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 6
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Portfolio Analysis Results (Jan 1981 - Aug 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Intermediate Term Treasury 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 60.00%
Long Term Treasury 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$433,228 9.97% 9.40%29.65%-16.89%-27.98% 0.630.950.97
Portfolio 2$10,000$622,543 10.98% 10.09%33.52%-13.22%-26.90% 0.681.050.89
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 19.26%8.95%15.76%10.38%9.79%10.21%9.97%
Portfolio 28.37%13.82%17.86%12.67%11.64%11.86%10.98%
Trailing returns are for full months ending in August 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.
  • The annual results for 2020 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketIntermediate Term TreasuryLong Term Treasury
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19818.92%1.27%-2.23%$10,127$9,777-4.15%9.41%0.65%
19823.83%24.75%31.14%$12,634$12,82220.50%31.13%47.10%
19833.79%15.69%13.08%$14,616$14,49822.66%5.22%-1.29%
19843.95%7.32%7.81%$15,685$15,6302.19%15.01%16.24%
19853.80%27.66%33.52%$20,024$20,87031.27%22.24%36.90%
19861.10%14.79%21.09%$22,985$25,27214.57%15.10%30.87%
19874.43%2.19%0.40%$23,488$25,3722.61%1.55%-2.92%
19884.42%12.49%14.05%$26,422$28,93717.32%5.26%9.15%
19894.65%22.68%24.05%$32,415$35,89528.12%14.52%17.93%
19906.11%0.14%-1.33%$32,460$35,416-6.08%9.46%5.78%
19913.06%25.82%26.41%$40,841$44,76932.39%15.97%17.43%
19922.90%8.58%8.43%$44,344$48,5419.11%7.78%7.41%
19932.75%10.95%13.09%$49,198$54,89510.62%11.43%16.78%
19942.67%-1.83%-2.92%$48,297$53,294-0.17%-4.33%-7.04%
19952.54%29.65%33.51%$62,616$71,15235.79%20.44%30.09%
19963.32%13.34%12.07%$70,972$79,74320.96%1.92%-1.26%
19971.70%22.18%24.16%$86,714$99,00830.99%8.96%13.90%
19981.61%18.20%19.18%$102,497$117,99723.26%10.61%13.05%
19992.68%12.88%10.82%$115,698$130,76823.81%-3.52%-8.66%
20003.39%-0.73%1.54%$114,851$132,788-10.57%14.03%19.72%
20011.55%-3.56%-4.86%$110,761$126,339-10.97%7.55%4.31%
20022.38%-6.92%-5.91%$103,100$118,877-20.96%14.15%16.67%
20031.88%19.76%19.88%$123,472$142,51331.35%2.37%2.68%
20043.26%8.87%10.36%$134,425$157,27312.52%3.40%7.12%
20053.42%4.51%6.23%$140,492$167,0725.98%2.31%6.61%
20062.54%10.56%10.00%$155,330$183,78515.51%3.14%1.74%
20074.08%7.29%6.99%$166,647$196,6315.49%9.98%9.24%
20080.09%-16.89%-13.22%$138,493$170,641-37.04%13.32%22.51%
20092.72%16.54%12.40%$161,401$191,79428.70%-1.69%-12.06%
20101.50%13.20%13.83%$182,699$218,31517.09%7.35%8.93%
20112.96%4.49%12.29%$190,908$245,1420.96%9.79%29.28%
20121.74%10.82%11.14%$211,567$272,44316.25%2.67%3.46%
20131.50%18.77%14.80%$251,288$312,76233.35%-3.09%-13.03%
20140.76%9.18%17.57%$274,368$367,70612.43%4.32%25.27%
20150.73%0.78%-0.44%$276,497$366,0890.29%1.50%-1.54%
20162.07%7.99%8.00%$298,601$395,38912.53%1.19%1.21%
20172.11%13.26%16.07%$338,205$458,91821.05%1.58%8.59%
20181.91%-2.75%-3.92%$328,896$440,948-5.26%1.00%-1.90%
20192.29%20.90%24.04%$397,650$546,95030.65%6.29%14.13%
20200.83%8.95%13.82%$433,228$622,5439.33%8.38%20.56%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.83%0.91%
Arithmetic Mean (annualized)10.45%11.54%
Geometric Mean (monthly)0.79%0.87%
Geometric Mean (annualized)9.97%10.98%
Volatility (monthly)2.71%2.91%
Volatility (annualized)9.40%10.09%
Downside Deviation (monthly)1.64%1.72%
Max. Drawdown-27.98%-26.90%
US Market Correlation0.970.89
Beta(*)0.600.59
Alpha (annualized)3.05%4.10%
R294.00%80.05%
Sharpe Ratio0.630.68
Sortino Ratio0.951.05
Treynor Ratio (%)9.9311.68
Calmar Ratio0.981.51
Active Return-0.96%0.05%
Tracking Error6.54%7.67%
Information Ratio-0.150.01
Skewness-0.55-0.39
Excess Kurtosis2.212.08
Historical Value-at-Risk (5%)-3.74%-4.04%
Analytical Value-at-Risk (5%)-3.63%-3.88%
Conditional Value-at-Risk (5%)-5.62%-5.93%
Upside Capture Ratio (%)65.0166.97
Downside Capture Ratio (%)54.0951.40
Safe Withdrawal Rate8.27%9.00%
Perpetual Withdrawal Rate6.61%7.48%
Positive Periods320 out of 476 (67.23%)315 out of 476 (66.18%)
Gain/Loss Ratio1.081.16
* 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 1987-18.97%-19.35%
Asian CrisisJul 1997Jan 1998-2.75%-3.30%
Russian Debt DefaultJul 1998Oct 1998-9.69%-9.27%
Dotcom CrashMar 2000Oct 2002-18.86%-18.75%
Subprime CrisisNov 2007Mar 2009-27.98%-26.90%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-27.98%
2Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-18.97%
3Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-18.86%
4Feb 2020Mar 20202 monthsJun 20203 months5 months-10.58%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-9.69%
6Jun 1981Sep 19814 monthsNov 19812 months6 months-8.82%
7Jul 1990Sep 19903 monthsJan 19914 months7 months-8.15%
8May 2011Sep 20115 monthsJan 20124 months9 months-8.15%
9Sep 2018Dec 20184 monthsMar 20193 months7 months-8.11%
10Dec 1983May 19846 monthsAug 19843 months9 months-7.13%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-26.90%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-19.35%
3Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-18.75%
4Apr 1981Sep 19816 monthsNov 19812 months8 months-11.82%
5Jul 1983May 198411 monthsAug 19843 months1 year 2 months-10.86%
6Jul 1990Sep 19903 monthsJan 19914 months7 months-9.87%
7Jul 1998Aug 19982 monthsNov 19983 months5 months-9.27%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-8.46%
9Sep 2018Dec 20184 monthsMar 20193 months7 months-8.37%
10Dec 1981Feb 19823 monthsAug 19826 months9 months-7.43%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.93%15.24%35.79%-37.04%-50.89%0.490.711.00
Intermediate Term Treasury7.52%5.47%31.13%-4.33%-6.47%0.631.050.02
Long Term Treasury9.71%10.88%47.10%-13.03%-16.68%0.540.910.00

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term TreasuryLong Term TreasuryPortfolio 1Portfolio 2
US Stock Market1.000.020.000.970.89
Intermediate Term Treasury0.021.000.890.260.41
Long Term Treasury0.000.891.000.210.44

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$321,214$403,610
Intermediate Term Treasury$102,014
Long Term Treasury$208,933

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market94.04%81.06%
Intermediate Term Treasury5.96%
Long Term Treasury18.94%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.38%29.65%-16.89%11.36%33.52%-13.22%
3 years10.01%21.54%-3.77%10.96%22.93%-3.13%
5 years9.88%19.09%2.32%10.84%20.92%3.67%
7 years9.74%15.07%3.24%10.64%16.77%4.39%
10 years9.56%14.96%3.06%10.40%16.43%3.76%
15 years9.41%14.25%5.93%10.21%15.21%6.71%
Result statistics are based on annualized rolling returns over full calendar year periods