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 1995 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 45.00%
Intl Developed ex-US Market 45.00%
Emerging Markets 10.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 35.00%
Intl Developed ex-US Market 35.00%
Emerging Markets 30.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$51,164 7.04% 15.33%37.27%-40.52%-54.89% 0.370.520.95
Portfolio 2$10,000$50,659 6.99% 16.52%42.73%-43.25%-56.60% 0.350.500.92
Portfolio 3$10,000$85,236 9.34% 14.96%35.79%-37.04%-50.89% 0.520.741.00
   
Notes on results:
  • Past performance is not a guarantee of future returns. 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 Stock MarketIntl Developed ex-US MarketEmerging Markets
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19952.54%17.95%14.09%35.79%$11,795$11,409$13,57935.79%3.98%0.56%
19963.32%13.12%13.72%20.96%$13,343$12,974$16,42520.96%4.68%15.83%
19971.70%11.64%5.32%30.99%$14,896$13,664$21,51630.99%-1.39%-16.82%
19981.61%16.08%8.48%23.26%$17,292$14,823$26,52123.26%16.51%-18.12%
19992.68%33.96%40.09%23.81%$23,164$20,766$32,83723.81%37.96%61.57%
20003.39%-13.94%-16.97%-10.57%$19,934$17,242$29,364-10.57%-14.29%-27.56%
20011.55%-15.09%-12.38%-10.97%$16,925$15,108$26,144-10.97%-21.94%-2.88%
20022.38%-17.20%-15.03%-20.96%$14,013$12,837$20,664-20.96%-15.62%-7.43%
20031.88%37.27%41.80%31.35%$19,237$18,203$27,14331.35%38.67%57.65%
20043.26%17.36%19.30%12.52%$22,576$21,717$30,54012.52%20.25%26.12%
20053.42%12.02%16.47%5.98%$25,288$25,293$32,3675.98%13.60%32.05%
20062.54%21.74%23.44%15.51%$30,786$31,222$37,38715.51%26.27%29.39%
20074.08%11.38%17.50%5.49%$34,290$36,685$39,4405.49%11.15%38.90%
20080.09%-40.52%-43.25%-37.04%$20,395$20,818$24,832-37.04%-41.27%-52.81%
20092.72%33.23%42.73%28.70%$27,173$29,713$31,95928.70%28.27%75.98%
20101.50%13.34%14.57%17.09%$30,798$34,041$37,42117.09%8.36%18.86%
20112.96%-7.08%-9.68%0.96%$28,619$30,748$37,7810.96%-12.51%-18.78%
20121.74%17.53%17.78%16.25%$33,636$36,214$43,92216.25%18.56%18.64%
20131.50%24.42%17.84%33.35%$41,848$42,673$58,57033.35%22.06%-5.19%
20140.76%3.09%2.49%12.43%$43,140$43,737$65,85012.43%-5.66%0.42%
20150.73%-1.50%-4.60%0.29%$42,493$41,724$66,0420.29%-0.19%-15.47%
20162.07%7.89%8.69%12.53%$45,847$45,351$74,31912.53%2.45%11.50%
20172.11%24.47%25.95%21.05%$57,065$57,121$89,96421.05%26.40%31.15%
20181.91%-10.34%-11.31%-5.26%$51,164$50,659$85,236-5.26%-14.46%-14.71%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.67%0.68%0.84%
Arithmetic Mean (annualized)8.32%8.48%10.58%
Geometric Mean (monthly)0.57%0.56%0.75%
Geometric Mean (annualized)7.04%6.99%9.34%
Volatility (monthly)4.43%4.77%4.32%
Volatility (annualized)15.33%16.52%14.96%
Downside Deviation (monthly)3.08%3.30%2.95%
Max. Drawdown-54.89%-56.60%-50.89%
US Market Correlation0.950.921.00
Beta(*)0.971.011.00
Alpha (annualized)-1.79%-2.07%0.00%
R289.72%84.26%100.00%
Sharpe Ratio0.370.350.52
Sortino Ratio0.520.500.74
Treynor Ratio (%)5.895.797.80
Calmar Ratio0.430.410.62
Active Return-2.30%-2.34%0.00%
Tracking Error4.93%6.55%0.00%
Information Ratio-0.47-0.36N/A
Skewness-0.76-0.70-0.79
Excess Kurtosis1.821.861.44
Historical Value-at-Risk (5%)-7.75%-8.34%-7.84%
Analytical Value-at-Risk (5%)-6.61%-7.16%-6.26%
Conditional Value-at-Risk (5%)-10.65%-11.17%-10.07%
Upside Capture Ratio (%)91.0594.68100.00
Downside Capture Ratio (%)100.50105.28100.00
Safe Withdrawal Rate7.71%7.49%10.44%
Perpetual Withdrawal Rate4.54%4.50%6.55%
Positive Periods177 out of 288 (61.46%)172 out of 288 (59.72%)189 out of 288 (65.63%)
Gain/Loss Ratio0.930.980.85
* 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
Asian CrisisJul 1997Jan 1998-7.16%-11.40%-3.72%
Russian Debt DefaultJul 1998Oct 1998-15.71%-17.31%-17.57%
Dotcom CrashMar 2000Oct 2002-44.55%-43.21%-44.11%
Subprime CrisisNov 2007Mar 2009-54.89%-56.60%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20134 years 2 months5 years 6 months-54.89%
2Apr 2000Sep 20022 years 6 monthsAug 20052 years 11 months5 years 5 months-44.55%
3May 1998Aug 19984 monthsDec 19984 months8 months-17.10%
4Feb 2018Dec 201811 months-14.95%
5Jun 2015Feb 20169 monthsJan 201711 months1 year 8 months-14.17%
6Aug 1997Oct 19973 monthsFeb 19984 months7 months-7.16%
7Jan 2000Jan 20001 monthMar 20002 months3 months-5.31%
8Jun 1996Jul 19962 monthsSep 19962 months4 months-4.78%
9May 2006Jun 20062 monthsOct 20064 months6 months-4.21%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-4.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-56.60%
2Apr 2000Sep 20022 years 6 monthsDec 20042 years 3 months4 years 9 months-43.21%
3May 1998Aug 19984 monthsMar 19997 months11 months-21.97%
4May 2015Feb 201610 monthsJan 201711 months1 year 9 months-17.30%
5Feb 2018Dec 201811 months-16.39%
6Aug 1997Oct 19973 monthsMar 19985 months8 months-11.40%
7Mar 2005Apr 20052 monthsJul 20053 months5 months-5.83%
8May 2006Jun 20062 monthsOct 20064 months6 months-5.78%
9Sep 2014Jan 20155 monthsApr 20153 months8 months-5.41%
10Jun 1996Jul 19962 monthsNov 19964 months6 months-5.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (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%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Oct 2018Dec 20183 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
9Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.34%14.96%35.79%-37.04%-50.89%0.520.741.00
Intl Developed ex-US Market4.37%16.18%38.67%-41.27%-57.06%0.200.280.83
Emerging Markets5.67%22.82%75.98%-52.81%-62.70%0.260.360.77

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntl Developed ex-US MarketEmerging MarketsPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.830.770.950.921.00
Intl Developed ex-US Market0.83-0.820.960.940.83
Emerging Markets0.770.82-0.870.940.77

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$24,579$19,166$75,236
Intl Developed ex-US Market$12,210$9,156
Emerging Markets$4,375$12,337

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market41.53%29.03%100.00%
Intl Developed ex-US Market45.48%32.30%
Emerging Markets12.98%38.68%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.78%37.27%-40.52%9.04%42.73%-43.25%10.98%35.79%-37.04%
3 years7.37%21.75%-15.42%7.42%25.37%-14.81%9.33%29.10%-14.31%
5 years6.80%19.60%-1.45%7.09%23.37%-1.24%8.16%26.84%-1.76%
7 years6.18%11.06%2.49%6.72%12.74%1.70%7.12%15.00%-0.73%
10 years6.34%9.63%1.61%7.15%10.93%3.45%6.73%13.13%-0.66%
15 years6.32%9.81%4.23%7.13%10.46%5.09%6.68%10.30%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods