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 1982 - Dec 1999)

Portfolio Allocations

US Stock Market
Asset Class Allocation
US Stock Market 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market$10,000$172,372 17.14% 14.86%35.79%-6.08%-29.34% 0.721.101.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
US Stock Market18.26%23.81%25.98%26.84%17.27%17.14%17.28%14.35%
Trailing annualized return and volatility are for full months ending in December 1999 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
  • 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
YearInflationUS Stock Market ReturnUS Stock Market BalanceUS Stock Market
19823.83%20.50%$12,05020.50%
19833.79%22.66%$14,78022.66%
19843.95%2.19%$15,1032.19%
19853.80%31.27%$19,82631.27%
19861.10%14.57%$22,71614.57%
19874.43%2.61%$23,3092.61%
19884.42%17.32%$27,34617.32%
19894.65%28.12%$35,03528.12%
19906.11%-6.08%$32,906-6.08%
19913.06%32.39%$43,56532.39%
19922.90%9.11%$47,5329.11%
19932.75%10.62%$52,58210.62%
19942.67%-0.17%$52,494-0.17%
19952.54%35.79%$71,27935.79%
19963.32%20.96%$86,22020.96%
19971.70%30.99%$112,94430.99%
19981.61%23.26%$139,21923.26%
19992.68%23.81%$172,37223.81%
Portfolio return and risk metrics
MetricUS Stock Market
Arithmetic Mean (monthly)1.42%
Arithmetic Mean (annualized)18.44%
Geometric Mean (monthly)1.33%
Geometric Mean (annualized)17.14%
Volatility (monthly)4.29%
Volatility (annualized)14.86%
Downside Deviation (monthly)2.61%
Max. Drawdown-29.34%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)-0.00%
R2100.00%
Sharpe Ratio0.72
Sortino Ratio1.10
Treynor Ratio (%)10.78
Calmar Ratio1.48
Active Return0.00%
Tracking Error0.00%
Information RatioN/A
Skewness-0.92
Excess Kurtosis4.63
Historical Value-at-Risk (5%)-4.63%
Analytical Value-at-Risk (5%)-5.64%
Conditional Value-at-Risk (5%)-8.72%
Upside Capture Ratio (%)100.00
Downside Capture Ratio (%)100.00
Safe Withdrawal Rate13.69%
Perpetual Withdrawal Rate11.82%
Positive Periods140 out of 216 (64.81%)
Gain/Loss Ratio1.30
* 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 PeriodStartEndUS Stock Market
Black Monday PeriodSep 1987Nov 1987-29.34%
Asian CrisisJul 1997Jan 1998-3.72%
Russian Debt DefaultJul 1998Oct 1998-17.57%

Drawdowns for US Stock Market

Drawdowns for US Stock Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
2Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
3Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
4Jan 1982Jul 19827 monthsSep 19822 months9 months-11.21%
5Jul 1983May 198411 monthsJan 19858 months1 year 7 months-10.97%
6Sep 1986Sep 19861 monthJan 19874 months5 months-7.92%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
8Jan 1990Jan 19901 monthMay 19904 months5 months-7.01%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
10Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market17.14%14.86%35.79%-6.08%-29.34%0.721.101.00

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year18.26%66.73%-15.95%
3 years16.55%30.70%0.34%
5 years15.58%27.25%7.35%
7 years14.92%21.23%8.29%
10 years14.76%17.72%12.19%
15 years16.37%18.21%14.19%