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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Asset 6
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Portfolio Analysis Results (Jan 1972 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
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Portfolio 2
Asset Class Allocation
US Small Cap 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$4,612,925 13.34% 10.55%10.90%15.30%37.45%-37.02%-50.97%
(-50.48%)
0.430.640.99
Portfolio 2$10,000$6,941,620 14.28% 11.86%12.04%19.69%55.13%-36.07%-53.95%
(-53.64%)
0.440.640.91
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 112.12%18.25%14.03%15.06%13.72%10.55%18.80%15.26%
Portfolio 227.05%18.96%11.08%13.47%11.86%11.86%24.72%20.38%
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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2US Large CapUS Small Cap
ReturnBalanceReturnBalance
19723.41%$1,03418.95%$12,9298.66%$11,90018.95%8.66%
19738.71%$1,124-16.18%$11,961-32.85%$9,115-16.18%-32.85%
197412.34%$1,263-26.93%$10,003-27.59%$7,863-26.93%-27.59%
19756.94%$1,35036.95%$15,05055.13%$13,54836.95%55.13%
19764.86%$1,41624.18%$20,10545.33%$21,10624.18%45.33%
19776.70%$1,511-7.84%$20,03915.67%$25,925-7.84%15.67%
19789.02%$1,6475.87%$22,86317.74%$32,1715.87%17.74%
197913.29%$1,86618.05%$28,85641.02%$47,23418.05%41.02%
198012.52%$2,10031.92%$40,16535.78%$66,23331.92%35.78%
19818.92%$2,287-5.21%$40,3614.36%$71,411-5.21%4.36%
19823.83%$2,37520.97%$51,20029.27%$94,68520.97%29.27%
19833.79%$2,46521.29%$64,56731.64%$127,10621.29%31.64%
19843.95%$2,5626.21%$71,140-4.26%$124,2576.21%-4.26%
19853.80%$2,65931.23%$96,01633.70%$168,79131.23%33.70%
19861.10%$2,68918.06%$116,0469.77%$187,96918.06%9.77%
19874.43%$2,8084.71%$124,314-6.42%$178,6994.71%-6.42%
19884.42%$2,93216.22%$147,41023.78%$224,12916.22%23.78%
19894.65%$3,06831.36%$196,71219.41%$270,70431.36%19.41%
19906.11%$3,255-3.32%$193,428-18.13%$224,888-3.32%-18.13%
19913.06%$3,35530.22%$255,24145.26%$330,02730.22%45.26%
19922.90%$3,4537.42%$277,64118.20%$393,5537.42%18.20%
19932.75%$3,5479.89%$308,65418.70%$470,7109.89%18.70%
19942.67%$3,6421.18%$315,926-0.51%$471,9611.18%-0.51%
19952.54%$3,73537.45%$437,96228.74%$611,33737.45%28.74%
19963.32%$3,85922.88%$542,01418.12%$725,95822.88%18.12%
19971.70%$3,92533.19%$725,83524.59%$908,39433.19%24.59%
19981.61%$3,98828.62%$937,537-2.61%$888,64228.62%-2.61%
19992.68%$4,09521.07%$1,139,15423.13%$1,098,30721.07%23.13%
20003.39%$4,234-9.06%$1,040,223-2.67%$1,073,270-9.06%-2.67%
20011.55%$4,299-12.02%$919,4563.10%$1,110,840-12.02%3.10%
20022.38%$4,401-22.15%$720,243-20.02%$892,824-22.15%-20.02%
20031.88%$4,48428.50%$930,01045.63%$1,304,68728.50%45.63%
20043.26%$4,63010.74%$1,034,52619.90%$1,568,90610.74%19.90%
20053.42%$4,7884.77%$1,088,7097.36%$1,689,2204.77%7.36%
20062.54%$4,91015.64%$1,263,91215.66%$1,958,58715.64%15.66%
20074.08%$5,1105.39%$1,337,1061.16%$1,986,3345.39%1.16%
20080.09%$5,115-37.02%$847,215-36.07%$1,274,973-37.02%-36.07%
20092.72%$5,25426.49%$1,076,85936.12%$1,740,72526.49%36.12%
20101.50%$5,33314.91%$1,242,79227.72%$2,228,58414.91%27.72%
20112.96%$5,4911.97%$1,272,714-2.80%$2,171,5821.97%-2.80%
20121.74%$5,58615.82%$1,479,70618.04%$2,569,01715.82%18.04%
20131.50%$5,67032.18%$1,961,47937.62%$3,541,13032.18%37.62%
20140.76%$5,71313.51%$2,232,1647.37%$3,807,74913.51%7.37%
20150.73%$5,7551.25%$2,265,846-3.78%$3,669,4611.25%-3.78%
20162.07%$5,87411.82%$2,539,47418.17%$4,342,20011.82%18.17%
20172.11%$5,99821.67%$3,095,71816.10%$5,047,34821.67%16.10%
20181.91%$6,113-4.53%$2,961,660-9.43%$4,577,577-4.53%-9.43%
20192.29%$6,25231.33%$3,895,71127.22%$5,829,74831.33%27.22%
20201.36%$6,33818.25%$4,612,92518.96%$6,941,62018.25%18.96%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.94%1.10%
Arithmetic Mean (annualized)11.84%14.07%
Geometric Mean (monthly)0.84%0.94%
Geometric Mean (annualized)10.55%11.86%
Volatility (monthly)4.42%5.68%
Volatility (annualized)15.30%19.69%
Downside Deviation (monthly)2.82%3.74%
Max. Drawdown-50.97%-53.95%
US Market Correlation0.990.91
Beta(*)0.971.15
Alpha (annualized)0.22%0.14%
R297.99%83.42%
Sharpe Ratio0.430.44
Sortino Ratio0.640.64
Treynor Ratio (%)6.897.53
Calmar Ratio0.710.37
Active Return-0.10%1.21%
Tracking Error2.23%8.35%
Information Ratio-0.040.15
Skewness-0.42-0.58
Excess Kurtosis2.072.84
Historical Value-at-Risk (5%)-6.70%-7.92%
Analytical Value-at-Risk (5%)-6.33%-8.25%
Conditional Value-at-Risk (5%)-9.64%-12.57%
Upside Capture Ratio (%)96.31118.12
Downside Capture Ratio (%)95.64116.91
Safe Withdrawal Rate4.18%5.37%
Perpetual Withdrawal Rate6.06%7.17%
Positive Periods368 out of 588 (62.59%)362 out of 588 (61.56%)
Gain/Loss Ratio1.031.04
* 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
Oil CrisisOct 1973Mar 1974-13.05%-18.56%
Black Monday PeriodSep 1987Nov 1987-29.78%-33.84%
Asian CrisisJul 1997Jan 1998-5.61%-4.93%
Russian Debt DefaultJul 1998Oct 1998-15.38%-25.73%
Dotcom CrashMar 2000Oct 2002-44.82%-33.95%
Subprime CrisisNov 2007Mar 2009-50.97%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Jan 1973Sep 19741 year 9 monthsSep 19762 years3 years 9 months-44.87%
3Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
5Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
6Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.00%
7Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
8Jan 1977Feb 19781 year 2 monthsAug 19786 months1 year 8 months-14.86%
9Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
10Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.95%
2May 1972Sep 19742 years 5 monthsDec 19762 years 3 months4 years 8 months-53.43%
3Mar 2000Sep 20022 years 7 monthsDec 20031 year 3 months3 years 10 months-33.95%
4Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-33.84%
5Oct 1989Oct 19901 year 1 monthMar 19915 months1 year 6 months-30.61%
6Jan 2020Mar 20203 monthsNov 20208 months11 months-30.10%
7May 1998Aug 19984 monthsDec 19991 year 4 months1 year 8 months-29.82%
8May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.56%
9Sep 1978Oct 19782 monthsApr 19796 months8 months-20.35%
10Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.62%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap10.55%15.30%37.45%-37.02%-50.97%0.430.640.99
US Small Cap11.86%19.69%55.13%-36.07%-53.95%0.440.640.91

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapUS Small CapPortfolio 1Portfolio 2
US Large Cap1.000.861.000.86
US Small Cap0.861.000.861.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Large Cap$4,417,565
US Small Cap$6,746,260

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Large Cap100.00%
US Small Cap100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.54%58.83%-43.32%13.37%97.53%-44.66%
3 years11.03%32.80%-16.14%12.88%37.65%-19.16%
5 years11.04%28.95%-6.73%13.00%34.06%-6.30%
7 years11.11%22.44%-3.94%12.98%29.58%-1.18%
10 years11.08%19.37%-3.51%12.68%26.24%1.64%
15 years11.06%19.30%3.64%12.22%22.73%4.54%