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 1976 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large 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$919,487 11.37% 14.69%37.45%-37.02%-50.97% 0.490.730.99
   
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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Large Cap
19764.86%24.18%$12,41824.18%
19776.70%-7.84%$11,444-7.84%
19789.02%5.87%$12,1165.87%
197913.29%18.05%$14,30318.05%
198012.52%31.92%$18,86831.92%
19818.92%-5.21%$17,886-5.21%
19823.83%20.97%$21,63720.97%
19833.79%21.29%$26,24421.29%
19843.95%6.21%$27,8746.21%
19853.80%31.23%$36,57931.23%
19861.10%18.06%$43,18518.06%
19874.43%4.71%$45,2174.71%
19884.42%16.22%$52,55216.22%
19894.65%31.36%$69,03431.36%
19906.11%-3.32%$66,739-3.32%
19913.06%30.22%$86,90930.22%
19922.90%7.42%$93,3617.42%
19932.75%9.89%$102,5969.89%
19942.67%1.18%$103,8031.18%
19952.54%37.45%$142,67337.45%
19963.32%22.88%$175,31322.88%
19971.70%33.19%$233,49933.19%
19981.61%28.62%$300,32128.62%
19992.68%21.07%$363,59321.07%
20003.39%-9.06%$330,665-9.06%
20011.55%-12.02%$290,909-12.02%
20022.38%-22.15%$226,487-22.15%
20031.88%28.50%$291,04028.50%
20043.26%10.74%$322,29910.74%
20053.42%4.77%$337,6874.77%
20062.54%15.64%$390,50715.64%
20074.08%5.39%$411,5435.39%
20080.09%-37.02%$259,187-37.02%
20092.72%26.49%$327,83426.49%
20101.50%14.91%$376,72614.91%
20112.96%1.97%$384,1321.97%
20121.74%15.82%$444,92115.82%
20131.50%32.18%$588,07632.18%
20140.76%13.51%$667,51713.51%
20150.73%1.25%$675,8691.25%
20162.07%11.82%$755,73611.82%
20172.11%21.67%$919,48721.67%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.99%
Arithmetic Mean (annualized)12.57%
Geometric Mean (monthly)0.90%
Geometric Mean (annualized)11.37%
Volatility (monthly)4.24%
Volatility (annualized)14.69%
Downside Deviation (monthly)2.70%
Max. Drawdown-50.97%
US Market Correlation0.99
Beta(*)0.97
Alpha (annualized)0.16%
R297.73%
Sharpe Ratio0.49
Sortino Ratio0.73
Treynor Ratio (%)7.50
Calmar Ratio1.34
Active Return-0.20%
Tracking Error2.27%
Information Ratio-0.09
Skewness-0.59
Excess Kurtosis2.32
Historical Value-at-Risk (5%)-6.22%
Analytical Value-at-Risk (5%)-5.98%
Conditional Value-at-Risk (5%)-9.30%
Upside Capture Ratio (%)96.17
Downside Capture Ratio (%)95.72
Safe Withdrawal Rate7.25%
Perpetual Withdrawal Rate6.96%
Positive Periods322 out of 504 (63.89%)
Gain/Loss Ratio1.02
* 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 1
Black Monday PeriodSep 1987Nov 1987-29.78%
Asian CrisisJul 1997Jan 1998-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%
Dotcom CrashMar 2000Oct 2002-44.82%
Subprime CrisisNov 2007Mar 2009-50.97%

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%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.00%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jan 1977Feb 19781 year 2 monthsAug 19786 months1 year 8 months-14.86%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
8Mar 1980Mar 19801 monthJun 19803 months4 months-9.81%
9Sep 1978Oct 19782 monthsMar 19795 months7 months-9.41%
10Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap11.37%14.69%37.45%-37.02%-50.97%0.490.730.99

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year12.62%37.45%-37.02%
3 years11.59%31.03%-14.60%
5 years11.62%28.49%-2.38%
7 years11.33%21.44%-1.64%
10 years11.08%19.04%-1.46%
15 years11.17%18.68%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods