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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Initial Amount

$ .00

Periodic Adjustment

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Benchmark

Benchmark Ticker

Asset Allocation

Select allocation for portfolio 1

Select allocation for portfolio 2

Select allocation for portfolio 3

US Stock Market

Enter US Stock Market allocation for portfolio 1 %

Enter US Stock Market allocation for portfolio 2 %

Enter US Stock Market allocation for portfolio 3 %

US Large Cap

Enter US Large Cap allocation for portfolio 1 %

Enter US Large Cap allocation for portfolio 2 %

Enter US Large Cap allocation for portfolio 3 %

US Large Cap Value

Enter US Large Cap Value allocation for portfolio 1 %

Enter US Large Cap Value allocation for portfolio 2 %

Enter US Large Cap Value allocation for portfolio 3 %

US Large Cap Growth

Enter US Large Cap Growth allocation for portfolio 1 %

Enter US Large Cap Growth allocation for portfolio 2 %

Enter US Large Cap Growth allocation for portfolio 3 %

US Mid Cap

Enter US Mid Cap allocation for portfolio 1 %

Enter US Mid Cap allocation for portfolio 2 %

Enter US Mid Cap allocation for portfolio 3 %

US Mid Cap Value

Enter US Mid Cap Value allocation for portfolio 1 %

Enter US Mid Cap Value allocation for portfolio 2 %

Enter US Mid Cap Value allocation for portfolio 3 %

US Mid Cap Growth

Enter US Mid Cap Growth allocation for portfolio 1 %

Enter US Mid Cap Growth allocation for portfolio 2 %

Enter US Mid Cap Growth allocation for portfolio 3 %

US Small Cap

Enter US Small Cap allocation for portfolio 1 %

Enter US Small Cap allocation for portfolio 2 %

Enter US Small Cap allocation for portfolio 3 %

US Small Cap Value

Enter US Small Cap Value allocation for portfolio 1 %

Enter US Small Cap Value allocation for portfolio 2 %

Enter US Small Cap Value allocation for portfolio 3 %

US Small Cap Growth

Enter US Small Cap Growth allocation for portfolio 1 %

Enter US Small Cap Growth allocation for portfolio 2 %

Enter US Small Cap Growth allocation for portfolio 3 %

US Micro Cap

Enter US Micro Cap allocation for portfolio 1 %

Enter US Micro Cap allocation for portfolio 2 %

Enter US Micro Cap allocation for portfolio 3 %

Global ex-US Stock Market

Enter Global ex-US Stock Market allocation for portfolio 1 %

Enter Global ex-US Stock Market allocation for portfolio 2 %

Enter Global ex-US Stock Market allocation for portfolio 3 %

Intl Developed ex-US Market

Enter Intl Developed ex-US Market allocation for portfolio 1 %

Enter Intl Developed ex-US Market allocation for portfolio 2 %

Enter Intl Developed ex-US Market allocation for portfolio 3 %

International ex-US Small Cap

Enter International ex-US Small Cap allocation for portfolio 1 %

Enter International ex-US Small Cap allocation for portfolio 2 %

Enter International ex-US Small Cap allocation for portfolio 3 %

International ex-US Value

Enter International ex-US Value allocation for portfolio 1 %

Enter International ex-US Value allocation for portfolio 2 %

Enter International ex-US Value allocation for portfolio 3 %

European Stocks

Enter European Stocks allocation for portfolio 1 %

Enter European Stocks allocation for portfolio 2 %

Enter European Stocks allocation for portfolio 3 %

Pacific Stocks

Enter Pacific Stocks allocation for portfolio 1 %

Enter Pacific Stocks allocation for portfolio 2 %

Enter Pacific Stocks allocation for portfolio 3 %

Emerging Markets

Enter Emerging Markets allocation for portfolio 1 %

Enter Emerging Markets allocation for portfolio 2 %

Enter Emerging Markets allocation for portfolio 3 %

Cash

Enter Cash allocation for portfolio 1 %

Enter Cash allocation for portfolio 2 %

Enter Cash allocation for portfolio 3 %

Short Term Treasury

Enter Short Term Treasury allocation for portfolio 1 %

Enter Short Term Treasury allocation for portfolio 2 %

Enter Short Term Treasury allocation for portfolio 3 %

Intermediate Term Treasury

Enter Intermediate Term Treasury allocation for portfolio 1 %

Enter Intermediate Term Treasury allocation for portfolio 2 %

Enter Intermediate Term Treasury allocation for portfolio 3 %

10-year Treasury

Enter 10-year Treasury allocation for portfolio 1 %

Enter 10-year Treasury allocation for portfolio 2 %

Enter 10-year Treasury allocation for portfolio 3 %

Long Term Treasury

Enter Long Term Treasury allocation for portfolio 1 %

Enter Long Term Treasury allocation for portfolio 2 %

Enter Long Term Treasury allocation for portfolio 3 %

Total US Bond Market

Enter Total US Bond Market allocation for portfolio 1 %

Enter Total US Bond Market allocation for portfolio 2 %

Enter Total US Bond Market allocation for portfolio 3 %

TIPS

Enter TIPS allocation for portfolio 1 %

Enter TIPS allocation for portfolio 2 %

Enter TIPS allocation for portfolio 3 %

Global Bonds (Unhedged)

Enter Global Bonds (Unhedged) allocation for portfolio 1 %

Enter Global Bonds (Unhedged) allocation for portfolio 2 %

Enter Global Bonds (Unhedged) allocation for portfolio 3 %

Global Bonds (USD Hedged)

Enter Global Bonds (USD Hedged) allocation for portfolio 1 %

Enter Global Bonds (USD Hedged) allocation for portfolio 2 %

Enter Global Bonds (USD Hedged) allocation for portfolio 3 %

Short-Term Investment Grade

Enter Short-Term Investment Grade allocation for portfolio 1 %

Enter Short-Term Investment Grade allocation for portfolio 2 %

Enter Short-Term Investment Grade allocation for portfolio 3 %

Corporate Bonds

Enter Corporate Bonds allocation for portfolio 1 %

Enter Corporate Bonds allocation for portfolio 2 %

Enter Corporate Bonds allocation for portfolio 3 %

Long-Term Corporate Bonds

Enter Long-Term Corporate Bonds allocation for portfolio 1 %

Enter Long-Term Corporate Bonds allocation for portfolio 2 %

Enter Long-Term Corporate Bonds allocation for portfolio 3 %

High Yield Corporate Bonds

Enter High Yield Corporate Bonds allocation for portfolio 1 %

Enter High Yield Corporate Bonds allocation for portfolio 2 %

Enter High Yield Corporate Bonds allocation for portfolio 3 %

Short-Term Tax-Exempt

Enter Short-Term Tax-Exempt allocation for portfolio 1 %

Enter Short-Term Tax-Exempt allocation for portfolio 2 %

Enter Short-Term Tax-Exempt allocation for portfolio 3 %

Intermediate-Term Tax-Exempt

Enter Intermediate-Term Tax-Exempt allocation for portfolio 1 %

Enter Intermediate-Term Tax-Exempt allocation for portfolio 2 %

Enter Intermediate-Term Tax-Exempt allocation for portfolio 3 %

Long-Term Tax-Exempt

Enter Long-Term Tax-Exempt allocation for portfolio 1 %

Enter Long-Term Tax-Exempt allocation for portfolio 2 %

Enter Long-Term Tax-Exempt allocation for portfolio 3 %

REIT

Enter REIT allocation for portfolio 1 %

Enter REIT allocation for portfolio 2 %

Enter REIT allocation for portfolio 3 %

Gold

Enter Gold allocation for portfolio 1 %

Enter Gold allocation for portfolio 2 %

Enter Gold allocation for portfolio 3 %

Precious Metals

Enter Precious Metals allocation for portfolio 1 %

Enter Precious Metals allocation for portfolio 2 %

Enter Precious Metals allocation for portfolio 3 %

Commodities

Enter Commodities allocation for portfolio 1 %

Enter Commodities allocation for portfolio 2 %

Enter Commodities allocation for portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1995 - Dec 2018)

Note: The time period was constrained by the available data for Emerging Markets [Jan 1995 - Oct 2019].

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
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$51,164	7.04%	15.33%	37.27%	-40.52%	-54.89%	0.37	0.52	0.95
Portfolio 2	$10,000	$50,659	6.99%	16.52%	42.73%	-43.25%	-56.60%	0.35	0.50	0.92
Portfolio 3	$10,000	$85,236	9.34%	14.96%	35.79%	-37.04%	-50.89%	0.52	0.74	1.00

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
Year	Inflation	Return			Balance			US Stock Market	Intl Developed ex-US Market	Emerging Markets
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	US Stock Market	Intl Developed ex-US Market	Emerging Markets
1995	2.54%	17.95%	14.09%	35.79%	$11,795	$11,409	$13,579	35.79%	3.98%	0.56%
1996	3.32%	13.12%	13.72%	20.96%	$13,343	$12,974	$16,425	20.96%	4.68%	15.83%
1997	1.70%	11.64%	5.32%	30.99%	$14,896	$13,664	$21,516	30.99%	-1.39%	-16.82%
1998	1.61%	16.08%	8.48%	23.26%	$17,292	$14,823	$26,521	23.26%	16.51%	-18.12%
1999	2.68%	33.96%	40.09%	23.81%	$23,164	$20,766	$32,837	23.81%	37.96%	61.57%
2000	3.39%	-13.94%	-16.97%	-10.57%	$19,934	$17,242	$29,364	-10.57%	-14.29%	-27.56%
2001	1.55%	-15.09%	-12.38%	-10.97%	$16,925	$15,108	$26,144	-10.97%	-21.94%	-2.88%
2002	2.38%	-17.20%	-15.03%	-20.96%	$14,013	$12,837	$20,664	-20.96%	-15.62%	-7.43%
2003	1.88%	37.27%	41.80%	31.35%	$19,237	$18,203	$27,143	31.35%	38.67%	57.65%
2004	3.26%	17.36%	19.30%	12.52%	$22,576	$21,717	$30,540	12.52%	20.25%	26.12%
2005	3.42%	12.02%	16.47%	5.98%	$25,288	$25,293	$32,367	5.98%	13.60%	32.05%
2006	2.54%	21.74%	23.44%	15.51%	$30,786	$31,222	$37,387	15.51%	26.27%	29.39%
2007	4.08%	11.38%	17.50%	5.49%	$34,290	$36,685	$39,440	5.49%	11.15%	38.90%
2008	0.09%	-40.52%	-43.25%	-37.04%	$20,395	$20,818	$24,832	-37.04%	-41.27%	-52.81%
2009	2.72%	33.23%	42.73%	28.70%	$27,173	$29,713	$31,959	28.70%	28.27%	75.98%
2010	1.50%	13.34%	14.57%	17.09%	$30,798	$34,041	$37,421	17.09%	8.36%	18.86%
2011	2.96%	-7.08%	-9.68%	0.96%	$28,619	$30,748	$37,781	0.96%	-12.51%	-18.78%
2012	1.74%	17.53%	17.78%	16.25%	$33,636	$36,214	$43,922	16.25%	18.56%	18.64%
2013	1.50%	24.42%	17.84%	33.35%	$41,848	$42,673	$58,570	33.35%	22.06%	-5.19%
2014	0.76%	3.09%	2.49%	12.43%	$43,140	$43,737	$65,850	12.43%	-5.66%	0.42%
2015	0.73%	-1.50%	-4.60%	0.29%	$42,493	$41,724	$66,042	0.29%	-0.19%	-15.47%
2016	2.07%	7.89%	8.69%	12.53%	$45,847	$45,351	$74,319	12.53%	2.45%	11.50%
2017	2.11%	24.47%	25.95%	21.05%	$57,065	$57,121	$89,964	21.05%	26.40%	31.15%
2018	1.91%	-10.34%	-11.31%	-5.26%	$51,164	$50,659	$85,236	-5.26%	-14.46%	-14.71%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2	Portfolio 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 Correlation	0.95	0.92	1.00
Beta^(*)	0.97	1.01	1.00
Alpha (annualized)	-1.79%	-2.07%	0.00%
R²	89.72%	84.26%	100.00%
Sharpe Ratio	0.37	0.35	0.52
Sortino Ratio	0.52	0.50	0.74
Treynor Ratio (%)	5.89	5.79	7.80
Calmar Ratio	0.43	0.41	0.62
Active Return	-2.30%	-2.34%	0.00%
Tracking Error	4.93%	6.55%	0.00%
Information Ratio	-0.47	-0.36	N/A
Skewness	-0.76	-0.70	-0.79
Excess Kurtosis	1.82	1.86	1.44
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 (%)	91.05	94.68	100.00
Downside Capture Ratio (%)	100.50	105.28	100.00
Safe Withdrawal Rate	7.71%	7.49%	10.44%
Perpetual Withdrawal Rate	4.54%	4.50%	6.55%
Positive Periods	177 out of 288 (61.46%)	172 out of 288 (59.72%)	189 out of 288 (65.63%)
Gain/Loss Ratio	0.93	0.98	0.85
^* 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 Period	Start	End	Portfolio 1	Portfolio 2	Portfolio 3
Asian Crisis	Jul 1997	Jan 1998	-7.16%	-11.40%	-3.72%
Russian Debt Default	Jul 1998	Oct 1998	-15.71%	-17.31%	-17.57%
Dotcom Crash	Mar 2000	Oct 2002	-44.55%	-43.21%	-44.11%
Subprime Crisis	Nov 2007	Mar 2009	-54.89%	-56.60%	-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Apr 2013	4 years 2 months	5 years 6 months	-54.89%
2	Apr 2000	Sep 2002	2 years 6 months	Aug 2005	2 years 11 months	5 years 5 months	-44.55%
3	May 1998	Aug 1998	4 months	Dec 1998	4 months	8 months	-17.10%
4	Feb 2018	Dec 2018	11 months				-14.95%
5	Jun 2015	Feb 2016	9 months	Jan 2017	11 months	1 year 8 months	-14.17%
6	Aug 1997	Oct 1997	3 months	Feb 1998	4 months	7 months	-7.16%
7	Jan 2000	Jan 2000	1 month	Mar 2000	2 months	3 months	-5.31%
8	Jun 1996	Jul 1996	2 months	Sep 1996	2 months	4 months	-4.78%
9	May 2006	Jun 2006	2 months	Oct 2006	4 months	6 months	-4.21%
10	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-4.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Sep 2013	4 years 7 months	5 years 11 months	-56.60%
2	Apr 2000	Sep 2002	2 years 6 months	Dec 2004	2 years 3 months	4 years 9 months	-43.21%
3	May 1998	Aug 1998	4 months	Mar 1999	7 months	11 months	-21.97%
4	May 2015	Feb 2016	10 months	Jan 2017	11 months	1 year 9 months	-17.30%
5	Feb 2018	Dec 2018	11 months				-16.39%
6	Aug 1997	Oct 1997	3 months	Mar 1998	5 months	8 months	-11.40%
7	Mar 2005	Apr 2005	2 months	Jul 2005	3 months	5 months	-5.83%
8	May 2006	Jun 2006	2 months	Oct 2006	4 months	6 months	-5.78%
9	Sep 2014	Jan 2015	5 months	Apr 2015	3 months	8 months	-5.41%
10	Jun 1996	Jul 1996	2 months	Nov 1996	4 months	6 months	-5.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Mar 2012	3 years 1 month	4 years 5 months	-50.89%
2	Sep 2000	Sep 2002	2 years 1 month	Apr 2006	3 years 7 months	5 years 8 months	-44.11%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-17.57%
4	Oct 2018	Dec 2018	3 months				-14.28%
5	Jun 2015	Sep 2015	4 months	May 2016	8 months	1 year	-8.88%
6	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-8.44%
7	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-6.85%
8	Jul 1999	Sep 1999	3 months	Nov 1999	2 months	5 months	-6.42%
9	Jun 1996	Jul 1996	2 months	Sep 1996	2 months	4 months	-6.17%
10	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-5.64%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Stock Market	9.34%	14.96%	35.79%	-37.04%	-50.89%	0.52	0.74	1.00
Intl Developed ex-US Market	4.37%	16.18%	38.67%	-41.27%	-57.06%	0.20	0.28	0.83
Emerging Markets	5.67%	22.82%	75.98%	-52.81%	-62.70%	0.26	0.36	0.77

Monthly Correlations

Correlations for the portfolio assets
Name	US Stock Market	Intl Developed ex-US Market	Emerging Markets	Portfolio 1	Portfolio 2	Portfolio 3
US Stock Market	-	0.83	0.77	0.95	0.92	1.00
Intl Developed ex-US Market	0.83	-	0.82	0.96	0.94	0.83
Emerging Markets	0.77	0.82	-	0.87	0.94	0.77

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2	Portfolio 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
Name	Portfolio 1	Portfolio 2	Portfolio 3
US Stock Market	41.53%	29.03%	100.00%
Intl Developed ex-US Market	45.48%	32.30%
Emerging Markets	12.98%	38.68%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	8.78%	37.27%	-40.52%	9.04%	42.73%	-43.25%	10.98%	35.79%	-37.04%
3 years	7.37%	21.75%	-15.42%	7.42%	25.37%	-14.81%	9.33%	29.10%	-14.31%
5 years	6.80%	19.60%	-1.45%	7.09%	23.37%	-1.24%	8.16%	26.84%	-1.76%
7 years	6.18%	11.06%	2.49%	6.72%	12.74%	1.70%	7.12%	15.00%	-0.73%
10 years	6.34%	9.63%	1.61%	7.15%	10.93%	3.45%	6.73%	13.13%	-0.66%
15 years	6.32%	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