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
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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 2014 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Long Term Treasury 40.00%
Save asset allocation »
Portfolio 2
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 BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,957 11.15% 8.34%24.04%-3.92%-8.37% 1.212.180.85
Portfolio 2$10,000$18,562 9.24% 8.80%21.83%-3.20%-11.94% 0.961.550.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 17.14%19.84%12.62%12.35%11.15%10.54%8.76%
Portfolio 29.00%15.57%10.87%11.02%9.24%11.75%9.54%
Trailing annualized return and volatility are for full months ending in December 2020 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 2US Stock MarketLong Term TreasuryTotal US Bond Market
ReturnBalanceReturnBalance
20140.76%17.57%$11,7579.76%$10,97612.43%25.27%5.76%
20150.73%-0.44%$11,7050.29%$11,0080.29%-1.54%0.30%
20162.07%8.00%$12,6428.52%$11,94612.53%1.21%2.50%
20172.11%16.07%$14,67314.01%$13,62021.05%8.59%3.45%
20181.91%-3.92%$14,099-3.20%$13,184-5.26%-1.90%-0.13%
20192.29%24.04%$17,48821.83%$16,06230.65%14.13%8.61%
20201.36%19.84%$20,95715.57%$18,56220.87%18.29%7.61%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.91%0.77%
Arithmetic Mean (annualized)11.52%9.65%
Geometric Mean (monthly)0.88%0.74%
Geometric Mean (annualized)11.15%9.24%
Volatility (monthly)2.41%2.54%
Volatility (annualized)8.34%8.80%
Downside Deviation (monthly)1.31%1.53%
Max. Drawdown-8.37%-11.94%
US Market Correlation0.850.99
Beta(*)0.480.59
Alpha (annualized)4.68%1.55%
R272.80%98.11%
Sharpe Ratio1.210.96
Sortino Ratio2.181.55
Treynor Ratio (%)21.0514.28
Calmar Ratio1.510.91
Active Return-1.47%-3.38%
Tracking Error8.79%6.15%
Information Ratio-0.17-0.55
Skewness-0.10-0.34
Excess Kurtosis1.012.06
Historical Value-at-Risk (5%)-3.35%-3.74%
Analytical Value-at-Risk (5%)-3.04%-3.41%
Conditional Value-at-Risk (5%)-4.37%-5.20%
Upside Capture Ratio (%)57.3060.93
Downside Capture Ratio (%)36.4356.21
Safe Withdrawal Rate19.26%17.89%
Perpetual Withdrawal Rate8.59%6.99%
Positive Periods57 out of 84 (67.86%)61 out of 84 (72.62%)
Gain/Loss Ratio1.260.85
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-8.37%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-6.87%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-5.97%
4Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.34%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.29%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-4.13%
7Sep 2014Sep 20141 monthOct 20141 month2 months-2.07%
8May 2019May 20191 monthJun 20191 month2 months-1.65%
9Jul 2014Jul 20141 monthAug 20141 month2 months-0.92%
10Mar 2017Mar 20171 monthApr 20171 month2 months-0.19%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-11.94%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
3Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-3.63%
6May 2019May 20191 monthJun 20191 month2 months-3.41%
7Oct 2016Oct 20161 monthDec 20162 months3 months-1.66%
8Sep 2014Sep 20141 monthOct 20141 month2 months-1.59%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.30%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market12.62%14.76%30.65%-5.26%-20.89%0.831.311.00
Long Term Treasury8.72%11.38%25.27%-1.90%-14.78%0.721.34-0.30
Total US Bond Market3.97%3.16%8.61%-0.13%-3.67%1.001.87-0.01

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryTotal US Bond MarketPortfolio 1Portfolio 2
US Stock Market1.00-0.30-0.010.850.99
Long Term Treasury-0.301.000.890.23-0.18
Total US Bond Market-0.010.891.000.450.12

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$7,563$7,108
Long Term Treasury$3,394
Total US Bond Market$1,454

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market87.79%98.34%
Long Term Treasury12.21%
Total US Bond Market1.66%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.88%24.04%-3.92%7.95%21.83%-4.39%
3 years8.99%12.67%6.08%8.09%10.87%4.76%
5 years8.99%12.35%6.78%7.71%11.02%5.02%