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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Portfolio Analysis Results (Jan 2000 - Jun 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$39,143 6.55% 8.23%22.34%-17.12%-24.97% 0.620.920.96
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.44%9.95%28.26%14.26%12.34%9.98%6.55%12.59%10.13%
Trailing return and volatility are as of last full calendar month ending June 2021
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.
  • The annual results for 2021 are based on monthly returns from January to June
  • 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketTotal US Bond Market
20003.39%-1.79%$9,821-10.57%11.39%
20011.55%-2.17%$9,608-10.97%8.43%
20022.38%-6.27%$9,006-20.96%8.26%
20031.88%15.45%$10,39831.35%3.97%
20043.26%8.19%$11,24912.52%4.24%
20053.42%4.17%$11,7185.98%2.40%
20062.54%9.94%$12,88315.51%4.27%
20074.08%6.16%$13,6775.49%6.92%
20080.09%-17.12%$11,335-37.04%5.05%
20092.72%15.05%$13,04128.70%5.93%
20101.50%11.20%$14,50117.09%6.42%
20112.96%4.45%$15,1460.96%7.56%
20121.74%9.61%$16,60216.25%4.05%
20131.50%14.95%$19,08433.35%-2.26%
20140.76%9.50%$20,89712.43%5.76%
20150.73%0.29%$20,9580.29%0.30%
20162.07%8.28%$22,69312.53%2.50%
20172.11%13.98%$25,86721.05%3.45%
20181.91%-3.39%$24,991-5.26%-0.13%
20192.29%22.34%$30,57430.65%8.61%
20201.36%16.44%$35,59920.87%7.61%
20214.31%9.95%$39,14315.19%-1.74%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.56%
Arithmetic Mean (annualized)6.91%
Geometric Mean (monthly)0.53%
Geometric Mean (annualized)6.55%
Standard Deviation (monthly)2.38%
Standard Deviation (annualized)8.23%
Downside Deviation (monthly)1.55%
Max. Drawdown-24.97%
US Market Correlation0.96
Beta(*)0.51
Alpha (annualized)2.38%
R292.95%
Sharpe Ratio0.62
Sortino Ratio0.92
Treynor Ratio (%)10.08
Calmar Ratio1.07
Active Return-0.93%
Tracking Error7.92%
Information Ratio-0.12
Skewness-0.60
Excess Kurtosis2.41
Historical Value-at-Risk (5%)-3.61%
Analytical Value-at-Risk (5%)-3.35%
Conditional Value-at-Risk (5%)-5.30%
Upside Capture Ratio (%)54.42
Downside Capture Ratio (%)47.07
Safe Withdrawal Rate5.64%
Perpetual Withdrawal Rate4.13%
Positive Periods173 out of 258 (67.05%)
Gain/Loss Ratio0.91
* 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 2002-17.70%
Subprime CrisisNov 2007Mar 2009-24.97%
COVID-19 StartJan 2020Mar 2020-13.38%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-24.97%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-17.70%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-13.38%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-8.99%
5Jun 2011Sep 20114 monthsJan 20124 months8 months-6.28%
6Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
7Jun 2015Sep 20154 monthsApr 20167 months11 months-5.11%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-3.97%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.86%
10May 2019May 20191 monthJun 20191 month2 months-3.60%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.49%15.54%33.35%-37.04%-50.89%0.440.631.00
Total US Bond Market4.73%3.46%11.39%-2.26%-3.99%0.911.55-0.07

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market8.25%15.19%44.18%18.63%17.78%14.57%
Total US Bond Market1.97%-1.74%-0.52%5.27%2.89%3.25%
Trailing returns as of last calendar month ending June 2021

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1
US Stock Market1.00-0.070.96
Total US Bond Market-0.071.000.13

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$22,329
Total US Bond Market$6,814
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
NamePortfolio 1
US Stock Market97.96%
Total US Bond Market2.04%
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 PeriodAverageHighLow
1 year6.65%37.96%-20.55%
3 years6.45%14.96%-4.64%
5 years6.53%13.19%-0.44%
7 years6.46%10.11%1.33%
10 years6.50%9.98%2.42%
15 years6.45%8.29%4.58%

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YearUS Stock Market AllocationTotal US Bond Market Allocation
200060.00%40.00%
200154.63%45.37%
200249.72%50.28%
200341.93%58.07%
200447.70%52.30%
200549.61%50.39%
200650.47%49.53%
200753.03%46.97%
200852.69%47.31%
200940.03%59.97%
201044.78%55.22%
201147.15%52.85%
201245.58%54.42%
201348.34%51.66%
201456.08%43.92%
201557.58%42.42%
201657.58%42.42%
201759.84%40.16%
201863.55%36.45%
201962.32%37.68%
202066.55%33.45%
202169.09%30.91%