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 1972 - Dec 2020)

Portfolio Allocations

US Mid Cap Value
Asset Class Allocation
US Mid Cap Value 100.00%
Save portfolio »
US Stock Market
Asset Class Allocation
US Stock Market 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Mid Cap Value$10,000$3,588,294 12.76% 16.79%56.79%-36.64%-56.51% 0.530.780.91
US Stock Market$10,000$1,421,889 10.65% 15.65%37.82%-37.04%-50.89% 0.430.631.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
US Mid Cap Value18.09%2.41%4.62%9.03%10.56%12.76%22.67%18.52%
US Stock Market14.65%20.87%14.37%15.30%13.66%10.65%19.67%16.01%
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
YearInflationUS Mid Cap ValueUS Stock MarketUS Mid Cap ValueUS Stock Market
ReturnBalanceReturnBalance
19723.41%11.94%$11,19417.62%$11,76211.94%17.62%
19738.71%-13.77%$9,652-18.18%$9,623-13.77%-18.18%
197412.34%-19.80%$7,741-27.81%$6,947-19.80%-27.81%
19756.94%56.79%$12,13737.82%$9,57456.79%37.82%
19764.86%46.79%$17,81726.47%$12,10846.79%26.47%
19776.70%5.24%$18,751-3.36%$11,7015.24%-3.36%
19789.02%9.05%$20,4478.45%$12,6919.05%8.45%
197913.29%29.84%$26,54924.25%$15,76829.84%24.25%
198012.52%17.60%$31,22133.15%$20,99517.60%33.15%
19818.92%10.20%$34,404-4.15%$20,12410.20%-4.15%
19823.83%29.36%$44,50520.50%$24,24929.36%20.50%
19833.79%32.69%$59,05422.66%$29,74332.69%22.66%
19843.95%2.54%$60,5542.19%$30,3942.54%2.19%
19853.80%32.31%$80,11731.27%$39,89832.31%31.27%
19861.10%18.13%$94,64014.57%$45,71318.13%14.57%
19874.43%-0.98%$93,7152.61%$46,908-0.98%2.61%
19884.42%24.96%$117,10717.32%$55,03124.96%17.32%
19894.65%24.92%$146,28528.12%$70,50524.92%28.12%
19906.11%-16.75%$121,776-6.08%$66,220-16.75%-6.08%
19913.06%41.56%$172,38132.39%$87,67041.56%32.39%
19922.90%19.50%$206,0029.11%$95,65419.50%9.11%
19932.75%17.18%$241,38810.62%$105,81717.18%10.62%
19942.67%-3.03%$234,077-0.17%$105,638-3.03%-0.17%
19952.54%33.38%$312,22035.79%$143,44133.38%35.79%
19963.32%20.15%$375,13520.96%$173,51020.15%20.96%
19971.70%35.08%$506,73830.99%$227,28835.08%30.99%
19981.61%3.67%$525,32223.26%$280,1653.67%23.26%
19992.68%3.12%$541,69023.81%$346,8803.12%23.81%
20003.39%19.80%$648,923-10.57%$310,19919.80%-10.57%
20011.55%-0.84%$643,496-10.97%$276,183-0.84%-10.97%
20022.38%-12.95%$560,171-20.96%$218,293-12.95%-20.96%
20031.88%37.94%$772,68531.35%$286,73637.94%31.35%
20043.26%26.04%$973,90112.52%$322,62426.04%12.52%
20053.42%16.02%$1,129,8735.98%$341,91816.02%5.98%
20062.54%14.77%$1,296,78015.51%$394,95414.77%15.51%
20074.08%-4.37%$1,240,0785.49%$416,635-4.37%5.49%
20080.09%-36.64%$785,714-37.04%$262,323-36.64%-37.04%
20092.72%37.61%$1,081,19728.70%$337,60437.61%28.70%
20101.50%21.63%$1,315,08617.09%$395,31321.63%17.09%
20112.96%-0.44%$1,309,2900.96%$399,116-0.44%0.96%
20121.74%15.91%$1,517,56516.25%$463,98515.91%16.25%
20131.50%37.42%$2,085,38033.35%$618,72237.42%33.35%
20140.76%13.84%$2,374,03412.43%$695,62513.84%12.43%
20150.73%-1.91%$2,328,7980.29%$697,654-1.91%0.29%
20162.07%15.11%$2,680,63012.53%$785,09315.11%12.53%
20172.11%16.91%$3,134,02921.05%$950,36716.91%21.05%
20181.91%-12.53%$2,741,322-5.26%$900,414-12.53%-5.26%
20192.29%27.82%$3,504,00130.65%$1,176,38027.82%30.65%
20201.36%2.41%$3,588,29420.87%$1,421,8892.41%20.87%
Portfolio return and risk metrics
MetricUS Mid Cap ValueUS Stock Market
Arithmetic Mean (monthly)1.12%0.95%
Arithmetic Mean (annualized)14.36%12.01%
Geometric Mean (monthly)1.01%0.85%
Geometric Mean (annualized)12.76%10.65%
Volatility (monthly)4.85%4.52%
Volatility (annualized)16.79%15.65%
Downside Deviation (monthly)3.11%2.93%
Max. Drawdown-56.51%-50.89%
US Market Correlation0.911.00
Beta(*)0.981.00
Alpha (annualized)2.35%0.00%
R283.15%100.00%
Sharpe Ratio0.530.43
Sortino Ratio0.780.63
Treynor Ratio (%)9.126.82
Calmar Ratio0.150.69
Active Return2.11%0.00%
Tracking Error6.90%0.00%
Information Ratio0.31N/A
Skewness-0.56-0.53
Excess Kurtosis3.472.11
Historical Value-at-Risk (5%)-6.33%-7.05%
Analytical Value-at-Risk (5%)-6.85%-6.48%
Conditional Value-at-Risk (5%)-10.82%-10.03%
Upside Capture Ratio (%)102.61100.00
Downside Capture Ratio (%)92.61100.00
Safe Withdrawal Rate7.02%4.32%
Perpetual Withdrawal Rate7.91%6.15%
Positive Periods379 out of 588 (64.46%)368 out of 588 (62.59%)
Gain/Loss Ratio1.021.03
* 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 PeriodStartEndUS Mid Cap ValueUS Stock Market
Oil CrisisOct 1973Mar 1974-12.80%-12.61%
Black Monday PeriodSep 1987Nov 1987-27.49%-29.34%
Asian CrisisJul 1997Jan 1998-3.58%-3.72%
Russian Debt DefaultJul 1998Oct 1998-19.39%-17.57%
Dotcom CrashMar 2000Oct 2002-26.74%-44.11%
Subprime CrisisNov 2007Mar 2009-53.21%-50.89%
COVID-19 StartJan 2020Mar 2020-31.38%-20.89%

Drawdowns for US Mid Cap Value

Drawdowns for US Mid Cap Value (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-56.51%
2Dec 1972Sep 19741 year 10 monthsJun 19759 months2 years 7 months-37.28%
3Jan 2020Mar 20203 monthsDec 20209 months1 year-31.38%
4Sep 1989Oct 19901 year 2 monthsMay 19917 months1 year 9 months-30.44%
5Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-27.49%
6Jun 2001Sep 20021 year 4 monthsOct 20031 year 1 month2 years 5 months-26.74%
7May 1998Aug 19984 monthsApr 19998 months1 year-21.42%
8May 2011Sep 20115 monthsSep 20121 year1 year 5 months-21.00%
9Jul 1999Feb 20008 monthsOct 20008 months1 year 4 months-17.71%
10Feb 1980Mar 19802 monthsJun 19803 months5 months-16.30%
Worst 10 drawdowns included above

Drawdowns for US Stock Market

Drawdowns for US Stock Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
3Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
5Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
6Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
7Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
8Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
9Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
10Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Mid Cap Value12.76%16.79%56.79%-36.64%-56.51%0.530.780.91
US Stock Market10.65%15.65%37.82%-37.04%-50.89%0.430.631.00

Monthly Correlations

Correlations for the portfolio assets
NameUS Mid Cap ValueUS Stock MarketUS Mid Cap ValueUS Stock Market
US Mid Cap Value1.000.911.000.91
US Stock Market0.911.000.911.00

Portfolio Return Decomposition

Portfolio return decomposition
NameUS Mid Cap ValueUS Stock Market
US Mid Cap Value$3,578,294
US Stock Market$1,411,889

Portfolio Risk Decomposition

Portfolio risk decomposition
NameUS Mid Cap ValueUS Stock Market
US Mid Cap Value100.00%
US Stock Market100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodUS Mid Cap ValueUS Stock Market
AverageHighLowAverageHighLow
1 year14.08%76.69%-45.40%11.62%66.73%-43.18%
3 years13.71%36.35%-19.07%11.11%30.70%-16.27%
5 years13.74%30.24%-5.33%11.14%27.25%-6.23%
7 years13.72%25.06%-0.42%11.20%21.23%-3.02%
10 years13.60%23.42%2.12%11.10%18.89%-2.57%
15 years13.46%22.56%6.26%10.99%18.21%4.25%