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 
Asset Class
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Aug 2009 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Small Cap Value 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$39,838 14.19% 12.80%33.35%-5.26%-17.74% 1.061.751.00
Portfolio 2$10,000$35,361 12.89% 15.89%36.41%-12.34%-23.97% 0.811.290.94

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 18.97%30.65%14.43%11.08%13.30%14.19%
Portfolio 27.13%22.61%6.27%7.34%11.77%12.89%
Trailing returns are for full months ending in December 2019 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 August 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
YearInflationReturnBalanceUS Stock MarketUS Small Cap Value
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
Annual returns for 2009 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.18%1.12%
Arithmetic Mean (annualized)15.11%14.30%
Geometric Mean (monthly)1.11%1.02%
Geometric Mean (annualized)14.19%12.89%
Volatility (monthly)3.70%4.59%
Volatility (annualized)12.80%15.89%
Downside Deviation (monthly)2.22%2.85%
Max. Drawdown-17.74%-23.97%
US Market Correlation1.000.94
Alpha (annualized)0.00%-3.09%
Sharpe Ratio1.060.81
Sortino Ratio1.751.29
Treynor Ratio (%)13.6111.05
Calmar Ratio1.010.33
Active Return0.00%-1.30%
Tracking Error0.00%5.80%
Information RatioN/A-0.22
Excess Kurtosis0.610.43
Historical Value-at-Risk (5%)-6.17%-8.03%
Analytical Value-at-Risk (5%)-4.90%-6.43%
Conditional Value-at-Risk (5%)-7.52%-9.21%
Upside Capture Ratio (%)100.00107.47
Downside Capture Ratio (%)100.00122.05
Safe Withdrawal Rate16.68%17.18%
Perpetual Withdrawal Rate10.38%9.40%
Positive Periods90 out of 125 (72.00%)84 out of 125 (67.20%)
Gain/Loss Ratio0.870.91
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-17.74%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
3May 2010Jun 20102 monthsOct 20104 months6 months-13.21%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
8Jan 2010Jan 20101 monthMar 20102 months3 months-3.50%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
2Sep 2018Dec 20184 months-18.94%
3May 2010Jun 20102 monthsDec 20106 months8 months-15.39%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
5Oct 2009Oct 20091 monthDec 20092 months3 months-6.32%
6Sep 2014Sep 20141 monthNov 20142 months3 months-5.65%
7Feb 2018Feb 20181 monthMay 20183 months4 months-4.78%
8Jul 2014Jul 20141 monthAug 20141 month2 months-4.71%
9Aug 2013Aug 20131 monthSep 20131 month2 months-4.20%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-3.31%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market14.19%12.80%33.35%-5.26%-17.74%1.061.751.00
US Small Cap Value12.89%15.89%36.41%-12.34%-23.97%0.811.290.94

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValuePortfolio 1Portfolio 2
US Stock Market1.000.941.000.94
US Small Cap Value0.941.000.941.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$29,838
US Small Cap Value$25,361

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
US Small Cap Value100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
1 year13.94%33.35%-5.26%12.78%36.41%-12.34%
3 years13.09%20.34%8.26%11.82%21.31%6.27%
5 years12.73%15.56%7.79%11.69%16.39%5.10%
7 years13.18%14.21%12.33%12.28%14.21%10.99%
10 years13.30%13.30%13.30%11.77%11.77%11.77%
Result statistics are based on annualized rolling returns over full calendar year periods