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 2003 - Feb 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Corporate Bonds 100.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 20.00%
Intermediate Term Treasury 80.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$25,875 5.69% 7.11%17.37%-3.79%-15.11% 0.631.020.24
Portfolio 2$10,000$24,957 5.47% 3.92%11.16%-0.25%-6.07% 1.051.780.47
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.
  • The annual results for 2020 are based on monthly returns from January to February
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceCorporate BondsUS Stock MarketIntermediate Term Treasury
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.48%0.45%
Arithmetic Mean (annualized)5.96%5.55%
Geometric Mean (monthly)0.46%0.44%
Geometric Mean (annualized)5.69%5.47%
Volatility (monthly)2.05%1.13%
Volatility (annualized)7.11%3.92%
Downside Deviation (monthly)1.23%0.63%
Max. Drawdown-15.11%-6.07%
US Market Correlation0.240.47
Alpha (annualized)4.55%4.05%
Sharpe Ratio0.631.05
Sortino Ratio1.021.78
Treynor Ratio (%)37.3331.27
Calmar Ratio1.312.38
Active Return-4.06%-4.29%
Tracking Error14.08%12.60%
Information Ratio-0.29-0.34
Excess Kurtosis12.102.22
Historical Value-at-Risk (5%)-2.16%-1.24%
Analytical Value-at-Risk (5%)-2.89%-1.41%
Conditional Value-at-Risk (5%)-4.29%-2.32%
Upside Capture Ratio (%)20.5921.18
Downside Capture Ratio (%)-1.281.15
Safe Withdrawal Rate7.63%7.79%
Perpetual Withdrawal Rate3.43%3.23%
Positive Periods129 out of 206 (62.62%)142 out of 206 (68.93%)
Gain/Loss Ratio1.201.28
* 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 2009-15.11%-6.07%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Oct 20089 monthsJun 20098 months1 year 5 months-15.11%
2May 2013Jun 20132 monthsApr 201410 months1 year-6.38%
3Jun 2003Jul 20032 monthsDec 20035 months7 months-5.97%
4Jan 2018Nov 201811 monthsMar 20194 months1 year 3 months-5.54%
5Feb 2015Aug 20157 monthsApr 20168 months1 year 3 months-5.31%
6Sep 2016Nov 20163 monthsJul 20178 months11 months-4.95%
7Apr 2004May 20042 monthsAug 20043 months5 months-4.39%
8Sep 2005Jun 200610 monthsSep 20063 months1 year 1 month-3.81%
9Nov 2011Nov 20111 monthDec 20111 month2 months-3.16%
10May 2007Jul 20073 monthsSep 20072 months5 months-2.84%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-6.07%
2Jan 2009Feb 20092 monthsJul 20095 months7 months-5.94%
3Apr 2004May 20042 monthsOct 20045 months7 months-3.16%
4May 2013Aug 20134 monthsOct 20132 months6 months-2.58%
5Jun 2003Jul 20032 monthsSep 20032 months4 months-2.58%
6Aug 2016Nov 20164 monthsApr 20175 months9 months-2.51%
7Sep 2018Oct 20182 monthsJan 20193 months5 months-2.27%
8Jan 2018Apr 20184 monthsAug 20184 months8 months-1.82%
9Sep 2005Oct 20052 monthsDec 20052 months4 months-1.75%
10Dec 2009Dec 20091 monthFeb 20102 months3 months-1.73%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Corporate Bonds5.69%7.11%17.37%-3.79%-15.11%0.631.020.24
US Stock Market9.76%13.96%33.35%-37.04%-50.89%0.650.941.00
Intermediate Term Treasury3.99%4.44%13.32%-3.09%-4.48%0.621.03-0.24

Monthly Correlations

Correlations for the portfolio assets
NameCorporate BondsUS Stock MarketIntermediate Term TreasuryPortfolio 1Portfolio 2
Corporate Bonds1.000.240.601.000.71
US Stock Market0.241.00-
Intermediate Term Treasury0.60-

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Corporate Bonds$15,875
US Stock Market$6,215
Intermediate Term Treasury$8,742

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Corporate Bonds100.00%
US Stock Market33.33%
Intermediate Term Treasury66.67%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
1 year5.66%17.37%-3.79%5.45%11.16%-0.25%
3 years5.12%9.88%1.55%5.19%7.56%2.87%
5 years5.18%8.06%3.17%5.29%6.78%3.15%
7 years5.43%6.88%3.44%5.39%6.41%3.62%
10 years5.59%6.39%5.12%5.47%6.12%4.68%
15 years5.09%5.44%4.56%5.18%5.43%4.86%
Result statistics are based on annualized rolling returns over full calendar year periods