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 2003 - Dec 2007)

Portfolio Allocations

US
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
International
Asset Class Allocation
Global ex-US Stock Market 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US$10,000$19,086 13.80% 9.11%31.35%5.49%-5.06% 1.142.151.00
International$10,000$28,672 23.45% 11.40%40.34%15.52%-7.90% 1.663.600.83
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
US-3.31%5.49%8.90%13.80%13.80%
International-1.24%15.52%19.13%23.45%23.45%
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 Stock MarketGlobal ex-US Stock Market
USInternationalUSInternational
20031.88%31.35%40.34%$13,135$14,03431.35%40.34%
20043.26%12.52%20.84%$14,779$16,95812.52%20.84%
20053.42%5.98%15.57%$15,663$19,5995.98%15.57%
20062.54%15.51%26.64%$18,093$24,81915.51%26.64%
20074.08%5.49%15.52%$19,086$28,6725.49%15.52%
Portfolio return and risk metrics
MetricUSInternational
Arithmetic Mean (monthly)1.12%1.82%
Arithmetic Mean (annualized)14.26%24.22%
Geometric Mean (monthly)1.08%1.77%
Geometric Mean (annualized)13.80%23.45%
Volatility (monthly)2.63%3.29%
Volatility (annualized)9.11%11.40%
Downside Deviation (monthly)1.28%1.41%
Max. Drawdown-5.06%-7.90%
US Market Correlation1.000.83
Beta(*)1.001.03
Alpha (annualized)-0.00%8.04%
R2100.00%68.06%
Sharpe Ratio1.141.66
Sortino Ratio2.153.60
Treynor Ratio (%)10.4718.35
Calmar Ratio1.762.83
Active Return0.00%9.65%
Tracking Error0.00%6.45%
Information RatioN/A1.50
Skewness0.07-0.03
Excess Kurtosis-0.05-0.47
Historical Value-at-Risk (5%)-3.40%-3.74%
Analytical Value-at-Risk (5%)-3.21%-3.59%
Conditional Value-at-Risk (5%)-3.90%-4.26%
Upside Capture Ratio (%)100.00135.38
Downside Capture Ratio (%)100.0074.79
Safe Withdrawal Rate29.35%36.29%
Perpetual Withdrawal Rate9.46%16.54%
Positive Periods41 out of 60 (68.33%)44 out of 60 (73.33%)
Gain/Loss Ratio1.231.39
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for US

Drawdowns for US
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Dec 20072 months-5.06%
2Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
3Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
4Jan 2003Feb 20032 monthsApr 20032 months4 months-4.19%
5Jul 2004Jul 20041 monthNov 20044 months5 months-3.80%
6May 2006May 20061 monthSep 20064 months5 months-3.23%
7Mar 2004Apr 20042 monthsJun 20042 months4 months-3.15%
8Aug 2005Oct 20053 monthsNov 20051 month4 months-1.96%
9Feb 2007Feb 20071 monthApr 20072 months3 months-1.61%
10Sep 2003Sep 20031 monthOct 20031 month2 months-1.15%

Drawdowns for International

Drawdowns for International
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2003Mar 20033 monthsApr 20031 month4 months-7.90%
2Nov 2007Dec 20072 months-6.75%
3Mar 2005Apr 20052 monthsAug 20054 months6 months-4.93%
4May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
5Apr 2004Jul 20044 monthsOct 20043 months7 months-3.68%
6Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
7Jul 2007Aug 20072 monthsSep 20071 month3 months-1.77%
8Jan 2005Jan 20051 monthFeb 20051 month2 months-1.67%
9Feb 2006Feb 20061 monthMar 20061 month2 months-0.72%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market13.80%9.11%31.35%5.49%-5.06%1.142.151.00
Global ex-US Stock Market23.45%11.40%40.34%15.52%-7.90%1.663.600.83

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketUSInternational
US Stock Market1.000.831.000.83
Global ex-US Stock Market0.831.000.831.00

Portfolio Return Decomposition

Portfolio return decomposition
NameUSInternational
US Stock Market$9,086
Global ex-US Stock Market$18,672

Portfolio Risk Decomposition

Portfolio risk decomposition
NameUSInternational
US Stock Market100.00%
Global ex-US Stock Market100.00%

Annual Asset Returns