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 Analysis Results
(Jan 1974 - Dec 2018)
Close Note: The time period was constrained by the available data for Long-Term Corporate Bonds [Jan 1974 - Sep 2021].
US Small Cap Value
Long-Term Corporate Bonds
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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 $967,508 10.69% 8.83% 31.38% -9.04% -23.26% 0.67 1.03 0.73
Trailing Returns Name Annualized Return Annualized Volatility 3 Month 1 year 3 year 5 year 10 year Full 3 year 5 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
Drawdowns for Historical Market Stress Periods
Drawdowns for Historical Market Stress Periods Stress Period Start End Portfolio 1 Black Monday Period Sep 1987 Nov 1987 -10.70% Asian Crisis Jul 1997 Jan 1998 -0.79% Russian Debt Default Jul 1998 Oct 1998 -7.77% Dotcom Crash Mar 2000 Oct 2002 -6.84% Subprime Crisis Nov 2007 Mar 2009 -23.03% Drawdowns for Portfolio 1
Portfolio Return Decomposition
Portfolio Risk Decomposition
Annual Asset Returns
Rolling returns summary Roll Period Average High Low 1 year 11.59% 48.38% -21.74% 3 years 11.35% 24.65% -6.01% 5 years 11.30% 22.16% -0.39% 7 years 11.32% 20.57% 2.77% 10 years 11.23% 16.49% 4.85% 15 years 11.13% 15.84% 6.53%