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
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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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Portfolio Analysis Results (Jan 2000 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 70.00%
Total US Bond Market 30.00%
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Portfolio 3
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$3,000$3,205,795 39.39% 6.95%10.76%15.67%33.35%-37.04%-50.89%
(-42.18%)
0.410.581.00
Portfolio 2$3,000$2,625,401 38.07% 6.64%9.09%10.95%23.91%-26.05%-37.53%
(-28.21%)
0.500.721.00
Portfolio 3$3,000$2,444,508 37.60% 6.48%8.48%9.41%21.69%-22.09%-32.44%
(-23.45%)
0.540.790.99
* 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 114.65%20.87%14.37%15.30%13.66%6.95%19.67%16.01%
Portfolio 210.40%17.56%12.03%12.23%10.82%6.64%13.85%11.24%
Portfolio 39.00%16.32%11.17%11.16%9.85%6.48%11.94%9.68%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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 monthly rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $3,000 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 3US Stock MarketTotal US Bond Market
ReturnBalanceReturnBalanceReturnBalance
20003.39%$36,834-10.57%$36,644-4.18%$38,373-2.01%$38,956-10.57%11.39%
20011.55%$37,875-10.97%$70,035-5.04%$74,332-3.07%$75,803-10.97%8.43%
20022.38%$38,476-20.96%$90,394-12.64%$101,495-9.78%$105,462-20.96%8.26%
20031.88%$39,34931.35%$165,12222.71%$168,91619.91%$170,17931.35%3.97%
20043.26%$40,40312.52%$229,76810.05%$229,0699.23%$228,78412.52%4.24%
20053.42%$41,7745.98%$287,3684.99%$283,8664.64%$282,6095.98%2.40%
20062.54%$43,12115.51%$378,59112.07%$364,12010.94%$359,28615.51%4.27%
20074.08%$44,3515.49%$443,7306.05%$431,0556.21%$426,6925.49%6.92%
20080.09%$46,054-37.04%$314,731-26.05%$357,494-22.09%$372,351-37.04%5.05%
20092.72%$45,89028.70%$460,84521.95%$489,03219.68%$497,80628.70%5.93%
20101.50%$46,64317.09%$592,62914.32%$610,35413.30%$614,77517.09%6.42%
20112.96%$48,1150.96%$645,7923.22%$678,2403.92%$687,3680.96%7.56%
20121.74%$49,11116.25%$801,96712.61%$814,56811.39%$816,32416.25%4.05%
20131.50%$49,83033.35%$1,126,09621.66%$1,045,36517.96%$1,016,57933.35%-2.26%
20140.76%$50,63912.43%$1,319,98710.46%$1,207,9739.80%$1,169,21112.43%5.76%
20150.73%$50,6990.29%$1,374,3380.49%$1,264,4000.52%$1,225,7820.29%0.30%
20162.07%$51,33812.53%$1,602,1749.61%$1,439,9368.61%$1,384,94112.53%2.50%
20172.11%$52,43221.05%$1,996,84215.52%$1,719,52913.73%$1,630,70821.05%3.45%
20181.91%$53,713-5.26%$1,941,189-3.48%$1,710,640-2.93%$1,634,363-5.26%-0.13%
20192.29%$54,68630.65%$2,596,61023.91%$2,178,91521.69%$2,047,60530.65%8.61%
20201.36%$55,36120.87%$3,205,79517.56%$2,625,40116.32%$2,444,50820.87%7.61%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.66%0.59%0.56%
Arithmetic Mean (annualized)8.28%7.28%6.95%
Geometric Mean (monthly)0.56%0.54%0.52%
Geometric Mean (annualized)6.95%6.64%6.48%
Volatility (monthly)4.52%3.16%2.72%
Volatility (annualized)15.67%10.95%9.41%
Downside Deviation (monthly)3.12%2.12%1.80%
Max. Drawdown-50.89%-37.53%-32.44%
US Market Correlation1.001.000.99
Beta(*)1.000.700.59
Alpha (annualized)0.00%1.50%2.00%
R2100.00%99.11%97.87%
Sharpe Ratio0.410.500.54
Sortino Ratio0.580.720.79
Treynor Ratio (%)6.387.858.67
Calmar Ratio0.690.830.90
Active Return0.00%-0.31%-0.47%
Tracking Error0.00%4.88%6.51%
Information RatioN/A-0.06-0.07
Skewness-0.57-0.59-0.60
Excess Kurtosis1.191.591.81
Historical Value-at-Risk (5%)-8.01%-5.37%-4.53%
Analytical Value-at-Risk (5%)-6.78%-4.61%-3.91%
Conditional Value-at-Risk (5%)-10.11%-7.01%-6.00%
Upside Capture Ratio (%)100.0070.9661.60
Downside Capture Ratio (%)100.0067.0555.78
Safe Withdrawal Rate4.75%5.46%5.69%
Perpetual Withdrawal Rate4.53%4.26%4.12%
Positive Periods162 out of 252 (64.29%)167 out of 252 (66.27%)167 out of 252 (66.27%)
Gain/Loss Ratio0.800.820.87
* 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 2Portfolio 3
Dotcom CrashMar 2000Oct 2002-44.11%-28.70%-22.84%
Subprime CrisisNov 2007Mar 2009-50.89%-37.53%-32.44%
COVID-19 StartJan 2020Mar 2020-20.89%-14.52%-12.37%

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 monthsNov 20201 month3 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 monthsDec 20101 year 10 months3 years 2 months-37.53%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-28.70%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-14.52%
4May 2011Sep 20115 monthsJan 20124 months9 months-11.36%
5Sep 2018Dec 20184 monthsApr 20194 months8 months-9.67%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-6.21%
7Apr 2000May 20002 monthsAug 20003 months5 months-6.13%
8Apr 2012May 20122 monthsAug 20123 months5 months-4.19%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-4.13%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-4.08%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.44%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.84%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-12.37%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.15%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-8.16%
6Apr 2000May 20002 monthsAug 20003 months5 months-5.36%
7Jun 2015Sep 20154 monthsApr 20167 months11 months-5.32%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.66%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-3.62%
10May 2012May 20121 monthJul 20122 months3 months-3.36%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market6.95%15.67%33.35%-37.04%-50.89%0.410.581.00
Total US Bond Market4.94%3.44%11.39%-2.26%-3.99%0.961.65-0.07

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.00-0.071.001.000.99
Total US Bond Market-0.071.00-0.070.030.08

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$2,226,099$1,446,494$1,206,586
Total US Bond Market$199,212$258,227

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market100.00%99.74%98.83%
Total US Bond Market0.26%1.17%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.83%56.25%-43.18%6.90%40.69%-31.72%6.60%35.78%-27.52%
3 years7.97%26.60%-16.27%7.05%20.91%-9.31%6.71%19.00%-7.31%
5 years8.14%23.85%-6.23%7.19%18.16%-3.05%6.84%16.27%-2.01%
7 years8.02%17.28%-3.02%7.16%13.52%-0.51%6.83%12.25%0.29%
10 years7.93%16.73%-1.13%7.18%12.84%1.36%6.88%11.53%2.13%
15 years7.96%10.87%4.25%7.13%8.98%4.79%6.80%8.31%4.91%