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 1972 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$87,590 9.98% 15.07%37.45%-37.02%-50.97% 0.410.590.99
   
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Large Cap
19723.41%18.95%$1,19018.95%
19738.71%-16.18%$997-16.18%
197412.34%-26.93%$729-26.93%
19756.94%36.95%$99836.95%
19764.86%24.18%$1,23924.18%
19776.70%-7.84%$1,142-7.84%
19789.02%5.87%$1,2095.87%
197913.29%18.05%$1,42718.05%
198012.52%31.92%$1,88331.92%
19818.92%-5.21%$1,785-5.21%
19823.83%20.97%$2,15920.97%
19833.79%21.29%$2,61921.29%
19843.95%6.21%$2,7816.21%
19853.80%31.23%$3,65031.23%
19861.10%18.06%$4,30918.06%
19874.43%4.71%$4,5124.71%
19884.42%16.22%$5,24316.22%
19894.65%31.36%$6,88831.36%
19906.11%-3.32%$6,659-3.32%
19913.06%30.22%$8,67230.22%
19922.90%7.42%$9,3157.42%
19932.75%9.89%$10,2379.89%
19942.67%1.18%$10,3571.18%
19952.54%37.45%$14,23637.45%
19963.32%22.88%$17,49222.88%
19971.70%33.19%$23,29833.19%
19981.61%28.62%$29,96528.62%
19992.68%21.07%$36,27821.07%
20003.39%-9.06%$32,993-9.06%
20011.55%-12.02%$29,026-12.02%
20022.38%-22.15%$22,598-22.15%
20031.88%28.50%$29,03928.50%
20043.26%10.74%$32,15810.74%
20053.42%4.77%$33,6944.77%
20062.54%15.64%$38,96415.64%
20074.08%5.39%$41,0635.39%
20080.09%-37.02%$25,861-37.02%
20092.72%26.49%$32,71126.49%
20101.50%14.91%$37,58914.91%
20112.96%1.97%$38,3281.97%
20121.74%15.82%$44,39315.82%
20131.50%32.18%$58,67732.18%
20140.76%13.51%$66,60313.51%
20150.73%1.25%$67,4371.25%
20162.07%11.82%$75,40611.82%
20172.11%21.67%$91,74421.67%
20181.91%-4.53%$87,590-4.53%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.89%
Arithmetic Mean (annualized)11.24%
Geometric Mean (monthly)0.80%
Geometric Mean (annualized)9.98%
Volatility (monthly)4.35%
Volatility (annualized)15.07%
Downside Deviation (monthly)2.79%
Max. Drawdown-50.97%
US Market Correlation0.99
Beta(*)0.97
Alpha (annualized)0.22%
R297.87%
Sharpe Ratio0.41
Sortino Ratio0.59
Treynor Ratio (%)6.32
Calmar Ratio0.67
Information Ratio-0.05
Diversification Ratio1.00
Skewness-0.43
Excess Kurtosis2.21
Historical Value-at-Risk (5%)-6.71%
Analytical Value-at-Risk (5%)-6.26%
Conditional Value-at-Risk (5%)-9.59%
Upside Capture Ratio (%)96.35
Downside Capture Ratio (%)95.58
Sustainable Withdrawal Rate4.20%
Positive Periods351 out of 564 (62.23%)
Gain/Loss Ratio1.02
* 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
Oil CrisisOct 1973Mar 1974-13.05%
Black Monday PeriodSep 1987Nov 1987-29.78%
Asian CrisisJul 1997Jan 1998-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%
Dotcom CrashMar 2000Oct 2002-44.82%
Subprime CrisisNov 2007Mar 2009-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Jan 1973Sep 19741 year 9 monthsSep 19762 years3 years 9 months-44.87%
3Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.00%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
7Jan 1977Feb 19781 year 2 monthsAug 19786 months1 year 8 months-14.86%
8Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
9Oct 2018Dec 20183 months-13.55%
10Mar 1980Mar 19801 monthJun 19803 months4 months-9.81%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap9.98%15.07%37.45%-37.02%-50.97%0.410.590.99

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year11.45%37.45%-37.02%
3 years10.69%31.03%-14.60%
5 years10.97%28.49%-2.38%
7 years10.95%21.44%-1.64%
10 years10.93%19.04%-1.46%
15 years11.15%18.68%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods