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 2007 - Dec 2018)

Note: The time period was constrained by the available data for Commodities [Jan 2007 - Oct 2019].

Portfolio Allocations

Portfolio 1
Asset Class	Allocation
US Large Cap Value	10.00%
US Small Cap	9.00%
International ex-US Small Cap	10.00%
International ex-US Value	10.00%
Emerging Markets	17.00%
TIPS	30.00%
REIT	7.00%
Commodities	7.00%
Save asset allocation »

Portfolio 2
Asset Class	Allocation
US Stock Market	35.00%
Global ex-US Stock Market	35.00%
Intermediate Term Treasury	30.00%
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	$15,036	3.46%	12.63%	31.81%	-30.81%	-43.44%	0.27	0.37	0.91
Portfolio 2	$10,000	$17,699	4.87%	10.83%	22.39%	-24.40%	-37.29%	0.42	0.60	0.95

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 Large Cap Value	US Small Cap	International ex-US Small Cap	International ex-US Value	Emerging Markets	TIPS	REIT	Commodities	US Stock Market	Global ex-US Stock Market	Intermediate Term Treasury
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 1	Portfolio 2	US Large Cap Value	US Small Cap	International ex-US Small Cap	International ex-US Value	Emerging Markets	TIPS	REIT	Commodities	US Stock Market	Global ex-US Stock Market	Intermediate Term Treasury
2007	4.08%	11.98%	10.35%	$11,198	$11,035	0.08%	1.16%	2.95%	4.23%	38.90%	11.59%	-16.46%	31.62%	5.49%	15.52%	9.98%
2008	0.09%	-30.81%	-24.40%	$7,749	$8,342	-35.97%	-36.07%	-41.68%	-41.67%	-52.81%	-2.85%	-37.05%	-45.75%	-37.04%	-44.10%	13.32%
2009	2.72%	31.81%	22.39%	$10,213	$10,210	19.58%	36.12%	47.52%	28.36%	75.98%	10.80%	29.58%	11.22%	28.70%	36.73%	-1.69%
2010	1.50%	14.40%	12.08%	$11,684	$11,443	14.27%	27.72%	24.96%	4.47%	18.86%	6.17%	28.30%	7.17%	17.09%	11.12%	7.35%
2011	2.96%	-2.16%	-1.82%	$11,432	$11,234	1.00%	-2.80%	-19.09%	-12.42%	-18.78%	13.23%	8.47%	-3.28%	0.96%	-14.56%	9.79%
2012	1.74%	13.28%	12.84%	$12,950	$12,677	15.00%	18.04%	18.89%	18.83%	18.64%	6.77%	17.53%	-0.58%	16.25%	18.14%	2.67%
2013	1.50%	7.08%	16.01%	$13,867	$14,707	32.87%	37.62%	17.44%	21.84%	-5.19%	-8.92%	2.31%	-1.83%	33.35%	15.04%	-3.09%
2014	0.76%	1.83%	4.16%	$14,121	$15,319	13.07%	7.37%	-4.81%	-6.80%	0.42%	3.83%	30.13%	-32.96%	12.43%	-4.24%	4.32%
2015	0.73%	-6.47%	-0.98%	$13,207	$15,169	-1.04%	-3.78%	-0.32%	-5.86%	-15.47%	-1.83%	2.22%	-34.06%	0.29%	-4.38%	1.50%
2016	2.07%	8.84%	6.37%	$14,374	$16,135	16.75%	18.17%	4.17%	5.05%	11.50%	4.52%	8.34%	10.12%	12.53%	4.65%	1.19%
2017	2.11%	15.04%	17.43%	$16,535	$18,948	16.99%	16.10%	30.12%	21.25%	31.15%	2.81%	4.83%	3.89%	21.05%	27.40%	1.58%
2018	1.91%	-9.07%	-6.59%	$15,036	$17,699	-5.55%	-9.43%	-18.52%	-14.66%	-14.71%	-1.49%	-6.11%	-13.88%	-5.26%	-14.44%	1.00%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.35%	0.45%
Arithmetic Mean (annualized)	4.30%	5.49%
Geometric Mean (monthly)	0.28%	0.40%
Geometric Mean (annualized)	3.46%	4.87%
Volatility (monthly)	3.65%	3.13%
Volatility (annualized)	12.63%	10.83%
Downside Deviation (monthly)	2.63%	2.17%
Max. Drawdown	-43.44%	-37.29%
US Market Correlation	0.91	0.95
Beta^(*)	0.76	0.68
Alpha (annualized)	-1.86%	-0.10%
R²	81.96%	89.79%
Sharpe Ratio	0.27	0.42
Sortino Ratio	0.37	0.60
Treynor Ratio (%)	4.56	6.76
Calmar Ratio	0.38	0.55
Active Return	-3.65%	-2.24%
Tracking Error	6.52%	5.98%
Information Ratio	-0.56	-0.37
Skewness	-1.00	-0.74
Excess Kurtosis	4.99	2.20
Historical Value-at-Risk (5%)	-6.16%	-5.84%
Analytical Value-at-Risk (5%)	-5.65%	-4.69%
Conditional Value-at-Risk (5%)	-9.03%	-7.60%
Upside Capture Ratio (%)	64.57	64.60
Downside Capture Ratio (%)	76.03	68.27
Safe Withdrawal Rate	9.05%	9.53%
Perpetual Withdrawal Rate	1.56%	2.89%
Positive Periods	84 out of 144 (58.33%)	88 out of 144 (61.11%)
Gain/Loss Ratio	0.94	0.94
^* 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
Subprime Crisis	Nov 2007	Mar 2009	-43.44%	-37.29%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Jan 2011	1 year 11 months	3 years 3 months	-43.44%
2	Sep 2014	Feb 2016	1 year 6 months	Mar 2017	1 year 1 month	2 years 7 months	-15.08%
3	May 2011	Sep 2011	5 months	Nov 2012	1 year 2 months	1 year 7 months	-14.93%
4	Feb 2018	Dec 2018	11 months				-11.63%
5	May 2013	Jun 2013	2 months	Oct 2013	4 months	6 months	-5.48%
6	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-1.70%
7	Jul 2014	Jul 2014	1 month	Aug 2014	1 month	2 months	-1.21%
8	Feb 2013	Feb 2013	1 month	Mar 2013	1 month	2 months	-0.53%
9	Nov 2013	Nov 2013	1 month	Dec 2013	1 month	2 months	-0.29%
10	Jun 2007	Aug 2007	3 months	Sep 2007	1 month	4 months	-0.17%

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	Dec 2010	1 year 10 months	3 years 2 months	-37.29%
2	May 2011	Sep 2011	5 months	Sep 2012	1 year	1 year 5 months	-12.93%
3	Feb 2018	Dec 2018	11 months				-9.62%
4	Jun 2015	Feb 2016	9 months	Jul 2016	5 months	1 year 2 months	-8.89%
5	May 2013	Jun 2013	2 months	Jul 2013	1 month	3 months	-2.89%
6	Sep 2014	Sep 2014	1 month	Feb 2015	5 months	6 months	-2.70%
7	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-2.26%
8	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-1.93%
9	Oct 2016	Oct 2016	1 month	Jan 2017	3 months	4 months	-1.61%
10	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-1.50%
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 Large Cap Value	5.73%	15.00%	32.87%	-35.97%	-54.85%	0.40	0.55	0.97
US Small Cap	7.10%	18.92%	37.62%	-36.07%	-53.95%	0.42	0.59	0.96
International ex-US Small Cap	2.28%	18.80%	47.52%	-41.68%	-57.69%	0.17	0.24	0.86
International ex-US Value	-0.12%	19.05%	28.36%	-41.67%	-59.70%	0.05	0.07	0.87
Emerging Markets	2.38%	22.33%	75.98%	-52.81%	-62.70%	0.18	0.27	0.79
TIPS	3.53%	5.89%	13.23%	-8.92%	-12.50%	0.49	0.72	0.17
REIT	4.09%	24.01%	30.13%	-37.05%	-68.28%	0.26	0.36	0.74
Commodities	-8.38%	22.44%	31.62%	-45.75%	-82.38%	-0.31	-0.38	0.51
US Stock Market	7.11%	15.13%	33.35%	-37.04%	-50.89%	0.48	0.68	1.00
Global ex-US Stock Market	1.46%	18.26%	36.73%	-44.10%	-58.50%	0.13	0.18	0.88
Intermediate Term Treasury	3.88%	4.43%	13.32%	-3.09%	-4.48%	0.71	1.28	-0.26

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap Value	US Small Cap	International ex-US Small Cap	International ex-US Value	Emerging Markets	TIPS	REIT	Commodities	US Stock Market	Global ex-US Stock Market	Intermediate Term Treasury	Portfolio 1	Portfolio 2
US Large Cap Value	-	0.92	0.83	0.87	0.75	0.13	0.74	0.48	0.97	0.86	-0.24	0.88	0.93
US Small Cap	0.92	-	0.83	0.81	0.74	0.14	0.77	0.47	0.96	0.83	-0.28	0.87	0.89
International ex-US Small Cap	0.83	0.83	-	0.93	0.90	0.30	0.67	0.59	0.86	0.97	-0.15	0.95	0.94
International ex-US Value	0.87	0.81	0.93	-	0.85	0.21	0.68	0.53	0.87	0.97	-0.17	0.92	0.95
Emerging Markets	0.75	0.74	0.90	0.85	-	0.35	0.59	0.58	0.79	0.93	-0.10	0.93	0.89
TIPS	0.13	0.14	0.30	0.21	0.35	-	0.30	0.24	0.17	0.30	0.67	0.42	0.31
REIT	0.74	0.77	0.67	0.68	0.59	0.30	-	0.25	0.74	0.67	0.01	0.75	0.72
Commodities	0.48	0.47	0.59	0.53	0.58	0.24	0.25	-	0.51	0.60	-0.22	0.64	0.55
US Stock Market	0.97	0.96	0.86	0.87	0.79	0.17	0.74	0.51	-	0.88	-0.26	0.91	0.95
Global ex-US Stock Market	0.86	0.83	0.97	0.97	0.93	0.30	0.67	0.60	0.88	-	-0.14	0.97	0.97
Intermediate Term Treasury	-0.24	-0.28	-0.15	-0.17	-0.10	0.67	0.01	-0.22	-0.26	-0.14	-	-0.07	-0.08

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap Value	$1,045
US Small Cap	$1,076
International ex-US Small Cap	$515
International ex-US Value	$147
Emerging Markets	$1,104
TIPS	$1,351
REIT	$557
Commodities	-$758
US Stock Market		$4,529
Global ex-US Stock Market		$1,491
Intermediate Term Treasury		$1,679

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Large Cap Value	10.21%
US Small Cap	11.50%
International ex-US Small Cap	13.89%
International ex-US Value	13.62%
Emerging Markets	27.45%
TIPS	5.69%
REIT	9.79%
Commodities	7.84%
US Stock Market		45.07%
Global ex-US Stock Market		55.88%
Intermediate Term Treasury		-0.95%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	4.65%	31.81%	-30.81%	5.65%	22.39%	-24.40%
3 years	4.91%	13.84%	0.66%	6.14%	10.89%	0.69%
5 years	4.81%	12.34%	1.63%	6.39%	12.01%	2.36%
7 years	5.02%	7.92%	3.37%	6.72%	8.92%	4.80%
10 years	4.84%	6.85%	3.70%	6.09%	7.81%	4.90%
Result statistics are based on annualized rolling returns over full calendar year periods