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 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 1995 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 50.00%
Intl Developed ex-US Market 40.00%
Emerging Markets 10.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 55.50%
Intl Developed ex-US Market 44.50%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$79,258 8.29% 15.73%36.91%-40.31%-54.59% 0.440.630.96
Portfolio 2$10,000$79,512 8.30% 15.35%34.61%-38.92%-53.70% 0.450.640.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 115.72%16.04%9.68%12.18%9.59%8.29%18.81%15.38%
Portfolio 215.60%16.15%10.12%12.23%10.27%8.30%18.97%15.48%
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 MarketIntl Developed ex-US MarketEmerging Markets
ReturnBalanceReturnBalance
19952.54%19.54%$11,95421.63%$12,16335.79%3.98%0.56%
19963.32%13.94%$13,62013.72%$13,83220.96%4.68%15.83%
19971.70%13.26%$15,42616.58%$16,12630.99%-1.39%-16.82%
19981.61%16.42%$17,95920.26%$19,39223.26%16.51%-18.12%
19992.68%33.25%$23,93130.11%$25,23123.81%37.96%61.57%
20003.39%-13.76%$20,638-12.23%$22,146-10.57%-14.29%-27.56%
20011.55%-14.55%$17,636-15.85%$18,636-10.97%-21.94%-2.88%
20022.38%-17.47%$14,555-18.58%$15,173-20.96%-15.62%-7.43%
20031.88%36.91%$19,92734.61%$20,42431.35%38.67%57.65%
20043.26%16.97%$23,30915.96%$23,68412.52%20.25%26.12%
20053.42%11.64%$26,0219.37%$25,9035.98%13.60%32.05%
20062.54%21.20%$31,53820.30%$31,16115.51%26.27%29.39%
20074.08%11.10%$35,0388.01%$33,6575.49%11.15%38.90%
20080.09%-40.31%$20,914-38.92%$20,557-37.04%-41.27%-52.81%
20092.72%33.25%$27,86928.51%$26,41728.70%28.27%75.98%
20101.50%13.78%$31,70913.21%$29,90617.09%8.36%18.86%
20112.96%-6.40%$29,679-5.03%$28,4000.96%-12.51%-18.78%
20121.74%17.42%$34,84717.28%$33,30816.25%18.56%18.64%
20131.50%24.98%$43,55228.33%$42,74333.35%22.06%-5.19%
20140.76%3.99%$45,2914.38%$44,61512.43%-5.66%0.42%
20150.73%-1.48%$44,6230.08%$44,6500.29%-0.19%-15.47%
20162.07%8.40%$48,3708.05%$48,24312.53%2.45%11.50%
20172.11%24.20%$60,07523.43%$59,54721.05%26.40%31.15%
20181.91%-9.88%$54,139-9.35%$53,979-5.26%-14.46%-14.71%
20192.29%26.16%$68,30026.82%$68,45730.65%22.05%20.13%
20201.36%16.04%$79,25816.15%$79,51220.87%10.26%15.05%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.77%0.77%
Arithmetic Mean (annualized)9.65%9.59%
Geometric Mean (monthly)0.67%0.67%
Geometric Mean (annualized)8.29%8.30%
Volatility (monthly)4.54%4.43%
Volatility (annualized)15.73%15.35%
Downside Deviation (monthly)3.12%3.05%
Max. Drawdown-54.59%-53.70%
US Market Correlation0.960.97
Beta(*)0.970.96
Alpha (annualized)-1.71%-1.58%
R292.22%93.67%
Sharpe Ratio0.440.45
Sortino Ratio0.630.64
Treynor Ratio (%)7.187.25
Calmar Ratio0.430.45
Active Return-2.23%-2.21%
Tracking Error4.41%3.92%
Information Ratio-0.51-0.57
Skewness-0.74-0.73
Excess Kurtosis1.781.73
Historical Value-at-Risk (5%)-7.52%-7.76%
Analytical Value-at-Risk (5%)-6.70%-6.52%
Conditional Value-at-Risk (5%)-10.65%-10.45%
Upside Capture Ratio (%)92.0590.52
Downside Capture Ratio (%)100.8298.76
Safe Withdrawal Rate7.68%7.75%
Perpetual Withdrawal Rate5.67%5.68%
Positive Periods196 out of 312 (62.82%)197 out of 312 (63.14%)
Gain/Loss Ratio0.920.92
* 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 1998-6.78%-4.77%
Russian Debt DefaultJul 1998Oct 1998-15.98%-15.26%
Dotcom CrashMar 2000Oct 2002-44.39%-45.09%
Subprime CrisisNov 2007Mar 2009-54.59%-53.70%

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-54.59%
2Apr 2000Sep 20022 years 6 monthsAug 20052 years 11 months5 years 5 months-44.39%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-22.50%
4May 1998Aug 19984 monthsDec 19984 months8 months-17.33%
5Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.53%
6Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.77%
7Aug 1997Oct 19973 monthsFeb 19984 months7 months-6.78%
8Jan 2000Jan 20001 monthMar 20002 months3 months-5.19%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-5.09%
10Jun 1996Jul 19962 monthsSep 19962 months4 months-4.94%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20134 years 1 month5 years 5 months-53.70%
2Apr 2000Sep 20022 years 6 monthsDec 20053 years 3 months5 years 9 months-45.09%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-22.27%
4Jul 1998Aug 19982 monthsDec 19984 months6 months-15.26%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.77%
6Jun 2015Feb 20169 monthsSep 20167 months1 year 4 months-12.43%
7May 2019May 20191 monthJun 20191 month2 months-5.93%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-5.66%
9Feb 2018Mar 20182 monthsSep 20186 months8 months-5.65%
10Jan 2000Jan 20001 monthMar 20002 months3 months-5.22%
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
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

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntl Developed ex-US MarketEmerging MarketsPortfolio 1Portfolio 2
US Stock Market1.000.840.770.960.97
Intl Developed ex-US Market0.841.000.820.950.95
Emerging Markets0.770.821.000.870.83

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$43,724$48,339
Intl Developed ex-US Market$18,881$21,173
Emerging Markets$6,653

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market47.34%54.30%
Intl Developed ex-US Market40.15%45.70%
Emerging Markets12.51%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.99%60.48%-47.18%8.92%56.39%-46.25%
3 years7.58%26.67%-17.28%7.55%24.57%-17.70%
5 years6.88%21.48%-4.61%6.71%21.25%-4.86%
7 years6.56%13.68%-0.17%6.30%14.09%-1.16%
10 years6.77%13.51%-0.52%6.40%13.78%-1.53%
15 years6.63%10.52%4.30%6.23%10.15%3.83%