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.

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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 2007)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Small Cap Value 30.00%
Intermediate Term Treasury 70.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 30.00%
Total US Bond Market 70.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 40.00%
Total US Bond Market 60.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,166 7.50% 5.21%16.39%-1.46%-4.56% 0.771.250.49
Portfolio 2$10,000$16,198 5.51% 4.38%12.19%-0.51%-3.71% 0.480.720.82
Portfolio 3$10,000$16,150 5.47% 5.48%14.93%-3.43%-8.67% 0.390.570.92
   
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 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
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Small Cap ValueIntermediate Term TreasuryUS Stock MarketTotal US Bond Market
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19992.68%-1.46%6.61%9.07%$9,854$10,661$10,9073.35%-3.52%23.81%-0.76%
20003.39%16.39%4.80%2.61%$11,469$11,173$11,19121.88%14.03%-10.57%11.39%
20011.55%9.39%2.61%0.67%$12,546$11,465$11,26613.70%7.55%-10.97%8.43%
20022.38%5.65%-0.51%-3.43%$13,254$11,407$10,880-14.20%14.15%-20.96%8.26%
20031.88%12.81%12.19%14.93%$14,952$12,797$12,50437.19%2.37%31.35%3.97%
20043.26%9.45%6.72%7.55%$16,365$13,657$13,44723.55%3.40%12.52%4.24%
20053.42%3.44%3.47%3.83%$16,928$14,131$13,9626.07%2.31%5.98%2.40%
20062.54%7.97%7.64%8.77%$18,277$15,211$15,18619.24%3.14%15.51%4.27%
20074.08%4.86%6.49%6.35%$19,166$16,198$16,150-7.07%9.98%5.49%6.92%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.62%0.46%0.46%
Arithmetic Mean (annualized)7.64%5.60%5.63%
Geometric Mean (monthly)0.60%0.45%0.44%
Geometric Mean (annualized)7.50%5.51%5.47%
Volatility (monthly)1.50%1.26%1.58%
Volatility (annualized)5.21%4.38%5.48%
Downside Deviation (monthly)0.82%0.69%0.93%
Max. Drawdown-4.56%-3.71%-8.67%
US Market Correlation0.490.820.92
Beta(*)0.180.250.36
Alpha (annualized)6.41%4.09%3.56%
R223.91%67.01%83.93%
Sharpe Ratio0.770.480.39
Sortino Ratio1.250.720.57
Treynor Ratio (%)22.388.356.02
Calmar Ratio2.593.573.42
Active Return2.99%1.00%0.96%
Tracking Error12.44%10.84%9.37%
Information Ratio0.240.090.10
Skewness-0.26-0.22-0.26
Excess Kurtosis2.32-0.39-0.45
Historical Value-at-Risk (5%)-1.75%-1.80%-2.54%
Analytical Value-at-Risk (5%)-1.86%-1.62%-2.14%
Conditional Value-at-Risk (5%)-3.23%-2.16%-2.75%
Upside Capture Ratio (%)35.8834.7443.48
Downside Capture Ratio (%)8.0117.7929.64
Sustainable Withdrawal Rate13.94%12.50%12.36%
Positive Periods78 out of 108 (72.22%)74 out of 108 (68.52%)70 out of 108 (64.81%)
Gain/Loss Ratio1.151.111.09
* 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
Dotcom CrashMar 2000Oct 2002-3.71%-3.71%-8.67%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1999Feb 19991 monthJun 19994 months5 months-4.56%
2Apr 2004Apr 20041 monthSep 20045 months6 months-3.95%
3May 2002Jul 20023 monthsApr 20039 months1 year-3.71%
4Jul 1999Jan 20007 monthsMar 20002 months9 months-3.67%
5Sep 2001Sep 20011 monthOct 20011 month2 months-2.70%
6Sep 2005Oct 20052 monthsJan 20063 months5 months-2.09%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-1.88%
8Jan 2005Mar 20053 monthsMay 20052 months5 months-1.66%
9Apr 2006May 20062 monthsAug 20063 months5 months-1.47%
10Feb 2001Mar 20012 monthsMay 20012 months4 months-1.33%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2001Mar 20012 monthsNov 20018 months10 months-3.71%
2Apr 2002Sep 20026 monthsApr 20037 months1 year 1 month-3.65%
3Apr 2000May 20002 monthsAug 20003 months5 months-3.01%
4Sep 2000Nov 20003 monthsJan 20012 months5 months-2.64%
5Apr 2004Apr 20041 monthSep 20045 months6 months-2.46%
6Feb 1999Feb 19991 monthApr 19992 months3 months-2.37%
7Jul 1999Aug 19992 monthsOct 19992 months4 months-1.65%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-1.64%
9Jul 2003Jul 20031 monthSep 20032 months3 months-1.53%
10Jan 2000Jan 20001 monthFeb 20001 month2 months-1.38%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Sep 20022 years 1 monthMay 20038 months2 years 9 months-8.67%
2Apr 2000May 20002 monthsAug 20003 months5 months-3.79%
3Feb 1999Feb 19991 monthApr 19992 months3 months-2.57%
4Apr 2004Apr 20041 monthSep 20045 months6 months-2.41%
5Jul 1999Sep 19993 monthsOct 19991 month4 months-2.32%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-1.84%
7Jan 2000Jan 20001 monthMar 20002 months3 months-1.78%
8Sep 2005Oct 20052 monthsNov 20051 month3 months-1.55%
9May 2006May 20061 monthAug 20063 months4 months-1.41%
10Jan 2005Apr 20054 monthsMay 20051 month5 months-1.34%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Small Cap Value10.46%16.27%37.19%-14.20%-31.28%0.490.720.76
Intermediate Term Treasury5.79%4.80%14.15%-3.52%-4.59%0.500.77-0.33
US Stock Market4.51%14.13%31.35%-20.96%-44.11%0.150.201.00
Total US Bond Market5.40%3.53%11.39%-0.76%-3.47%0.560.84-0.18

Monthly Correlations

Correlations for the portfolio assets
NameUS Small Cap ValueIntermediate Term TreasuryUS Stock MarketTotal US Bond MarketPortfolio 1Portfolio 2Portfolio 3
US Small Cap Value--0.250.76-0.080.770.650.71
Intermediate Term Treasury-0.25--0.330.940.420.250.05
US Stock Market0.76-0.33--0.180.490.820.92
Total US Bond Market-0.080.94-0.18-0.530.410.22

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Small Cap Value$4,107
Intermediate Term Treasury$5,059
US Stock Market$1,994$2,568
Total US Bond Market$4,204$3,583

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Small Cap Value72.88%
Intermediate Term Treasury27.12%
US Stock Market77.28%91.65%
Total US Bond Market22.72%8.35%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.61%16.39%-1.46%5.56%12.19%-0.51%5.59%14.93%-3.43%
3 years8.22%10.39%5.41%5.25%7.40%2.28%5.07%8.67%-0.08%
5 years8.53%10.68%7.66%5.60%7.27%4.81%5.55%8.22%4.28%
7 years8.22%9.23%7.61%5.24%5.45%5.06%5.04%5.38%4.84%
Result statistics are based on annualized rolling returns over full calendar year periods