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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Asset 5
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Asset 6
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Asset 7
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Asset 8
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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%
(-6.24%)
0.600.890.97
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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 2015 are based on monthly returns from May to December
  • The annual results for 2019 are based on monthly returns 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 (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 (2.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
  • 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
2015-0.03%-5.41%$56,217$37,804-1.86%-12.53%3.81%-0.94%
20162.07%8.65%$121,294$57,21212.53%4.65%8.34%2.50%
20172.11%20.95%$210,175$58,43121.05%27.40%4.83%3.45%
20181.91%-8.42%$247,413$59,858-5.26%-14.44%-6.11%-0.13%
20191.72%15.37%$306,303$20,14818.53%13.26%17.13%2.96%
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
Beta(*)0.85
Alpha (annualized)-1.92%
R293.59%
Sharpe Ratio0.60
Sortino Ratio0.89
Treynor Ratio (%)7.53
Calmar Ratio0.89
Active Return-3.64%
Tracking Error3.25%
Information Ratio-1.12
Skewness-0.38
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%0.821.241.00
Global ex-US Stock Market3.10%12.02%27.40%-14.44%-19.29%0.230.340.83
REIT6.71%14.35%17.13%-6.11%-14.98%0.460.750.65
Total US Bond Market1.95%2.90%3.45%-0.94%-3.67%0.350.51-0.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketREITTotal US Bond MarketPortfolio 1
US Stock Market1.000.830.65-0.050.97
Global ex-US Stock Market0.831.000.520.140.93
REIT0.650.521.000.430.69
Total US Bond Market-0.050.140.431.000.10

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$34,867
Global ex-US Stock Market$13,324
REIT$3,820
Total US Bond Market$838

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market52.14%
Global ex-US Stock Market39.84%
REIT7.87%
Total US Bond Market0.15%

Annual Asset Returns

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
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%