Backtest Portfolio Asset Class Allocation

This 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 1994 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
REIT 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$85,092 8.94% 14.79%35.79%-37.04%-50.89% 0.500.701.00
Portfolio 2$10,000$83,723 8.87% 19.17%35.66%-37.05%-68.28% 0.420.610.57
   
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 excluding cashflows
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketREIT
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19942.67%-0.17%-8.40%$9,983$9,160-0.17%-8.40%
19952.54%35.79%12.13%$13,556$10,27135.79%12.13%
19963.32%20.96%33.84%$16,397$13,74620.96%33.84%
19971.70%30.99%18.77%$21,479$16,32730.99%18.77%
19981.61%23.26%-16.32%$26,476$13,66223.26%-16.32%
19992.68%23.81%-4.04%$32,781$13,11023.81%-4.04%
20003.39%-10.57%26.35%$29,315$16,564-10.57%26.35%
20011.55%-10.97%12.35%$26,100$18,611-10.97%12.35%
20022.38%-20.96%3.75%$20,629$19,309-20.96%3.75%
20031.88%31.35%35.66%$27,097$26,19431.35%35.66%
20043.26%12.52%30.76%$30,489$34,25112.52%30.76%
20053.42%5.98%11.89%$32,312$38,3245.98%11.89%
20062.54%15.51%35.07%$37,324$51,76415.51%35.07%
20074.08%5.49%-16.46%$39,373$43,2435.49%-16.46%
20080.09%-37.04%-37.05%$24,790$27,223-37.04%-37.05%
20092.72%28.70%29.58%$31,905$35,27428.70%29.58%
20101.50%17.09%28.30%$37,358$45,25917.09%28.30%
20112.96%0.96%8.47%$37,718$49,0900.96%8.47%
20121.74%16.25%17.53%$43,848$57,69416.25%17.53%
20131.50%33.35%2.31%$58,471$59,02433.35%2.31%
20140.76%12.43%30.13%$65,739$76,81012.43%30.13%
20150.73%0.29%2.22%$65,930$78,5160.29%2.22%
20162.07%12.53%8.34%$74,194$85,06312.53%8.34%
20172.11%21.05%4.83%$89,813$89,16821.05%4.83%
20181.91%-5.26%-6.11%$85,092$83,723-5.26%-6.11%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.81%0.87%
Arithmetic Mean (annualized)10.15%10.93%
Geometric Mean (monthly)0.72%0.71%
Geometric Mean (annualized)8.94%8.87%
Volatility (monthly)4.27%5.53%
Volatility (annualized)14.79%19.17%
Downside Deviation (monthly)2.92%3.77%
Max. Drawdown-50.89%-68.28%
US Market Correlation1.000.57
Beta(*)1.000.74
Alpha (annualized)0.00%3.27%
R2100.00%32.32%
Sharpe Ratio0.500.42
Sortino Ratio0.700.61
Treynor Ratio (%)7.3410.94
Calmar Ratio0.620.14
Active Return0.00%-0.07%
Tracking Error0.00%16.24%
Information RatioN/A-0.00
Skewness-0.77-0.64
Excess Kurtosis1.458.02
Historical Value-at-Risk (5%)-7.74%-6.90%
Analytical Value-at-Risk (5%)-6.22%-8.23%
Conditional Value-at-Risk (5%)-9.92%-13.04%
Upside Capture Ratio (%)100.0074.02
Downside Capture Ratio (%)100.0066.56
Safe Withdrawal Rate9.19%8.13%
Perpetual Withdrawal Rate6.19%6.12%
Positive Periods196 out of 300 (65.33%)179 out of 300 (59.67%)
Gain/Loss Ratio0.851.06
* 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 2
Asian CrisisJul 1997Jan 1998-3.72%-2.80%
Russian Debt DefaultJul 1998Oct 1998-17.57%-15.48%
Dotcom CrashMar 2000Oct 2002-44.11%-13.01%
Subprime CrisisNov 2007Mar 2009-50.89%-64.54%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Oct 2018Dec 20183 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
8Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
10Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2007Feb 20092 years 1 monthJun 20123 years 4 months5 years 5 months-68.28%
2Jan 1998Nov 19991 year 11 monthsDec 20001 year 1 month3 years-22.09%
3Feb 1994Nov 199410 monthsDec 19951 year 1 month1 year 11 months-16.93%
4Aug 2016Feb 20181 year 7 months-14.98%
5Apr 2004Apr 20041 monthAug 20044 months5 months-14.56%
6May 2013Aug 20134 monthsApr 20148 months1 year-13.41%
7Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-13.09%
8Jul 2002Oct 20024 monthsMay 20037 months11 months-13.01%
9Jan 2005Jan 20051 monthMay 20054 months5 months-8.46%
10Sep 2001Oct 20012 monthsDec 20012 months4 months-7.12%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.94%14.79%35.79%-37.04%-50.89%0.500.701.00
REIT8.87%19.17%35.66%-37.05%-68.28%0.420.610.57

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketREITPortfolio 1Portfolio 2
US Stock Market-0.571.000.57
REIT0.57-0.571.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$75,092
REIT$73,723

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
REIT100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.53%35.79%-37.04%10.56%35.66%-37.05%
3 years9.70%29.10%-14.31%10.39%25.67%-12.00%
5 years8.79%26.84%-1.76%10.00%22.70%-1.06%
7 years7.62%16.61%-0.73%10.15%21.68%1.89%
10 years6.97%13.13%-0.66%10.08%14.18%5.09%
15 years6.64%10.30%4.75%9.77%12.51%6.90%
Result statistics are based on annualized rolling returns over full calendar year periods