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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Portfolio Analysis Results (Jan 1978 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 65.00%
Short Term Treasury 35.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 65.00%
Intermediate Term Treasury 35.00%
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Portfolio 3
Asset Class Allocation
US Stock Market 65.00%
Long Term Treasury 35.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$536,521 9.95% 9.95%27.50%-21.74%-32.60% 0.550.810.99
Portfolio 2$10,000$641,101 10.41% 10.17%30.42%-19.41%-31.05% 0.590.870.98
Portfolio 3$10,000$805,317 11.01% 10.72%33.79%-16.20%-30.08% 0.610.910.93
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 16.24%21.18%10.21%7.83%9.23%9.95%
Portfolio 25.87%22.12%10.58%8.14%9.93%10.41%
Portfolio 34.28%24.87%11.80%8.62%11.35%11.01%
Trailing returns 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
YearInflationReturnBalanceUS Stock MarketShort Term TreasuryIntermediate Term TreasuryLong Term Treasury
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19789.02%6.67%5.90%4.95%$10,667$10,590$10,4958.45%3.35%1.15%-1.55%
197913.29%18.59%17.63%15.03%$12,650$12,457$12,07224.25%8.08%5.35%-2.10%
198012.52%24.63%22.56%19.80%$15,765$15,267$14,46333.15%8.81%2.88%-4.99%
19818.92%2.29%0.60%-2.47%$16,127$15,358$14,106-4.15%14.26%9.41%0.65%
19823.83%21.07%24.22%29.81%$19,524$19,078$18,31120.50%22.12%31.13%47.10%
19833.79%17.53%16.56%14.28%$22,947$22,237$20,92522.66%8.00%5.22%-1.29%
19843.95%6.32%6.68%7.10%$24,397$23,721$22,4112.19%14.01%15.01%16.24%
19853.80%25.17%28.11%33.24%$30,538$30,390$29,86131.27%13.83%22.24%36.90%
19861.10%13.10%14.76%20.28%$34,537$34,875$35,91614.57%10.35%15.10%30.87%
19874.43%3.37%2.24%0.68%$35,702$35,658$36,1582.61%4.78%1.55%-2.92%
19884.42%13.24%13.10%14.46%$40,430$40,327$41,38617.32%5.67%5.26%9.15%
19894.65%22.30%23.36%24.55%$49,444$49,748$51,54928.12%11.48%14.52%17.93%
19906.11%-0.48%-0.64%-1.93%$49,207$49,430$50,555-6.08%9.92%9.46%5.78%
19913.06%25.08%26.64%27.16%$61,546$62,599$64,28432.39%11.49%15.97%17.43%
19922.90%8.28%8.64%8.51%$66,643$68,009$69,7559.11%6.75%7.78%7.41%
19932.75%9.11%10.91%12.78%$72,716$75,427$78,67010.62%6.31%11.43%16.78%
19942.67%-0.28%-1.62%-2.57%$72,515$74,202$76,646-0.17%-0.48%-4.33%-7.04%
19952.54%27.50%30.42%33.79%$92,455$96,771$102,54735.79%12.11%20.44%30.09%
19963.32%15.16%14.30%13.19%$106,474$110,606$116,06920.96%4.39%1.92%-1.26%
19971.70%22.42%23.28%25.01%$130,350$136,358$145,10030.99%6.51%8.96%13.90%
19981.61%17.70%18.83%19.69%$153,419$162,039$173,67123.26%7.36%10.61%13.05%
19992.68%16.13%14.25%12.45%$178,159$185,123$195,28823.81%1.85%-3.52%-8.66%
20003.39%-3.78%-1.96%0.03%$171,422$181,490$195,346-10.57%8.83%14.03%19.72%
20011.55%-4.40%-4.49%-5.62%$163,881$173,348$184,367-10.97%7.80%7.55%4.31%
20022.38%-10.82%-8.67%-7.79%$146,154$158,315$170,008-20.96%8.02%14.15%16.67%
20031.88%21.21%21.21%21.32%$177,159$191,891$206,24831.35%2.38%2.37%2.68%
20043.26%8.50%9.33%10.63%$192,211$209,787$228,16712.52%1.03%3.40%7.12%
20053.42%4.51%4.70%6.20%$200,871$219,641$242,3115.98%1.77%2.31%6.61%
20062.54%11.40%11.18%10.69%$223,772$244,197$268,21815.51%3.77%3.14%1.74%
20074.08%6.33%7.06%6.80%$237,933$261,440$286,4635.49%7.89%9.98%9.24%
20080.09%-21.74%-19.41%-16.20%$186,213$210,688$240,071-37.04%6.68%13.32%22.51%
20092.72%19.16%18.06%14.43%$221,888$248,740$274,72128.70%1.44%-1.69%-12.06%
20101.50%12.03%13.68%14.24%$248,587$282,775$313,83117.09%2.63%7.35%8.93%
20112.96%1.42%4.05%10.87%$252,105$294,232$347,9520.96%2.26%9.79%29.28%
20121.74%10.81%11.50%11.78%$279,350$328,070$388,92816.25%0.69%2.67%3.46%
20131.50%21.64%20.60%17.12%$339,809$395,642$455,50433.35%-0.10%-3.09%-13.03%
20140.76%8.33%9.59%16.93%$368,112$433,585$532,59812.43%0.71%4.32%25.27%
20150.73%0.35%0.72%-0.35%$369,396$436,687$530,7430.29%0.45%1.50%-1.54%
20162.07%8.50%8.56%8.57%$400,779$474,074$576,22812.53%1.00%1.19%1.21%
20172.11%13.82%14.24%16.69%$456,176$541,567$672,40221.05%0.40%1.58%8.59%
20181.91%-2.94%-3.07%-4.08%$442,751$524,966$644,946-5.26%1.35%1.00%-1.90%
20192.29%21.18%22.12%24.87%$536,521$641,101$805,31730.65%3.59%6.29%14.13%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.83%0.87%0.92%
Arithmetic Mean (annualized)10.49%10.98%11.65%
Geometric Mean (monthly)0.79%0.83%0.87%
Geometric Mean (annualized)9.95%10.41%11.01%
Volatility (monthly)2.87%2.94%3.09%
Volatility (annualized)9.95%10.17%10.72%
Downside Deviation (monthly)1.79%1.80%1.88%
Max. Drawdown-32.60%-31.05%-30.08%
US Market Correlation0.990.980.93
Beta(*)0.650.660.66
Alpha (annualized)2.05%2.45%3.04%
R298.59%95.46%86.27%
Sharpe Ratio0.550.590.61
Sortino Ratio0.810.870.91
Treynor Ratio (%)8.459.089.97
Calmar Ratio1.121.191.29
Active Return-1.66%-1.19%-0.59%
Tracking Error5.36%5.61%6.50%
Information Ratio-0.31-0.21-0.09
Skewness-0.70-0.61-0.52
Excess Kurtosis2.292.162.10
Historical Value-at-Risk (5%)-4.14%-4.02%-4.23%
Analytical Value-at-Risk (5%)-3.89%-3.96%-4.17%
Conditional Value-at-Risk (5%)-6.18%-6.22%-6.56%
Upside Capture Ratio (%)67.9969.3370.83
Downside Capture Ratio (%)61.4160.8459.79
Safe Withdrawal Rate7.10%7.21%7.27%
Perpetual Withdrawal Rate5.92%6.31%6.82%
Positive Periods337 out of 504 (66.87%)335 out of 504 (66.47%)338 out of 504 (67.06%)
Gain/Loss Ratio1.041.091.07
* 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 2Portfolio 3
Black Monday PeriodSep 1987Nov 1987-20.18%-20.40%-20.75%
Asian CrisisJul 1997Jan 1998-2.57%-2.88%-3.36%
Russian Debt DefaultJul 1998Oct 1998-11.22%-10.71%-10.34%
Dotcom CrashMar 2000Oct 2002-25.05%-22.33%-22.20%
Subprime CrisisNov 2007Mar 2009-32.60%-31.05%-30.08%

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-32.60%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-25.05%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-20.18%
4May 2011Sep 20115 monthsFeb 20125 months10 months-11.44%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-11.22%
6Oct 2018Dec 20183 monthsApr 20194 months7 months-9.15%
7Jul 1990Oct 19904 monthsJan 19913 months7 months-8.90%
8Feb 1980Mar 19802 monthsMay 19802 months4 months-8.76%
9Sep 1978Oct 19782 monthsMar 19795 months7 months-8.02%
10Jun 1981Sep 19814 monthsNov 19812 months6 months-7.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-31.05%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-22.33%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-20.40%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-10.71%
5Feb 1980Mar 19802 monthsMay 19802 months4 months-9.86%
6Dec 1980Sep 198110 monthsNov 19812 months1 year-9.45%
7May 2011Sep 20115 monthsJan 20124 months9 months-9.38%
8Jul 1990Oct 19904 monthsJan 19913 months7 months-9.07%
9Sep 2018Dec 20184 monthsMar 20193 months7 months-8.89%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-8.41%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-30.08%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-22.20%
3Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-20.75%
4Dec 1980Sep 198110 monthsAug 198211 months1 year 9 months-12.89%
5Jul 1983May 198411 monthsAug 19843 months1 year 2 months-10.88%
6Feb 1980Mar 19802 monthsMay 19802 months4 months-10.54%
7Jul 1990Sep 19903 monthsJan 19914 months7 months-10.48%
8Jul 1998Aug 19982 monthsNov 19983 months5 months-10.34%
9Sep 2018Dec 20184 monthsMar 20193 months7 months-9.13%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-8.86%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.60%15.11%35.79%-37.04%-50.89%0.510.731.00
Short Term Treasury5.93%3.13%22.12%-0.48%-4.26%0.450.740.06
Intermediate Term Treasury7.11%5.96%31.13%-4.33%-10.70%0.440.680.06
Long Term Treasury8.43%11.06%47.10%-13.03%-23.12%0.380.620.04

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketShort Term TreasuryIntermediate Term TreasuryLong Term TreasuryPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.000.060.060.040.990.980.93
Short Term Treasury0.061.000.920.720.170.240.31
Intermediate Term Treasury0.060.921.000.890.160.270.38
Long Term Treasury0.040.720.891.000.120.220.40

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$450,345$509,420$586,680
Short Term Treasury$76,176
Intermediate Term Treasury$121,681
Long Term Treasury$208,637

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market98.18%94.54%85.52%
Short Term Treasury1.82%
Intermediate Term Treasury5.46%
Long Term Treasury14.48%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.49%27.50%-21.74%10.95%30.42%-19.41%11.59%33.79%-16.20%
3 years10.03%21.59%-6.39%10.52%22.49%-5.08%11.16%23.71%-4.52%
5 years9.85%19.70%1.00%10.40%20.06%1.89%11.11%20.57%3.08%
7 years9.76%16.21%1.84%10.33%16.25%2.83%11.07%16.85%3.84%
10 years9.52%14.61%1.96%10.11%15.09%2.66%10.83%16.38%3.29%
15 years9.37%14.17%4.96%9.96%14.68%5.84%10.63%15.53%6.64%
Result statistics are based on annualized rolling returns over full calendar year periods