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.

$ .00
$ .00
%
%
%
Asset Allocation 
Asset Class
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 2013 - Dec 2014)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Intermediate Term Treasury 100.00%
Save portfolio »
Portfolio 2
Asset Class Allocation
10-year Treasury 100.00%
Save portfolio »
Portfolio 3
Asset Class Allocation
Long Term Treasury 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,110 0.55% 3.35%4.32%-3.09%-4.30% 0.170.240.18
Portfolio 2$10,000$10,115 0.58% 6.24%10.63%-8.57%-9.79% 0.120.160.02
Portfolio 3$10,000$10,896 4.38% 9.92%25.27%-13.03%-14.54% 0.480.74-0.14
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 11.62%4.32%0.55%
Portfolio 23.74%10.63%0.58%
Portfolio 38.52%25.27%4.38%
Trailing annualized returns are for full months ending in December 2014 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
YearInflationPortfolio 1Portfolio 2Portfolio 3Intermediate Term Treasury10-year TreasuryLong Term Treasury
ReturnBalanceReturnBalanceReturnBalance
20131.50%-3.09%$9,691-8.57%$9,143-13.03%$8,697-3.09%-8.57%-13.03%
20140.76%4.32%$10,11010.63%$10,11525.27%$10,8964.32%10.63%25.27%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.05%0.06%0.40%
Arithmetic Mean (annualized)0.60%0.76%4.87%
Geometric Mean (monthly)0.05%0.05%0.36%
Geometric Mean (annualized)0.55%0.58%4.38%
Volatility (monthly)0.97%1.80%2.86%
Volatility (annualized)3.35%6.24%9.92%
Downside Deviation (monthly)0.67%1.29%1.84%
Max. Drawdown-4.30%-9.79%-14.54%
US Market Correlation0.180.02-0.14
Beta(*)0.070.02-0.16
Alpha (annualized)-0.85%0.43%8.04%
R23.42%0.05%2.00%
Sharpe Ratio0.170.120.48
Sortino Ratio0.240.160.74
Treynor Ratio (%)8.0044.51-30.01
Active Return-21.90%-21.87%-18.06%
Tracking Error8.92%10.76%14.24%
Information Ratio-2.46-2.03-1.27
Skewness-0.32-0.39-0.22
Excess Kurtosis-0.64-0.160.06
Historical Value-at-Risk (5%)-1.60%-2.88%-3.27%
Analytical Value-at-Risk (5%)-1.54%-2.90%-4.31%
Conditional Value-at-Risk (5%)-1.73%-3.48%-4.75%
Upside Capture Ratio (%)5.955.739.82
Downside Capture Ratio (%)21.5019.87-25.60
Safe Withdrawal Rate48.57%47.15%47.49%
Perpetual Withdrawal Rate0.00%0.00%3.12%
Positive Periods13 out of 24 (54.17%)13 out of 24 (54.17%)15 out of 24 (62.50%)
Gain/Loss Ratio0.960.920.85
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
2Jan 2013Jan 20131 monthMar 20132 months3 months-0.74%
3Dec 2014Dec 20141 month-0.35%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Dec 20138 months-9.79%
2Jan 2013Jan 20131 monthApr 20133 months4 months-2.02%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Dec 20138 monthsAug 20148 months1 year 4 months-14.54%
2Jan 2013Jan 20131 monthApr 20133 months4 months-3.27%
3Sep 2014Sep 20141 monthOct 20141 month2 months-1.99%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Intermediate Term Treasury0.55%3.35%4.32%-3.09%-4.30%0.170.240.18
10-year Treasury0.58%6.24%10.63%-8.57%-9.79%0.120.160.02
Long Term Treasury4.38%9.92%25.27%-13.03%-14.54%0.480.74-0.14

Monthly Correlations

Correlations for the portfolio assets
NameIntermediate Term Treasury10-year TreasuryLong Term TreasuryPortfolio 1Portfolio 2Portfolio 3
Intermediate Term Treasury1.000.950.831.000.950.83
10-year Treasury0.951.000.950.951.000.95
Long Term Treasury0.830.951.000.830.951.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
Intermediate Term Treasury$110
10-year Treasury$115
Long Term Treasury$896

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
Intermediate Term Treasury100.00%
10-year Treasury100.00%
Long Term Treasury100.00%

Annual Asset Returns