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 1998 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 40.00%
Short Term Treasury 20.00%
Long Term Treasury 20.00%
Gold 20.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 20.00%
US Small Cap 20.00%
Short Term Treasury 20.00%
Long Term Treasury 20.00%
Gold 20.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 20.00%
US Small Cap Value 20.00%
Short Term Treasury 20.00%
Long Term Treasury 20.00%
Gold 20.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$47,112 7.30% 7.00%19.37%-7.99%-15.82% 0.761.180.76
Portfolio 2$10,000$48,925 7.48% 7.56%20.39%-7.80%-16.35% 0.741.130.76
Portfolio 3$10,000$49,258 7.52% 7.34%18.70%-7.00%-16.64% 0.761.160.75
   
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
YearInflationReturnBalanceUS Stock MarketShort Term TreasuryLong Term TreasuryGoldUS Small CapUS Small Cap Value
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19981.61%13.22%8.05%8.03%$11,322$10,805$10,80323.26%7.36%13.05%-0.83%-2.61%-2.68%
19992.68%8.33%8.20%4.24%$12,266$11,690$11,26223.81%1.85%-8.66%0.85%23.13%3.35%
20003.39%0.39%1.97%6.88%$12,314$11,921$12,037-10.57%8.83%19.72%-5.44%-2.67%21.88%
20011.55%-1.82%1.00%3.12%$12,090$12,040$12,412-10.97%7.80%4.31%0.75%3.10%13.70%
20022.38%1.67%1.86%3.02%$12,292$12,264$12,787-20.96%8.02%16.67%25.57%-20.02%-14.20%
20031.88%17.53%20.39%18.70%$14,447$14,764$15,17831.35%2.38%2.68%19.89%45.63%37.19%
20043.26%7.57%9.04%9.77%$15,540$16,099$16,66112.52%1.03%7.12%4.65%19.90%23.55%
20053.42%7.62%7.90%7.64%$16,724$17,370$17,9345.98%1.77%6.61%17.76%7.36%6.07%
20062.54%11.82%11.84%12.56%$18,700$19,427$20,18715.51%3.77%1.74%22.55%15.66%19.24%
20074.08%11.71%10.85%9.20%$20,890$21,534$22,0445.49%7.89%9.24%30.45%1.16%-7.07%
20080.09%-7.99%-7.80%-7.00%$19,221$19,855$20,502-37.04%6.68%22.51%4.92%-36.07%-32.05%
20092.72%14.16%15.65%14.49%$21,943$22,961$23,47228.70%1.44%-12.06%24.03%36.12%30.34%
20101.50%15.00%17.13%16.55%$25,235$26,894$27,35717.09%2.63%8.93%29.27%27.72%24.82%
20112.96%8.60%7.85%7.58%$27,407$29,006$29,4300.96%2.26%29.28%9.57%-2.80%-4.16%
20121.74%8.65%9.01%9.11%$29,778$31,619$32,11316.25%0.69%3.46%6.60%18.04%18.56%
20131.50%5.05%5.90%5.66%$31,281$33,486$33,93033.35%-0.10%-13.03%-28.33%37.62%36.41%
20140.76%9.73%8.72%9.32%$34,326$36,406$37,09412.43%0.71%25.27%-2.19%7.37%10.39%
20150.73%-2.23%-3.05%-3.25%$33,559$35,296$35,8900.29%0.45%-1.54%-10.67%-3.78%-4.77%
20162.07%7.06%8.19%9.48%$35,928$38,186$39,29312.53%1.00%1.21%8.03%18.17%24.65%
20172.11%12.78%11.79%10.90%$40,520$42,688$43,57821.05%0.40%8.59%12.81%16.10%11.67%
20181.91%-2.60%-3.44%-4.02%$39,466$41,222$41,827-5.26%1.35%-1.90%-1.94%-9.43%-12.34%
20192.29%19.37%18.69%17.77%$47,112$48,925$49,25830.65%3.59%14.13%17.86%27.22%22.61%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.61%0.63%0.63%
Arithmetic Mean (annualized)7.56%7.79%7.81%
Geometric Mean (monthly)0.59%0.60%0.61%
Geometric Mean (annualized)7.30%7.48%7.52%
Volatility (monthly)2.02%2.18%2.12%
Volatility (annualized)7.00%7.56%7.34%
Downside Deviation (monthly)1.23%1.34%1.32%
Max. Drawdown-15.82%-16.35%-16.64%
US Market Correlation0.760.760.75
Beta(*)0.350.380.36
Alpha (annualized)4.30%4.27%4.42%
R257.30%57.60%55.95%
Sharpe Ratio0.760.740.76
Sortino Ratio1.181.131.16
Treynor Ratio (%)15.5114.9115.61
Calmar Ratio2.101.531.46
Active Return-0.46%-0.28%-0.24%
Tracking Error10.99%10.75%10.95%
Information Ratio-0.04-0.03-0.02
Skewness-0.72-0.69-0.83
Excess Kurtosis2.782.783.26
Historical Value-at-Risk (5%)-2.57%-2.76%-2.70%
Analytical Value-at-Risk (5%)-2.72%-2.96%-2.86%
Conditional Value-at-Risk (5%)-4.03%-4.45%-4.51%
Upside Capture Ratio (%)42.3145.5743.89
Downside Capture Ratio (%)25.8129.6726.98
Safe Withdrawal Rate7.31%7.46%7.60%
Perpetual Withdrawal Rate4.81%4.97%5.00%
Positive Periods172 out of 264 (65.15%)172 out of 264 (65.15%)174 out of 264 (65.91%)
Gain/Loss Ratio1.151.111.11
* 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
Russian Debt DefaultJul 1998Oct 1998-7.72%-9.13%-8.79%
Dotcom CrashMar 2000Oct 2002-8.83%-6.83%-6.84%
Subprime CrisisNov 2007Mar 2009-15.82%-16.35%-16.64%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Feb 20091 yearSep 20097 months1 year 7 months-15.82%
2Sep 2000Mar 20017 monthsMay 20032 years 2 months2 years 9 months-8.83%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-7.72%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-5.59%
5Aug 2016Nov 20164 monthsApr 20175 months9 months-5.07%
6Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-4.51%
7May 2013Jun 20132 monthsOct 20134 months6 months-4.33%
8Apr 2000May 20002 monthsAug 20003 months5 months-3.86%
9Apr 2004Apr 20041 monthOct 20046 months7 months-3.86%
10May 1999Aug 19994 monthsOct 19992 months6 months-3.33%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20097 months1 year 4 months-16.35%
2May 1998Aug 19984 monthsDec 19984 months8 months-9.94%
3Sep 2000Mar 20017 monthsMar 20021 year1 year 7 months-6.83%
4Jun 2002Jul 20022 monthsApr 20039 months11 months-6.42%
5Feb 2015Jan 20161 yearApr 20163 months1 year 3 months-5.92%
6Sep 2018Dec 20184 monthsFeb 20192 months6 months-5.64%
7Mar 2000May 20003 monthsAug 20003 months6 months-5.23%
8Aug 2016Nov 20164 monthsApr 20175 months9 months-4.52%
9Apr 2004Apr 20041 monthOct 20046 months7 months-4.39%
10Apr 2013Jun 20133 monthsOct 20134 months7 months-4.22%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Feb 20091 yearSep 20097 months1 year 7 months-16.64%
2May 1998Aug 19984 monthsDec 19984 months8 months-9.44%
3Jun 2002Jul 20022 monthsMay 200310 months1 year-6.84%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-5.82%
5Sep 2018Dec 20184 monthsFeb 20192 months6 months-5.37%
6Feb 2001Mar 20012 monthsDec 20019 months11 months-4.82%
7Apr 2004Apr 20041 monthOct 20046 months7 months-4.55%
8Apr 2013Jun 20133 monthsOct 20134 months7 months-4.41%
9Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.92%
10Sep 2011Sep 20111 monthOct 20111 month2 months-3.74%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.76%15.30%33.35%-37.04%-50.89%0.440.621.00
Short Term Treasury3.22%1.80%8.83%-0.10%-1.46%0.741.35-0.32
Long Term Treasury6.58%10.46%29.28%-13.03%-16.68%0.480.80-0.29
Gold7.49%16.49%30.45%-28.33%-42.91%0.400.650.03
US Small Cap8.53%19.32%45.63%-36.07%-53.95%0.420.610.91
US Small Cap Value8.82%18.37%37.19%-32.05%-56.13%0.450.640.88

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketShort Term TreasuryLong Term TreasuryGoldUS Small CapUS Small Cap ValuePortfolio 1Portfolio 2Portfolio 3
US Stock Market1.00-0.32-0.290.030.910.880.760.760.75
Short Term Treasury-0.321.000.620.28-0.30-0.270.110.070.09
Long Term Treasury-0.290.621.000.22-0.28-0.280.200.150.17
Gold0.030.280.221.000.080.040.590.570.57
US Small Cap0.91-0.30-0.280.081.000.950.700.790.77
US Small Cap Value0.88-0.27-0.280.040.951.000.660.740.77

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$20,774$10,907$11,139
Short Term Treasury$2,517$2,570$2,616
Long Term Treasury$6,834$7,124$7,241
Gold$6,988$7,216$7,448
US Small Cap$11,108
US Small Cap Value$10,814

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market65.86%30.48%31.01%
Short Term Treasury0.54%0.32%0.46%
Long Term Treasury5.81%4.19%4.76%
Gold27.80%24.77%25.43%
US Small Cap40.24%
US Small Cap Value38.35%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.53%19.37%-7.99%7.72%20.39%-7.80%7.72%18.70%-7.00%
3 years6.93%12.55%0.07%7.33%13.47%1.61%7.46%12.81%3.78%
5 years7.01%11.19%4.21%7.46%11.92%4.17%7.56%11.51%4.27%
7 years7.30%8.63%5.35%7.76%9.37%5.15%7.81%9.06%5.15%
10 years7.44%9.25%5.43%7.90%9.93%6.27%7.89%9.65%6.62%
15 years7.37%8.28%6.91%7.83%8.67%7.09%7.85%8.52%6.99%
Result statistics are based on annualized rolling returns over full calendar year periods