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
US Stock Market 25.00%
Global ex-US Stock Market 25.00%
Total US Bond Market 25.00%
Global Bonds (Unhedged) 25.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$51,389 7.06% 8.17%23.06%-19.69%-30.28% 0.580.850.89
   
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 BalanceUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)
19942.67%1.31%$10,131-0.17%9.76%-2.66%-1.71%
19952.54%20.21%$12,17835.79%3.98%18.18%22.91%
19963.32%9.89%$13,38320.96%4.68%3.58%10.33%
19971.70%9.69%$14,67930.99%-0.77%9.44%-0.90%
19981.61%14.97%$16,87723.26%15.60%8.58%12.43%
19992.68%12.17%$18,93123.81%29.92%-0.76%-4.28%
20003.39%-3.59%$18,251-10.57%-15.61%11.39%0.43%
20011.55%-5.05%$17,329-10.97%-20.15%8.43%2.48%
20022.38%-1.61%$17,050-20.96%-15.08%8.26%21.33%
20031.88%23.06%$20,98231.35%40.34%3.97%16.59%
20043.26%12.29%$23,56112.52%20.84%4.24%11.57%
20053.42%4.40%$24,5975.98%15.57%2.40%-6.36%
20062.54%13.07%$27,81015.51%26.64%4.27%5.85%
20074.08%9.30%$30,3965.49%15.52%6.92%9.26%
20080.09%-19.69%$24,411-37.04%-44.10%5.05%-2.68%
20092.72%22.13%$29,81328.70%36.73%5.93%17.17%
20101.50%11.47%$33,23217.09%11.12%6.42%11.24%
20112.96%0.79%$33,4940.96%-14.56%7.56%9.20%
20121.74%11.47%$37,33416.25%18.14%4.05%7.42%
20131.50%10.27%$41,16933.35%15.04%-2.26%-5.04%
20140.76%4.08%$42,84912.43%-4.24%5.76%2.37%
20150.73%-1.84%$42,0610.29%-4.38%0.30%-3.57%
20162.07%5.99%$44,57912.53%4.65%2.50%4.25%
20172.11%15.28%$51,38921.05%27.40%3.45%9.21%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.60%
Arithmetic Mean (annualized)7.42%
Geometric Mean (monthly)0.57%
Geometric Mean (annualized)7.06%
Volatility (monthly)2.36%
Volatility (annualized)8.17%
Downside Deviation (monthly)1.52%
Max. Drawdown-30.28%
US Market Correlation0.89
Beta(*)0.49
Alpha (annualized)2.11%
R279.03%
Sharpe Ratio0.58
Sortino Ratio0.85
Treynor Ratio (%)9.64
Calmar Ratio0.89
Active Return-2.52%
Tracking Error8.38%
Information Ratio-0.30
Skewness-0.72
Excess Kurtosis2.09
Historical Value-at-Risk (5%)-3.68%
Analytical Value-at-Risk (5%)-3.28%
Conditional Value-at-Risk (5%)-5.33%
Upside Capture Ratio (%)51.87
Downside Capture Ratio (%)45.75
Safe Withdrawal Rate7.27%
Perpetual Withdrawal Rate4.53%
Positive Periods194 out of 288 (67.36%)
Gain/Loss Ratio0.94
* 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 1998-3.58%
Russian Debt DefaultJul 1998Oct 1998-7.25%
Dotcom CrashMar 2000Oct 2002-15.57%
Subprime CrisisNov 2007Mar 2009-30.28%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-30.28%
2Apr 2000Sep 20022 years 6 monthsSep 20031 year3 years 6 months-15.57%
3May 2011Sep 20115 monthsFeb 20125 months10 months-9.02%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-7.25%
5May 2015Jan 20169 monthsJul 20166 months1 year 3 months-6.98%
6May 2012May 20121 monthAug 20123 months4 months-4.56%
7Feb 1994Mar 19942 monthsMar 19951 year1 year 2 months-4.21%
8Aug 1997Aug 19971 monthSep 19971 month2 months-3.58%
9May 2013Jun 20132 monthsSep 20133 months5 months-3.49%
10Jan 2000Jan 20001 monthMar 20002 months3 months-3.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.58%14.77%35.79%-37.04%-50.89%0.530.761.00
Global ex-US Stock Market5.38%16.66%40.34%-44.10%-58.50%0.250.350.83
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
NameUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)Portfolio 1
US Stock Market1.000.830.000.180.89
Global ex-US Stock Market0.831.000.010.360.94
Total US Bond Market0.000.011.000.630.25
Global Bonds (Unhedged)0.180.360.631.000.54

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$15,947
Global ex-US Stock Market$10,501
Total US Bond Market$6,912
Global Bonds (Unhedged)$8,029

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market39.36%
Global ex-US Stock Market46.87%
Total US Bond Market2.71%
Global Bonds (Unhedged)11.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.50%23.06%-19.69%
3 years6.92%13.16%-3.43%
5 years6.82%13.32%3.04%
7 years6.49%8.98%4.92%
10 years6.49%8.81%3.76%
15 years6.48%7.63%5.60%
Result statistics are based on annualized rolling returns over full calendar year periods