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 3
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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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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2011 - May 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
US Small Cap Value 60.00%
TIPS 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$40,410 14.35% 13.94%33.35%-5.26%-20.89% 0.991.611.00
Portfolio 2$10,000$24,127 8.82% 10.74%18.28%-8.00%-20.23% 0.791.180.93
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 19.24%12.35%43.84%17.91%17.24%14.08%14.35%19.40%15.64%
Portfolio 28.30%14.89%40.49%9.52%9.64%8.56%8.82%15.35%12.41%
Trailing annualized return and volatility are for full months ending in May 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 May
  • 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
YearInflationPortfolio 1Portfolio 2US Stock MarketUS Small Cap ValueTIPS
ReturnBalanceReturnBalance
20112.96%0.96%$10,0962.80%$10,2800.96%-4.16%13.23%
20121.74%16.25%$11,73713.85%$11,70316.25%18.56%6.77%
20131.50%33.35%$15,65118.28%$13,84233.35%36.41%-8.92%
20140.76%12.43%$17,5977.76%$14,91712.43%10.39%3.83%
20150.73%0.29%$17,648-3.59%$14,3810.29%-4.77%-1.83%
20162.07%12.53%$19,86016.60%$16,76812.53%24.65%4.52%
20172.11%21.05%$24,0418.13%$18,13121.05%11.67%2.81%
20181.91%-5.26%$22,777-8.00%$16,680-5.26%-12.34%-1.49%
20192.29%30.65%$29,75816.79%$19,48130.65%22.61%8.06%
20201.36%20.87%$35,9697.79%$20,99920.87%5.72%10.90%
20213.35%12.35%$40,41014.89%$24,12712.35%24.23%0.90%
Annual return for 2021 is from 01/01/2021 to 05/31/2021
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.20%0.76%
Arithmetic Mean (annualized)15.44%9.45%
Geometric Mean (monthly)1.12%0.71%
Geometric Mean (annualized)14.35%8.82%
Volatility (monthly)4.02%3.10%
Volatility (annualized)13.94%10.74%
Downside Deviation (monthly)2.45%2.05%
Max. Drawdown-20.89%-20.23%
US Market Correlation1.000.93
Beta(*)1.000.72
Alpha (annualized)0.00%-1.30%
R2100.00%86.62%
Sharpe Ratio0.990.79
Sortino Ratio1.611.18
Treynor Ratio (%)13.8811.84
Calmar Ratio0.860.47
Active Return0.00%-5.52%
Tracking Error0.00%5.56%
Information RatioN/A-0.99
Skewness-0.39-0.87
Excess Kurtosis2.064.75
Historical Value-at-Risk (5%)-6.19%-4.39%
Analytical Value-at-Risk (5%)-5.41%-4.35%
Conditional Value-at-Risk (5%)-8.44%-6.80%
Upside Capture Ratio (%)100.0063.56
Downside Capture Ratio (%)100.0071.44
Safe Withdrawal Rate16.49%13.76%
Perpetual Withdrawal Rate11.23%6.53%
Positive Periods89 out of 125 (71.20%)89 out of 125 (71.20%)
Gain/Loss Ratio0.900.79
* 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
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
2May 2011Sep 20115 monthsFeb 20125 months10 months-17.74%
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%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-20.23%
2May 2011Sep 20115 monthsJan 20124 months9 months-12.39%
3Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-12.28%
4Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-9.07%
5Sep 2014Sep 20141 monthDec 20143 months4 months-4.40%
6Aug 2013Aug 20131 monthSep 20131 month2 months-3.37%
7Feb 2018Feb 20181 monthMay 20183 months4 months-3.26%
8May 2012May 20121 monthAug 20123 months4 months-3.20%
9Jul 2014Jul 20141 monthAug 20141 month2 months-2.85%
10Jun 2013Jun 20131 monthJul 20131 month2 months-2.13%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market14.35%13.94%33.35%-5.26%-20.89%0.991.611.00
US Small Cap Value11.82%18.08%36.41%-12.34%-35.29%0.681.000.93
TIPS3.54%4.31%13.23%-8.92%-9.43%0.701.110.13

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValueTIPSPortfolio 1Portfolio 2
US Stock Market1.000.930.131.000.93
US Small Cap Value0.931.000.070.930.99
TIPS0.130.071.000.130.21

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$30,410
US Small Cap Value$11,831
TIPS$2,296

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
US Small Cap Value96.65%
TIPS3.35%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year14.15%62.57%-9.34%7.89%47.98%-14.75%
3 years13.06%22.91%3.88%7.16%14.82%-3.05%
5 years12.46%17.56%5.62%6.98%11.15%0.31%
7 years12.88%16.71%8.82%7.06%10.35%3.02%
10 years13.67%14.08%13.33%8.07%8.56%7.70%