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
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%
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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

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.85%28.70%-5.10%0.91%-0.27%1.03%20.53%16.62%
Portfolio 23.79%30.34%-6.29%0.80%7.69%7.02%26.91%21.97%
Trailing annualized return and volatility are for full months ending in December 2009 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 1999 are based on monthly returns 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 (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
  • 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 return for 1999 is from 08/01/1999 to 12/31/1999
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 (%)-0.415.85
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%)-8.85%-9.88%
Analytical Value-at-Risk (5%)-7.66%-8.80%
Conditional Value-at-Risk (5%)-10.82%-14.38%
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 Market1.000.851.000.85
US Small Cap Value0.851.000.851.00

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 year0.32%42.16%-43.18%7.87%59.73%-45.54%
3 years2.29%19.44%-16.27%8.27%29.46%-19.30%
5 years4.03%16.31%-6.23%10.18%17.47%-6.86%
7 years2.77%6.71%-3.02%8.75%15.50%-2.20%
10 years0.10%0.84%-0.27%7.03%7.69%5.72%