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 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Save asset allocation »
US Stock Market 52.00%
Global ex-US Stock Market 28.00%
Total US Bond Market 16.00%
Global Bonds (Unhedged) 4.00%
Portfolio 2
Asset Class Allocation
Save asset allocation »
US Stock Market 80.00%
Total US Bond Market 20.00%
Portfolio 3
Asset Class Allocation
Save asset allocation »
US Stock Market 27.04%
US Large Cap Value 7.21%
US Mid Cap Value 5.86%
US Small Cap Value 4.96%
Intl Developed ex-US Market 22.14%
Emerging Markets 12.79%
Total US Bond Market 6.75%
TIPS 2.40%
Global Bonds (Unhedged) 10.85%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$27,903 6.22% 12.26%28.55%-32.22%-45.09% 0.450.630.98
2$10,000$29,419 6.55% 11.73%25.55%-29.86%-42.29% 0.490.691.00
3$10,000$32,157 7.11% 13.01%32.71%-33.48%-47.00% 0.490.700.96
   
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 monthly 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 MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)US Large Cap ValueUS Mid Cap ValueUS Small Cap ValueIntl Developed ex-US MarketEmerging MarketsTIPSPF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End BalancePF #3 ReturnPF #3 Inflation Adjusted ReturnPF #3 Year End Balance
20011.55%-10.97%-20.15%8.43%2.48%-11.86%-0.84%13.70%-21.94%-2.88%7.61%-9.97%-11.34%$9,003-7.01%-8.43%$9,299-7.36%-8.78%$9,264
20022.38%-20.96%-15.08%8.26%21.33%-20.88%-12.95%-14.20%-15.62%-7.43%16.61%-13.29%-15.31%$7,806-15.46%-17.42%$7,861-10.19%-12.27%$8,320
20031.88%31.35%40.34%3.97%16.59%32.25%37.94%37.19%38.67%57.65%8.00%28.55%26.18%$10,03525.55%23.24%$9,87032.71%30.26%$11,041
20043.26%12.52%20.84%4.24%11.57%15.26%26.04%23.55%20.25%26.12%8.27%13.44%9.86%$11,38410.88%7.38%$10,94416.71%13.03%$12,886
20053.42%5.98%15.57%2.40%-6.36%7.10%16.02%6.07%13.60%32.05%2.59%7.61%4.06%$12,2515.33%1.85%$11,5279.84%6.21%$14,154
20062.54%15.51%26.64%4.27%5.85%22.13%14.77%19.24%26.27%29.39%0.43%16.30%13.42%$14,24813.21%10.41%$13,05018.04%15.12%$16,707
20074.08%5.49%15.52%6.92%9.26%0.08%-4.37%-7.07%11.15%38.90%11.59%8.75%4.48%$15,4945.87%1.72%$13,8169.80%5.50%$18,345
20080.09%-37.04%-44.10%5.05%-2.68%-35.97%-36.64%-32.05%-41.27%-52.81%-2.85%-32.22%-32.28%$10,503-29.86%-29.92%$9,691-33.48%-33.54%$12,202
20092.72%28.70%36.73%5.93%17.17%19.58%37.61%30.34%28.27%75.98%10.80%27.00%23.64%$13,33924.22%20.92%$12,03831.03%27.56%$15,989
20101.50%17.09%11.12%6.42%11.24%14.27%21.63%24.82%8.36%18.86%6.17%13.92%12.24%$15,19515.29%13.59%$13,87814.62%12.93%$18,327
20112.96%0.96%-14.56%7.56%9.20%1.00%-0.44%-4.16%-12.51%-18.78%13.23%-2.05%-4.87%$14,8832.49%-0.46%$14,224-3.31%-6.09%$17,720
20121.74%16.25%18.14%4.05%7.42%15.00%15.91%18.56%18.56%18.64%6.77%14.59%12.63%$17,05513.83%11.88%$16,19015.25%13.28%$20,423
20131.50%33.35%15.04%-2.26%-5.04%32.87%37.42%36.41%22.06%-5.19%-8.92%20.29%18.51%$20,51625.45%23.60%$20,31117.65%15.91%$24,027
20140.76%12.43%-4.24%5.76%2.37%13.07%13.84%10.39%-5.66%0.42%3.83%6.15%5.36%$21,77811.12%10.29%$22,5705.07%4.28%$25,246
20150.73%0.29%-4.38%0.30%-3.57%-1.04%-1.91%-4.77%-0.19%-15.47%-1.83%-1.00%-1.72%$21,5600.44%-0.29%$22,670-2.66%-3.37%$24,574
20162.07%12.53%4.65%2.50%4.02%16.75%15.11%24.65%2.45%11.55%4.52%8.47%6.27%$23,38710.59%8.34%$25,0719.55%7.32%$26,920
20172.11%21.05%27.33%3.45%9.45%16.99%16.91%11.67%26.40%31.11%2.81%19.31%16.85%$27,90317.34%14.92%$29,41919.45%16.98%$32,157
Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2Portfolio #3
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.57%0.59%0.65%
Mean Return (annualized)7.03%7.29%8.03%
Compound Return (monthly)0.50%0.53%0.57%
Compound Return (annualized)6.22%6.55%7.11%
Volatility (monthly)3.53%3.38%3.75%
Volatility (annualized)12.26%11.73%13.01%
Downside Deviation (monthly)2.45%2.33%2.58%
Max. Drawdown-45.09%-42.29%-47.00%
Market Correlation0.981.000.96
Beta(*)0.810.790.84
Alpha (annualized)0.56%0.94%1.25%
R295.15%99.66%91.27%
Sharpe Ratio0.450.490.49
Sortino Ratio0.630.690.70
Treynor Ratio (%)6.757.207.61
Diversification Ratio1.091.061.13
Skewness-0.79-0.74-0.80
Excess Kurtosis2.271.852.55
Historical Value-at-Risk (5%)-6.80%-6.18%-7.15%
Analytical Value-at-Risk (5%)-5.25%-4.98%-5.53%
Conditional Value-at-Risk (5%)-8.47%-7.86%-9.07%
Positive Periods127 out of 204 (62.25%)136 out of 204 (66.67%)129 out of 204 (63.24%)
Gain/Loss Ratio0.930.790.92

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-45.09%-42.29%-47.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20113 years 6 months-45.09%
2Feb 2001Sep 20021 year 8 monthsFeb 20043 years 1 month-28.62%
3May 2011Sep 20115 monthsMar 201211 months-15.56%
4Jun 2015Feb 20169 monthsJul 20161 year 2 months-9.54%
5Apr 2012May 20122 monthsSep 20126 months-6.80%
6Mar 2005Apr 20052 monthsJul 20055 months-3.33%
7Mar 2004Jul 20045 monthsOct 20048 months-2.96%
8May 2006Jun 20062 monthsSep 20065 months-2.93%
9Sep 2014Sep 20141 monthFeb 20156 months-2.75%
10Jan 2014Jan 20141 monthFeb 20142 months-2.66%
11Jun 2007Jul 20072 monthsSep 20074 months-2.58%
12Oct 2005Oct 20051 monthNov 20052 months-2.11%
13May 2013Jun 20132 monthsJul 20133 months-2.09%
14Aug 2013Aug 20131 monthSep 20132 months-2.06%
15Oct 2016Oct 20161 monthDec 20163 months-1.85%
16Jan 2005Jan 20051 monthFeb 20052 months-1.82%
17Jul 2014Jul 20141 monthAug 20142 months-1.54%
18Mar 2015Mar 20151 monthApr 20152 months-0.94%
19Oct 2012Oct 20121 monthNov 20122 months-0.75%
20Feb 2007Feb 20071 monthMar 20072 months-0.50%
21Feb 2006Feb 20061 monthMar 20062 months-0.15%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20113 years 4 months-42.29%
2Feb 2001Sep 20021 year 8 monthsNov 20043 years 10 months-28.72%
3May 2011Sep 20115 monthsFeb 201210 months-13.53%
4Jun 2015Sep 20154 monthsMay 20161 year-7.11%
5Apr 2012May 20122 monthsAug 20125 months-5.08%
6Jun 2007Jul 20072 monthsSep 20074 months-3.94%
7Jan 2005Apr 20054 monthsJun 20056 months-3.55%
8May 2006May 20061 monthSep 20065 months-2.61%
9Aug 2013Aug 20131 monthSep 20132 months-2.39%
10Jan 2014Jan 20141 monthFeb 20142 months-2.18%
11Oct 2016Oct 20161 monthNov 20162 months-1.93%
12Sep 2014Sep 20141 monthOct 20142 months-1.85%
13Jan 2015Jan 20151 monthFeb 20152 months-1.76%
14Aug 2005Oct 20053 monthsNov 20054 months-1.67%
15Jul 2014Jul 20141 monthAug 20142 months-1.63%
16Oct 2012Oct 20121 monthDec 20123 months-1.38%
17Jun 2013Jun 20131 monthJul 20132 months-1.35%
18Feb 2007Feb 20071 monthApr 20073 months-0.99%
19Mar 2015Mar 20151 monthMay 20153 months-0.75%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20113 years 6 months-47.00%
2Feb 2001Sep 20021 year 8 monthsNov 20032 years 10 months-24.99%
3May 2011Sep 20115 monthsSep 20121 year 5 months-16.87%
4May 2015Feb 201610 monthsJul 20161 year 3 months-11.32%
5Mar 2005Apr 20052 monthsJul 20055 months-3.82%
6Apr 2004Apr 20041 monthSep 20046 months-3.50%
7May 2006Jun 20062 monthsSep 20065 months-3.46%
8Sep 2014Sep 20141 monthFeb 20156 months-3.42%
9Jan 2014Jan 20141 monthFeb 20142 months-3.04%
10May 2013Jun 20132 monthsJul 20133 months-3.04%
11Oct 2005Oct 20051 monthNov 20052 months-2.78%
12Aug 2013Aug 20131 monthSep 20132 months-2.30%
13Jun 2007Jul 20072 monthsSep 20074 months-1.91%
14Jan 2005Jan 20051 monthFeb 20052 months-1.80%
15Oct 2016Oct 20161 monthDec 20163 months-1.73%
16Jul 2014Jul 20141 monthAug 20142 months-1.40%
17Mar 2015Mar 20151 monthApr 20152 months-0.97%
18Oct 2012Oct 20121 monthNov 20122 months-0.36%
19Feb 2007Feb 20071 monthMar 20072 months-0.30%
20Feb 2006Feb 20061 monthMar 20062 months-0.27%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market6.81%14.74%33.35%-37.04%-50.89%0.430.611.00
Global ex-US Stock Market5.13%17.46%40.34%-44.10%-58.50%0.300.420.88
Total US Bond Market4.51%3.45%8.43%-2.26%-3.99%0.911.51-0.12
Global Bonds (Unhedged)6.20%7.28%21.33%-6.36%-17.49%0.681.130.15
US Large Cap Value6.40%14.77%32.87%-35.97%-54.85%0.400.570.97
US Mid Cap Value9.71%16.18%37.94%-36.64%-56.51%0.570.830.94
US Small Cap Value9.76%18.27%37.19%-32.05%-56.13%0.530.770.91
Intl Developed ex-US Market4.77%17.02%38.67%-41.27%-57.06%0.280.390.88
Emerging Markets9.60%22.19%75.98%-52.81%-62.70%0.470.690.80
TIPS5.09%6.03%16.61%-8.92%-12.50%0.630.950.02

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)US Large Cap ValueUS Mid Cap ValueUS Small Cap ValueIntl Developed ex-US MarketEmerging MarketsTIPSPF #1PF #2PF #3
US Stock Market-0.88-0.120.150.970.940.910.880.800.020.981.000.96
Global ex-US Stock Market0.88-0.020.380.870.850.800.990.920.160.960.890.97
Total US Bond Market-0.120.02-0.67-0.09-0.07-0.090.010.050.80-0.00-0.060.03
Global Bonds (Unhedged)0.150.380.67-0.170.180.140.380.330.700.300.190.34
US Large Cap Value0.970.87-0.090.17-0.930.890.870.770.010.950.970.94
US Mid Cap Value0.940.85-0.070.180.93-0.940.850.770.070.930.940.93
US Small Cap Value0.910.80-0.090.140.890.94-0.800.750.030.890.910.89
Intl Developed ex-US Market0.880.990.010.380.870.850.80-0.870.140.960.890.96
Emerging Markets0.800.920.050.330.770.770.750.87-0.200.880.810.91
TIPS0.020.160.800.700.010.070.030.140.20-0.130.060.17

Portfolio Return Decomposition

Portfolio return decomposition
NamePF #1PF #2PF #3
US Stock Market$11,422$17,482$6,979
Global ex-US Stock Market$4,360
Total US Bond Market$1,601$1,937$774
Global Bonds (Unhedged)$521$1,612
US Large Cap Value$1,767
US Mid Cap Value$1,798
US Small Cap Value$1,542
Intl Developed ex-US Market$3,958
Emerging Markets$3,439
TIPS$288

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePF #1PF #2PF #3
US Stock Market61.01%100.34%29.28%
Global ex-US Stock Market38.30%
Total US Bond Market-0.01%-0.34%0.05%
Global Bonds (Unhedged)0.71%2.09%
US Large Cap Value7.69%
US Mid Cap Value6.76%
US Small Cap Value6.21%
Intl Developed ex-US Market27.90%
Emerging Markets19.86%
TIPS0.18%

Annual Asset Returns