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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Portfolio Analysis Results (Jan 2000 - Sep 2021)

Portfolio Allocations

100% US Stocks
Asset Class Allocation
US Stock Market 100.00%
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100% US Bonds
Asset Class Allocation
Total US Bond Market 100.00%
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50/50
Asset Class Allocation
US Stock Market 50.00%
Total US Bond Market 50.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
100% US Stocks$10,000$47,176 7.39% 15.50%33.35%-37.04%-50.89% 0.440.621.00
100% US Bonds$10,000$27,057 4.68% 3.46%11.39%-2.26%-3.99% 0.911.53-0.06
50/50$10,000$39,428 6.51% 7.60%19.63%-15.99%-25.15% 0.660.990.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
100% US Stocks-0.08%15.09%31.95%15.93%16.75%16.47%7.39%19.66%15.81%
100% US Bonds0.08%-1.66%-1.02%5.30%2.83%2.86%4.68%3.71%3.45%
50/50-0.01%6.72%14.83%10.77%9.87%9.72%6.51%9.91%8.02%
Trailing annualized return and volatility are for full months ending in September 2021 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 2021 are based on monthly returns from January to September
  • 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
YearInflation100% US Stocks100% US Bonds50/50US Stock MarketTotal US Bond Market
ReturnBalanceReturnBalanceReturnBalance
20003.39%-10.57%$8,94311.39%$11,1390.41%$10,041-10.57%11.39%
20011.55%-10.97%$7,9628.43%$12,078-1.27%$9,913-10.97%8.43%
20022.38%-20.96%$6,2938.26%$13,075-6.35%$9,284-20.96%8.26%
20031.88%31.35%$8,2663.97%$13,59517.66%$10,92431.35%3.97%
20043.26%12.52%$9,3014.24%$14,1718.38%$11,83912.52%4.24%
20053.42%5.98%$9,8572.40%$14,5104.19%$12,3345.98%2.40%
20062.54%15.51%$11,3864.27%$15,1309.89%$13,55415.51%4.27%
20074.08%5.49%$12,0116.92%$16,1776.21%$14,3955.49%6.92%
20080.09%-37.04%$7,5625.05%$16,994-15.99%$12,093-37.04%5.05%
20092.72%28.70%$9,7335.93%$18,00317.32%$14,18728.70%5.93%
20101.50%17.09%$11,3966.42%$19,15911.76%$15,85517.09%6.42%
20112.96%0.96%$11,5067.56%$20,6064.26%$16,5310.96%7.56%
20121.74%16.25%$13,3764.05%$21,44010.15%$18,20916.25%4.05%
20131.50%33.35%$17,837-2.26%$20,95515.54%$21,03933.35%-2.26%
20140.76%12.43%$20,0545.76%$22,1629.09%$22,95212.43%5.76%
20150.73%0.29%$20,1120.30%$22,2280.29%$23,0200.29%0.30%
20162.07%12.53%$22,6332.50%$22,7847.52%$24,75012.53%2.50%
20172.11%21.05%$27,3983.45%$23,57012.25%$27,78221.05%3.45%
20181.91%-5.26%$25,958-0.13%$23,540-2.69%$27,034-5.26%-0.13%
20192.29%30.65%$33,9138.61%$25,56619.63%$32,34130.65%8.61%
20201.36%20.87%$40,9917.61%$27,51214.24%$36,94620.87%7.61%
20215.31%15.09%$47,176-1.66%$27,0576.72%$39,42815.09%-1.66%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Portfolio return and risk metrics
Metric100% US Stocks100% US Bonds50/50
Arithmetic Mean (monthly)0.70%0.39%0.55%
Arithmetic Mean (annualized)8.70%4.74%6.82%
Geometric Mean (monthly)0.60%0.38%0.53%
Geometric Mean (annualized)7.39%4.68%6.51%
Volatility (monthly)4.48%1.00%2.19%
Volatility (annualized)15.50%3.46%7.60%
Downside Deviation (monthly)3.08%0.53%1.41%
Max. Drawdown-50.89%-3.99%-25.15%
US Market Correlation1.00-0.060.97
Beta(*)1.00-0.010.48
Alpha (annualized)0.00%4.76%2.63%
R2100.00%0.40%94.33%
Sharpe Ratio0.440.910.66
Sortino Ratio0.621.530.99
Treynor Ratio (%)6.83-218.6010.66
Calmar Ratio0.761.351.11
Active Return0.00%-2.71%-0.88%
Tracking Error0.00%16.10%8.32%
Information RatioN/A-0.17-0.11
Skewness-0.59-0.22-0.61
Excess Kurtosis1.251.001.69
Historical Value-at-Risk (5%)-8.00%-1.10%-3.44%
Analytical Value-at-Risk (5%)-6.66%-1.26%-3.06%
Conditional Value-at-Risk (5%)-10.11%-1.85%-4.76%
Upside Capture Ratio (%)100.008.3751.91
Downside Capture Ratio (%)100.00-14.1943.48
Safe Withdrawal Rate4.75%6.68%6.01%
Perpetual Withdrawal Rate4.93%2.38%4.12%
Positive Periods169 out of 261 (64.75%)175 out of 261 (67.05%)175 out of 261 (67.05%)
Gain/Loss Ratio0.811.330.94
* 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 PeriodStartEnd100% US Stocks100% US Bonds50/50
Dotcom CrashMar 2000Oct 2002-44.11%-1.91%-15.33%
Subprime CrisisNov 2007Mar 2009-50.89%-3.99%-25.15%
COVID-19 StartJan 2020Mar 2020-20.89%-0.59%-9.74%

Drawdowns for 100% US Stocks

Drawdowns for 100% US Stocks (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 100% US Bonds

Drawdowns for 100% US Bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
2Aug 2020Mar 20218 months-3.94%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
4Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
5Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
6Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
7Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
8Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
9Nov 2001Dec 20012 monthsMay 20025 months7 months-1.91%
10Sep 2005Oct 20052 monthsAug 200610 months1 year-1.90%
Worst 10 drawdowns included above

Drawdowns for 50/50

Drawdowns for 50/50 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-25.15%
2Sep 2000Sep 20022 years 1 monthNov 20031 year 2 months3 years 3 months-15.33%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-9.74%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-6.97%
5Jun 2011Sep 20114 monthsJan 20124 months8 months-6.86%
6May 2010Jun 20102 monthsSep 20103 months5 months-5.56%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.57%
8Jun 2015Sep 20154 monthsMar 20166 months10 months-4.43%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.32%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.12%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.39%15.50%33.35%-37.04%-50.89%0.440.621.00
Total US Bond Market4.68%3.46%11.39%-2.26%-3.99%0.911.53-0.06

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond Market100% US Stocks100% US Bonds50/50
US Stock Market1.00-0.061.00-0.060.97
Total US Bond Market-0.061.00-0.061.000.17

Portfolio Return Decomposition

Portfolio return decomposition
Name100% US Stocks100% US Bonds50/50
US Stock Market$37,176$21,405
Total US Bond Market$17,057$8,023

Portfolio Risk Decomposition

Portfolio risk decomposition
Name100% US Stocks100% US Bonds50/50
US Stock Market100.00%96.31%
Total US Bond Market100.00%3.69%

Annual Asset Returns

Rolling returns summary
Roll Period100% US Stocks100% US Bonds50/50
AverageHighLowAverageHighLowAverageHighLow
1 year9.00%62.57%-43.18%4.78%14.29%-2.77%6.88%30.59%-21.16%
3 years8.32%26.60%-16.27%4.45%10.16%0.86%6.71%16.68%-4.50%
5 years8.54%23.85%-6.23%4.28%7.40%1.27%6.80%14.36%-0.51%
7 years8.31%17.28%-3.02%4.35%6.16%1.70%6.77%10.91%1.55%
10 years8.35%16.73%-1.13%4.48%6.25%2.86%6.89%10.17%3.21%
15 years8.23%10.94%4.25%4.34%5.62%3.61%6.75%8.04%5.24%