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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Portfolio Analysis Results (Jan 1987 - Dec 2020)

Portfolio Allocations

Akcje US Market
Asset Class Allocation
US Stock Market 100.00%
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Obligacje US Total Bond Market
Asset Class Allocation
Total US Bond Market 100.00%
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50/50
Asset Class Allocation
US Stock Market 50.00%
Total US Bond Market 50.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Akcje US Market$10,000$311,048 10.64% 15.42%35.79%-37.04%-50.89% 0.540.771.00
Obligacje US Total Bond Market$10,000$70,475 5.91% 3.80%18.18%-2.66%-5.86% 0.741.200.07
50/50$10,000$167,104 8.64% 8.04%26.98%-15.99%-25.15% 0.701.030.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Akcje US Market14.65%20.87%14.37%15.30%13.66%10.64%19.67%16.01%
Obligacje US Total Bond Market0.64%7.61%5.29%4.36%3.69%5.91%3.50%3.29%
50/507.60%14.24%9.97%9.92%8.83%8.64%9.86%8.00%
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
YearInflationAkcje US MarketObligacje US Total Bond Market50/50US Stock MarketTotal US Bond Market
ReturnBalanceReturnBalanceReturnBalance
19874.43%2.61%$10,2611.54%$10,1542.07%$10,2072.61%1.54%
19884.42%17.32%$12,0387.35%$10,90012.33%$11,46717.32%7.35%
19894.65%28.12%$15,42313.64%$12,38720.88%$13,86128.12%13.64%
19906.11%-6.08%$14,4868.65%$13,4591.29%$14,039-6.08%8.65%
19913.06%32.39%$19,17815.25%$15,51123.82%$17,38332.39%15.25%
19922.90%9.11%$20,9257.14%$16,6198.12%$18,7969.11%7.14%
19932.75%10.62%$23,1489.68%$18,22810.15%$20,70410.62%9.68%
19942.67%-0.17%$23,109-2.66%$17,743-1.41%$20,411-0.17%-2.66%
19952.54%35.79%$31,37918.18%$20,96926.98%$25,91935.79%18.18%
19963.32%20.96%$37,9563.58%$21,72112.27%$29,10020.96%3.58%
19971.70%30.99%$49,7219.44%$23,77220.22%$34,98430.99%9.44%
19981.61%23.26%$61,2888.58%$25,81215.92%$40,55423.26%8.58%
19992.68%23.81%$75,882-0.76%$25,61611.53%$45,22923.81%-0.76%
20003.39%-10.57%$67,85811.39%$28,5340.41%$45,414-10.57%11.39%
20011.55%-10.97%$60,4178.43%$30,938-1.27%$44,837-10.97%8.43%
20022.38%-20.96%$47,7538.26%$33,493-6.35%$41,989-20.96%8.26%
20031.88%31.35%$62,7263.97%$34,82417.66%$49,40631.35%3.97%
20043.26%12.52%$70,5764.24%$36,3008.38%$53,54512.52%4.24%
20053.42%5.98%$74,7972.40%$37,1694.19%$55,7875.98%2.40%
20062.54%15.51%$86,3994.27%$38,7569.89%$61,30515.51%4.27%
20074.08%5.49%$91,1426.92%$41,4396.21%$65,1095.49%6.92%
20080.09%-37.04%$57,3855.05%$43,532-15.99%$54,696-37.04%5.05%
20092.72%28.70%$73,8535.93%$46,11617.32%$64,16828.70%5.93%
20101.50%17.09%$86,4776.42%$49,07711.76%$71,71217.09%6.42%
20112.96%0.96%$87,3097.56%$52,7854.26%$74,7660.96%7.56%
20121.74%16.25%$101,5004.05%$54,92210.15%$82,35516.25%4.05%
20131.50%33.35%$135,350-2.26%$53,67915.54%$95,15633.35%-2.26%
20140.76%12.43%$152,1735.76%$56,7709.09%$103,80912.43%5.76%
20150.73%0.29%$152,6170.30%$56,9380.29%$104,1150.29%0.30%
20162.07%12.53%$171,7442.50%$58,3627.52%$111,94112.53%2.50%
20172.11%21.05%$207,8993.45%$60,37712.25%$125,65621.05%3.45%
20181.91%-5.26%$196,972-0.13%$60,300-2.69%$122,274-5.26%-0.13%
20192.29%30.65%$257,3418.61%$65,49019.63%$146,27330.65%8.61%
20201.36%20.87%$311,0487.61%$70,47514.24%$167,10420.87%7.61%
Portfolio return and risk metrics
MetricAkcje US MarketObligacje US Total Bond Market50/50
Arithmetic Mean (monthly)0.95%0.49%0.72%
Arithmetic Mean (annualized)11.97%5.99%8.99%
Geometric Mean (monthly)0.85%0.48%0.69%
Geometric Mean (annualized)10.64%5.91%8.64%
Volatility (monthly)4.45%1.10%2.32%
Volatility (annualized)15.42%3.80%8.04%
Downside Deviation (monthly)3.00%0.55%1.45%
Max. Drawdown-50.89%-5.86%-25.15%
US Market Correlation1.000.070.97
Beta(*)1.000.020.51
Alpha (annualized)0.00%5.65%2.89%
R2100.00%0.43%94.15%
Sharpe Ratio0.540.740.70
Sortino Ratio0.771.201.03
Treynor Ratio (%)8.33173.6811.07
Calmar Ratio0.692.201.02
Active Return0.00%-4.73%-2.00%
Tracking Error0.00%15.63%7.86%
Information RatioN/A-0.30-0.25
Skewness-0.86-0.14-0.77
Excess Kurtosis2.740.682.62
Historical Value-at-Risk (5%)-7.13%-1.19%-3.25%
Analytical Value-at-Risk (5%)-6.37%-1.32%-3.10%
Conditional Value-at-Risk (5%)-10.31%-1.94%-4.92%
Upside Capture Ratio (%)100.0014.3555.49
Downside Capture Ratio (%)100.00-10.6145.93
Safe Withdrawal Rate8.55%5.28%7.08%
Perpetual Withdrawal Rate7.31%3.17%5.60%
Positive Periods267 out of 408 (65.44%)281 out of 408 (68.87%)281 out of 408 (68.87%)
Gain/Loss Ratio0.911.411.00
* 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 PeriodStartEndAkcje US MarketObligacje US Total Bond Market50/50
Black Monday PeriodSep 1987Nov 1987-29.34%-2.25%-16.23%
Asian CrisisJul 1997Jan 1998-3.72%-0.85%-2.41%
Russian Debt DefaultJul 1998Oct 1998-17.57%-0.55%-8.23%
Dotcom CrashMar 2000Oct 2002-44.11%-1.91%-15.33%
Subprime CrisisNov 2007Mar 2009-50.89%-3.99%-25.15%

Drawdowns for Akcje US Market

Drawdowns for Akcje US Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
8Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
9Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
10Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
Worst 10 drawdowns included above

Drawdowns for Obligacje US Total Bond Market

Drawdowns for Obligacje US Total Bond Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1987Sep 19877 monthsJan 19884 months11 months-5.86%
2Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
3Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
4May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
5Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
6Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
7Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
8Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
9Mar 1988May 19883 monthsSep 19884 months7 months-2.64%
10Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
Worst 10 drawdowns included above

Drawdowns for 50/50

Drawdowns for 50/50 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-25.15%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-16.23%
3Sep 2000Sep 20022 years 1 monthNov 20031 year 2 months3 years 3 months-15.33%
4Feb 2020Mar 20202 monthsJun 20203 months5 months-9.74%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-8.23%
6Aug 1990Sep 19902 monthsJan 19914 months6 months-7.02%
7Sep 2018Dec 20184 monthsMar 20193 months7 months-6.97%
8Jun 2011Sep 20114 monthsJan 20124 months8 months-6.86%
9Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.23%
10May 2010Jun 20102 monthsSep 20103 months5 months-5.56%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.64%15.42%35.79%-37.04%-50.89%0.540.771.00
Total US Bond Market5.91%3.80%18.18%-2.66%-5.86%0.741.200.07

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketAkcje US MarketObligacje US Total Bond Market50/50
US Stock Market1.000.071.000.070.97
Total US Bond Market0.071.000.071.000.29

Portfolio Return Decomposition

Portfolio return decomposition
NameAkcje US MarketObligacje US Total Bond Market50/50
US Stock Market$301,048$110,232
Total US Bond Market$60,475$46,872

Portfolio Risk Decomposition

Portfolio risk decomposition
NameAkcje US MarketObligacje US Total Bond Market50/50
US Stock Market100.00%93.08%
Total US Bond Market100.00%6.92%

Annual Asset Returns

Rolling returns summary
Roll PeriodAkcje US MarketObligacje US Total Bond Market50/50
AverageHighLowAverageHighLowAverageHighLow
1 year11.04%56.25%-43.18%6.14%18.18%-3.73%8.61%30.59%-21.16%
3 years10.39%30.70%-16.27%5.98%12.83%0.86%8.43%19.83%-4.50%
5 years10.10%26.84%-6.23%5.95%11.58%1.27%8.35%17.25%-0.51%
7 years9.87%20.35%-3.02%5.88%9.80%1.70%8.25%14.63%1.55%
10 years9.44%18.89%-2.57%5.92%9.20%3.31%8.10%13.50%2.08%
15 years8.31%12.74%4.25%5.88%8.59%3.61%7.56%10.52%5.24%