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 1999 - Dec 2004)

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$1,028,810 0.47% 4.99%4.78%9.06%23.10%-7.51%-21.15%
(-30.21%) 		0.250.360.94
Portfolio 2$1,000,000$1,203,223 3.13% 7.46%7.18%7.98%24.20%-2.81%-9.70%
(-19.34%) 		0.560.850.82
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
   
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
  • 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 (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
  • 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.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketLong-Term Corporate BondsREIT
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19992.68%15.82%10.54%$1,117,085$1,064,367-$41,07423.81%29.92%-0.76%-6.23%-4.04%
20003.39%-3.30%2.31%$1,037,757$1,046,515-$42,465-10.57%-15.61%11.39%11.76%26.35%
20011.55%-5.96%-2.24%$932,733$979,963-$43,124-10.97%-20.15%8.43%9.57%12.35%
20022.38%-7.51%-2.81%$818,538$908,285-$44,149-20.96%-15.08%8.26%13.22%3.75%
20031.88%23.10%24.20%$962,620$1,083,104-$44,97931.35%40.34%3.97%6.26%35.66%
20043.26%11.70%15.38%$1,028,810$1,203,223-$46,44312.52%20.84%4.24%8.94%30.76%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.44%0.63%
Arithmetic Mean (annualized)5.41%7.80%
Geometric Mean (monthly)0.41%0.60%
Geometric Mean (annualized)4.99%7.46%
Volatility (monthly)2.62%2.30%
Volatility (annualized)9.06%7.98%
Downside Deviation (monthly)1.69%1.40%
Max. Drawdown-21.15%-9.70%
US Market Correlation0.940.82
Beta(*)0.520.40
Alpha (annualized)3.35%6.05%
R289.30%67.65%
Sharpe Ratio0.250.56
Sortino Ratio0.360.85
Treynor Ratio (%)4.3911.31
Calmar Ratio0.681.36
Active Return2.61%5.08%
Tracking Error8.30%10.76%
Information Ratio0.310.47
Skewness-0.30-0.42
Excess Kurtosis-0.64-0.07
Historical Value-at-Risk (5%)-4.82%-4.15%
Analytical Value-at-Risk (5%)-3.86%-3.16%
Conditional Value-at-Risk (5%)-4.99%-4.78%
Upside Capture Ratio (%)58.6753.53
Downside Capture Ratio (%)49.1932.89
Safe Withdrawal Rate17.25%18.30%
Perpetual Withdrawal Rate2.35%4.60%
Positive Periods41 out of 72 (56.94%)45 out of 72 (62.50%)
Gain/Loss Ratio1.131.17
* 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
Dotcom CrashMar 2000Oct 2002-21.15%-9.70%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsDec 20031 year 3 months3 years 9 months-21.15%
2Jan 2000Jan 20001 monthMar 20002 months3 months-3.19%
3Apr 2004Apr 20041 monthSep 20045 months6 months-2.62%
4Feb 1999Feb 19991 monthMar 19991 month2 months-2.49%
5May 1999May 19991 monthJun 19991 month2 months-2.48%
6Jul 1999Sep 19993 monthsOct 19991 month4 months-0.71%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2001Sep 20021 year 8 monthsMay 20038 months2 years 4 months-9.70%
2Apr 2004Apr 20041 monthSep 20045 months6 months-5.12%
3Sep 2000Nov 20003 monthsJan 20012 months5 months-4.49%
4Apr 2000May 20002 monthsJun 20001 month3 months-3.10%
5Feb 1999Feb 19991 monthApr 19992 months3 months-2.55%
6Jan 2000Jan 20001 monthMar 20002 months3 months-2.39%
7May 1999May 19991 monthOct 19995 months6 months-2.00%
8Jul 2003Jul 20031 monthAug 20031 month2 months-0.21%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market2.38%16.32%31.35%-20.96%-44.11%0.040.061.00
Global ex-US Stock Market3.94%16.14%40.34%-20.15%-47.30%0.130.190.88
Total US Bond Market5.85%3.82%11.39%-0.76%-3.47%0.731.11-0.17
Long-Term Corporate Bonds7.05%8.08%13.22%-6.23%-9.74%0.510.75-0.09
REIT16.55%13.73%35.66%-4.04%-14.56%0.971.560.23

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-0.88-0.17-0.090.230.940.82
Global ex-US Stock Market0.88--0.12-0.040.300.960.90
Total US Bond Market-0.17-0.12-0.940.080.030.20
Long-Term Corporate Bonds-0.09-0.040.94-0.140.100.29
REIT0.230.300.080.14-0.290.55

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$56,346$33,863
Global ex-US Stock Market$91,717$109,913
Total US Bond Market$142,981$72,951
Long-Term Corporate Bonds$89,259
REIT$159,471

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market49.69%24.73%
Global ex-US Stock Market49.85%53.57%
Total US Bond Market0.45%1.90%
Long-Term Corporate Bonds5.82%
REIT13.97%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.64%23.10%-7.51%7.90%24.20%-2.81%
3 years1.69%8.34%-5.61%4.95%11.67%-0.94%
5 years3.32%3.70%2.95%6.40%6.85%5.94%
Result statistics are based on annualized rolling returns over full calendar year periods