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 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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Asset 10
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Portfolio Analysis Results (Jan 2001 - Dec 2010)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
10-year Treasury 67.00%
US Small Cap Value 33.00%
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Portfolio 2
Asset Class Allocation
10-year Treasury 50.00%
US Stock Market 50.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,178 7.27% 7.47%13.50%3.18%-12.44% 0.691.020.53
Portfolio 2$10,000$16,445 5.10% 7.67%15.75%-8.25%-19.67% 0.400.570.83
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.50%13.50%6.52%6.40%7.27%7.27%10.48%8.43%
Portfolio 22.53%12.51%4.09%5.80%5.10%5.10%11.07%8.88%
Trailing annualized return and volatility are for full months ending in December 2010 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
  • 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
YearInflationPortfolio 1Portfolio 210-year TreasuryUS Small Cap ValueUS Stock Market
ReturnBalanceReturnBalance
20011.55%8.14%$10,814-2.78%$9,7225.40%13.70%-10.97%
20022.38%5.67%$11,427-2.76%$9,45415.45%-14.20%-20.96%
20031.88%12.38%$12,84115.75%$10,9430.15%37.19%31.35%
20043.26%10.78%$14,2268.51%$11,8744.50%23.55%12.52%
20053.42%4.02%$14,7984.50%$12,4083.01%6.07%5.98%
20062.54%7.82%$15,9558.85%$13,5062.19%19.24%15.51%
20074.08%4.65%$16,6977.96%$14,58110.42%-7.07%5.49%
20080.09%3.18%$17,228-8.25%$13,37820.53%-32.05%-37.04%
20092.72%3.20%$17,7789.26%$14,617-10.17%30.34%28.70%
20101.50%13.50%$20,17812.51%$16,4457.92%24.82%17.09%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.61%0.44%
Arithmetic Mean (annualized)7.57%5.41%
Geometric Mean (monthly)0.59%0.42%
Geometric Mean (annualized)7.27%5.10%
Volatility (monthly)2.16%2.21%
Volatility (annualized)7.47%7.67%
Downside Deviation (monthly)1.41%1.49%
Max. Drawdown-12.44%-19.67%
US Market Correlation0.530.83
Beta(*)0.230.38
Alpha (annualized)6.42%3.82%
R227.77%68.34%
Sharpe Ratio0.690.40
Sortino Ratio1.020.57
Treynor Ratio (%)21.968.23
Calmar Ratio0.520.21
Active Return4.82%2.65%
Tracking Error14.34%11.31%
Information Ratio0.340.23
Skewness-0.93-0.81
Excess Kurtosis2.852.28
Historical Value-at-Risk (5%)-3.25%-3.54%
Analytical Value-at-Risk (5%)-2.94%-3.20%
Conditional Value-at-Risk (5%)-5.26%-5.33%
Upside Capture Ratio (%)35.9044.10
Downside Capture Ratio (%)11.7931.72
Safe Withdrawal Rate13.02%10.93%
Perpetual Withdrawal Rate4.61%2.63%
Positive Periods79 out of 120 (65.83%)75 out of 120 (62.50%)
Gain/Loss Ratio1.121.02
* 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
Subprime CrisisNov 2007Mar 2009-12.44%-19.67%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsAug 20096 months8 months-12.44%
2Sep 2008Oct 20082 monthsDec 20082 months4 months-8.71%
3Apr 2004Apr 20041 monthSep 20045 months6 months-5.19%
4May 2002Jul 20023 monthsApr 20039 months1 year-4.25%
5Apr 2008Jun 20083 monthsAug 20082 months5 months-3.58%
6Jun 2003Jul 20032 monthsSep 20032 months4 months-3.44%
7Sep 2005Oct 20052 monthsJan 20063 months5 months-3.27%
8Sep 2001Sep 20011 monthNov 20012 months3 months-3.25%
9Oct 2009Oct 20091 monthFeb 20104 months5 months-2.86%
10Mar 2006May 20063 monthsAug 20063 months6 months-2.22%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-19.67%
2Feb 2001Jul 20021 year 6 monthsMay 200310 months2 years 4 months-9.98%
3Apr 2004Apr 20041 monthOct 20046 months7 months-3.58%
4May 2010Jun 20102 monthsSep 20103 months5 months-3.46%
5Sep 2005Oct 20052 monthsNov 20051 month3 months-2.36%
6Jul 2003Jul 20031 monthSep 20032 months3 months-2.28%
7Mar 2006May 20063 monthsAug 20063 months6 months-1.78%
8Jun 2007Jul 20072 monthsAug 20071 month3 months-1.77%
9Jan 2005Mar 20053 monthsMay 20052 months5 months-1.71%
10Dec 2009Jan 20102 monthsFeb 20101 month3 months-1.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
10-year Treasury5.63%8.48%20.53%-10.17%-10.17%0.430.68-0.36
US Small Cap Value7.95%20.84%37.19%-32.05%-56.13%0.370.510.90
US Stock Market2.45%16.80%31.35%-37.04%-50.89%0.100.131.00

Monthly Correlations

Correlations for the portfolio assets
Name10-year TreasuryUS Small Cap ValueUS Stock MarketPortfolio 1Portfolio 2
10-year Treasury1.00-0.30-0.360.510.22
US Small Cap Value-0.301.000.900.660.76
US Stock Market-0.360.901.000.530.83

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
10-year Treasury$5,565$3,689
US Small Cap Value$4,613
US Stock Market$2,756

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
10-year Treasury38.74%11.78%
US Small Cap Value61.26%
US Stock Market88.22%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.19%20.79%-10.65%5.55%25.64%-17.61%
3 years6.68%10.49%-0.03%5.53%10.66%-2.22%
5 years6.65%8.71%2.51%5.82%9.38%0.80%
7 years6.66%7.63%4.56%5.52%7.12%2.84%