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.

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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 1974 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Small Cap Value 33.00%
Long-Term Corporate Bonds 67.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$967,508 10.69% 8.83%31.38%-9.04%-23.26% 0.671.030.73
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-6.29%-8.06%5.25%5.50%9.01%10.69%6.77%6.83%
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows.
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 results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Small Cap ValueLong-Term Corporate Bonds
197412.34%-8.48%$9,152-21.09%-2.27%
19756.94%24.47%$11,39153.94%9.95%
19764.86%28.36%$14,62254.78%15.35%
19776.70%8.58%$15,87615.88%4.98%
19789.02%7.72%$17,10319.25%2.05%
197913.29%11.96%$19,14837.80%-0.77%
198012.52%11.63%$21,37425.77%4.66%
19818.92%10.90%$23,70415.69%8.55%
19823.83%31.38%$31,14336.87%28.68%
19833.79%18.74%$36,97942.61%6.98%
19843.95%11.70%$41,3075.69%14.67%
19853.80%26.88%$52,40837.46%21.66%
19861.10%14.22%$59,86113.99%14.34%
19874.43%-1.02%$59,248-3.51%0.20%
19884.42%16.07%$68,76829.00%9.70%
19894.65%16.51%$80,11919.21%15.18%
19906.11%-2.13%$78,416-19.05%6.21%
19913.06%28.18%$100,51542.96%20.90%
19922.90%15.87%$116,46528.23%9.78%
19932.75%16.67%$135,88321.10%14.49%
19942.67%-3.57%$131,029-0.07%-5.30%
19952.54%27.70%$167,31930.32%26.40%
19963.32%7.87%$180,48221.41%1.20%
19971.70%20.93%$218,25635.44%13.78%
19981.61%5.29%$229,805-2.68%9.21%
19992.68%-3.07%$222,7543.35%-6.23%
20003.39%15.10%$256,39021.88%11.76%
20011.55%10.93%$284,41413.70%9.57%
20022.38%4.17%$296,288-14.20%13.22%
20031.88%16.47%$345,07237.19%6.26%
20043.26%13.76%$392,56623.55%8.94%
20053.42%5.44%$413,9376.07%5.13%
20062.54%8.26%$448,14319.24%2.86%
20074.08%0.18%$448,954-7.07%3.75%
20080.09%-9.04%$408,363-32.05%2.29%
20092.72%15.88%$473,19430.34%8.75%
20101.50%15.37%$545,91424.82%10.71%
20112.96%10.14%$601,246-4.16%17.18%
20121.74%13.94%$685,03718.56%11.66%
20131.50%8.08%$740,41236.41%-5.87%
20140.76%15.60%$855,91410.39%18.17%
20150.73%-3.05%$829,787-4.77%-2.20%
20162.07%13.38%$940,81624.65%7.83%
20172.11%11.85%$1,052,30211.67%11.94%
20181.91%-8.06%$967,508-12.34%-5.95%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.88%
Arithmetic Mean (annualized)11.12%
Geometric Mean (monthly)0.85%
Geometric Mean (annualized)10.69%
Volatility (monthly)2.55%
Volatility (annualized)8.83%
Downside Deviation (monthly)1.49%
Max. Drawdown-23.26%
US Market Correlation0.73
Beta(*)0.42
Alpha (annualized)5.85%
R253.59%
Sharpe Ratio0.67
Sortino Ratio1.03
Treynor Ratio (%)14.13
Calmar Ratio0.65
Active Return0.08%
Tracking Error10.82%
Information Ratio0.01
Skewness-0.41
Excess Kurtosis3.24
Historical Value-at-Risk (5%)-3.02%
Analytical Value-at-Risk (5%)-3.31%
Conditional Value-at-Risk (5%)-5.34%
Upside Capture Ratio (%)52.32
Downside Capture Ratio (%)28.64
Safe Withdrawal Rate6.55%
Perpetual Withdrawal Rate6.20%
Positive Periods376 out of 540 (69.63%)
Gain/Loss Ratio1.10
* 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 1
Black Monday PeriodSep 1987Nov 1987-10.70%
Asian CrisisJul 1997Jan 1998-0.79%
Russian Debt DefaultJul 1998Oct 1998-7.77%
Dotcom CrashMar 2000Oct 2002-6.84%
Subprime CrisisNov 2007Mar 2009-23.03%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsSep 20097 months2 years 4 months-23.26%
2Mar 1974Sep 19747 monthsMar 19756 months1 year 1 month-15.04%
3Sep 1979Mar 19807 monthsMay 19802 months9 months-12.78%
4Apr 1987Oct 19877 monthsJun 19888 months1 year 3 months-11.19%
5Jul 1990Oct 19904 monthsJan 19913 months7 months-8.87%
6Jan 2018Dec 20181 year-8.06%
7Sep 1978Oct 19782 monthsApr 19796 months8 months-7.92%
8Jul 1998Aug 19982 monthsJan 19995 months7 months-7.77%
9Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-7.54%
10Apr 2015Jan 201610 monthsApr 20163 months1 year 1 month-7.18%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Small Cap Value14.83%17.74%54.78%-32.05%-56.13%0.610.900.88
Long-Term Corporate Bonds8.15%8.04%28.68%-6.23%-16.82%0.430.680.22

Monthly Correlations

Correlations for the portfolio assets
NameUS Small Cap ValueLong-Term Corporate BondsPortfolio 1
US Small Cap Value1.000.200.80
Long-Term Corporate Bonds0.201.000.75

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Small Cap Value$422,412
Long-Term Corporate Bonds$535,096

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Small Cap Value53.86%
Long-Term Corporate Bonds46.14%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year11.59%48.38%-21.74%
3 years11.35%24.65%-6.01%
5 years11.30%22.16%-0.39%
7 years11.32%20.57%2.77%
10 years11.23%16.49%4.85%
15 years11.13%15.84%6.53%