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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Initial Amount

$ .00

Periodic Adjustment

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Benchmark

Benchmark Ticker

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

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Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

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Enter percentage allocation for asset 3 in portfolio 1 %

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Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

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Enter percentage allocation for asset 4 in portfolio 1 %

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Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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Enter percentage allocation for asset 5 in portfolio 1 %

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Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

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Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

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Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

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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 - Sep 2019)

Note: The time period was constrained by the available data for International ex-US Small Cap [Jan 1995 - Sep 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%
Save asset allocation »

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

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	$90,191	9.29%	15.00%	39.96%	-39.86%	-54.75%	0.52	0.74	0.97
Portfolio 2	$10,000	$101,859	9.83%	14.60%	37.45%	-37.02%	-50.97%	0.56	0.81	0.99

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 September
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
Year	Inflation	Return		Balance		US Large Cap	US Mid Cap	US Small Cap	Global ex-US Stock Market	International ex-US Small Cap	REIT	Emerging Markets
Year	Inflation	Portfolio 1	Portfolio 2	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
1995	2.54%	23.68%	37.45%	$12,368	$13,745	37.45%	33.22%	28.74%	3.98%	1.16%	12.13%	0.56%
1996	3.32%	16.76%	22.88%	$14,440	$16,889	22.88%	18.97%	18.12%	4.68%	0.95%	33.84%	15.83%
1997	1.70%	16.32%	33.19%	$16,796	$22,494	33.19%	25.66%	24.59%	-0.77%	-22.72%	18.77%	-16.82%
1998	1.61%	12.00%	28.62%	$18,811	$28,932	28.62%	9.90%	-2.61%	15.60%	5.27%	-16.32%	-18.12%
1999	2.68%	22.14%	21.07%	$22,975	$35,027	21.07%	15.32%	23.13%	29.92%	19.04%	-4.04%	61.57%
2000	3.39%	-3.25%	-9.06%	$22,228	$31,855	-9.06%	18.10%	-2.67%	-15.61%	-3.08%	26.35%	-27.56%
2001	1.55%	-6.44%	-12.02%	$20,797	$28,025	-12.02%	-0.50%	3.10%	-20.15%	-4.59%	12.35%	-2.88%
2002	2.38%	-14.29%	-22.15%	$17,825	$21,819	-22.15%	-14.61%	-20.02%	-15.08%	5.79%	3.75%	-7.43%
2003	1.88%	39.96%	28.50%	$24,948	$28,038	28.50%	34.14%	45.63%	40.34%	66.48%	35.66%	57.65%
2004	3.26%	19.60%	10.74%	$29,836	$31,049	10.74%	20.35%	19.90%	20.84%	34.80%	30.76%	26.12%
2005	3.42%	11.91%	4.77%	$33,390	$32,532	4.77%	13.93%	7.36%	15.57%	23.23%	11.89%	32.05%
2006	2.54%	19.96%	15.64%	$40,057	$37,620	15.64%	13.60%	15.66%	26.64%	28.39%	35.07%	29.39%
2007	4.08%	6.39%	5.39%	$42,617	$39,646	5.39%	6.02%	1.16%	15.52%	2.95%	-16.46%	38.90%
2008	0.09%	-39.86%	-37.02%	$25,631	$24,969	-37.02%	-41.82%	-36.07%	-44.10%	-41.68%	-37.05%	-52.81%
2009	2.72%	36.53%	26.49%	$34,994	$31,582	26.49%	40.22%	36.12%	36.73%	47.52%	29.58%	75.98%
2010	1.50%	20.07%	14.91%	$42,016	$36,292	14.91%	25.46%	27.72%	11.12%	24.96%	28.30%	18.86%
2011	2.96%	-4.77%	1.97%	$40,011	$37,006	1.97%	-2.11%	-2.80%	-14.56%	-19.09%	8.47%	-18.78%
2012	1.74%	17.05%	15.82%	$46,834	$42,862	15.82%	15.80%	18.04%	18.14%	18.89%	17.53%	18.64%
2013	1.50%	26.07%	32.18%	$59,043	$56,653	32.18%	35.00%	37.62%	15.04%	17.44%	2.31%	-5.19%
2014	0.76%	8.27%	13.51%	$63,926	$64,306	13.51%	13.60%	7.37%	-4.24%	-4.81%	30.13%	0.42%
2015	0.73%	-1.60%	1.25%	$62,906	$65,111	1.25%	-1.45%	-3.78%	-4.38%	-0.32%	2.22%	-15.47%
2016	2.07%	10.62%	11.82%	$69,585	$72,805	11.82%	11.07%	18.17%	4.65%	4.17%	8.34%	11.50%
2017	2.11%	21.86%	21.67%	$84,793	$88,580	21.67%	19.12%	16.10%	27.40%	30.12%	4.83%	31.15%
2018	1.91%	-9.56%	-4.53%	$76,686	$84,569	-4.53%	-9.34%	-9.43%	-14.44%	-18.52%	-6.11%	-14.71%
2019	2.12%	17.61%	20.44%	$90,191	$101,859	20.44%	22.49%	17.68%	11.42%	9.61%	28.03%	7.97%
Annual returns for 2019 are based on partial year data

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.84%	0.87%
Arithmetic Mean (annualized)	10.54%	11.01%
Geometric Mean (monthly)	0.74%	0.78%
Geometric Mean (annualized)	9.29%	9.83%
Volatility (monthly)	4.33%	4.22%
Volatility (annualized)	15.00%	14.60%
Downside Deviation (monthly)	2.96%	2.83%
Max. Drawdown	-54.75%	-50.97%
US Market Correlation	0.97	0.99
Beta^(*)	0.97	0.96
Alpha (annualized)	-0.15%	0.31%
R²	93.22%	97.73%
Sharpe Ratio	0.52	0.56
Sortino Ratio	0.74	0.81
Treynor Ratio (%)	8.03	8.50
Calmar Ratio	0.67	0.98
Active Return	-0.55%	-0.01%
Tracking Error	3.94%	2.26%
Information Ratio	-0.14	-0.01
Skewness	-0.85	-0.71
Excess Kurtosis	2.57	1.25
Historical Value-at-Risk (5%)	-7.75%	-7.14%
Analytical Value-at-Risk (5%)	-6.28%	-6.06%
Conditional Value-at-Risk (5%)	-10.53%	-9.69%
Upside Capture Ratio (%)	95.29	96.09
Downside Capture Ratio (%)	96.75	95.08
Safe Withdrawal Rate	9.58%	10.62%
Perpetual Withdrawal Rate	6.69%	7.16%
Positive Periods	192 out of 297 (64.65%)	198 out of 297 (66.67%)
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	-21.05%
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	-14.23%
6	Jun 2015	Feb 2016	9 months	Jul 2016	5 months	1 year 2 months	-12.05%
7	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-5.99%
8	May 2019	May 2019	1 month	Jul 2019	2 months	3 months	-5.94%
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	9.83%	14.60%	37.45%	-37.02%	-50.97%	0.56	0.81	0.99
US Mid Cap	11.40%	16.37%	40.22%	-41.82%	-54.14%	0.60	0.89	0.95
US Small Cap	10.01%	18.81%	45.63%	-36.07%	-53.95%	0.48	0.70	0.90
Global ex-US Stock Market	4.61%	16.62%	40.34%	-44.10%	-58.50%	0.22	0.30	0.84
International ex-US Small Cap	6.66%	16.50%	66.48%	-41.68%	-57.69%	0.33	0.49	0.70
REIT	10.45%	19.23%	35.66%	-37.05%	-68.28%	0.50	0.72	0.57
Emerging Markets	5.82%	22.62%	75.98%	-52.81%	-62.70%	0.26	0.37	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	-	0.91	0.83	0.83	0.68	0.55	0.74	0.94	1.00
US Mid Cap	0.91	-	0.93	0.83	0.74	0.62	0.78	0.96	0.91
US Small Cap	0.83	0.93	-	0.78	0.70	0.63	0.74	0.92	0.83
Global ex-US Stock Market	0.83	0.83	0.78	-	0.89	0.55	0.88	0.92	0.83
International ex-US Small Cap	0.68	0.74	0.70	0.89	-	0.55	0.79	0.84	0.68
REIT	0.55	0.62	0.63	0.55	0.55	-	0.49	0.66	0.55
Emerging Markets	0.74	0.78	0.74	0.88	0.79	0.49	-	0.85	0.74

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap	$31,124	$91,859
US Mid Cap	$14,568
US Small Cap	$13,027
Global ex-US Stock Market	$5,744
International ex-US Small Cap	$7,760
REIT	$4,718
Emerging Markets	$3,248

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap	32.07%	100.00%
US Mid Cap	15.75%
US Small Cap	17.32%
Global ex-US Stock Market	12.74%
International ex-US Small Cap	11.49%
REIT	4.22%
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	10.39%	39.96%	-39.86%	10.96%	37.45%	-37.02%
3 years	9.08%	23.27%	-8.44%	9.26%	31.03%	-14.60%
5 years	8.57%	19.05%	-0.02%	7.92%	28.49%	-2.38%
7 years	8.09%	13.68%	3.03%	6.75%	15.86%	-1.64%
10 years	8.08%	11.58%	3.14%	6.27%	12.97%	-1.46%
15 years	8.06%	10.96%	7.03%	6.20%	9.79%	4.13%
Result statistics are based on annualized rolling returns over full calendar year periods