Backtest Portfolio Asset Class Allocation

This online 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 1993 - Dec 2016)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Global ex-US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 35.00%
Global ex-US Stock Market 65.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$35,866 5.47% 17.09%40.34%-44.10%-58.50% 0.250.360.81
Portfolio 2$10,000$52,039 7.11% 15.48%36.01%-41.40%-55.63% 0.360.510.92
   
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
  • The backtested results assume no rebalancing per parameterization. See the allocation drift tab for details
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationReturnBalanceGlobal ex-US Stock MarketUS Stock Market
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19932.75%29.92%23.17%$12,992$12,31729.92%10.62%
19942.67%9.76%6.64%$14,261$13,1359.76%-0.17%
19952.54%3.98%13.34%$14,828$14,8873.98%35.79%
19963.32%4.68%10.42%$15,522$16,4384.68%20.96%
19971.70%-0.77%11.50%$15,402$18,328-0.77%30.99%
19981.61%15.60%19.08%$17,805$21,82515.60%23.26%
19992.68%29.92%27.05%$23,132$27,72829.92%23.81%
20003.39%-15.61%-13.31%$19,520$24,039-15.61%-10.57%
20011.55%-20.15%-15.82%$15,586$20,237-20.15%-10.97%
20022.38%-15.08%-18.02%$13,236$16,591-15.08%-20.96%
20031.88%40.34%36.01%$18,575$22,56540.34%31.35%
20043.26%20.84%16.97%$22,445$26,39420.84%12.52%
20053.42%15.57%11.28%$25,940$29,37215.57%5.98%
20062.54%26.64%21.90%$32,850$35,80426.64%15.51%
20074.08%15.52%11.47%$37,949$39,91215.52%5.49%
20080.09%-44.10%-41.40%$21,213$23,387-44.10%-37.04%
20092.72%36.73%33.43%$29,004$31,20636.73%28.70%
20101.50%11.12%13.49%$32,230$35,41411.12%17.09%
20112.96%-14.56%-8.22%$27,536$32,502-14.56%0.96%
20121.74%18.14%17.29%$32,531$38,12218.14%16.25%
20131.50%15.04%23.20%$37,425$46,96615.04%33.35%
20140.76%-4.24%3.80%$35,839$48,749-4.24%12.43%
20150.73%-4.38%-1.94%$34,271$47,804-4.38%0.29%
20162.07%4.65%8.86%$35,866$52,0394.65%12.53%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.57%0.68%
Arithmetic Mean (annualized)7.03%8.42%
Geometric Mean (monthly)0.44%0.57%
Geometric Mean (annualized)5.47%7.11%
Volatility (monthly)4.93%4.47%
Volatility (annualized)17.09%15.48%
Downside Deviation (monthly)3.40%3.08%
Max. Drawdown-58.50%-55.63%
US Market Correlation0.810.92
Beta(*)0.940.97
Alpha (annualized)-2.49%-1.47%
R266.07%85.25%
Sharpe Ratio0.250.36
Sortino Ratio0.360.51
Treynor Ratio (%)4.625.83
Information Ratio-0.31-0.30
Diversification Ratio1.001.05
Skewness-0.54-0.72
Excess Kurtosis1.571.80
Historical Value-at-Risk (5%)-8.81%-7.53%
Analytical Value-at-Risk (5%)-7.55%-6.68%
Conditional Value-at-Risk (5%)-11.67%-10.70%
Upside Capture Ratio (%)83.5390.53
Downside Capture Ratio (%)98.3598.67
Positive Periods169 out of 288 (58.68%)172 out of 288 (59.72%)
Gain/Loss Ratio0.951.00
* 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 2
Asian CrisisJul 1997Jan 1998-13.38%-7.92%
Russian Debt DefaultJul 1998Oct 1998-15.45%-14.96%
Dotcom CrashMar 2000Oct 2002-46.38%-45.17%
Subprime CrisisNov 2007Mar 2009-58.50%-55.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-58.50%
2Jan 2000Mar 20033 years 3 monthsAug 20052 years 5 months5 years 8 months-47.30%
3Aug 1997Sep 19981 year 2 monthsDec 19983 months1 year 5 months-16.13%
4Sep 1994Feb 19956 monthsMar 19961 year 1 month1 year 7 months-13.15%
5Sep 1993Nov 19933 monthsJan 19942 months5 months-10.94%
6May 1999May 19991 monthJul 19992 months3 months-5.00%
7May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
8May 1996Jan 19979 monthsMay 19974 months1 year 1 month-4.41%
9Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
10Mar 1994Mar 19941 monthApr 19941 month2 months-3.02%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-55.63%
2Apr 2000Sep 20022 years 6 monthsSep 20053 years5 years 6 months-45.17%
3May 1998Aug 19984 monthsDec 19984 months8 months-15.50%
4Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.52%
5Sep 1994Feb 19956 monthsJul 19955 months11 months-8.35%
6Aug 1997Oct 19973 monthsFeb 19984 months7 months-7.92%
7Sep 1993Nov 19933 monthsJan 19942 months5 months-7.68%
8Jan 2000Jan 20001 monthMar 20002 months3 months-5.29%
9Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.46%
10May 2006Jun 20062 monthsOct 20064 months6 months-4.10%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Global ex-US Stock Market5.47%17.09%40.34%-44.10%-58.50%0.250.360.81
US Stock Market9.17%14.79%35.79%-37.04%-50.89%0.500.721.00

Monthly Correlations

Correlations for the portfolio assets
NameGlobal ex-US Stock MarketUS Stock MarketPortfolio 1Portfolio 2
Global ex-US Stock Market-0.811.000.97
US Stock Market0.81-0.810.92

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Global ex-US Stock Market$25,866$16,813
US Stock Market$25,227

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Global ex-US Stock Market100.00%69.33%
US Stock Market30.67%

Annual Asset Returns

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YearGlobal ex-US Stock Market Allocation
1993100.00%
1994100.00%
1995100.00%
1996100.00%
1997100.00%
1998100.00%
1999100.00%
2000100.00%
2001100.00%
2002100.00%
2003100.00%
2004100.00%
2005100.00%
2006100.00%
2007100.00%
2008100.00%
2009100.00%
2010100.00%
2011100.00%
2012100.00%
2013100.00%
2014100.00%
2015100.00%
2016100.00%
2017100.00%

Portfolio 2 Allocation Drift

Annual allocation drift for portfolio 2
YearUS Stock Market AllocationGlobal ex-US Stock Market Allocation
199335.00%65.00%
199431.44%68.56%
199529.43%70.57%
199635.26%64.74%
199738.62%61.38%
199845.38%54.62%
199946.97%53.03%
200045.77%54.23%
200147.22%52.78%
200249.94%50.06%
200348.14%51.86%
200446.49%53.51%
200544.73%55.27%
200642.59%57.41%
200740.36%59.64%
200838.20%61.80%
200941.04%58.96%
201039.59%60.41%
201140.84%59.16%
201244.93%55.07%
201344.53%55.47%
201448.20%51.80%
201552.21%47.79%
201653.40%46.60%
201755.20%44.80%