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 2010 - Aug 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Total US Bond Market 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,271 3.59% 3.08%8.61%-2.26%-3.76% 0.981.77-0.13

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 11.21%6.84%6.21%4.98%4.23%3.47%3.59%
Trailing returns are for full months ending in August 2020 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 2010 are based on monthly returns from August to December
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceTotal US Bond Market
Annual returns for 2010 and 2020 are based on partial years
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.30%
Arithmetic Mean (annualized)3.64%
Geometric Mean (monthly)0.29%
Geometric Mean (annualized)3.59%
Volatility (monthly)0.89%
Volatility (annualized)3.08%
Downside Deviation (monthly)0.47%
Max. Drawdown-3.76%
US Market Correlation-0.13
Alpha (annualized)4.00%
Sharpe Ratio0.98
Sortino Ratio1.77
Treynor Ratio (%)-100.99
Calmar Ratio1.95
Active Return-10.53%
Tracking Error14.72%
Information Ratio-0.72
Excess Kurtosis0.55
Historical Value-at-Risk (5%)-1.08%
Analytical Value-at-Risk (5%)-1.16%
Conditional Value-at-Risk (5%)-1.56%
Upside Capture Ratio (%)6.06
Downside Capture Ratio (%)-15.28
Safe Withdrawal Rate10.62%
Perpetual Withdrawal Rate1.78%
Positive Periods78 out of 121 (64.46%)
Gain/Loss Ratio1.34
* 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 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
3Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
4Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
5Nov 2010Dec 20102 monthsMay 20115 months7 months-1.71%
6Aug 2020Aug 20201 month-1.02%
7Dec 2012Jan 20132 monthsApr 20133 months5 months-0.91%
8Sep 2014Sep 20141 monthOct 20141 month2 months-0.72%
9Feb 2012Mar 20122 monthsApr 20121 month3 months-0.63%
10Sep 2019Sep 20191 monthJan 20204 months5 months-0.60%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Total US Bond Market3.59%3.08%8.61%-2.26%-3.76%0.981.77-0.13

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year3.31%8.61%-2.26%
3 years2.49%3.92%1.21%
5 years2.44%3.02%1.91%
7 years2.49%3.00%1.92%
Result statistics are based on annualized rolling returns over full calendar year periods