51%6.44%
19884.42%29.00%13.21%$176,788$38,44229.00%13.21%
19894.65%19.21%35.83%$210,741$52,21619.21%35.83%
19906.11%-19.05%1.54%$170,604$53,020-19.05%1.54%
19913.06%42.96%44.61%$243,893$76,67042.96%44.61%
19922.90%28.23%6.61%$312,743$81,74128.23%6.61%
19932.75%21.10%1.53%$378,729$82,99021.10%1.53%
19942.67%-0.07%2.89%$378,468$85,388-0.07%2.89%
19952.54%30.32%38.06%$493,216$117,89030.32%38.06%
19963.32%21.41%23.74%$598,809$145,87621.41%23.74%
19971.70%35.44%36.34%$811,015$198,88835.44%36.34%
19981.61%-2.68%42.21%$789,318$282,830-2.68%42.21%
19992.68%3.35%28.76%$815,757$364,1703.35%28.76%
20003.39%21.88%-22.21%$994,230$283,29321.88%-22.21%
20011.55%13.70%-12.93%$1,130,412$246,66713.70%-12.93%
20022.38%-14.20%-23.68%$969,916$188,265-14.20%-23.68%
20031.88%37.19%25.92%$1,330,637$237,06937.19%25.92%
20043.26%23.55%7.20%$1,644,026$254,13823.55%7.20%
20053.42%6.07%5.09%$1,743,854$267,0666.07%5.09%
20062.54%19.24%9.01%$2,079,438$291,13819.24%9.01%
20074.08%-7.07%12.56%$1,932,371$327,719-7.07%12.56%
20080.09%-32.05%-38.32%$1,312,955$202,136-32.05%-38.32%
20092.72%30.34%36.29%$1,711,248$275,49230.34%36.29%
20101.50%24.82%16.96%$2,135,946$322,21124.82%16.96%
20112.96%-4.16%1.71%$2,047,023$327,716-4.16%1.71%
20121.74%18.56%16.89%$2,427,052$383,05418.56%16.89%
20131.50%36.41%32.16%$3,310,671$506,26236.41%32.16%
20140.76%10.39%13.47%$3,654,657$574,43010.39%13.47%
20150.73%-4.77%3.17%$3,480,171$592,622-4.77%3.17%
20162.07%24.65%5.99%$4,337,971$628,14924.65%5.99%
20172.11%11.67%27.65%$4,844,253$801,80811.67%27.65%
20181.91%-12.34%-3.46%$4,246,503$774,047-12.34%-3.46%
20192.29%22.61%37.08%$5,206,694$1,061,08422.61%37.08%
20201.29%-15.78%21.55%$4,385,328$1,289,790-15.78%21.55%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.18%0.95%
Arithmetic Mean (annualized)15.18%12.03%
Geometric Mean (monthly)1.04%0.83%
Geometric Mean (annualized)13.27%10.46%
Volatility (monthly)5.26%4.86%
Volatility (annualized)18.22%16.82%
Downside Deviation (monthly)3.48%3.08%
Max. Drawdown-56.13%-53.60%
US Market Correlation0.890.96
Beta(*)1.041.04
Alpha (annualized)2.70%-0.10%
R278.87%92.51%
Sharpe Ratio0.530.40
Sortino Ratio0.760.60
Treynor Ratio (%)9.276.57
Calmar Ratio-0.061.13
Active Return2.94%0.14%
Tracking Error8.39%4.64%
Information Ratio0.350.03
Skewness-0.72-0.31
Excess Kurtosis4.081.87
Historical Value-at-Risk (5%)-7.24%-7.27%
Analytical Value-at-Risk (5%)-7.46%-7.04%
Conditional Value-at-Risk (5%)-12.38%-10.49%
Upside Capture Ratio (%)110.37102.90
Downside Capture Ratio (%)98.40102.97
Safe Withdrawal Rate7.72%3.41%
Perpetual Withdrawal Rate8.45%6.09%
Positive Periods381 out of 586 (65.02%)349 out of 586 (59.56%)
Gain/Loss Ratio0.991.12
* 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
Oil CrisisOct 1973Mar 1974-15.17%-17.33%
Black Monday PeriodSep 1987Nov 1987-29.46%-31.48%
Asian CrisisJul 1997Jan 1998-3.14%-6.64%
Russian Debt DefaultJul 1998Oct 1998-23.66%-13.04%
Dotcom CrashMar 2000Oct 2002-28.62%-53.58%
Subprime CrisisNov 2007Mar 2009-53.25%-47.19%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-56.13%
2Dec 1972Dec 19742 years 1 monthJan 19761 year 1 month3 years 2 months-41.10%
3Sep 2018Mar 20201 year 7 months-35.29%
4May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
5Sep 1989Oct 19901 year 2 monthsMay 19917 months1 year 9 months-30.82%
6Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-29.46%
7May 1998Aug 19984 monthsAug 20002 years2 years 4 months-27.15%
8May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
9Feb 1980Mar 19802 monthsJul 19804 months6 months-18.53%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-18.52%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsJul 19805 years 10 months7 years 7 months-53.60%
2Apr 2000Sep 20022 years 6 monthsAug 20129 years 11 months12 years 5 months-53.58%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-31.48%
4Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-19.54%
5Feb 2020Mar 20202 monthsMay 20202 months4 months-16.34%
6Oct 2018Dec 20183 monthsApr 20194 months7 months-16.34%
7Jul 1990Sep 19903 monthsFeb 19915 months8 months-15.81%
8Jul 1983May 198411 monthsJan 19858 months1 year 7 months-15.00%
9Aug 1998Aug 19981 monthOct 19982 months3 months-13.04%
10Jul 1986Sep 19863 monthsJan 19874 months7 months-11.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Small Cap Value13.27%18.22%54.78%-32.05%-56.13%0.530.760.89
US Large Cap Growth10.46%16.82%44.61%-38.32%-53.60%0.400.600.96

Monthly Correlations

Correlations for the portfolio assets
NameUS Small Cap ValueUS Large Cap GrowthPortfolio 1Portfolio 2
US Small Cap Value1.000.781.000.78
US Large Cap Growth0.781.000.781.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Small Cap Value$4,375,328
US Large Cap Growth$1,279,790

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Small Cap Value100.00%
US Large Cap Growth100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year15.79%54.78%-32.05%12.13%44.61%-38.32%
3 years14.91%40.29%-12.69%10.71%35.66%-19.74%
5 years15.36%35.32%-0.31%10.91%33.65%-6.94%
7 years15.37%30.95%2.16%11.04%23.79%-3.15%
10 years15.14%29.84%5.22%11.05%22.09%-3.30%
15 years14.83%25.90%7.58%11.15%21.18%3.09%
Result statistics are based on annualized rolling returns over full calendar year periods