Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio based on specific mutual funds, ETFs and stocks.

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Asset Allocation 
Asset Class
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Asset 2
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Asset 3
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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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Portfolio Analysis Results (Jan 1989 - Nov 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 58.00%
Intermediate Term Treasury 26.00%
Cash 16.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 60.00%
Intermediate Term Treasury 39.00%
Cash 1.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$1,238,334 8.48% 8.24%26.97%-17.76%-28.34% 0.691.030.99
Portfolio 2$100,000$1,465,587 9.07% 8.56%29.50%-17.01%-28.08% 0.731.110.97
   
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 2019 are based on full calendar months from January to November
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketIntermediate Term TreasuryCash
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19894.65%21.42%22.62%$121,425$122,61928.12%14.52%8.38%
19906.11%0.19%0.12%$121,654$122,768-6.08%9.46%7.84%
19913.06%23.83%25.72%$150,650$154,34232.39%15.97%5.60%
19922.90%7.87%8.53%$162,499$167,5119.11%7.78%3.50%
19932.75%9.60%10.86%$178,096$185,70610.62%11.43%2.90%
19942.67%-0.60%-1.75%$177,029$182,457-0.17%-4.33%3.90%
19952.54%26.97%29.50%$224,767$236,28235.79%20.44%5.60%
19963.32%13.49%13.38%$255,085$267,89020.96%1.92%5.20%
19971.70%21.15%22.14%$309,028$327,21130.99%8.96%5.25%
19981.61%17.03%18.14%$361,647$386,57723.26%10.61%4.85%
19992.68%13.65%12.96%$410,997$436,68223.81%-3.52%4.69%
20003.39%-1.54%-0.81%$404,652$433,129-10.57%14.03%5.88%
20011.55%-3.79%-3.60%$389,332$417,546-10.97%7.55%3.82%
20022.38%-8.22%-7.04%$357,339$388,143-20.96%14.15%1.63%
20031.88%18.96%19.75%$425,108$464,78531.35%2.37%1.02%
20043.26%8.33%8.85%$460,536$505,91212.52%3.40%1.19%
20053.42%4.55%4.52%$481,476$528,7815.98%2.31%2.98%
20062.54%10.58%10.58%$532,426$584,71615.51%3.14%4.81%
20074.08%6.53%7.23%$567,169$627,0055.49%9.98%4.67%
20080.09%-17.76%-17.01%$466,417$520,340-37.04%13.32%1.59%
20092.72%16.22%16.56%$542,063$606,50228.70%-1.69%0.09%
20101.50%11.84%13.12%$606,250$686,09617.09%7.35%0.10%
20112.96%3.11%4.40%$625,102$716,2540.96%9.79%0.04%
20121.74%10.13%10.80%$688,436$793,57616.25%2.67%0.06%
20131.50%18.54%18.81%$816,072$942,81433.35%-3.09%0.00%
20140.76%8.33%9.14%$884,063$1,028,99912.43%4.32%0.00%
20150.73%0.56%0.76%$889,027$1,036,8310.29%1.50%0.01%
20162.07%7.61%7.98%$956,692$1,119,61612.53%1.19%0.21%
20172.11%12.75%13.26%$1,078,649$1,268,02621.05%1.58%0.79%
20181.91%-2.50%-2.74%$1,051,693$1,233,225-5.26%1.00%1.80%
20192.43%17.75%18.84%$1,238,334$1,465,58727.03%6.68%2.09%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.71%0.76%
Arithmetic Mean (annualized)8.85%9.47%
Geometric Mean (monthly)0.68%0.73%
Geometric Mean (annualized)8.48%9.07%
Volatility (monthly)2.38%2.47%
Volatility (annualized)8.24%8.56%
Downside Deviation (monthly)1.47%1.51%
Max. Drawdown-28.34%-28.08%
US Market Correlation0.990.97
Beta(*)0.560.58
Alpha (annualized)2.36%2.79%
R297.12%94.61%
Sharpe Ratio0.690.73
Sortino Ratio1.031.11
Treynor Ratio (%)10.0210.78
Calmar Ratio1.181.21
Active Return-1.83%-1.24%
Tracking Error6.45%6.42%
Information Ratio-0.28-0.19
Skewness-0.60-0.57
Excess Kurtosis1.191.23
Historical Value-at-Risk (5%)-3.54%-3.67%
Analytical Value-at-Risk (5%)-3.21%-3.31%
Conditional Value-at-Risk (5%)-5.09%-5.22%
Upside Capture Ratio (%)60.4262.98
Downside Capture Ratio (%)52.6353.11
Safe Withdrawal Rate7.97%8.53%
Perpetual Withdrawal Rate5.69%6.22%
Positive Periods250 out of 371 (67.39%)252 out of 371 (67.92%)
Gain/Loss Ratio1.021.03
* 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
Asian CrisisJul 1997Jan 1998-2.50%-2.73%
Russian Debt DefaultJul 1998Oct 1998-9.69%-9.72%
Dotcom CrashMar 2000Oct 2002-20.39%-19.05%
Subprime CrisisNov 2007Mar 2009-28.34%-28.08%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-28.34%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-20.39%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.69%
4May 2011Sep 20115 monthsJan 20124 months9 months-8.80%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-7.95%
6Jul 1990Oct 19904 monthsJan 19913 months7 months-7.81%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.69%
8Jun 2015Sep 20154 monthsMay 20168 months1 year-4.88%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.80%
10Jan 1990Jan 19901 monthMay 19904 months5 months-4.32%
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-28.08%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-19.05%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.72%
4May 2011Sep 20115 monthsJan 20124 months9 months-8.22%
5Jul 1990Sep 19903 monthsJan 19914 months7 months-8.15%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.12%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.80%
8May 2010Jun 20102 monthsSep 20103 months5 months-6.60%
9Apr 2000May 20002 monthsAug 20003 months5 months-5.12%
10Jun 2015Sep 20154 monthsApr 20167 months11 months-4.89%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.31%14.43%35.79%-37.04%-50.89%0.560.811.00
Intermediate Term Treasury6.12%4.72%20.44%-4.33%-6.47%0.691.15-0.10
Cash2.90%0.70%8.38%0.00%0.00%-0.51-0.660.02

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term TreasuryCashPortfolio 1Portfolio 2
US Stock Market--0.100.020.990.97
Intermediate Term Treasury-0.10-0.170.060.13
Cash0.020.17-0.060.06

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$906,821$1,057,199
Intermediate Term Treasury$185,652$305,280
Cash$45,861$3,109

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market99.04%97.31%
Intermediate Term Treasury0.89%2.68%
Cash0.08%0.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.63%26.97%-17.76%9.23%29.50%-17.01%
3 years8.32%20.41%-4.56%8.92%21.49%-3.85%
5 years8.14%18.35%1.87%8.74%19.07%2.28%
7 years8.07%14.25%2.61%8.66%15.03%3.19%
10 years7.65%13.72%2.58%8.24%14.48%3.02%
15 years7.23%10.13%5.24%7.80%10.79%5.88%
Result statistics are based on annualized rolling returns over full calendar year periods