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.

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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 - Aug 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$45,815 7.28% 7.05%17.53%-7.99%-15.82% 0.761.180.76
Portfolio 2$10,000$47,704 7.48% 7.61%20.39%-7.80%-16.35% 0.741.130.76
Portfolio 3$10,000$47,907 7.50% 7.39%18.70%-7.00%-16.64% 0.761.160.75
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to August
  • 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
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%
20192.12%16.09%15.73%14.54%$45,815$47,704$47,90717.89%3.45%22.65%18.56%16.08%10.14%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.61%0.63%0.63%
Arithmetic Mean (annualized)7.54%7.79%7.79%
Geometric Mean (monthly)0.59%0.60%0.60%
Geometric Mean (annualized)7.28%7.48%7.50%
Volatility (monthly)2.04%2.20%2.13%
Volatility (annualized)7.05%7.61%7.39%
Downside Deviation (monthly)1.24%1.35%1.33%
Max. Drawdown-15.82%-16.35%-16.64%
US Market Correlation0.760.760.75
Beta(*)0.350.380.36
Alpha (annualized)4.40%4.39%4.53%
R257.49%57.81%56.14%
Sharpe Ratio0.760.740.76
Sortino Ratio1.181.131.16
Treynor Ratio (%)15.5314.9615.64
Calmar Ratio1.551.151.10
Active Return-0.10%0.11%0.13%
Tracking Error11.04%10.80%11.00%
Information Ratio-0.010.010.01
Skewness-0.71-0.69-0.82
Excess Kurtosis2.712.713.18
Historical Value-at-Risk (5%)-2.58%-2.78%-2.72%
Analytical Value-at-Risk (5%)-2.74%-2.99%-2.88%
Conditional Value-at-Risk (5%)-4.03%-4.45%-4.51%
Upside Capture Ratio (%)42.6746.0444.28
Downside Capture Ratio (%)25.8329.7027.01
Safe Withdrawal Rate7.50%7.65%7.80%
Perpetual Withdrawal Rate4.91%5.09%5.12%
Positive Periods169 out of 260 (65.00%)169 out of 260 (65.00%)171 out of 260 (65.77%)
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 Market7.37%15.39%33.35%-37.04%-50.89%0.420.591.00
Short Term Treasury3.27%1.81%8.83%-0.10%-1.46%0.791.44-0.32
Long Term Treasury7.04%10.48%29.28%-13.03%-16.68%0.520.88-0.29
Gold7.64%16.56%30.45%-28.33%-42.91%0.410.670.04
US Small Cap8.20%19.45%45.63%-36.07%-53.95%0.410.590.91
US Small Cap Value8.42%18.49%37.19%-32.05%-56.13%0.430.610.88

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketShort Term TreasuryLong Term TreasuryGoldUS Small CapUS Small Cap ValuePortfolio 1Portfolio 2Portfolio 3
US Stock Market--0.32-0.290.040.910.880.760.760.75
Short Term Treasury-0.32-0.620.28-0.30-0.270.100.070.09
Long Term Treasury-0.290.62-0.22-0.28-0.270.200.150.17
Gold0.040.280.22-0.080.040.590.570.57
US Small Cap0.91-0.30-0.280.08-0.950.700.790.77
US Small Cap Value0.88-0.27-0.270.040.95-0.670.740.77

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$18,760$9,855$10,071
Short Term Treasury$2,506$2,559$2,604
Long Term Treasury$7,507$7,827$7,954
Gold$7,043$7,274$7,507
US Small Cap$10,190
US Small Cap Value$9,771

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market65.92%30.51%31.02%
Short Term Treasury0.53%0.31%0.45%
Long Term Treasury5.82%4.18%4.78%
Gold27.72%24.71%25.34%
US Small Cap40.29%
US Small Cap Value38.40%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.96%17.53%-7.99%7.19%20.39%-7.80%7.24%18.70%-7.00%
3 years6.79%12.55%0.07%7.27%13.47%1.61%7.45%12.81%3.78%
5 years7.04%11.19%4.21%7.55%11.92%4.17%7.66%11.51%4.27%
7 years7.33%8.63%5.35%7.85%9.37%5.15%7.91%9.06%5.15%
10 years7.40%9.25%5.43%7.91%9.93%6.27%7.91%9.65%6.62%
15 years7.33%8.28%6.91%7.85%8.67%7.09%7.91%8.52%6.99%
Result statistics are based on annualized rolling returns over full calendar year periods