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 - Feb 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 25.00%
US Large Cap Value 25.00%
US Small Cap 25.00%
US Small Cap Value 25.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$2,047,744 11.68% 16.20%46.89%-35.28%-53.71% 0.480.690.97
Portfolio 2$10,000$1,079,357 10.21% 15.37%37.82%-37.04%-50.89% 0.410.591.00
   
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
YearInflationReturnBalanceUS Stock MarketUS Large Cap ValueUS Small CapUS Small Cap Value
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19723.41%13.19%17.62%$11,319$11,76217.62%15.32%8.66%11.15%
19738.71%-21.24%-18.18%$8,915$9,623-18.18%-9.79%-32.85%-24.12%
197412.34%-24.41%-27.81%$6,739$6,947-27.81%-21.13%-27.59%-21.09%
19756.94%46.89%37.82%$9,900$9,57437.82%40.67%55.13%53.94%
19764.86%39.98%26.47%$13,857$12,10826.47%33.32%45.33%54.78%
19776.70%6.22%-3.36%$14,719$11,701-3.36%-3.31%15.67%15.88%
19789.02%12.95%8.45%$16,625$12,6918.45%6.37%17.74%19.25%
197913.29%31.57%24.25%$21,875$15,76824.25%23.22%41.02%37.80%
198012.52%31.61%33.15%$28,790$20,99533.15%31.75%35.78%25.77%
19818.92%3.61%-4.15%$29,828$20,124-4.15%-1.48%4.36%15.69%
19823.83%27.93%20.50%$38,159$24,24920.50%25.08%29.27%36.87%
19833.79%30.59%22.66%$49,830$29,74322.66%25.44%31.64%42.61%
19843.95%3.76%2.19%$51,705$30,3942.19%11.43%-4.26%5.69%
19853.80%33.84%31.27%$69,203$39,89831.27%32.93%33.70%37.46%
19861.10%14.51%14.57%$79,244$45,71314.57%19.70%9.77%13.99%
19874.43%-1.30%2.61%$78,213$46,9082.61%2.11%-6.42%-3.51%
19884.42%22.56%17.32%$95,861$55,03117.32%20.16%23.78%29.00%
19894.65%23.41%28.12%$118,298$70,50528.12%26.89%19.41%19.21%
19906.11%-12.57%-6.08%$103,430$66,220-6.08%-7.02%-18.13%-19.05%
19913.06%36.10%32.39%$140,767$87,67032.39%23.78%45.26%42.96%
19922.90%17.76%9.11%$165,762$95,6549.11%15.48%18.20%28.23%
19932.75%17.17%10.62%$194,225$105,81710.62%18.26%18.70%21.10%
19942.67%-0.34%-0.17%$193,559$105,638-0.17%-0.63%-0.51%-0.07%
19952.54%32.97%35.79%$257,376$143,44135.79%37.04%28.74%30.32%
19963.32%20.57%20.96%$310,323$173,51020.96%21.80%18.12%21.41%
19971.70%30.20%30.99%$404,044$227,28830.99%29.78%24.59%35.44%
19981.61%8.15%23.26%$436,982$280,16523.26%14.63%-2.61%-2.68%
19992.68%15.72%23.81%$505,666$346,88023.81%12.58%23.13%3.35%
20003.39%3.68%-10.57%$524,286$310,199-10.57%6.09%-2.67%21.88%
20011.55%-1.51%-10.97%$516,378$276,183-10.97%-11.86%3.10%13.70%
20022.38%-19.02%-20.96%$418,188$218,293-20.96%-20.88%-20.02%-14.20%
20031.88%36.61%31.35%$571,269$286,73631.35%32.25%45.63%37.19%
20043.26%17.81%12.52%$672,985$322,62412.52%15.26%19.90%23.55%
20053.42%6.63%5.98%$717,599$341,9185.98%7.10%7.36%6.07%
20062.54%18.14%15.51%$847,743$394,95415.51%22.13%15.66%19.24%
20074.08%-0.09%5.49%$847,014$416,6355.49%0.08%1.16%-7.07%
20080.09%-35.28%-37.04%$548,171$262,323-37.04%-35.97%-36.07%-32.05%
20092.72%28.68%28.70%$705,405$337,60428.70%19.58%36.12%30.34%
20101.50%20.98%17.09%$853,372$395,31317.09%14.27%27.72%24.82%
20112.96%-1.25%0.96%$842,694$399,1160.96%1.00%-2.80%-4.16%
20121.74%16.97%16.25%$985,666$463,98516.25%15.00%18.04%18.56%
20131.50%35.06%33.35%$1,331,263$618,72233.35%32.87%37.62%36.41%
20140.76%10.81%12.43%$1,475,224$695,62512.43%13.07%7.37%10.39%
20150.73%-2.33%0.29%$1,440,915$697,6540.29%-1.04%-3.78%-4.77%
20162.07%18.03%12.53%$1,700,655$785,09312.53%16.75%18.17%24.65%
20172.11%16.45%21.05%$1,980,453$950,36721.05%16.99%16.10%11.67%
20181.91%-8.14%-5.26%$1,819,191$900,414-5.26%-5.55%-9.43%-12.34%
20192.29%26.54%30.65%$2,301,949$1,176,38030.65%25.67%27.22%22.61%
20200.66%-11.04%-8.25%$2,047,744$1,079,357-8.25%-12.12%-10.54%-13.27%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.04%0.91%
Arithmetic Mean (annualized)13.16%11.52%
Geometric Mean (monthly)0.92%0.81%
Geometric Mean (annualized)11.68%10.21%
Volatility (monthly)4.68%4.44%
Volatility (annualized)16.20%15.37%
Downside Deviation (monthly)3.06%2.89%
Max. Drawdown-53.71%-50.89%
US Market Correlation0.971.00
Beta(*)1.021.00
Alpha (annualized)1.25%-0.00%
R293.83%100.00%
Sharpe Ratio0.480.41
Sortino Ratio0.690.59
Treynor Ratio (%)7.626.30
Calmar Ratio0.310.64
Active Return1.47%0.00%
Tracking Error4.04%0.00%
Information Ratio0.37N/A
Skewness-0.66-0.55
Excess Kurtosis2.832.17
Historical Value-at-Risk (5%)-6.64%-7.07%
Analytical Value-at-Risk (5%)-6.66%-6.39%
Conditional Value-at-Risk (5%)-10.79%-10.00%
Upside Capture Ratio (%)106.06100.00
Downside Capture Ratio (%)100.22100.00
Safe Withdrawal Rate5.91%4.33%
Perpetual Withdrawal Rate7.00%5.75%
Positive Periods368 out of 578 (63.67%)361 out of 578 (62.46%)
Gain/Loss Ratio1.021.02
* 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 1974-13.83%-12.61%
Black Monday PeriodSep 1987Nov 1987-29.67%-29.34%
Asian CrisisJul 1997Jan 1998-3.66%-3.72%
Russian Debt DefaultJul 1998Oct 1998-21.09%-17.57%
Dotcom CrashMar 2000Oct 2002-29.23%-44.11%
Subprime CrisisNov 2007Mar 2009-52.79%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-53.71%
2Dec 1972Sep 19741 year 10 monthsJan 19761 year 4 months3 years 2 months-43.44%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-29.67%
4Feb 2001Sep 20021 year 8 monthsDec 20031 year 3 months2 years 11 months-29.23%
5May 1998Aug 19984 monthsApr 19998 months1 year-23.05%
6Sep 1989Oct 19901 year 2 monthsMar 19915 months1 year 7 months-22.48%
7May 2011Sep 20115 monthsMar 20126 months11 months-21.20%
8Sep 2018Dec 20184 monthsOct 201910 months1 year 2 months-15.85%
9Sep 1978Oct 19782 monthsMar 19795 months7 months-15.18%
10Feb 1980Mar 19802 monthsJun 19803 months5 months-14.62%
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 20123 years 1 month4 years 5 months-50.89%
2Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
3Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
8Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
9Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-11.64%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.21%15.37%37.82%-37.04%-50.89%0.410.591.00
US Large Cap Value11.00%14.75%40.67%-35.97%-54.85%0.470.690.95
US Small Cap11.42%19.30%55.13%-36.07%-53.95%0.420.610.91
US Small Cap Value13.53%17.84%54.78%-32.05%-56.13%0.540.800.89

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Large Cap ValueUS Small CapUS Small Cap ValuePortfolio 1Portfolio 2
US Stock Market1.000.950.910.890.971.00
US Large Cap Value0.951.000.830.870.940.95
US Small Cap0.910.831.000.960.970.91
US Small Cap Value0.890.870.961.000.970.89

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$540,843$1,069,357
US Large Cap Value$483,285
US Small Cap$513,755
US Small Cap Value$499,861

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market22.99%100.00%
US Large Cap Value21.39%
US Small Cap28.89%
US Small Cap Value26.73%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year13.55%46.89%-35.28%11.95%37.82%-37.04%
3 years12.63%29.74%-12.33%10.86%29.10%-14.31%
5 years12.99%26.55%-0.82%11.10%26.84%-1.76%
7 years13.01%23.68%0.86%11.15%20.21%-0.73%
10 years12.84%22.60%2.29%11.04%17.67%-0.66%
15 years12.67%21.05%6.13%11.03%17.62%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods