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 2010 - Jun 2021)

Portfolio Allocations

Portfolio 1
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$610,000$733,320 1.61% 10.40%10.11%8.48%21.83%-3.20%-11.94%
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.89%8.42%24.73%13.42%11.87%10.19%10.40%11.57%9.36%
Trailing annualized return and volatility are for full months ending in June 2021 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.
  • The annual results for 2021 are based on monthly returns from January to June
  • 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 annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $52,100 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
YearInflationPortfolio 1US Stock MarketTotal US Bond Market
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.86%
Arithmetic Mean (annualized)10.79%
Geometric Mean (monthly)0.83%
Geometric Mean (annualized)10.40%
Volatility (monthly)2.45%
Volatility (annualized)8.48%
Downside Deviation (monthly)1.43%
Max. Drawdown-11.94%
US Market Correlation0.99
Alpha (annualized)1.65%
Sharpe Ratio1.15
Sortino Ratio1.94
Treynor Ratio (%)16.77
Calmar Ratio1.12
Active Return-4.32%
Tracking Error6.13%
Information Ratio-0.70
Excess Kurtosis1.47
Historical Value-at-Risk (5%)-3.57%
Analytical Value-at-Risk (5%)-3.17%
Conditional Value-at-Risk (5%)-4.96%
Upside Capture Ratio (%)60.14
Downside Capture Ratio (%)55.59
Safe Withdrawal Rate13.89%
Perpetual Withdrawal Rate7.93%
Positive Periods100 out of 138 (72.46%)
Gain/Loss Ratio0.94
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-11.94%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
4May 2010Jun 20102 monthsOct 20104 months6 months-7.12%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-3.63%
8May 2012May 20121 monthAug 20123 months4 months-3.53%
9May 2019May 20191 monthJun 20191 month2 months-3.41%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.06%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market14.72%14.41%33.35%-5.26%-20.89%0.991.621.00
Total US Bond Market3.60%3.09%8.61%-2.26%-3.94%0.991.78-0.13

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1
US Stock Market1.00-0.130.99
Total US Bond Market-

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$654,355
Total US Bond Market$104,801

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market99.93%
Total US Bond Market0.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year10.24%33.30%-4.39%
3 years9.40%14.54%4.76%
5 years9.05%11.87%5.02%
7 years9.16%10.76%6.88%
10 years9.52%10.36%7.80%