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.

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Asset Allocation 
Asset Class
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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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Portfolio Analysis Results (Jan 1994 - May 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Global ex-US Stock Market 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 40.00%
Global ex-US Stock Market 20.00%
Total US Bond Market 30.00%
REIT 10.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$64,022 7.58% 14.86%34.95%-39.86%-54.03% 0.410.570.97
Portfolio 2$10,000$65,094 7.65% 10.04%25.37%-25.82%-39.59% 0.550.790.96
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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 May
  • 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
YearInflationReturnBalanceUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketREIT
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19942.67%3.80%0.25%$10,380$10,025-0.17%9.76%-2.66%-8.40%
19952.54%23.06%21.78%$12,774$12,20835.79%3.98%18.18%12.13%
19963.32%14.45%13.78%$14,620$13,89020.96%4.68%3.58%33.84%
19971.70%18.29%16.95%$17,294$16,24530.99%-0.77%9.44%18.77%
19981.61%20.20%13.37%$20,787$18,41723.26%15.60%8.58%-16.32%
19992.68%26.26%14.88%$26,245$21,15623.81%29.92%-0.76%-4.04%
20003.39%-12.59%-1.30%$22,940$20,881-10.57%-15.61%11.39%26.35%
20011.55%-14.64%-4.65%$19,582$19,910-10.97%-20.15%8.43%12.35%
20022.38%-18.61%-8.55%$15,938$18,208-20.96%-15.08%8.26%3.75%
20031.88%34.95%25.37%$21,508$22,82731.35%40.34%3.97%35.66%
20043.26%15.84%13.52%$24,915$25,91312.52%20.84%4.24%30.76%
20053.42%9.82%7.41%$27,361$27,8345.98%15.57%2.40%11.89%
20062.54%19.96%16.32%$32,823$32,37715.51%26.64%4.27%35.07%
20074.08%9.50%5.73%$35,942$34,2325.49%15.52%6.92%-16.46%
20080.09%-39.86%-25.82%$21,614$25,392-37.04%-44.10%5.05%-37.05%
20092.72%31.91%23.56%$28,512$31,37528.70%36.73%5.93%29.58%
20101.50%14.70%13.82%$32,704$35,71017.09%11.12%6.42%28.30%
20112.96%-5.25%0.59%$30,987$35,9190.96%-14.56%7.56%8.47%
20121.74%17.01%13.10%$36,258$40,62316.25%18.14%4.05%17.53%
20131.50%26.03%15.90%$45,695$47,08333.35%15.04%-2.26%2.31%
20140.76%5.76%8.86%$48,328$51,25712.43%-4.24%5.76%30.13%
20150.73%-1.58%-0.45%$47,567$51,0270.29%-4.38%0.30%2.22%
20162.07%9.38%7.53%$52,029$54,86912.53%4.65%2.50%8.34%
20172.11%23.59%15.42%$64,303$63,32821.05%27.40%3.45%4.83%
20181.91%-8.93%-5.64%$58,560$59,757-5.26%-14.44%-0.13%-6.11%
20191.72%9.33%8.93%$64,022$65,09410.89%6.98%4.85%17.25%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.70%0.66%
Arithmetic Mean (annualized)8.78%8.19%
Geometric Mean (monthly)0.61%0.62%
Geometric Mean (annualized)7.58%7.65%
Volatility (monthly)4.29%2.90%
Volatility (annualized)14.86%10.04%
Downside Deviation (monthly)2.97%1.95%
Max. Drawdown-54.03%-39.59%
US Market Correlation0.970.96
Beta(*)0.970.65
Alpha (annualized)-1.25%1.44%
R294.17%91.60%
Sharpe Ratio0.410.55
Sortino Ratio0.570.79
Treynor Ratio (%)6.278.56
Calmar Ratio0.700.84
Active Return-1.65%-1.58%
Tracking Error3.61%5.99%
Information Ratio-0.46-0.26
Skewness-0.77-0.90
Excess Kurtosis1.812.83
Historical Value-at-Risk (5%)-7.73%-4.92%
Analytical Value-at-Risk (5%)-6.35%-4.11%
Conditional Value-at-Risk (5%)-10.21%-6.73%
Upside Capture Ratio (%)92.8065.99
Downside Capture Ratio (%)99.4562.71
Safe Withdrawal Rate7.69%7.77%
Perpetual Withdrawal Rate5.05%5.11%
Positive Periods192 out of 305 (62.95%)204 out of 305 (66.89%)
Gain/Loss Ratio0.900.89
* 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 2
Asian CrisisJul 1997Jan 1998-5.63%-3.61%
Russian Debt DefaultJul 1998Oct 1998-15.67%-10.77%
Dotcom CrashMar 2000Oct 2002-44.71%-20.74%
Subprime CrisisNov 2007Mar 2009-54.03%-39.59%

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-54.03%
2Apr 2000Sep 20022 years 6 monthsDec 20053 years 3 months5 years 9 months-44.71%
3May 1998Aug 19984 monthsDec 19984 months8 months-15.89%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-13.61%
5Jun 2015Feb 20169 monthsSep 20167 months1 year 4 months-12.77%
6May 2019May 20191 month-6.10%
7Aug 1997Oct 19973 monthsFeb 19984 months7 months-5.63%
8Jan 2000Jan 20001 monthMar 20002 months3 months-5.00%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-4.93%
10Jun 1996Jul 19962 monthsSep 19962 months4 months-4.88%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-39.59%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-20.74%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.49%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-10.77%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-8.77%
6Jun 2015Feb 20169 monthsJun 20164 months1 year 1 month-6.95%
7Apr 2012May 20122 monthsAug 20123 months5 months-5.07%
8Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-5.01%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.38%
10Feb 2018Mar 20182 monthsAug 20185 months7 months-4.00%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.23%14.85%35.79%-37.04%-50.89%0.510.731.00
Global ex-US Stock Market4.71%16.54%40.34%-44.10%-58.50%0.220.310.83
Total US Bond Market5.02%3.56%18.18%-2.66%-5.01%0.741.20-0.01
REIT9.40%19.15%35.66%-37.05%-68.28%0.450.650.57

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketREITPortfolio 1Portfolio 2
US Stock Market-0.83-0.010.570.970.96
Global ex-US Stock Market0.83-0.010.550.940.91
Total US Bond Market-0.010.01-0.19-0.000.14
REIT0.570.550.19-0.580.71

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$39,991$29,175
Global ex-US Stock Market$14,031$8,257
Total US Bond Market$10,035
REIT$7,628

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market58.12%55.70%
Global ex-US Stock Market41.88%29.50%
Total US Bond Market1.50%
REIT13.30%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.92%34.95%-39.86%8.07%25.37%-25.82%
3 years7.94%21.53%-15.32%7.89%17.46%-4.88%
5 years7.31%20.38%-1.62%7.57%16.11%2.10%
7 years6.50%12.59%1.42%7.16%11.09%3.54%
10 years6.29%10.48%0.39%7.03%9.96%3.26%
15 years6.07%9.75%4.15%6.87%8.66%6.08%
Result statistics are based on annualized rolling returns over full calendar year periods