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
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US Large Cap
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US Large Cap Value
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US Large Cap Growth
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US Mid Cap
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US Mid Cap Value
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US Mid Cap Growth
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US Small Cap
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US Small Cap Value
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US Small Cap Growth
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US Micro Cap
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Global ex-US Stock Market
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Intl Developed ex-US Market
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International ex-US Small Cap
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International ex-US Value
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European Stocks
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Pacific Stocks
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Emerging Markets
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Cash
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Short Term Treasury
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Intermediate Term Treasury
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10-year Treasury
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Long Term Treasury
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Total US Bond Market
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TIPS
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Global Bonds (Unhedged)
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Global Bonds (USD Hedged)
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Short-Term Investment Grade
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Corporate Bonds
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Long-Term Corporate Bonds
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High Yield Corporate Bonds
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Short-Term Tax-Exempt
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Intermediate-Term Tax-Exempt
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Long-Term Tax-Exempt
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REIT
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Gold
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Precious Metals
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Commodities
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Total
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Portfolio Analysis Results (Jan 1978 - Dec 2016)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 10.00%
Short Term Treasury 85.00%
Long Term Treasury 5.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 10.00%
Short Term Treasury 90.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 40.00%
Intermediate Term Treasury 60.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$141,925 7.04% 3.60%23.21%-0.77%-3.89% 0.671.110.49
Portfolio 2$10,000$134,679 6.89% 3.37%21.96%-0.45%-3.65% 0.681.130.52
Portfolio 3$10,000$335,180 9.42% 7.39%26.88%-6.82%-15.19% 0.640.990.86
   
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 treasury bill)
  • 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
YearInflationReturnBalanceUS Stock MarketShort Term TreasuryLong Term TreasuryIntermediate Term Treasury
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19789.02%3.61%3.86%4.07%$10,361$10,386$10,4078.45%3.35%-1.55%1.15%
197913.29%9.19%9.70%12.91%$11,313$11,393$11,75124.25%8.08%-2.10%5.35%
198012.52%10.55%11.24%14.99%$12,507$12,673$13,51233.15%8.81%-4.99%2.88%
19818.92%11.74%12.42%3.99%$13,975$14,248$14,051-4.15%14.26%0.65%9.41%
19823.83%23.21%21.96%26.88%$17,219$17,376$17,82820.50%22.12%47.10%31.13%
19833.79%9.00%9.46%12.20%$18,768$19,021$20,00222.66%8.00%-1.29%5.22%
19843.95%12.94%12.82%9.88%$21,196$21,460$21,9792.19%14.01%16.24%15.01%
19853.80%16.73%15.58%25.86%$24,743$24,803$27,66231.27%13.83%36.90%22.24%
19861.10%11.80%10.77%14.89%$27,662$27,476$31,78114.57%10.35%30.87%15.10%
19874.43%4.18%4.57%1.98%$28,819$28,731$32,4102.61%4.78%-2.92%1.55%
19884.42%7.01%6.84%10.08%$30,839$30,695$35,67717.32%5.67%9.15%5.26%
19894.65%13.47%13.14%19.96%$34,992$34,729$42,79828.12%11.48%17.93%14.52%
19906.11%8.11%8.32%3.25%$37,830$37,618$44,187-6.08%9.92%5.78%9.46%
19913.06%13.88%13.58%22.54%$43,081$42,727$54,14632.39%11.49%17.43%15.97%
19922.90%7.01%6.98%8.31%$46,103$45,711$58,6459.11%6.75%7.41%7.78%
19932.75%7.26%6.74%11.11%$49,451$48,790$65,16010.62%6.31%16.78%11.43%
19942.67%-0.77%-0.45%-2.66%$49,068$48,573$63,424-0.17%-0.48%-7.04%-4.33%
19952.54%15.38%14.48%26.58%$56,613$55,604$80,28235.79%12.11%30.09%20.44%
19963.32%5.77%6.05%9.54%$59,878$58,968$87,93820.96%4.39%-1.26%1.92%
19971.70%9.33%8.96%17.77%$65,462$64,249$103,56830.99%6.51%13.90%8.96%
19981.61%9.23%8.95%15.67%$71,507$70,000$119,79623.26%7.36%13.05%10.61%
19992.68%3.52%4.05%7.41%$74,025$72,832$128,67523.81%1.85%-8.66%-3.52%
20003.39%7.44%6.89%4.19%$79,531$77,853$134,066-10.57%8.83%19.72%14.03%
20011.55%5.75%5.92%0.14%$84,101$82,462$134,256-10.97%7.80%4.31%7.55%
20022.38%5.56%5.12%0.11%$88,773$86,687$134,397-20.96%8.02%16.67%14.15%
20031.88%5.29%5.28%13.96%$93,473$91,264$153,16231.35%2.38%2.68%2.37%
20043.26%2.48%2.18%7.05%$95,795$93,252$163,95712.52%1.03%7.12%3.40%
20053.42%2.43%2.19%3.78%$98,123$95,293$170,1565.98%1.77%6.61%2.31%
20062.54%4.84%4.94%8.09%$102,872$100,002$183,91515.51%3.77%1.74%3.14%
20074.08%7.71%7.65%8.18%$110,808$107,649$198,9665.49%7.89%9.24%9.98%
20080.09%3.10%2.31%-6.82%$114,241$110,132$185,390-37.04%6.68%22.51%13.32%
20092.72%3.49%4.17%10.46%$118,229$114,720$204,78728.70%1.44%-12.06%-1.69%
20101.50%4.39%4.08%11.25%$123,425$119,400$227,81917.09%2.63%8.92%7.35%
20112.96%3.48%2.13%6.26%$127,717$121,940$242,0770.96%2.26%29.27%9.79%
20121.74%2.39%2.25%8.11%$130,766$124,682$261,70016.25%0.69%3.46%2.67%
20131.50%2.60%3.25%11.49%$134,166$128,730$291,76233.35%-0.10%-13.03%-3.09%
20140.76%3.11%1.89%7.56%$138,344$131,158$313,82512.43%0.71%25.27%4.32%
20150.73%0.34%0.44%1.02%$138,812$131,733$317,0210.29%0.45%-1.54%1.50%
20162.07%2.24%2.24%5.73%$141,925$134,679$335,18012.53%1.09%1.21%1.19%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.57%0.56%0.78%
Arithmetic Mean (annualized)7.11%6.95%9.72%
Geometric Mean (monthly)0.57%0.56%0.75%
Geometric Mean (annualized)7.04%6.89%9.42%
Volatility (monthly)1.04%0.97%2.13%
Volatility (annualized)3.60%3.37%7.39%
Downside Deviation (monthly)0.40%0.36%1.18%
Max. Drawdown-3.89%-3.65%-15.19%
US Market Correlation0.490.520.86
Beta(*)0.110.110.42
Alpha (annualized)5.51%5.38%4.29%
R223.76%26.61%74.78%
Sharpe Ratio0.670.680.64
Sortino Ratio1.111.130.99
Treynor Ratio (%)20.1819.1511.35
Calmar Ratio1.642.081.65
Information Ratio-0.37-0.38-0.28
Diversification Ratio1.341.311.32
Skewness1.201.32-0.18
Excess Kurtosis7.668.721.66
Historical Value-at-Risk (5%)-0.84%-0.71%-2.63%
Analytical Value-at-Risk (5%)-1.14%-1.04%-2.73%
Conditional Value-at-Risk (5%)-1.46%-1.30%-4.17%
Upside Capture Ratio (%)21.9221.5248.86
Downside Capture Ratio (%)-2.53-2.4032.32
Sustainable Withdrawal Rate5.04%5.00%6.41%
Positive Periods347 out of 468 (74.15%)350 out of 468 (74.79%)314 out of 468 (67.09%)
Gain/Loss Ratio1.801.931.28
* 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 2Portfolio 3
Black Monday PeriodSep 1987Nov 1987-1.66%-1.64%-12.75%
Asian CrisisJul 1997Jan 1998-0.56%-0.43%-2.21%
Russian Debt DefaultJul 1998Oct 1998-0.08%-0.24%-5.50%
Dotcom CrashMar 2000Oct 2002-0.58%-0.42%-5.24%
Subprime CrisisNov 2007Mar 2009-2.34%-1.87%-15.19%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Mar 19802 monthsApr 19801 month3 months-3.89%
2Oct 1979Oct 19791 monthDec 19792 months3 months-3.34%
3Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-2.92%
4Jan 2009Feb 20092 monthsMay 20093 months5 months-2.34%
5Jul 1980Oct 19804 monthsDec 19802 months6 months-2.30%
6Oct 1978Oct 19781 monthJan 19793 months4 months-1.90%
7Apr 1981Apr 19811 monthMay 19811 month2 months-1.87%
8Jul 1981Aug 19812 monthsOct 19812 months4 months-1.69%
9Feb 1984May 19844 monthsJul 19842 months6 months-1.66%
10Sep 1987Nov 19873 monthsJan 19882 months5 months-1.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Mar 19802 monthsApr 19801 month3 months-3.65%
2Oct 1979Oct 19791 monthDec 19792 months3 months-3.08%
3Feb 1994Apr 19943 monthsJan 19959 months1 year-2.59%
4Aug 1980Oct 19803 monthsDec 19802 months5 months-1.93%
5Jan 2009Feb 20092 monthsApr 20092 months4 months-1.87%
6Oct 1978Oct 19781 monthJan 19793 months4 months-1.83%
7Apr 1981Apr 19811 monthMay 19811 month2 months-1.66%
8Sep 1987Nov 19873 monthsJan 19882 months5 months-1.64%
9Dec 1981Jan 19822 monthsApr 19823 months5 months-1.44%
10Apr 2008Oct 20087 monthsDec 20082 months9 months-1.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20097 months1 year 10 months-15.19%
2Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-12.75%
3Feb 1980Mar 19802 monthsMay 19802 months4 months-8.39%
4Jun 1981Sep 19814 monthsNov 19812 months6 months-6.81%
5Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.60%
6Oct 1979Oct 19791 monthDec 19792 months3 months-6.34%
7Sep 1978Oct 19782 monthsMar 19795 months7 months-5.90%
8Feb 1984May 19844 monthsAug 19843 months7 months-5.84%
9Jul 1998Aug 19982 monthsOct 19982 months4 months-5.50%
10Aug 1990Sep 19902 monthsDec 19903 months5 months-5.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.39%15.31%35.79%-37.04%-50.89%0.490.701.00
Short Term Treasury6.26%3.22%22.12%-0.48%-4.26%0.520.860.07
Long Term Treasury8.57%11.11%47.10%-13.03%-23.12%0.390.620.06
Intermediate Term Treasury7.44%6.12%31.13%-4.33%-10.70%0.470.730.08

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketShort Term TreasuryLong Term TreasuryIntermediate Term TreasuryPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.070.060.080.490.520.86
Short Term Treasury0.07-0.730.920.900.890.51
Long Term Treasury0.060.73-0.890.730.650.49
Intermediate Term Treasury0.080.920.89-0.860.820.56

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$28,143$27,392$182,001
Short Term Treasury$93,308$97,287
Long Term Treasury$10,474
Intermediate Term Treasury$143,179

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market20.72%23.50%72.07%
Short Term Treasury67.98%76.50%
Long Term Treasury11.30%
Intermediate Term Treasury27.93%

Annual Asset Returns