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

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

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Asset 2

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Asset 3

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Asset 4

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Asset 5

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Asset 6

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Asset 7

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Asset 8

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Asset 9

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Asset 10

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Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1986 - Dec 2019)

Note: The time period was constrained by the available data for Global ex-US Stock Market [Jan 1986 - Jun 2020].

Portfolio Allocations

Portfolio 1
Asset Class	Allocation
Global ex-US Stock Market	44.00%
US Stock Market	56.00%
Save asset allocation »

Portfolio 2
Asset Class	Allocation
Long Term Treasury	100.00%
Save asset allocation »

Portfolio 3
Asset Class	Allocation
Global ex-US Stock Market	24.00%
Long Term Treasury	50.00%
US Stock Market	26.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	TWRR	MWRR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$1,573,580	16.04%	9.23%	8.12%	14.86%	36.05%	-40.15%	-54.33% (-52.87%)	0.46	0.65	0.93
Portfolio 2	$10,000	$1,308,233	15.41%	8.09%	7.24%	10.16%	30.87%	-13.03%	-16.68% (-14.93%)	0.50	0.86	-0.08
Portfolio 3	$10,000	$1,646,351	16.20%	9.25%	8.33%	8.64%	34.43%	-8.96%	-22.84% (-20.70%)	0.70	1.08	0.73
^* The number in parentheses shows the calculated value taking into account the periodic contributions.

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
TWRR = Annualized time weighted rate of return
MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Inflation adjusted monthly contribution of $500 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.

Annual returns for the configured portfolios
Year	Inflation	Return			Balance				Global ex-US Stock Market	US Stock Market	Long Term Treasury
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	Adjustment	Global ex-US Stock Market	US Stock Market	Long Term Treasury
1986	1.10%	36.05%	30.87%	34.43%	$20,157	$19,465	$19,930	$6,017	63.38%	14.57%	30.87%
1987	4.43%	14.88%	-2.92%	6.53%	$28,961	$25,190	$27,250	$6,237	30.48%	2.61%	-2.92%
1988	4.42%	20.99%	9.15%	15.24%	$41,964	$34,237	$38,243	$6,492	25.66%	17.32%	9.15%
1989	4.65%	21.40%	17.93%	19.36%	$58,355	$47,684	$53,005	$6,805	12.85%	28.12%	17.93%
1990	6.11%	-14.31%	5.78%	-4.64%	$56,934	$58,165	$57,874	$7,172	-24.79%	-6.08%	5.78%
1991	3.06%	22.31%	17.43%	19.41%	$77,687	$76,593	$77,259	$7,476	9.48%	32.39%	17.43%
1992	2.90%	-1.41%	7.41%	2.52%	$84,488	$90,435	$87,223	$7,703	-14.79%	9.11%	7.41%
1993	2.75%	19.12%	16.78%	18.34%	$108,972	$113,897	$111,523	$7,930	29.92%	10.62%	16.78%
1994	2.67%	4.20%	-7.04%	-1.22%	$121,654	$113,937	$118,239	$8,137	9.76%	-0.17%	-7.04%
1995	2.54%	21.79%	30.09%	25.31%	$157,405	$157,663	$157,488	$8,365	3.98%	35.79%	30.09%
1996	3.32%	13.80%	-1.26%	5.94%	$188,247	$164,637	$175,875	$8,610	4.68%	20.96%	-1.26%
1997	1.70%	17.02%	13.90%	14.82%	$229,594	$197,162	$211,386	$8,812	-0.77%	30.99%	13.90%
1998	1.61%	19.89%	13.05%	16.32%	$285,102	$232,367	$255,509	$8,948	15.60%	23.26%	13.05%
1999	2.68%	26.50%	-8.66%	9.04%	$371,330	$221,098	$288,435	$9,144	29.92%	23.81%	-8.66%
2000	3.39%	-12.79%	19.72%	3.36%	$332,569	$275,013	$307,706	$9,453	-15.61%	-10.57%	19.72%
2001	1.55%	-15.01%	4.31%	-5.53%	$292,056	$296,685	$300,271	$9,720	-20.15%	-10.97%	4.31%
2002	2.38%	-18.37%	16.67%	-0.73%	$247,435	$356,910	$307,997	$9,874	-15.08%	-20.96%	16.67%
2003	1.88%	35.31%	2.68%	19.17%	$347,101	$376,623	$378,302	$10,098	40.34%	31.35%	2.68%
2004	3.26%	16.18%	7.12%	11.81%	$414,802	$414,197	$434,163	$10,369	20.84%	12.52%	7.12%
2005	3.42%	10.20%	6.61%	8.59%	$468,672	$452,475	$482,722	$10,721	15.57%	5.98%	6.61%
2006	2.54%	20.41%	1.74%	11.30%	$576,462	$471,761	$549,056	$11,066	26.64%	15.51%	1.74%
2007	4.08%	9.90%	9.24%	9.77%	$645,159	$527,449	$614,564	$11,382	15.52%	5.49%	9.24%
2008	0.09%	-40.15%	22.51%	-8.96%	$395,055	$660,040	$571,067	$11,819	-44.10%	-37.04%	22.51%
2009	2.72%	32.23%	-12.06%	10.25%	$536,863	$591,855	$642,572	$11,777	36.73%	28.70%	-12.06%
2010	1.50%	14.47%	8.93%	11.58%	$628,097	$656,594	$729,641	$11,970	11.12%	17.09%	8.93%
2011	2.96%	-5.87%	29.28%	11.39%	$602,881	$863,387	$825,832	$12,348	-14.56%	0.96%	29.28%
2012	1.74%	17.08%	3.46%	10.31%	$719,256	$905,976	$924,031	$12,604	18.14%	16.25%	3.46%
2013	1.50%	25.30%	-13.03%	5.77%	$915,452	$799,905	$990,496	$12,788	15.04%	33.35%	-13.03%
2014	0.76%	5.10%	25.27%	14.85%	$975,285	$1,016,403	$1,151,351	$12,996	-4.24%	12.43%	25.27%
2015	0.73%	-1.76%	-1.54%	-1.74%	$970,755	$1,013,566	$1,143,983	$13,011	-4.38%	0.29%	-1.54%
2016	2.07%	9.07%	1.21%	4.98%	$1,072,739	$1,038,015	$1,213,983	$13,175	4.65%	12.53%	1.21%
2017	2.11%	23.84%	8.59%	16.34%	$1,343,281	$1,141,119	$1,426,756	$13,456	27.40%	21.05%	8.59%
2018	1.91%	-9.30%	-1.90%	-5.79%	$1,230,862	$1,133,588	$1,357,523	$13,785	-14.44%	-5.26%	-1.90%
2019	2.29%	26.59%	14.13%	20.18%	$1,573,580	$1,308,233	$1,646,351	$14,034	21.43%	30.65%	14.13%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	0.83%	0.69%	0.77%
Arithmetic Mean (annualized)	10.45%	8.64%	9.65%
Geometric Mean (monthly)	0.74%	0.65%	0.74%
Geometric Mean (annualized)	9.23%	8.09%	9.25%
Volatility (monthly)	4.29%	2.93%	2.49%
Volatility (annualized)	14.86%	10.16%	8.64%
Downside Deviation (monthly)	2.91%	1.61%	1.49%
Max. Drawdown	-54.33%	-16.68%	-22.84%
US Market Correlation	0.93	-0.08	0.73
Beta^(*)	0.92	-0.06	0.42
Alpha (annualized)	-0.27%	8.95%	4.55%
R²	86.20%	0.71%	53.47%
Sharpe Ratio	0.46	0.50	0.70
Sortino Ratio	0.65	0.86	1.08
Treynor Ratio (%)	7.37	-89.25	14.35
Calmar Ratio	0.89	0.78	1.31
Active Return	-1.23%	-2.38%	-1.22%
Tracking Error	5.65%	18.80%	10.49%
Information Ratio	-0.22	-0.13	-0.12
Skewness	-0.77	0.47	-0.36
Excess Kurtosis	2.20	1.83	2.42
Historical Value-at-Risk (5%)	-7.22%	-3.72%	-3.54%
Analytical Value-at-Risk (5%)	-6.22%	-4.13%	-3.33%
Conditional Value-at-Risk (5%)	-10.24%	-5.21%	-5.17%
Upside Capture Ratio (%)	88.34	15.01	50.32
Downside Capture Ratio (%)	90.75	-24.46	32.69
Safe Withdrawal Rate	9.05%	7.50%	8.71%
Perpetual Withdrawal Rate	6.12%	5.13%	6.14%
Positive Periods	263 out of 408 (64.46%)	246 out of 408 (60.29%)	279 out of 408 (68.38%)
Gain/Loss Ratio	0.92	1.24	1.04
^* 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	Portfolio 3
Black Monday Period	Sep 1987	Nov 1987	-21.83%	-3.72%	-11.80%
Asian Crisis	Jul 1997	Jan 1998	-6.05%	-2.57%	-4.35%
Russian Debt Default	Jul 1998	Oct 1998	-15.47%	-1.69%	-5.84%
Dotcom Crash	Mar 2000	Oct 2002	-44.81%	-8.18%	-11.09%
Subprime Crisis	Nov 2007	Mar 2009	-54.33%	-9.39%	-22.84%

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	Mar 2013	4 years 1 month	5 years 5 months	-54.33%
2	Apr 2000	Sep 2002	2 years 6 months	Nov 2005	3 years 2 months	5 years 8 months	-44.81%
3	Sep 1987	Nov 1987	3 months	Jan 1989	1 year 2 months	1 year 5 months	-21.83%
4	Jan 1990	Sep 1990	9 months	Oct 1991	1 year 1 month	1 year 10 months	-21.12%
5	May 1998	Aug 1998	4 months	Dec 1998	4 months	8 months	-15.78%
6	Feb 2018	Dec 2018	11 months	Jun 2019	6 months	1 year 5 months	-13.97%
7	Jun 2015	Feb 2016	9 months	Dec 2016	10 months	1 year 7 months	-13.17%
8	Jan 1992	Mar 1992	3 months	Feb 1993	11 months	1 year 2 months	-6.26%
9	Sep 1986	Oct 1986	2 months	Jan 1987	3 months	5 months	-6.19%
10	Aug 1997	Oct 1997	3 months	Feb 1998	4 months	7 months	-6.05%
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	Aug 2012	Dec 2013	1 year 5 months	Nov 2014	11 months	2 years 4 months	-16.68%
2	Aug 2016	Oct 2018	2 years 3 months	May 2019	7 months	2 years 10 months	-14.78%
3	Feb 2015	Jun 2015	5 months	Jun 2016	1 year	1 year 5 months	-12.89%
4	Mar 1987	Sep 1987	7 months	Feb 1988	5 months	1 year	-12.25%
5	Jan 2009	Dec 2009	1 year	Aug 2010	8 months	1 year 8 months	-12.06%
6	Sep 2010	Jan 2011	5 months	Aug 2011	7 months	1 year	-12.05%
7	Feb 1994	Oct 1994	9 months	May 1995	7 months	1 year 4 months	-11.07%
8	Jun 2003	Jul 2003	2 months	Sep 2004	1 year 2 months	1 year 4 months	-9.93%
9	Oct 1998	Dec 1999	1 year 3 months	Aug 2000	8 months	1 year 11 months	-9.56%
10	Jan 1996	May 1996	5 months	Nov 1996	6 months	11 months	-8.93%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Nov 2009	9 months	2 years 1 month	-22.84%
2	Jan 1990	Sep 1990	9 months	Feb 1991	5 months	1 year 2 months	-12.42%
3	Sep 1987	Nov 1987	3 months	Sep 1988	10 months	1 year 1 month	-11.80%
4	Sep 2000	Jul 2002	1 year 11 months	Sep 2003	1 year 2 months	3 years 1 month	-11.09%
5	Feb 2018	Oct 2018	9 months	Mar 2019	5 months	1 year 2 months	-7.35%
6	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-7.02%
7	Feb 2015	Sep 2015	8 months	Jun 2016	9 months	1 year 5 months	-6.60%
8	Feb 1994	Nov 1994	10 months	Apr 1995	5 months	1 year 3 months	-6.54%
9	Jul 1998	Aug 1998	2 months	Oct 1998	2 months	4 months	-5.84%
10	May 2013	Aug 2013	4 months	Jan 2014	5 months	9 months	-5.82%
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
Global ex-US Stock Market	7.03%	17.64%	63.38%	-44.10%	-58.50%	0.29	0.43	0.70
US Stock Market	10.46%	14.99%	35.79%	-37.04%	-50.89%	0.53	0.75	1.00
Long Term Treasury	8.09%	10.16%	30.87%	-13.03%	-16.68%	0.50	0.86	-0.08

Monthly Correlations

Correlations for the portfolio assets
Name	Global ex-US Stock Market	US Stock Market	Long Term Treasury	Portfolio 1	Portfolio 2	Portfolio 3
Global ex-US Stock Market	1.00	0.70	-0.08	0.91	-0.08	0.74
US Stock Market	0.70	1.00	-0.08	0.93	-0.08	0.73
Long Term Treasury	-0.08	-0.08	1.00	-0.09	1.00	0.52

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2	Portfolio 3
Global ex-US Stock Market	$369,727		$258,708
US Stock Market	$849,558		$472,209
Long Term Treasury		$953,938	$561,139

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2	Portfolio 3
Global ex-US Stock Market	47.68%		36.38%
US Stock Market	52.32%		33.08%
Long Term Treasury		100.00%	30.54%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	10.72%	36.05%	-40.15%	8.69%	30.87%	-13.03%	9.66%	34.43%	-8.96%
3 years	8.92%	23.66%	-15.42%	7.82%	13.78%	2.37%	8.84%	18.18%	-1.03%
5 years	8.22%	19.72%	-1.71%	7.82%	12.94%	2.19%	8.58%	14.10%	4.22%
7 years	8.12%	17.29%	1.63%	7.80%	12.08%	2.60%	8.59%	12.63%	5.92%
10 years	7.89%	13.62%	0.49%	7.85%	11.91%	4.01%	8.56%	12.91%	5.46%
15 years	7.38%	13.07%	4.09%	7.77%	10.19%	5.72%	8.32%	11.86%	6.90%
Result statistics are based on annualized rolling returns over full calendar year periods