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 2
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Asset 3
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Asset 4
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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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Asset 9
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Asset 10
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Portfolio Analysis Results (Aug 2018 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Short Term Treasury 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Long Term Treasury 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,518 3.63% 1.32%3.59%1.53%-0.22% 1.132.61-0.39
Portfolio 2$10,000$11,721 11.86% 13.56%14.13%2.70%-6.95% 0.741.80-0.38
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 10.35%3.59%3.63%
Portfolio 2-4.44%14.13%11.86%
Trailing annualized 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 2018 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
YearInflationPortfolio 1Portfolio 2Short Term TreasuryLong Term Treasury
ReturnBalanceReturnBalance
2018-0.31%1.53%$10,1532.70%$10,2701.53%2.70%
20192.29%3.59%$10,51814.13%$11,7213.59%14.13%
Annual return for 2018 is from 08/01/2018 to 12/31/2018
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.30%1.01%
Arithmetic Mean (annualized)3.64%12.79%
Geometric Mean (monthly)0.30%0.94%
Geometric Mean (annualized)3.63%11.86%
Volatility (monthly)0.38%3.91%
Volatility (annualized)1.32%13.56%
Downside Deviation (monthly)0.08%1.49%
Max. Drawdown-0.22%-6.95%
US Market Correlation-0.39-0.38
Beta(*)-0.03-0.31
Alpha (annualized)3.95%15.74%
R215.53%14.28%
Sharpe Ratio1.130.74
Sortino Ratio2.611.80
Treynor Ratio (%)-46.69-32.44
Active Return-7.44%0.79%
Tracking Error17.23%25.15%
Information Ratio-0.430.03
Skewness0.451.18
Excess Kurtosis-0.970.82
Historical Value-at-Risk (5%)-0.21%-2.85%
Analytical Value-at-Risk (5%)-0.33%-5.43%
Conditional Value-at-Risk (5%)-0.22%-3.00%
Upside Capture Ratio (%)4.84-6.66
Downside Capture Ratio (%)-11.69-85.54
Safe Withdrawal Rate51.25%54.32%
Perpetual Withdrawal Rate1.54%6.72%
Positive Periods12 out of 17 (70.59%)9 out of 17 (52.94%)
Gain/Loss Ratio4.121.85
* 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
1Sep 2019Sep 20191 monthOct 20191 month2 months-0.22%
2Sep 2018Sep 20181 monthNov 20182 months3 months-0.20%
3Jul 2019Jul 20191 monthAug 20191 month2 months-0.09%
4Nov 2019Nov 20191 monthDec 20191 month2 months-0.05%
5Feb 2019Feb 20191 monthMar 20191 month2 months-0.01%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2019Dec 20194 months-6.95%
2Sep 2018Oct 20182 monthsDec 20182 months4 months-5.48%
3Apr 2019Apr 20191 monthMay 20191 month2 months-1.88%
4Feb 2019Feb 20191 monthMar 20191 month2 months-1.31%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Short Term Treasury3.63%1.32%3.59%1.53%-0.22%1.132.61-0.39
Long Term Treasury11.86%13.56%14.13%2.70%-6.95%0.741.80-0.38

Monthly Correlations

Correlations for the portfolio assets
NameShort Term TreasuryLong Term TreasuryPortfolio 1Portfolio 2
Short Term Treasury1.000.901.000.90
Long Term Treasury0.901.000.901.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Short Term Treasury$518
Long Term Treasury$1,721

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Short Term Treasury100.00%
Long Term Treasury100.00%

Annual Asset Returns