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 2004 - Dec 2020)

Portfolio Allocations

Asset Class Allocation
US Stock Market 100.00%
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Asset Class Allocation
Global ex-US Stock Market 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US$10,000$49,589 9.88% 14.99%33.35%-37.04%-50.89% 0.620.911.00
International$10,000$28,409 6.33% 17.45%36.73%-44.10%-58.50% 0.370.530.88

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Trailing annualized return and volatility are for full months ending in December 2020 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
YearInflationUSInternationalUS Stock MarketGlobal ex-US Stock Market
Portfolio return and risk metrics
Arithmetic Mean (monthly)0.88%0.64%
Arithmetic Mean (annualized)11.12%7.99%
Geometric Mean (monthly)0.79%0.51%
Geometric Mean (annualized)9.88%6.33%
Volatility (monthly)4.33%5.04%
Volatility (annualized)14.99%17.45%
Downside Deviation (monthly)2.91%3.50%
Max. Drawdown-50.89%-58.50%
US Market Correlation1.000.88
Alpha (annualized)-0.00%-3.18%
Sharpe Ratio0.620.37
Sortino Ratio0.910.53
Treynor Ratio (%)9.346.28
Calmar Ratio0.690.19
Active Return0.00%-3.54%
Tracking Error0.00%8.18%
Information RatioN/A-0.43
Excess Kurtosis2.182.41
Historical Value-at-Risk (5%)-7.70%-8.44%
Analytical Value-at-Risk (5%)-6.24%-7.64%
Conditional Value-at-Risk (5%)-9.88%-12.09%
Upside Capture Ratio (%)100.0093.45
Downside Capture Ratio (%)100.00110.74
Safe Withdrawal Rate8.53%8.57%
Perpetual Withdrawal Rate7.12%4.03%
Positive Periods138 out of 204 (67.65%)123 out of 204 (60.29%)
Gain/Loss Ratio0.810.93
* 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 PeriodStartEndUSInternational
Subprime CrisisNov 2007Mar 2009-50.89%-58.50%

Drawdowns for US

Drawdowns for US (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-5.65%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
10Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
Worst 10 drawdowns included above

Drawdowns for International

Drawdowns for International
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20178 years 3 months9 years 7 months-58.50%
2Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-25.55%
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 Market9.88%14.99%33.35%-37.04%-50.89%0.620.911.00
Global ex-US Stock Market6.33%17.45%36.73%-44.10%-58.50%0.370.530.88

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketUSInternational
US Stock Market1.000.881.000.88
Global ex-US Stock Market0.881.000.881.00

Portfolio Return Decomposition

Portfolio return decomposition
US Stock Market$39,589
Global ex-US Stock Market$18,409

Portfolio Risk Decomposition

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

Annual Asset Returns

Rolling returns summary
Roll PeriodUSInternational
1 year10.22%56.25%-43.18%7.13%63.40%-51.50%
3 years9.18%26.60%-15.24%4.89%26.63%-15.02%
5 years8.86%23.85%-6.23%3.69%17.34%-5.94%
7 years9.88%17.28%2.85%4.20%9.37%-1.24%
10 years9.86%16.73%6.40%4.20%9.74%0.88%
15 years8.88%9.97%7.49%4.91%5.87%3.19%