Backtest Portfolio Asset Class Allocation

This online portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio based on specific mutual funds, ETFs and stocks.

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Asset Allocation
US Stock Market
%
%
%
US Large Cap
%
%
%
US Large Cap Value
%
%
%
US Large Cap Growth
%
%
%
US Mid Cap
%
%
%
US Mid Cap Value
%
%
%
US Mid Cap Growth
%
%
%
US Small Cap
%
%
%
US Small Cap Value
%
%
%
US Small Cap Growth
%
%
%
US Micro Cap
%
%
%
Global ex-US Stock Market
%
%
%
Intl Developed ex-US Market
%
%
%
International ex-US Small Cap
%
%
%
International ex-US Value
%
%
%
European Stocks
%
%
%
Pacific Stocks
%
%
%
Emerging Markets
%
%
%
Cash
%
%
%
Short Term Treasury
%
%
%
Intermediate Term Treasury
%
%
%
10-year Treasury
%
%
%
Long Term Treasury
%
%
%
Total US Bond Market
%
%
%
TIPS
%
%
%
Global Bonds (Unhedged)
%
%
%
Global Bonds (USD Hedged)
%
%
%
Short-Term Investment Grade
%
%
%
Corporate Bonds
%
%
%
Long-Term Corporate Bonds
%
%
%
High Yield Corporate Bonds
%
%
%
Short-Term Tax-Exempt
%
%
%
Intermediate-Term Tax-Exempt
%
%
%
Long-Term Tax-Exempt
%
%
%
REIT
%
%
%
Gold
%
%
%
Precious Metals
%
%
%
Commodities
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1994 - Dec 2016)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Save asset allocation »
US Stock Market 60.00%
Total US Bond Market 40.00%
Portfolio 2
Asset Class Allocation
Save asset allocation »
US Stock Market 40.00%
Global ex-US Stock Market 20.00%
Total US Bond Market 30.00%
REIT 10.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$58,615 7.99% 9.00%28.74%-20.20%-30.72% 0.630.930.98
2$10,000$54,869 7.68% 10.22%25.37%-25.82%-39.59% 0.540.770.96
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationUS Stock MarketTotal US Bond MarketGlobal ex-US Stock MarketREITPF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End Balance
19942.67%-0.17%-2.66%9.76%-8.40%-1.16%-3.74%$9,8840.25%-2.36%$10,025
19952.54%35.79%18.18%3.98%12.13%28.74%25.56%$12,72521.78%18.76%$12,208
19963.32%20.96%3.58%4.68%33.84%14.01%10.34%$14,50713.78%10.12%$13,890
19971.70%30.99%9.44%-0.77%18.77%22.37%20.33%$17,75316.95%15.00%$16,245
19981.61%23.26%8.58%15.60%-16.32%17.39%15.53%$20,84113.37%11.57%$18,417
19992.68%23.81%-0.76%29.92%-4.04%13.98%11.00%$23,75514.88%11.87%$21,156
20003.39%-10.57%11.39%-15.61%26.35%-1.79%-5.01%$23,330-1.30%-4.53%$20,881
20011.55%-10.97%8.43%-20.15%12.35%-3.21%-4.69%$22,582-4.65%-6.11%$19,910
20022.38%-20.96%8.26%-15.08%3.75%-9.27%-11.38%$20,488-8.55%-10.67%$18,208
20031.88%31.35%3.97%40.34%35.66%20.40%18.18%$24,66725.37%23.05%$22,827
20043.26%12.52%4.24%20.84%30.76%9.20%5.76%$26,93813.52%9.94%$25,913
20053.42%5.98%2.40%15.57%11.89%4.55%1.09%$28,1637.41%3.87%$27,834
20062.54%15.51%4.27%26.64%35.07%11.01%8.26%$31,26516.32%13.44%$32,377
20074.08%5.49%6.92%15.52%-16.46%6.06%1.90%$33,1605.73%1.58%$34,232
20080.09%-37.04%5.05%-44.10%-37.05%-20.20%-20.27%$26,461-25.82%-25.89%$25,392
20092.72%28.70%5.93%36.73%29.58%19.59%16.42%$31,64523.56%20.29%$31,375
20101.50%17.09%6.42%11.12%28.30%12.82%11.16%$35,70413.82%12.14%$35,710
20112.96%0.96%7.56%-14.56%8.47%3.60%0.62%$36,9890.59%-2.31%$35,919
20121.74%16.25%4.05%18.14%17.53%11.37%9.46%$41,19513.10%11.16%$40,623
20131.50%33.35%-2.26%15.04%2.31%19.10%17.34%$49,06515.90%14.19%$47,083
20140.76%12.43%5.76%-4.24%30.13%9.76%8.94%$53,8548.86%8.05%$51,257
20150.73%0.29%0.30%-4.38%2.22%0.29%-0.43%$54,013-0.45%-1.17%$51,027
20162.07%12.53%2.50%4.65%8.34%8.52%6.31%$58,6157.53%5.34%$54,869
Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.68%0.66%
Mean Return (annualized)8.43%8.25%
Compound Return (monthly)0.64%0.62%
Compound Return (annualized)7.99%7.68%
Volatility (monthly)2.59%2.95%
Volatility (annualized)9.00%10.22%
Downside Deviation (monthly)1.66%1.98%
Max. Drawdown-30.72%-39.59%
Market Correlation0.980.96
Beta(*)0.590.65
Alpha (annualized)2.30%1.53%
R296.92%91.46%
Sharpe Ratio0.630.54
Sortino Ratio0.930.77
Treynor Ratio (%)9.628.47
Diversification Ratio1.161.22
Skewness-0.72-0.90
Excess Kurtosis1.322.80
Historical Value-at-Risk (95%)-4.01%-4.69%
Delta Normal Value-at-Risk (95%)-4.27%-4.85%
Conditional Value-at-Risk (95%)-5.73%-6.97%
Positive Periods182 out of 276 (65.94%)181 out of 276 (65.58%)
Gain/Loss Ratio0.990.93

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-2.69%-3.61%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-10.18%-10.77%
Dotcom CrashMar 2000Oct 2002-21.68%-20.74%
Subprime CrisisNov 2007Mar 2009-30.72%-39.59%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20103 years-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20043 years 5 months-21.68%
3Jul 1998Aug 19982 monthsNov 19985 months-10.18%
4May 2011Sep 20115 monthsJan 20129 months-9.08%
5Feb 1994Jun 19945 monthsFeb 19951 year 1 month-6.47%
6Apr 2000May 20002 monthsAug 20005 months-5.35%
7Jun 2015Sep 20154 monthsApr 201611 months-5.33%
8Jul 1999Sep 19993 monthsOct 19994 months-3.76%
9May 2012May 20121 monthAug 20124 months-3.53%
10Jun 1996Jul 19962 monthsSep 19964 months-3.33%
11Feb 1997Mar 19972 monthsApr 19973 months-3.12%
12Feb 1999Feb 19991 monthApr 19993 months-2.96%
13Jun 2007Jul 20072 monthsSep 20074 months-2.94%
14Aug 1997Aug 19971 monthSep 19972 months-2.69%
15Mar 2004Apr 20042 monthsOct 20048 months-2.63%
16Jan 2000Jan 20001 monthMar 20003 months-2.58%
17Jan 2005Apr 20054 monthsMay 20055 months-2.45%
18Aug 2013Aug 20131 monthSep 20132 months-2.06%
19May 2006May 20061 monthAug 20064 months-2.03%
20Oct 1997Oct 19971 monthNov 19972 months-1.68%
21Oct 2016Oct 20161 monthDec 20163 months-1.66%
22Sep 2014Sep 20141 monthOct 20142 months-1.59%
23May 1999May 19991 monthJun 19992 months-1.55%
24Oct 2005Oct 20051 monthNov 20052 months-1.45%
25Jun 2013Jun 20131 monthJul 20132 months-1.41%
26May 1998May 19981 monthJun 19982 months-1.32%
27Jul 2014Jul 20141 monthAug 20142 months-1.30%
28Jan 2014Jan 20141 monthFeb 20142 months-1.25%
29Dec 1996Dec 19961 monthJan 19972 months-1.12%
30Oct 2012Oct 20121 monthDec 20123 months-1.06%
31Jan 2015Jan 20151 monthFeb 20152 months-0.74%
32Mar 2015Mar 20151 monthMay 20153 months-0.46%
33Feb 2007Feb 20071 monthMar 20072 months-0.38%
34Oct 1995Oct 19951 monthNov 19952 months-0.20%
35Aug 2005Aug 20051 monthSep 20052 months-0.04%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20113 years 3 months-39.59%
2Sep 2000Sep 20022 years 1 monthDec 20033 years 4 months-20.74%
3May 2011Sep 20115 monthsFeb 201210 months-12.49%
4Jul 1998Aug 19982 monthsNov 19985 months-10.77%
5Jun 2015Feb 20169 monthsJun 20161 year 1 month-6.95%
6Apr 2012May 20122 monthsAug 20125 months-5.07%
7Feb 1994Nov 199410 monthsMar 19951 year 2 months-5.01%
8Apr 2000May 20002 monthsAug 20005 months-4.38%
9Apr 2004Apr 20041 monthSep 20046 months-3.80%
10Aug 1997Aug 19971 monthSep 19972 months-3.61%
11Jun 2007Jul 20072 monthsSep 20074 months-3.61%
12Oct 1997Oct 19971 monthJan 19984 months-3.08%
13Jan 2000Jan 20001 monthMar 20003 months-2.91%
14Jul 1996Jul 19961 monthSep 19963 months-2.78%
15Sep 2014Sep 20141 monthNov 20143 months-2.71%
16May 2013Jun 20132 monthsJul 20133 months-2.63%
17Feb 1999Feb 19991 monthApr 19993 months-2.63%
18Jul 1999Sep 19993 monthsOct 19994 months-2.58%
19May 2006May 20061 monthAug 20064 months-2.57%
20Aug 2013Aug 20131 monthSep 20132 months-2.41%
21Jan 2005Apr 20054 monthsJun 20056 months-2.23%
22Aug 2016Oct 20163 months-2.16%
23Mar 1997Mar 19971 monthMay 19973 months-2.11%
24Oct 2005Oct 20051 monthNov 20052 months-1.93%
25May 1999May 19991 monthJun 19992 months-1.87%
26Jan 2014Jan 20141 monthFeb 20142 months-1.32%
27May 1998May 19981 monthJun 19982 months-1.25%
28Jul 2014Jul 20141 monthAug 20142 months-1.18%
29Oct 1995Oct 19951 monthNov 19952 months-0.83%
30Oct 2012Oct 20121 monthNov 20122 months-0.68%
31Feb 2007Feb 20071 monthMar 20072 months-0.45%
32Mar 2015Mar 20151 monthApr 20152 months-0.44%
33Dec 2014Dec 20141 monthFeb 20153 months-0.42%
34Mar 2011Mar 20111 monthApr 20112 months-0.05%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.10%15.06%35.79%-37.04%-50.89%0.490.711.00
Total US Bond Market5.19%3.63%18.18%-2.66%-5.01%0.741.200.00
Global ex-US Stock Market4.51%16.97%40.34%-44.10%-58.50%0.200.280.83
REIT9.75%19.68%35.66%-37.05%-68.28%0.450.650.57

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketGlobal ex-US Stock MarketREITPF #1PF #2
US Stock Market-0.000.830.570.980.96
Total US Bond Market0.00-0.010.180.170.15
Global ex-US Stock Market0.830.01-0.550.820.91
REIT0.570.180.55-0.580.71

Portfolio Return Decomposition

Portfolio return decomposition
NamePF #1PF #2
US Stock Market$36,612$23,283
Total US Bond Market$12,003$8,621
Global ex-US Stock Market$6,245
REIT$6,719

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePF #1PF #2
US Stock Market97.28%55.29%
Total US Bond Market2.72%1.58%
Global ex-US Stock Market29.72%
REIT13.41%

Annual Asset Returns