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.

$ .00
$ .00
%
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
US Stock Market 52.00%
Global ex-US Stock Market 28.00%
Total US Bond Market 16.00%
Global Bonds (Unhedged) 4.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 80.00%
Total US Bond Market 20.00%
Save asset allocation »
Portfolio 3
Asset Class 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%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$27,903 6.22% 12.26%28.55%-32.22%-45.09% 0.450.630.98
Portfolio 2$10,000$29,419 6.55% 11.73%25.55%-29.86%-42.29% 0.490.691.00
Portfolio 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 treasury bill)
  • 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
YearInflationReturnBalanceUS 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 MarketsTIPS
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20011.55%-9.97%-7.01%-7.36%$9,003$9,299$9,264-10.97%-20.15%8.43%2.48%-11.86%-0.84%13.70%-21.94%-2.88%7.61%
20022.38%-13.29%-15.46%-10.19%$7,806$7,861$8,320-20.96%-15.08%8.26%21.33%-20.88%-12.95%-14.20%-15.62%-7.43%16.61%
20031.88%28.55%25.55%32.71%$10,035$9,870$11,04131.35%40.34%3.97%16.59%32.25%37.94%37.19%38.67%57.65%8.00%
20043.26%13.44%10.88%16.71%$11,384$10,944$12,88612.52%20.84%4.24%11.57%15.26%26.04%23.55%20.25%26.12%8.27%
20053.42%7.61%5.33%9.84%$12,251$11,527$14,1545.98%15.57%2.40%-6.36%7.10%16.02%6.07%13.60%32.05%2.59%
20062.54%16.30%13.21%18.04%$14,248$13,050$16,70715.51%26.64%4.27%5.85%22.13%14.77%19.24%26.27%29.39%0.43%
20074.08%8.75%5.87%9.80%$15,494$13,816$18,3455.49%15.52%6.92%9.26%0.08%-4.37%-7.07%11.15%38.90%11.59%
20080.09%-32.22%-29.86%-33.48%$10,503$9,691$12,202-37.04%-44.10%5.05%-2.68%-35.97%-36.64%-32.05%-41.27%-52.81%-2.85%
20092.72%27.00%24.22%31.03%$13,339$12,038$15,98928.70%36.73%5.93%17.17%19.58%37.61%30.34%28.27%75.98%10.80%
20101.50%13.92%15.29%14.62%$15,195$13,878$18,32717.09%11.12%6.42%11.24%14.27%21.63%24.82%8.36%18.86%6.17%
20112.96%-2.05%2.49%-3.31%$14,883$14,224$17,7200.96%-14.56%7.56%9.20%1.00%-0.44%-4.16%-12.51%-18.78%13.23%
20121.74%14.59%13.83%15.25%$17,055$16,190$20,42316.25%18.14%4.05%7.42%15.00%15.91%18.56%18.56%18.64%6.77%
20131.50%20.29%25.45%17.65%$20,516$20,311$24,02733.35%15.04%-2.26%-5.04%32.87%37.42%36.41%22.06%-5.19%-8.92%
20140.76%6.15%11.12%5.07%$21,778$22,570$25,24612.43%-4.24%5.76%2.37%13.07%13.84%10.39%-5.66%0.42%3.83%
20150.73%-1.00%0.44%-2.66%$21,560$22,670$24,5740.29%-4.38%0.30%-3.57%-1.04%-1.91%-4.77%-0.19%-15.47%-1.83%
20162.07%8.47%10.59%9.55%$23,387$25,071$26,92012.53%4.65%2.50%4.02%16.75%15.11%24.65%2.45%11.55%4.52%
20172.11%19.31%17.34%19.45%$27,903$29,419$32,15721.05%27.33%3.45%9.45%16.99%16.91%11.67%26.40%31.11%2.81%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.57%0.59%0.65%
Arithmetic Mean (annualized)7.03%7.29%8.03%
Geometric Mean (monthly)0.50%0.53%0.57%
Geometric Mean (annualized)6.22%6.55%7.11%
Volatility (monthly)3.54%3.39%3.76%
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%
US 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
Information Ratio-0.23-0.210.01
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%
Upside Capture Ratio (%)80.4980.3985.70
Downside Capture Ratio (%)79.7977.9581.38
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
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-45.09%
2Feb 2001Sep 20021 year 8 monthsFeb 20041 year 5 months3 years 1 month-28.62%
3May 2011Sep 20115 monthsMar 20126 months11 months-15.56%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.54%
5Apr 2012May 20122 monthsSep 20124 months6 months-6.80%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-3.33%
7Mar 2004Jul 20045 monthsOct 20043 months8 months-2.96%
8May 2006Jun 20062 monthsSep 20063 months5 months-2.93%
9Sep 2014Sep 20141 monthFeb 20155 months6 months-2.75%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-42.29%
2Feb 2001Sep 20021 year 8 monthsNov 20042 years 2 months3 years 10 months-28.72%
3May 2011Sep 20115 monthsFeb 20125 months10 months-13.53%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-7.11%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.08%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-3.94%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-3.55%
8May 2006May 20061 monthSep 20064 months5 months-2.61%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.39%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-47.00%
2Feb 2001Sep 20021 year 8 monthsNov 20031 year 2 months2 years 10 months-24.99%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-16.87%
4May 2015Feb 201610 monthsJul 20165 months1 year 3 months-11.32%
5Mar 2005Apr 20052 monthsJul 20053 months5 months-3.82%
6Apr 2004Apr 20041 monthSep 20045 months6 months-3.50%
7May 2006Jun 20062 monthsSep 20063 months5 months-3.46%
8Sep 2014Sep 20141 monthFeb 20155 months6 months-3.42%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.04%
10May 2013Jun 20132 monthsJul 20131 month3 months-3.04%
Worst 10 drawdowns included above

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 MarketsTIPSPortfolio 1Portfolio 2Portfolio 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
NamePortfolio 1Portfolio 2Portfolio 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
NamePortfolio 1Portfolio 2Portfolio 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