Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio 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 (May 2015 - Apr 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 47.50%
Global ex-US Stock Market 38.00%
REIT 8.50%
Total US Bond Market 6.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$20,000$306,303 97.82% 7.05%9.15%10.72%20.95%-8.42%-12.19%
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2015 are based on full calendar months from May to December
  • The annual results for 2019 are based on full calendar months from January to April
  • 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 (1-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 include bands based (2.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Inflation adjusted monthly contribution of $4,700 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentUS Stock MarketGlobal ex-US Stock MarketREITTotal US Bond Market
Annual returns for 2015 and 2019 are based on partial years
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.62%
Arithmetic Mean (annualized)7.65%
Geometric Mean (monthly)0.57%
Geometric Mean (annualized)7.05%
Volatility (monthly)3.09%
Volatility (annualized)10.72%
Downside Deviation (monthly)2.04%
Max. Drawdown-12.19%
US Market Correlation0.97
Alpha (annualized)-1.92%
Sharpe Ratio0.61
Sortino Ratio0.90
Treynor Ratio (%)7.62
Calmar Ratio0.89
Active Return-3.64%
Tracking Error3.25%
Information Ratio-1.12
Excess Kurtosis1.34
Historical Value-at-Risk (5%)-6.54%
Analytical Value-at-Risk (5%)-4.47%
Conditional Value-at-Risk (5%)-6.91%
Upside Capture Ratio (%)78.57
Downside Capture Ratio (%)92.78
Safe Withdrawal Rate26.17%
Perpetual Withdrawal Rate4.77%
Positive Periods34 out of 48 (70.83%)
Gain/Loss Ratio0.71
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-12.19%
2Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-11.17%
3Oct 2016Oct 20161 monthDec 20162 months3 months-2.27%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.69%12.16%21.05%-5.26%-14.28%0.831.251.00
Global ex-US Stock Market3.10%12.02%27.40%-14.44%-19.29%0.240.350.83
Total US Bond Market1.95%2.90%3.45%-0.94%-3.67%0.370.56-0.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketREITTotal US Bond MarketPortfolio 1
US Stock Market-0.830.65-0.050.97
Global ex-US Stock Market0.83-0.520.140.93
Total US Bond Market-

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$34,867
Global ex-US Stock Market$13,324
Total US Bond Market$838

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market52.14%
Global ex-US Stock Market39.84%
Total US Bond Market0.15%

Annual Asset Returns

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
109/30/2015US Stock Market: 48.50%
Global ex-US Stock Market: 35.78%
REIT: 9.12%
Total US Bond Market: 6.61%
211/30/2016US Stock Market: 50.08%
Global ex-US Stock Market: 35.98%
REIT: 8.46%
Total US Bond Market: 5.48%
308/31/2017US Stock Market: 46.57%
Global ex-US Stock Market: 40.06%
REIT: 7.97%
Total US Bond Market: 5.39%
405/31/2018US Stock Market: 49.53%
Global ex-US Stock Market: 37.26%
REIT: 7.71%
Total US Bond Market: 5.50%
510/31/2018US Stock Market: 49.24%
Global ex-US Stock Market: 35.61%
REIT: 8.96%
Total US Bond Market: 6.19%