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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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 - Oct 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
International ex-US Small Cap 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$34,980 6.19% 15.51%33.35%-37.04%-50.89% 0.360.511.00
Portfolio 2$10,000$51,719 8.21% 17.87%66.48%-41.68%-57.69% 0.440.640.79
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 11.12%3.15%10.09%9.94%11.37%12.67%6.19%
Portfolio 21.05%-7.50%-0.86%-1.64%4.32%3.65%8.21%
Trailing returns are for full months ending in October 2020 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.
  • The annual results for 2020 are based on monthly returns from January to October
  • 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
YearInflationReturnBalanceUS Stock MarketInternational ex-US Small Cap
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20003.39%-10.57%-3.08%$8,943$9,692-10.57%-3.08%
20011.55%-10.97%-4.59%$7,962$9,247-10.97%-4.59%
20022.38%-20.96%5.79%$6,293$9,782-20.96%5.79%
20031.88%31.35%66.48%$8,266$16,28531.35%66.48%
20043.26%12.52%34.80%$9,301$21,95312.52%34.80%
20053.42%5.98%23.23%$9,857$27,0525.98%23.23%
20062.54%15.51%28.39%$11,386$34,73415.51%28.39%
20074.08%5.49%2.95%$12,011$35,7575.49%2.95%
20080.09%-37.04%-41.68%$7,562$20,854-37.04%-41.68%
20092.72%28.70%47.52%$9,733$30,76428.70%47.52%
20101.50%17.09%25.60%$11,396$38,64017.09%25.60%
20112.96%0.96%-19.63%$11,506$31,0550.96%-19.63%
20121.74%16.25%20.73%$13,376$37,49316.25%20.73%
20131.50%33.35%16.60%$17,837$43,71733.35%16.60%
20140.76%12.43%-5.06%$20,054$41,50712.43%-5.06%
20150.73%0.29%-0.01%$20,112$41,5030.29%-0.01%
20162.07%12.53%4.26%$22,633$43,27112.53%4.26%
20172.11%21.05%30.60%$27,398$56,51321.05%30.60%
20181.91%-5.26%-18.47%$25,958$46,073-5.26%-18.47%
20192.29%30.65%21.36%$33,913$55,91530.65%21.36%
20201.29%3.15%-7.50%$34,980$51,7193.15%-7.50%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.60%0.80%
Arithmetic Mean (annualized)7.49%9.97%
Geometric Mean (monthly)0.50%0.66%
Geometric Mean (annualized)6.19%8.21%
Volatility (monthly)4.48%5.16%
Volatility (annualized)15.51%17.87%
Downside Deviation (monthly)3.14%3.52%
Max. Drawdown-50.89%-57.69%
US Market Correlation1.000.79
Beta(*)1.000.91
Alpha (annualized)0.00%2.94%
R2100.00%62.55%
Sharpe Ratio0.360.44
Sortino Ratio0.510.64
Treynor Ratio (%)5.648.71
Calmar Ratio0.48-0.05
Active Return0.00%2.01%
Tracking Error0.00%11.02%
Information RatioN/A0.18
Skewness-0.62-0.69
Excess Kurtosis1.202.78
Historical Value-at-Risk (5%)-8.09%-8.26%
Analytical Value-at-Risk (5%)-6.76%-7.69%
Conditional Value-at-Risk (5%)-10.29%-12.74%
Upside Capture Ratio (%)100.0093.90
Downside Capture Ratio (%)100.0083.63
Safe Withdrawal Rate4.84%10.06%
Perpetual Withdrawal Rate4.00%5.86%
Positive Periods160 out of 250 (64.00%)148 out of 250 (59.20%)
Gain/Loss Ratio0.791.03
* 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%-14.18%
Subprime CrisisNov 2007Mar 2009-50.89%-57.69%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
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%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8May 2019May 20191 monthJun 20191 month2 months-6.45%
9Sep 2020Oct 20202 months-5.65%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-57.69%
2Feb 2018Mar 20202 years 2 months-33.27%
3May 2011Sep 20115 monthsOct 20132 years 1 month2 years 6 months-26.81%
4Jul 2014Jan 20161 year 7 monthsApr 20171 year 3 months2 years 10 months-18.53%
5Jun 2002Oct 20025 monthsMay 20037 months1 year-14.18%
6Jul 2000Sep 20011 year 3 monthsApr 20027 months1 year 10 months-12.03%
7May 2006Jul 20063 monthsOct 20063 months6 months-6.91%
8Jan 2000Apr 20004 monthsJun 20002 months6 months-6.47%
9Jun 2007Aug 20073 monthsOct 20072 months5 months-4.75%
10Apr 2004May 20042 monthsSep 20044 months6 months-4.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market6.19%15.51%33.35%-37.04%-50.89%0.360.511.00
International ex-US Small Cap8.21%17.87%66.48%-41.68%-57.69%0.440.640.79

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketInternational ex-US Small CapPortfolio 1Portfolio 2
US Stock Market1.000.791.000.79
International ex-US Small Cap0.791.000.791.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$24,980
International ex-US Small Cap$41,719

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
International ex-US Small Cap100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.97%33.35%-37.04%11.79%66.48%-41.68%
3 years7.18%20.34%-14.31%10.58%40.37%-8.31%
5 years7.58%18.72%-1.76%10.25%30.30%-2.21%
7 years7.57%15.00%-0.73%9.37%20.50%2.15%
10 years7.21%13.30%-0.27%8.78%14.83%2.22%
15 years7.46%10.30%4.75%9.50%12.40%6.43%
Result statistics are based on annualized rolling returns over full calendar year periods