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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Portfolio Analysis Results (Jan 2011 - Oct 2021)

Portfolio Allocations

100% stocks
Asset Class Allocation
US Stock Market 60.00%
Global ex-US Stock Market 40.00%
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60/40 stocks/bonds
Asset Class Allocation
US Stock Market 36.00%
Global ex-US Stock Market 24.00%
Global Bonds (Unhedged) 40.00%
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40/60 stocks/bonds
Asset Class Allocation
US Stock Market 24.00%
Global ex-US Stock Market 16.00%
Global Bonds (Unhedged) 60.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
100% stocks$10,000$31,512 11.18% 13.76%26.86%-8.55%-22.25% 0.801.240.98
60/40 stocks/bonds$10,000$23,125 8.05% 9.65%19.04%-7.13%-16.69% 0.791.220.95
40/60 stocks/bonds$10,000$19,649 6.43% 7.76%15.00%-5.88%-14.11% 0.771.190.89
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
100% stocks3.40%17.70%38.94%18.05%15.43%12.57%11.18%18.16%15.08%
60/40 stocks/bonds1.18%9.19%23.29%12.56%10.39%8.54%8.05%13.08%10.93%
40/60 stocks/bonds0.18%5.10%15.86%9.86%7.91%6.53%6.43%10.64%8.93%
Trailing return and volatility are as of last full calendar month ending October 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 October
  • 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 bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflation100% stocks60/40 stocks/bonds40/60 stocks/bondsUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)
ReturnBalanceReturnBalanceReturnBalance
20112.96%-5.25%$9,4750.80%$10,0803.72%$10,3720.96%-14.56%9.20%
20121.74%17.53%$11,13613.31%$11,42211.40%$11,55516.25%18.14%7.42%
20131.50%25.63%$13,99113.46%$12,9607.26%$12,39433.35%15.04%-5.04%
20140.76%5.99%$14,8294.42%$13,5333.73%$12,85712.43%-4.24%2.37%
20150.73%-1.58%$14,595-2.26%$13,227-2.68%$12,5110.29%-4.38%-3.57%
20162.07%9.47%$15,9787.58%$14,2296.53%$13,32912.53%4.65%4.25%
20172.11%23.41%$19,71817.91%$16,77715.00%$15,32721.05%27.40%9.21%
20181.91%-8.55%$18,031-7.13%$15,580-5.88%$14,426-5.26%-14.44%-3.82%
20192.29%26.86%$22,87319.04%$18,54614.73%$16,55130.65%21.43%6.67%
20201.36%17.05%$26,77214.20%$21,18012.96%$18,69620.87%11.16%9.77%
20216.19%17.70%$31,5129.19%$23,1255.10%$19,64922.81%9.16%-3.24%
Annual return for 2021 is from 01/01/2021 to 10/31/2021
Portfolio return and risk metrics
Metric100% stocks60/40 stocks/bonds40/60 stocks/bonds
Arithmetic Mean (monthly)0.97%0.69%0.55%
Arithmetic Mean (annualized)12.22%8.55%6.75%
Geometric Mean (monthly)0.89%0.65%0.52%
Geometric Mean (annualized)11.18%8.05%6.43%
Standard Deviation (monthly)3.97%2.78%2.24%
Standard Deviation (annualized)13.76%9.65%7.76%
Downside Deviation (monthly)2.55%1.78%1.43%
Max. Drawdown-22.25%-16.69%-14.11%
US Market Correlation0.980.950.89
Beta(*)0.970.660.50
Alpha (annualized)-2.71%-1.47%-0.76%
R295.83%89.60%78.61%
Sharpe Ratio0.800.790.77
Sortino Ratio1.241.221.19
Treynor Ratio (%)11.3911.6912.12
Calmar Ratio0.810.750.70
Active Return-3.52%-6.65%-8.26%
Tracking Error2.84%5.69%7.87%
Information Ratio-1.24-1.17-1.05
Skewness-0.52-0.65-0.77
Excess Kurtosis2.213.024.03
Historical Value-at-Risk (5%)-6.77%-3.95%-2.89%
Analytical Value-at-Risk (5%)-5.57%-3.89%-3.14%
Conditional Value-at-Risk (5%)-8.86%-6.13%-4.78%
Upside Capture Ratio (%)90.0459.6944.49
Downside Capture Ratio (%)106.3771.1451.73
Safe Withdrawal Rate14.08%12.92%12.27%
Perpetual Withdrawal Rate8.74%5.87%4.33%
Positive Periods89 out of 130 (68.46%)87 out of 130 (66.92%)84 out of 130 (64.62%)
Gain/Loss Ratio0.880.961.06
* 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 PeriodStartEnd100% stocks60/40 stocks/bonds40/60 stocks/bonds
COVID-19 StartJan 2020Mar 2020-22.25%-16.69%-14.11%

Drawdowns for 100% stocks

Drawdowns for 100% stocks (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-22.25%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-20.37%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-13.25%
4Jun 2015Feb 20169 monthsSep 20167 months1 year 4 months-12.75%
5May 2019May 20191 monthJun 20191 month2 months-6.09%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-5.09%
7Sep 2021Sep 20211 monthOct 20211 month2 months-4.11%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.75%
9Sep 2014Sep 20141 monthFeb 20155 months6 months-3.22%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.36%
Worst 10 drawdowns included above

Drawdowns for 60/40 stocks/bonds

Drawdowns for 60/40 stocks/bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-16.69%
2May 2011Sep 20115 monthsFeb 20125 months10 months-11.47%
3Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-10.84%
4May 2015Jan 20169 monthsJul 20166 months1 year 3 months-7.94%
5May 2012May 20121 monthAug 20123 months4 months-5.55%
6May 2013Jun 20132 monthsJul 20131 month3 months-3.35%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-3.14%
8Sep 2014Sep 20141 monthApr 20157 months8 months-3.12%
9Sep 2021Sep 20211 month-2.86%
10Oct 2016Nov 20162 monthsJan 20172 months4 months-2.45%
Worst 10 drawdowns included above

Drawdowns for 40/60 stocks/bonds

Drawdowns for 40/60 stocks/bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-14.11%
2Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-8.94%
3Sep 2014Jan 20161 year 5 monthsJun 20165 months1 year 10 months-7.35%
4May 2011Sep 20115 monthsJan 20124 months9 months-6.91%
5May 2012May 20121 monthAug 20123 months4 months-4.17%
6May 2013Jun 20132 monthsSep 20133 months5 months-4.01%
7Oct 2016Nov 20162 monthsFeb 20173 months5 months-3.69%
8Sep 2021Sep 20211 month-2.18%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-2.07%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.04%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market14.70%13.89%33.35%-5.26%-20.89%1.021.661.00
Global ex-US Stock Market5.51%14.74%27.40%-14.56%-25.55%0.400.580.87
Global Bonds (Unhedged)2.91%5.47%9.77%-5.04%-8.27%0.450.660.42

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market4.83%22.81%43.91%21.54%18.81%15.96%
Global ex-US Stock Market0.81%9.16%30.45%12.39%9.90%7.06%
Global Bonds (Unhedged)-2.05%-3.24%1.84%4.14%2.69%2.28%
Trailing returns as of last calendar month ending October 2021

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market1.000.870.420.980.950.89
Global ex-US Stock Market0.871.000.580.950.960.93
Global Bonds (Unhedged)0.420.581.000.510.660.78

Portfolio Return Decomposition

Portfolio return decomposition
Name100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market$16,879$9,018$5,754
Global ex-US Stock Market$4,633$2,464$1,513
Global Bonds (Unhedged)$1,643$2,382
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
Name100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market59.25%49.53%38.34%
Global ex-US Stock Market40.75%35.44%28.49%
Global Bonds (Unhedged)15.03%33.17%
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 Period100% stocks60/40 stocks/bonds40/60 stocks/bonds
AverageHighLowAverageHighLowAverageHighLow
1 year11.91%58.79%-12.28%8.37%40.67%-8.75%6.63%32.80%-7.37%
3 years10.17%18.84%1.41%7.08%12.56%1.07%5.49%9.86%0.73%
5 years9.81%15.43%3.16%6.89%10.86%2.46%5.38%8.79%1.95%
7 years9.92%13.26%5.81%6.91%8.82%3.83%5.36%6.65%2.73%
10 years11.19%13.18%10.11%8.04%8.99%7.57%6.42%6.91%6.15%

100% stocks Rebalancing Events

Rebalancing dates for 100% stocks
#DateAllocation
105/31/2012US Stock Market: 65.62%
Global ex-US Stock Market: 34.38%
212/31/2014US Stock Market: 65.11%
Global ex-US Stock Market: 34.89%
311/30/2018US Stock Market: 65.12%
Global ex-US Stock Market: 34.88%
410/31/2021US Stock Market: 65.30%
Global ex-US Stock Market: 34.70%

60/40 stocks/bonds Rebalancing Events

Rebalancing dates for 60/40 stocks/bonds
#DateAllocation
109/30/2011US Stock Market: 34.10%
Global ex-US Stock Market: 20.68%
Global Bonds (Unhedged): 45.22%
202/28/2013US Stock Market: 40.75%
Global ex-US Stock Market: 24.53%
Global Bonds (Unhedged): 34.72%
306/30/2014US Stock Market: 40.77%
Global ex-US Stock Market: 24.29%
Global Bonds (Unhedged): 34.93%
411/30/2016US Stock Market: 41.07%
Global ex-US Stock Market: 20.87%
Global Bonds (Unhedged): 38.06%
510/31/2019US Stock Market: 40.75%
Global ex-US Stock Market: 24.32%
Global Bonds (Unhedged): 34.93%
604/30/2021US Stock Market: 41.18%
Global ex-US Stock Market: 23.82%
Global Bonds (Unhedged): 35.00%

40/60 stocks/bonds Rebalancing Events

Rebalancing dates for 40/60 stocks/bonds
#DateAllocation
109/30/2011US Stock Market: 21.78%
Global ex-US Stock Market: 13.22%
Global Bonds (Unhedged): 65.00%
201/31/2013US Stock Market: 27.94%
Global ex-US Stock Market: 17.24%
Global Bonds (Unhedged): 54.82%
312/31/2013US Stock Market: 28.68%
Global ex-US Stock Market: 16.84%
Global Bonds (Unhedged): 54.48%
410/31/2017US Stock Market: 29.28%
Global ex-US Stock Market: 15.70%
Global Bonds (Unhedged): 55.02%
508/31/2020US Stock Market: 29.27%
Global ex-US Stock Market: 14.36%
Global Bonds (Unhedged): 56.37%
608/31/2021US Stock Market: 27.97%
Global ex-US Stock Market: 17.66%
Global Bonds (Unhedged): 54.37%