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 1987 - Nov 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Total US Bond Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Intermediate 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$65,586 5.88% 3.81%18.18%-2.66%-5.86% 0.731.180.06
Portfolio 2$10,000$67,138 5.96% 4.77%20.44%-4.33%-6.47% 0.611.00-0.10
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2019 are based on full calendar months from January to November
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceTotal US Bond MarketIntermediate Term Treasury
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19874.43%1.54%1.55%$10,154$10,1551.54%1.55%
19884.42%7.35%5.26%$10,900$10,6897.35%5.26%
19894.65%13.64%14.52%$12,387$12,24113.64%14.52%
19906.11%8.65%9.46%$13,459$13,3998.65%9.46%
19913.06%15.25%15.97%$15,511$15,53915.25%15.97%
19922.90%7.14%7.78%$16,619$16,7487.14%7.78%
19932.75%9.68%11.43%$18,228$18,6629.68%11.43%
19942.67%-2.66%-4.33%$17,743$17,855-2.66%-4.33%
19952.54%18.18%20.44%$20,969$21,50518.18%20.44%
19963.32%3.58%1.92%$21,721$21,9173.58%1.92%
19971.70%9.44%8.96%$23,772$23,8819.44%8.96%
19981.61%8.58%10.61%$25,812$26,4148.58%10.61%
19992.68%-0.76%-3.52%$25,616$25,484-0.76%-3.52%
20003.39%11.39%14.03%$28,534$29,05911.39%14.03%
20011.55%8.43%7.55%$30,938$31,2538.43%7.55%
20022.38%8.26%14.15%$33,493$35,6758.26%14.15%
20031.88%3.97%2.37%$34,824$36,5193.97%2.37%
20043.26%4.24%3.40%$36,300$37,7624.24%3.40%
20053.42%2.40%2.31%$37,169$38,6362.40%2.31%
20062.54%4.27%3.14%$38,756$39,8484.27%3.14%
20074.08%6.92%9.98%$41,439$43,8246.92%9.98%
20080.09%5.05%13.32%$43,532$49,6625.05%13.32%
20092.72%5.93%-1.69%$46,116$48,8205.93%-1.69%
20101.50%6.42%7.35%$49,077$52,4086.42%7.35%
20112.96%7.56%9.79%$52,785$57,5387.56%9.79%
20121.74%4.05%2.67%$54,922$59,0774.05%2.67%
20131.50%-2.26%-3.09%$53,679$57,253-2.26%-3.09%
20140.76%5.76%4.32%$56,770$59,7255.76%4.32%
20150.73%0.30%1.50%$56,938$60,6220.30%1.50%
20162.07%2.50%1.19%$58,362$61,3412.50%1.19%
20172.11%3.45%1.58%$60,377$62,3113.45%1.58%
20181.91%-0.13%1.00%$60,300$62,936-0.13%1.00%
20192.43%8.77%6.68%$65,586$67,1388.77%6.68%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.48%0.49%
Arithmetic Mean (annualized)5.96%6.07%
Geometric Mean (monthly)0.48%0.48%
Geometric Mean (annualized)5.88%5.96%
Volatility (monthly)1.10%1.38%
Volatility (annualized)3.81%4.77%
Downside Deviation (monthly)0.56%0.71%
Max. Drawdown-5.86%-6.47%
US Market Correlation0.06-0.10
Beta(*)0.01-0.03
Alpha (annualized)5.64%6.26%
R20.32%1.01%
Sharpe Ratio0.730.61
Sortino Ratio1.181.00
Treynor Ratio (%)191.85-89.47
Calmar Ratio1.580.86
Active Return-4.40%-4.32%
Tracking Error15.23%16.16%
Information Ratio-0.29-0.27
Skewness-0.150.07
Excess Kurtosis0.720.49
Historical Value-at-Risk (5%)-1.24%-1.76%
Analytical Value-at-Risk (5%)-1.33%-1.77%
Conditional Value-at-Risk (5%)-2.02%-2.50%
Upside Capture Ratio (%)14.7911.95
Downside Capture Ratio (%)-10.63-16.77
Safe Withdrawal Rate5.48%5.62%
Perpetual Withdrawal Rate3.18%3.26%
Positive Periods272 out of 395 (68.86%)253 out of 395 (64.05%)
Gain/Loss Ratio1.401.42
* 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
Black Monday PeriodSep 1987Nov 1987-2.25%-2.01%
Asian CrisisJul 1997Jan 1998-0.85%-0.99%
Russian Debt DefaultJul 1998Oct 1998-0.55%-0.77%
Dotcom CrashMar 2000Oct 2002-1.91%-4.03%
Subprime CrisisNov 2007Mar 2009-3.99%-3.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1987Sep 19877 monthsJan 19884 months11 months-5.86%
2Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
3Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
4May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
5Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
6Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
7Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
8Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
9Mar 1988May 19883 monthsSep 19884 months7 months-2.64%
10Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-6.47%
2Mar 1987Sep 19877 monthsDec 19873 months10 months-5.46%
3Feb 1996May 19964 monthsOct 19965 months9 months-4.86%
4Oct 1998Jan 20001 year 4 monthsJun 20005 months1 year 9 months-4.67%
5Aug 2016Apr 20181 year 9 monthsMar 201911 months2 years 8 months-4.48%
6May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
7Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
8Nov 2001Mar 20025 monthsJun 20023 months8 months-4.03%
9Apr 2004May 20042 monthsOct 20045 months7 months-3.74%
10Nov 2010Mar 20115 monthsJul 20114 months9 months-3.51%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Total US Bond Market5.88%3.81%18.18%-2.66%-5.86%0.731.180.06
Intermediate Term Treasury5.96%4.77%20.44%-4.33%-6.47%0.611.00-0.10

Monthly Correlations

Correlations for the portfolio assets
NameTotal US Bond MarketIntermediate Term TreasuryPortfolio 1Portfolio 2
Total US Bond Market-0.941.000.94
Intermediate Term Treasury0.94-0.941.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Total US Bond Market$55,586
Intermediate Term Treasury$57,138

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Total US Bond Market100.00%
Intermediate Term Treasury100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.88%18.18%-2.66%6.09%20.44%-4.33%
3 years6.05%12.48%1.21%6.24%13.28%0.86%
5 years6.07%10.83%1.91%6.29%11.79%1.07%
7 years6.05%9.80%1.92%6.29%10.50%1.29%
10 years6.07%9.00%3.31%6.33%9.47%2.40%
15 years6.03%8.28%3.73%6.35%8.74%3.70%
Result statistics are based on annualized rolling returns over full calendar year periods