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 1978 - Dec 2019)

Note: The time period was constrained by the available data for Long Term Treasury [Jan 1978 - Jul 2020].

Portfolio Allocations

Portfolio 1
Asset Class	Allocation
US Stock Market	60.00%
Intermediate Term Treasury	40.00%
Save asset allocation »

Portfolio 2
Asset Class	Allocation
US Stock Market	60.00%
Long Term Treasury	20.00%
Cash	20.00%
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	$1,000,000	$24,884,144	7.95%	10.13%	10.86%	9.51%	29.51%	-19.50%	-30.29% (-32.01%)	0.59	0.89	0.97
Portfolio 2	$1,000,000	$22,368,135	7.68%	9.94%	10.69%	9.42%	28.19%	-19.97%	-31.60% (-33.47%)	0.58	0.86	0.97
^* The number in parentheses shows the calculated value taking into account the periodic withdrawals.

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 monthly rebalancing of portfolio assets to match the specified allocation
Inflation adjusted annual withdrawal of $40,000 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			US Stock Market	Intermediate Term Treasury	Long Term Treasury	Cash
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 1	Portfolio 2	Adjustment	US Stock Market	Intermediate Term Treasury	Long Term Treasury	Cash
1978	9.02%	5.78%	6.53%	$1,014,236	$1,021,701	-$43,607	8.45%	1.15%	-1.55%	7.45%
1979	13.29%	16.48%	15.98%	$1,131,981	$1,135,520	-$49,404	24.25%	5.35%	-2.10%	10.49%
1980	12.52%	21.07%	21.34%	$1,314,870	$1,322,214	-$55,588	33.15%	2.88%	-4.99%	12.15%
1981	8.92%	1.22%	0.74%	$1,270,383	$1,271,413	-$60,548	-4.15%	9.41%	0.65%	15.29%
1982	3.83%	24.97%	23.89%	$1,524,692	$1,512,247	-$62,866	20.50%	31.13%	47.10%	11.45%
1983	3.79%	15.50%	14.93%	$1,695,746	$1,672,850	-$65,250	22.66%	5.22%	-1.29%	9.03%
1984	3.95%	7.39%	6.72%	$1,753,155	$1,717,481	-$67,826	2.19%	15.01%	16.24%	10.17%
1985	3.80%	27.78%	27.57%	$2,169,770	$2,120,630	-$70,402	31.27%	22.24%	36.90%	7.88%
1986	1.10%	15.05%	16.30%	$2,425,237	$2,395,074	-$71,175	14.57%	15.10%	30.87%	6.28%
1987	4.43%	3.63%	3.55%	$2,438,907	$2,405,845	-$74,332	2.61%	1.55%	-2.92%	5.93%
1988	4.42%	12.39%	13.59%	$2,663,550	$2,655,081	-$77,617	17.32%	5.26%	9.15%	6.80%
1989	4.65%	22.69%	22.15%	$3,186,575	$3,162,017	-$81,224	28.12%	14.52%	17.93%	8.61%
1990	6.11%	0.13%	-0.82%	$3,104,654	$3,049,811	-$86,183	-6.08%	9.46%	5.78%	7.89%
1991	3.06%	25.83%	23.87%	$3,817,899	$3,688,859	-$88,824	32.39%	15.97%	17.43%	5.71%
1992	2.90%	8.66%	7.72%	$4,057,089	$3,882,206	-$91,401	9.11%	7.78%	7.41%	3.57%
1993	2.75%	11.01%	10.33%	$4,409,730	$4,189,395	-$93,913	10.62%	11.43%	16.78%	3.05%
1994	2.67%	-1.80%	-0.63%	$4,234,102	$4,066,650	-$96,425	-0.17%	-4.33%	-7.04%	4.20%
1995	2.54%	29.51%	28.19%	$5,384,771	$5,114,222	-$98,873	35.79%	20.44%	30.09%	5.71%
1996	3.32%	13.12%	13.16%	$5,989,351	$5,685,268	-$102,158	20.96%	1.92%	-1.26%	5.17%
1997	1.70%	21.95%	22.22%	$7,199,929	$6,844,562	-$103,897	30.99%	8.96%	13.90%	5.22%
1998	1.61%	18.98%	18.25%	$8,461,028	$7,987,923	-$105,572	23.26%	10.61%	13.05%	4.97%
1999	2.68%	12.33%	12.98%	$9,395,757	$8,916,108	-$108,406	23.81%	-3.52%	-8.66%	4.77%
2000	3.39%	-1.08%	-1.54%	$9,182,502	$8,666,819	-$112,078	-10.57%	14.03%	19.72%	5.99%
2001	1.55%	-3.30%	-4.61%	$8,765,874	$8,153,860	-$113,817	-10.97%	7.55%	4.31%	3.70%
2002	2.38%	-7.67%	-9.45%	$7,976,970	$7,266,984	-$116,522	-20.96%	14.15%	16.67%	1.65%
2003	1.88%	19.20%	19.05%	$9,389,745	$8,532,512	-$118,712	31.35%	2.37%	2.68%	1.04%
2004	3.26%	8.89%	9.24%	$10,101,943	$9,198,207	-$122,577	12.52%	3.40%	7.12%	1.32%
2005	3.42%	4.62%	5.69%	$10,442,053	$9,594,489	-$126,764	5.98%	2.31%	6.61%	3.14%
2006	2.54%	10.46%	10.55%	$11,404,654	$10,476,533	-$129,984	15.51%	3.14%	1.74%	4.82%
2007	4.08%	7.47%	6.24%	$12,120,889	$10,994,529	-$135,290	5.49%	9.98%	9.24%	4.56%
2008	0.09%	-19.50%	-19.97%	$9,621,733	$8,663,005	-$135,413	-37.04%	13.32%	22.51%	1.53%
2009	2.72%	16.21%	14.20%	$11,042,723	$9,753,950	-$139,098	28.70%	-1.69%	-12.06%	0.16%
2010	1.50%	13.78%	12.71%	$12,422,967	$10,852,401	-$141,179	17.09%	7.35%	8.93%	0.14%
2011	2.96%	4.83%	6.64%	$12,877,246	$11,427,445	-$145,361	0.96%	9.79%	29.28%	0.07%
2012	1.74%	10.82%	10.60%	$14,122,735	$12,491,427	-$147,892	16.25%	2.67%	3.46%	0.08%
2013	1.50%	17.57%	15.91%	$16,453,641	$14,328,962	-$150,113	33.35%	-3.09%	-13.03%	0.05%
2014	0.76%	9.21%	12.40%	$17,816,952	$15,954,004	-$151,248	12.43%	4.32%	25.27%	0.03%
2015	0.73%	1.03%	0.26%	$17,848,411	$15,842,580	-$152,352	0.29%	1.50%	-1.54%	0.05%
2016	2.07%	8.09%	8.03%	$19,137,566	$16,959,293	-$155,512	12.53%	1.19%	1.21%	0.30%
2017	2.11%	12.91%	14.28%	$21,450,206	$19,222,645	-$158,792	21.05%	1.58%	8.59%	0.88%
2018	1.91%	-2.47%	-2.81%	$20,759,500	$18,520,570	-$161,825	-5.26%	1.00%	-1.90%	1.90%
2019	2.29%	20.67%	21.67%	$24,884,144	$22,368,135	-$165,523	30.65%	6.29%	14.13%	2.13%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.84%	0.83%
Arithmetic Mean (annualized)	10.62%	10.42%
Geometric Mean (monthly)	0.81%	0.79%
Geometric Mean (annualized)	10.13%	9.94%
Volatility (monthly)	2.75%	2.72%
Volatility (annualized)	9.51%	9.42%
Downside Deviation (monthly)	1.65%	1.65%
Max. Drawdown	-30.29%	-31.60%
US Market Correlation	0.97	0.97
Beta^(*)	0.61	0.61
Alpha (annualized)	2.71%	2.57%
R²	93.75%	94.39%
Sharpe Ratio	0.59	0.58
Sortino Ratio	0.89	0.86
Treynor Ratio (%)	9.25	9.01
Calmar Ratio	1.27	1.31
Active Return	-1.48%	-1.67%
Tracking Error	6.36%	6.36%
Information Ratio	-0.23	-0.26
Skewness	-0.47	-0.55
Excess Kurtosis	1.64	1.88
Historical Value-at-Risk (5%)	-3.81%	-3.93%
Analytical Value-at-Risk (5%)	-3.67%	-3.64%
Conditional Value-at-Risk (5%)	-5.74%	-5.82%
Upside Capture Ratio (%)	64.76	64.08
Downside Capture Ratio (%)	55.14	55.17
Safe Withdrawal Rate	7.05%	6.88%
Perpetual Withdrawal Rate	6.07%	5.91%
Positive Periods	341 out of 504 (67.66%)	340 out of 504 (67.46%)
Gain/Loss Ratio	1.06	1.06
^* 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
Black Monday Period	Sep 1987	Nov 1987	-17.07%	-17.29%
Asian Crisis	Jul 1997	Jan 1998	-2.63%	-2.66%
Russian Debt Default	Jul 1998	Oct 1998	-9.29%	-9.61%
Dotcom Crash	Mar 2000	Oct 2002	-20.41%	-23.61%
Subprime Crisis	Nov 2007	Mar 2009	-30.29%	-31.60%

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	Oct 2010	1 year 8 months	3 years	-30.29%
2	Sep 2000	Sep 2002	2 years 1 month	Jan 2004	1 year 4 months	3 years 5 months	-20.41%
3	Sep 1987	Nov 1987	3 months	Jan 1989	1 year 2 months	1 year 5 months	-17.07%
4	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-9.29%
5	Feb 1980	Mar 1980	2 months	May 1980	2 months	4 months	-9.20%
6	Jun 1981	Sep 1981	4 months	Nov 1981	2 months	6 months	-8.83%
7	Jul 1990	Oct 1990	4 months	Jan 1991	3 months	7 months	-8.46%
8	Jun 2011	Sep 2011	4 months	Jan 2012	4 months	8 months	-8.29%
9	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-7.81%
10	Sep 1978	Oct 1978	2 months	Mar 1979	5 months	7 months	-7.62%
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	Dec 2010	1 year 10 months	3 years 2 months	-31.60%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2004	2 years 2 months	4 years 3 months	-23.61%
3	Sep 1987	Nov 1987	3 months	Jan 1989	1 year 2 months	1 year 5 months	-17.29%
4	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-9.61%
5	Jul 1990	Oct 1990	4 months	Jan 1991	3 months	7 months	-9.26%
6	Jun 1981	Sep 1981	4 months	Nov 1981	2 months	6 months	-8.71%
7	Feb 1980	Mar 1980	2 months	May 1980	2 months	4 months	-8.09%
8	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-8.09%
9	Sep 1978	Oct 1978	2 months	Mar 1979	5 months	7 months	-7.32%
10	Jul 1983	May 1984	11 months	Aug 1984	3 months	1 year 2 months	-7.14%
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 Stock Market	11.60%	15.11%	35.79%	-37.04%	-50.89%	0.51	0.73	1.00
Intermediate Term Treasury	7.11%	5.96%	31.13%	-4.33%	-10.70%	0.44	0.68	0.06
Long Term Treasury	8.43%	11.06%	47.10%	-13.03%	-23.12%	0.38	0.62	0.04
Cash	4.58%	1.06%	15.29%	0.03%	0.00%	N/A	N/A	0.01

Monthly Correlations

Correlations for the portfolio assets
Name	US Stock Market	Intermediate Term Treasury	Long Term Treasury	Cash	Portfolio 1	Portfolio 2
US Stock Market	1.00	0.06	0.04	0.01	0.97	0.97
Intermediate Term Treasury	0.06	1.00	0.89	0.16	0.31	0.27
Long Term Treasury	0.04	0.89	1.00	0.05	0.26	0.27
Cash	0.01	0.16	0.05	1.00	0.05	0.05

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Stock Market	$21,567,759	$19,712,678
Intermediate Term Treasury	$6,851,927
Long Term Treasury		$4,613,407
Cash		$1,577,592

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Stock Market	92.24%	93.48%
Intermediate Term Treasury	7.76%
Long Term Treasury		6.41%
Cash		0.11%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	10.61%	29.51%	-19.50%	10.42%	28.19%	-19.97%
3 years	10.24%	21.34%	-4.05%	10.03%	21.03%	-5.25%
5 years	10.14%	19.01%	1.71%	9.90%	18.82%	1.65%
7 years	10.08%	16.00%	2.62%	9.82%	15.58%	2.26%
10 years	9.87%	15.16%	2.56%	9.59%	14.81%	2.18%
15 years	9.72%	14.36%	5.59%	9.41%	14.20%	5.31%
Result statistics are based on annualized rolling returns over full calendar year periods