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.

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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 2001 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Intermediate Term Treasury 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
TIPS 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,658 4.39% 4.64%14.15%-3.09%-4.48% 0.661.11-0.33
Portfolio 2$10,000$22,912 4.71% 5.91%16.61%-8.92%-12.50% 0.580.870.02
   
Notes on results:
  • Past performance is not a guarantee of future returns. 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
YearInflationReturnBalanceIntermediate Term TreasuryTIPS
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20011.55%7.55%7.61%$10,755$10,7617.55%7.61%
20022.38%14.15%16.61%$12,276$12,54814.15%16.61%
20031.88%2.37%8.00%$12,567$13,5532.37%8.00%
20043.26%3.40%8.27%$12,995$14,6743.40%8.27%
20053.42%2.31%2.59%$13,295$15,0542.31%2.59%
20062.54%3.14%0.43%$13,712$15,1183.14%0.43%
20074.08%9.98%11.59%$15,081$16,8719.98%11.59%
20080.09%13.32%-2.85%$17,090$16,39113.32%-2.85%
20092.72%-1.69%10.80%$16,800$18,161-1.69%10.80%
20101.50%7.35%6.17%$18,035$19,2817.35%6.17%
20112.96%9.79%13.23%$19,800$21,8339.79%13.23%
20121.74%2.67%6.77%$20,330$23,3122.67%6.77%
20131.50%-3.09%-8.92%$19,702$21,233-3.09%-8.92%
20140.76%4.32%3.83%$20,553$22,0464.32%3.83%
20150.73%1.50%-1.83%$20,862$21,6431.50%-1.83%
20162.07%1.19%4.52%$21,109$22,6221.19%4.52%
20172.11%1.58%2.81%$21,443$23,2581.58%2.81%
20181.91%1.00%-1.49%$21,658$22,9121.00%-1.49%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.37%0.40%
Arithmetic Mean (annualized)4.50%4.90%
Geometric Mean (monthly)0.36%0.38%
Geometric Mean (annualized)4.39%4.71%
Volatility (monthly)1.34%1.71%
Volatility (annualized)4.64%5.91%
Downside Deviation (monthly)0.75%1.10%
Max. Drawdown-4.48%-12.50%
US Market Correlation-0.330.02
Beta(*)-0.100.01
Alpha (annualized)5.13%4.72%
R210.79%0.06%
Sharpe Ratio0.660.58
Sortino Ratio1.110.87
Treynor Ratio (%)-29.54365.00
Calmar Ratio0.280.71
Active Return-1.71%-1.39%
Tracking Error16.88%15.78%
Information Ratio-0.10-0.09
Skewness0.12-0.73
Excess Kurtosis1.074.57
Historical Value-at-Risk (5%)-1.77%-2.24%
Analytical Value-at-Risk (5%)-1.84%-2.41%
Conditional Value-at-Risk (5%)-2.62%-4.00%
Upside Capture Ratio (%)1.709.26
Downside Capture Ratio (%)-25.21-14.71
Safe Withdrawal Rate7.47%8.00%
Perpetual Withdrawal Rate2.22%2.53%
Positive Periods133 out of 216 (61.57%)142 out of 216 (65.74%)
Gain/Loss Ratio1.280.94
* 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
Subprime CrisisNov 2007Mar 2009-3.43%-12.50%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Apr 20181 year 9 months-4.48%
2May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
3Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
4Nov 2001Mar 20025 monthsJun 20023 months8 months-4.03%
5Apr 2004May 20042 monthsOct 20045 months7 months-3.74%
6Nov 2010Mar 20115 monthsJul 20114 months9 months-3.51%
7Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
8Apr 2009Jun 20093 monthsNov 20095 months8 months-3.20%
9Dec 2009Dec 20091 monthMay 20105 months6 months-3.14%
10Jan 2009Feb 20092 monthsMar 20091 month3 months-2.96%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsSep 200911 months1 year 6 months-12.50%
2Dec 2012Dec 20131 year 1 month-9.43%
3Jun 2003Jul 20032 monthsDec 20035 months7 months-5.32%
4Apr 2004Apr 20041 monthAug 20044 months5 months-4.69%
5Nov 2001Dec 20012 monthsApr 20024 months6 months-3.37%
6Nov 2010Dec 20102 monthsApr 20114 months6 months-3.22%
7Oct 2002Oct 20021 monthDec 20022 months3 months-2.75%
8Feb 2006Apr 20063 monthsAug 20064 months7 months-2.38%
9Dec 2006Dec 20061 monthMar 20073 months4 months-2.32%
10Dec 2009Dec 20091 monthApr 20104 months5 months-2.23%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Intermediate Term Treasury4.39%4.64%14.15%-3.09%-4.48%0.661.11-0.33
TIPS4.71%5.91%16.61%-8.92%-12.50%0.580.870.02

Monthly Correlations

Correlations for the portfolio assets
NameIntermediate Term TreasuryTIPSPortfolio 1Portfolio 2
Intermediate Term Treasury-0.731.000.73
TIPS0.73-0.731.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Intermediate Term Treasury$11,658
TIPS$12,912

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Intermediate Term Treasury100.00%
TIPS100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.49%14.15%-3.09%4.90%16.61%-8.92%
3 years4.30%8.73%0.86%4.73%10.89%-2.45%
5 years4.35%7.62%1.07%4.51%8.53%-0.05%
7 years4.59%6.84%1.29%4.70%7.76%0.69%
10 years4.65%6.29%2.40%4.86%7.33%3.26%
15 years4.28%5.02%3.70%4.53%5.28%3.56%
Result statistics are based on annualized rolling returns over full calendar year periods