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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraraged Benchmark

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Asset Class

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1995 - Dec 2019)

Note: The time period was constrained by the available data for International ex-US Small Cap [Jan 1995 - Aug 2021].

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%
Save portfolio »

Portfolio 2
Asset Class	Allocation
US Large Cap	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$97,934	9.56%	14.95%	39.96%	-39.86%	-54.75%	0.53	0.76	0.97
Portfolio 2	$10,000	$111,062	10.11%	14.55%	37.45%	-37.02%	-50.97%	0.58	0.84	0.99

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	8.43%	27.47%	12.02%	8.89%	10.84%	9.56%	11.76%	11.68%
Portfolio 2	9.03%	31.33%	15.12%	11.55%	13.40%	10.11%	12.10%	11.98%
Trailing annualized return and volatility 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.
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

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1		Portfolio 2		US Large Cap	US Mid Cap	US Small Cap	Global ex-US Stock Market	International ex-US Small Cap	REIT	Emerging Markets
Year	Inflation	Return	Balance	Return	Balance	US Large Cap	US Mid Cap	US Small Cap	Global ex-US Stock Market	International ex-US Small Cap	REIT	Emerging Markets
1995	2.54%	23.68%	$12,368	37.45%	$13,745	37.45%	33.22%	28.74%	3.98%	1.16%	12.13%	0.56%
1996	3.32%	16.76%	$14,440	22.88%	$16,889	22.88%	18.97%	18.12%	4.68%	0.95%	33.84%	15.83%
1997	1.70%	16.32%	$16,796	33.19%	$22,494	33.19%	25.66%	24.59%	-0.77%	-22.72%	18.77%	-16.82%
1998	1.61%	12.00%	$18,811	28.62%	$28,932	28.62%	9.90%	-2.61%	15.60%	5.27%	-16.32%	-18.12%
1999	2.68%	22.14%	$22,975	21.07%	$35,027	21.07%	15.32%	23.13%	29.92%	19.04%	-4.04%	61.57%
2000	3.39%	-3.25%	$22,228	-9.06%	$31,855	-9.06%	18.10%	-2.67%	-15.61%	-3.08%	26.35%	-27.56%
2001	1.55%	-6.44%	$20,797	-12.02%	$28,025	-12.02%	-0.50%	3.10%	-20.15%	-4.59%	12.35%	-2.88%
2002	2.38%	-14.29%	$17,825	-22.15%	$21,819	-22.15%	-14.61%	-20.02%	-15.08%	5.79%	3.75%	-7.43%
2003	1.88%	39.96%	$24,948	28.50%	$28,038	28.50%	34.14%	45.63%	40.34%	66.48%	35.66%	57.65%
2004	3.26%	19.60%	$29,836	10.74%	$31,049	10.74%	20.35%	19.90%	20.84%	34.80%	30.76%	26.12%
2005	3.42%	11.91%	$33,390	4.77%	$32,532	4.77%	13.93%	7.36%	15.57%	23.23%	11.89%	32.05%
2006	2.54%	19.96%	$40,057	15.64%	$37,620	15.64%	13.60%	15.66%	26.64%	28.39%	35.07%	29.39%
2007	4.08%	6.39%	$42,617	5.39%	$39,646	5.39%	6.02%	1.16%	15.52%	2.95%	-16.46%	38.90%
2008	0.09%	-39.86%	$25,631	-37.02%	$24,969	-37.02%	-41.82%	-36.07%	-44.10%	-41.68%	-37.05%	-52.81%
2009	2.72%	36.53%	$34,994	26.49%	$31,582	26.49%	40.22%	36.12%	36.73%	47.52%	29.58%	75.98%
2010	1.50%	20.15%	$42,044	14.91%	$36,292	14.91%	25.46%	27.72%	11.12%	25.60%	28.30%	18.86%
2011	2.96%	-4.84%	$40,010	1.97%	$37,006	1.97%	-2.11%	-2.80%	-14.56%	-19.63%	8.47%	-18.78%
2012	1.74%	17.28%	$46,924	15.82%	$42,862	15.82%	15.80%	18.04%	18.14%	20.73%	17.53%	18.64%
2013	1.50%	25.97%	$59,108	32.18%	$56,653	32.18%	35.00%	37.62%	15.04%	16.60%	2.31%	-5.19%
2014	0.76%	8.24%	$63,978	13.51%	$64,306	13.51%	13.60%	7.37%	-4.24%	-5.06%	30.13%	0.42%
2015	0.73%	-1.56%	$62,982	1.25%	$65,111	1.25%	-1.45%	-3.78%	-4.38%	-0.01%	2.22%	-15.47%
2016	2.07%	10.63%	$69,676	11.82%	$72,805	11.82%	11.07%	18.17%	4.65%	4.26%	8.34%	11.50%
2017	2.11%	21.92%	$84,946	21.67%	$88,580	21.67%	19.12%	16.10%	27.40%	30.60%	4.83%	31.15%
2018	1.91%	-9.56%	$76,829	-4.53%	$84,569	-4.53%	-9.34%	-9.43%	-14.44%	-18.47%	-6.11%	-14.71%
2019	2.29%	27.47%	$97,934	31.33%	$111,062	31.33%	30.86%	27.22%	21.43%	21.36%	28.78%	20.13%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.86%	0.89%
Arithmetic Mean (annualized)	10.80%	11.28%
Geometric Mean (monthly)	0.76%	0.81%
Geometric Mean (annualized)	9.56%	10.11%
Volatility (monthly)	4.31%	4.20%
Volatility (annualized)	14.95%	14.55%
Downside Deviation (monthly)	2.95%	2.81%
Max. Drawdown	-54.75%	-50.97%
US Market Correlation	0.97	0.99
Beta^(*)	0.97	0.96
Alpha (annualized)	-0.16%	0.32%
R²	93.18%	97.74%
Sharpe Ratio	0.53	0.58
Sortino Ratio	0.76	0.84
Treynor Ratio (%)	8.24	8.72
Calmar Ratio	0.85	1.12
Active Return	-0.56%	-0.01%
Tracking Error	3.93%	2.25%
Information Ratio	-0.14	-0.01
Skewness	-0.86	-0.72
Excess Kurtosis	2.61	1.28
Historical Value-at-Risk (5%)	-7.10%	-7.05%
Analytical Value-at-Risk (5%)	-6.24%	-6.01%
Conditional Value-at-Risk (5%)	-10.35%	-9.52%
Upside Capture Ratio (%)	95.31	96.15
Downside Capture Ratio (%)	96.77	95.07
Safe Withdrawal Rate	9.42%	10.45%
Perpetual Withdrawal Rate	6.73%	7.20%
Positive Periods	195 out of 300 (65.00%)	201 out of 300 (67.00%)
Gain/Loss Ratio	0.91	0.84
^* 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 Period	Start	End	Portfolio 1	Portfolio 2
Asian Crisis	Jul 1997	Jan 1998	-5.07%	-5.61%
Russian Debt Default	Jul 1998	Oct 1998	-17.40%	-15.38%
Dotcom Crash	Mar 2000	Oct 2002	-30.78%	-44.82%
Subprime Crisis	Nov 2007	Mar 2009	-54.75%	-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Apr 2011	2 years 2 months	3 years 6 months	-54.75%
2	Sep 2000	Sep 2002	2 years 1 month	Dec 2003	1 year 3 months	3 years 4 months	-30.78%
3	May 2011	Sep 2011	5 months	Dec 2012	1 year 3 months	1 year 8 months	-21.16%
4	May 1998	Aug 1998	4 months	Mar 1999	7 months	11 months	-19.09%
5	Sep 2018	Dec 2018	4 months	Apr 2019	4 months	8 months	-14.22%
6	Jun 2015	Feb 2016	9 months	Jul 2016	5 months	1 year 2 months	-12.03%
7	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-5.99%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-5.91%
9	Jun 1996	Jul 1996	2 months	Sep 1996	2 months	4 months	-5.77%
10	Oct 1997	Oct 1997	1 month	Feb 1998	4 months	5 months	-5.07%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
4	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
5	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
6	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.84%
7	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
8	Jul 1999	Sep 1999	3 months	Nov 1999	2 months	5 months	-6.25%
9	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
10	Aug 1997	Aug 1997	1 month	Nov 1997	3 months	4 months	-5.61%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Large Cap	10.11%	14.55%	37.45%	-37.02%	-50.97%	0.58	0.84	0.99
US Mid Cap	11.57%	16.29%	40.22%	-41.82%	-54.14%	0.61	0.90	0.95
US Small Cap	10.25%	18.73%	45.63%	-36.07%	-53.95%	0.49	0.72	0.90
Global ex-US Stock Market	4.93%	16.56%	40.34%	-44.10%	-58.50%	0.23	0.33	0.84
International ex-US Small Cap	7.08%	16.54%	66.48%	-41.68%	-57.69%	0.36	0.53	0.70
REIT	10.37%	19.14%	35.66%	-37.05%	-68.28%	0.49	0.72	0.56
Emerging Markets	6.22%	22.55%	75.98%	-52.81%	-62.70%	0.28	0.40	0.77

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap	US Mid Cap	US Small Cap	Global ex-US Stock Market	International ex-US Small Cap	REIT	Emerging Markets	Portfolio 1	Portfolio 2
US Large Cap	1.00	0.91	0.83	0.83	0.68	0.54	0.74	0.94	1.00
US Mid Cap	0.91	1.00	0.93	0.83	0.74	0.62	0.78	0.96	0.91
US Small Cap	0.83	0.93	1.00	0.77	0.70	0.63	0.74	0.92	0.83
Global ex-US Stock Market	0.83	0.83	0.77	1.00	0.89	0.55	0.88	0.92	0.83
International ex-US Small Cap	0.68	0.74	0.70	0.89	1.00	0.55	0.79	0.84	0.68
REIT	0.54	0.62	0.63	0.55	0.55	1.00	0.49	0.66	0.54
Emerging Markets	0.74	0.78	0.74	0.88	0.79	0.49	1.00	0.85	0.74

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap	$34,082	$101,062
US Mid Cap	$15,544
US Small Cap	$14,138
Global ex-US Stock Market	$6,709
International ex-US Small Cap	$8,995
REIT	$4,750
Emerging Markets	$3,716

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap	32.06%	100.00%
US Mid Cap	15.73%
US Small Cap	17.30%
Global ex-US Stock Market	12.74%
International ex-US Small Cap	11.55%
REIT	4.20%
Emerging Markets	6.42%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	10.52%	67.24%	-47.20%	10.80%	53.61%	-43.32%
3 years	9.10%	28.98%	-16.22%	9.04%	32.68%	-16.14%
5 years	8.49%	23.85%	-4.59%	7.62%	28.49%	-6.73%
7 years	8.23%	16.18%	0.17%	6.82%	17.13%	-3.94%
10 years	8.22%	15.34%	1.28%	6.45%	16.52%	-3.51%
15 years	8.18%	11.47%	6.37%	6.37%	10.39%	3.64%