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
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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 (Jan 1994 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 35.00%
REIT 35.00%
Total US Bond Market 20.00%
Gold 5.00%
Cash 5.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock 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$71,511 8.19% 10.55%25.29%-24.59%-41.80% 0.580.820.84
Portfolio 2$10,000$85,092 8.94% 14.79%35.79%-37.04%-50.89% 0.500.701.00
   
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
  • 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 (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 annual 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketREITTotal US Bond MarketGoldCash
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19942.67%-3.45%-0.17%$9,655$9,983-0.17%-8.40%-2.66%-2.17%3.90%
19952.54%20.74%35.79%$11,658$13,55635.79%12.13%18.18%0.98%5.60%
19963.32%19.93%20.96%$13,981$16,39720.96%33.84%3.58%-4.59%5.20%
19971.70%18.50%30.99%$16,567$21,47930.99%18.77%9.44%-21.41%5.25%
19981.61%4.35%23.26%$17,287$26,47623.26%-16.32%8.58%-0.83%4.85%
19992.68%7.05%23.81%$18,505$32,78123.81%-4.04%-0.76%0.85%4.69%
20003.39%7.82%-10.57%$19,953$29,315-10.57%26.35%11.39%-5.44%5.88%
20011.55%2.40%-10.97%$20,431$26,100-10.97%12.35%8.43%0.75%3.82%
20022.38%-3.01%-20.96%$19,816$20,629-20.96%3.75%8.26%25.57%1.63%
20031.88%25.29%31.35%$24,829$27,09731.35%35.66%3.97%19.89%1.02%
20043.26%16.29%12.52%$28,872$30,48912.52%30.76%4.24%4.65%1.19%
20053.42%7.77%5.98%$31,116$32,3125.98%11.89%2.40%17.76%2.98%
20062.54%19.93%15.51%$37,316$37,32415.51%35.07%4.27%22.55%4.81%
20074.08%-0.70%5.49%$37,055$39,3735.49%-16.46%6.92%30.45%4.67%
20080.09%-24.59%-37.04%$27,942$24,790-37.04%-37.05%5.05%4.92%1.59%
20092.72%22.79%28.70%$34,309$31,90528.70%29.58%5.93%24.03%0.09%
20101.50%18.64%17.09%$40,705$37,35817.09%28.30%6.42%29.27%0.10%
20112.96%5.29%0.96%$42,859$37,7180.96%8.47%7.56%9.57%0.04%
20121.74%12.96%16.25%$48,416$43,84816.25%17.53%4.05%6.60%0.06%
20131.50%10.61%33.35%$53,553$58,47133.35%2.31%-2.26%-28.33%0.00%
20140.76%15.94%12.43%$62,089$65,73912.43%30.13%5.76%-2.19%0.00%
20150.73%0.41%0.29%$62,341$65,9300.29%2.22%0.30%-10.67%0.01%
20162.07%8.22%12.53%$67,463$74,19412.53%8.34%2.50%8.03%0.21%
20172.11%10.43%21.05%$74,498$89,81321.05%4.83%3.45%12.81%0.79%
20181.91%-4.01%-5.26%$71,511$85,092-5.26%-6.11%-0.13%-1.94%1.80%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.71%0.81%
Arithmetic Mean (annualized)8.80%10.15%
Geometric Mean (monthly)0.66%0.72%
Geometric Mean (annualized)8.19%8.94%
Volatility (monthly)3.05%4.27%
Volatility (annualized)10.55%14.79%
Downside Deviation (monthly)2.07%2.92%
Max. Drawdown-41.80%-50.89%
US Market Correlation0.841.00
Beta(*)0.601.00
Alpha (annualized)2.66%0.00%
R270.13%100.00%
Sharpe Ratio0.580.50
Sortino Ratio0.820.70
Treynor Ratio (%)10.217.34
Calmar Ratio0.600.62
Active Return-0.76%0.00%
Tracking Error8.29%0.00%
Information Ratio-0.09N/A
Skewness-1.16-0.77
Excess Kurtosis6.171.45
Historical Value-at-Risk (5%)-4.03%-7.74%
Analytical Value-at-Risk (5%)-4.31%-6.22%
Conditional Value-at-Risk (5%)-7.10%-9.92%
Upside Capture Ratio (%)62.83100.00
Downside Capture Ratio (%)54.09100.00
Safe Withdrawal Rate8.20%9.19%
Perpetual Withdrawal Rate5.53%6.19%
Positive Periods201 out of 300 (67.00%)196 out of 300 (65.33%)
Gain/Loss Ratio0.920.85
* 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 PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-2.25%-3.72%
Russian Debt DefaultJul 1998Oct 1998-11.62%-17.57%
Dotcom CrashMar 2000Oct 2002-9.21%-44.11%
Subprime CrisisNov 2007Mar 2009-41.80%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-41.80%
2Apr 1998Aug 19985 monthsApr 19998 months1 year 1 month-11.86%
3Jun 2011Sep 20114 monthsJan 20124 months8 months-11.29%
4Apr 2002Oct 20027 monthsMay 20037 months1 year 2 months-9.21%
5Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-8.20%
6Sep 2018Dec 20184 months-7.82%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-7.31%
8Apr 2004Apr 20041 monthSep 20045 months6 months-7.01%
9Apr 2015Aug 20155 monthsMar 20167 months1 year-6.09%
10Feb 2001Mar 20012 monthsJun 20013 months5 months-5.65%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Oct 2018Dec 20183 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
8Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
10Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.94%14.79%35.79%-37.04%-50.89%0.500.701.00
REIT8.87%19.17%35.66%-37.05%-68.28%0.420.610.57
Total US Bond Market4.90%3.56%18.18%-2.66%-5.01%0.711.14-0.00
Gold4.60%15.68%30.45%-28.33%-42.91%0.210.340.01
Cash2.39%0.62%5.88%0.00%0.00%-0.39-0.510.01

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketREITTotal US Bond MarketGoldCashPortfolio 1Portfolio 2
US Stock Market-0.57-0.000.010.010.841.00
REIT0.57-0.180.11-0.020.910.57
Total US Bond Market-0.000.18-0.260.140.21-0.00
Gold0.010.110.26--0.050.180.01
Cash0.01-0.020.14-0.05-0.010.01

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$26,698$75,092
REIT$25,289
Total US Bond Market$6,589
Gold$2,266
Cash$669

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market40.39%100.00%
REIT56.96%
Total US Bond Market1.37%
Gold1.28%
Cash0.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.78%25.29%-24.59%10.53%35.79%-37.04%
3 years8.86%19.72%-3.52%9.70%29.10%-14.31%
5 years8.58%13.90%2.39%8.79%26.84%-1.76%
7 years8.37%12.15%4.57%7.62%16.61%-0.73%
10 years8.26%11.58%4.92%6.97%13.13%-0.66%
15 years8.07%9.23%7.09%6.64%10.30%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods