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 1972 - Nov 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Mid Cap 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Small Cap 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,116,733 10.34% 15.04%37.45%-37.02%-50.97% 0.430.630.99
Portfolio 2$10,000$2,222,813 11.94% 17.05%48.69%-41.82%-54.14% 0.480.720.96
Portfolio 3$10,000$1,996,439 11.69% 19.30%55.13%-36.07%-53.95% 0.440.640.91
   
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
YearInflationReturnBalanceUS Large CapUS Mid CapUS Small Cap
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19723.41%18.95%8.02%8.66%$11,895$10,802$10,86618.95%8.02%8.66%
19738.71%-16.18%-24.20%-32.85%$9,971$8,187$7,296-16.18%-24.20%-32.85%
197412.34%-26.93%-26.34%-27.59%$7,286$6,031$5,283-26.93%-26.34%-27.59%
19756.94%36.95%48.69%55.13%$9,978$8,968$8,19636.95%48.69%55.13%
19764.86%24.18%36.67%45.33%$12,391$12,256$11,91224.18%36.67%45.33%
19776.70%-7.84%1.30%15.67%$11,419$12,416$13,779-7.84%1.30%15.67%
19789.02%5.87%8.97%17.74%$12,089$13,529$16,2235.87%8.97%17.74%
197913.29%18.05%31.48%41.02%$14,271$17,788$22,87818.05%31.48%41.02%
198012.52%31.92%30.76%35.78%$18,826$23,260$31,06331.92%30.76%35.78%
19818.92%-5.21%4.10%4.36%$17,846$24,215$32,419-5.21%4.10%4.36%
19823.83%20.97%25.21%29.27%$21,589$30,321$41,90720.97%25.21%29.27%
19833.79%21.29%27.11%31.64%$26,186$38,540$55,16521.29%27.11%31.64%
19843.95%6.21%-1.74%-4.26%$27,812$37,869$52,8166.21%-1.74%-4.26%
19853.80%31.23%32.79%33.70%$36,498$50,288$70,61631.23%32.79%33.70%
19861.10%18.06%17.12%9.77%$43,089$58,899$77,51418.06%17.12%9.77%
19874.43%4.71%0.84%-6.42%$45,117$59,392$72,5344.71%0.84%-6.42%
19884.42%16.22%19.44%23.78%$52,435$70,939$89,78416.22%19.44%23.78%
19894.65%31.36%26.00%19.41%$68,881$89,384$107,21231.36%26.00%19.41%
19906.11%-3.32%-10.73%-18.13%$66,591$79,792$87,777-3.32%-10.73%-18.13%
19913.06%30.22%40.44%45.26%$86,716$112,062$127,50530.22%40.44%45.26%
19922.90%7.42%15.19%18.20%$93,153$129,089$150,7147.42%15.19%18.20%
19932.75%9.89%16.20%18.70%$102,369$149,995$178,9039.89%16.20%18.70%
19942.67%1.18%-1.72%-0.51%$103,572$147,420$177,9951.18%-1.72%-0.51%
19952.54%37.45%33.22%28.74%$142,356$196,388$229,15037.45%33.22%28.74%
19963.32%22.88%18.97%18.12%$174,923$233,637$270,66822.88%18.97%18.12%
19971.70%33.19%25.66%24.59%$232,981$293,588$337,22433.19%25.66%24.59%
19981.61%28.62%9.90%-2.61%$299,653$322,640$328,41128.62%9.90%-2.61%
19992.68%21.07%15.32%23.13%$362,785$372,064$404,38221.07%15.32%23.13%
20003.39%-9.06%18.10%-2.67%$329,930$439,399$393,605-9.06%18.10%-2.67%
20011.55%-12.02%-0.50%3.10%$290,263$437,207$405,807-12.02%-0.50%3.10%
20022.38%-22.15%-14.61%-20.02%$225,984$373,338$324,554-22.15%-14.61%-20.02%
20031.88%28.50%34.14%45.63%$290,393$500,803$472,64328.50%34.14%45.63%
20043.26%10.74%20.35%19.90%$321,582$602,732$566,68210.74%20.35%19.90%
20053.42%4.77%13.93%7.36%$336,937$686,697$608,4104.77%13.93%7.36%
20062.54%15.64%13.60%15.66%$389,639$780,070$703,66015.64%13.60%15.66%
20074.08%5.39%6.02%1.16%$410,628$827,040$711,7925.39%6.02%1.16%
20080.09%-37.02%-41.82%-36.07%$258,611$481,138$455,047-37.02%-41.82%-36.07%
20092.72%26.49%40.22%36.12%$327,105$674,641$619,40226.49%40.22%36.12%
20101.50%14.91%25.46%27.72%$375,889$846,399$791,09914.91%25.46%27.72%
20112.96%1.97%-2.11%-2.80%$383,278$828,558$768,9161.97%-2.11%-2.80%
20121.74%15.82%15.80%18.04%$443,932$959,432$907,66115.82%15.80%18.04%
20131.50%32.18%35.00%37.62%$586,769$1,295,191$1,249,11632.18%35.00%37.62%
20140.76%13.51%13.60%7.37%$666,034$1,471,398$1,341,15013.51%13.60%7.37%
20150.73%1.25%-1.45%-3.78%$674,367$1,450,056$1,290,4151.25%-1.45%-3.78%
20162.07%11.82%11.07%18.17%$754,057$1,610,642$1,524,92711.82%11.07%18.17%
20172.11%21.67%19.12%16.10%$917,443$1,918,580$1,770,46021.67%19.12%16.10%
20181.91%-4.53%-9.34%-9.43%$875,903$1,739,389$1,603,534-4.53%-9.34%-9.43%
20192.43%27.50%27.79%24.50%$1,116,733$2,222,813$1,996,43927.50%27.79%24.50%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.92%1.07%1.08%
Arithmetic Mean (annualized)11.59%13.58%13.80%
Geometric Mean (monthly)0.82%0.94%0.93%
Geometric Mean (annualized)10.34%11.94%11.69%
Volatility (monthly)4.34%4.92%5.57%
Volatility (annualized)15.04%17.05%19.30%
Downside Deviation (monthly)2.78%3.15%3.65%
Max. Drawdown-50.97%-54.14%-53.95%
US Market Correlation0.990.960.91
Beta(*)0.971.071.14
Alpha (annualized)0.24%0.94%0.27%
R297.90%92.17%82.89%
Sharpe Ratio0.430.480.44
Sortino Ratio0.630.720.64
Treynor Ratio (%)6.707.767.41
Calmar Ratio1.090.730.51
Active Return-0.06%1.54%1.29%
Tracking Error2.23%4.88%8.28%
Information Ratio-0.020.320.16
Skewness-0.44-0.53-0.56
Excess Kurtosis2.192.552.78
Historical Value-at-Risk (5%)-6.68%-7.07%-7.83%
Analytical Value-at-Risk (5%)-6.22%-7.03%-8.08%
Conditional Value-at-Risk (5%)-9.59%-10.68%-12.37%
Upside Capture Ratio (%)96.42110.67118.35
Downside Capture Ratio (%)95.57105.70116.71
Safe Withdrawal Rate4.20%4.95%5.39%
Perpetual Withdrawal Rate5.95%7.32%7.10%
Positive Periods360 out of 575 (62.61%)351 out of 575 (61.04%)353 out of 575 (61.39%)
Gain/Loss Ratio1.021.121.05
* 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
Oil CrisisOct 1973Mar 1974-13.05%-15.86%-18.56%
Black Monday PeriodSep 1987Nov 1987-29.78%-30.12%-33.84%
Asian CrisisJul 1997Jan 1998-5.61%-4.79%-4.93%
Russian Debt DefaultJul 1998Oct 1998-15.38%-20.40%-25.73%
Dotcom CrashMar 2000Oct 2002-44.82%-24.36%-33.95%
Subprime CrisisNov 2007Mar 2009-50.97%-53.58%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Jan 1973Sep 19741 year 9 monthsSep 19762 years3 years 9 months-44.87%
3Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.00%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
7Jan 1977Feb 19781 year 2 monthsAug 19786 months1 year 8 months-14.86%
8Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
9Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
10Mar 1980Mar 19801 monthJun 19803 months4 months-9.81%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-54.14%
2Dec 1972Sep 19741 year 10 monthsJun 19761 year 9 months3 years 7 months-50.32%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-30.12%
4Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-24.36%
5Sep 1989Oct 19901 year 2 monthsFeb 19914 months1 year 6 months-23.38%
6Apr 1998Aug 19985 monthsApr 19998 months1 year 1 month-22.10%
7May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.40%
8Sep 2000Sep 20011 year 1 monthMar 20026 months1 year 7 months-19.33%
9Jun 1981Jul 19821 year 2 monthsOct 19823 months1 year 5 months-18.25%
10Sep 2018Dec 20184 monthsApr 20194 months8 months-15.89%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.95%
2May 1972Sep 19742 years 5 monthsDec 19762 years 3 months4 years 8 months-53.43%
3Mar 2000Sep 20022 years 7 monthsDec 20031 year 3 months3 years 10 months-33.95%
4Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-33.84%
5Oct 1989Oct 19901 year 1 monthMar 19915 months1 year 6 months-30.61%
6May 1998Aug 19984 monthsDec 19991 year 4 months1 year 8 months-29.82%
7May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.56%
8Sep 1978Oct 19782 monthsApr 19796 months8 months-20.35%
9Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.62%
10Jul 1983Jul 19841 year 1 monthJan 19856 months1 year 7 months-18.74%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap10.34%15.04%37.45%-37.02%-50.97%0.430.630.99
US Mid Cap11.94%17.05%48.69%-41.82%-54.14%0.480.720.96
US Small Cap11.69%19.30%55.13%-36.07%-53.95%0.440.640.91

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapUS Mid CapUS Small CapPortfolio 1Portfolio 2Portfolio 3
US Large Cap-0.930.851.000.930.85
US Mid Cap0.93-0.950.931.000.95
US Small Cap0.850.95-0.850.951.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap$1,106,733
US Mid Cap$2,212,813
US Small Cap$1,986,439

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap100.00%
US Mid Cap100.00%
US Small Cap100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year11.45%37.45%-37.02%13.30%48.69%-41.82%13.51%55.13%-36.07%
3 years10.69%31.03%-14.60%12.66%27.21%-15.51%12.72%37.65%-19.16%
5 years10.97%28.49%-2.38%13.14%24.15%-0.80%13.19%34.06%-0.76%
7 years10.95%21.44%-1.64%13.16%21.97%1.38%13.11%29.58%1.65%
10 years10.93%19.04%-1.46%13.11%20.17%4.08%12.78%25.89%3.32%
15 years11.15%18.68%4.13%13.21%19.69%8.08%12.47%22.22%6.42%
Result statistics are based on annualized rolling returns over full calendar year periods