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 1977 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 10.00%
Short Term Treasury 90.00%
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Portfolio 2
Asset Class Allocation
US Small Cap 10.00%
Short Term Treasury 90.00%
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Portfolio 3
Asset Class Allocation
US Mid Cap 10.00%
Short Term Treasury 90.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$14,005,522 6.65% 3.31%22.01%-0.31%-3.56% 0.590.970.50
Portfolio 2$1,000,000$15,235,359 6.87% 3.46%22.84%-0.48%-4.37% 0.631.010.56
Portfolio 3$1,000,000$15,175,185 6.86% 3.41%22.43%-0.60%-4.05% 0.641.040.53
Vanguard 500 Index Investor$1,000,000$74,040,056 11.07% 14.71%37.45%-37.02%-50.97% 0.480.690.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.37%2.52%1.71%2.05%2.48%6.65%1.06%1.14%
Portfolio 20.18%1.97%1.56%1.95%2.63%6.87%1.14%1.34%
Portfolio 30.25%2.27%1.51%1.99%2.59%6.86%1.08%1.23%
Vanguard 500 Index Investor6.61%21.67%11.26%15.62%8.37%11.07%10.07%9.49%
Trailing annualized return and volatility are for full months ending in December 2017 excluding portfolio cashflows.
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 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorUS Large CapShort Term TreasuryUS Small CapUS Mid Cap
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
19776.70%1.83%$1,018,3224.18%$1,041,8372.75%$1,027,467-7.84%$921,580-7.84%2.91%15.67%1.30%
19789.02%3.60%$1,054,9734.79%$1,091,6973.91%$1,067,6295.87%$975,6905.87%3.35%17.74%8.97%
197913.29%9.08%$1,150,72811.37%$1,215,86510.42%$1,178,87118.05%$1,151,77718.05%8.08%41.02%31.48%
198012.52%11.12%$1,278,65911.50%$1,355,73211.00%$1,308,57231.92%$1,519,37531.92%8.81%35.78%30.76%
19818.92%12.31%$1,436,12513.27%$1,535,66513.25%$1,481,905-5.21%$1,440,279-5.21%14.26%4.36%4.10%
19823.83%22.01%$1,752,17622.84%$1,886,36022.43%$1,814,31720.97%$1,742,33620.97%22.12%29.27%25.21%
19833.79%9.33%$1,915,61410.36%$2,081,8289.91%$1,994,10321.29%$2,113,32921.29%8.00%31.64%27.11%
19843.95%13.23%$2,168,99812.18%$2,335,40212.43%$2,242,0096.21%$2,244,6166.21%14.01%-4.26%-1.74%
19853.80%15.57%$2,506,79915.82%$2,704,89015.73%$2,594,68931.23%$2,945,57731.23%13.83%33.70%32.79%
19861.10%11.12%$2,785,61810.29%$2,983,31411.03%$2,880,85518.06%$3,477,57318.06%10.35%9.77%17.12%
19874.43%4.78%$2,918,6693.66%$3,092,6034.39%$3,007,3104.71%$3,641,2034.71%4.78%-6.42%0.84%
19884.42%6.73%$3,114,9947.48%$3,324,0127.05%$3,219,28616.22%$4,231,80416.22%5.67%23.78%19.44%
19894.65%13.47%$3,534,50612.27%$3,731,94012.93%$3,635,57831.36%$5,559,10731.36%11.48%19.41%26.00%
19906.11%8.59%$3,838,2617.11%$3,997,4207.85%$3,921,089-3.32%$5,374,285-3.32%9.92%-18.13%-10.73%
19913.06%13.37%$4,351,28014.87%$4,591,82414.39%$4,485,25530.22%$6,998,47730.22%11.49%45.26%40.44%
19922.90%6.81%$4,647,7617.89%$4,954,1927.59%$4,825,7197.42%$7,517,9947.42%6.75%18.20%15.19%
19932.75%6.66%$4,957,5057.55%$5,328,0097.29%$5,177,7399.89%$8,261,7039.89%6.31%18.70%16.20%
19942.67%-0.31%$4,942,033-0.48%$5,302,409-0.60%$5,146,6021.18%$8,358,8541.18%-0.48%-0.51%-1.72%
19952.54%14.64%$5,665,67213.77%$6,032,65314.22%$5,878,42837.45%$11,488,88937.45%12.11%28.74%33.22%
19963.32%6.24%$6,019,2705.77%$6,380,4445.85%$6,222,31922.88%$14,117,20122.88%4.39%18.12%18.97%
19971.70%9.18%$6,571,6078.32%$6,911,0488.42%$6,746,43033.19%$18,802,75133.19%6.51%24.59%25.66%
19981.61%9.49%$7,194,9656.36%$7,350,7677.61%$7,260,06828.62%$24,183,55428.62%7.36%-2.61%9.90%
19992.68%3.77%$7,466,3503.98%$7,643,2083.20%$7,492,16721.07%$29,278,65221.07%1.85%23.13%15.32%
20003.39%7.04%$7,992,3317.68%$8,230,4979.76%$8,223,408-9.06%$26,627,132-9.06%8.83%-2.67%18.10%
20011.55%5.82%$8,457,1117.33%$8,833,5966.97%$8,796,392-12.02%$23,425,715-12.02%7.80%3.10%-0.50%
20022.38%5.00%$8,880,3195.22%$9,294,3945.76%$9,302,874-22.15%$18,238,064-22.15%8.02%-20.02%-14.61%
20031.88%5.00%$9,323,9016.71%$9,917,8395.56%$9,820,03228.50%$23,436,26328.50%2.38%45.63%34.14%
20043.26%2.00%$9,510,5052.92%$10,207,1402.96%$10,110,96410.74%$25,953,36910.74%1.03%19.90%20.35%
20053.42%2.07%$9,707,1532.33%$10,444,6172.98%$10,412,6044.77%$27,192,4954.77%1.77%7.36%13.93%
20062.54%4.95%$10,188,1144.96%$10,962,2634.75%$10,907,23215.64%$31,445,84915.64%3.77%15.66%13.60%
20074.08%7.64%$10,966,0927.21%$11,752,9757.70%$11,747,0445.39%$33,139,7365.39%7.89%1.16%6.02%
20080.09%2.31%$11,219,2472.40%$12,035,4661.83%$11,961,802-37.02%$20,871,174-37.02%6.68%-36.07%-41.82%
20092.72%3.94%$11,661,8054.91%$12,626,1535.32%$12,597,91226.49%$26,399,02626.49%1.44%36.12%40.22%
20101.50%3.86%$12,112,1645.14%$13,275,4464.92%$13,217,27414.91%$30,336,10514.91%2.63%27.72%25.46%
20112.96%2.23%$12,382,0041.75%$13,507,8781.82%$13,457,8891.97%$30,932,5171.97%2.26%-2.80%-2.11%
20121.74%2.21%$12,655,1192.43%$13,835,8062.20%$13,754,33815.82%$35,827,48915.82%0.69%18.04%15.80%
20131.50%3.13%$13,051,1353.67%$14,344,0883.41%$14,223,54232.18%$47,355,17832.18%-0.10%37.62%35.00%
20140.76%1.99%$13,311,3621.38%$14,542,0102.00%$14,508,50913.51%$53,752,15613.51%0.71%7.37%13.60%
20150.73%0.53%$13,382,4510.03%$14,546,4660.26%$14,546,7951.25%$54,423,1661.25%0.45%-3.78%-1.45%
20162.07%2.08%$13,660,7532.72%$14,941,4392.01%$14,838,51211.82%$60,854,33711.82%1.00%18.17%11.07%
20172.11%2.52%$14,005,5221.97%$15,235,3592.27%$15,175,18521.67%$74,040,05621.67%0.40%16.10%19.12%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.54%0.56%0.56%0.97%
Arithmetic Mean (annualized)6.71%6.93%6.92%12.28%
Geometric Mean (monthly)0.54%0.56%0.55%0.88%
Geometric Mean (annualized)6.65%6.87%6.86%11.07%
Volatility (monthly)0.96%1.00%0.98%4.25%
Volatility (annualized)3.31%3.46%3.41%14.71%
Downside Deviation (monthly)0.36%0.40%0.37%2.73%
Max. Drawdown-3.56%-4.37%-4.05%-50.97%
US Market Correlation0.500.560.530.99
Beta(*)0.120.120.121.00
Alpha (annualized)5.15%5.27%5.30%0.00%
R226.76%28.09%27.20%100.00%
Sharpe Ratio0.590.630.640.48
Sortino Ratio0.971.011.040.69
Treynor Ratio (%)16.0916.7217.167.00
Calmar Ratio2.341.481.801.34
Active Return-4.42%-4.20%-4.21%N/A
Tracking Error13.30%13.21%13.26%N/A
Information Ratio-0.33-0.32-0.32N/A
Skewness1.321.121.27-0.62
Excess Kurtosis8.588.448.942.30
Historical Value-at-Risk (5%)-0.71%-0.78%-0.75%-6.16%
Analytical Value-at-Risk (5%)-1.03%-1.08%-1.06%-6.02%
Conditional Value-at-Risk (5%)-1.27%-1.41%-1.33%-9.30%
Upside Capture Ratio (%)22.2223.6723.21100.00
Downside Capture Ratio (%)-1.99-0.60-1.44100.00
Safe Withdrawal Rate4.47%4.76%4.65%6.52%
Perpetual Withdrawal Rate2.87%3.07%3.07%6.74%
Positive Periods371 out of 492 (75.41%)377 out of 492 (76.63%)375 out of 492 (76.22%)315 out of 492 (64.02%)
Gain/Loss Ratio1.811.661.781.00
* Vanguard 500 Index Investor 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 3Vanguard 500 Index Investor
Black Monday PeriodSep 1987Nov 1987-1.78%-2.07%-1.67%-29.78%
Asian CrisisJul 1997Jan 1998-0.67%0.00%-0.03%-5.61%
Russian Debt DefaultJul 1998Oct 1998-0.16%-0.82%-0.35%-15.38%
Dotcom CrashMar 2000Oct 2002-0.38%-0.88%-0.22%-44.82%
Subprime CrisisNov 2007Mar 2009-1.91%-2.37%-1.92%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Feb 19801 monthApr 19802 months3 months-3.56%
2Oct 1979Oct 19791 monthDec 19792 months3 months-2.99%
3Feb 1994Apr 19943 monthsJan 19959 months1 year-2.59%
4Aug 1980Oct 19803 monthsDec 19802 months5 months-2.08%
5Jan 2009Feb 20092 monthsApr 20092 months4 months-1.91%
6Sep 1987Nov 19873 monthsJan 19882 months5 months-1.78%
7Apr 1981Apr 19811 monthMay 19811 month2 months-1.75%
8Oct 1978Oct 19781 monthJan 19793 months4 months-1.56%
9Jan 1977Jan 19771 monthJun 19775 months6 months-1.50%
10Apr 2008Oct 20087 monthsDec 20082 months9 months-1.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Mar 19802 monthsApr 19801 month3 months-4.37%
2Oct 1979Oct 19791 monthDec 19792 months3 months-3.49%
3Oct 1978Oct 19781 monthJan 19793 months4 months-3.05%
4Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-2.58%
5Sep 2008Feb 20096 monthsApr 20092 months8 months-2.37%
6Sep 1987Nov 19873 monthsJan 19882 months5 months-2.07%
7Jul 1981Aug 19812 monthsOct 19812 months4 months-1.78%
8Jun 2011Sep 20114 monthsJan 20124 months8 months-1.78%
9Feb 1999Feb 19991 monthApr 19992 months3 months-1.61%
10Apr 2004Apr 20041 monthOct 20046 months7 months-1.57%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Mar 19802 monthsApr 19801 month3 months-4.05%
2Oct 1979Oct 19791 monthDec 19792 months3 months-3.30%
3Feb 1994Jun 19945 monthsJan 19957 months1 year-2.53%
4Oct 1978Oct 19781 monthJan 19793 months4 months-2.28%
5Aug 1980Oct 19803 monthsDec 19802 months5 months-2.04%
6Apr 2008Oct 20087 monthsApr 20096 months1 year 1 month-1.92%
7Sep 1987Nov 19873 monthsJan 19882 months5 months-1.67%
8Jun 2011Sep 20114 monthsJan 20124 months8 months-1.59%
9Jul 1981Aug 19812 monthsOct 19812 months4 months-1.57%
10Dec 1981Jan 19822 monthsApr 19823 months5 months-1.52%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.00%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jan 1977Feb 19781 year 2 monthsAug 19786 months1 year 8 months-14.85%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
8Mar 1980Mar 19801 monthJun 19803 months4 months-9.81%
9Sep 1978Oct 19782 monthsMar 19795 months7 months-9.41%
10Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap11.07%14.71%37.45%-37.02%-50.97%0.480.690.99
Short Term Treasury6.02%3.16%22.12%-0.48%-4.26%0.430.700.07
US Small Cap12.97%18.76%45.63%-36.07%-53.95%0.500.720.91
US Mid Cap13.12%16.57%40.44%-41.82%-54.14%0.550.810.96

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapShort Term TreasuryUS Small CapUS Mid CapPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
US Large Cap1.000.080.850.930.520.530.521.00
Short Term Treasury0.081.000.020.080.890.830.870.08
US Small Cap0.850.021.000.940.400.570.480.85
US Mid Cap0.930.080.941.000.480.580.560.93

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap$3,033,705
Short Term Treasury$9,971,817$10,585,422$10,404,344
US Small Cap$3,649,938
US Mid Cap$3,770,841

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap23.02%
Short Term Treasury76.98%68.92%72.90%
US Small Cap31.08%
US Mid Cap27.10%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year6.89%24.56%-1.52%7.09%26.57%-1.74%7.09%25.41%-1.80%12.59%58.83%-43.32%
3 years7.04%17.09%1.47%7.19%18.50%1.32%7.24%17.89%1.42%11.84%32.80%-16.14%
5 years7.15%16.13%1.92%7.29%16.21%1.74%7.35%16.20%1.79%11.60%28.95%-6.73%
7 years7.15%14.44%2.07%7.26%14.82%1.99%7.34%14.70%1.99%11.35%22.44%-3.94%
10 years7.09%12.23%2.48%7.18%12.33%2.63%7.28%12.35%2.59%11.02%19.37%-3.51%
15 years7.04%10.92%3.08%7.12%11.23%3.35%7.23%11.15%3.32%11.00%19.30%3.64%