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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Portfolio Analysis Results (Jan 1972 - Aug 2021)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Large Cap Value$10,000$2,129,726 11.40% 14.93%40.67%-35.97%-54.85% 0.500.740.95
Large Cap Growth$10,000$1,801,281 11.02% 16.79%44.61%-38.32%-53.60% 0.440.650.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Large Cap Value1.89%20.38%34.76%11.44%12.82%13.55%11.40%18.90%15.45%
Large Cap Growth13.41%21.25%28.76%25.04%23.51%18.87%11.02%19.94%16.19%
Trailing annualized return and volatility are for full months ending in August 2021 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.
  • The annual results for 2021 are based on monthly returns from January to August
  • 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationLarge Cap ValueLarge Cap GrowthUS Large Cap ValueUS Large Cap Growth
ReturnBalanceReturnBalance
19723.41%15.32%$11,53222.97%$12,29715.32%22.97%
19738.71%-9.79%$10,403-23.09%$9,458-9.79%-23.09%
197412.34%-21.13%$8,205-32.34%$6,399-21.13%-32.34%
19756.94%40.67%$11,54233.10%$8,51740.67%33.10%
19764.86%33.32%$15,38714.85%$9,78133.32%14.85%
19776.70%-3.31%$14,878-8.66%$8,935-3.31%-8.66%
19789.02%6.37%$15,8267.11%$9,5706.37%7.11%
197913.29%23.22%$19,50117.44%$11,23823.22%17.44%
198012.52%31.75%$25,69235.59%$15,23831.75%35.59%
19818.92%-1.48%$25,313-6.20%$14,293-1.48%-6.20%
19823.83%25.08%$31,66120.33%$17,19825.08%20.33%
19833.79%25.44%$39,71516.92%$20,10825.44%16.92%
19843.95%11.43%$44,2561.56%$20,42111.43%1.56%
19853.80%32.93%$58,83133.57%$27,27732.93%33.57%
19861.10%19.70%$70,42316.96%$31,90219.70%16.96%
19874.43%2.11%$71,9126.44%$33,9562.11%6.44%
19884.42%20.16%$86,41213.21%$38,44220.16%13.21%
19894.65%26.89%$109,64835.83%$52,21626.89%35.83%
19906.11%-7.02%$101,9481.54%$53,020-7.02%1.54%
19913.06%23.78%$126,19644.61%$76,67023.78%44.61%
19922.90%15.48%$145,7376.61%$81,74115.48%6.61%
19932.75%18.26%$172,3431.53%$82,99018.26%1.53%
19942.67%-0.63%$171,2652.89%$85,388-0.63%2.89%
19952.54%37.04%$234,69538.06%$117,89037.04%38.06%
19963.32%21.80%$285,85623.74%$145,87621.80%23.74%
19971.70%29.78%$370,99036.34%$198,88829.78%36.34%
19981.61%14.63%$425,27642.21%$282,83014.63%42.21%
19992.68%12.58%$478,75728.76%$364,17012.58%28.76%
20003.39%6.09%$507,917-22.21%$283,2936.09%-22.21%
20011.55%-11.86%$447,654-12.93%$246,667-11.86%-12.93%
20022.38%-20.88%$354,187-23.68%$188,265-20.88%-23.68%
20031.88%32.25%$468,41225.92%$237,06932.25%25.92%
20043.26%15.26%$539,8777.20%$254,13815.26%7.20%
20053.42%7.10%$578,2145.09%$267,0667.10%5.09%
20062.54%22.13%$706,1929.01%$291,13822.13%9.01%
20074.08%0.08%$706,78012.56%$327,7190.08%12.56%
20080.09%-35.97%$452,585-38.32%$202,136-35.97%-38.32%
20092.72%19.58%$541,21136.29%$275,49219.58%36.29%
20101.50%14.27%$618,45816.96%$322,21114.27%16.96%
20112.96%1.00%$624,6451.71%$327,7161.00%1.71%
20121.74%15.00%$718,35216.89%$383,05415.00%16.89%
20131.50%32.87%$954,49832.16%$506,26232.87%32.16%
20140.76%13.07%$1,079,23313.47%$574,43013.07%13.47%
20150.73%-1.04%$1,068,0393.17%$592,622-1.04%3.17%
20162.07%16.75%$1,246,9285.99%$628,14916.75%5.99%
20172.11%16.99%$1,458,72927.65%$801,80816.99%27.65%
20181.91%-5.55%$1,377,816-3.46%$774,047-5.55%-3.46%
20192.29%25.67%$1,731,49937.08%$1,061,08425.67%37.08%
20201.36%2.18%$1,769,22040.01%$1,485,6512.18%40.01%
20215.03%20.38%$2,129,72621.25%$1,801,28120.38%21.25%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Portfolio return and risk metrics
MetricLarge Cap ValueLarge Cap Growth
Arithmetic Mean (monthly)1.00%0.99%
Arithmetic Mean (annualized)12.65%12.59%
Geometric Mean (monthly)0.90%0.88%
Geometric Mean (annualized)11.40%11.02%
Volatility (monthly)4.31%4.85%
Volatility (annualized)14.93%16.79%
Downside Deviation (monthly)2.75%3.06%
Max. Drawdown-54.85%-53.60%
US Market Correlation0.950.96
Beta(*)0.911.04
Alpha (annualized)1.38%-0.13%
R290.24%92.36%
Sharpe Ratio0.500.44
Sortino Ratio0.740.65
Treynor Ratio (%)8.187.14
Calmar Ratio0.461.53
Active Return0.49%0.11%
Tracking Error4.87%4.68%
Information Ratio0.100.02
Skewness-0.52-0.31
Excess Kurtosis2.041.87
Historical Value-at-Risk (5%)-6.04%-6.96%
Analytical Value-at-Risk (5%)-6.09%-6.98%
Conditional Value-at-Risk (5%)-9.57%-10.38%
Upside Capture Ratio (%)93.05102.78
Downside Capture Ratio (%)88.02103.05
Safe Withdrawal Rate5.72%3.41%
Perpetual Withdrawal Rate6.83%6.51%
Positive Periods383 out of 596 (64.26%)357 out of 596 (59.90%)
Gain/Loss Ratio1.021.14
* 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 PeriodStartEndLarge Cap ValueLarge Cap Growth
Oil CrisisOct 1973Mar 1974-10.86%-17.33%
Black Monday PeriodSep 1987Nov 1987-26.05%-31.48%
Asian CrisisJul 1997Jan 1998-4.51%-6.64%
Russian Debt DefaultJul 1998Oct 1998-17.91%-13.04%
Dotcom CrashMar 2000Oct 2002-39.12%-53.58%
Subprime CrisisNov 2007Mar 2009-53.96%-47.19%
COVID-19 StartJan 2020Mar 2020-25.00%-16.34%

Drawdowns for Large Cap Value

Drawdowns for Large Cap Value (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20134 years5 years 9 months-54.85%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-39.12%
3Jan 1973Sep 19741 year 9 monthsJun 19759 months2 years 6 months-35.22%
4Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-26.05%
5Jan 2020Mar 20203 monthsDec 20209 months1 year-25.00%
6May 1998Aug 19984 monthsDec 19984 months8 months-18.48%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-15.15%
8Mar 1980Mar 19801 monthJun 19803 months4 months-11.34%
9Oct 2018Dec 20183 monthsApr 20194 months7 months-10.95%
10Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.27%
Worst 10 drawdowns included above

Drawdowns for Large Cap Growth

Drawdowns for Large Cap Growth (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsJul 19805 years 10 months7 years 7 months-53.60%
2Apr 2000Sep 20022 years 6 monthsAug 20129 years 11 months12 years 5 months-53.58%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-31.48%
4Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-19.54%
5Feb 2020Mar 20202 monthsMay 20202 months4 months-16.34%
6Oct 2018Dec 20183 monthsApr 20194 months7 months-16.34%
7Jul 1990Sep 19903 monthsFeb 19915 months8 months-15.81%
8Jul 1983May 198411 monthsJan 19858 months1 year 7 months-15.00%
9Aug 1998Aug 19981 monthOct 19982 months3 months-13.04%
10Jul 1986Sep 19863 monthsJan 19874 months7 months-11.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap Value11.40%14.93%40.67%-35.97%-54.85%0.500.740.95
US Large Cap Growth11.02%16.79%44.61%-38.32%-53.60%0.440.650.96

Monthly Correlations

Correlations for the portfolio assets
NameUS Large Cap ValueUS Large Cap GrowthLarge Cap ValueLarge Cap Growth
US Large Cap Value1.000.861.000.86
US Large Cap Growth0.861.000.861.00

Portfolio Return Decomposition

Portfolio return decomposition
NameLarge Cap ValueLarge Cap Growth
US Large Cap Value$2,119,726
US Large Cap Growth$1,791,281

Portfolio Risk Decomposition

Portfolio risk decomposition
NameLarge Cap ValueLarge Cap Growth
US Large Cap Value100.00%
US Large Cap Growth100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodLarge Cap ValueLarge Cap Growth
AverageHighLowAverageHighLow
1 year12.50%57.81%-46.19%12.38%65.73%-47.63%
3 years11.88%32.83%-16.69%11.27%35.87%-21.03%
5 years11.92%29.95%-6.46%11.24%33.65%-8.34%
7 years11.90%23.73%-3.05%11.31%24.72%-4.06%
10 years11.84%20.09%-1.98%11.32%22.34%-4.67%
15 years11.70%19.77%4.36%11.24%21.18%2.82%