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
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 2000 - Dec 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Intl Developed ex-US Market 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$20,000$500,642 15.76% 6.35%8.67%15.57%34.30%-38.68%-53.37%
* The number in parentheses shows the calculated value taking into account the periodic contributions.

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.66%19.80%19.80%21.11%14.79%13.12%6.35%17.74%15.35%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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
  • Monthly contribution of $500 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 MarketIntl Developed ex-US Market
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.62%
Arithmetic Mean (annualized)7.66%
Geometric Mean (monthly)0.51%
Geometric Mean (annualized)6.35%
Standard Deviation (monthly)4.49%
Standard Deviation (annualized)15.57%
Downside Deviation (monthly)3.13%
Max. Drawdown-53.37%
US Market Correlation0.98
Alpha (annualized)-1.14%
Sharpe Ratio0.38
Sortino Ratio0.53
Treynor Ratio (%)5.98
Calmar Ratio0.95
Active Return-1.38%
Tracking Error3.22%
Information Ratio-0.43
Excess Kurtosis1.52
Historical Value-at-Risk (5%)-7.92%
Analytical Value-at-Risk (5%)-6.78%
Conditional Value-at-Risk (5%)-10.30%
Upside Capture Ratio (%)95.27
Downside Capture Ratio (%)101.23
Safe Withdrawal Rate4.56%
Perpetual Withdrawal Rate3.79%
Positive Periods163 out of 264 (61.74%)
Gain/Loss Ratio0.88
* 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 2002-44.93%
Subprime CrisisNov 2007Mar 2009-53.37%
COVID-19 StartJan 2020Mar 2020-22.16%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20134 years 1 month5 years 5 months-53.37%
2Apr 2000Sep 20022 years 6 monthsDec 20053 years 3 months5 years 9 months-44.93%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-22.16%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.77%
5Jun 2015Feb 20169 monthsSep 20167 months1 year 4 months-12.02%
6May 2019May 20191 monthJun 20191 month2 months-5.97%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-5.65%
8Feb 2018Mar 20182 monthsAug 20185 months7 months-5.64%
9Jan 2000Jan 20001 monthMar 20002 months3 months-5.12%
10Sep 2021Sep 20211 monthOct 20211 month2 months-4.07%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.73%15.49%33.35%-37.04%-50.89%0.460.661.00
Intl Developed ex-US Market4.11%16.88%38.67%-41.27%-57.06%0.230.330.88

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market9.12%25.59%25.59%25.64%17.86%16.16%
Intl Developed ex-US Market2.99%11.43%11.43%14.46%10.15%8.51%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntl Developed ex-US MarketPortfolio 1
US Stock Market1.000.880.98
Intl Developed ex-US Market0.881.000.96

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$257,163
Intl Developed ex-US Market$91,479
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market58.40%
Intl Developed ex-US Market41.60%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.17%57.92%-45.90%
3 years7.40%24.09%-17.54%
5 years7.61%21.54%-4.99%
7 years7.21%14.39%-1.33%
10 years7.15%14.05%-0.33%
15 years7.15%10.22%3.88%