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

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

Enter percentage allocation for asset 1 in 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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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 - Jun 2021)

Note: The time period was constrained by the available data for US Small Cap Value [Jan 1972 - Jun 2021].

Portfolio Allocations

Portfolio 1
Asset Class	Allocation
US Large Cap Value	100.00%
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Portfolio 2
Asset Class	Allocation
US Small Cap Value	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
Portfolio 1	$10,000	$2,065,049	11.37%	14.96%	40.67%	-35.97%	-54.85%	0.49	0.73	0.95
Portfolio 2	$10,000	$6,772,488	14.07%	18.31%	54.78%	-32.05%	-56.13%	0.57	0.83	0.89

Trailing Returns

Trailing Returns
Name	Annualized Return							Annualized Volatility
Name	3 Month	YTD	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	5.22%	16.72%	41.11%	12.72%	12.90%	12.12%	11.37%	19.01%	15.46%
Portfolio 2	5.36%	23.03%	65.46%	10.71%	12.66%	11.70%	14.07%	26.15%	21.17%
Trailing annualized return and volatility are for full months ending in June 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 June
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	Portfolio 1		Portfolio 2		US Large Cap Value	US Small Cap Value
Year	Inflation	Return	Balance	Return	Balance	US Large Cap Value	US Small Cap Value
1972	3.41%	15.32%	$11,532	11.15%	$11,115	15.32%	11.15%
1973	8.71%	-9.79%	$10,403	-24.12%	$8,434	-9.79%	-24.12%
1974	12.34%	-21.13%	$8,205	-21.09%	$6,656	-21.13%	-21.09%
1975	6.94%	40.67%	$11,542	53.94%	$10,246	40.67%	53.94%
1976	4.86%	33.32%	$15,387	54.78%	$15,859	33.32%	54.78%
1977	6.70%	-3.31%	$14,878	15.88%	$18,377	-3.31%	15.88%
1978	9.02%	6.37%	$15,826	19.25%	$21,914	6.37%	19.25%
1979	13.29%	23.22%	$19,501	37.80%	$30,199	23.22%	37.80%
1980	12.52%	31.75%	$25,692	25.77%	$37,981	31.75%	25.77%
1981	8.92%	-1.48%	$25,313	15.69%	$43,940	-1.48%	15.69%
1982	3.83%	25.08%	$31,661	36.87%	$60,141	25.08%	36.87%
1983	3.79%	25.44%	$39,715	42.61%	$85,766	25.44%	42.61%
1984	3.95%	11.43%	$44,256	5.69%	$90,646	11.43%	5.69%
1985	3.80%	32.93%	$58,831	37.46%	$124,602	32.93%	37.46%
1986	1.10%	19.70%	$70,423	13.99%	$142,032	19.70%	13.99%
1987	4.43%	2.11%	$71,912	-3.51%	$137,050	2.11%	-3.51%
1988	4.42%	20.16%	$86,412	29.00%	$176,788	20.16%	29.00%
1989	4.65%	26.89%	$109,648	19.21%	$210,741	26.89%	19.21%
1990	6.11%	-7.02%	$101,948	-19.05%	$170,604	-7.02%	-19.05%
1991	3.06%	23.78%	$126,196	42.96%	$243,893	23.78%	42.96%
1992	2.90%	15.48%	$145,737	28.23%	$312,743	15.48%	28.23%
1993	2.75%	18.26%	$172,343	21.10%	$378,729	18.26%	21.10%
1994	2.67%	-0.63%	$171,265	-0.07%	$378,468	-0.63%	-0.07%
1995	2.54%	37.04%	$234,695	30.32%	$493,216	37.04%	30.32%
1996	3.32%	21.80%	$285,856	21.41%	$598,809	21.80%	21.41%
1997	1.70%	29.78%	$370,990	35.44%	$811,015	29.78%	35.44%
1998	1.61%	14.63%	$425,276	-2.68%	$789,318	14.63%	-2.68%
1999	2.68%	12.58%	$478,757	3.35%	$815,757	12.58%	3.35%
2000	3.39%	6.09%	$507,917	21.88%	$994,230	6.09%	21.88%
2001	1.55%	-11.86%	$447,654	13.70%	$1,130,412	-11.86%	13.70%
2002	2.38%	-20.88%	$354,187	-14.20%	$969,916	-20.88%	-14.20%
2003	1.88%	32.25%	$468,412	37.19%	$1,330,637	32.25%	37.19%
2004	3.26%	15.26%	$539,877	23.55%	$1,644,026	15.26%	23.55%
2005	3.42%	7.10%	$578,214	6.07%	$1,743,854	7.10%	6.07%
2006	2.54%	22.13%	$706,192	19.24%	$2,079,438	22.13%	19.24%
2007	4.08%	0.08%	$706,780	-7.07%	$1,932,371	0.08%	-7.07%
2008	0.09%	-35.97%	$452,585	-32.05%	$1,312,955	-35.97%	-32.05%
2009	2.72%	19.58%	$541,211	30.34%	$1,711,248	19.58%	30.34%
2010	1.50%	14.27%	$618,458	24.82%	$2,135,946	14.27%	24.82%
2011	2.96%	1.00%	$624,645	-4.16%	$2,047,023	1.00%	-4.16%
2012	1.74%	15.00%	$718,352	18.56%	$2,427,052	15.00%	18.56%
2013	1.50%	32.87%	$954,498	36.41%	$3,310,671	32.87%	36.41%
2014	0.76%	13.07%	$1,079,233	10.39%	$3,654,657	13.07%	10.39%
2015	0.73%	-1.04%	$1,068,039	-4.77%	$3,480,171	-1.04%	-4.77%
2016	2.07%	16.75%	$1,246,928	24.65%	$4,337,971	16.75%	24.65%
2017	2.11%	16.99%	$1,458,729	11.67%	$4,844,253	16.99%	11.67%
2018	1.91%	-5.55%	$1,377,816	-12.34%	$4,246,503	-5.55%	-12.34%
2019	2.29%	25.67%	$1,731,499	22.61%	$5,206,694	25.67%	22.61%
2020	1.36%	2.18%	$1,769,220	5.72%	$5,504,759	2.18%	5.72%
2021	4.31%	16.72%	$2,065,049	23.03%	$6,772,488	16.72%	23.03%
Annual return for 2021 is from 01/01/2021 to 06/30/2021

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	1.00%	1.25%
Arithmetic Mean (annualized)	12.62%	16.02%
Geometric Mean (monthly)	0.90%	1.10%
Geometric Mean (annualized)	11.37%	14.07%
Volatility (monthly)	4.32%	5.29%
Volatility (annualized)	14.96%	18.31%
Downside Deviation (monthly)	2.75%	3.46%
Max. Drawdown	-54.85%	-56.13%
US Market Correlation	0.95	0.89
Beta^(*)	0.91	1.04
Alpha (annualized)	1.40%	2.88%
R²	90.25%	78.90%
Sharpe Ratio	0.49	0.57
Sortino Ratio	0.73	0.83
Treynor Ratio (%)	8.13	9.99
Calmar Ratio	0.51	0.30
Active Return	0.52%	3.22%
Tracking Error	4.87%	8.44%
Information Ratio	0.11	0.38
Skewness	-0.52	-0.67
Excess Kurtosis	2.02	4.04
Historical Value-at-Risk (5%)	-6.07%	-7.17%
Analytical Value-at-Risk (5%)	-6.11%	-7.45%
Conditional Value-at-Risk (5%)	-9.57%	-12.21%
Upside Capture Ratio (%)	93.15	111.13
Downside Capture Ratio (%)	88.03	98.11
Safe Withdrawal Rate	5.72%	7.72%
Perpetual Withdrawal Rate	6.78%	9.02%
Positive Periods	381 out of 594 (64.14%)	388 out of 594 (65.32%)
Gain/Loss Ratio	1.02	1.00
^* 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	Portfolio 1	Portfolio 2
Oil Crisis	Oct 1973	Mar 1974	-10.86%	-15.17%
Black Monday Period	Sep 1987	Nov 1987	-26.05%	-29.46%
Asian Crisis	Jul 1997	Jan 1998	-4.51%	-3.14%
Russian Debt Default	Jul 1998	Oct 1998	-17.91%	-23.66%
Dotcom Crash	Mar 2000	Oct 2002	-39.12%	-28.62%
Subprime Crisis	Nov 2007	Mar 2009	-53.96%	-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Feb 2013	4 years	5 years 9 months	-54.85%
2	Feb 2001	Sep 2002	1 year 8 months	Dec 2004	2 years 3 months	3 years 11 months	-39.12%
3	Jan 1973	Sep 1974	1 year 9 months	Jun 1975	9 months	2 years 6 months	-35.22%
4	Sep 1987	Nov 1987	3 months	Jan 1989	1 year 2 months	1 year 5 months	-26.05%
5	Jan 2020	Mar 2020	3 months	Dec 2020	9 months	1 year	-25.00%
6	May 1998	Aug 1998	4 months	Dec 1998	4 months	8 months	-18.48%
7	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-15.15%
8	Mar 1980	Mar 1980	1 month	Jun 1980	3 months	4 months	-11.34%
9	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-10.95%
10	Jul 1999	Feb 2000	8 months	Aug 2000	6 months	1 year 2 months	-10.27%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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	-56.13%
2	Dec 1972	Dec 1974	2 years 1 month	Jan 1976	1 year 1 month	3 years 2 months	-41.10%
3	Sep 2018	Mar 2020	1 year 7 months	Dec 2020	9 months	2 years 4 months	-35.29%
4	May 2002	Mar 2003	11 months	Dec 2003	9 months	1 year 8 months	-31.28%
5	Sep 1989	Oct 1990	1 year 2 months	May 1991	7 months	1 year 9 months	-30.82%
6	Sep 1987	Nov 1987	3 months	Jan 1989	1 year 2 months	1 year 5 months	-29.46%
7	May 1998	Aug 1998	4 months	Aug 2000	2 years	2 years 4 months	-27.15%
8	May 2011	Sep 2011	5 months	Sep 2012	1 year	1 year 5 months	-23.97%
9	Feb 1980	Mar 1980	2 months	Jul 1980	4 months	6 months	-18.53%
10	Sep 1978	Oct 1978	2 months	Mar 1979	5 months	7 months	-18.52%
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 Value	11.37%	14.96%	40.67%	-35.97%	-54.85%	0.49	0.73	0.95
US Small Cap Value	14.07%	18.31%	54.78%	-32.05%	-56.13%	0.57	0.83	0.89

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap Value	US Small Cap Value	Portfolio 1	Portfolio 2
US Large Cap Value	1.00	0.87	1.00	0.87
US Small Cap Value	0.87	1.00	0.87	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap Value	$2,055,049
US Small Cap Value		$6,762,488

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap Value	100.00%
US Small Cap Value		100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	12.42%	57.81%	-46.19%	15.61%	96.62%	-45.54%
3 years	11.88%	32.83%	-16.69%	14.89%	40.29%	-19.30%
5 years	11.92%	29.95%	-6.46%	15.10%	35.46%	-6.86%
7 years	11.91%	23.73%	-3.05%	15.06%	30.95%	-2.20%
10 years	11.84%	20.09%	-1.98%	14.88%	29.84%	3.20%
15 years	11.72%	19.77%	4.36%	14.47%	26.31%	5.18%