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 5
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Asset 6
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Asset 10
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Portfolio Analysis Results (Jan 1979 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 50.00%
Intermediate Term Treasury 50.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 70.00%
Intermediate Term Treasury 30.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,122,071 12.20% 9.89%9.30%8.27%28.11%-11.86%-21.63%
(-20.52%)
0.650.990.93
Portfolio 2$10,000$1,443,465 12.89% 10.72%10.15%10.78%31.18%-21.93%-34.07%
(-33.21%)
0.590.870.98
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 14.47%18.47%8.88%6.83%8.44%9.89%6.06%5.76%
Portfolio 26.33%23.34%11.15%8.56%10.42%10.72%8.58%8.28%
Trailing annualized return and volatility are for full months ending in December 2019 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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2US Stock MarketIntermediate Term Treasury
ReturnBalanceReturnBalance
197913.29%$1,13314.80%$12,61318.58%$12,99124.25%5.35%
198012.52%$1,27518.02%$16,16024.07%$17,39333.15%2.88%
19818.92%$1,3882.63%$17,974-0.08%$18,767-4.15%9.41%
19823.83%$1,44225.82%$24,05623.69%$24,65420.50%31.13%
19833.79%$1,49613.94%$28,90617.43%$30,44822.66%5.22%
19843.95%$1,5558.60%$32,9476.03%$33,8402.19%15.01%
19853.80%$1,61426.76%$43,37828.56%$45,12131.27%22.24%
19861.10%$1,63214.84%$51,44714.73%$53,40114.57%15.10%
19874.43%$1,7052.08%$54,2242.30%$56,3312.61%1.55%
19884.42%$1,78011.29%$62,12313.70%$65,82817.32%5.26%
19894.65%$1,86321.32%$77,23124.04%$83,51528.12%14.52%
19906.11%$1,9761.69%$80,513-1.42%$84,309-6.08%9.46%
19913.06%$2,03724.18%$102,01827.46%$109,50132.39%15.97%
19922.90%$2,0968.44%$112,7278.71%$121,1339.11%7.78%
19932.75%$2,15411.03%$127,31310.87%$136,45010.62%11.43%
19942.67%$2,211-2.25%$126,662-1.42%$136,729-0.17%-4.33%
19952.54%$2,26728.11%$164,53931.18%$181,63235.79%20.44%
19963.32%$2,34311.44%$185,70615.25%$211,67120.96%1.92%
19971.70%$2,38319.98%$225,18724.38%$265,66830.99%8.96%
19981.61%$2,42116.93%$265,74319.47%$319,80623.26%10.61%
19992.68%$2,48610.15%$295,19115.61%$372,22123.81%-3.52%
20003.39%$2,5701.73%$302,863-3.19%$362,907-10.57%14.03%
20011.55%$2,610-1.71%$300,296-5.41%$345,877-10.97%7.55%
20022.38%$2,672-3.41%$292,741-10.43%$312,482-20.96%14.15%
20031.88%$2,72216.86%$344,82222.66%$386,00731.35%2.37%
20043.26%$2,8117.96%$375,0789.78%$426,57712.52%3.40%
20053.42%$2,9074.15%$393,5404.88%$450,3025.98%2.31%
20062.54%$2,9819.32%$433,21411.80%$506,41315.51%3.14%
20074.08%$3,1027.73%$469,8246.84%$544,1375.49%9.98%
20080.09%$3,105-11.86%$417,214-21.93%$427,911-37.04%13.32%
20092.72%$3,19013.50%$476,73419.58%$514,88728.70%-1.69%
20101.50%$3,23812.22%$538,23614.17%$591,08617.09%7.35%
20112.96%$3,3335.38%$570,5043.61%$615,7590.96%9.79%
20121.74%$3,3919.46%$627,88612.18%$694,14616.25%2.67%
20131.50%$3,44215.13%$726,33522.42%$853,20733.35%-3.09%
20140.76%$3,4688.37%$790,62110.00%$941,95912.43%4.32%
20150.73%$3,4940.90%$801,2080.65%$951,6220.29%1.50%
20162.07%$3,5666.86%$859,7329.13%$1,042,06112.53%1.19%
20172.11%$3,64111.32%$960,66315.21%$1,204,20421.05%1.58%
20181.91%$3,711-2.13%$943,944-3.38%$1,167,232-5.26%1.00%
20192.29%$3,79618.47%$1,122,07123.34%$1,443,46530.65%6.29%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.82%0.90%
Arithmetic Mean (annualized)10.27%11.36%
Geometric Mean (monthly)0.79%0.85%
Geometric Mean (annualized)9.89%10.72%
Volatility (monthly)2.39%3.11%
Volatility (annualized)8.27%10.78%
Downside Deviation (monthly)1.37%1.92%
Max. Drawdown-21.63%-34.07%
US Market Correlation0.930.98
Beta(*)0.510.70
Alpha (annualized)3.56%2.18%
R286.28%96.94%
Sharpe Ratio0.650.59
Sortino Ratio0.990.87
Treynor Ratio (%)10.559.05
Calmar Ratio1.361.15
Active Return-1.79%-0.96%
Tracking Error7.98%4.82%
Information Ratio-0.22-0.20
Skewness-0.37-0.64
Excess Kurtosis1.892.28
Historical Value-at-Risk (5%)-3.00%-4.34%
Analytical Value-at-Risk (5%)-3.11%-4.22%
Conditional Value-at-Risk (5%)-4.70%-6.54%
Upside Capture Ratio (%)56.7673.69
Downside Capture Ratio (%)43.3066.21
Safe Withdrawal Rate7.44%8.20%
Perpetual Withdrawal Rate6.00%6.69%
Positive Periods335 out of 492 (68.09%)326 out of 492 (66.26%)
Gain/Loss Ratio1.151.07
* 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
Black Monday PeriodSep 1987Nov 1987-15.96%-21.79%
Asian CrisisJul 1997Jan 1998-2.48%-3.00%
Russian Debt DefaultJul 1998Oct 1998-7.62%-11.72%
Dotcom CrashMar 2000Oct 2002-11.66%-25.70%
Subprime CrisisNov 2007Mar 2009-21.63%-34.07%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20101 year2 years 4 months-21.63%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-15.96%
3Sep 2000Sep 20022 years 1 monthSep 20031 year3 years 1 month-11.66%
4Feb 1980Mar 19802 monthsMay 19802 months4 months-8.98%
5Jun 1981Sep 19814 monthsNov 19812 months6 months-7.82%
6Jul 1998Aug 19982 monthsOct 19982 months4 months-7.62%
7Aug 1990Sep 19902 monthsJan 19914 months6 months-6.75%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.74%
9Sep 2018Dec 20184 monthsMar 20193 months7 months-6.52%
10Oct 1979Oct 19791 monthDec 19792 months3 months-6.49%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-34.07%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-25.70%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-21.79%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-11.72%
5May 2011Sep 20115 monthsJan 20124 months9 months-10.60%
6Dec 1980Sep 198110 monthsNov 19812 months1 year-10.15%
7Feb 1980Mar 19802 monthsMay 19802 months4 months-10.15%
8Jul 1990Oct 19904 monthsJan 19913 months7 months-10.03%
9Sep 2018Dec 20184 monthsApr 20194 months8 months-9.66%
10Dec 1981Mar 19824 monthsAug 19825 months9 months-8.09%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.68%15.05%35.79%-37.04%-50.89%0.520.751.00
Intermediate Term Treasury7.26%6.01%31.13%-4.33%-10.70%0.470.730.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term TreasuryPortfolio 1Portfolio 2
US Stock Market1.000.050.930.98
Intermediate Term Treasury0.051.000.410.22

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$709,078$1,123,189
Intermediate Term Treasury$299,984$207,267

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market84.97%96.32%
Intermediate Term Treasury15.03%3.68%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.14%46.78%-19.22%11.17%54.55%-28.87%
3 years9.88%23.17%-2.91%10.63%25.97%-8.03%
5 years9.81%21.22%0.33%10.50%23.65%-2.06%
7 years9.76%18.43%2.51%10.40%19.42%0.56%
10 years9.51%15.25%2.80%10.06%16.19%0.88%
15 years9.37%14.63%5.62%9.89%16.08%5.27%