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 
Asset Class
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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 1995 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
International ex-US Small Cap 100.00%
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Portfolio 2
Asset Class Allocation
Intl Developed ex-US Market 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$61,849 7.26% 17.33%66.48%-41.68%-57.69% 0.360.530.73
Portfolio 2$10,000$37,571 5.22% 16.56%38.67%-41.27%-57.06% 0.260.360.84
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 117.63%11.84%3.43%8.55%4.93%7.26%21.47%17.75%
Portfolio 216.93%10.26%4.81%8.31%5.92%5.22%18.86%15.71%
Trailing annualized return and volatility are for full months ending in December 2020 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
YearInflationPortfolio 1Portfolio 2International ex-US Small CapIntl Developed ex-US Market
ReturnBalanceReturnBalance
19952.54%1.16%$10,1163.98%$10,3981.16%3.98%
19963.32%0.95%$10,2124.68%$10,8850.95%4.68%
19971.70%-22.72%$7,892-1.39%$10,734-22.72%-1.39%
19981.61%5.27%$8,30816.51%$12,5065.27%16.51%
19992.68%19.04%$9,89037.96%$17,25319.04%37.96%
20003.39%-3.08%$9,585-14.29%$14,788-3.08%-14.29%
20011.55%-4.59%$9,145-21.94%$11,544-4.59%-21.94%
20022.38%5.79%$9,674-15.62%$9,7415.79%-15.62%
20031.88%66.48%$16,10638.67%$13,50866.48%38.67%
20043.26%34.80%$21,71120.25%$16,24334.80%20.25%
20053.42%23.23%$26,75513.60%$18,45223.23%13.60%
20062.54%28.39%$34,35226.27%$23,29928.39%26.27%
20074.08%2.95%$35,36311.15%$25,8982.95%11.15%
20080.09%-41.68%$20,625-41.27%$15,209-41.68%-41.27%
20092.72%47.52%$30,42528.27%$19,50947.52%28.27%
20101.50%25.60%$38,2158.36%$21,14025.60%8.36%
20112.96%-19.63%$30,714-12.51%$18,494-19.63%-12.51%
20121.74%20.73%$37,08118.56%$21,92720.73%18.56%
20131.50%16.60%$43,23622.06%$26,76516.60%22.06%
20140.76%-5.06%$41,050-5.66%$25,249-5.06%-5.66%
20150.73%-0.01%$41,047-0.19%$25,202-0.01%-0.19%
20162.07%4.26%$42,7952.45%$25,8204.26%2.45%
20172.11%30.60%$55,89126.40%$32,63630.60%26.40%
20181.91%-18.47%$45,566-14.46%$27,918-18.47%-14.46%
20192.29%21.36%$55,30022.05%$34,07421.36%22.05%
20201.36%11.84%$61,84910.26%$37,57111.84%10.26%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.71%0.54%
Arithmetic Mean (annualized)8.89%6.69%
Geometric Mean (monthly)0.59%0.43%
Geometric Mean (annualized)7.26%5.22%
Volatility (monthly)5.00%4.78%
Volatility (annualized)17.33%16.56%
Downside Deviation (monthly)3.35%3.33%
Max. Drawdown-57.69%-57.06%
US Market Correlation0.730.84
Beta(*)0.820.90
Alpha (annualized)-0.63%-3.66%
R253.40%71.37%
Sharpe Ratio0.360.26
Sortino Ratio0.530.36
Treynor Ratio (%)7.724.70
Calmar Ratio0.100.20
Active Return-3.26%-5.29%
Tracking Error12.17%8.99%
Information Ratio-0.27-0.59
Skewness-0.52-0.56
Excess Kurtosis2.591.53
Historical Value-at-Risk (5%)-7.19%-7.67%
Analytical Value-at-Risk (5%)-7.52%-7.32%
Conditional Value-at-Risk (5%)-11.76%-11.36%
Upside Capture Ratio (%)73.7477.84
Downside Capture Ratio (%)81.2597.65
Safe Withdrawal Rate5.73%5.14%
Perpetual Withdrawal Rate4.76%2.91%
Positive Periods175 out of 312 (56.09%)185 out of 312 (59.29%)
Gain/Loss Ratio1.130.91
* 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 1998-25.10%-11.23%
Russian Debt DefaultJul 1998Oct 1998-15.95%-14.43%
Dotcom CrashMar 2000Oct 2002-14.18%-47.00%
Subprime CrisisNov 2007Mar 2009-57.69%-57.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-57.69%
2Feb 2018Mar 20202 years 2 monthsDec 20209 months2 years 11 months-33.27%
3Jun 1996Sep 19982 years 4 monthsMay 20034 years 8 months7 years-32.59%
4May 2011Sep 20115 monthsOct 20132 years 1 month2 years 6 months-26.81%
5Jul 2014Jan 20161 year 7 monthsApr 20171 year 3 months2 years 10 months-18.53%
6Aug 1995Oct 19953 monthsFeb 19964 months7 months-7.04%
7May 2006Jul 20063 monthsOct 20063 months6 months-6.91%
8Jun 2007Aug 20073 monthsOct 20072 months5 months-4.75%
9Apr 2004May 20042 monthsSep 20044 months6 months-4.47%
10Mar 2005May 20053 monthsJul 20052 months5 months-4.32%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20145 years 3 months6 years 7 months-57.06%
2Jan 2000Mar 20033 years 3 monthsSep 20052 years 6 months5 years 9 months-48.19%
3Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-24.32%
4Jul 2014Feb 20161 year 8 monthsApr 20171 year 2 months2 years 10 months-17.79%
5Jun 1998Sep 19984 monthsDec 19983 months7 months-14.47%
6Aug 1997Dec 19975 monthsMar 19983 months8 months-11.23%
7Jan 1995Feb 19952 monthsApr 19952 months4 months-8.89%
8May 1996Jan 19979 monthsMay 19974 months1 year 1 month-5.79%
9Aug 1995Oct 19953 monthsDec 19952 months5 months-4.37%
10May 1999May 19991 monthJun 19991 month2 months-4.28%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
International ex-US Small Cap7.26%17.33%66.48%-41.68%-57.69%0.360.530.73
Intl Developed ex-US Market5.22%16.56%38.67%-41.27%-57.06%0.260.360.84

Monthly Correlations

Correlations for the portfolio assets
NameInternational ex-US Small CapIntl Developed ex-US MarketPortfolio 1Portfolio 2
International ex-US Small Cap1.000.891.000.89
Intl Developed ex-US Market0.891.000.891.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
International ex-US Small Cap$51,849
Intl Developed ex-US Market$27,571

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
International ex-US Small Cap100.00%
Intl Developed ex-US Market100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.84%89.97%-50.20%6.47%57.71%-49.95%
3 years7.95%46.13%-16.40%5.30%31.15%-19.64%
5 years8.41%33.55%-4.68%4.85%23.71%-7.13%
7 years8.88%23.29%-1.31%4.67%11.99%-2.53%
10 years9.36%16.18%2.04%5.07%9.94%-0.39%
15 years9.20%12.71%3.53%4.96%9.05%2.57%