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 1972 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Small Cap Value 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Small Cap Growth 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Large Cap Growth 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$4,246,503 13.74% 17.79%54.78%-32.05%-56.13% 0.560.820.89
Portfolio 2$10,000$728,306 9.55% 21.09%56.63%-40.26%-64.07% 0.320.460.90
Portfolio 3$10,000$774,047 9.69% 16.63%44.61%-38.32%-53.60% 0.370.540.96
   
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 Small Cap ValueUS Small Cap GrowthUS Large Cap Growth
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19723.41%11.15%6.36%22.97%$11,115$10,636$12,29711.15%6.36%22.97%
19738.71%-24.12%-40.26%-23.09%$8,434$6,354$9,458-24.12%-40.26%-23.09%
197412.34%-21.09%-33.72%-32.34%$6,656$4,212$6,399-21.09%-33.72%-32.34%
19756.94%53.94%56.63%33.10%$10,246$6,597$8,51753.94%56.63%33.10%
19764.86%54.78%36.40%14.85%$15,859$8,998$9,78154.78%36.40%14.85%
19776.70%15.88%15.36%-8.66%$18,377$10,379$8,93515.88%15.36%-8.66%
19789.02%19.25%16.60%7.11%$21,914$12,102$9,57019.25%16.60%7.11%
197913.29%37.80%45.21%17.44%$30,199$17,573$11,23837.80%45.21%17.44%
198012.52%25.77%46.32%35.59%$37,981$25,712$15,23825.77%46.32%35.59%
19818.92%15.69%-5.82%-6.20%$43,940$24,216$14,29315.69%-5.82%-6.20%
19823.83%36.87%22.36%20.33%$60,141$29,630$17,19836.87%22.36%20.33%
19833.79%42.61%20.54%16.92%$85,766$35,717$20,10842.61%20.54%16.92%
19843.95%5.69%-13.51%1.56%$90,646$30,891$20,4215.69%-13.51%1.56%
19853.80%37.46%31.17%33.57%$124,602$40,519$27,27737.46%31.17%33.57%
19861.10%13.99%5.71%16.96%$142,032$42,834$31,90213.99%5.71%16.96%
19874.43%-3.51%-9.10%6.44%$137,050$38,936$33,956-3.51%-9.10%6.44%
19884.42%29.00%18.42%13.21%$176,788$46,110$38,44229.00%18.42%13.21%
19894.65%19.21%19.62%35.83%$210,741$55,159$52,21619.21%19.62%35.83%
19906.11%-19.05%-14.26%1.54%$170,604$47,296$53,020-19.05%-14.26%1.54%
19913.06%42.96%49.22%44.61%$243,893$70,574$76,67042.96%49.22%44.61%
19922.90%28.23%10.18%6.61%$312,743$77,761$81,74128.23%10.18%6.61%
19932.75%21.10%11.25%1.53%$378,729$86,511$82,99021.10%11.25%1.53%
19942.67%-0.07%-3.63%2.89%$378,468$83,375$85,388-0.07%-3.63%2.89%
19952.54%30.32%30.07%38.06%$493,216$108,449$117,89030.32%30.07%38.06%
19963.32%21.41%10.24%23.74%$598,809$119,551$145,87621.41%10.24%23.74%
19971.70%35.44%14.37%36.34%$811,015$136,736$198,88835.44%14.37%36.34%
19981.61%-2.68%3.52%42.21%$789,318$141,554$282,830-2.68%3.52%42.21%
19992.68%3.35%19.80%28.76%$815,757$169,582$364,1703.35%19.80%28.76%
20003.39%21.88%1.59%-22.21%$994,230$172,276$283,29321.88%1.59%-22.21%
20011.55%13.70%-0.78%-12.93%$1,130,412$170,940$246,66713.70%-0.78%-12.93%
20022.38%-14.20%-15.41%-23.68%$969,916$144,599$188,265-14.20%-15.41%-23.68%
20031.88%37.19%42.88%25.92%$1,330,637$206,605$237,06937.19%42.88%25.92%
20043.26%23.55%16.06%7.20%$1,644,026$239,780$254,13823.55%16.06%7.20%
20053.42%6.07%8.64%5.09%$1,743,854$260,489$267,0666.07%8.64%5.09%
20062.54%19.24%11.95%9.01%$2,079,438$291,630$291,13819.24%11.95%9.01%
20074.08%-7.07%9.63%12.56%$1,932,371$319,709$327,719-7.07%9.63%12.56%
20080.09%-32.05%-40.00%-38.32%$1,312,955$191,825$202,136-32.05%-40.00%-38.32%
20092.72%30.34%41.85%36.29%$1,711,248$272,101$275,49230.34%41.85%36.29%
20101.50%24.82%30.69%16.96%$2,135,946$355,615$322,21124.82%30.69%16.96%
20112.96%-4.16%-1.58%1.71%$2,047,023$350,013$327,716-4.16%-1.58%1.71%
20121.74%18.56%17.52%16.89%$2,427,052$411,333$383,05418.56%17.52%16.89%
20131.50%36.41%37.98%32.16%$3,310,671$567,540$506,26236.41%37.98%32.16%
20140.76%10.39%3.88%13.47%$3,654,657$589,543$574,43010.39%3.88%13.47%
20150.73%-4.77%-2.64%3.17%$3,480,171$573,991$592,622-4.77%-2.64%3.17%
20162.07%24.65%10.61%5.99%$4,337,971$634,880$628,14924.65%10.61%5.99%
20172.11%11.67%21.78%27.65%$4,844,253$773,168$801,80811.67%21.78%27.65%
20181.91%-12.34%-5.80%-3.46%$4,246,503$728,306$774,047-12.34%-5.80%-3.46%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)1.21%0.95%0.89%
Arithmetic Mean (annualized)15.56%12.04%11.22%
Geometric Mean (monthly)1.08%0.76%0.77%
Geometric Mean (annualized)13.74%9.55%9.69%
Volatility (monthly)5.14%6.09%4.80%
Volatility (annualized)17.79%21.09%16.63%
Downside Deviation (monthly)3.33%4.07%3.08%
Max. Drawdown-56.13%-64.07%-53.60%
US Market Correlation0.890.900.96
Beta(*)1.031.231.04
Alpha (annualized)3.47%-1.86%-0.56%
R278.50%80.37%92.50%
Sharpe Ratio0.560.320.37
Sortino Ratio0.820.460.54
Treynor Ratio (%)9.745.585.88
Calmar Ratio0.360.400.57
Active Return3.69%-0.50%-0.35%
Tracking Error8.26%9.99%4.59%
Information Ratio0.45-0.05-0.08
Skewness-0.58-0.52-0.33
Excess Kurtosis3.752.472.01
Historical Value-at-Risk (5%)-7.12%-9.07%-7.29%
Analytical Value-at-Risk (5%)-7.23%-9.06%-7.00%
Conditional Value-at-Risk (5%)-11.79%-13.45%-10.49%
Upside Capture Ratio (%)111.60122.55101.80
Downside Capture Ratio (%)95.87130.34104.10
Safe Withdrawal Rate7.73%3.62%3.42%
Perpetual Withdrawal Rate8.63%5.14%5.26%
Positive Periods366 out of 564 (64.89%)341 out of 564 (60.46%)333 out of 564 (59.04%)
Gain/Loss Ratio1.020.981.12
* 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 2Portfolio 3
Oil CrisisOct 1973Mar 1974-15.17%-23.01%-17.33%
Black Monday PeriodSep 1987Nov 1987-29.46%-37.41%-31.48%
Asian CrisisJul 1997Jan 1998-3.14%-8.89%-6.64%
Russian Debt DefaultJul 1998Oct 1998-23.66%-27.58%-13.04%
Dotcom CrashMar 2000Oct 2002-28.62%-32.15%-53.58%
Subprime CrisisNov 2007Mar 2009-53.25%-53.52%-47.19%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-56.13%
2Dec 1972Dec 19742 years 1 monthJan 19761 year 1 month3 years 2 months-41.10%
3May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
4Sep 1989Oct 19901 year 2 monthsMay 19917 months1 year 9 months-30.82%
5Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-29.46%
6May 1998Aug 19984 monthsAug 20002 years2 years 4 months-27.15%
7May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
8Sep 2018Dec 20184 months-18.94%
9Feb 1980Mar 19802 monthsJul 19804 months6 months-18.53%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-18.52%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 1972Sep 19742 years 5 monthsApr 19783 years 7 months6 years-64.07%
2Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-53.52%
3Sep 1987Nov 19873 monthsAug 19891 year 9 months2 years-37.41%
4Mar 2000Feb 20033 yearsNov 20039 months3 years 9 months-32.59%
5May 1998Aug 19984 monthsDec 19991 year 4 months1 year 8 months-31.18%
6Jul 1983Jul 19841 year 1 monthFeb 19861 year 7 months2 years 8 months-30.96%
7Jul 1990Oct 19904 monthsMar 19915 months9 months-28.96%
8Jun 1981Jul 19821 year 2 monthsNov 19824 months1 year 6 months-28.72%
9May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-25.14%
10Sep 1978Oct 19782 monthsApr 19796 months8 months-22.67%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsJul 19805 years 10 months7 years 7 months-53.60%
2Apr 2000Sep 20022 years 6 monthsAug 20129 years 11 months12 years 5 months-53.58%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-31.48%
4Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-19.54%
5Oct 2018Dec 20183 months-16.34%
6Jul 1990Sep 19903 monthsFeb 19915 months8 months-15.81%
7Jul 1983May 198411 monthsJan 19858 months1 year 7 months-15.00%
8Aug 1998Aug 19981 monthOct 19982 months3 months-13.04%
9Jul 1986Sep 19863 monthsJan 19874 months7 months-11.66%
10Aug 2015Feb 20167 monthsJul 20165 months1 year-9.21%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Small Cap Value13.74%17.79%54.78%-32.05%-56.13%0.560.820.89
US Small Cap Growth9.55%21.09%56.63%-40.26%-64.07%0.320.460.90
US Large Cap Growth9.69%16.63%44.61%-38.32%-53.60%0.370.540.96

Monthly Correlations

Correlations for the portfolio assets
NameUS Small Cap ValueUS Small Cap GrowthUS Large Cap GrowthPortfolio 1Portfolio 2Portfolio 3
US Small Cap Value-0.910.781.000.910.78
US Small Cap Growth0.91-0.840.911.000.84
US Large Cap Growth0.780.84-0.780.841.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Small Cap Value$4,236,503
US Small Cap Growth$718,306
US Large Cap Growth$764,047

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Small Cap Value100.00%
US Small Cap Growth100.00%
US Large Cap Growth100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year15.64%54.78%-32.05%11.87%56.63%-40.26%11.60%44.61%-38.32%
3 years15.10%40.29%-12.69%10.84%35.31%-25.04%10.52%35.66%-19.74%
5 years15.55%35.32%-0.31%11.34%33.07%-2.09%10.86%33.65%-6.94%
7 years15.46%30.95%2.16%11.31%28.39%1.66%10.92%23.79%-3.15%
10 years15.23%29.84%5.22%10.91%22.05%3.09%10.96%22.09%-3.30%
15 years15.04%25.90%7.58%10.57%18.71%5.45%11.18%21.18%3.09%
Result statistics are based on annualized rolling returns over full calendar year periods