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 1995 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 30.00%
Global ex-US Stock Market 30.00%
Total US Bond Market 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 15.00%
Global ex-US Stock Market 30.00%
Total US Bond Market 20.00%
Long-Term Corporate Bonds 20.00%
REIT 15.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$2,693,664 4.04% 7.23%7.53%8.93%23.10%-22.32%-33.59%
(-37.69%)
0.570.820.94
Portfolio 2$1,000,000$3,255,640 4.83% 7.84%8.08%9.35%24.20%-22.87%-37.86%
(-41.43%)
0.610.880.85
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual withdrawal of $40,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketLong-Term Corporate BondsREIT
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19952.54%19.20%17.30%$1,151,015$1,131,974-$41,01535.79%3.98%18.18%26.40%12.13%
19963.32%9.13%10.58%$1,213,668$1,209,359-$42,37820.96%4.68%3.58%1.20%33.84%
19971.70%12.84%11.88%$1,326,444$1,309,911-$43,10030.99%-0.77%9.44%13.78%18.77%
19981.61%15.09%9.28%$1,482,847$1,387,691-$43,79423.26%15.60%8.58%9.21%-16.32%
19992.68%15.82%10.54%$1,672,403$1,489,041-$44,97023.81%29.92%-0.76%-6.23%-4.04%
20003.39%-3.30%2.31%$1,570,720$1,476,980-$46,493-10.57%-15.61%11.39%11.76%26.35%
20011.55%-5.96%-2.24%$1,429,816$1,396,702-$47,215-10.97%-20.15%8.43%9.57%12.35%
20022.38%-7.51%-2.81%$1,274,104$1,309,128-$48,337-20.96%-15.08%8.26%13.22%3.75%
20031.88%23.10%24.20%$1,519,143$1,576,681-$49,24531.35%40.34%3.97%6.26%35.66%
20043.26%11.70%15.38%$1,646,044$1,768,299-$50,84912.52%20.84%4.24%8.94%30.76%
20053.42%7.42%8.86%$1,715,657$1,872,349-$52,5855.98%15.57%2.40%5.13%11.89%
20062.54%14.35%17.00%$1,907,965$2,136,784-$53,92115.51%26.64%4.27%2.86%35.07%
20074.08%9.07%5.15%$2,024,936$2,190,621-$56,1225.49%15.52%6.92%3.75%-16.46%
20080.09%-22.32%-22.87%$1,516,786$1,633,373-$56,173-37.04%-44.10%5.05%2.29%-37.05%
20092.72%22.00%22.70%$1,792,797$1,946,396-$57,70228.70%36.73%5.93%8.75%29.58%
20101.50%11.03%13.57%$1,932,023$2,152,012-$58,56517.09%11.12%6.42%10.71%28.30%
20112.96%-1.06%1.99%$1,851,282$2,134,576-$60,3000.96%-14.56%7.56%17.18%8.47%
20121.74%11.94%13.65%$2,010,925$2,364,596-$61,35016.25%18.14%4.05%11.66%17.53%
20131.50%13.61%8.24%$2,222,409$2,497,073-$62,27133.35%15.04%-2.26%-5.87%2.31%
20140.76%4.76%9.90%$2,265,465$2,681,482-$62,74212.43%-4.24%5.76%18.17%30.13%
20150.73%-1.11%-1.32%$2,177,208$2,582,967-$63,2000.29%-4.38%0.30%-2.20%2.22%
20162.07%6.16%6.59%$2,246,724$2,688,746-$64,51112.53%4.65%2.50%7.83%8.34%
20172.11%15.92%15.18%$2,538,419$3,030,982-$65,87221.05%27.40%3.45%11.94%4.83%
20181.91%-5.96%-7.25%$2,319,985$2,744,027-$67,130-5.26%-14.44%-0.13%-5.95%-6.11%
20192.29%19.07%21.15%$2,693,664$3,255,640-$68,66430.65%21.43%8.61%20.41%28.78%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.62%0.67%
Arithmetic Mean (annualized)7.66%8.31%
Geometric Mean (monthly)0.58%0.63%
Geometric Mean (annualized)7.23%7.84%
Volatility (monthly)2.58%2.70%
Volatility (annualized)8.93%9.35%
Downside Deviation (monthly)1.70%1.80%
Max. Drawdown-33.59%-37.86%
US Market Correlation0.940.85
Beta(*)0.560.53
Alpha (annualized)1.33%2.27%
R288.17%71.85%
Sharpe Ratio0.570.61
Sortino Ratio0.820.88
Treynor Ratio (%)9.0310.70
Calmar Ratio1.061.07
Active Return-2.89%-2.28%
Tracking Error7.22%8.57%
Information Ratio-0.40-0.27
Skewness-0.78-1.04
Excess Kurtosis1.865.19
Historical Value-at-Risk (5%)-4.19%-4.12%
Analytical Value-at-Risk (5%)-3.62%-3.77%
Conditional Value-at-Risk (5%)-5.92%-6.25%
Upside Capture Ratio (%)57.0655.26
Downside Capture Ratio (%)54.7748.54
Safe Withdrawal Rate7.55%7.89%
Perpetual Withdrawal Rate4.71%5.24%
Positive Periods193 out of 300 (64.33%)204 out of 300 (68.00%)
Gain/Loss Ratio1.030.92
* 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 1998-4.11%-3.99%
Russian Debt DefaultJul 1998Oct 1998-8.63%-8.45%
Dotcom CrashMar 2000Oct 2002-21.15%-9.70%
Subprime CrisisNov 2007Mar 2009-33.59%-37.86%

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-33.59%
2Apr 2000Sep 20022 years 6 monthsDec 20031 year 3 months3 years 9 months-21.15%
3May 2011Sep 20115 monthsMar 20126 months11 months-11.08%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-8.63%
5Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.55%
6May 2015Feb 201610 monthsJul 20165 months1 year 3 months-7.90%
7Apr 2012May 20122 monthsSep 20124 months6 months-5.35%
8Aug 1997Aug 19971 monthJan 19985 months6 months-4.11%
9Jan 2000Jan 20001 monthMar 20002 months3 months-3.19%
10May 2019May 20191 monthJun 20191 month2 months-3.09%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-37.86%
2Feb 2001Sep 20021 year 8 monthsMay 20038 months2 years 4 months-9.70%
3May 2011Sep 20115 monthsFeb 20125 months10 months-9.58%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-8.45%
5Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-8.37%
6Mar 2015Feb 20161 yearJun 20164 months1 year 4 months-7.13%
7May 2013Jun 20132 monthsOct 20134 months6 months-5.51%
8Apr 2004Apr 20041 monthSep 20045 months6 months-5.12%
9Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.64%
10Sep 2000Nov 20003 monthsJan 20012 months5 months-4.49%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.12%14.92%35.79%-37.04%-50.89%0.570.811.00
Global ex-US Stock Market4.93%16.56%40.34%-44.10%-58.50%0.230.330.84
Total US Bond Market5.36%3.51%18.18%-2.26%-3.99%0.861.45-0.04
Long-Term Corporate Bonds7.73%8.54%26.40%-6.23%-16.82%0.641.040.08
REIT10.37%19.14%35.66%-37.05%-68.28%0.490.720.56

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketLong-Term Corporate BondsREITPortfolio 1Portfolio 2
US Stock Market-0.84-0.040.080.560.940.85
Global ex-US Stock Market0.84--0.010.130.550.950.90
Total US Bond Market-0.04-0.01-0.890.170.130.28
Long-Term Corporate Bonds0.080.130.89-0.290.250.43
REIT0.560.550.170.29-0.590.78

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$1,390,587$772,532
Global ex-US Stock Market$796,825$896,511
Total US Bond Market$874,759$461,288
Long-Term Corporate Bonds$721,209
REIT$772,605

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market46.12%19.91%
Global ex-US Stock Market51.84%46.96%
Total US Bond Market2.03%2.06%
Long-Term Corporate Bonds7.68%
REIT23.40%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.80%23.10%-22.32%8.36%24.20%-22.87%
3 years6.88%14.58%-5.61%7.51%15.98%-1.74%
5 years6.45%14.37%2.31%7.23%13.92%2.88%
7 years6.23%8.58%4.09%7.18%9.57%5.11%
10 years6.34%8.51%3.38%7.33%9.34%4.75%
15 years6.29%7.86%5.23%7.25%8.60%6.50%
Result statistics are based on annualized rolling returns over full calendar year periods