Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

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.

Portfolio Model Configuration

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Asset Class

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Asset 2

Asset 3

Asset 4

Asset 5

Asset 6

Asset 7

Asset 8

Asset 9

Asset 10

Total

Portfolio Analysis Results (Jan 2005 - Dec 2022)

US Large Cap Value

Asset Class	Allocation
US Large Cap Value	100.00%
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US Stock Market

Asset Class	Allocation
US Stock Market	100.00%
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Performance Summary

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
US Large Cap Value	$10,000	$40,489	8.08%	15.26%	32.87%	-35.97%	-54.85%	0.51	0.73	0.96
US Stock Market	$10,000	$44,500	8.65%	15.71%	33.35%	-37.04%	-50.89%	0.53	0.77	1.00

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
US Large Cap Value	14.62%	-2.18%	-2.18%	8.08%	8.43%	11.77%	8.08%	20.47%	18.09%
US Stock Market	7.12%	-19.60%	-19.60%	6.87%	8.60%	11.96%	8.65%	21.80%	19.22%
Trailing return and volatility are as of last full calendar month ending December 2022

Notes and Disclosures

IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
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. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
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.
Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
The results assume annual rebalancing of portfolio assets to match the specified allocation.

Annual Returns

Annual returns for the configured portfolios
Year	Inflation	US Large Cap Value		US Stock Market		US Large Cap Value	US Stock Market
Year	Inflation	Return	Balance	Return	Balance	US Large Cap Value	US Stock Market
2005	3.42%	7.10%	$10,710	5.98%	$10,598	7.10%	5.98%
2006	2.54%	22.13%	$13,081	15.51%	$12,242	22.13%	15.51%
2007	4.08%	0.08%	$13,092	5.49%	$12,914	0.08%	5.49%
2008	0.09%	-35.97%	$8,383	-37.04%	$8,131	-35.97%	-37.04%
2009	2.72%	19.58%	$10,025	28.70%	$10,464	19.58%	28.70%
2010	1.50%	14.27%	$11,456	17.09%	$12,253	14.27%	17.09%
2011	2.96%	1.00%	$11,570	0.96%	$12,371	1.00%	0.96%
2012	1.74%	15.00%	$13,306	16.25%	$14,382	15.00%	16.25%
2013	1.50%	32.87%	$17,680	33.35%	$19,178	32.87%	33.35%
2014	0.76%	13.07%	$19,990	12.43%	$21,561	13.07%	12.43%
2015	0.73%	-1.04%	$19,783	0.29%	$21,624	-1.04%	0.29%
2016	2.07%	16.75%	$23,097	12.53%	$24,335	16.75%	12.53%
2017	2.11%	16.99%	$27,020	21.05%	$29,457	16.99%	21.05%
2018	1.91%	-5.55%	$25,521	-5.26%	$27,909	-5.55%	-5.26%
2019	2.29%	25.67%	$32,072	30.65%	$36,463	25.67%	30.65%
2020	1.36%	2.18%	$32,771	20.87%	$44,073	2.18%	20.87%
2021	7.04%	26.31%	$41,393	25.59%	$55,350	26.31%	25.59%
2022	6.45%	-2.18%	$40,489	-19.60%	$44,500	-2.18%	-19.60%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	US Large Cap Value	US Stock Market
Arithmetic Mean (monthly)	0.75%	0.80%
Arithmetic Mean (annualized)	9.35%	10.00%
Geometric Mean (monthly)	0.65%	0.69%
Geometric Mean (annualized)	8.08%	8.65%
Standard Deviation (monthly)	4.41%	4.53%
Standard Deviation (annualized)	15.26%	15.71%
Downside Deviation (monthly)	3.02%	3.09%
Maximum Drawdown	-54.85%	-50.89%
Stock Market Correlation	0.96	1.00
Beta^(*)	0.93	1.00
Alpha (annualized)	0.06%	0.00%
R²	91.85%	100.00%
Sharpe Ratio	0.51	0.53
Sortino Ratio	0.73	0.77
Treynor Ratio (%)	8.33	8.35
Calmar Ratio	0.32	0.28
Active Return	-0.57%	0.00%
Tracking Error	4.49%	0.00%
Information Ratio	-0.13	N/A
Skewness	-0.67	-0.61
Excess Kurtosis	1.85	1.48
Historical Value-at-Risk (5%)	6.98%	8.05%
Analytical Value-at-Risk (5%)	6.50%	6.66%
Conditional Value-at-Risk (5%)	10.49%	10.16%
Upside Capture Ratio (%)	92.49	100.00
Downside Capture Ratio (%)	93.86	100.00
Safe Withdrawal Rate	7.65%	8.07%
Perpetual Withdrawal Rate	5.16%	5.66%
Positive Periods	137 out of 216 (63.43%)	142 out of 216 (65.74%)
Gain/Loss Ratio	0.90	0.81
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	US Large Cap Value	US Stock Market
Subprime Crisis	Nov 2007	Mar 2009	-53.96%	-50.89%
COVID-19 Start	Jan 2020	Mar 2020	-25.00%	-20.89%

Drawdowns for US Large Cap Value

Drawdowns for US Large Cap Value (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2007	Feb 2009	1 year 9 months	Feb 2013	4 years	5 years 9 months	-54.85%
2	Jan 2020	Mar 2020	3 months	Dec 2020	9 months	1 year	-25.00%
3	Apr 2022	Sep 2022	6 months	Nov 2022	2 months	8 months	-15.48%
4	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-10.95%
5	Jun 2015	Sep 2015	4 months	Apr 2016	7 months	11 months	-9.30%
6	Feb 2018	Mar 2018	2 months	Aug 2018	5 months	7 months	-6.78%
7	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.33%
8	Jan 2015	Jan 2015	1 month	Feb 2015	1 month	2 months	-4.04%
9	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-3.99%
10	Aug 2013	Aug 2013	1 month	Oct 2013	2 months	3 months	-3.60%
Worst 10 drawdowns included above

Drawdowns for US Stock Market

Drawdowns for US Stock Market (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Mar 2012	3 years 1 month	4 years 5 months	-50.89%
2	Jan 2022	Sep 2022	9 months				-24.94%
3	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-20.89%
4	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-14.28%
5	Jun 2015	Sep 2015	4 months	May 2016	8 months	1 year	-8.88%
6	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-6.85%
7	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.45%
8	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-5.65%
9	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-5.64%
10	Jun 2007	Jul 2007	2 months	Oct 2007	3 months	5 months	-5.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
US Large Cap Value	8.08%	15.26%	32.87%	-35.97%	-54.85%	0.51	0.73	0.96
US Stock Market	8.65%	15.71%	33.35%	-37.04%	-50.89%	0.53	0.77	1.00

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year
US Large Cap Value	14.62%	-2.18%	-2.18%	8.08%	8.43%	11.77%
US Stock Market	7.12%	-19.60%	-19.60%	6.87%	8.60%	11.96%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap Value	US Stock Market	US Large Cap Value	US Stock Market
US Large Cap Value	1.00	0.96	1.00	0.96
US Stock Market	0.96	1.00	0.96	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Name	US Large Cap Value	US Stock Market
US Large Cap Value	$30,489
US Stock Market		$34,500
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	US Large Cap Value	US Stock Market
US Large Cap Value	100.00%
US Stock Market		100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll Period	US Large Cap Value			US Stock Market
Roll Period	Average	High	Low	Average	High	Low
1 year	9.72%	55.81%	-46.19%	10.91%	62.57%	-43.18%
3 years	7.89%	24.56%	-16.69%	9.80%	26.60%	-15.24%
5 years	8.83%	22.46%	-3.51%	10.52%	23.85%	-0.71%
7 years	9.37%	16.61%	2.11%	10.86%	17.28%	3.09%
10 years	9.61%	15.88%	5.29%	11.08%	16.73%	6.40%
15 years	7.53%	8.56%	6.06%	9.45%	10.94%	7.49%

Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

Portfolio Model Configuration

Portfolio Analysis Results (Jan 2005 - Dec 2022)

US Large Cap Value

US Stock Market

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Annual Returns

Risk and Return Metrics

Drawdowns

Historical Market Stress Periods

Drawdowns for US Large Cap Value

Drawdowns for US Stock Market

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns

Rolling Returns

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years