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 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 2002 - Dec 2007)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
European Stocks 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,147 5.95% 11.91%28.50%-22.15%-28.34% 0.320.450.99
Portfolio 2$10,000$22,822 14.74% 14.72%38.70%-17.95%-25.96% 0.831.350.88
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 1-3.36%5.39%8.49%12.69%5.95%
Portfolio 2-0.99%13.82%18.38%22.70%14.74%
Trailing returns are for full months ending in December 2007 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
YearInflationReturnBalanceUS Large CapEuropean Stocks
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20022.38%-22.15%-17.95%$7,785$8,205-22.15%-17.95%
20031.88%28.50%38.70%$10,005$11,38128.50%38.70%
20043.26%10.74%20.86%$11,079$13,75510.74%20.86%
20053.42%4.77%9.26%$11,608$15,0294.77%9.26%
20062.54%15.64%33.42%$13,424$20,05115.64%33.42%
20074.08%5.39%13.82%$14,147$22,8225.39%13.82%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.54%1.24%
Arithmetic Mean (annualized)6.70%15.96%
Geometric Mean (monthly)0.48%1.15%
Geometric Mean (annualized)5.95%14.74%
Volatility (monthly)3.44%4.25%
Volatility (annualized)11.91%14.72%
Downside Deviation (monthly)2.33%2.52%
Max. Drawdown-28.34%-25.96%
US Market Correlation0.990.88
Beta(*)0.991.08
Alpha (annualized)-1.00%6.68%
R298.56%77.62%
Sharpe Ratio0.320.83
Sortino Ratio0.451.35
Treynor Ratio (%)3.8311.25
Calmar Ratio1.753.30
Active Return-1.14%7.65%
Tracking Error1.44%7.04%
Information Ratio-0.791.09
Skewness-0.58-0.42
Excess Kurtosis1.472.01
Historical Value-at-Risk (5%)-6.45%-4.83%
Analytical Value-at-Risk (5%)-5.11%-5.75%
Conditional Value-at-Risk (5%)-8.58%-9.78%
Upside Capture Ratio (%)93.00130.74
Downside Capture Ratio (%)98.8389.48
Safe Withdrawal Rate16.72%20.93%
Perpetual Withdrawal Rate2.86%10.30%
Positive Periods47 out of 72 (65.28%)44 out of 72 (61.11%)
Gain/Loss Ratio0.801.34
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2002Sep 20026 monthsJan 20041 year 4 months1 year 10 months-28.34%
2Nov 2007Dec 20072 months-4.86%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
4Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
5Jan 2002Feb 20022 monthsMar 20021 month3 months-3.38%
6Jul 2004Jul 20041 monthNov 20044 months5 months-3.31%
7Mar 2004Apr 20042 monthsJun 20042 months4 months-3.07%
8May 2006May 20061 monthAug 20063 months4 months-2.90%
9Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
10Aug 2005Oct 20053 monthsNov 20051 month4 months-1.80%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-25.96%
2Nov 2007Dec 20072 months-5.57%
3Jan 2002Jan 20021 monthMar 20022 months3 months-5.09%
4Mar 2005May 20053 monthsJul 20052 months5 months-4.49%
5Mar 2004Apr 20042 monthsSep 20045 months7 months-3.93%
6Oct 2005Oct 20051 monthDec 20052 months3 months-3.23%
7Jun 2007Aug 20073 monthsSep 20071 month4 months-3.22%
8May 2006May 20061 monthAug 20063 months4 months-2.45%
9Jan 2005Jan 20051 monthFeb 20051 month2 months-1.89%
10Feb 2007Feb 20071 monthMar 20071 month2 months-0.99%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap5.95%11.91%28.50%-22.15%-28.34%0.320.450.99
European Stocks14.74%14.72%38.70%-17.95%-25.96%0.831.350.88

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapEuropean StocksPortfolio 1Portfolio 2
US Large Cap1.000.881.000.88
European Stocks0.881.000.881.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Large Cap$4,147
European Stocks$12,822

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Large Cap100.00%
European Stocks100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.15%28.50%-22.15%16.35%38.70%-17.95%
3 years9.13%14.24%3.47%18.18%22.35%11.21%
5 years9.38%12.69%6.07%18.82%22.70%14.93%
Result statistics are based on annualized rolling returns over full calendar year periods