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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Select allocation for portfolio 1

Select allocation for portfolio 2

Select allocation for portfolio 3

US Stock Market

Enter US Stock Market allocation for portfolio 1 %

Enter US Stock Market allocation for portfolio 2 %

Enter US Stock Market allocation for portfolio 3 %

US Large Cap

Enter US Large Cap allocation for portfolio 1 %

Enter US Large Cap allocation for portfolio 2 %

Enter US Large Cap allocation for portfolio 3 %

US Large Cap Value

Enter US Large Cap Value allocation for portfolio 1 %

Enter US Large Cap Value allocation for portfolio 2 %

Enter US Large Cap Value allocation for portfolio 3 %

US Large Cap Growth

Enter US Large Cap Growth allocation for portfolio 1 %

Enter US Large Cap Growth allocation for portfolio 2 %

Enter US Large Cap Growth allocation for portfolio 3 %

US Mid Cap

Enter US Mid Cap allocation for portfolio 1 %

Enter US Mid Cap allocation for portfolio 2 %

Enter US Mid Cap allocation for portfolio 3 %

US Mid Cap Value

Enter US Mid Cap Value allocation for portfolio 1 %

Enter US Mid Cap Value allocation for portfolio 2 %

Enter US Mid Cap Value allocation for portfolio 3 %

US Mid Cap Growth

Enter US Mid Cap Growth allocation for portfolio 1 %

Enter US Mid Cap Growth allocation for portfolio 2 %

Enter US Mid Cap Growth allocation for portfolio 3 %

US Small Cap

Enter US Small Cap allocation for portfolio 1 %

Enter US Small Cap allocation for portfolio 2 %

Enter US Small Cap allocation for portfolio 3 %

US Small Cap Value

Enter US Small Cap Value allocation for portfolio 1 %

Enter US Small Cap Value allocation for portfolio 2 %

Enter US Small Cap Value allocation for portfolio 3 %

US Small Cap Growth

Enter US Small Cap Growth allocation for portfolio 1 %

Enter US Small Cap Growth allocation for portfolio 2 %

Enter US Small Cap Growth allocation for portfolio 3 %

US Micro Cap

Enter US Micro Cap allocation for portfolio 1 %

Enter US Micro Cap allocation for portfolio 2 %

Enter US Micro Cap allocation for portfolio 3 %

Global ex-US Stock Market

Enter Global ex-US Stock Market allocation for portfolio 1 %

Enter Global ex-US Stock Market allocation for portfolio 2 %

Enter Global ex-US Stock Market allocation for portfolio 3 %

Intl Developed ex-US Market

Enter Intl Developed ex-US Market allocation for portfolio 1 %

Enter Intl Developed ex-US Market allocation for portfolio 2 %

Enter Intl Developed ex-US Market allocation for portfolio 3 %

International ex-US Small Cap

Enter International ex-US Small Cap allocation for portfolio 1 %

Enter International ex-US Small Cap allocation for portfolio 2 %

Enter International ex-US Small Cap allocation for portfolio 3 %

International ex-US Value

Enter International ex-US Value allocation for portfolio 1 %

Enter International ex-US Value allocation for portfolio 2 %

Enter International ex-US Value allocation for portfolio 3 %

European Stocks

Enter European Stocks allocation for portfolio 1 %

Enter European Stocks allocation for portfolio 2 %

Enter European Stocks allocation for portfolio 3 %

Pacific Stocks

Enter Pacific Stocks allocation for portfolio 1 %

Enter Pacific Stocks allocation for portfolio 2 %

Enter Pacific Stocks allocation for portfolio 3 %

Emerging Markets

Enter Emerging Markets allocation for portfolio 1 %

Enter Emerging Markets allocation for portfolio 2 %

Enter Emerging Markets allocation for portfolio 3 %

Cash

Enter Cash allocation for portfolio 1 %

Enter Cash allocation for portfolio 2 %

Enter Cash allocation for portfolio 3 %

Short Term Treasury

Enter Short Term Treasury allocation for portfolio 1 %

Enter Short Term Treasury allocation for portfolio 2 %

Enter Short Term Treasury allocation for portfolio 3 %

Intermediate Term Treasury

Enter Intermediate Term Treasury allocation for portfolio 1 %

Enter Intermediate Term Treasury allocation for portfolio 2 %

Enter Intermediate Term Treasury allocation for portfolio 3 %

10-year Treasury

Enter 10-year Treasury allocation for portfolio 1 %

Enter 10-year Treasury allocation for portfolio 2 %

Enter 10-year Treasury allocation for portfolio 3 %

Long Term Treasury

Enter Long Term Treasury allocation for portfolio 1 %

Enter Long Term Treasury allocation for portfolio 2 %

Enter Long Term Treasury allocation for portfolio 3 %

Total US Bond Market

Enter Total US Bond Market allocation for portfolio 1 %

Enter Total US Bond Market allocation for portfolio 2 %

Enter Total US Bond Market allocation for portfolio 3 %

TIPS

Enter TIPS allocation for portfolio 1 %

Enter TIPS allocation for portfolio 2 %

Enter TIPS allocation for portfolio 3 %

Global Bonds (Unhedged)

Enter Global Bonds (Unhedged) allocation for portfolio 1 %

Enter Global Bonds (Unhedged) allocation for portfolio 2 %

Enter Global Bonds (Unhedged) allocation for portfolio 3 %

Global Bonds (USD Hedged)

Enter Global Bonds (USD Hedged) allocation for portfolio 1 %

Enter Global Bonds (USD Hedged) allocation for portfolio 2 %

Enter Global Bonds (USD Hedged) allocation for portfolio 3 %

Short-Term Investment Grade

Enter Short-Term Investment Grade allocation for portfolio 1 %

Enter Short-Term Investment Grade allocation for portfolio 2 %

Enter Short-Term Investment Grade allocation for portfolio 3 %

Corporate Bonds

Enter Corporate Bonds allocation for portfolio 1 %

Enter Corporate Bonds allocation for portfolio 2 %

Enter Corporate Bonds allocation for portfolio 3 %

Long-Term Corporate Bonds

Enter Long-Term Corporate Bonds allocation for portfolio 1 %

Enter Long-Term Corporate Bonds allocation for portfolio 2 %

Enter Long-Term Corporate Bonds allocation for portfolio 3 %

High Yield Corporate Bonds

Enter High Yield Corporate Bonds allocation for portfolio 1 %

Enter High Yield Corporate Bonds allocation for portfolio 2 %

Enter High Yield Corporate Bonds allocation for portfolio 3 %

Short-Term Tax-Exempt

Enter Short-Term Tax-Exempt allocation for portfolio 1 %

Enter Short-Term Tax-Exempt allocation for portfolio 2 %

Enter Short-Term Tax-Exempt allocation for portfolio 3 %

Intermediate-Term Tax-Exempt

Enter Intermediate-Term Tax-Exempt allocation for portfolio 1 %

Enter Intermediate-Term Tax-Exempt allocation for portfolio 2 %

Enter Intermediate-Term Tax-Exempt allocation for portfolio 3 %

Long-Term Tax-Exempt

Enter Long-Term Tax-Exempt allocation for portfolio 1 %

Enter Long-Term Tax-Exempt allocation for portfolio 2 %

Enter Long-Term Tax-Exempt allocation for portfolio 3 %

REIT

Enter REIT allocation for portfolio 1 %

Enter REIT allocation for portfolio 2 %

Enter REIT allocation for portfolio 3 %

Gold

Enter Gold allocation for portfolio 1 %

Enter Gold allocation for portfolio 2 %

Enter Gold allocation for portfolio 3 %

Precious Metals

Enter Precious Metals allocation for portfolio 1 %

Enter Precious Metals allocation for portfolio 2 %

Enter Precious Metals allocation for portfolio 3 %

Commodities

Enter Commodities allocation for portfolio 1 %

Enter Commodities allocation for portfolio 2 %

Enter Commodities allocation for portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1972 - Dec 2018)

Portfolio Allocations

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

Portfolio 2
Asset Class	Allocation
US Large Cap	40.00%
10-year Treasury	60.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$875,903	9.98%	15.07%	37.45%	-37.02%	-50.97%	0.40	0.58	0.99
Portfolio 2	$10,000	$505,893	8.71%	8.01%	32.13%	-8.34%	-18.52%	0.50	0.77	0.77

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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation

Annual returns for the configured portfolios
Year	Inflation	Return		Balance		US Large Cap	10-year Treasury
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 1	Portfolio 2	US Large Cap	10-year Treasury
1972	3.41%	18.95%	8.99%	$11,895	$10,899	18.95%	2.35%
1973	8.71%	-16.18%	-4.50%	$9,971	$10,409	-16.18%	3.29%
1974	12.34%	-26.93%	-8.34%	$7,286	$9,540	-26.93%	4.05%
1975	6.94%	36.95%	18.09%	$9,978	$11,267	36.95%	5.52%
1976	4.86%	24.18%	18.85%	$12,391	$13,390	24.18%	15.29%
1977	6.70%	-7.84%	-2.82%	$11,419	$13,013	-7.84%	0.53%
1978	9.02%	5.87%	1.90%	$12,089	$13,261	5.87%	-0.74%
1979	13.29%	18.05%	8.32%	$14,271	$14,363	18.05%	1.83%
1980	12.52%	31.92%	11.99%	$18,826	$16,086	31.92%	-1.29%
1981	8.92%	-5.21%	1.09%	$17,846	$16,260	-5.21%	5.28%
1982	3.83%	20.97%	32.13%	$21,589	$21,485	20.97%	39.57%
1983	3.79%	21.29%	9.89%	$26,186	$23,611	21.29%	2.30%
1984	3.95%	6.21%	11.41%	$27,812	$26,305	6.21%	14.87%
1985	3.80%	31.23%	30.40%	$36,498	$34,302	31.23%	29.85%
1986	1.10%	18.06%	20.03%	$43,089	$41,174	18.06%	21.35%
1987	4.43%	4.71%	0.30%	$45,117	$41,296	4.71%	-2.64%
1988	4.42%	16.22%	10.63%	$52,435	$45,685	16.22%	6.90%
1989	4.65%	31.36%	23.25%	$68,881	$56,308	31.36%	17.84%
1990	6.11%	-3.32%	3.29%	$66,591	$58,160	-3.32%	7.70%
1991	3.06%	30.22%	23.43%	$86,716	$71,789	30.22%	18.91%
1992	2.90%	7.42%	7.31%	$93,153	$77,035	7.42%	7.23%
1993	2.75%	9.89%	11.74%	$102,369	$86,080	9.89%	12.97%
1994	2.67%	1.18%	-3.85%	$103,572	$82,770	1.18%	-7.19%
1995	2.54%	37.45%	30.31%	$142,356	$107,856	37.45%	25.55%
1996	3.32%	22.88%	9.15%	$174,923	$117,725	22.88%	-0.00%
1997	1.70%	33.19%	20.46%	$232,981	$141,806	33.19%	11.97%
1998	1.61%	28.62%	20.23%	$299,653	$170,493	28.62%	14.64%
1999	2.68%	21.07%	3.73%	$362,785	$176,854	21.07%	-7.83%
2000	3.39%	-9.06%	6.74%	$329,930	$188,781	-9.06%	17.28%
2001	1.55%	-12.02%	-1.57%	$290,263	$185,821	-12.02%	5.40%
2002	2.38%	-22.15%	0.41%	$225,984	$186,585	-22.15%	15.45%
2003	1.88%	28.50%	11.49%	$290,393	$208,028	28.50%	0.15%
2004	3.26%	10.74%	6.99%	$321,582	$222,578	10.74%	4.50%
2005	3.42%	4.77%	3.72%	$336,937	$230,855	4.77%	3.01%
2006	2.54%	15.64%	7.57%	$389,639	$248,334	15.64%	2.19%
2007	4.08%	5.39%	8.41%	$410,628	$269,216	5.39%	10.42%
2008	0.09%	-37.02%	-2.49%	$258,611	$262,518	-37.02%	20.53%
2009	2.72%	26.49%	4.49%	$327,105	$274,307	26.49%	-10.17%
2010	1.50%	14.91%	10.72%	$375,889	$303,708	14.91%	7.92%
2011	2.96%	1.97%	10.53%	$383,278	$335,697	1.97%	16.24%
2012	1.74%	15.82%	7.97%	$443,932	$362,449	15.82%	2.73%
2013	1.50%	32.18%	7.73%	$586,769	$390,462	32.18%	-8.57%
2014	0.76%	13.51%	11.78%	$666,034	$436,476	13.51%	10.63%
2015	0.73%	1.25%	1.17%	$674,367	$441,600	1.25%	1.12%
2016	2.07%	11.82%	5.33%	$754,057	$465,135	11.82%	1.00%
2017	2.11%	21.67%	10.10%	$917,443	$512,129	21.67%	2.39%
2018	1.91%	-4.53%	-1.22%	$875,903	$505,893	-4.53%	0.99%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.89%	0.72%
Arithmetic Mean (annualized)	11.24%	9.05%
Geometric Mean (monthly)	0.80%	0.70%
Geometric Mean (annualized)	9.98%	8.71%
Volatility (monthly)	4.35%	2.31%
Volatility (annualized)	15.07%	8.01%
Downside Deviation (monthly)	2.79%	1.26%
Max. Drawdown	-50.97%	-18.52%
US Market Correlation	0.99	0.77
Beta^(*)	0.97	0.40
Alpha (annualized)	0.22%	4.35%
R²	97.87%	59.55%
Sharpe Ratio	0.40	0.50
Sortino Ratio	0.58	0.77
Treynor Ratio (%)	6.17	9.90
Calmar Ratio	0.67	1.14
Active Return	-0.06%	-1.34%
Tracking Error	2.25%	10.51%
Information Ratio	-0.03	-0.13
Skewness	-0.43	0.09
Excess Kurtosis	2.21	1.30
Historical Value-at-Risk (5%)	-6.71%	-3.16%
Analytical Value-at-Risk (5%)	-6.26%	-3.08%
Conditional Value-at-Risk (5%)	-9.59%	-4.40%
Upside Capture Ratio (%)	96.35	47.74
Downside Capture Ratio (%)	95.58	30.95
Safe Withdrawal Rate	4.20%	3.92%
Perpetual Withdrawal Rate	5.51%	4.40%
Positive Periods	351 out of 564 (62.23%)	362 out of 564 (64.18%)
Gain/Loss Ratio	1.02	1.30
^* 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 Period	Start	End	Portfolio 1	Portfolio 2
Oil Crisis	Oct 1973	Mar 1974	-13.05%	-6.20%
Black Monday Period	Sep 1987	Nov 1987	-29.78%	-13.64%
Asian Crisis	Jul 1997	Jan 1998	-5.61%	-3.53%
Russian Debt Default	Jul 1998	Oct 1998	-15.38%	-4.30%
Dotcom Crash	Mar 2000	Oct 2002	-44.82%	-6.23%
Subprime Crisis	Nov 2007	Mar 2009	-50.97%	-13.55%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Jan 1973	Sep 1974	1 year 9 months	Sep 1976	2 years	3 years 9 months	-44.87%
3	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
4	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-29.78%
5	Dec 1980	Jul 1982	1 year 8 months	Oct 1982	3 months	1 year 11 months	-17.00%
6	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
7	Jan 1977	Feb 1978	1 year 2 months	Aug 1978	6 months	1 year 8 months	-14.86%
8	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-14.70%
9	Oct 2018	Dec 2018	3 months				-13.55%
10	Mar 1980	Mar 1980	1 month	Jun 1980	3 months	4 months	-9.81%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 1973	Sep 1974	1 year 9 months	Jun 1975	9 months	2 years 6 months	-18.52%
2	Sep 1987	Nov 1987	3 months	Oct 1988	11 months	1 year 2 months	-13.64%
3	Dec 2007	Feb 2009	1 year 3 months	Sep 2009	7 months	1 year 10 months	-13.55%
4	Sep 1979	Mar 1980	7 months	May 1980	2 months	9 months	-9.54%
5	Dec 1980	Sep 1981	10 months	Nov 1981	2 months	1 year	-9.08%
6	Feb 1994	Jun 1994	5 months	Mar 1995	9 months	1 year 2 months	-7.91%
7	Feb 1984	May 1984	4 months	Aug 1984	3 months	7 months	-7.35%
8	Jul 1975	Sep 1975	3 months	Dec 1975	3 months	6 months	-6.52%
9	Aug 1990	Sep 1990	2 months	Dec 1990	3 months	5 months	-6.37%
10	Feb 2001	Jul 2002	1 year 6 months	May 2003	10 months	2 years 4 months	-6.23%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Large Cap	9.98%	15.07%	37.45%	-37.02%	-50.97%	0.40	0.58	0.99
10-year Treasury	7.07%	8.11%	39.57%	-10.17%	-15.76%	0.30	0.47	0.05

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap	10-year Treasury	Portfolio 1	Portfolio 2
US Large Cap	1.00	0.07	1.00	0.79
10-year Treasury	0.07	1.00	0.07	0.66

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap	$865,903	$274,966
10-year Treasury		$220,927

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap	100.00%	59.65%
10-year Treasury		40.35%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	11.45%	37.45%	-37.02%	9.09%	32.13%	-8.34%
3 years	10.69%	31.03%	-14.60%	9.07%	20.37%	-1.56%
5 years	10.97%	28.49%	-2.38%	9.35%	20.42%	3.61%
7 years	10.95%	21.44%	-1.64%	9.45%	16.24%	4.02%
10 years	10.93%	19.04%	-1.46%	9.66%	16.01%	4.41%
15 years	11.15%	18.68%	4.13%	9.90%	14.11%	5.68%
Result statistics are based on annualized rolling returns over full calendar year periods