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

Enter percentage allocation for asset 1 in portfolio 1 %

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Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

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Asset 3

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Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

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Asset 5

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Asset 6

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

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Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

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Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

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Enter percentage allocation for asset 9 in portfolio 3 %

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 1994 - Sep 2021)

Note: The time period was constrained by the available data for REIT [Jan 1994 - Sep 2021].

Portfolio Allocations

Portfolio 1
Asset Class	Allocation
US Stock Market	60.00%
Total US Bond Market	40.00%
Save portfolio »

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 portfolio »

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	$98,718	8.60%	9.11%	28.74%	-20.20%	-30.72%	0.70	1.05	0.99
Portfolio 2	$10,000	$89,330	8.21%	10.27%	25.37%	-25.82%	-39.59%	0.60	0.87	0.96

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	-0.02%	8.39%	18.15%	11.83%	11.26%	11.08%	8.60%	11.79%	9.51%
Portfolio 2	-0.54%	9.02%	20.14%	11.01%	10.24%	10.30%	8.21%	12.90%	10.37%
Trailing annualized return and volatility are for full months ending in September 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 September
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 Stock Market	Total US Bond Market	Global ex-US Stock Market	REIT
Year	Inflation	Return	Balance	Return	Balance	US Stock Market	Total US Bond Market	Global ex-US Stock Market	REIT
1994	2.67%	-1.16%	$9,884	0.25%	$10,025	-0.17%	-2.66%	9.76%	-8.40%
1995	2.54%	28.74%	$12,725	21.78%	$12,208	35.79%	18.18%	3.98%	12.13%
1996	3.32%	14.01%	$14,507	13.78%	$13,890	20.96%	3.58%	4.68%	33.84%
1997	1.70%	22.37%	$17,753	16.95%	$16,245	30.99%	9.44%	-0.77%	18.77%
1998	1.61%	17.39%	$20,841	13.37%	$18,417	23.26%	8.58%	15.60%	-16.32%
1999	2.68%	13.98%	$23,755	14.88%	$21,156	23.81%	-0.76%	29.92%	-4.04%
2000	3.39%	-1.79%	$23,330	-1.30%	$20,881	-10.57%	11.39%	-15.61%	26.35%
2001	1.55%	-3.21%	$22,582	-4.65%	$19,910	-10.97%	8.43%	-20.15%	12.35%
2002	2.38%	-9.27%	$20,488	-8.55%	$18,208	-20.96%	8.26%	-15.08%	3.75%
2003	1.88%	20.40%	$24,667	25.37%	$22,827	31.35%	3.97%	40.34%	35.66%
2004	3.26%	9.20%	$26,938	13.52%	$25,913	12.52%	4.24%	20.84%	30.76%
2005	3.42%	4.55%	$28,163	7.41%	$27,834	5.98%	2.40%	15.57%	11.89%
2006	2.54%	11.01%	$31,265	16.32%	$32,377	15.51%	4.27%	26.64%	35.07%
2007	4.08%	6.06%	$33,160	5.73%	$34,232	5.49%	6.92%	15.52%	-16.46%
2008	0.09%	-20.20%	$26,461	-25.82%	$25,392	-37.04%	5.05%	-44.10%	-37.05%
2009	2.72%	19.59%	$31,645	23.56%	$31,375	28.70%	5.93%	36.73%	29.58%
2010	1.50%	12.82%	$35,704	13.82%	$35,710	17.09%	6.42%	11.12%	28.30%
2011	2.96%	3.60%	$36,989	0.59%	$35,919	0.96%	7.56%	-14.56%	8.47%
2012	1.74%	11.37%	$41,195	13.10%	$40,623	16.25%	4.05%	18.14%	17.53%
2013	1.50%	19.10%	$49,065	15.90%	$47,083	33.35%	-2.26%	15.04%	2.31%
2014	0.76%	9.76%	$53,854	8.86%	$51,257	12.43%	5.76%	-4.24%	30.13%
2015	0.73%	0.29%	$54,013	-0.45%	$51,027	0.29%	0.30%	-4.38%	2.22%
2016	2.07%	8.52%	$58,615	7.53%	$54,869	12.53%	2.50%	4.65%	8.34%
2017	2.11%	14.01%	$66,828	15.42%	$63,328	21.05%	3.45%	27.40%	4.83%
2018	1.91%	-3.20%	$64,686	-5.64%	$59,757	-5.26%	-0.13%	-14.44%	-6.11%
2019	2.29%	21.83%	$78,808	22.01%	$72,907	30.65%	8.61%	21.43%	28.78%
2020	1.36%	15.57%	$91,076	12.39%	$81,937	20.87%	7.61%	11.16%	-4.78%
2021	5.31%	8.39%	$98,718	9.02%	$89,330	15.09%	-1.66%	6.39%	22.06%
Annual return for 2021 is from 01/01/2021 to 09/30/2021

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.72%	0.70%
Arithmetic Mean (annualized)	9.05%	8.78%
Geometric Mean (monthly)	0.69%	0.66%
Geometric Mean (annualized)	8.60%	8.21%
Volatility (monthly)	2.63%	2.96%
Volatility (annualized)	9.11%	10.27%
Downside Deviation (monthly)	1.68%	1.98%
Max. Drawdown	-30.72%	-39.59%
US Market Correlation	0.99	0.96
Beta^(*)	0.59	0.65
Alpha (annualized)	2.16%	1.27%
R²	97.19%	92.29%
Sharpe Ratio	0.70	0.60
Sortino Ratio	1.05	0.87
Treynor Ratio (%)	10.90	9.55
Calmar Ratio	0.99	0.75
Active Return	-1.77%	-2.16%
Tracking Error	6.43%	6.08%
Information Ratio	-0.28	-0.36
Skewness	-0.68	-0.88
Excess Kurtosis	1.44	2.85
Historical Value-at-Risk (5%)	-4.04%	-4.68%
Analytical Value-at-Risk (5%)	-3.60%	-4.17%
Conditional Value-at-Risk (5%)	-5.69%	-6.83%
Upside Capture Ratio (%)	62.35	65.38
Downside Capture Ratio (%)	56.27	63.09
Safe Withdrawal Rate	7.90%	7.50%
Perpetual Withdrawal Rate	5.95%	5.61%
Positive Periods	225 out of 333 (67.57%)	225 out of 333 (67.57%)
Gain/Loss Ratio	0.96	0.89
^* 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 Period	Start	End	Portfolio 1	Portfolio 2
Asian Crisis	Jul 1997	Jan 1998	-2.69%	-3.61%
Russian Debt Default	Jul 1998	Oct 1998	-10.18%	-10.77%
Dotcom Crash	Mar 2000	Oct 2002	-21.68%	-20.74%
Subprime Crisis	Nov 2007	Mar 2009	-30.72%	-39.59%
COVID-19 Start	Jan 2020	Mar 2020	-11.94%	-14.71%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Oct 2010	1 year 8 months	3 years	-30.72%
2	Sep 2000	Sep 2002	2 years 1 month	Jan 2004	1 year 4 months	3 years 5 months	-21.68%
3	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-11.94%
4	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-10.18%
5	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-9.08%
6	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-8.46%
7	Feb 1994	Jun 1994	5 months	Feb 1995	8 months	1 year 1 month	-6.47%
8	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-5.35%
9	Jun 2015	Sep 2015	4 months	Apr 2016	7 months	11 months	-5.33%
10	Jul 1999	Sep 1999	3 months	Oct 1999	1 month	4 months	-3.76%
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	Nov 2007	Feb 2009	1 year 4 months	Jan 2011	1 year 11 months	3 years 3 months	-39.59%
2	Sep 2000	Sep 2002	2 years 1 month	Dec 2003	1 year 3 months	3 years 4 months	-20.74%
3	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-14.71%
4	May 2011	Sep 2011	5 months	Feb 2012	5 months	10 months	-12.49%
5	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-10.77%
6	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-8.77%
7	Jun 2015	Feb 2016	9 months	Jun 2016	4 months	1 year 1 month	-6.95%
8	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-5.07%
9	Feb 1994	Nov 1994	10 months	Mar 1995	4 months	1 year 2 months	-5.01%
10	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-4.38%
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 Stock Market	10.37%	15.23%	35.79%	-37.04%	-50.89%	0.58	0.84	1.00
Total US Bond Market	4.93%	3.57%	18.18%	-2.66%	-5.01%	0.74	1.22	0.01
Global ex-US Stock Market	5.42%	16.67%	40.34%	-44.10%	-58.50%	0.27	0.37	0.84
REIT	9.54%	19.10%	35.66%	-37.05%	-68.28%	0.46	0.66	0.60

Monthly Correlations

Correlations for the portfolio assets
Name	US Stock Market	Total US Bond Market	Global ex-US Stock Market	REIT	Portfolio 1	Portfolio 2
US Stock Market	1.00	0.01	0.84	0.60	0.99	0.96
Total US Bond Market	0.01	1.00	0.02	0.20	0.17	0.15
Global ex-US Stock Market	0.84	0.02	1.00	0.57	0.83	0.91
REIT	0.60	0.20	0.57	1.00	0.61	0.73

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Stock Market	$71,917	$44,929
Total US Bond Market	$16,801	$11,966
Global ex-US Stock Market		$12,658
REIT		$9,776

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Stock Market	97.41%	56.00%
Total US Bond Market	2.59%	1.55%
Global ex-US Stock Market		29.17%
REIT		13.28%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	9.26%	35.35%	-25.66%	8.90%	44.58%	-33.58%
3 years	8.35%	22.00%	-6.52%	8.01%	21.27%	-9.22%
5 years	7.79%	19.17%	-1.54%	7.60%	17.40%	-1.79%
7 years	7.30%	13.27%	0.77%	7.25%	12.49%	1.37%
10 years	7.18%	11.49%	1.27%	7.29%	11.62%	1.74%
15 years	6.87%	8.69%	5.14%	7.01%	8.99%	5.09%