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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Asset Class

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

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Asset 2

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Asset 3

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Asset 4

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Asset 5

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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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Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

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
Portfolio	Initial Balance	Final Balance	CAGR	TWRR	MWRR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US 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%)	0.69	1.02	0.98
Portfolio 2	$10,000	$920,883	19.83%	9.51%	8.69%	7.92%	32.94%	-7.26%	-20.39% (-16.16%)	0.90	1.40	0.76
Portfolio 3	$10,000	$778,984	19.03%	8.41%	7.63%	8.09%	31.23%	-3.91%	-11.08% (-10.51%)	0.75	1.28	0.11
Vanguard 500 Index Investor	$10,000	$988,870	20.17%	10.11%	9.14%	14.55%	37.45%	-37.02%	-50.97% (-47.66%)	0.58	0.84	0.99
^* The number in parentheses shows the calculated value taking into account the periodic contributions.

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	6.29%	27.34%	12.94%	9.68%	12.23%	10.08%	9.58%	9.36%
Portfolio 2	2.27%	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 Investor	9.03%	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
Year	Inflation	Cashflow	Portfolio 1		Portfolio 2		Portfolio 3		Vanguard 500 Index Investor		US Stock Market	Long Term Treasury
Year	Inflation	Cashflow	Return	Balance	Return	Balance	Return	Balance	Return	Balance	US Stock Market	Long Term Treasury
1995	2.54%	$9,996	34.65%	$24,831	32.94%	$24,629	31.23%	$24,427	37.45%	$25,215	35.79%	30.09%
1996	3.32%	$9,996	16.52%	$39,815	9.85%	$37,765	3.19%	$35,732	22.88%	$42,105	20.96%	-1.26%
1997	1.70%	$9,996	27.58%	$61,979	22.45%	$57,335	17.32%	$52,919	33.19%	$67,325	30.99%	13.90%
1998	1.61%	$9,996	21.22%	$86,241	18.16%	$78,648	15.09%	$71,613	28.62%	$98,026	23.26%	13.05%
1999	2.68%	$9,996	17.32%	$112,276	7.58%	$95,201	-2.17%	$80,118	21.07%	$129,809	23.81%	-8.66%
2000	3.39%	$9,996	-4.52%	$116,783	4.57%	$109,651	13.66%	$101,654	-9.06%	$127,418	-10.57%	19.72%
2001	1.55%	$9,996	-7.91%	$117,449	-3.33%	$115,972	1.25%	$112,977	-12.02%	$121,883	-10.97%	4.31%
2002	2.38%	$9,996	-13.43%	$111,149	-2.14%	$123,512	9.15%	$133,862	-22.15%	$103,963	-20.96%	16.67%
2003	1.88%	$9,996	25.62%	$151,070	17.02%	$155,458	8.41%	$155,531	28.50%	$145,258	31.35%	2.68%
2004	3.26%	$9,996	11.44%	$179,126	9.82%	$181,346	8.20%	$178,757	10.74%	$171,633	12.52%	7.12%
2005	3.42%	$9,996	6.11%	$200,493	6.29%	$203,093	6.48%	$200,583	4.77%	$190,248	5.98%	6.61%
2006	2.54%	$9,996	12.76%	$236,788	8.63%	$231,179	4.50%	$220,011	15.64%	$230,867	15.51%	1.74%
2007	4.08%	$9,996	6.24%	$261,682	7.37%	$258,509	8.49%	$249,185	5.39%	$253,328	5.49%	9.24%
2008	0.09%	$9,996	-25.13%	$204,510	-7.26%	$249,571	10.60%	$286,593	-37.02%	$167,253	-37.04%	22.51%
2009	2.72%	$9,996	20.55%	$258,219	8.32%	$281,292	-3.91%	$285,595	26.49%	$223,628	28.70%	-12.06%
2010	1.50%	$9,996	15.46%	$309,188	13.01%	$328,495	10.56%	$325,951	14.91%	$268,232	17.09%	8.93%
2011	2.96%	$9,996	6.63%	$339,901	15.12%	$388,963	23.61%	$414,312	1.97%	$283,439	0.96%	29.28%
2012	1.74%	$9,996	13.69%	$396,806	9.86%	$437,555	6.02%	$449,399	15.82%	$338,690	16.25%	3.46%
2013	1.50%	$9,996	24.07%	$503,350	10.16%	$492,457	-3.75%	$442,342	32.18%	$458,998	33.35%	-13.03%
2014	0.76%	$9,996	15.00%	$589,569	18.85%	$596,134	22.71%	$553,728	13.51%	$531,702	12.43%	25.27%
2015	0.73%	$9,996	-0.07%	$599,058	-0.62%	$602,305	-1.17%	$557,086	1.25%	$548,398	0.29%	-1.54%
2016	2.07%	$9,996	10.27%	$671,062	6.87%	$653,697	3.47%	$585,985	11.82%	$623,955	12.53%	1.21%
2017	2.11%	$9,996	18.56%	$806,434	14.82%	$761,233	11.08%	$661,400	21.67%	$770,113	21.05%	8.59%
2018	1.91%	$9,996	-4.59%	$778,836	-3.58%	$743,687	-2.58%	$654,426	-4.52%	$744,517	-5.26%	-1.90%
2019	2.29%	$9,996	27.34%	$1,002,718	22.39%	$920,883	17.43%	$778,984	31.33%	$988,870	30.65%	14.13%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 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 Correlation	0.98	0.76	0.11	0.99
Beta^(*)	0.77	0.41	0.07	1.00
Alpha (annualized)	2.06%	5.01%	7.69%	0.00%
R²	94.63%	57.35%	1.51%	100.00%
Sharpe Ratio	0.69	0.90	0.75	0.58
Sortino Ratio	1.02	1.40	1.28	0.84
Treynor Ratio (%)	10.39	17.23	89.10	8.41
Calmar Ratio	1.14	1.56	1.29	1.12
Active Return	-0.03%	-0.60%	-1.70%	N/A
Tracking Error	4.30%	9.99%	15.75%	N/A
Information Ratio	-0.01	-0.06	-0.11	N/A
Skewness	-0.83	-0.70	0.04	-0.72
Excess Kurtosis	1.66	2.00	1.67	1.28
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 (%)	81.75	52.01	23.65	100.00
Downside Capture Ratio (%)	74.86	31.97	-11.52	100.00
Safe Withdrawal Rate	10.33%	9.85%	8.88%	10.45%
Perpetual Withdrawal Rate	7.17%	6.69%	5.74%	7.20%
Positive Periods	200 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 Ratio	0.96	1.26	1.25	0.84
^* 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 Period	Start	End	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
Asian Crisis	Jul 1997	Jan 1998	-3.52%	-3.19%	-2.83%	-5.61%
Russian Debt Default	Jul 1998	Oct 1998	-13.49%	-7.10%	-0.89%	-15.38%
Dotcom Crash	Mar 2000	Oct 2002	-32.07%	-12.21%	-5.24%	-44.82%
Subprime Crisis	Nov 2007	Mar 2009	-39.30%	-20.39%	-11.08%	-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Dec 2010	1 year 10 months	3 years 2 months	-39.30%
2	Sep 2000	Sep 2002	2 years 1 month	Dec 2004	2 years 3 months	4 years 4 months	-32.07%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-13.49%
4	Sep 2018	Dec 2018	4 months	Apr 2019	4 months	8 months	-11.33%
5	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-9.51%
6	Mar 2015	Sep 2015	7 months	May 2016	8 months	1 year 3 months	-7.08%
7	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-6.93%
8	Jul 1999	Sep 1999	3 months	Nov 1999	2 months	5 months	-5.34%
9	Jun 1996	Jul 1996	2 months	Sep 1996	2 months	4 months	-4.76%
10	Feb 2018	Apr 2018	3 months	Jul 2018	3 months	6 months	-4.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Nov 2009	9 months	2 years 1 month	-20.39%
2	Sep 2000	Jul 2002	1 year 11 months	Sep 2003	1 year 2 months	3 years 1 month	-12.21%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-7.10%
4	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-6.84%
5	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-5.99%
6	Feb 2015	Sep 2015	8 months	Mar 2016	6 months	1 year 2 months	-5.67%
7	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-4.71%
8	Feb 1999	Feb 1999	1 month	Jun 1999	4 months	5 months	-4.24%
9	May 2013	Aug 2013	4 months	Oct 2013	2 months	6 months	-3.90%
10	Apr 2004	Apr 2004	1 month	Oct 2004	6 months	7 months	-3.83%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2009	Feb 2009	2 months	Apr 2010	1 year 2 months	1 year 4 months	-11.08%
2	Aug 2016	Nov 2016	4 months	Mar 2019	2 years 4 months	2 years 8 months	-10.75%
3	Feb 2015	Jun 2015	5 months	Jun 2016	1 year	1 year 5 months	-9.68%
4	May 2013	Aug 2013	4 months	May 2014	9 months	1 year 1 month	-8.76%
5	Apr 2008	Oct 2008	7 months	Nov 2008	1 month	8 months	-7.48%
6	Jun 2003	Jul 2003	2 months	Jan 2004	6 months	8 months	-7.12%
7	Oct 2010	Jan 2011	4 months	May 2011	4 months	8 months	-6.03%
8	Feb 1999	Aug 1999	7 months	Mar 2000	7 months	1 year 2 months	-6.02%
9	Feb 1996	Apr 1996	3 months	Oct 1996	6 months	9 months	-5.66%
10	Nov 2001	Mar 2002	5 months	Aug 2002	5 months	10 months	-5.24%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
4	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
5	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
6	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.84%
7	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
8	Jul 1999	Sep 1999	3 months	Nov 1999	2 months	5 months	-6.25%
9	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
10	Aug 1997	Aug 1997	1 month	Nov 1997	3 months	4 months	-5.61%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Stock Market	10.12%	14.92%	35.79%	-37.04%	-50.89%	0.57	0.81	1.00
Long Term Treasury	7.39%	10.25%	30.09%	-13.03%	-16.68%	0.52	0.88	-0.24

Monthly Correlations

Correlations for the portfolio assets
Name	US Stock Market	Long Term Treasury	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
US Stock Market	1.00	-0.24	0.98	0.76	0.11	0.99
Long Term Treasury	-0.24	1.00	-0.06	0.44	0.94	-0.22

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2	Portfolio 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
Name	Portfolio 1	Portfolio 2	Portfolio 3
US Stock Market	101.02%	71.30%	4.14%
Long Term Treasury	-1.02%	28.70%	95.86%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low	Average	High	Low
1 year	10.26%	44.18%	-32.81%	9.28%	32.95%	-17.43%	8.18%	31.23%	-6.95%	10.80%	53.61%	-43.32%
3 years	9.13%	26.91%	-10.72%	8.67%	21.38%	-2.79%	7.76%	16.68%	1.57%	9.04%	32.68%	-16.14%
5 years	8.26%	23.27%	-3.03%	8.25%	17.85%	1.01%	7.67%	12.46%	4.26%	7.62%	28.49%	-6.73%
7 years	7.78%	15.76%	-0.17%	8.02%	13.06%	3.28%	7.62%	10.87%	4.77%	6.82%	17.12%	-3.94%
10 years	7.59%	14.66%	0.07%	7.94%	11.31%	3.32%	7.61%	10.18%	5.34%	6.45%	16.52%	-3.51%
15 years	7.55%	10.44%	5.53%	7.91%	9.20%	6.74%	7.60%	8.75%	6.52%	6.37%	10.39%	3.64%