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 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 2000 - Feb 2009)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$331,682 -11.34% -5.06%-4.11%16.10%31.35%-37.04%-50.89%
(-68.24%)
-0.42-0.511.00
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 1-16.32%-43.18%-15.24%-6.23%-5.06%17.23%14.69%
Trailing annualized return and volatility are for full months ending in February 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 2009 are based on monthly returns from January to February
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual withdrawal of $40,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationPortfolio 1US Stock Market
ReturnBalanceCashflow
20003.39%-10.57%$852,900-$41,355-10.57%
20011.55%-10.97%$717,376-$41,996-10.97%
20022.38%-20.96%$524,014-$42,995-20.96%
20031.88%31.35%$644,510-$43,80331.35%
20043.26%12.52%$679,946-$45,22912.52%
20053.42%5.98%$673,836-$46,7745.98%
20062.54%15.51%$730,394-$47,96215.51%
20074.08%5.49%$720,571-$49,9205.49%
20080.09%-37.04%$403,722-$49,965-37.04%
20090.93%-17.84%$331,682$0.00-17.84%
Annual return for 2009 is from 01/01/2009 to 02/28/2009
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)-0.32%
Arithmetic Mean (annualized)-3.79%
Geometric Mean (monthly)-0.43%
Geometric Mean (annualized)-5.06%
Volatility (monthly)4.65%
Volatility (annualized)16.10%
Downside Deviation (monthly)3.78%
Max. Drawdown-50.89%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)-0.00%
R2100.00%
Sharpe Ratio-0.42
Sortino Ratio-0.51
Treynor Ratio (%)-6.83
Calmar Ratio-0.30
Active Return0.00%
Tracking Error0.00%
Information RatioN/A
Skewness-0.79
Excess Kurtosis0.97
Historical Value-at-Risk (5%)-9.14%
Analytical Value-at-Risk (5%)-7.97%
Conditional Value-at-Risk (5%)-11.12%
Upside Capture Ratio (%)100.00
Downside Capture Ratio (%)100.00
Safe Withdrawal Rate8.58%
Perpetual Withdrawal Rate0.00%
Positive Periods60 out of 110 (54.55%)
Gain/Loss Ratio0.68
* 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 1
Dotcom CrashMar 2000Oct 2002-44.11%

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%
6May 2006May 20061 monthSep 20064 months5 months-3.23%
7Feb 2007Feb 20071 monthApr 20072 months3 months-1.61%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market-5.06%16.10%31.35%-37.04%-50.89%-0.42-0.511.00

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year0.93%42.16%-43.18%
3 years4.43%19.44%-16.27%
5 years5.35%16.31%-6.23%
7 years2.63%4.77%-3.02%