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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Portfolio Analysis Results (Jan 2000 - Dec 2010)

Portfolio Allocations

100% stocks
Asset Class Allocation
US Stock Market 60.00%
Global ex-US Stock Market 40.00%
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60/40 stocks/bonds
Asset Class Allocation
US Stock Market 36.00%
Global ex-US Stock Market 24.00%
Global Bonds (Unhedged) 40.00%
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40/60 stocks/bonds
Asset Class Allocation
US Stock Market 24.00%
Global ex-US Stock Market 16.00%
Global Bonds (Unhedged) 60.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
100% stocks$10,000$12,414 1.99% 17.40%34.75%-40.04%-54.16% 0.060.080.98
60/40 stocks/bonds$10,000$16,738 4.79% 11.73%27.66%-26.12%-37.82% 0.240.340.92
40/60 stocks/bonds$10,000$18,724 5.87% 9.55%24.36%-18.82%-28.97% 0.380.560.79
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
100% stocks9.80%14.64%14.64%-3.22%3.60%3.57%1.99%24.68%19.90%
60/40 stocks/bonds5.24%13.38%13.38%2.20%6.00%6.10%4.79%17.45%13.96%
40/60 stocks/bonds2.98%12.68%12.68%4.39%6.81%7.00%5.87%14.52%11.57%
Trailing return and volatility are as of last full calendar month ending December 2010
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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 bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflation100% stocks60/40 stocks/bonds40/60 stocks/bondsUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)
ReturnBalanceReturnBalanceReturnBalance
20003.39%-12.59%$8,741-7.38%$9,262-4.78%$9,522-10.57%-15.61%0.43%
20011.55%-14.51%$7,472-7.14%$8,600-4.18%$9,124-10.97%-20.15%2.48%
20022.38%-18.84%$6,065-3.71%$8,2814.73%$9,556-20.96%-15.08%21.33%
20031.88%34.75%$8,17227.66%$10,57223.99%$11,84931.35%40.34%16.59%
20043.26%15.79%$9,46214.37%$12,09213.48%$13,44612.52%20.84%11.57%
20053.42%9.91%$10,4003.43%$12,5060.15%$13,4675.98%15.57%-6.36%
20062.54%20.22%$12,50214.55%$14,32611.71%$15,04415.51%26.64%5.85%
20074.08%9.54%$13,6959.46%$15,6809.41%$16,4605.49%15.52%9.26%
20080.09%-40.04%$8,211-26.12%$11,584-18.82%$13,362-37.04%-44.10%-2.68%
20092.72%31.88%$10,82927.43%$14,76224.36%$16,61628.70%36.73%17.17%
20101.50%14.64%$12,41413.38%$16,73812.68%$18,72417.09%11.12%11.24%
Portfolio return and risk metrics
Metric100% stocks60/40 stocks/bonds40/60 stocks/bonds
Arithmetic Mean (monthly)0.29%0.45%0.51%
Arithmetic Mean (annualized)3.56%5.52%6.35%
Geometric Mean (monthly)0.16%0.39%0.48%
Geometric Mean (annualized)1.99%4.79%5.87%
Standard Deviation (monthly)5.02%3.39%2.76%
Standard Deviation (annualized)17.40%11.73%9.55%
Downside Deviation (monthly)3.67%2.32%1.81%
Max. Drawdown-54.16%-37.82%-28.97%
US Market Correlation0.980.920.79
Beta(*)1.010.640.45
Alpha (annualized)0.85%3.71%4.99%
R296.08%83.74%63.17%
Sharpe Ratio0.060.240.38
Sortino Ratio0.080.340.56
Treynor Ratio (%)0.994.528.14
Calmar Ratio-0.060.060.15
Active Return0.79%3.60%4.67%
Tracking Error3.45%7.74%10.93%
Information Ratio0.230.470.43
Skewness-0.65-0.60-0.52
Excess Kurtosis1.061.521.82
Historical Value-at-Risk (5%)-8.89%-5.22%-3.99%
Analytical Value-at-Risk (5%)-7.97%-5.12%-4.02%
Conditional Value-at-Risk (5%)-11.30%-7.49%-5.99%
Upside Capture Ratio (%)102.6568.0250.73
Downside Capture Ratio (%)99.0356.2333.66
Safe Withdrawal Rate7.33%9.18%10.05%
Perpetual Withdrawal Rate0.00%2.26%3.24%
Positive Periods74 out of 132 (56.06%)80 out of 132 (60.61%)81 out of 132 (61.36%)
Gain/Loss Ratio0.910.921.04
* 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 PeriodStartEnd100% stocks60/40 stocks/bonds40/60 stocks/bonds
Dotcom CrashMar 2000Oct 2002-44.80%-23.33%-11.49%
Subprime CrisisNov 2007Mar 2009-54.16%-37.82%-28.97%

Drawdowns for 100% stocks

Drawdowns for 100% stocks
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-54.16%
2Apr 2000Sep 20022 years 6 monthsDec 20053 years 3 months5 years 9 months-44.80%
3Jan 2000Jan 20001 monthMar 20002 months3 months-5.00%
4May 2006Jun 20062 monthsSep 20063 months5 months-3.77%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-3.16%
6Feb 2007Feb 20071 monthMar 20071 month2 months-0.94%
7Feb 2006Feb 20061 monthMar 20061 month2 months-0.32%

Drawdowns for 60/40 stocks/bonds

Drawdowns for 60/40 stocks/bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-37.82%
2Apr 2000Sep 20022 years 6 monthsDec 20031 year 3 months3 years 9 months-23.33%
3Jan 2000Jan 20001 monthMar 20002 months3 months-4.32%
4Apr 2004Jul 20044 monthsOct 20043 months7 months-3.10%
5Nov 2010Nov 20101 monthDec 20101 month2 months-2.65%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-2.43%
7May 2006Jun 20062 monthsSep 20063 months5 months-2.36%
8Oct 2005Oct 20051 monthDec 20052 months3 months-2.20%
9Jan 2005Jan 20051 monthFeb 20051 month2 months-2.03%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-1.09%
Worst 10 drawdowns included above

Drawdowns for 40/60 stocks/bonds

Drawdowns for 40/60 stocks/bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Feb 200910 monthsNov 20099 months1 year 7 months-28.97%
2Apr 2000Sep 20011 year 6 monthsMay 20031 year 8 months3 years 2 months-11.49%
3May 2010Jun 20102 monthsJul 20101 month3 months-4.59%
4Jan 2000Jan 20001 monthMar 20002 months3 months-3.98%
5Apr 2004Apr 20041 monthSep 20045 months6 months-3.28%
6Nov 2010Nov 20101 monthDec 20101 month2 months-3.26%
7Jan 2005May 20055 monthsAug 20053 months8 months-2.55%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-2.41%
9Dec 2009Jan 20102 monthsMar 20102 months4 months-2.41%
10May 2006Jun 20062 monthsAug 20062 months4 months-1.31%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market1.20%16.86%31.35%-37.04%-50.89%0.010.011.00
Global ex-US Stock Market3.06%19.36%40.34%-44.10%-58.50%0.120.170.89
Global Bonds (Unhedged)7.57%8.34%21.33%-6.36%-17.49%0.611.010.18

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market11.66%17.09%17.09%-1.74%2.94%2.45%
Global ex-US Stock Market7.11%11.12%11.12%-5.30%4.44%5.14%
Global Bonds (Unhedged)-1.53%11.24%11.24%8.25%7.96%8.31%
Trailing returns as of last calendar month ending December 2010

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market1.000.890.180.980.920.79
Global ex-US Stock Market0.891.000.400.960.970.91
Global Bonds (Unhedged)0.180.401.000.280.530.72

Portfolio Return Decomposition

Portfolio return decomposition
Name100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market$887$1,554$1,339
Global ex-US Stock Market$1,527$1,848$1,498
Global Bonds (Unhedged)$3,336$5,887
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
Name100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market57.04%47.04%33.36%
Global ex-US Stock Market42.96%38.05%29.12%
Global Bonds (Unhedged)14.91%37.52%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll Period100% stocks60/40 stocks/bonds40/60 stocks/bonds
AverageHighLowAverageHighLowAverageHighLow
1 year3.95%59.04%-46.74%5.81%46.57%-34.47%6.66%40.08%-28.18%
3 years3.83%24.56%-17.38%5.89%17.03%-8.07%6.68%14.33%-4.81%
5 years6.19%19.99%-4.73%7.15%15.15%-1.58%7.33%12.64%-0.31%
7 years5.43%10.06%-1.13%6.85%9.30%2.56%7.23%9.28%4.11%
10 years1.43%3.57%0.12%4.68%6.10%3.71%5.95%7.01%5.16%

100% stocks Rebalancing Events

Rebalancing dates for 100% stocks
#DateAllocation
104/30/2006US Stock Market: 54.97%
Global ex-US Stock Market: 45.03%

60/40 stocks/bonds Rebalancing Events

Rebalancing dates for 60/40 stocks/bonds
#DateAllocation
102/28/2001US Stock Market: 33.75%
Global ex-US Stock Market: 21.09%
Global Bonds (Unhedged): 45.16%
209/30/2001US Stock Market: 33.40%
Global ex-US Stock Market: 20.90%
Global Bonds (Unhedged): 45.70%
309/30/2002US Stock Market: 31.15%
Global ex-US Stock Market: 21.65%
Global Bonds (Unhedged): 47.20%
402/28/2005US Stock Market: 36.53%
Global ex-US Stock Market: 28.72%
Global Bonds (Unhedged): 34.76%
510/31/2006US Stock Market: 37.37%
Global ex-US Stock Market: 27.80%
Global Bonds (Unhedged): 34.83%
610/31/2008US Stock Market: 32.01%
Global ex-US Stock Market: 19.86%
Global Bonds (Unhedged): 48.13%
702/28/2009US Stock Market: 31.63%
Global ex-US Stock Market: 22.08%
Global Bonds (Unhedged): 46.30%
809/30/2009US Stock Market: 37.16%
Global ex-US Stock Market: 27.87%
Global Bonds (Unhedged): 34.97%

40/60 stocks/bonds Rebalancing Events

Rebalancing dates for 40/60 stocks/bonds
#DateAllocation
103/31/2001US Stock Market: 20.98%
Global ex-US Stock Market: 13.04%
Global Bonds (Unhedged): 65.98%
206/30/2002US Stock Market: 20.39%
Global ex-US Stock Market: 13.84%
Global Bonds (Unhedged): 65.78%
309/30/2002US Stock Market: 21.02%
Global ex-US Stock Market: 13.53%
Global Bonds (Unhedged): 65.45%
406/30/2004US Stock Market: 26.35%
Global ex-US Stock Market: 18.67%
Global Bonds (Unhedged): 54.98%
503/31/2006US Stock Market: 25.12%
Global ex-US Stock Market: 20.31%
Global Bonds (Unhedged): 54.58%
610/31/2008US Stock Market: 20.07%
Global ex-US Stock Market: 12.71%
Global Bonds (Unhedged): 67.22%
702/28/2009US Stock Market: 20.03%
Global ex-US Stock Market: 13.98%
Global Bonds (Unhedged): 65.98%
808/31/2009US Stock Market: 25.82%
Global ex-US Stock Market: 19.19%
Global Bonds (Unhedged): 54.99%