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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Asset Allocation 
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Portfolio Analysis Results (Jan 1986 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Global ex-US Stock Market 44.00%
US Stock Market 56.00%
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Portfolio 2
Asset Class Allocation
Long Term Treasury 100.00%
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Portfolio 3
Asset Class Allocation
Global ex-US Stock Market 24.00%
Long Term Treasury 50.00%
US Stock Market 26.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS 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%) 		0.460.650.93
Portfolio 2$10,000$1,308,233 15.41% 8.09%7.24%10.16%30.87%-13.03%-16.68%
(-14.93%) 		0.500.86-0.08
Portfolio 3$10,000$1,646,351 16.20% 9.25%8.33%8.64%34.43%-8.96%-22.84%
(-20.70%) 		0.701.080.73
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 18.98%26.59%12.45%8.79%9.73%9.23%11.54%11.67%
Portfolio 2-4.44%14.13%6.73%3.91%6.76%8.09%10.40%11.50%
Portfolio 32.16%20.18%9.62%6.32%8.51%9.25%6.36%6.90%
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
  • 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 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
YearInflationCashflowPortfolio 1Portfolio 2Portfolio 3Global ex-US Stock MarketUS Stock MarketLong Term Treasury
ReturnBalanceReturnBalanceReturnBalance
19861.10%$6,01736.05%$20,15730.87%$19,46534.43%$19,93063.38%14.57%30.87%
19874.43%$6,23714.88%$28,961-2.92%$25,1906.53%$27,25030.48%2.61%-2.92%
19884.42%$6,49220.99%$41,9649.15%$34,23715.24%$38,24325.66%17.32%9.15%
19894.65%$6,80521.40%$58,35517.93%$47,68419.36%$53,00512.85%28.12%17.93%
19906.11%$7,172-14.31%$56,9345.78%$58,165-4.64%$57,874-24.79%-6.08%5.78%
19913.06%$7,47622.31%$77,68717.43%$76,59319.41%$77,2599.48%32.39%17.43%
19922.90%$7,703-1.41%$84,4887.41%$90,4352.52%$87,223-14.79%9.11%7.41%
19932.75%$7,93019.12%$108,97216.78%$113,89718.34%$111,52329.92%10.62%16.78%
19942.67%$8,1374.20%$121,654-7.04%$113,937-1.22%$118,2399.76%-0.17%-7.04%
19952.54%$8,36521.79%$157,40530.09%$157,66325.31%$157,4883.98%35.79%30.09%
19963.32%$8,61013.80%$188,247-1.26%$164,6375.94%$175,8754.68%20.96%-1.26%
19971.70%$8,81217.02%$229,59413.90%$197,16214.82%$211,386-0.77%30.99%13.90%
19981.61%$8,94819.89%$285,10213.05%$232,36716.32%$255,50915.60%23.26%13.05%
19992.68%$9,14426.50%$371,330-8.66%$221,0989.04%$288,43529.92%23.81%-8.66%
20003.39%$9,453-12.79%$332,56919.72%$275,0133.36%$307,706-15.61%-10.57%19.72%
20011.55%$9,720-15.01%$292,0564.31%$296,685-5.53%$300,271-20.15%-10.97%4.31%
20022.38%$9,874-18.37%$247,43516.67%$356,910-0.73%$307,997-15.08%-20.96%16.67%
20031.88%$10,09835.31%$347,1012.68%$376,62319.17%$378,30240.34%31.35%2.68%
20043.26%$10,36916.18%$414,8027.12%$414,19711.81%$434,16320.84%12.52%7.12%
20053.42%$10,72110.20%$468,6726.61%$452,4758.59%$482,72215.57%5.98%6.61%
20062.54%$11,06620.41%$576,4621.74%$471,76111.30%$549,05626.64%15.51%1.74%
20074.08%$11,3829.90%$645,1599.24%$527,4499.77%$614,56415.52%5.49%9.24%
20080.09%$11,819-40.15%$395,05522.51%$660,040-8.96%$571,067-44.10%-37.04%22.51%
20092.72%$11,77732.23%$536,863-12.06%$591,85510.25%$642,57236.73%28.70%-12.06%
20101.50%$11,97014.47%$628,0978.93%$656,59411.58%$729,64111.12%17.09%8.93%
20112.96%$12,348-5.87%$602,88129.28%$863,38711.39%$825,832-14.56%0.96%29.28%
20121.74%$12,60417.08%$719,2563.46%$905,97610.31%$924,03118.14%16.25%3.46%
20131.50%$12,78825.30%$915,452-13.03%$799,9055.77%$990,49615.04%33.35%-13.03%
20140.76%$12,9965.10%$975,28525.27%$1,016,40314.85%$1,151,351-4.24%12.43%25.27%
20150.73%$13,011-1.76%$970,755-1.54%$1,013,566-1.74%$1,143,983-4.38%0.29%-1.54%
20162.07%$13,1759.07%$1,072,7391.21%$1,038,0154.98%$1,213,9834.65%12.53%1.21%
20172.11%$13,45623.84%$1,343,2818.59%$1,141,11916.34%$1,426,75627.40%21.05%8.59%
20181.91%$13,785-9.30%$1,230,862-1.90%$1,133,588-5.79%$1,357,523-14.44%-5.26%-1.90%
20192.29%$14,03426.59%$1,573,58014.13%$1,308,23320.18%$1,646,35121.43%30.65%14.13%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 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 Correlation0.93-0.080.73
Beta(*)0.92-0.060.42
Alpha (annualized)-0.27%8.95%4.55%
R286.20%0.71%53.47%
Sharpe Ratio0.460.500.70
Sortino Ratio0.650.861.08
Treynor Ratio (%)7.37-89.2514.35
Calmar Ratio0.890.781.31
Active Return-1.23%-2.38%-1.22%
Tracking Error5.65%18.80%10.49%
Information Ratio-0.22-0.13-0.12
Skewness-0.770.47-0.36
Excess Kurtosis2.201.832.42
Historical Value-at-Risk (5%)-7.13%-3.70%-3.42%
Analytical Value-at-Risk (5%)-6.22%-4.13%-3.33%
Conditional Value-at-Risk (5%)-10.10%-5.14%-5.09%
Upside Capture Ratio (%)88.3415.0150.32
Downside Capture Ratio (%)90.75-24.4632.69
Safe Withdrawal Rate9.05%7.50%8.71%
Perpetual Withdrawal Rate6.12%5.13%6.14%
Positive Periods263 out of 408 (64.46%)246 out of 408 (60.29%)279 out of 408 (68.38%)
Gain/Loss Ratio0.921.241.04
* 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 PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Black Monday PeriodSep 1987Nov 1987-21.83%-3.72%-11.80%
Asian CrisisJul 1997Jan 1998-6.05%-2.57%-4.35%
Russian Debt DefaultJul 1998Oct 1998-15.47%-1.69%-5.84%
Dotcom CrashMar 2000Oct 2002-44.81%-8.18%-11.09%
Subprime CrisisNov 2007Mar 2009-54.33%-9.39%-22.84%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20134 years 1 month5 years 5 months-54.33%
2Apr 2000Sep 20022 years 6 monthsNov 20053 years 2 months5 years 8 months-44.81%
3Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-21.83%
4Jan 1990Sep 19909 monthsOct 19911 year 1 month1 year 10 months-21.12%
5May 1998Aug 19984 monthsDec 19984 months8 months-15.78%
6Feb 2018Dec 201811 monthsJun 20196 months1 year 5 months-13.97%
7Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.17%
8Jan 1992Mar 19923 monthsFeb 199311 months1 year 2 months-6.26%
9Sep 1986Oct 19862 monthsJan 19873 months5 months-6.19%
10Aug 1997Oct 19973 monthsFeb 19984 months7 months-6.05%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-14.78%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Mar 1987Sep 19877 monthsFeb 19885 months1 year-12.25%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.06%
6Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
7Feb 1994Oct 19949 monthsMay 19957 months1 year 4 months-11.07%
8Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
9Oct 1998Dec 19991 year 3 monthsAug 20008 months1 year 11 months-9.56%
10Jan 1996May 19965 monthsNov 19966 months11 months-8.93%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-22.84%
2Jan 1990Sep 19909 monthsFeb 19915 months1 year 2 months-12.42%
3Sep 1987Nov 19873 monthsSep 198810 months1 year 1 month-11.80%
4Sep 2000Jul 20021 year 11 monthsSep 20031 year 2 months3 years 1 month-11.09%
5Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-7.35%
6Aug 2016Nov 20164 monthsMay 20176 months10 months-7.02%
7Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-6.60%
8Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-6.54%
9Jul 1998Aug 19982 monthsOct 19982 months4 months-5.84%
10May 2013Aug 20134 monthsJan 20145 months9 months-5.82%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Global ex-US Stock Market7.03%17.64%63.38%-44.10%-58.50%0.290.430.70
US Stock Market10.46%14.99%35.79%-37.04%-50.89%0.530.751.00
Long Term Treasury8.09%10.16%30.87%-13.03%-16.68%0.500.86-0.08

Monthly Correlations

Correlations for the portfolio assets
NameGlobal ex-US Stock MarketUS Stock MarketLong Term TreasuryPortfolio 1Portfolio 2Portfolio 3
Global ex-US Stock Market1.000.70-0.080.91-0.080.74
US Stock Market0.701.00-0.080.93-0.080.73
Long Term Treasury-0.08-0.081.00-0.091.000.52

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 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
NamePortfolio 1Portfolio 2Portfolio 3
Global ex-US Stock Market47.68%36.38%
US Stock Market52.32%33.08%
Long Term Treasury100.00%30.54%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.86%59.45%-46.90%7.98%32.53%-13.45%8.98%42.41%-20.06%
3 years8.48%25.13%-17.49%7.72%18.01%-1.38%8.56%19.14%-3.20%
5 years8.02%21.10%-5.18%7.88%14.47%1.79%8.52%14.14%2.22%
7 years7.94%17.29%-0.87%7.87%12.23%2.19%8.55%12.97%4.68%
10 years7.67%14.21%-1.47%7.86%11.91%4.01%8.48%12.91%4.13%
15 years7.18%13.16%3.36%7.79%10.43%5.22%8.23%11.90%6.33%