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.

$ .00
$ .00
%
%
%
Asset Allocation 
Asset Class
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (May 2007 - Dec 2010)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Intermediate-Term Tax-Exempt 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
10-year Treasury 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
Long Term Treasury 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,513 3.92% 5.31%10.22%-0.14%-4.08% 0.510.740.15
Portfolio 2$10,000$12,625 6.56% 9.76%20.53%-10.17%-10.17% 0.571.02-0.27
Portfolio 3$10,000$12,598 6.50% 12.90%22.51%-12.06%-12.06% 0.450.79-0.18
Franklin OR Tax Free Income A1$10,000$11,304 3.40% 5.88%14.27%-4.06%-6.54% 0.380.520.22
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 yearFull
Portfolio 1-3.60%2.13%3.98%3.92%
Portfolio 2-5.83%7.92%5.33%6.56%
Portfolio 3-8.24%8.93%5.48%6.50%
Franklin OR Tax Free Income A1-4.97%1.17%3.51%3.40%
Trailing returns are for full months ending in December 2010 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 2007 are based on monthly returns from May 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
YearInflationReturnBalanceIntermediate-Term Tax-Exempt10-year TreasuryLong Term Treasury
Portfolio 1Portfolio 2Portfolio 3Franklin OR Tax Free Income A1Portfolio 1Portfolio 2Portfolio 3Franklin OR Tax Free Income A1
20071.62%2.42%8.04%7.34%1.92%$10,242$10,804$10,734$10,1922.42%8.04%7.34%
20080.09%-0.14%20.53%22.51%-4.06%$10,228$13,023$13,151$9,778-0.14%20.53%22.51%
20092.72%10.22%-10.17%-12.06%14.27%$11,272$11,698$11,565$11,17410.22%-10.17%-12.06%
20101.50%2.13%7.92%8.93%1.17%$11,513$12,625$12,598$11,3042.13%7.92%8.93%
Annual returns for 2007 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Franklin OR Tax Free Income A1
Arithmetic Mean (monthly)0.33%0.57%0.59%0.29%
Arithmetic Mean (annualized)4.06%7.05%7.35%3.58%
Geometric Mean (monthly)0.32%0.53%0.53%0.28%
Geometric Mean (annualized)3.92%6.56%6.50%3.40%
Volatility (monthly)1.53%2.82%3.72%1.70%
Volatility (annualized)5.31%9.76%12.90%5.88%
Downside Deviation (monthly)1.02%1.55%2.11%1.20%
Max. Drawdown-4.08%-10.17%-12.06%-6.54%
US Market Correlation0.15-0.27-0.180.22
Beta(*)0.86-0.010.041.00
Alpha (annualized)0.98%6.86%6.97%-0.00%
R289.89%0.00%0.04%100.00%
Sharpe Ratio0.510.570.450.38
Sortino Ratio0.741.020.790.52
Treynor Ratio (%)3.18-682.20140.592.26
Calmar Ratio0.980.520.450.54
Active Return0.52%3.16%3.10%N/A
Tracking Error1.89%11.41%14.08%N/A
Information Ratio0.270.280.22N/A
Skewness-0.740.570.55-1.08
Excess Kurtosis1.781.701.712.99
Historical Value-at-Risk (5%)-3.48%-4.73%-5.49%-3.87%
Analytical Value-at-Risk (5%)-2.19%-4.06%-5.53%-2.50%
Conditional Value-at-Risk (5%)-4.00%-5.09%-7.07%-4.87%
Upside Capture Ratio (%)95.6844.2244.52100.00
Downside Capture Ratio (%)84.97-41.77-40.19100.00
Safe Withdrawal Rate26.08%28.95%28.86%25.57%
Perpetual Withdrawal Rate2.04%4.26%4.21%1.58%
Positive Periods29 out of 44 (65.91%)25 out of 44 (56.82%)25 out of 44 (56.82%)28 out of 44 (63.64%)
Gain/Loss Ratio0.931.321.180.93
* Franklin OR Tax Free Income A1 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 2Portfolio 3Franklin OR Tax Free Income A1
Subprime CrisisNov 2007Mar 2009-4.08%-6.16%-9.39%-6.54%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Feb 20081 monthAug 20086 months7 months-4.08%
2Sep 2010Dec 20104 months-4.02%
3Sep 2008Sep 20081 monthJan 20094 months5 months-3.92%
4Oct 2009Oct 20091 monthFeb 20104 months5 months-2.17%
5Jun 2009Jun 20091 monthJul 20091 month2 months-0.97%
6May 2007Jun 20072 monthsSep 20073 months5 months-0.82%
7Mar 2010Mar 20101 monthApr 20101 month2 months-0.72%
8Feb 2009Mar 20092 monthsApr 20091 month3 months-0.65%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-10.17%
2Sep 2010Dec 20104 months-6.13%
3Apr 2008May 20082 monthsNov 20086 months8 months-4.36%
4May 2007Jun 20072 monthsJul 20071 month3 months-2.32%
5Dec 2007Dec 20071 monthJan 20081 month2 months-0.24%
6Sep 2007Sep 20071 monthOct 20071 month2 months-0.02%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.06%
2Sep 2010Dec 20104 months-9.91%
3Apr 2008May 20082 monthsSep 20084 months6 months-3.93%
4Oct 2008Oct 20081 monthNov 20081 month2 months-3.63%
5May 2007Jun 20072 monthsAug 20072 months4 months-2.80%
6Dec 2007Dec 20071 monthJan 20081 month2 months-0.48%

Drawdowns for Franklin OR Tax Free Income A1

Drawdowns for Franklin OR Tax Free Income A1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2008Nov 20083 monthsApr 20095 months8 months-6.54%
2Oct 2010Dec 20103 months-4.97%
3Feb 2008Feb 20081 monthMay 20083 months4 months-4.40%
4Oct 2009Oct 20091 monthFeb 20104 months5 months-1.74%
5May 2007Jun 20072 monthsSep 20073 months5 months-0.84%
6Jun 2008Jun 20081 monthAug 20082 months3 months-0.76%
7Jun 2009Jun 20091 monthJul 20091 month2 months-0.42%
8Jun 2010Jun 20101 monthJul 20101 month2 months-0.06%
9Mar 2010Mar 20101 monthApr 20101 month2 months-0.00%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Intermediate-Term Tax-Exempt3.92%5.31%10.22%-0.14%-4.08%0.510.740.15
10-year Treasury6.56%9.76%20.53%-10.17%-10.17%0.571.02-0.27
Long Term Treasury6.50%12.90%22.51%-12.06%-12.06%0.450.79-0.18

Monthly Correlations

Correlations for the portfolio assets
NameIntermediate-Term Tax-Exempt10-year TreasuryLong Term TreasuryPortfolio 1Portfolio 2Portfolio 3Franklin OR Tax Free Income A1
Intermediate-Term Tax-Exempt1.000.080.081.000.080.080.95
10-year Treasury0.081.000.970.081.000.97-0.00
Long Term Treasury0.080.971.000.080.971.000.02

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
Intermediate-Term Tax-Exempt$1,513
10-year Treasury$2,625
Long Term Treasury$2,598

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
Intermediate-Term Tax-Exempt100.00%
10-year Treasury100.00%
Long Term Treasury100.00%

Annual Asset Returns