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 
Asset Class
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Aug 1999 - Dec 2009)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,126 1.03% 16.56%31.35%-37.04%-50.89% -0.02-0.031.00
Portfolio 2$10,000$20,272 7.02% 20.09%37.19%-32.05%-56.13% 0.300.420.85
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 1999 are based on full calendar months from August to December
  • 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
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketUS Small Cap Value
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
Annual returns for 1999 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.20%0.74%
Arithmetic Mean (annualized)2.44%9.23%
Geometric Mean (monthly)0.09%0.57%
Geometric Mean (annualized)1.03%7.02%
Volatility (monthly)4.78%5.80%
Volatility (annualized)16.56%20.09%
Downside Deviation (monthly)3.56%4.09%
Max. Drawdown-50.89%-56.13%
US Market Correlation1.000.85
Alpha (annualized)-0.00%6.37%
Sharpe Ratio-0.020.30
Sortino Ratio-0.030.42
Treynor Ratio (%)-0.385.88
Calmar Ratio-0.10-0.11
Active Return0.00%5.99%
Tracking Error0.00%10.64%
Information RatioN/A0.56
Excess Kurtosis0.882.35
Historical Value-at-Risk (5%)-9.18%-11.24%
Analytical Value-at-Risk (5%)-7.66%-8.80%
Conditional Value-at-Risk (5%)-11.12%-15.03%
Upside Capture Ratio (%)100.00122.46
Downside Capture Ratio (%)100.0095.01
Safe Withdrawal Rate8.10%12.47%
Perpetual Withdrawal Rate0.00%3.99%
Positive Periods72 out of 125 (57.60%)77 out of 125 (61.60%)
Gain/Loss Ratio0.800.88
* 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
Dotcom CrashMar 2000Oct 2002-44.11%-28.62%
Subprime CrisisNov 2007Mar 2009-50.89%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
4Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
5Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
6Aug 1999Sep 19992 monthsOct 19991 month3 months-3.33%
7May 2006May 20061 monthSep 20064 months5 months-3.23%
8Feb 2007Feb 20071 monthApr 20072 months3 months-1.61%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 months-56.13%
2May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
3Jul 2001Sep 20013 monthsDec 20013 months6 months-16.63%
4Aug 1999Jan 20006 monthsApr 20003 months9 months-8.40%
5Feb 2001Mar 20012 monthsJun 20013 months5 months-8.11%
6Jan 2005Apr 20054 monthsJun 20052 months6 months-7.07%
7Nov 2000Nov 20001 monthDec 20001 month2 months-6.52%
8Apr 2004Apr 20041 monthJun 20042 months3 months-5.52%
9Aug 2005Oct 20053 monthsJan 20063 months6 months-4.53%
10May 2006Jul 20063 monthsOct 20063 months6 months-4.21%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market1.03%16.56%31.35%-37.04%-50.89%-0.02-0.031.00
US Small Cap Value7.02%20.09%37.19%-32.05%-56.13%0.300.420.85

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValuePortfolio 1Portfolio 2
US Stock Market-0.851.000.85
US Small Cap Value0.85-0.851.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$1,126
US Small Cap Value$10,272

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
US Small Cap Value100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
1 year2.00%31.35%-37.04%9.86%37.19%-32.05%
3 years1.40%16.13%-14.31%7.16%21.60%-9.03%
5 years3.48%13.80%-1.76%9.20%15.05%-0.27%
7 years2.97%6.43%-0.73%8.72%14.30%2.16%
10 years-0.27%-0.27%-0.27%7.69%7.69%7.69%
Result statistics are based on annualized rolling returns over full calendar year periods