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.

$ .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 1994 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 33.33%
Global ex-US Stock Market 16.67%
Global Bonds (Unhedged) 50.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$53,746 6.96% 8.79%25.47%-21.04%-32.07% 0.540.790.88
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)
19942.67%0.72%$10,072-0.17%9.76%-1.71%
19952.54%24.05%$12,49335.79%3.98%22.91%
19963.32%12.93%$14,10920.96%4.68%10.33%
19971.70%9.75%$15,48430.99%-0.77%-0.90%
19981.61%16.57%$18,05123.26%15.60%12.43%
19992.68%10.78%$19,99723.81%29.92%-4.28%
20003.39%-5.91%$18,814-10.57%-15.61%0.43%
20011.55%-5.77%$17,728-10.97%-20.15%2.48%
20022.38%1.17%$17,935-20.96%-15.08%21.33%
20031.88%25.47%$22,50331.35%40.34%16.59%
20043.26%13.43%$25,52512.52%20.84%11.57%
20053.42%1.41%$25,8855.98%15.57%-6.36%
20062.54%12.53%$29,12915.51%26.64%5.85%
20074.08%9.05%$31,7645.49%15.52%9.26%
20080.09%-21.04%$25,082-37.04%-44.10%-2.68%
20092.72%24.27%$31,17028.70%36.73%17.17%
20101.50%13.17%$35,27417.09%11.12%11.24%
20112.96%2.49%$36,1530.96%-14.56%9.20%
20121.74%12.15%$40,54616.25%18.14%7.42%
20131.50%11.10%$45,04833.35%15.04%-5.04%
20140.76%4.62%$47,13012.43%-4.24%2.37%
20150.73%-2.42%$45,9910.29%-4.38%-3.57%
20162.07%7.08%$49,24712.53%4.65%4.25%
20172.11%16.19%$57,21921.05%27.40%9.21%
20181.91%-6.07%$53,746-5.26%-14.44%-3.82%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.59%
Arithmetic Mean (annualized)7.37%
Geometric Mean (monthly)0.56%
Geometric Mean (annualized)6.96%
Volatility (monthly)2.54%
Volatility (annualized)8.79%
Downside Deviation (monthly)1.65%
Max. Drawdown-32.07%
US Market Correlation0.88
Beta(*)0.52
Alpha (annualized)2.07%
R277.00%
Sharpe Ratio0.54
Sortino Ratio0.79
Treynor Ratio (%)9.15
Calmar Ratio0.57
Active Return-1.98%
Tracking Error8.24%
Information Ratio-0.24
Skewness-0.67
Excess Kurtosis2.05
Historical Value-at-Risk (5%)-4.08%
Analytical Value-at-Risk (5%)-3.58%
Conditional Value-at-Risk (5%)-5.71%
Upside Capture Ratio (%)54.10
Downside Capture Ratio (%)47.89
Safe Withdrawal Rate7.47%
Perpetual Withdrawal Rate4.45%
Positive Periods197 out of 300 (65.67%)
Gain/Loss Ratio0.97
* 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
Asian CrisisJul 1997Jan 1998-3.15%
Russian Debt DefaultJul 1998Oct 1998-8.02%
Dotcom CrashMar 2000Oct 2002-16.61%
Subprime CrisisNov 2007Mar 2009-32.07%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-32.07%
2Apr 2000Sep 20022 years 6 monthsSep 20031 year3 years 6 months-16.61%
3Feb 2018Dec 201811 months-9.41%
4May 2011Sep 20115 monthsFeb 20125 months10 months-8.98%
5May 1998Aug 19984 monthsOct 19982 months6 months-8.02%
6Sep 2014Jan 20161 year 5 monthsJun 20165 months1 year 10 months-7.04%
7May 2012May 20121 monthAug 20123 months4 months-4.62%
8Feb 1994Mar 19942 monthsOct 19947 months9 months-4.47%
9Jan 2000Jan 20001 monthMar 20002 months3 months-4.09%
10May 2013Jun 20132 monthsJul 20131 month3 months-3.32%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.94%14.79%35.79%-37.04%-50.89%0.500.701.00
Global ex-US Stock Market4.50%16.56%40.34%-44.10%-58.50%0.210.290.83
Global Bonds (Unhedged)5.51%6.77%22.91%-6.36%-17.49%0.480.760.19

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)Portfolio 1
US Stock Market-0.830.190.88
Global ex-US Stock Market0.83-0.370.91
Global Bonds (Unhedged)0.190.37-0.61

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$21,840
Global ex-US Stock Market$6,165
Global Bonds (Unhedged)$15,741

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market48.68%
Global ex-US Stock Market28.15%
Global Bonds (Unhedged)23.17%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.51%25.47%-21.04%
3 years7.31%15.42%-3.56%
5 years7.04%14.70%2.19%
7 years6.77%9.45%5.08%
10 years6.86%9.75%3.34%
15 years6.71%8.04%5.88%
Result statistics are based on annualized rolling returns over full calendar year periods