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 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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Portfolio Analysis Results (Jan 2000 - Dec 2012)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
Short Term Treasury 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,376 2.26% 16.43%31.35%-37.04%-50.89% 0.090.121.00
Portfolio 2$10,000$17,079 4.20% 2.00%8.83%0.69%-1.46% 1.061.98-0.34
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.15%16.25%11.18%2.18%7.83%2.26%15.98%19.73%
Portfolio 20.05%0.69%1.86%2.72%3.03%4.20%1.10%1.73%
Trailing annualized return and volatility are for full months ending in December 2012 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
  • 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 2US Stock MarketShort Term Treasury
ReturnBalanceReturnBalance
20003.39%-10.57%$8,9438.83%$10,883-10.57%8.83%
20011.55%-10.97%$7,9627.80%$11,732-10.97%7.80%
20022.38%-20.96%$6,2938.02%$12,673-20.96%8.02%
20031.88%31.35%$8,2662.38%$12,97531.35%2.38%
20043.26%12.52%$9,3011.03%$13,10912.52%1.03%
20053.42%5.98%$9,8571.77%$13,3405.98%1.77%
20062.54%15.51%$11,3863.77%$13,84315.51%3.77%
20074.08%5.49%$12,0117.89%$14,9355.49%7.89%
20080.09%-37.04%$7,5626.68%$15,932-37.04%6.68%
20092.72%28.70%$9,7331.44%$16,16128.70%1.44%
20101.50%17.09%$11,3962.63%$16,58717.09%2.63%
20112.96%0.96%$11,5062.26%$16,9610.96%2.26%
20121.74%16.25%$13,3760.69%$17,07916.25%0.69%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.30%0.35%
Arithmetic Mean (annualized)3.67%4.22%
Geometric Mean (monthly)0.19%0.34%
Geometric Mean (annualized)2.26%4.20%
Volatility (monthly)4.74%0.58%
Volatility (annualized)16.43%2.00%
Downside Deviation (monthly)3.45%0.23%
Max. Drawdown-50.89%-1.46%
US Market Correlation1.00-0.34
Beta(*)1.00-0.04
Alpha (annualized)0.00%4.29%
R2100.00%11.71%
Sharpe Ratio0.091.06
Sortino Ratio0.121.98
Treynor Ratio (%)1.47-48.37
Calmar Ratio0.632.11
Active Return0.00%1.94%
Tracking Error0.00%17.22%
Information RatioN/A0.11
Skewness-0.560.20
Excess Kurtosis0.740.69
Historical Value-at-Risk (5%)-8.21%-0.54%
Analytical Value-at-Risk (5%)-7.50%-0.60%
Conditional Value-at-Risk (5%)-10.50%-0.89%
Upside Capture Ratio (%)100.005.16
Downside Capture Ratio (%)100.00-14.52
Safe Withdrawal Rate6.14%9.15%
Perpetual Withdrawal Rate0.00%1.71%
Positive Periods92 out of 156 (58.97%)118 out of 156 (75.64%)
Gain/Loss Ratio0.801.60
* 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 2002-44.11%-1.09%
Subprime CrisisNov 2007Mar 2009-50.89%-1.46%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
5Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
6Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
7May 2006May 20061 monthSep 20064 months5 months-3.23%
8Oct 2012Oct 20121 monthDec 20122 months3 months-1.76%
9Feb 2007Feb 20071 monthApr 20072 months3 months-1.61%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008May 20082 monthsSep 20084 months6 months-1.46%
2Apr 2004May 20042 monthsOct 20045 months7 months-1.36%
3Dec 2009Dec 20091 monthFeb 20102 months3 months-1.13%
4Nov 2001Dec 20012 monthsFeb 20022 months4 months-1.09%
5Jul 2003Jul 20031 monthSep 20032 months3 months-0.91%
6Nov 2010Mar 20115 monthsMay 20112 months7 months-0.88%
7Mar 2002Mar 20021 monthApr 20021 month2 months-0.82%
8Nov 2004Mar 20055 monthsApr 20051 month6 months-0.66%
9Nov 2002Nov 20021 monthDec 20021 month2 months-0.66%
10Sep 2005Oct 20052 monthsDec 20052 months4 months-0.42%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market2.26%16.43%31.35%-37.04%-50.89%0.090.121.00
Short Term Treasury4.20%2.00%8.83%0.69%-1.46%1.061.98-0.34

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketShort Term TreasuryPortfolio 1Portfolio 2
US Stock Market1.00-0.341.00-0.34
Short Term Treasury-0.341.00-0.341.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$3,376
Short Term Treasury$7,079

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
Short Term Treasury100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.21%56.25%-43.18%4.30%11.79%-0.53%
3 years3.78%26.60%-16.27%4.08%8.29%1.27%
5 years3.38%16.31%-6.23%4.04%5.62%2.72%
7 years3.76%7.81%-3.02%4.04%4.84%3.38%
10 years3.37%8.63%-1.13%4.05%5.04%3.03%