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
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 1995 - Nov 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 35.00%
US Mid Cap 15.00%
US Small Cap 15.00%
Global ex-US Stock Market 12.50%
International ex-US Small Cap 12.50%
REIT 5.00%
Emerging Markets 5.00%
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Portfolio 2
Asset Class Allocation
US Large Cap 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$94,695 9.44% 14.96%39.96%-39.86%-54.75% 0.530.750.97
Portfolio 2$10,000$107,822 10.01% 14.57%37.45%-37.02%-50.97% 0.570.830.99
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 2019 are based on full calendar months from January to November
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Large CapUS Mid CapUS Small CapGlobal ex-US Stock MarketInternational ex-US Small CapREITEmerging Markets
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.85%0.89%
Arithmetic Mean (annualized)10.68%11.19%
Geometric Mean (monthly)0.75%0.80%
Geometric Mean (annualized)9.44%10.01%
Volatility (monthly)4.32%4.21%
Volatility (annualized)14.96%14.57%
Downside Deviation (monthly)2.96%2.82%
Max. Drawdown-54.75%-50.97%
US Market Correlation0.970.99
Alpha (annualized)-0.18%0.31%
Sharpe Ratio0.530.57
Sortino Ratio0.750.83
Treynor Ratio (%)8.178.66
Calmar Ratio0.801.09
Active Return-0.59%-0.02%
Tracking Error3.93%2.26%
Information Ratio-0.15-0.01
Excess Kurtosis2.601.27
Historical Value-at-Risk (5%)-7.73%-7.13%
Analytical Value-at-Risk (5%)-6.25%-6.03%
Conditional Value-at-Risk (5%)-10.53%-9.69%
Upside Capture Ratio (%)95.1896.11
Downside Capture Ratio (%)96.7595.07
Safe Withdrawal Rate9.58%10.62%
Perpetual Withdrawal Rate6.86%7.36%
Positive Periods194 out of 299 (64.88%)200 out of 299 (66.89%)
Gain/Loss Ratio0.910.84
* 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 1998-5.07%-5.61%
Russian Debt DefaultJul 1998Oct 1998-17.40%-15.38%
Dotcom CrashMar 2000Oct 2002-30.78%-44.82%
Subprime CrisisNov 2007Mar 2009-54.75%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-54.75%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-30.78%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.05%
4May 1998Aug 19984 monthsMar 19997 months11 months-19.09%
5Sep 2018Dec 20184 monthsApr 20194 months8 months-14.23%
6Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-12.05%
7Apr 2000May 20002 monthsAug 20003 months5 months-5.99%
8May 2019May 20191 monthJul 20192 months3 months-5.94%
9Jun 1996Jul 19962 monthsSep 19962 months4 months-5.77%
10Oct 1997Oct 19971 monthFeb 19984 months5 months-5.07%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap10.01%14.57%37.45%-37.02%-50.97%0.570.830.99
US Mid Cap11.50%16.32%40.22%-41.82%-54.14%0.610.900.95
US Small Cap10.19%18.76%45.63%-36.07%-53.95%0.490.710.90
Global ex-US Stock Market4.77%16.57%40.34%-44.10%-58.50%0.230.320.84
International ex-US Small Cap6.84%16.46%66.48%-41.68%-57.69%0.350.510.70
Emerging Markets5.95%22.55%75.98%-52.81%-62.70%0.270.380.77

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapUS Mid CapUS Small CapGlobal ex-US Stock MarketInternational ex-US Small CapREITEmerging MarketsPortfolio 1Portfolio 2
US Large Cap-0.910.830.830.680.540.740.941.00
US Mid Cap0.91-0.930.830.740.620.780.960.91
US Small Cap0.830.93-0.770.700.630.740.920.83
Global ex-US Stock Market0.830.830.77-0.890.550.880.920.83
International ex-US Small Cap0.680.740.700.89-0.550.790.840.68
Emerging Markets0.740.780.740.880.790.49-0.850.74

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Large Cap$33,016$97,822
US Mid Cap$15,178
US Small Cap$13,813
Global ex-US Stock Market$6,228
International ex-US Small Cap$8,339
Emerging Markets$3,415

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Large Cap32.08%100.00%
US Mid Cap15.74%
US Small Cap17.32%
Global ex-US Stock Market12.74%
International ex-US Small Cap11.50%
Emerging Markets6.42%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
1 year10.39%39.96%-39.86%10.96%37.45%-37.02%
3 years9.08%23.27%-8.44%9.26%31.03%-14.60%
5 years8.57%19.05%-0.02%7.92%28.49%-2.38%
7 years8.09%13.68%3.03%6.75%15.86%-1.64%
10 years8.08%11.58%3.14%6.27%12.97%-1.46%
15 years8.06%10.96%7.03%6.20%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods