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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Portfolio Analysis Results (Jan 1995 - Dec 2000)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$120,118 122.13% 19.67%14.36%15.31%35.79%-10.57%-17.57%
(-14.79%)
0.921.371.00
Portfolio 2$1,000$110,949 119.21% 15.29%11.64%9.52%28.53%-2.01%-9.80%
(-6.92%)
1.001.550.99
* 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 yearFull3 year5 year
Portfolio 1-10.17%-10.57%10.92%16.68%19.67%18.65%16.55%
Portfolio 2-4.58%-2.01%9.52%12.81%15.29%11.20%10.22%
Trailing annualized return and volatility are for full months ending in December 2000 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 monthly rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly 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 MarketTotal US Bond Market
ReturnBalanceReturnBalance
19952.54%$12,21535.79%$15,26628.53%$14,86735.79%18.18%
19963.32%$12,57320.96%$32,28513.85%$30,43020.96%3.58%
19971.70%$12,86730.99%$56,76222.16%$51,27430.99%9.44%
19981.61%$13,06723.26%$84,67718.03%$74,80623.26%8.58%
19992.68%$13,35323.81%$120,09013.60%$99,45423.81%-0.76%
20003.39%$13,804-10.57%$120,118-2.01%$110,949-10.57%11.39%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.61%1.23%
Arithmetic Mean (annualized)21.06%15.80%
Geometric Mean (monthly)1.51%1.19%
Geometric Mean (annualized)19.67%15.29%
Volatility (monthly)4.42%2.75%
Volatility (annualized)15.31%9.52%
Downside Deviation (monthly)2.77%1.59%
Max. Drawdown-17.57%-9.80%
US Market Correlation1.000.99
Beta(*)1.000.61
Alpha (annualized)-0.00%2.92%
R2100.00%97.76%
Sharpe Ratio0.921.00
Sortino Ratio1.371.55
Treynor Ratio (%)14.0915.59
Calmar Ratio0.620.97
Active Return0.00%-4.37%
Tracking Error0.00%6.07%
Information RatioN/A-0.72
Skewness-1.13-0.94
Excess Kurtosis2.151.10
Historical Value-at-Risk (5%)-4.91%-3.09%
Analytical Value-at-Risk (5%)-5.67%-3.29%
Conditional Value-at-Risk (5%)-9.03%-5.10%
Upside Capture Ratio (%)100.0065.38
Downside Capture Ratio (%)100.0058.01
Safe Withdrawal Rate32.77%27.72%
Perpetual Withdrawal Rate14.31%11.06%
Positive Periods49 out of 72 (68.06%)50 out of 72 (69.44%)
Gain/Loss Ratio1.111.25
* 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 1998-3.72%-2.57%
Russian Debt DefaultJul 1998Oct 1998-17.57%-9.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
2Sep 2000Nov 20003 months-15.87%
3Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
4Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
5Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
6Feb 1997Mar 19972 monthsMay 19972 months4 months-4.56%
7Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
8Feb 1999Feb 19991 monthMar 19991 month2 months-3.73%
9Aug 1997Aug 19971 monthSep 19971 month2 months-3.72%
10Oct 1997Oct 19971 monthDec 19972 months3 months-3.40%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1998Aug 19982 monthsNov 19983 months5 months-9.80%
2Sep 2000Nov 20003 months-8.60%
3Apr 2000May 20002 monthsAug 20003 months5 months-5.36%
4Jul 1999Sep 19993 monthsOct 19991 month4 months-3.58%
5Jul 1996Jul 19961 monthSep 19962 months3 months-3.12%
6Feb 1997Mar 19972 monthsApr 19971 month3 months-3.08%
7Feb 1999Feb 19991 monthApr 19992 months3 months-2.94%
8Jan 2000Jan 20001 monthMar 20002 months3 months-2.58%
9Aug 1997Aug 19971 monthSep 19971 month2 months-2.57%
10May 1999May 19991 monthJun 19991 month2 months-1.53%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market19.67%15.31%35.79%-10.57%-17.57%0.921.371.00
Total US Bond Market8.24%3.61%18.18%-0.76%-3.16%0.791.380.16

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1Portfolio 2
US Stock Market1.000.161.000.99
Total US Bond Market0.161.000.160.30

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$41,239$23,316
Total US Bond Market$8,755

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%95.40%
Total US Bond Market4.60%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year22.41%47.42%-10.57%16.12%32.33%-2.01%
3 years22.97%30.70%10.89%16.74%21.78%9.40%
5 years22.09%26.84%16.62%15.98%19.10%12.75%