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 2
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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 - Aug 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
10-year Treasury 67.00%
US Small Cap Value 33.00%
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Portfolio 2
Asset Class Allocation
10-year Treasury 50.00%
US Stock Market 50.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,925 6.68% 4.99%12.84%-3.41%-5.61% 1.212.050.70
Portfolio 2$10,000$26,390 9.52% 6.11%19.34%-2.13%-6.78% 1.432.610.90
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 11.37%6.50%12.88%7.44%5.83%6.54%6.68%6.27%5.31%
Portfolio 25.13%9.31%14.51%12.18%10.35%9.67%9.52%8.47%6.99%
Trailing annualized return and volatility are for full months ending in August 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 August
  • 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 210-year TreasuryUS Small Cap ValueUS Stock Market
ReturnBalanceReturnBalance
20112.96%9.51%$10,9518.60%$10,86016.24%-4.16%0.96%
20121.74%7.96%$11,8229.49%$11,8912.73%18.56%16.25%
20131.50%6.27%$12,56412.39%$13,365-8.57%36.41%33.35%
20140.76%10.55%$13,89011.53%$14,90610.63%10.39%12.43%
20150.73%-0.82%$13,7760.71%$15,0111.12%-4.77%0.29%
20162.07%8.81%$14,9896.77%$16,0271.00%24.65%12.53%
20172.11%5.46%$15,80711.72%$17,9062.39%11.67%21.05%
20181.91%-3.41%$15,268-2.13%$17,5240.99%-12.34%-5.26%
20192.29%12.84%$17,22819.34%$20,9138.03%22.61%30.65%
20201.36%8.59%$18,70915.44%$24,14210.01%5.72%20.87%
20215.03%6.50%$19,9259.31%$26,390-1.87%23.50%20.50%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.55%0.78%
Arithmetic Mean (annualized)6.81%9.72%
Geometric Mean (monthly)0.54%0.76%
Geometric Mean (annualized)6.68%9.52%
Volatility (monthly)1.44%1.77%
Volatility (annualized)4.99%6.11%
Downside Deviation (monthly)0.83%0.94%
Max. Drawdown-5.61%-6.78%
US Market Correlation0.700.90
Beta(*)0.250.40
Alpha (annualized)2.89%3.42%
R248.35%80.92%
Sharpe Ratio1.211.43
Sortino Ratio2.052.61
Treynor Ratio (%)24.0521.96
Calmar Ratio1.331.80
Active Return-8.06%-5.21%
Tracking Error10.92%8.71%
Information Ratio-0.74-0.60
Skewness-0.36-0.19
Excess Kurtosis1.470.97
Historical Value-at-Risk (5%)-1.98%-2.13%
Analytical Value-at-Risk (5%)-1.82%-2.13%
Conditional Value-at-Risk (5%)-2.80%-3.14%
Upside Capture Ratio (%)29.7947.04
Downside Capture Ratio (%)16.6333.09
Safe Withdrawal Rate12.92%14.11%
Perpetual Withdrawal Rate4.57%7.21%
Positive Periods95 out of 128 (74.22%)96 out of 128 (75.00%)
Gain/Loss Ratio0.931.01
* 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 PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-5.61%-6.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-5.61%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.96%
3May 2013Aug 20134 monthsOct 20132 months6 months-4.05%
4Apr 2015Dec 20159 monthsMar 20163 months1 year-3.55%
5Jan 2018Feb 20182 monthsJul 20185 months7 months-3.01%
6Sep 2014Sep 20141 monthNov 20142 months3 months-2.74%
7Aug 2016Oct 20163 monthsFeb 20174 months7 months-2.18%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.73%
9Jun 2011Jun 20111 monthAug 20112 months3 months-1.27%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-1.01%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-6.78%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.25%
3Jun 2015Sep 20154 monthsMar 20166 months10 months-3.87%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-3.34%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-3.25%
6Jun 2011Sep 20114 monthsOct 20111 month5 months-3.01%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.70%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.18%
9May 2019May 20191 monthJun 20191 month2 months-2.05%
10Aug 2016Oct 20163 monthsJan 20173 months6 months-2.04%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
10-year Treasury3.79%5.92%16.24%-8.57%-10.21%0.570.99-0.41
US Small Cap Value11.47%17.89%36.41%-12.34%-35.29%0.670.990.93
US Stock Market14.74%13.79%33.35%-5.26%-20.89%1.031.671.00

Monthly Correlations

Correlations for the portfolio assets
Name10-year TreasuryUS Small Cap ValueUS Stock MarketPortfolio 1Portfolio 2
10-year Treasury1.00-0.47-0.410.250.02
US Small Cap Value-0.471.000.930.730.79
US Stock Market-0.410.931.000.700.90

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
10-year Treasury$3,789$3,125
US Small Cap Value$6,136
US Stock Market$13,265

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
10-year Treasury18.66%1.04%
US Small Cap Value81.34%
US Stock Market98.96%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year6.44%15.62%-3.41%9.23%22.17%-2.13%
3 years5.70%9.03%2.69%8.35%12.52%5.02%
5 years5.49%7.59%2.87%7.94%10.35%5.42%
7 years5.56%6.76%4.23%8.15%9.19%6.78%
10 years6.51%6.66%6.45%9.19%9.67%8.89%