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.

$ .00
$ .00
%
%
%
Asset Allocation
US Stock Market
%
%
%
US Large Cap
%
%
%
US Large Cap Value
%
%
%
US Large Cap Growth
%
%
%
US Mid Cap
%
%
%
US Mid Cap Value
%
%
%
US Mid Cap Growth
%
%
%
US Small Cap
%
%
%
US Small Cap Value
%
%
%
US Small Cap Growth
%
%
%
US Micro Cap
%
%
%
Global ex-US Stock Market
%
%
%
Intl Developed ex-US Market
%
%
%
International ex-US Small Cap
%
%
%
International ex-US Value
%
%
%
European Stocks
%
%
%
Pacific Stocks
%
%
%
Emerging Markets
%
%
%
Cash
%
%
%
Short Term Treasury
%
%
%
Intermediate Term Treasury
%
%
%
10-year Treasury
%
%
%
Long Term Treasury
%
%
%
Total US Bond Market
%
%
%
TIPS
%
%
%
Global Bonds (Unhedged)
%
%
%
Global Bonds (USD Hedged)
%
%
%
Short-Term Investment Grade
%
%
%
Corporate Bonds
%
%
%
Long-Term Corporate Bonds
%
%
%
High Yield Corporate Bonds
%
%
%
Short-Term Tax-Exempt
%
%
%
Intermediate-Term Tax-Exempt
%
%
%
Long-Term Tax-Exempt
%
%
%
REIT
%
%
%
Gold
%
%
%
Precious Metals
%
%
%
Commodities
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2007 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 36.00%
Global ex-US Stock Market 24.00%
Total US Bond Market 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 30.60%
Global ex-US Stock Market 20.40%
Total US Bond Market 34.00%
Commodities 15.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 36.00%
Global ex-US Stock Market 24.00%
Total US Bond Market 25.00%
Commodities 15.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,480 6.06% 9.30%21.52%-21.90%-33.02% 0.580.850.96
Portfolio 2$10,000$17,338 4.32% 10.14%19.97%-25.48%-36.81% 0.380.520.92
Portfolio 3$10,000$17,664 4.47% 11.52%22.31%-29.52%-41.14% 0.360.500.94
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketCommodities
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20074.08%8.47%11.94%12.17%$10,847$11,194$11,2175.49%15.52%6.92%31.62%
20080.09%-21.90%-25.48%-29.52%$8,472$8,343$7,906-37.04%-44.10%5.05%-45.75%
20092.72%21.52%19.97%22.31%$10,295$10,009$9,67028.70%36.73%5.93%11.22%
20101.50%11.39%10.76%11.50%$11,468$11,086$10,78317.09%11.12%6.42%7.17%
20112.96%-0.13%-0.60%-1.75%$11,453$11,019$10,5940.96%-14.56%7.56%-3.28%
20121.74%11.82%9.96%11.13%$12,807$12,117$11,77316.25%18.14%4.05%-0.58%
20131.50%14.71%12.23%14.78%$14,692$13,599$13,51333.35%15.04%-2.26%-1.83%
20140.76%5.76%-0.05%-0.05%$15,538$13,592$13,50612.43%-4.24%5.76%-32.96%
20150.73%-0.83%-5.81%-5.98%$15,410$12,803$12,6990.29%-4.38%0.30%-34.06%
20162.07%6.63%7.15%7.77%$16,431$13,718$13,68612.53%4.65%2.50%10.12%
20172.11%15.53%13.79%15.60%$18,983$15,610$15,82121.05%27.40%3.45%3.89%
20181.91%-5.41%-6.68%-7.47%$17,957$14,567$14,638-5.26%-14.44%-0.13%-13.88%
20192.29%19.62%19.02%20.67%$21,480$17,338$17,66430.65%21.43%8.61%15.62%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.53%0.40%0.42%
Arithmetic Mean (annualized)6.52%4.87%5.18%
Geometric Mean (monthly)0.49%0.35%0.37%
Geometric Mean (annualized)6.06%4.32%4.47%
Volatility (monthly)2.68%2.93%3.33%
Volatility (annualized)9.30%10.14%11.52%
Downside Deviation (monthly)1.81%2.10%2.39%
Max. Drawdown-33.02%-36.81%-41.14%
US Market Correlation0.960.920.94
Beta(*)0.590.620.72
Alpha (annualized)0.66%-1.19%-1.80%
R291.80%85.10%87.60%
Sharpe Ratio0.580.380.36
Sortino Ratio0.850.520.50
Treynor Ratio (%)9.166.205.80
Calmar Ratio1.170.810.79
Active Return-2.70%-4.43%-4.28%
Tracking Error6.69%6.90%5.88%
Information Ratio-0.40-0.64-0.73
Skewness-0.80-1.07-1.02
Excess Kurtosis2.404.163.77
Historical Value-at-Risk (5%)-5.04%-5.34%-5.98%
Analytical Value-at-Risk (5%)-3.89%-4.42%-5.05%
Conditional Value-at-Risk (5%)-6.49%-7.59%-8.57%
Upside Capture Ratio (%)58.1955.6463.58
Downside Capture Ratio (%)58.5064.7775.28
Safe Withdrawal Rate9.10%8.30%8.17%
Perpetual Withdrawal Rate3.94%2.35%2.49%
Positive Periods100 out of 156 (64.10%)97 out of 156 (62.18%)97 out of 156 (62.18%)
Gain/Loss Ratio0.950.880.86
* 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
Subprime CrisisNov 2007Mar 2009-33.02%-36.81%-41.14%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-33.02%
2May 2011Sep 20115 monthsFeb 20125 months10 months-10.68%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.00%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.22%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.98%
6May 2019May 20191 monthJun 20191 month2 months-3.16%
7May 2013Jun 20132 monthsJul 20131 month3 months-2.45%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.26%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-1.80%
10Aug 2013Aug 20131 monthSep 20131 month2 months-1.75%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsApr 20112 years 2 months2 years 11 months-36.81%
2Jul 2014Feb 20161 year 8 monthsMay 20171 year 3 months2 years 11 months-14.00%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-12.56%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-10.01%
5Nov 2007Jan 20083 monthsMay 20084 months7 months-4.47%
6May 2019May 20191 monthJun 20191 month2 months-3.98%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-3.31%
8May 2013Jun 20132 monthsJul 20131 month3 months-2.33%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-1.73%
10Aug 2013Aug 20131 monthSep 20131 month2 months-1.07%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsApr 20112 years 2 months2 years 11 months-41.14%
2Jul 2014Feb 20161 year 8 monthsMay 20171 year 3 months2 years 11 months-15.04%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-14.75%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-11.29%
5Nov 2007Jan 20083 monthsMay 20084 months7 months-5.92%
6May 2019May 20191 monthJun 20191 month2 months-4.65%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-3.78%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-2.21%
9May 2013Jun 20132 monthsJul 20131 month3 months-2.21%
10Aug 2019Aug 20191 monthOct 20192 months3 months-1.39%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.76%15.04%33.35%-37.04%-50.89%0.570.821.00
Global ex-US Stock Market2.87%17.90%36.73%-44.10%-58.50%0.200.280.88
Total US Bond Market4.12%3.31%8.61%-2.26%-3.99%0.971.77-0.04
Commodities-6.72%22.02%31.62%-45.75%-82.38%-0.24-0.300.54

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketCommoditiesPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.88-0.040.540.960.920.94
Global ex-US Stock Market0.88-0.100.610.960.950.96
Total US Bond Market-0.040.10--0.110.160.090.06
Commodities0.540.61-0.11-0.550.760.75

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$6,744$4,992$5,729
Global ex-US Stock Market$2,012$1,438$1,617
Total US Bond Market$2,724$2,127$1,544
Commodities-$1,219-$1,225

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market54.43%41.11%43.39%
Global ex-US Stock Market43.42%33.65%35.14%
Total US Bond Market2.15%1.00%0.40%
Commodities24.24%21.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.71%21.52%-21.90%5.09%19.97%-25.48%5.47%22.31%-29.52%
3 years6.54%10.70%0.97%4.52%9.72%-0.32%4.82%10.25%-1.31%
5 years6.54%11.64%2.75%4.34%10.27%1.38%4.68%11.31%0.97%
7 years6.93%8.92%5.27%4.65%6.31%2.81%5.07%7.00%2.69%
10 years6.57%7.80%5.09%4.49%5.73%3.21%4.81%6.35%3.19%
Result statistics are based on annualized rolling returns over full calendar year periods