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 Small Cap Value 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Large Cap Value 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$1,377,816 11.05% 14.72%40.67%-35.97%-54.85% 0.480.710.95
   
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
YearInflationReturnBalanceUS Small Cap ValueUS Large Cap Value
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19723.41%11.15%15.32%$11,115$11,53211.15%15.32%
19738.71%-24.12%-9.79%$8,434$10,403-24.12%-9.79%
197412.34%-21.09%-21.13%$6,656$8,205-21.09%-21.13%
19756.94%53.94%40.67%$10,246$11,54253.94%40.67%
19764.86%54.78%33.32%$15,859$15,38754.78%33.32%
19776.70%15.88%-3.31%$18,377$14,87815.88%-3.31%
19789.02%19.25%6.37%$21,914$15,82619.25%6.37%
197913.29%37.80%23.22%$30,199$19,50137.80%23.22%
198012.52%25.77%31.75%$37,981$25,69225.77%31.75%
19818.92%15.69%-1.48%$43,940$25,31315.69%-1.48%
19823.83%36.87%25.08%$60,141$31,66136.87%25.08%
19833.79%42.61%25.44%$85,766$39,71542.61%25.44%
19843.95%5.69%11.43%$90,646$44,2565.69%11.43%
19853.80%37.46%32.93%$124,602$58,83137.46%32.93%
19861.10%13.99%19.70%$142,032$70,42313.99%19.70%
19874.43%-3.51%2.11%$137,050$71,912-3.51%2.11%
19884.42%29.00%20.16%$176,788$86,41229.00%20.16%
19894.65%19.21%26.89%$210,741$109,64819.21%26.89%
19906.11%-19.05%-7.02%$170,604$101,948-19.05%-7.02%
19913.06%42.96%23.78%$243,893$126,19642.96%23.78%
19922.90%28.23%15.48%$312,743$145,73728.23%15.48%
19932.75%21.10%18.26%$378,729$172,34321.10%18.26%
19942.67%-0.07%-0.63%$378,468$171,265-0.07%-0.63%
19952.54%30.32%37.04%$493,216$234,69530.32%37.04%
19963.32%21.41%21.80%$598,809$285,85621.41%21.80%
19971.70%35.44%29.78%$811,015$370,99035.44%29.78%
19981.61%-2.68%14.63%$789,318$425,276-2.68%14.63%
19992.68%3.35%12.58%$815,757$478,7573.35%12.58%
20003.39%21.88%6.09%$994,230$507,91721.88%6.09%
20011.55%13.70%-11.86%$1,130,412$447,65413.70%-11.86%
20022.38%-14.20%-20.88%$969,916$354,187-14.20%-20.88%
20031.88%37.19%32.25%$1,330,637$468,41237.19%32.25%
20043.26%23.55%15.26%$1,644,026$539,87723.55%15.26%
20053.42%6.07%7.10%$1,743,854$578,2146.07%7.10%
20062.54%19.24%22.13%$2,079,438$706,19219.24%22.13%
20074.08%-7.07%0.08%$1,932,371$706,780-7.07%0.08%
20080.09%-32.05%-35.97%$1,312,955$452,585-32.05%-35.97%
20092.72%30.34%19.58%$1,711,248$541,21130.34%19.58%
20101.50%24.82%14.27%$2,135,946$618,45824.82%14.27%
20112.96%-4.16%1.00%$2,047,023$624,645-4.16%1.00%
20121.74%18.56%15.00%$2,427,052$718,35218.56%15.00%
20131.50%36.41%32.87%$3,310,671$954,49836.41%32.87%
20140.76%10.39%13.07%$3,654,657$1,079,23310.39%13.07%
20150.73%-4.77%-1.04%$3,480,171$1,068,039-4.77%-1.04%
20162.07%24.65%16.75%$4,337,971$1,246,92824.65%16.75%
20172.11%11.67%16.99%$4,844,253$1,458,72911.67%16.99%
20181.91%-12.34%-5.55%$4,246,503$1,377,816-12.34%-5.55%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.21%0.97%
Arithmetic Mean (annualized)15.56%12.26%
Geometric Mean (monthly)1.08%0.88%
Geometric Mean (annualized)13.74%11.05%
Volatility (monthly)5.14%4.25%
Volatility (annualized)17.79%14.72%
Downside Deviation (monthly)3.33%2.70%
Max. Drawdown-56.13%-54.85%
US Market Correlation0.890.95
Beta(*)1.030.91
Alpha (annualized)3.47%1.79%
R278.50%90.28%
Sharpe Ratio0.560.48
Sortino Ratio0.820.71
Treynor Ratio (%)9.747.75
Calmar Ratio0.360.81
Active Return3.69%1.00%
Tracking Error8.26%4.79%
Information Ratio0.450.21
Skewness-0.58-0.50
Excess Kurtosis3.752.02
Historical Value-at-Risk (5%)-7.12%-5.92%
Analytical Value-at-Risk (5%)-7.23%-6.02%
Conditional Value-at-Risk (5%)-11.79%-9.37%
Upside Capture Ratio (%)111.6093.94
Downside Capture Ratio (%)95.8786.77
Sustainable Withdrawal Rate7.73%5.74%
Positive Periods366 out of 564 (64.89%)361 out of 564 (64.01%)
Gain/Loss Ratio1.021.02
* 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 1Portfolio 2
Oil CrisisOct 1973Mar 1974-15.17%-10.86%
Black Monday PeriodSep 1987Nov 1987-29.46%-26.05%
Asian CrisisJul 1997Jan 1998-3.14%-4.51%
Russian Debt DefaultJul 1998Oct 1998-23.66%-17.91%
Dotcom CrashMar 2000Oct 2002-28.62%-39.12%
Subprime CrisisNov 2007Mar 2009-53.25%-53.96%

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
1Jun 2007Feb 20091 year 9 monthsFeb 20134 years5 years 9 months-54.85%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-39.12%
3Jan 1973Sep 19741 year 9 monthsJun 19759 months2 years 6 months-35.22%
4Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-26.05%
5May 1998Aug 19984 monthsDec 19984 months8 months-18.48%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-15.15%
7Mar 1980Mar 19801 monthJun 19803 months4 months-11.34%
8Oct 2018Dec 20183 months-10.95%
9Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.27%
10Dec 1980Sep 198110 monthsAug 198211 months1 year 9 months-9.99%
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 Large Cap Value11.05%14.72%40.67%-35.97%-54.85%0.480.710.95

Monthly Correlations

Correlations for the portfolio assets
NameUS Small Cap ValueUS Large Cap ValuePortfolio 1Portfolio 2
US Small Cap Value-0.861.000.86
US Large Cap Value0.86-0.861.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Small Cap Value$4,236,503
US Large Cap Value$1,367,816

Portfolio Risk Decomposition

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

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year15.64%54.78%-32.05%12.37%40.67%-35.97%
3 years15.10%40.29%-12.69%11.77%29.39%-9.56%
5 years15.55%35.32%-0.31%12.02%22.83%-2.42%
7 years15.46%30.95%2.16%11.93%20.63%0.16%
10 years15.23%29.84%5.22%11.85%18.85%0.62%
15 years15.04%25.90%7.58%12.02%18.87%4.50%
Result statistics are based on annualized rolling returns over full calendar year periods