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 
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Asset 5
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Asset 6
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Portfolio Analysis Results (Jan 1972 - Aug 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Small Cap Value 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,061,493 10.28% 15.39%37.82%-37.04%-50.89% 0.420.611.00
Portfolio 2$10,000$4,677,030 13.77% 17.83%54.78%-32.05%-56.13% 0.560.830.89
   
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 2019 are based on full calendar months from January to August
  • 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 MarketUS Small Cap Value
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19723.41%17.62%11.15%$11,762$11,11517.62%11.15%
19738.71%-18.18%-24.12%$9,623$8,434-18.18%-24.12%
197412.34%-27.81%-21.09%$6,947$6,656-27.81%-21.09%
19756.94%37.82%53.94%$9,574$10,24637.82%53.94%
19764.86%26.47%54.78%$12,108$15,85926.47%54.78%
19776.70%-3.36%15.88%$11,701$18,377-3.36%15.88%
19789.02%8.45%19.25%$12,691$21,9148.45%19.25%
197913.29%24.25%37.80%$15,768$30,19924.25%37.80%
198012.52%33.15%25.77%$20,995$37,98133.15%25.77%
19818.92%-4.15%15.69%$20,124$43,940-4.15%15.69%
19823.83%20.50%36.87%$24,249$60,14120.50%36.87%
19833.79%22.66%42.61%$29,743$85,76622.66%42.61%
19843.95%2.19%5.69%$30,394$90,6462.19%5.69%
19853.80%31.27%37.46%$39,898$124,60231.27%37.46%
19861.10%14.57%13.99%$45,713$142,03214.57%13.99%
19874.43%2.61%-3.51%$46,908$137,0502.61%-3.51%
19884.42%17.32%29.00%$55,031$176,78817.32%29.00%
19894.65%28.12%19.21%$70,505$210,74128.12%19.21%
19906.11%-6.08%-19.05%$66,220$170,604-6.08%-19.05%
19913.06%32.39%42.96%$87,670$243,89332.39%42.96%
19922.90%9.11%28.23%$95,654$312,7439.11%28.23%
19932.75%10.62%21.10%$105,817$378,72910.62%21.10%
19942.67%-0.17%-0.07%$105,638$378,468-0.17%-0.07%
19952.54%35.79%30.32%$143,441$493,21635.79%30.32%
19963.32%20.96%21.41%$173,510$598,80920.96%21.41%
19971.70%30.99%35.44%$227,288$811,01530.99%35.44%
19981.61%23.26%-2.68%$280,165$789,31823.26%-2.68%
19992.68%23.81%3.35%$346,880$815,75723.81%3.35%
20003.39%-10.57%21.88%$310,199$994,230-10.57%21.88%
20011.55%-10.97%13.70%$276,183$1,130,412-10.97%13.70%
20022.38%-20.96%-14.20%$218,293$969,916-20.96%-14.20%
20031.88%31.35%37.19%$286,736$1,330,63731.35%37.19%
20043.26%12.52%23.55%$322,624$1,644,02612.52%23.55%
20053.42%5.98%6.07%$341,918$1,743,8545.98%6.07%
20062.54%15.51%19.24%$394,954$2,079,43815.51%19.24%
20074.08%5.49%-7.07%$416,635$1,932,3715.49%-7.07%
20080.09%-37.04%-32.05%$262,323$1,312,955-37.04%-32.05%
20092.72%28.70%30.34%$337,604$1,711,24828.70%30.34%
20101.50%17.09%24.82%$395,313$2,135,94617.09%24.82%
20112.96%0.96%-4.16%$399,116$2,047,0230.96%-4.16%
20121.74%16.25%18.56%$463,985$2,427,05216.25%18.56%
20131.50%33.35%36.41%$618,722$3,310,67133.35%36.41%
20140.76%12.43%10.39%$695,625$3,654,65712.43%10.39%
20150.73%0.29%-4.77%$697,654$3,480,1710.29%-4.77%
20162.07%12.53%24.65%$785,093$4,337,97112.53%24.65%
20172.11%21.05%11.67%$950,367$4,844,25321.05%11.67%
20181.91%-5.26%-12.34%$900,414$4,246,503-5.26%-12.34%
20192.12%17.89%10.14%$1,061,493$4,677,03017.89%10.14%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.92%1.21%
Arithmetic Mean (annualized)11.60%15.59%
Geometric Mean (monthly)0.82%1.08%
Geometric Mean (annualized)10.28%13.77%
Volatility (monthly)4.44%5.15%
Volatility (annualized)15.39%17.83%
Downside Deviation (monthly)2.89%3.33%
Max. Drawdown-50.89%-56.13%
US Market Correlation1.000.89
Beta(*)1.001.03
Alpha (annualized)0.00%3.25%
R2100.00%78.66%
Sharpe Ratio0.420.56
Sortino Ratio0.610.83
Treynor Ratio (%)6.499.77
Calmar Ratio0.850.31
Active Return0.00%3.48%
Tracking Error0.00%8.25%
Information RatioN/A0.42
Skewness-0.54-0.57
Excess Kurtosis2.173.64
Historical Value-at-Risk (5%)-7.03%-7.17%
Analytical Value-at-Risk (5%)-6.39%-7.25%
Conditional Value-at-Risk (5%)-9.96%-11.82%
Upside Capture Ratio (%)100.00111.22
Downside Capture Ratio (%)100.0096.56
Safe Withdrawal Rate4.34%7.73%
Perpetual Withdrawal Rate5.85%8.77%
Positive Periods357 out of 572 (62.41%)371 out of 572 (64.86%)
Gain/Loss Ratio1.031.02
* 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
Oil CrisisOct 1973Mar 1974-12.61%-15.17%
Black Monday PeriodSep 1987Nov 1987-29.34%-29.46%
Asian CrisisJul 1997Jan 1998-3.72%-3.14%
Russian Debt DefaultJul 1998Oct 1998-17.57%-23.66%
Dotcom CrashMar 2000Oct 2002-44.11%-28.62%
Subprime CrisisNov 2007Mar 2009-50.89%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
3Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
8Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
9Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-11.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-56.13%
2Dec 1972Dec 19742 years 1 monthJan 19761 year 1 month3 years 2 months-41.10%
3May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
4Sep 1989Oct 19901 year 2 monthsMay 19917 months1 year 9 months-30.82%
5Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-29.46%
6May 1998Aug 19984 monthsAug 20002 years2 years 4 months-27.15%
7May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
8Sep 2018Dec 20184 months-18.94%
9Feb 1980Mar 19802 monthsJul 19804 months6 months-18.53%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-18.52%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.28%15.39%37.82%-37.04%-50.89%0.420.611.00
US Small Cap Value13.77%17.83%54.78%-32.05%-56.13%0.560.830.89

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValuePortfolio 1Portfolio 2
US Stock Market-0.891.000.89
US Small Cap Value0.89-0.891.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$1,051,493
US Small Cap Value$4,667,030

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
US Small Cap Value100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.55%37.82%-37.04%15.64%54.78%-32.05%
3 years10.78%29.10%-14.31%15.10%40.29%-12.69%
5 years11.11%26.84%-1.76%15.55%35.32%-0.31%
7 years11.08%20.21%-0.73%15.46%30.95%2.16%
10 years10.99%17.67%-0.66%15.23%29.84%5.22%
15 years11.09%17.62%4.75%15.04%25.90%7.58%
Result statistics are based on annualized rolling returns over full calendar year periods