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 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 - Jun 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 33.34%
Global ex-US Stock Market 33.33%
REIT 33.33%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$2,137,193 3.60% 8.00%7.23%15.88%35.78%-39.39%-57.90%
(-61.77%)
0.470.660.91
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 18.52%15.38%38.83%13.52%12.04%10.20%8.00%17.80%14.37%
Trailing annualized return and volatility are for full months ending in June 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 June
  • 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 annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $40,000 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
YearInflationPortfolio 1US Stock MarketGlobal ex-US Stock MarketREIT
ReturnBalanceCashflow
20003.39%0.05%$959,167-$41,355-10.57%-15.61%26.35%
20011.55%-6.26%$857,172-$41,996-10.97%-20.15%12.35%
20022.38%-10.76%$721,911-$42,995-20.96%-15.08%3.75%
20031.88%35.78%$936,426-$43,80331.35%40.34%35.66%
20043.26%21.37%$1,091,310-$45,22912.52%20.84%30.76%
20053.42%11.15%$1,166,181-$46,7745.98%15.57%11.89%
20062.54%25.74%$1,418,376-$47,96215.51%26.64%35.07%
20074.08%1.52%$1,389,980-$49,9205.49%15.52%-16.46%
20080.09%-39.39%$792,434-$49,965-37.04%-44.10%-37.05%
20092.72%31.67%$992,047-$51,32528.70%36.73%29.58%
20101.50%18.84%$1,126,853-$52,09317.09%11.12%28.30%
20112.96%-1.71%$1,053,925-$53,6360.96%-14.56%8.47%
20121.74%17.31%$1,181,755-$54,56916.25%18.14%17.53%
20131.50%16.90%$1,326,106-$55,38933.35%15.04%2.31%
20140.76%12.77%$1,439,705-$55,80812.43%-4.24%30.13%
20150.73%-0.62%$1,374,554-$56,2150.29%-4.38%2.22%
20162.07%8.51%$1,434,129-$57,38112.53%4.65%8.34%
20172.11%17.76%$1,630,210-$58,59221.05%27.40%4.83%
20181.91%-8.60%$1,430,274-$59,711-5.26%-14.44%-6.11%
20192.29%26.95%$1,754,710-$61,07530.65%21.43%28.78%
20201.36%9.09%$1,852,242-$61,90720.87%11.16%-4.78%
20214.31%15.38%$2,137,193$0.0015.19%9.69%21.28%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.75%
Arithmetic Mean (annualized)9.40%
Geometric Mean (monthly)0.64%
Geometric Mean (annualized)8.00%
Volatility (monthly)4.58%
Volatility (annualized)15.88%
Downside Deviation (monthly)3.23%
Max. Drawdown-57.90%
US Market Correlation0.91
Beta(*)0.93
Alpha (annualized)1.13%
R283.30%
Sharpe Ratio0.47
Sortino Ratio0.66
Treynor Ratio (%)8.00
Calmar Ratio0.58
Active Return0.51%
Tracking Error6.57%
Information Ratio0.08
Skewness-0.99
Excess Kurtosis4.57
Historical Value-at-Risk (5%)-7.29%
Analytical Value-at-Risk (5%)-6.79%
Conditional Value-at-Risk (5%)-11.16%
Upside Capture Ratio (%)93.59
Downside Capture Ratio (%)90.09
Safe Withdrawal Rate6.77%
Perpetual Withdrawal Rate5.45%
Positive Periods168 out of 258 (65.12%)
Gain/Loss Ratio0.84
* 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 1
Dotcom CrashMar 2000Oct 2002-23.72%
Subprime CrisisNov 2007Mar 2009-57.90%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20123 years 10 months5 years 2 months-57.90%
2Sep 2000Sep 20022 years 1 monthOct 20031 year 1 month3 years 2 months-23.72%
3Jan 2020Mar 20203 monthsNov 20208 months11 months-23.12%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-11.57%
5Mar 2015Feb 20161 yearJun 20164 months1 year 4 months-9.75%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-7.05%
7Apr 2004Apr 20041 monthSep 20045 months6 months-6.81%
8Feb 2018Feb 20181 monthAug 20186 months7 months-5.44%
9May 2013Aug 20134 monthsOct 20132 months6 months-4.67%
10Sep 2014Sep 20141 monthNov 20142 months3 months-4.42%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.49%15.54%33.35%-37.04%-50.89%0.440.631.00
Global ex-US Stock Market4.36%17.29%40.34%-44.10%-58.50%0.240.340.88
REIT11.04%20.64%35.66%-37.05%-68.28%0.540.770.63

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketREITPortfolio 1
US Stock Market1.000.880.630.91
Global ex-US Stock Market0.881.000.620.91
REIT0.630.621.000.86

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$793,079
Global ex-US Stock Market$495,174
REIT$936,639

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market29.70%
Global ex-US Stock Market32.99%
REIT37.30%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.16%71.21%-50.59%
3 years8.38%30.40%-18.02%
5 years8.42%23.63%-5.45%
7 years7.97%16.83%-0.36%
10 years7.82%15.05%3.83%
15 years8.01%10.56%6.00%