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 1978 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 50.00%
Long Term Treasury 50.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
Long Term Treasury 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$769,500 11.17% 15.14%35.79%-37.04%-50.89% 0.490.701.00
Portfolio 2$10,000$558,633 10.31% 9.64%34.08%-7.26%-20.39% 0.610.940.82
Portfolio 3$10,000$262,745 8.30% 10.97%47.10%-13.03%-23.12% 0.380.610.05
   
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
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketLong Term Treasury
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19789.02%8.45%3.45%-1.55%$10,845$10,345$9,8458.45%-1.55%
197913.29%24.25%11.07%-2.10%$13,475$11,491$9,63824.25%-2.10%
198012.52%33.15%14.08%-4.99%$17,943$13,109$9,15733.15%-4.99%
19818.92%-4.15%-1.75%0.65%$17,198$12,880$9,217-4.15%0.65%
19823.83%20.50%33.80%47.10%$20,723$17,233$13,55920.50%47.10%
19833.79%22.66%10.68%-1.29%$25,419$19,074$13,38322.66%-1.29%
19843.95%2.19%9.21%16.24%$25,974$20,831$15,5562.19%16.24%
19853.80%31.27%34.08%36.90%$34,097$27,931$21,29631.27%36.90%
19861.10%14.57%22.72%30.87%$39,067$34,277$27,87014.57%30.87%
19874.43%2.61%-0.15%-2.92%$40,088$34,224$27,0552.61%-2.92%
19884.42%17.32%13.23%9.15%$47,029$38,754$29,53117.32%9.15%
19894.65%28.12%23.03%17.93%$60,254$47,677$34,82628.12%17.93%
19906.11%-6.08%-0.15%5.78%$56,592$47,606$36,839-6.08%5.78%
19913.06%32.39%24.91%17.43%$74,923$59,466$43,26132.39%17.43%
19922.90%9.11%8.26%7.41%$81,747$64,375$46,4659.11%7.41%
19932.75%10.62%13.70%16.78%$90,432$73,198$54,26410.62%16.78%
19942.67%-0.17%-3.60%-7.04%$90,279$70,560$50,445-0.17%-7.04%
19952.54%35.79%32.94%30.09%$122,586$93,802$65,62535.79%30.09%
19963.32%20.96%9.85%-1.26%$148,283$103,044$64,80020.96%-1.26%
19971.70%30.99%22.45%13.90%$194,242$126,176$73,81030.99%13.90%
19981.61%23.26%18.16%13.05%$239,431$149,088$83,44323.26%13.05%
19992.68%23.81%7.58%-8.66%$296,446$160,384$76,21823.81%-8.66%
20003.39%-10.57%4.57%19.72%$265,098$167,720$91,250-10.57%19.72%
20011.55%-10.97%-3.33%4.31%$236,028$162,136$95,180-10.97%4.31%
20022.38%-20.96%-2.14%16.67%$186,555$158,661$111,051-20.96%16.67%
20031.88%31.35%17.02%2.68%$245,047$185,658$114,02331.35%2.68%
20043.26%12.52%9.82%7.12%$275,717$203,885$122,14112.52%7.12%
20053.42%5.98%6.29%6.61%$292,206$216,715$130,2095.98%6.61%
20062.54%15.51%8.63%1.74%$337,530$235,410$132,47615.51%1.74%
20074.08%5.49%7.37%9.24%$356,059$252,748$144,7185.49%9.24%
20080.09%-37.04%-7.26%22.51%$224,183$234,392$177,298-37.04%22.51%
20092.72%28.70%8.32%-12.06%$288,519$253,894$155,92128.70%-12.06%
20101.50%17.09%13.01%8.93%$337,837$286,930$169,84417.09%8.93%
20112.96%0.96%15.12%29.28%$341,087$330,313$219,5690.96%29.28%
20121.74%16.25%9.86%3.46%$396,525$362,873$227,17016.25%3.46%
20131.50%33.35%10.16%-13.03%$528,764$399,747$197,57833.35%-13.03%
20140.76%12.43%18.85%25.27%$594,486$475,106$247,51412.43%25.27%
20150.73%0.29%-0.62%-1.54%$596,220$472,148$243,7100.29%-1.54%
20162.07%12.53%6.87%1.21%$670,946$504,591$246,65812.53%1.21%
20172.11%21.05%14.82%8.59%$812,190$579,378$267,84821.05%8.59%
20181.91%-5.26%-3.58%-1.90%$769,500$558,633$262,745-5.26%-1.90%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.98%0.86%0.72%
Arithmetic Mean (annualized)12.46%10.82%8.94%
Geometric Mean (monthly)0.89%0.82%0.67%
Geometric Mean (annualized)11.17%10.31%8.30%
Volatility (monthly)4.37%2.78%3.17%
Volatility (annualized)15.14%9.64%10.97%
Downside Deviation (monthly)2.88%1.61%1.78%
Max. Drawdown-50.89%-20.39%-23.12%
US Market Correlation1.000.820.05
Beta(*)1.000.520.04
Alpha (annualized)0.00%4.18%8.13%
R2100.00%66.54%0.30%
Sharpe Ratio0.490.610.38
Sortino Ratio0.700.940.61
Treynor Ratio (%)7.3911.37106.07
Calmar Ratio0.620.840.17
Active Return0.00%-0.86%-2.88%
Tracking Error0.00%9.17%18.21%
Information RatioN/A-0.09-0.16
Skewness-0.76-0.200.39
Excess Kurtosis2.361.651.63
Historical Value-at-Risk (5%)-7.03%-3.60%-4.23%
Analytical Value-at-Risk (5%)-6.21%-3.72%-4.49%
Conditional Value-at-Risk (5%)-9.99%-5.62%-5.92%
Upside Capture Ratio (%)100.0059.2020.11
Downside Capture Ratio (%)100.0043.50-15.02
Safe Withdrawal Rate8.44%6.75%4.82%
Perpetual Withdrawal Rate6.93%6.20%4.46%
Positive Periods316 out of 492 (64.23%)316 out of 492 (64.23%)293 out of 492 (59.55%)
Gain/Loss Ratio0.991.261.24
* 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
Black Monday PeriodSep 1987Nov 1987-29.34%-16.39%-3.72%
Asian CrisisJul 1997Jan 1998-3.72%-3.19%-2.57%
Russian Debt DefaultJul 1998Oct 1998-17.57%-7.10%-1.69%
Dotcom CrashMar 2000Oct 2002-44.11%-12.21%-8.18%
Subprime CrisisNov 2007Mar 2009-50.89%-20.39%-9.39%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
4Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
7Oct 2018Dec 20183 months-14.28%
8Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
9Sep 1978Oct 19782 monthsMar 19795 months7 months-11.64%
10Jul 1983May 198411 monthsJan 19858 months1 year 7 months-10.97%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-20.39%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-16.39%
3Sep 1979Mar 19807 monthsMay 19802 months9 months-12.39%
4Dec 1980Sep 198110 monthsNov 19812 months1 year-12.22%
5Sep 2000Jul 20021 year 11 monthsSep 20031 year 2 months3 years 1 month-12.21%
6Jul 1983May 198411 monthsAug 19843 months1 year 2 months-10.83%
7Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-8.71%
8Jul 1990Sep 19903 monthsJan 19914 months7 months-8.65%
9Sep 1978Oct 19782 monthsMar 19795 months7 months-7.58%
10Jul 1998Aug 19982 monthsNov 19983 months5 months-7.10%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Sep 19812 years 3 monthsAug 198211 months3 years 2 months-23.12%
2Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
3Aug 2016Oct 20182 years 3 months-14.78%
4May 1983May 19841 year 1 monthSep 19844 months1 year 5 months-13.97%
5Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
6Mar 1987Sep 19877 monthsFeb 19885 months1 year-12.25%
7Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.06%
8Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
9Feb 1994Oct 19949 monthsMay 19957 months1 year 4 months-11.07%
10Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.17%15.14%35.79%-37.04%-50.89%0.490.701.00
Long Term Treasury8.30%10.97%47.10%-13.03%-23.12%0.380.610.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.051.000.820.05
Long Term Treasury0.05-0.050.621.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$759,500$325,581
Long Term Treasury$223,052$252,745

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market100.00%64.65%
Long Term Treasury35.35%100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.45%35.79%-37.04%10.76%34.08%-7.26%9.08%47.10%-13.03%
3 years11.72%29.10%-14.31%10.76%21.58%-0.36%8.91%27.70%-2.89%
5 years11.42%26.84%-1.76%10.91%21.62%4.48%9.35%24.77%2.19%
7 years11.15%20.21%-0.73%10.85%17.04%5.41%9.41%18.10%2.60%
10 years10.79%17.67%-0.66%10.63%16.53%4.63%9.30%16.72%4.01%
15 years10.69%17.62%4.75%10.51%14.87%6.80%9.17%14.03%5.72%
Result statistics are based on annualized rolling returns over full calendar year periods