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 4
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Asset 5
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Asset 6
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Asset 7
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Portfolio Analysis Results (Jan 2003 - Dec 2008)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$65,118 100.58% 3.11%-7.15%13.53%31.35%-37.04%-41.32%
(-29.92%)
0.100.121.00
Portfolio 2$1,000$75,579 105.62% 3.90%-2.00%8.37%19.91%-22.09%-25.62%
(-15.72%)
0.180.230.98
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 1-22.73%-37.04%-8.45%-1.76%3.11%15.95%13.55%
Portfolio 2-12.41%-22.09%-2.81%0.97%3.90%9.95%8.41%
Trailing annualized return and volatility are for full months ending in December 2008 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
  • 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
  • Inflation adjusted monthly contribution of $1,000 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
YearInflationCashflowPortfolio 1Portfolio 2US Stock MarketTotal US Bond Market
ReturnBalanceReturnBalance
20031.88%$12,20331.35%$15,69919.91%$14,75631.35%3.97%
20043.26%$12,53012.52%$31,3029.23%$29,42212.52%4.24%
20053.42%$12,9555.98%$46,7754.64%$44,1865.98%2.40%
20062.54%$13,37315.51%$68,49710.94%$63,21115.51%4.27%
20074.08%$13,7545.49%$86,0136.21%$81,1215.49%6.92%
20080.09%$14,282-37.04%$65,118-22.09%$75,579-37.04%5.05%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.33%0.35%
Arithmetic Mean (annualized)4.09%4.27%
Geometric Mean (monthly)0.26%0.32%
Geometric Mean (annualized)3.11%3.90%
Volatility (monthly)3.91%2.42%
Volatility (annualized)13.53%8.37%
Downside Deviation (monthly)3.06%1.85%
Max. Drawdown-41.32%-25.62%
US Market Correlation1.000.98
Beta(*)1.000.61
Alpha (annualized)-0.00%1.76%
R2100.00%96.18%
Sharpe Ratio0.100.18
Sortino Ratio0.120.23
Treynor Ratio (%)1.322.47
Calmar Ratio-0.20-0.11
Active Return0.00%0.79%
Tracking Error0.00%5.57%
Information RatioN/A0.14
Skewness-1.70-1.98
Excess Kurtosis5.717.89
Historical Value-at-Risk (5%)-6.90%-3.09%
Analytical Value-at-Risk (5%)-6.09%-3.62%
Conditional Value-at-Risk (5%)-10.75%-6.45%
Upside Capture Ratio (%)100.0062.98
Downside Capture Ratio (%)100.0055.55
Safe Withdrawal Rate22.86%20.74%
Perpetual Withdrawal Rate0.56%1.32%
Positive Periods45 out of 72 (62.50%)48 out of 72 (66.67%)
Gain/Loss Ratio0.730.75
* 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
1Nov 2007Nov 20081 year 1 month-41.32%
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 Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Nov 20081 year 1 month-25.62%
2Jun 2007Jul 20072 monthsSep 20072 months4 months-2.85%
3Mar 2004Apr 20042 monthsOct 20046 months8 months-2.63%
4Jan 2005Apr 20054 monthsMay 20051 month5 months-2.44%
5May 2006May 20061 monthAug 20063 months4 months-1.98%
6Jan 2003Feb 20032 monthsApr 20032 months4 months-1.96%
7Oct 2005Oct 20051 monthNov 20051 month2 months-1.44%
8Feb 2007Feb 20071 monthMar 20071 month2 months-0.37%
9Aug 2005Aug 20051 monthSep 20051 month2 months-0.02%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market3.11%13.53%31.35%-37.04%-41.32%0.100.121.00
Total US Bond Market4.47%4.09%6.92%2.40%-3.99%0.430.660.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1Portfolio 2
US Stock Market1.000.051.000.98
Total US Bond Market0.051.000.050.25

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market-$14,978-$9,674
Total US Bond Market$5,157

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%95.18%
Total US Bond Market4.82%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.83%42.16%-38.56%6.82%25.95%-24.16%
3 years9.72%19.44%-8.97%7.42%12.66%-3.44%
5 years7.82%13.80%-1.76%6.50%10.06%0.97%