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 1987 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Small Cap Value 30.00%
Intermediate Term Treasury 70.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 30.00%
Total US Bond Market 70.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 40.00%
Total US Bond Market 60.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$117,126 8.26% 5.83%24.07%-3.05%-11.87% 0.861.340.73
Portfolio 2$10,000$96,234 7.58% 5.39%23.46%-7.57%-13.35% 0.811.250.87
Portfolio 3$10,000$110,456 8.06% 6.57%25.22%-11.78%-19.36% 0.741.120.93
   
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 Small Cap ValueIntermediate Term TreasuryUS Stock MarketTotal US Bond Market
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19874.43%0.04%1.86%1.97%$10,004$10,186$10,197-3.51%1.55%2.61%1.54%
19884.42%12.38%10.34%11.34%$11,242$11,239$11,35329.00%5.26%17.32%7.35%
19894.65%15.93%17.99%19.43%$13,032$13,261$13,55919.21%14.52%28.12%13.64%
19906.11%0.91%4.23%2.76%$13,151$13,822$13,933-19.05%9.46%-6.08%8.65%
19913.06%24.07%20.39%22.10%$16,315$16,640$17,01342.96%15.97%32.39%15.25%
19922.90%13.91%7.73%7.93%$18,585$17,927$18,36228.23%7.78%9.11%7.14%
19932.75%14.33%9.96%10.06%$21,249$19,713$20,20921.10%11.43%10.62%9.68%
19942.67%-3.05%-1.91%-1.66%$20,601$19,337$19,873-0.07%-4.33%-0.17%-2.66%
19952.54%23.41%23.46%25.22%$25,423$23,874$24,88630.32%20.44%35.79%18.18%
19963.32%7.77%8.80%10.53%$27,397$25,974$27,50721.41%1.92%20.96%3.58%
19971.70%16.90%15.91%18.06%$32,028$30,106$32,47635.44%8.96%30.99%9.44%
19981.61%6.62%12.99%14.45%$34,149$34,015$37,171-2.68%10.61%23.26%8.58%
19992.68%-1.46%6.61%9.07%$33,650$36,265$40,5423.35%-3.52%23.81%-0.76%
20003.39%16.39%4.80%2.61%$39,164$38,006$41,59821.88%14.03%-10.57%11.39%
20011.55%9.39%2.61%0.67%$42,842$38,998$41,87713.70%7.55%-10.97%8.43%
20022.38%5.65%-0.51%-3.43%$45,261$38,800$40,441-14.20%14.15%-20.96%8.26%
20031.88%12.81%12.19%14.93%$51,061$43,529$46,47737.19%2.37%31.35%3.97%
20043.26%9.45%6.72%7.55%$55,885$46,454$49,98523.55%3.40%12.52%4.24%
20053.42%3.44%3.47%3.83%$57,808$48,066$51,8996.07%2.31%5.98%2.40%
20062.54%7.97%7.64%8.77%$62,414$51,739$56,44919.24%3.14%15.51%4.27%
20074.08%4.86%6.49%6.35%$65,450$55,098$60,032-7.07%9.98%5.49%6.92%
20080.09%-0.29%-7.57%-11.78%$65,259$50,925$52,958-32.05%13.32%-37.04%5.05%
20092.72%7.91%12.76%15.04%$70,424$57,425$60,92330.34%-1.69%28.70%5.93%
20101.50%12.59%9.62%10.69%$79,290$62,950$67,43624.82%7.35%17.09%6.42%
20112.96%5.60%5.58%4.92%$83,733$66,462$70,753-4.16%9.79%0.96%7.56%
20121.74%7.44%7.71%8.93%$89,964$71,585$77,07118.56%2.67%16.25%4.05%
20131.50%8.76%8.42%11.98%$97,846$77,614$86,30636.41%-3.09%33.35%-2.26%
20140.76%6.14%7.76%8.43%$103,853$83,636$93,57810.39%4.32%12.43%5.76%
20150.73%-0.38%0.30%0.30%$103,458$83,883$93,854-4.77%1.50%0.29%0.30%
20162.07%8.22%5.51%6.51%$111,966$88,505$99,96724.65%1.19%12.53%2.50%
20172.11%4.61%8.73%10.49%$117,126$96,234$110,45611.67%1.58%21.05%3.45%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.68%0.62%0.67%
Arithmetic Mean (annualized)8.44%7.73%8.29%
Geometric Mean (monthly)0.66%0.61%0.65%
Geometric Mean (annualized)8.26%7.58%8.06%
Volatility (monthly)1.68%1.56%1.90%
Volatility (annualized)5.83%5.39%6.57%
Downside Deviation (monthly)0.97%0.88%1.14%
Max. Drawdown-11.87%-13.35%-19.36%
US Market Correlation0.730.870.93
Beta(*)0.290.310.41
Alpha (annualized)5.00%4.04%3.49%
R253.70%75.18%87.42%
Sharpe Ratio0.860.810.74
Sortino Ratio1.341.251.12
Treynor Ratio (%)17.6213.9811.91
Calmar Ratio1.401.801.61
Active Return-2.02%-2.71%-2.23%
Tracking Error11.41%10.64%9.13%
Information Ratio-0.18-0.25-0.24
Skewness-0.66-0.54-0.72
Excess Kurtosis2.331.792.48
Historical Value-at-Risk (5%)-2.09%-1.92%-2.52%
Analytical Value-at-Risk (5%)-2.09%-1.94%-2.45%
Conditional Value-at-Risk (5%)-3.61%-3.11%-3.92%
Upside Capture Ratio (%)39.5839.5747.83
Downside Capture Ratio (%)19.6023.8834.99
Sustainable Withdrawal Rate7.18%6.67%7.01%
Positive Periods270 out of 372 (72.58%)260 out of 372 (69.89%)260 out of 372 (69.89%)
Gain/Loss Ratio1.101.191.06
* 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 1987-9.02%-9.73%-13.08%
Asian CrisisJul 1997Jan 1998-0.04%-1.82%-2.12%
Russian Debt DefaultJul 1998Oct 1998-4.88%-4.22%-6.25%
Dotcom CrashMar 2000Oct 2002-3.71%-3.71%-8.67%
Subprime CrisisNov 2007Mar 2009-11.87%-13.35%-19.36%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2008Feb 20096 monthsAug 20096 months1 year-11.87%
2Sep 1987Nov 19873 monthsApr 19885 months8 months-9.02%
3Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-6.21%
4May 1998Aug 19984 monthsNov 19983 months7 months-5.02%
5Jul 1990Sep 19903 monthsDec 19903 months6 months-4.89%
6Feb 1999Feb 19991 monthJun 19994 months5 months-4.56%
7Apr 2004Apr 20041 monthSep 20045 months6 months-3.95%
8May 2002Jul 20023 monthsApr 20039 months1 year-3.71%
9Jul 1999Jan 20007 monthsMar 20002 months9 months-3.67%
10Jan 1990Apr 19904 monthsJun 19902 months6 months-3.65%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-13.35%
2Sep 1987Nov 19873 monthsJun 19887 months10 months-9.73%
3Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.74%
4Aug 1990Sep 19902 monthsDec 19903 months5 months-4.39%
5Jul 1998Aug 19982 monthsOct 19982 months4 months-4.22%
6Feb 2001Mar 20012 monthsNov 20018 months10 months-3.71%
7Apr 2002Sep 20026 monthsApr 20037 months1 year 1 month-3.65%
8Jan 1990Jan 19901 monthMay 19904 months5 months-3.43%
9Apr 2000May 20002 monthsAug 20003 months5 months-3.01%
10Jun 2011Sep 20114 monthsOct 20111 month5 months-2.75%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-19.36%
2Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-13.08%
3Sep 2000Sep 20022 years 1 monthMay 20038 months2 years 9 months-8.67%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-6.25%
5Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.98%
6Aug 1990Sep 19902 monthsDec 19903 months5 months-5.70%
7Jun 2011Sep 20114 monthsJan 20124 months8 months-4.81%
8May 2010Jun 20102 monthsSep 20103 months5 months-3.99%
9Jan 1990Jan 19901 monthMay 19904 months5 months-3.94%
10Apr 2000May 20002 monthsAug 20003 months5 months-3.79%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Small Cap Value12.06%17.31%42.96%-32.05%-56.13%0.570.810.88
Intermediate Term Treasury6.08%4.83%20.44%-4.33%-6.47%0.611.00-0.09
US Stock Market10.28%14.97%35.79%-37.04%-50.89%0.530.741.00
Total US Bond Market5.97%3.83%18.18%-2.66%-5.86%0.741.170.07

Monthly Correlations

Correlations for the portfolio assets
NameUS Small Cap ValueIntermediate Term TreasuryUS Stock MarketTotal US Bond MarketPortfolio 1Portfolio 2Portfolio 3
US Small Cap Value--0.130.880.020.820.750.81
Intermediate Term Treasury-0.13--0.090.940.460.390.25
US Stock Market0.88-0.09-0.070.730.870.93
Total US Bond Market0.020.940.07-0.550.550.41

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Small Cap Value$56,624
Intermediate Term Treasury$50,502
US Stock Market$42,052$59,872
Total US Bond Market$44,182$40,584

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Small Cap Value73.10%
Intermediate Term Treasury26.90%
US Stock Market72.62%85.68%
Total US Bond Market27.38%14.32%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.46%24.07%-3.05%7.76%23.46%-7.57%8.32%25.22%-11.78%
3 years8.54%17.34%4.09%7.73%15.90%1.94%8.21%17.79%-0.08%
5 years8.66%14.09%4.73%7.73%13.40%3.19%8.18%15.33%2.65%
7 years8.59%13.56%5.73%7.60%11.76%3.89%8.00%12.85%3.41%
10 years8.48%12.34%5.99%7.46%11.71%4.12%7.82%12.59%3.60%
15 years8.47%10.62%6.54%7.24%9.50%5.42%7.53%10.02%5.57%
Result statistics are based on annualized rolling returns over full calendar year periods