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 2007 - Dec 2018)

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
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$15,036 3.46% 12.63%31.81%-30.81%-43.44% 0.270.370.91
Portfolio 2$10,000$17,699 4.87% 10.83%22.39%-24.40%-37.29% 0.420.600.95
   
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
YearInflationReturnBalanceUS Large Cap ValueUS Small CapInternational ex-US Small CapInternational ex-US ValueEmerging MarketsTIPSREITCommoditiesUS Stock MarketGlobal ex-US Stock MarketIntermediate Term Treasury
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20074.08%11.98%10.35%$11,198$11,0350.08%1.16%2.95%4.23%38.90%11.59%-16.46%31.62%5.49%15.52%9.98%
20080.09%-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%
20092.72%31.81%22.39%$10,213$10,21019.58%36.12%47.52%28.36%75.98%10.80%29.58%11.22%28.70%36.73%-1.69%
20101.50%14.40%12.08%$11,684$11,44314.27%27.72%24.96%4.47%18.86%6.17%28.30%7.17%17.09%11.12%7.35%
20112.96%-2.16%-1.82%$11,432$11,2341.00%-2.80%-19.09%-12.42%-18.78%13.23%8.47%-3.28%0.96%-14.56%9.79%
20121.74%13.28%12.84%$12,950$12,67715.00%18.04%18.89%18.83%18.64%6.77%17.53%-0.58%16.25%18.14%2.67%
20131.50%7.08%16.01%$13,867$14,70732.87%37.62%17.44%21.84%-5.19%-8.92%2.31%-1.83%33.35%15.04%-3.09%
20140.76%1.83%4.16%$14,121$15,31913.07%7.37%-4.81%-6.80%0.42%3.83%30.13%-32.96%12.43%-4.24%4.32%
20150.73%-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%
20162.07%8.84%6.37%$14,374$16,13516.75%18.17%4.17%5.05%11.50%4.52%8.34%10.12%12.53%4.65%1.19%
20172.11%15.04%17.43%$16,535$18,94816.99%16.10%30.12%21.25%31.15%2.81%4.83%3.89%21.05%27.40%1.58%
20181.91%-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
MetricPortfolio 1Portfolio 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 Correlation0.910.95
Beta(*)0.760.68
Alpha (annualized)-1.86%-0.10%
R281.96%89.79%
Sharpe Ratio0.270.42
Sortino Ratio0.370.60
Treynor Ratio (%)4.566.76
Calmar Ratio0.380.55
Active Return-3.65%-2.24%
Tracking Error6.52%5.98%
Information Ratio-0.56-0.37
Skewness-1.00-0.74
Excess Kurtosis4.992.20
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 (%)64.5764.60
Downside Capture Ratio (%)76.0368.27
Safe Withdrawal Rate9.05%9.53%
Perpetual Withdrawal Rate1.56%2.89%
Positive Periods84 out of 144 (58.33%)88 out of 144 (61.11%)
Gain/Loss Ratio0.940.94
* 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 PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-43.44%-37.29%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-43.44%
2Sep 2014Feb 20161 year 6 monthsMar 20171 year 1 month2 years 7 months-15.08%
3May 2011Sep 20115 monthsNov 20121 year 2 months1 year 7 months-14.93%
4Feb 2018Dec 201811 months-11.63%
5May 2013Jun 20132 monthsOct 20134 months6 months-5.48%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-1.70%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.21%
8Feb 2013Feb 20131 monthMar 20131 month2 months-0.53%
9Nov 2013Nov 20131 monthDec 20131 month2 months-0.29%
10Jun 2007Aug 20073 monthsSep 20071 month4 months-0.17%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-37.29%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-12.93%
3Feb 2018Dec 201811 months-9.62%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-8.89%
5May 2013Jun 20132 monthsJul 20131 month3 months-2.89%
6Sep 2014Sep 20141 monthFeb 20155 months6 months-2.70%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-2.26%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.93%
9Oct 2016Oct 20161 monthJan 20173 months4 months-1.61%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-1.50%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap Value5.73%15.00%32.87%-35.97%-54.85%0.400.550.97
US Small Cap7.10%18.92%37.62%-36.07%-53.95%0.420.590.96
International ex-US Small Cap2.28%18.80%47.52%-41.68%-57.69%0.170.240.86
International ex-US Value-0.12%19.05%28.36%-41.67%-59.70%0.050.070.87
Emerging Markets2.38%22.33%75.98%-52.81%-62.70%0.180.270.79
TIPS3.53%5.89%13.23%-8.92%-12.50%0.490.720.17
REIT4.09%24.01%30.13%-37.05%-68.28%0.260.360.74
Commodities-8.38%22.44%31.62%-45.75%-82.38%-0.31-0.380.51
US Stock Market7.11%15.13%33.35%-37.04%-50.89%0.480.681.00
Global ex-US Stock Market1.46%18.26%36.73%-44.10%-58.50%0.130.180.88
Intermediate Term Treasury3.88%4.43%13.32%-3.09%-4.48%0.711.28-0.26

Monthly Correlations

Correlations for the portfolio assets
NameUS Large Cap ValueUS Small CapInternational ex-US Small CapInternational ex-US ValueEmerging MarketsTIPSREITCommoditiesUS Stock MarketGlobal ex-US Stock MarketIntermediate Term TreasuryPortfolio 1Portfolio 2
US Large Cap Value-0.920.830.870.750.130.740.480.970.86-0.240.880.93
US Small Cap0.92-0.830.810.740.140.770.470.960.83-0.280.870.89
International ex-US Small Cap0.830.83-0.930.900.300.670.590.860.97-0.150.950.94
International ex-US Value0.870.810.93-0.850.210.680.530.870.97-0.170.920.95
Emerging Markets0.750.740.900.85-0.350.590.580.790.93-0.100.930.89
TIPS0.130.140.300.210.35-0.300.240.170.300.670.420.31
REIT0.740.770.670.680.590.30-0.250.740.670.010.750.72
Commodities0.480.470.590.530.580.240.25-0.510.60-0.220.640.55
US Stock Market0.970.960.860.870.790.170.740.51-0.88-0.260.910.95
Global ex-US Stock Market0.860.830.970.970.930.300.670.600.88--0.140.970.97
Intermediate Term Treasury-0.24-0.28-0.15-0.17-0.100.670.01-0.22-0.26-0.14--0.07-0.08

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 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
NamePortfolio 1Portfolio 2
US Large Cap Value10.21%
US Small Cap11.50%
International ex-US Small Cap13.89%
International ex-US Value13.62%
Emerging Markets27.45%
TIPS5.69%
REIT9.79%
Commodities7.84%
US Stock Market45.07%
Global ex-US Stock Market55.88%
Intermediate Term Treasury-0.95%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.65%31.81%-30.81%5.65%22.39%-24.40%
3 years4.91%13.84%0.66%6.14%10.89%0.69%
5 years4.81%12.34%1.63%6.39%12.01%2.36%
7 years5.02%7.92%3.37%6.72%8.92%4.80%
10 years4.84%6.85%3.70%6.09%7.81%4.90%
Result statistics are based on annualized rolling returns over full calendar year periods