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 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 (Mar 2004 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 70.00%
Intermediate Term Treasury 30.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Cash 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$273,837 23.25% 7.94%8.93%9.43%23.34%-21.93%-34.07%
(-21.60%)
0.721.070.99
Portfolio 2$10,000$135,464 17.89% 1.31%0.99%0.46%4.82%0.03%0.00%
(0.00%)
N/AN/A-0.04
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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 2004 are based on full calendar months from March to December
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $500 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketIntermediate Term TreasuryCash
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20042.20%6.35%1.17%$16,060$15,238$5,0898.51%1.33%1.17%
20053.42%4.88%3.14%$23,376$22,108$6,2935.98%2.31%3.14%
20062.54%11.80%4.82%$33,055$29,816$6,49615.51%3.14%4.82%
20074.08%6.84%4.56%$42,115$37,984$6,6815.49%9.98%4.56%
20080.09%-21.93%1.53%$38,924$45,540$6,938-37.04%13.32%1.53%
20092.72%19.58%0.16%$54,491$52,528$6,91328.70%-1.69%0.16%
20101.50%14.17%0.14%$69,919$59,632$7,02717.09%7.35%0.14%
20112.96%3.61%0.07%$79,723$66,922$7,2480.96%9.79%0.07%
20121.74%12.18%0.08%$97,075$74,378$7,39816.25%2.67%0.08%
20131.50%22.42%0.05%$127,060$81,925$7,50733.35%-3.09%0.05%
20140.76%10.00%0.03%$147,770$89,582$7,62812.43%4.32%0.03%
20150.73%0.65%0.05%$156,347$97,268$7,6380.29%1.50%0.05%
20162.07%9.13%0.30%$178,747$105,300$7,73412.53%1.19%0.30%
20172.11%15.21%0.88%$214,365$114,164$7,89921.05%1.58%0.88%
20181.91%-3.38%1.90%$214,795$124,507$8,092-5.26%1.00%1.90%
20192.29%23.34%2.13%$273,837$135,464$8,23830.65%6.29%2.13%
Annual returns for 2004 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.68%0.11%
Arithmetic Mean (annualized)8.42%1.32%
Geometric Mean (monthly)0.64%0.11%
Geometric Mean (annualized)7.94%1.31%
Volatility (monthly)2.72%0.13%
Volatility (annualized)9.43%0.46%
Downside Deviation (monthly)1.80%0.00%
Max. Drawdown-34.07%0.00%
US Market Correlation0.99-0.04
Beta(*)0.67-0.00
Alpha (annualized)1.64%1.32%
R297.90%0.18%
Sharpe Ratio0.72N/A
Sortino Ratio1.07N/A
Treynor Ratio (%)10.22-0.00
Calmar Ratio1.15N/A
Active Return-1.14%-7.76%
Tracking Error4.88%14.04%
Information Ratio-0.23-0.55
Skewness-0.831.14
Excess Kurtosis2.420.06
Historical Value-at-Risk (5%)-4.60%0.00%
Analytical Value-at-Risk (5%)-3.80%-0.11%
Conditional Value-at-Risk (5%)-6.53%0.00%
Upside Capture Ratio (%)69.433.36
Downside Capture Ratio (%)63.92-3.01
Safe Withdrawal Rate8.54%5.95%
Perpetual Withdrawal Rate5.39%0.00%
Positive Periods129 out of 190 (67.89%)190 out of 190 (100.00%)
Gain/Loss Ratio0.90N/A
* 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
Subprime CrisisNov 2007Mar 2009-34.07%0.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-34.07%
2May 2011Sep 20115 monthsJan 20124 months9 months-10.60%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-9.66%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-5.88%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.22%
6May 2019May 20191 monthJun 20191 month2 months-4.16%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.96%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-3.14%
9Jan 2005Apr 20054 monthsJun 20052 months6 months-3.02%
10Mar 2004Jul 20045 monthsOct 20043 months8 months-2.92%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
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Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.07%14.02%33.35%-37.04%-50.89%0.600.861.00
Intermediate Term Treasury3.76%4.30%13.32%-3.09%-4.48%0.580.98-0.24
Cash1.31%0.46%4.82%0.03%0.00%N/AN/A-0.04

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term TreasuryCashPortfolio 1Portfolio 2
US Stock Market--0.24-0.040.99-0.04
Intermediate Term Treasury-0.24-0.08-0.110.08
Cash-0.040.08--0.041.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$134,183
Intermediate Term Treasury$14,836
Cash$10,646

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market101.48%
Intermediate Term Treasury-1.48%
Cash100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.57%23.34%-21.93%1.32%4.82%0.03%
3 years7.70%14.74%-2.30%1.08%4.17%0.05%
5 years8.04%14.20%3.18%0.82%2.83%0.06%
7 years8.55%11.56%4.75%0.72%2.04%0.08%
10 years8.34%10.42%6.95%0.75%1.44%0.33%
15 years7.95%7.95%7.95%1.31%1.31%1.31%
Result statistics are based on annualized rolling returns over full calendar year periods