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
Portfolio #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
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Portfolio Analysis Results (Jan 1994 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 40.00%
Global ex-US Stock Market 20.00%
Total US Bond Market 30.00%
REIT 10.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$91,076 8.53% 9.18%28.74%-20.20%-30.72% 0.691.020.99
Portfolio 2$10,000$81,937 8.10% 10.35%25.37%-25.82%-39.59% 0.580.840.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 19.00%15.57%10.87%11.02%9.82%8.53%11.75%9.54%
Portfolio 210.20%12.39%8.97%9.93%8.66%8.10%12.85%10.53%
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
YearInflationReturnBalanceUS Stock MarketTotal US Bond MarketGlobal ex-US Stock MarketREIT
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19942.67%-1.16%0.25%$9,884$10,025-0.17%-2.66%9.76%-8.40%
19952.54%28.74%21.78%$12,725$12,20835.79%18.18%3.98%12.13%
19963.32%14.01%13.78%$14,507$13,89020.96%3.58%4.68%33.84%
19971.70%22.37%16.95%$17,753$16,24530.99%9.44%-0.77%18.77%
19981.61%17.39%13.37%$20,841$18,41723.26%8.58%15.60%-16.32%
19992.68%13.98%14.88%$23,755$21,15623.81%-0.76%29.92%-4.04%
20003.39%-1.79%-1.30%$23,330$20,881-10.57%11.39%-15.61%26.35%
20011.55%-3.21%-4.65%$22,582$19,910-10.97%8.43%-20.15%12.35%
20022.38%-9.27%-8.55%$20,488$18,208-20.96%8.26%-15.08%3.75%
20031.88%20.40%25.37%$24,667$22,82731.35%3.97%40.34%35.66%
20043.26%9.20%13.52%$26,938$25,91312.52%4.24%20.84%30.76%
20053.42%4.55%7.41%$28,163$27,8345.98%2.40%15.57%11.89%
20062.54%11.01%16.32%$31,265$32,37715.51%4.27%26.64%35.07%
20074.08%6.06%5.73%$33,160$34,2325.49%6.92%15.52%-16.46%
20080.09%-20.20%-25.82%$26,461$25,392-37.04%5.05%-44.10%-37.05%
20092.72%19.59%23.56%$31,645$31,37528.70%5.93%36.73%29.58%
20101.50%12.82%13.82%$35,704$35,71017.09%6.42%11.12%28.30%
20112.96%3.60%0.59%$36,989$35,9190.96%7.56%-14.56%8.47%
20121.74%11.37%13.10%$41,195$40,62316.25%4.05%18.14%17.53%
20131.50%19.10%15.90%$49,065$47,08333.35%-2.26%15.04%2.31%
20140.76%9.76%8.86%$53,854$51,25712.43%5.76%-4.24%30.13%
20150.73%0.29%-0.45%$54,013$51,0270.29%0.30%-4.38%2.22%
20162.07%8.52%7.53%$58,615$54,86912.53%2.50%4.65%8.34%
20172.11%14.01%15.42%$66,828$63,32821.05%3.45%27.40%4.83%
20181.91%-3.20%-5.64%$64,686$59,757-5.26%-0.13%-14.44%-6.11%
20192.29%21.83%22.01%$78,808$72,90730.65%8.61%21.43%28.78%
20201.27%15.57%12.39%$91,076$81,93720.87%7.61%11.16%-4.78%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.72%0.70%
Arithmetic Mean (annualized)8.98%8.68%
Geometric Mean (monthly)0.68%0.65%
Geometric Mean (annualized)8.53%8.10%
Volatility (monthly)2.65%2.99%
Volatility (annualized)9.18%10.35%
Downside Deviation (monthly)1.69%2.00%
Max. Drawdown-30.72%-39.59%
US Market Correlation0.990.96
Beta(*)0.590.65
Alpha (annualized)2.23%1.33%
R297.25%92.26%
Sharpe Ratio0.690.58
Sortino Ratio1.020.84
Treynor Ratio (%)10.709.32
Calmar Ratio0.910.61
Active Return-1.57%-2.00%
Tracking Error6.49%6.14%
Information Ratio-0.24-0.33
Skewness-0.67-0.87
Excess Kurtosis1.402.80
Historical Value-at-Risk (5%)-4.11%-4.74%
Analytical Value-at-Risk (5%)-3.64%-4.22%
Conditional Value-at-Risk (5%)-5.69%-6.83%
Upside Capture Ratio (%)62.4265.44
Downside Capture Ratio (%)56.0562.92
Safe Withdrawal Rate7.90%7.50%
Perpetual Withdrawal Rate5.86%5.49%
Positive Periods218 out of 324 (67.28%)218 out of 324 (67.28%)
Gain/Loss Ratio0.960.89
* 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
Asian CrisisJul 1997Jan 1998-2.69%-3.61%
Russian Debt DefaultJul 1998Oct 1998-10.18%-10.77%
Dotcom CrashMar 2000Oct 2002-21.68%-20.74%
Subprime CrisisNov 2007Mar 2009-30.72%-39.59%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-11.94%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-10.18%
5May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.47%
8Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
9Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-3.76%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-39.59%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-20.74%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-14.71%
4May 2011Sep 20115 monthsFeb 20125 months10 months-12.49%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-10.77%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.77%
7Jun 2015Feb 20169 monthsJun 20164 months1 year 1 month-6.95%
8Apr 2012May 20122 monthsAug 20123 months5 months-5.07%
9Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-5.01%
10Apr 2000May 20002 monthsAug 20003 months5 months-4.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.10%15.36%35.79%-37.04%-50.89%0.550.801.00
Total US Bond Market5.14%3.56%18.18%-2.66%-5.01%0.781.290.01
Global ex-US Stock Market5.33%16.86%40.34%-44.10%-58.50%0.260.360.84
REIT9.01%19.23%35.66%-37.05%-68.28%0.430.610.59

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketGlobal ex-US Stock MarketREITPortfolio 1Portfolio 2
US Stock Market1.000.010.840.590.990.96
Total US Bond Market0.011.000.020.200.160.15
Global ex-US Stock Market0.840.021.000.570.830.92
REIT0.590.200.571.000.610.72

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$63,672$39,984
Total US Bond Market$17,404$12,373
Global ex-US Stock Market$11,612
REIT$7,969

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market97.49%55.97%
Total US Bond Market2.51%1.52%
Global ex-US Stock Market29.30%
REIT13.21%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.87%35.35%-25.66%8.46%44.58%-33.58%
3 years8.23%22.00%-6.52%7.92%21.27%-9.22%
5 years7.66%19.17%-1.54%7.49%17.40%-1.79%
7 years7.21%13.27%0.77%7.20%12.49%1.37%
10 years7.05%11.49%1.27%7.22%11.62%1.74%
15 years6.78%8.51%5.14%6.98%8.99%5.09%