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
Portfolio #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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Portfolio Analysis Results (Jan 2001 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
TIPS 100.00%
Save portfolio »
Portfolio 2
Asset Class Allocation
Global Bonds (USD Hedged) 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$27,457 5.18% 5.73%16.61%-8.92%-12.50% 0.671.020.06
Portfolio 2$10,000$30,274 5.69% 3.63%15.30%-2.35%-10.03% 1.151.920.14
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 11.62%10.90%5.69%4.87%3.60%5.18%3.69%3.52%
Portfolio 22.48%7.31%4.47%4.78%5.04%5.69%3.36%3.02%
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 2TIPSGlobal Bonds (USD Hedged)
ReturnBalanceReturnBalance
20011.55%7.61%$10,76110.83%$11,0837.61%10.83%
20022.38%16.61%$12,5489.29%$12,11216.61%9.29%
20031.88%8.00%$13,5533.93%$12,5898.00%3.93%
20043.26%8.27%$14,6746.11%$13,3588.27%6.11%
20053.42%2.59%$15,0544.98%$14,0232.59%4.98%
20062.54%0.43%$15,1182.94%$14,4360.43%2.94%
20074.08%11.59%$16,8714.99%$15,15711.59%4.99%
20080.09%-2.85%$16,391-2.35%$14,800-2.85%-2.35%
20092.72%10.80%$18,16115.30%$17,06510.80%15.30%
20101.50%6.17%$19,2818.53%$18,5206.17%8.53%
20112.96%13.23%$21,8338.60%$20,11213.23%8.60%
20121.74%6.77%$23,3129.54%$22,0306.77%9.54%
20131.50%-8.92%$21,233-0.81%$21,851-8.92%-0.81%
20140.76%3.83%$22,0469.70%$23,9713.83%9.70%
20150.73%-1.83%$21,643-0.00%$23,971-1.83%-0.00%
20162.07%4.52%$22,6226.17%$25,4494.52%6.17%
20172.11%2.81%$23,2584.32%$26,5492.81%4.32%
20181.91%-1.49%$22,912-0.46%$26,426-1.49%-0.46%
20192.29%8.06%$24,7586.76%$28,2128.06%6.76%
20201.36%10.90%$27,4577.31%$30,27410.90%7.31%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.44%0.47%
Arithmetic Mean (annualized)5.35%5.76%
Geometric Mean (monthly)0.42%0.46%
Geometric Mean (annualized)5.18%5.69%
Volatility (monthly)1.66%1.05%
Volatility (annualized)5.73%3.63%
Downside Deviation (monthly)1.05%0.59%
Max. Drawdown-12.50%-10.03%
US Market Correlation0.060.14
Beta(*)0.020.03
Alpha (annualized)5.03%5.32%
R20.36%2.01%
Sharpe Ratio0.671.15
Sortino Ratio1.021.92
Treynor Ratio (%)173.67127.98
Calmar Ratio2.401.13
Active Return-2.73%-2.22%
Tracking Error16.25%15.46%
Information Ratio-0.17-0.14
Skewness-0.76-0.66
Excess Kurtosis4.774.08
Historical Value-at-Risk (5%)-2.09%-1.02%
Analytical Value-at-Risk (5%)-2.29%-1.26%
Conditional Value-at-Risk (5%)-3.70%-2.12%
Upside Capture Ratio (%)10.0613.44
Downside Capture Ratio (%)-14.58-11.67
Safe Withdrawal Rate7.33%7.30%
Perpetual Withdrawal Rate2.99%3.46%
Positive Periods160 out of 240 (66.67%)173 out of 240 (72.08%)
Gain/Loss Ratio0.981.28
* 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
Subprime CrisisNov 2007Mar 2009-12.50%-10.03%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsSep 200911 months1 year 6 months-12.50%
2Dec 2012Dec 20131 year 1 monthMar 20195 years 3 months6 years 4 months-9.43%
3Jun 2003Jul 20032 monthsDec 20035 months7 months-5.32%
4Apr 2004Apr 20041 monthAug 20044 months5 months-4.69%
5Nov 2001Dec 20012 monthsApr 20024 months6 months-3.37%
6Nov 2010Dec 20102 monthsApr 20114 months6 months-3.22%
7Oct 2002Oct 20021 monthDec 20022 months3 months-2.75%
8Feb 2006Apr 20063 monthsAug 20064 months7 months-2.38%
9Dec 2006Dec 20061 monthMar 20073 months4 months-2.32%
10Dec 2009Dec 20091 monthApr 20104 months5 months-2.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Nov 20089 monthsJul 20098 months1 year 5 months-10.03%
2May 2013Aug 20134 monthsApr 20148 months1 year-4.24%
3Mar 2020Mar 20201 monthJun 20203 months4 months-3.95%
4Feb 2015Jun 20155 monthsApr 201610 months1 year 3 months-3.67%
5Jun 2003Aug 20033 monthsJan 20045 months8 months-2.34%
6Oct 2016Nov 20162 monthsApr 20175 months7 months-2.07%
7Nov 2010Dec 20102 monthsMay 20115 months7 months-1.97%
8Mar 2007Jun 20074 monthsAug 20072 months6 months-1.62%
9Nov 2001Mar 20025 monthsApr 20021 month6 months-1.11%
10Dec 2006Jan 20072 monthsFeb 20071 month3 months-1.06%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TIPS5.18%5.73%16.61%-8.92%-12.50%0.671.020.06
Global Bonds (USD Hedged)5.69%3.63%15.30%-2.35%-10.03%1.151.920.14

Monthly Correlations

Correlations for the portfolio assets
NameTIPSGlobal Bonds (USD Hedged)Portfolio 1Portfolio 2
TIPS1.000.701.000.70
Global Bonds (USD Hedged)0.701.000.701.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
TIPS$17,457
Global Bonds (USD Hedged)$20,274

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
TIPS100.00%
Global Bonds (USD Hedged)100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.05%19.26%-8.92%5.51%20.60%-5.78%
3 years4.48%11.84%-2.45%5.33%11.43%0.77%
5 years4.28%8.53%-0.33%5.41%9.07%2.27%
7 years4.34%8.03%0.59%5.56%7.86%3.04%
10 years4.57%7.50%2.55%5.79%6.41%4.55%
15 years4.25%5.29%3.42%5.40%6.10%4.85%