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
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 1994 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Total US Bond Market 50.00%
Global Bonds (Unhedged) 50.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$36,708 5.57% 4.76%20.54%-3.65%-10.94% 0.651.060.13
   
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 1 ReturnPortfolio 1 BalanceTotal US Bond MarketGlobal Bonds (Unhedged)
19942.67%-2.18%$9,782-2.66%-1.71%
19952.54%20.54%$11,79118.18%22.91%
19963.32%6.95%$12,6113.58%10.33%
19971.70%4.27%$13,1509.44%-0.90%
19981.61%10.51%$14,5328.58%12.43%
19992.68%-2.52%$14,165-0.76%-4.28%
20003.39%5.91%$15,00311.39%0.43%
20011.55%5.46%$15,8218.43%2.48%
20022.38%14.79%$18,1628.26%21.33%
20031.88%10.28%$20,0293.97%16.59%
20043.26%7.90%$21,6124.24%11.57%
20053.42%-1.98%$21,1842.40%-6.36%
20062.54%5.06%$22,2554.27%5.85%
20074.08%8.09%$24,0556.92%9.26%
20080.09%1.19%$24,3415.05%-2.68%
20092.72%11.55%$27,1525.93%17.17%
20101.50%8.83%$29,5496.42%11.24%
20112.96%8.38%$32,0257.56%9.20%
20121.74%5.73%$33,8614.05%7.42%
20131.50%-3.65%$32,624-2.26%-5.04%
20140.76%4.07%$33,9505.76%2.37%
20150.73%-1.64%$33,3950.30%-3.57%
20162.07%3.38%$34,5232.50%4.25%
20172.11%6.33%$36,7083.45%9.21%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.46%
Arithmetic Mean (annualized)5.69%
Geometric Mean (monthly)0.45%
Geometric Mean (annualized)5.57%
Volatility (monthly)1.37%
Volatility (annualized)4.76%
Downside Deviation (monthly)0.77%
Max. Drawdown-10.94%
US Market Correlation0.13
Beta(*)0.04
Alpha (annualized)5.11%
R21.69%
Sharpe Ratio0.65
Sortino Ratio1.06
Treynor Ratio (%)74.25
Calmar Ratio0.54
Active Return-4.01%
Tracking Error14.91%
Information Ratio-0.27
Skewness-0.12
Excess Kurtosis1.04
Historical Value-at-Risk (5%)-1.77%
Analytical Value-at-Risk (5%)-1.80%
Conditional Value-at-Risk (5%)-2.73%
Upside Capture Ratio (%)14.69
Downside Capture Ratio (%)-8.83
Safe Withdrawal Rate6.43%
Perpetual Withdrawal Rate3.18%
Positive Periods186 out of 288 (64.58%)
Gain/Loss Ratio1.32
* 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 1
Asian CrisisJul 1997Jan 1998-0.71%
Russian Debt DefaultJul 1998Oct 1998-0.15%
Dotcom CrashMar 2000Oct 2002-3.40%
Subprime CrisisNov 2007Mar 2009-10.94%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsJul 20099 months1 year 4 months-10.94%
2Oct 2012Jun 20139 monthsJun 20141 year1 year 9 months-5.14%
3Feb 1999Jan 20001 yearNov 200010 months1 year 10 months-4.90%
4Oct 2016Nov 20162 monthsJul 20178 months10 months-4.87%
5Feb 1994May 19944 monthsFeb 19959 months1 year 1 month-4.50%
6Jun 2003Jul 20032 monthsSep 20032 months4 months-4.02%
7Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-3.45%
8Nov 2001Mar 20025 monthsMay 20022 months7 months-3.40%
9Sep 2005Nov 20053 monthsAug 20069 months1 year-3.40%
10Apr 2004Apr 20041 monthSep 20045 months6 months-3.24%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Total US Bond Market5.12%3.57%18.18%-2.66%-5.01%0.741.200.00
Global Bonds (Unhedged)5.91%6.84%22.91%-6.36%-17.49%0.520.830.18

Monthly Correlations

Correlations for the portfolio assets
NameTotal US Bond MarketGlobal Bonds (Unhedged)Portfolio 1
Total US Bond Market1.000.630.83
Global Bonds (Unhedged)0.631.000.96

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
Total US Bond Market$12,017
Global Bonds (Unhedged)$14,691

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
Total US Bond Market31.20%
Global Bonds (Unhedged)68.80%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year5.72%20.54%-3.65%
3 years5.66%10.96%-0.46%
5 years5.68%8.82%1.51%
7 years5.86%7.36%3.15%
10 years5.96%8.25%4.32%
15 years5.95%7.04%4.80%
Result statistics are based on annualized rolling returns over full calendar year periods