Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

You can also use the portfolio backtesting tool to build and compare portfolios 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 1979 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
10-year Treasury 100.00%
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Portfolio 2
Asset Class Allocation
Long-Term Corporate Bonds 100.00%
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Portfolio 3
Asset Class Allocation
High Yield Corporate Bonds 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$200,572 7.59% 8.46%39.57%-10.17%-15.76% 0.390.610.03
Portfolio 2$10,000$308,051 8.72% 8.39%28.68%-6.23%-16.82% 0.510.810.19
Portfolio 3$10,000$265,392 8.33% 7.30%39.09%-21.29%-28.90% 0.530.770.59
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 1-1.42%8.03%3.76%2.67%4.05%7.59%
Portfolio 2-0.32%20.41%8.23%5.98%7.97%8.72%
Portfolio 32.50%15.79%6.34%5.68%7.10%8.33%
Trailing returns are for full months ending in December 2019 excluding portfolio cashflows.
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.
  • 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalance10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
197913.29%1.83%-0.77%5.57%$10,183$9,923$10,5571.83%-0.77%5.57%
198012.52%-1.29%4.66%3.16%$10,051$10,385$10,891-1.29%4.66%3.16%
19818.92%5.28%8.55%9.29%$10,582$11,273$11,9035.28%8.55%9.29%
19823.83%39.57%28.68%27.09%$14,770$14,505$15,12839.57%28.68%27.09%
19833.79%2.30%6.98%15.87%$15,109$15,518$17,5302.30%6.98%15.87%
19843.95%14.87%14.67%7.74%$17,356$17,794$18,88614.87%14.67%7.74%
19853.80%29.85%21.66%21.99%$22,537$21,648$23,03929.85%21.66%21.99%
19861.10%21.35%14.34%16.86%$27,348$24,752$26,92321.35%14.34%16.86%
19874.43%-2.64%0.20%2.65%$26,625$24,801$27,637-2.64%0.20%2.65%
19884.42%6.90%9.70%13.56%$28,463$27,207$31,3846.90%9.70%13.56%
19894.65%17.84%15.18%1.89%$33,541$31,336$31,97717.84%15.18%1.89%
19906.11%7.70%6.21%-5.85%$36,124$33,281$30,1087.70%6.21%-5.85%
19913.06%18.91%20.90%29.01%$42,954$40,238$38,84118.91%20.90%29.01%
19922.90%7.23%9.78%14.24%$46,060$44,173$44,3737.23%9.78%14.24%
19932.75%12.97%14.49%18.24%$52,036$50,575$52,46812.97%14.49%18.24%
19942.67%-7.19%-5.30%-1.71%$48,293$47,896$51,570-7.19%-5.30%-1.71%
19952.54%25.55%26.40%19.15%$60,632$60,543$61,44825.55%26.40%19.15%
19963.32%-0.00%1.20%9.55%$60,630$61,267$67,314-0.00%1.20%9.55%
19971.70%11.97%13.78%11.91%$67,885$69,713$75,32811.97%13.78%11.91%
19981.61%14.64%9.21%5.62%$77,822$76,136$79,55914.64%9.21%5.62%
19992.68%-7.83%-6.23%2.49%$71,731$71,394$81,542-7.83%-6.23%2.49%
20003.39%17.28%11.76%-0.88%$84,124$79,791$80,82717.28%11.76%-0.88%
20011.55%5.40%9.57%2.90%$88,668$87,425$83,1715.40%9.57%2.90%
20022.38%15.45%13.22%1.73%$102,367$98,986$84,61315.45%13.22%1.73%
20031.88%0.15%6.26%17.20%$102,523$105,179$99,1640.15%6.26%17.20%
20043.26%4.50%8.94%8.52%$107,133$114,585$107,6084.50%8.94%8.52%
20053.42%3.01%5.13%2.77%$110,363$120,468$110,5893.01%5.13%2.77%
20062.54%2.19%2.86%8.24%$112,781$123,908$119,6972.19%2.86%8.24%
20074.08%10.42%3.75%2.04%$124,538$128,559$122,14310.42%3.75%2.04%
20080.09%20.53%2.29%-21.29%$150,110$131,508$96,14020.53%2.29%-21.29%
20092.72%-10.17%8.75%39.09%$134,840$143,020$133,718-10.17%8.75%39.09%
20101.50%7.92%10.71%12.40%$145,521$158,342$150,2987.92%10.71%12.40%
20112.96%16.24%17.18%7.13%$169,160$185,543$161,01716.24%17.18%7.13%
20121.74%2.73%11.66%14.36%$173,781$207,170$184,1322.73%11.66%14.36%
20131.50%-8.57%-5.87%4.54%$158,890$195,016$192,487-8.57%-5.87%4.54%
20140.76%10.63%18.17%4.58%$175,787$230,441$201,30910.63%18.17%4.58%
20150.73%1.12%-2.20%-1.40%$177,761$225,361$198,4981.12%-2.20%-1.40%
20162.07%1.00%7.83%11.19%$179,546$243,009$220,7111.00%7.83%11.19%
20172.11%2.39%11.94%7.02%$183,844$272,019$236,2032.39%11.94%7.02%
20181.91%0.99%-5.95%-2.96%$185,663$255,836$229,2010.99%-5.95%-2.96%
20192.29%8.03%20.41%15.79%$200,572$308,051$265,3928.03%20.41%15.79%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.64%0.73%0.69%
Arithmetic Mean (annualized)7.97%9.10%8.61%
Geometric Mean (monthly)0.61%0.70%0.67%
Geometric Mean (annualized)7.59%8.72%8.33%
Volatility (monthly)2.44%2.42%2.11%
Volatility (annualized)8.46%8.39%7.30%
Downside Deviation (monthly)1.33%1.36%1.29%
Max. Drawdown-15.76%-16.82%-28.90%
US Market Correlation0.030.190.59
Beta(*)0.010.110.29
Alpha (annualized)7.51%7.45%4.78%
R20.06%3.58%34.99%
Sharpe Ratio0.390.510.53
Sortino Ratio0.610.810.77
Treynor Ratio (%)228.8840.8413.45
Calmar Ratio0.750.931.45
Active Return-4.09%-2.96%-3.36%
Tracking Error17.08%15.78%12.24%
Information Ratio-0.24-0.19-0.27
Skewness0.360.17-0.59
Excess Kurtosis1.913.1010.33
Historical Value-at-Risk (5%)-3.36%-3.18%-2.88%
Analytical Value-at-Risk (5%)-3.38%-3.26%-2.78%
Conditional Value-at-Risk (5%)-4.47%-4.72%-4.54%
Upside Capture Ratio (%)17.0024.7735.59
Downside Capture Ratio (%)-16.69-8.2215.24
Safe Withdrawal Rate5.43%5.51%5.61%
Perpetual Withdrawal Rate3.98%4.98%4.63%
Positive Periods299 out of 492 (60.77%)319 out of 492 (64.84%)361 out of 492 (73.37%)
Gain/Loss Ratio1.311.210.91
* 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
Black Monday PeriodSep 1987Nov 1987-3.24%-3.52%-7.03%
Asian CrisisJul 1997Jan 1998-1.84%-2.49%-0.14%
Russian Debt DefaultJul 1998Oct 1998-1.22%-2.53%-3.90%
Dotcom CrashMar 2000Oct 2002-6.60%-4.05%-6.93%
Subprime CrisisNov 2007Mar 2009-6.16%-16.82%-28.46%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Feb 19808 monthsMay 19803 months11 months-15.76%
2Jul 1980Sep 19811 year 3 monthsNov 19812 months1 year 5 months-14.57%
3Mar 1987Sep 19877 monthsJan 19884 months11 months-10.87%
4Aug 2012Dec 20131 year 5 monthsJan 20151 year 1 month2 years 6 months-10.21%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-10.17%
6Nov 1993Nov 19941 year 1 monthMay 19956 months1 year 7 months-10.14%
7Oct 1998Jan 20001 year 4 monthsAug 20007 months1 year 11 months-9.34%
8Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-8.35%
9Feb 1984May 19844 monthsAug 19843 months7 months-7.99%
10Aug 2016Apr 20181 year 9 monthsMay 20191 year 1 month2 years 10 months-7.32%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Oct 200811 monthsDec 20082 months1 year 1 month-16.82%
2Sep 1979Feb 19806 monthsMay 19803 months9 months-13.48%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-10.14%
4Feb 2015Jun 20155 monthsApr 201610 months1 year 3 months-10.06%
5Mar 1987Sep 19877 monthsJan 19884 months11 months-9.79%
6Jun 2003Jul 20032 monthsFeb 20047 months9 months-9.74%
7Jan 2018Oct 201810 monthsMar 20195 months1 year 3 months-8.87%
8Feb 1994Oct 19949 monthsApr 19956 months1 year 3 months-8.75%
9Sep 2016Nov 20163 monthsAug 20179 months1 year-8.46%
10Jan 2009Mar 20093 monthsJul 20094 months7 months-8.28%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Nov 20081 year 6 monthsSep 200910 months2 years 4 months-28.90%
2Aug 1990Oct 19903 monthsApr 19916 months9 months-12.50%
3Sep 1979Mar 19807 monthsMay 19802 months9 months-9.27%
4Apr 1987Oct 19877 monthsJan 19883 months10 months-8.32%
5Feb 1984May 19844 monthsSep 19844 months8 months-7.74%
6Jul 1981Sep 19813 monthsNov 19812 months5 months-7.30%
7Sep 1989Feb 19906 monthsJul 19905 months11 months-7.14%
8May 2002Jul 20023 monthsJan 20036 months9 months-6.93%
9Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-6.83%
10Sep 2000Nov 20003 monthsJan 20012 months5 months-6.46%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
10-year Treasury7.59%8.46%39.57%-10.17%-15.76%0.390.610.03
Long-Term Corporate Bonds8.72%8.39%28.68%-6.23%-16.82%0.510.810.19
High Yield Corporate Bonds8.33%7.30%39.09%-21.29%-28.90%0.530.770.59

Monthly Correlations

Correlations for the portfolio assets
Name10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate BondsPortfolio 1Portfolio 2Portfolio 3
10-year Treasury1.000.830.301.000.830.30
Long-Term Corporate Bonds0.831.000.550.831.000.55
High Yield Corporate Bonds0.300.551.000.300.551.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
10-year Treasury$190,572
Long-Term Corporate Bonds$298,051
High Yield Corporate Bonds$255,392

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
10-year Treasury100.00%
Long-Term Corporate Bonds100.00%
High Yield Corporate Bonds100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.07%39.57%-10.17%9.04%28.68%-6.23%8.81%39.09%-21.29%
3 years7.94%21.87%0.76%8.94%16.84%2.85%8.52%20.34%-4.56%
5 years8.02%20.91%1.13%8.93%17.04%4.53%8.48%17.73%-0.62%
7 years8.04%15.18%1.34%8.91%13.95%4.70%8.41%14.85%2.09%
10 years7.95%15.04%2.15%8.82%13.57%5.62%8.24%12.55%1.91%
15 years7.85%12.73%3.98%8.65%12.47%6.10%8.04%12.24%4.12%
Result statistics are based on annualized rolling returns over full calendar year periods