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 1995 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 80.00%
Long Term Treasury 20.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 50.00%
Long Term Treasury 50.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 20.00%
Long Term Treasury 80.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,002,718 20.24% 10.08%9.23%11.48%34.65%-25.13%-39.30%
(-35.65%)
0.691.020.98
Portfolio 2$10,000$920,883 19.83% 9.51%8.69%7.92%32.94%-7.26%-20.39%
(-16.16%)
0.901.400.76
Portfolio 3$10,000$778,984 19.03% 8.41%7.63%8.09%31.23%-3.91%-11.08%
(-10.51%)
0.751.280.11
Vanguard 500 Index Investor$10,000$988,870 20.17% 10.11%9.14%14.55%37.45%-37.02%-50.97%
(-47.66%)
0.580.840.99
* 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 year10 yearFull3 year5 year
Portfolio 16.29%27.34%12.94%9.68%12.23%10.08%9.58%9.36%
Portfolio 22.27%22.39%10.66%7.55%10.41%9.51%6.70%6.96%
Portfolio 3-1.75%17.43%8.32%5.38%8.32%8.41%7.71%8.68%
Vanguard 500 Index Investor9.03%31.33%15.12%11.55%13.40%10.11%12.10%11.98%
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
  • Monthly contribution of $833 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 2Portfolio 3Vanguard 500 Index InvestorUS Stock MarketLong Term Treasury
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
19952.54%$9,99634.65%$24,83132.94%$24,62931.23%$24,42737.45%$25,21535.79%30.09%
19963.32%$9,99616.52%$39,8159.85%$37,7653.19%$35,73222.88%$42,10520.96%-1.26%
19971.70%$9,99627.58%$61,97922.45%$57,33517.32%$52,91933.19%$67,32530.99%13.90%
19981.61%$9,99621.22%$86,24118.16%$78,64815.09%$71,61328.62%$98,02623.26%13.05%
19992.68%$9,99617.32%$112,2767.58%$95,201-2.17%$80,11821.07%$129,80923.81%-8.66%
20003.39%$9,996-4.52%$116,7834.57%$109,65113.66%$101,654-9.06%$127,418-10.57%19.72%
20011.55%$9,996-7.91%$117,449-3.33%$115,9721.25%$112,977-12.02%$121,883-10.97%4.31%
20022.38%$9,996-13.43%$111,149-2.14%$123,5129.15%$133,862-22.15%$103,963-20.96%16.67%
20031.88%$9,99625.62%$151,07017.02%$155,4588.41%$155,53128.50%$145,25831.35%2.68%
20043.26%$9,99611.44%$179,1269.82%$181,3468.20%$178,75710.74%$171,63312.52%7.12%
20053.42%$9,9966.11%$200,4936.29%$203,0936.48%$200,5834.77%$190,2485.98%6.61%
20062.54%$9,99612.76%$236,7888.63%$231,1794.50%$220,01115.64%$230,86715.51%1.74%
20074.08%$9,9966.24%$261,6827.37%$258,5098.49%$249,1855.39%$253,3285.49%9.24%
20080.09%$9,996-25.13%$204,510-7.26%$249,57110.60%$286,593-37.02%$167,253-37.04%22.51%
20092.72%$9,99620.55%$258,2198.32%$281,292-3.91%$285,59526.49%$223,62828.70%-12.06%
20101.50%$9,99615.46%$309,18813.01%$328,49510.56%$325,95114.91%$268,23217.09%8.93%
20112.96%$9,9966.63%$339,90115.12%$388,96323.61%$414,3121.97%$283,4390.96%29.28%
20121.74%$9,99613.69%$396,8069.86%$437,5556.02%$449,39915.82%$338,69016.25%3.46%
20131.50%$9,99624.07%$503,35010.16%$492,457-3.75%$442,34232.18%$458,99833.35%-13.03%
20140.76%$9,99615.00%$589,56918.85%$596,13422.71%$553,72813.51%$531,70212.43%25.27%
20150.73%$9,996-0.07%$599,058-0.62%$602,305-1.17%$557,0861.25%$548,3980.29%-1.54%
20162.07%$9,99610.27%$671,0626.87%$653,6973.47%$585,98511.82%$623,95512.53%1.21%
20172.11%$9,99618.56%$806,43414.82%$761,23311.08%$661,40021.67%$770,11321.05%8.59%
20181.91%$9,996-4.59%$778,836-3.58%$743,687-2.58%$654,426-4.52%$744,517-5.26%-1.90%
20192.29%$9,99627.34%$1,002,71822.39%$920,88317.43%$778,98431.33%$988,87030.65%14.13%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.86%0.79%0.70%0.89%
Arithmetic Mean (annualized)10.81%9.85%8.75%11.28%
Geometric Mean (monthly)0.80%0.76%0.67%0.81%
Geometric Mean (annualized)10.08%9.51%8.41%10.11%
Volatility (monthly)3.31%2.29%2.34%4.20%
Volatility (annualized)11.48%7.92%8.09%14.55%
Downside Deviation (monthly)2.17%1.38%1.30%2.81%
Max. Drawdown-39.30%-20.39%-11.08%-50.97%
US Market Correlation0.980.760.110.99
Beta(*)0.770.410.071.00
Alpha (annualized)2.06%5.01%7.69%0.00%
R294.63%57.35%1.51%100.00%
Sharpe Ratio0.690.900.750.58
Sortino Ratio1.021.401.280.84
Treynor Ratio (%)10.3917.2389.108.41
Calmar Ratio1.141.561.291.12
Active Return-0.03%-0.60%-1.70%N/A
Tracking Error4.30%9.99%15.75%N/A
Information Ratio-0.01-0.06-0.11N/A
Skewness-0.83-0.700.04-0.72
Excess Kurtosis1.662.001.671.28
Historical Value-at-Risk (5%)-5.20%-3.20%-2.91%-7.05%
Analytical Value-at-Risk (5%)-4.59%-2.97%-3.14%-6.01%
Conditional Value-at-Risk (5%)-7.55%-4.77%-4.52%-9.52%
Upside Capture Ratio (%)81.7552.0123.65100.00
Downside Capture Ratio (%)74.8631.97-11.52100.00
Safe Withdrawal Rate10.33%9.85%8.88%10.45%
Perpetual Withdrawal Rate7.17%6.69%5.74%7.20%
Positive Periods200 out of 300 (66.67%)197 out of 300 (65.67%)191 out of 300 (63.67%)201 out of 300 (67.00%)
Gain/Loss Ratio0.961.261.250.84
* Vanguard 500 Index Investor 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 2Portfolio 3Vanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-3.52%-3.19%-2.83%-5.61%
Russian Debt DefaultJul 1998Oct 1998-13.49%-7.10%-0.89%-15.38%
Dotcom CrashMar 2000Oct 2002-32.07%-12.21%-5.24%-44.82%
Subprime CrisisNov 2007Mar 2009-39.30%-20.39%-11.08%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-39.30%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-32.07%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-13.49%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-11.33%
5May 2011Sep 20115 monthsJan 20124 months9 months-9.51%
6Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-7.08%
7Apr 2000May 20002 monthsAug 20003 months5 months-6.93%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-5.34%
9Jun 1996Jul 19962 monthsSep 19962 months4 months-4.76%
10Feb 2018Apr 20183 monthsJul 20183 months6 months-4.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-20.39%
2Sep 2000Jul 20021 year 11 monthsSep 20031 year 2 months3 years 1 month-12.21%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-7.10%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-6.84%
5Aug 2016Nov 20164 monthsMay 20176 months10 months-5.99%
6Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-5.67%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.71%
8Feb 1999Feb 19991 monthJun 19994 months5 months-4.24%
9May 2013Aug 20134 monthsOct 20132 months6 months-3.90%
10Apr 2004Apr 20041 monthOct 20046 months7 months-3.83%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsApr 20101 year 2 months1 year 4 months-11.08%
2Aug 2016Nov 20164 monthsMar 20192 years 4 months2 years 8 months-10.75%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-9.68%
4May 2013Aug 20134 monthsMay 20149 months1 year 1 month-8.76%
5Apr 2008Oct 20087 monthsNov 20081 month8 months-7.48%
6Jun 2003Jul 20032 monthsJan 20046 months8 months-7.12%
7Oct 2010Jan 20114 monthsMay 20114 months8 months-6.03%
8Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-6.02%
9Feb 1996Apr 19963 monthsOct 19966 months9 months-5.66%
10Nov 2001Mar 20025 monthsAug 20025 months10 months-5.24%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.12%14.92%35.79%-37.04%-50.89%0.570.811.00
Long Term Treasury7.39%10.25%30.09%-13.03%-16.68%0.520.88-0.24

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
US Stock Market1.00-0.240.980.760.110.99
Long Term Treasury-0.241.00-0.060.440.94-0.22

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$642,355$417,005$162,121
Long Term Treasury$100,463$243,978$356,963

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market101.02%71.30%4.14%
Long Term Treasury-1.02%28.70%95.86%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year10.26%44.18%-32.81%9.28%32.95%-17.43%8.18%31.23%-6.95%10.80%53.61%-43.32%
3 years9.13%26.91%-10.72%8.67%21.38%-2.79%7.76%16.68%1.57%9.04%32.68%-16.14%
5 years8.26%23.27%-3.03%8.25%17.85%1.01%7.67%12.46%4.26%7.62%28.49%-6.73%
7 years7.78%15.76%-0.17%8.02%13.06%3.28%7.62%10.87%4.77%6.82%17.12%-3.94%
10 years7.59%14.66%0.07%7.94%11.31%3.32%7.61%10.18%5.34%6.45%16.52%-3.51%
15 years7.55%10.44%5.53%7.91%9.20%6.74%7.60%8.75%6.52%6.37%10.39%3.64%