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 
Asset Class
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 2000 - Dec 2009)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Total US Bond Market 100.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 10.00%
Total US Bond Market 90.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,003 6.06% 3.82%11.39%2.40%-3.99% 0.851.380.00
Portfolio 2$10,000$17,329 5.65% 3.80%9.19%0.84%-6.03% 0.751.190.40

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.07%5.93%5.93%5.97%4.90%6.06%6.06%4.22%3.75%
Portfolio 20.73%8.21%8.21%5.23%4.76%5.65%5.65%4.71%4.02%
Trailing return and volatility are as of last full calendar quarter ending December 2009
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
YearInflationPortfolio 1Portfolio 2Total US Bond MarketUS Stock Market
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.50%0.47%
Arithmetic Mean (annualized)6.13%5.73%
Geometric Mean (monthly)0.49%0.46%
Geometric Mean (annualized)6.06%5.65%
Standard Deviation (monthly)1.10%1.10%
Standard Deviation (annualized)3.82%3.80%
Downside Deviation (monthly)0.59%0.61%
Max. Drawdown-3.99%-6.03%
US Market Correlation0.000.40
Alpha (annualized)5.97%5.48%
Sharpe Ratio0.850.75
Sortino Ratio1.381.19
Treynor Ratio (%)78,398.4731.04
Calmar Ratio1.490.87
Active Return6.33%5.92%
Tracking Error17.00%15.45%
Information Ratio0.370.38
Excess Kurtosis1.341.73
Historical Value-at-Risk (5%)-1.12%-1.17%
Analytical Value-at-Risk (5%)-1.32%-1.34%
Conditional Value-at-Risk (5%)-2.16%-2.28%
Upside Capture Ratio (%)11.7919.78
Downside Capture Ratio (%)-14.69-3.12
Safe Withdrawal Rate12.44%12.00%
Perpetual Withdrawal Rate3.33%2.96%
Positive Periods84 out of 120 (70.00%)82 out of 120 (68.33%)
Gain/Loss Ratio1.331.39
* 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
Dotcom CrashMar 2000Oct 2002-1.91%-1.44%
Subprime CrisisNov 2007Mar 2009-3.99%-6.03%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
2Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
3Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
4Nov 2001Dec 20012 monthsMay 20025 months7 months-1.91%
5Sep 2005Oct 20052 monthsAug 200610 months1 year-1.90%
6Dec 2009Dec 20091 month-1.68%
7May 2007Jun 20072 monthsAug 20072 months4 months-1.16%
8Jan 2009Feb 20092 monthsMar 20091 month3 months-1.12%
9Feb 2005Mar 20052 monthsApr 20051 month3 months-1.12%
10Jul 2005Jul 20051 monthAug 20051 month2 months-0.99%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Oct 20086 monthsApr 20096 months1 year-6.03%
2Apr 2004May 20042 monthsAug 20043 months5 months-2.81%
3Jul 2003Jul 20031 monthSep 20032 months3 months-2.72%
4Sep 2005Oct 20052 monthsJan 20063 months5 months-1.81%
5Apr 2000May 20002 monthsJun 20001 month3 months-1.44%
6Mar 2006May 20063 monthsJul 20062 months5 months-1.20%
7Dec 2009Dec 20091 month-1.16%
8Nov 2001Dec 20012 monthsFeb 20022 months4 months-1.04%
9Feb 2005Mar 20052 monthsApr 20051 month3 months-0.98%
10Mar 2002Mar 20021 monthApr 20021 month2 months-0.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Total US Bond Market6.06%3.82%11.39%2.40%-3.99%0.851.380.00
US Stock Market-0.27%16.56%31.35%-37.04%-50.89%-0.10-0.131.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
Quarter to DateYear To Date1 year3 year5 year10 year
Total US Bond Market0.07%5.93%5.93%5.97%4.90%6.06%
US Stock Market5.85%28.70%28.70%-5.10%0.91%-0.27%
Trailing returns as of last calendar quarter ending December 2009

Monthly Correlations

Correlations for the portfolio assets
NameTotal US Bond MarketUS Stock MarketPortfolio 1Portfolio 2
Total US Bond Market1.
US Stock Market0.

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Total US Bond Market$8,003$6,996
US Stock Market$332

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Total US Bond Market100.00%82.66%
US Stock Market17.34%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
1 year5.98%14.29%-1.04%5.39%14.12%-3.69%
3 years5.25%10.16%1.82%5.16%8.28%2.84%
5 years4.92%7.40%3.38%5.02%6.74%3.13%
7 years5.22%6.16%3.69%5.15%5.97%3.63%