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 3
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Asset 4
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Asset 5
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Asset 6
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Portfolio Analysis Results (Jan 1987 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 40.00%
Total US Bond Market 60.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$142,230 8.38% 8.42%26.36%-19.97%-28.78% 0.630.920.97
   
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.
  • 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 backtested results assume no rebalancing per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketTotal US Bond Market
19874.43%1.97%$10,1972.61%1.54%
19884.42%11.36%$11,35517.32%7.35%
19894.65%19.78%$13,60228.12%13.64%
19906.11%1.97%$13,870-6.08%8.65%
19913.06%22.41%$16,97832.39%15.25%
19922.90%8.03%$18,3419.11%7.14%
19932.75%10.11%$20,19610.62%9.68%
19942.67%-1.52%$19,890-0.17%-2.66%
19952.54%26.36%$25,13335.79%18.18%
19963.32%12.26%$28,21520.96%3.58%
19971.70%21.04%$34,15130.99%9.44%
19981.61%17.13%$40,00223.26%8.58%
19992.68%14.30%$45,72223.81%-0.76%
20003.39%-3.19%$44,264-10.57%11.39%
20011.55%-3.46%$42,730-10.97%8.43%
20022.38%-8.27%$39,197-20.96%8.26%
20031.88%17.32%$45,98531.35%3.97%
20043.26%8.75%$50,01012.52%4.24%
20053.42%4.42%$52,2205.98%2.40%
20062.54%10.71%$57,81315.51%4.27%
20074.08%6.07%$61,3205.49%6.92%
20080.09%-19.97%$49,073-37.04%5.05%
20092.72%16.58%$57,21128.70%5.93%
20101.50%11.93%$64,03717.09%6.42%
20112.96%3.99%$66,5950.96%7.56%
20121.74%10.45%$73,55316.25%4.05%
20131.50%17.39%$86,34733.35%-2.26%
20140.76%9.94%$94,93112.43%5.76%
20150.73%0.29%$95,2100.29%0.30%
20162.07%8.93%$103,71512.53%2.50%
20172.11%15.11%$119,38621.05%3.45%
20181.91%-3.70%$114,969-5.26%-0.13%
20192.29%23.71%$142,23030.65%8.61%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.70%
Arithmetic Mean (annualized)8.76%
Geometric Mean (monthly)0.67%
Geometric Mean (annualized)8.38%
Volatility (monthly)2.43%
Volatility (annualized)8.42%
Downside Deviation (monthly)1.56%
Max. Drawdown-28.78%
US Market Correlation0.97
Beta(*)0.55
Alpha (annualized)2.40%
R294.39%
Sharpe Ratio0.63
Sortino Ratio0.92
Treynor Ratio (%)9.71
Calmar Ratio1.12
Active Return-1.96%
Tracking Error7.06%
Information Ratio-0.28
Skewness-0.82
Excess Kurtosis1.84
Historical Value-at-Risk (5%)-3.77%
Analytical Value-at-Risk (5%)-3.30%
Conditional Value-at-Risk (5%)-5.50%
Upside Capture Ratio (%)59.36
Downside Capture Ratio (%)52.06
Safe Withdrawal Rate6.87%
Perpetual Withdrawal Rate5.34%
Positive Periods271 out of 396 (68.43%)
Gain/Loss Ratio0.96
* 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 1
Black Monday PeriodSep 1987Nov 1987-13.08%
Asian CrisisJul 1997Jan 1998-2.52%
Russian Debt DefaultJul 1998Oct 1998-9.84%
Dotcom CrashMar 2000Oct 2002-21.89%
Subprime CrisisNov 2007Mar 2009-28.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-28.78%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-21.89%
3Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-13.08%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-9.88%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-9.84%
6May 2011Sep 20115 monthsJan 20124 months9 months-7.74%
7Aug 1990Sep 19902 monthsJan 19914 months6 months-6.41%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.13%
9Apr 2000May 20002 monthsAug 20003 months5 months-5.84%
10Jun 2015Sep 20154 monthsMay 20168 months1 year-5.70%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.34%14.95%35.79%-37.04%-50.89%0.530.751.00
Total US Bond Market5.86%3.81%18.18%-2.66%-5.86%0.711.130.06

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1
US Stock Market1.000.060.97
Total US Bond Market0.061.000.24

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$98,936
Total US Bond Market$33,294

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market91.27%
Total US Bond Market8.73%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.86%26.36%-19.97%
3 years8.46%19.75%-5.00%
5 years8.26%18.11%1.31%
7 years8.12%13.94%2.00%
10 years7.88%13.42%2.06%
15 years7.28%10.17%4.99%
Result statistics are based on annualized rolling returns over full calendar year periods

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YearUS Stock Market AllocationTotal US Bond Market Allocation
198740.00%60.00%
198840.25%59.75%
198942.41%57.59%
199045.36%54.64%
199141.78%58.22%
199245.18%54.82%
199345.64%54.36%
199445.85%54.15%
199546.47%53.53%
199649.94%50.06%
199753.81%46.19%
199858.24%41.76%
199961.28%38.72%
200066.39%33.61%
200161.32%38.68%
200256.56%43.44%
200348.73%51.27%
200454.56%45.44%
200556.45%43.55%
200657.29%42.71%
200759.78%40.22%
200859.45%40.55%
200946.77%53.23%
201051.64%48.36%
201154.02%45.98%
201252.44%47.56%
201355.20%44.80%
201462.70%37.30%
201564.12%35.88%
201664.12%35.88%
201766.24%33.76%
201869.66%30.34%
201968.53%31.47%
202072.37%27.63%