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
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 1995 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 20.00%
US Small Cap Value 20.00%
Intl Developed ex-US Market 8.00%
Emerging Markets 12.00%
International ex-US Small Cap 20.00%
Total US Bond Market 20.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 40.00%
Global ex-US Stock Market 40.00%
Total US Bond Market 20.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$89,280 8.78% 12.93%37.81%-30.78%-45.36% 0.540.780.92
Portfolio 2$10,000$70,496 7.80% 12.35%29.47%-31.44%-44.68% 0.490.700.96

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 115.06%11.84%6.68%9.82%7.55%8.78%16.37%13.35%
Portfolio 212.53%14.34%8.87%10.72%8.39%7.80%14.90%12.18%
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 2US Stock MarketUS Small Cap ValueIntl Developed ex-US MarketEmerging MarketsInternational ex-US Small CapTotal US Bond MarketGlobal ex-US Stock Market
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.77%0.69%
Arithmetic Mean (annualized)9.70%8.63%
Geometric Mean (monthly)0.70%0.63%
Geometric Mean (annualized)8.78%7.80%
Volatility (monthly)3.73%3.56%
Volatility (annualized)12.93%12.35%
Downside Deviation (monthly)2.51%2.41%
Max. Drawdown-45.36%-44.68%
US Market Correlation0.920.96
Alpha (annualized)0.62%-0.26%
Sharpe Ratio0.540.49
Sortino Ratio0.780.70
Treynor Ratio (%)9.147.95
Calmar Ratio0.310.51
Active Return-1.73%-2.72%
Tracking Error6.07%5.19%
Information Ratio-0.29-0.52
Excess Kurtosis2.641.80
Historical Value-at-Risk (5%)-5.83%-5.53%
Analytical Value-at-Risk (5%)-5.36%-5.17%
Conditional Value-at-Risk (5%)-8.87%-8.31%
Upside Capture Ratio (%)76.0973.35
Downside Capture Ratio (%)76.4077.70
Safe Withdrawal Rate8.40%7.49%
Perpetual Withdrawal Rate6.09%5.24%
Positive Periods198 out of 312 (63.46%)199 out of 312 (63.78%)
Gain/Loss Ratio1.000.94
* 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 1998-5.01%-5.11%
Russian Debt DefaultJul 1998Oct 1998-14.38%-11.96%
Dotcom CrashMar 2000Oct 2002-16.32%-33.75%
Subprime CrisisNov 2007Mar 2009-45.36%-44.68%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-45.36%
2Jan 2020Mar 20203 monthsNov 20208 months11 months-21.29%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-18.11%
4May 1998Aug 19984 monthsApr 19998 months1 year-17.48%
5Jun 2002Sep 20024 monthsJul 200310 months1 year 2 months-16.32%
6Feb 2001Sep 20018 monthsApr 20027 months1 year 3 months-13.83%
7Feb 2018Dec 201811 monthsNov 201911 months1 year 10 months-13.22%
8Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-11.81%
9Sep 2000Nov 20003 monthsJan 20012 months5 months-8.34%
10Oct 1997Nov 19972 monthsFeb 19983 months5 months-5.01%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-44.68%
2Apr 2000Sep 20022 years 6 monthsNov 20042 years 2 months4 years 8 months-33.75%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-17.44%
4May 2011Sep 20115 monthsNov 20121 year 2 months1 year 7 months-16.13%
5May 1998Aug 19984 monthsNov 19983 months7 months-12.04%
6Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-11.57%
7Jun 2015Feb 20169 monthsSep 20167 months1 year 4 months-10.84%
8Aug 1997Oct 19973 monthsFeb 19984 months7 months-5.11%
9May 2019May 20191 monthJun 20191 month2 months-4.58%
10Jan 2000Jan 20001 monthMar 20002 months3 months-4.20%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.52%15.53%35.79%-37.04%-50.89%0.580.841.00
US Small Cap Value10.85%18.73%37.19%-32.05%-56.13%0.530.750.88
Intl Developed ex-US Market5.22%16.56%38.67%-41.27%-57.06%0.260.360.84
Emerging Markets6.54%22.67%75.98%-52.81%-62.70%0.300.420.77
International ex-US Small Cap7.26%17.33%66.48%-41.68%-57.69%0.360.530.73
Total US Bond Market5.45%3.51%18.18%-2.26%-3.99%0.901.54-0.02
Global ex-US Stock Market5.16%17.00%40.34%-44.10%-58.50%0.250.350.85

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValueIntl Developed ex-US MarketEmerging MarketsInternational ex-US Small CapTotal US Bond MarketGlobal ex-US Stock MarketPortfolio 1Portfolio 2
US Stock Market1.000.880.840.770.73-0.020.850.920.96
US Small Cap Value0.881.000.770.710.74-0.030.780.910.86
Intl Developed ex-US Market0.840.771.000.820.89-0.000.990.930.96
Emerging Markets0.770.710.821.000.790.010.880.880.86
International ex-US Small Cap0.730.740.890.791.000.040.900.900.85
Total US Bond Market-0.02-0.03-
Global ex-US Stock Market0.850.780.990.880.900.001.000.940.96

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$21,610$34,191
US Small Cap Value$18,528
Intl Developed ex-US Market$4,806
Emerging Markets$9,934
International ex-US Small Cap$15,575
Total US Bond Market$8,826$7,387
Global ex-US Stock Market$18,918

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market21.91%47.44%
US Small Cap Value26.13%
Intl Developed ex-US Market9.39%
Emerging Markets18.37%
International ex-US Small Cap23.93%
Total US Bond Market0.27%0.27%
Global ex-US Stock Market52.29%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
1 year9.02%57.90%-38.64%8.03%48.20%-38.05%
3 years8.29%27.43%-10.98%7.07%21.20%-12.41%
5 years8.19%20.89%-1.00%6.52%17.57%-2.58%
7 years8.25%13.21%3.51%6.31%11.70%1.11%
10 years8.48%12.16%4.61%6.51%11.43%0.60%
15 years8.38%10.78%5.64%6.41%9.30%4.57%