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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Asset Class

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

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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

Select asset 10

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Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1972 - Dec 2020)

Portfolio Allocations

US Large Cap
Asset Class	Allocation
US Large Cap	100.00%
Save portfolio »

US Mid Cap
Asset Class	Allocation
US Mid Cap	100.00%
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US Small Cap
Asset Class	Allocation
US Small Cap	100.00%
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Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Large Cap	$10,000	$1,360,199	10.55%	15.30%	37.45%	-37.02%	-50.97%	0.43	0.64	0.99
US Mid Cap	$10,000	$2,688,025	12.09%	17.40%	48.69%	-41.82%	-54.14%	0.48	0.71	0.96
US Small Cap	$10,000	$2,426,837	11.86%	19.69%	55.13%	-36.07%	-53.95%	0.44	0.64	0.91

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	YTD	1 year	3 year	5 year	10 year	Full	3 year	5 year
US Large Cap	12.12%	18.25%	18.25%	14.03%	15.06%	13.72%	10.55%	18.80%	15.26%
US Mid Cap	17.98%	18.10%	18.10%	11.90%	13.14%	12.25%	12.09%	21.69%	17.80%
US Small Cap	27.05%	18.96%	18.96%	11.08%	13.47%	11.86%	11.86%	24.72%	20.38%
Trailing return and volatility are as of last full calendar quarter ending December 2020

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
Year	Inflation	US Large Cap		US Mid Cap		US Small Cap		US Large Cap	US Mid Cap	US Small Cap
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	US Large Cap	US Mid Cap	US Small Cap
1972	3.41%	18.95%	$11,895	8.02%	$10,802	8.66%	$10,866	18.95%	8.02%	8.66%
1973	8.71%	-16.18%	$9,971	-24.20%	$8,187	-32.85%	$7,296	-16.18%	-24.20%	-32.85%
1974	12.34%	-26.93%	$7,286	-26.34%	$6,031	-27.59%	$5,283	-26.93%	-26.34%	-27.59%
1975	6.94%	36.95%	$9,978	48.69%	$8,968	55.13%	$8,196	36.95%	48.69%	55.13%
1976	4.86%	24.18%	$12,391	36.67%	$12,256	45.33%	$11,912	24.18%	36.67%	45.33%
1977	6.70%	-7.84%	$11,419	1.30%	$12,416	15.67%	$13,779	-7.84%	1.30%	15.67%
1978	9.02%	5.87%	$12,089	8.97%	$13,529	17.74%	$16,223	5.87%	8.97%	17.74%
1979	13.29%	18.05%	$14,271	31.48%	$17,788	41.02%	$22,878	18.05%	31.48%	41.02%
1980	12.52%	31.92%	$18,826	30.76%	$23,260	35.78%	$31,063	31.92%	30.76%	35.78%
1981	8.92%	-5.21%	$17,846	4.10%	$24,215	4.36%	$32,419	-5.21%	4.10%	4.36%
1982	3.83%	20.97%	$21,589	25.21%	$30,321	29.27%	$41,907	20.97%	25.21%	29.27%
1983	3.79%	21.29%	$26,186	27.11%	$38,540	31.64%	$55,165	21.29%	27.11%	31.64%
1984	3.95%	6.21%	$27,812	-1.74%	$37,869	-4.26%	$52,816	6.21%	-1.74%	-4.26%
1985	3.80%	31.23%	$36,498	32.79%	$50,288	33.70%	$70,616	31.23%	32.79%	33.70%
1986	1.10%	18.06%	$43,089	17.12%	$58,899	9.77%	$77,514	18.06%	17.12%	9.77%
1987	4.43%	4.71%	$45,117	0.84%	$59,392	-6.42%	$72,534	4.71%	0.84%	-6.42%
1988	4.42%	16.22%	$52,435	19.44%	$70,939	23.78%	$89,784	16.22%	19.44%	23.78%
1989	4.65%	31.36%	$68,881	26.00%	$89,384	19.41%	$107,212	31.36%	26.00%	19.41%
1990	6.11%	-3.32%	$66,591	-10.73%	$79,792	-18.13%	$87,777	-3.32%	-10.73%	-18.13%
1991	3.06%	30.22%	$86,716	40.44%	$112,062	45.26%	$127,505	30.22%	40.44%	45.26%
1992	2.90%	7.42%	$93,153	15.19%	$129,089	18.20%	$150,714	7.42%	15.19%	18.20%
1993	2.75%	9.89%	$102,369	16.20%	$149,995	18.70%	$178,903	9.89%	16.20%	18.70%
1994	2.67%	1.18%	$103,572	-1.72%	$147,420	-0.51%	$177,995	1.18%	-1.72%	-0.51%
1995	2.54%	37.45%	$142,356	33.22%	$196,388	28.74%	$229,150	37.45%	33.22%	28.74%
1996	3.32%	22.88%	$174,923	18.97%	$233,637	18.12%	$270,668	22.88%	18.97%	18.12%
1997	1.70%	33.19%	$232,981	25.66%	$293,588	24.59%	$337,224	33.19%	25.66%	24.59%
1998	1.61%	28.62%	$299,653	9.90%	$322,640	-2.61%	$328,411	28.62%	9.90%	-2.61%
1999	2.68%	21.07%	$362,785	15.32%	$372,064	23.13%	$404,382	21.07%	15.32%	23.13%
2000	3.39%	-9.06%	$329,930	18.10%	$439,399	-2.67%	$393,605	-9.06%	18.10%	-2.67%
2001	1.55%	-12.02%	$290,263	-0.50%	$437,207	3.10%	$405,807	-12.02%	-0.50%	3.10%
2002	2.38%	-22.15%	$225,984	-14.61%	$373,338	-20.02%	$324,554	-22.15%	-14.61%	-20.02%
2003	1.88%	28.50%	$290,393	34.14%	$500,803	45.63%	$472,643	28.50%	34.14%	45.63%
2004	3.26%	10.74%	$321,582	20.35%	$602,732	19.90%	$566,682	10.74%	20.35%	19.90%
2005	3.42%	4.77%	$336,937	13.93%	$686,697	7.36%	$608,410	4.77%	13.93%	7.36%
2006	2.54%	15.64%	$389,639	13.60%	$780,070	15.66%	$703,660	15.64%	13.60%	15.66%
2007	4.08%	5.39%	$410,628	6.02%	$827,040	1.16%	$711,792	5.39%	6.02%	1.16%
2008	0.09%	-37.02%	$258,611	-41.82%	$481,138	-36.07%	$455,047	-37.02%	-41.82%	-36.07%
2009	2.72%	26.49%	$327,105	40.22%	$674,641	36.12%	$619,402	26.49%	40.22%	36.12%
2010	1.50%	14.91%	$375,889	25.46%	$846,399	27.72%	$791,099	14.91%	25.46%	27.72%
2011	2.96%	1.97%	$383,278	-2.11%	$828,558	-2.80%	$768,916	1.97%	-2.11%	-2.80%
2012	1.74%	15.82%	$443,932	15.80%	$959,432	18.04%	$907,661	15.82%	15.80%	18.04%
2013	1.50%	32.18%	$586,769	35.00%	$1,295,191	37.62%	$1,249,116	32.18%	35.00%	37.62%
2014	0.76%	13.51%	$666,034	13.60%	$1,471,398	7.37%	$1,341,150	13.51%	13.60%	7.37%
2015	0.73%	1.25%	$674,367	-1.45%	$1,450,056	-3.78%	$1,290,415	1.25%	-1.45%	-3.78%
2016	2.07%	11.82%	$754,057	11.07%	$1,610,642	18.17%	$1,524,927	11.82%	11.07%	18.17%
2017	2.11%	21.67%	$917,443	19.12%	$1,918,580	16.10%	$1,770,460	21.67%	19.12%	16.10%
2018	1.91%	-4.53%	$875,903	-9.34%	$1,739,389	-9.43%	$1,603,534	-4.53%	-9.34%	-9.43%
2019	2.29%	31.33%	$1,150,297	30.86%	$2,276,104	27.22%	$2,039,982	31.33%	30.86%	27.22%
2020	1.36%	18.25%	$1,360,199	18.10%	$2,688,025	18.96%	$2,426,837	18.25%	18.10%	18.96%

Portfolio return and risk metrics
Metric	US Large Cap	US Mid Cap	US Small Cap
Arithmetic Mean (monthly)	0.94%	1.08%	1.10%
Arithmetic Mean (annualized)	11.84%	13.81%	14.07%
Geometric Mean (monthly)	0.84%	0.96%	0.94%
Geometric Mean (annualized)	10.55%	12.09%	11.86%
Standard Deviation (monthly)	4.42%	5.02%	5.68%
Standard Deviation (annualized)	15.30%	17.40%	19.69%
Downside Deviation (monthly)	2.82%	3.22%	3.74%
Max. Drawdown	-50.97%	-54.14%	-53.95%
US Market Correlation	0.99	0.96	0.91
Beta^(*)	0.97	1.07	1.15
Alpha (annualized)	0.22%	0.83%	0.14%
R²	97.99%	92.33%	83.42%
Sharpe Ratio	0.43	0.48	0.44
Sortino Ratio	0.64	0.71	0.64
Treynor Ratio (%)	6.89	7.89	7.53
Calmar Ratio	0.71	0.46	0.37
Active Return	-0.10%	1.45%	1.21%
Tracking Error	2.23%	4.94%	8.35%
Information Ratio	-0.04	0.29	0.15
Skewness	-0.42	-0.55	-0.58
Excess Kurtosis	2.07	2.58	2.84
Historical Value-at-Risk (5%)	-6.70%	-7.15%	-7.92%
Analytical Value-at-Risk (5%)	-6.33%	-7.18%	-8.25%
Conditional Value-at-Risk (5%)	-9.64%	-10.87%	-12.57%
Upside Capture Ratio (%)	96.31	110.23	118.12
Downside Capture Ratio (%)	95.64	105.76	116.91
Safe Withdrawal Rate	4.18%	4.94%	5.37%
Perpetual Withdrawal Rate	6.06%	7.36%	7.17%
Positive Periods	368 out of 588 (62.59%)	359 out of 588 (61.05%)	362 out of 588 (61.56%)
Gain/Loss Ratio	1.03	1.12	1.04
^* 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 Period	Start	End	US Large Cap	US Mid Cap	US Small Cap
Oil Crisis	Oct 1973	Mar 1974	-13.05%	-15.86%	-18.56%
Black Monday Period	Sep 1987	Nov 1987	-29.78%	-30.12%	-33.84%
Asian Crisis	Jul 1997	Jan 1998	-5.61%	-4.79%	-4.93%
Russian Debt Default	Jul 1998	Oct 1998	-15.38%	-20.40%	-25.73%
Dotcom Crash	Mar 2000	Oct 2002	-44.82%	-24.36%	-33.95%
Subprime Crisis	Nov 2007	Mar 2009	-50.97%	-53.58%	-53.25%
COVID-19 Start	Jan 2020	Mar 2020	-19.63%	-25.74%	-30.10%

Drawdowns for US Large Cap

Drawdowns for US Large Cap (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Jan 1973	Sep 1974	1 year 9 months	Sep 1976	2 years	3 years 9 months	-44.87%
3	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
4	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-29.78%
5	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
6	Dec 1980	Jul 1982	1 year 8 months	Oct 1982	3 months	1 year 11 months	-17.00%
7	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
8	Jan 1977	Feb 1978	1 year 2 months	Aug 1978	6 months	1 year 8 months	-14.86%
9	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-14.70%
10	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
Worst 10 drawdowns included above

Drawdowns for US Mid Cap

Drawdowns for US Mid Cap (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Feb 2011	2 years	3 years 9 months	-54.14%
2	Dec 1972	Sep 1974	1 year 10 months	Jun 1976	1 year 9 months	3 years 7 months	-50.32%
3	Sep 1987	Nov 1987	3 months	Apr 1989	1 year 5 months	1 year 8 months	-30.12%
4	Jan 2020	Mar 2020	3 months	Aug 2020	5 months	8 months	-25.74%
5	Apr 2002	Sep 2002	6 months	Oct 2003	1 year 1 month	1 year 7 months	-24.36%
6	Sep 1989	Oct 1990	1 year 2 months	Feb 1991	4 months	1 year 6 months	-23.38%
7	Apr 1998	Aug 1998	5 months	Apr 1999	8 months	1 year 1 month	-22.10%
8	May 2011	Sep 2011	5 months	Dec 2012	1 year 3 months	1 year 8 months	-21.40%
9	Sep 2000	Sep 2001	1 year 1 month	Mar 2002	6 months	1 year 7 months	-19.33%
10	Jun 1981	Jul 1982	1 year 2 months	Oct 1982	3 months	1 year 5 months	-18.25%
Worst 10 drawdowns included above

Drawdowns for US Small Cap

Drawdowns for US Small Cap (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Dec 2010	1 year 10 months	3 years 7 months	-53.95%
2	May 1972	Sep 1974	2 years 5 months	Dec 1976	2 years 3 months	4 years 8 months	-53.43%
3	Mar 2000	Sep 2002	2 years 7 months	Dec 2003	1 year 3 months	3 years 10 months	-33.95%
4	Sep 1987	Nov 1987	3 months	Apr 1989	1 year 5 months	1 year 8 months	-33.84%
5	Oct 1989	Oct 1990	1 year 1 month	Mar 1991	5 months	1 year 6 months	-30.61%
6	Jan 2020	Mar 2020	3 months	Nov 2020	8 months	11 months	-30.10%
7	May 1998	Aug 1998	4 months	Dec 1999	1 year 4 months	1 year 8 months	-29.82%
8	May 2011	Sep 2011	5 months	Dec 2012	1 year 3 months	1 year 8 months	-24.56%
9	Sep 1978	Oct 1978	2 months	Apr 1979	6 months	8 months	-20.35%
10	Sep 2018	Dec 2018	4 months	Nov 2019	11 months	1 year 3 months	-19.62%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Large Cap	10.55%	15.30%	37.45%	-37.02%	-50.97%	0.43	0.64	0.99
US Mid Cap	12.09%	17.40%	48.69%	-41.82%	-54.14%	0.48	0.71	0.96
US Small Cap	11.86%	19.69%	55.13%	-36.07%	-53.95%	0.44	0.64	0.91

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return
Name	Quarter to Date	Year To Date	1 year	3 year	5 year	10 year
US Large Cap	12.12%	18.25%	18.25%	14.03%	15.06%	13.72%
US Mid Cap	17.98%	18.10%	18.10%	11.90%	13.14%	12.25%
US Small Cap	27.05%	18.96%	18.96%	11.08%	13.47%	11.86%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap	US Mid Cap	US Small Cap	US Large Cap	US Mid Cap	US Small Cap
US Large Cap	1.00	0.93	0.86	1.00	0.93	0.86
US Mid Cap	0.93	1.00	0.95	0.93	1.00	0.95
US Small Cap	0.86	0.95	1.00	0.86	0.95	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Name	US Large Cap	US Mid Cap	US Small Cap
US Large Cap	$1,350,199
US Mid Cap		$2,678,025
US Small Cap			$2,416,837

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	US Large Cap	US Mid Cap	US Small Cap
US Large Cap	100.00%
US Mid Cap		100.00%
US Small Cap			100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	US Large Cap			US Mid Cap			US Small Cap
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	11.54%	58.83%	-43.32%	13.40%	79.32%	-46.46%	13.37%	97.53%	-44.66%
3 years	11.03%	32.80%	-16.14%	12.95%	31.55%	-17.38%	12.88%	37.65%	-19.16%
5 years	11.04%	28.95%	-6.73%	13.08%	28.69%	-5.09%	13.00%	34.06%	-6.30%
7 years	11.11%	22.44%	-3.94%	13.18%	23.87%	-1.06%	12.98%	29.58%	-1.18%
10 years	11.08%	19.37%	-3.51%	13.12%	21.32%	3.24%	12.68%	26.24%	1.64%
15 years	11.06%	19.30%	3.64%	13.04%	20.66%	6.73%	12.22%	22.73%	4.54%