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 1999 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
Total US Bond Market 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$9,745,144 24.37% 7.07%9.43%14.87%33.35%-37.04%-50.89%
(-43.65%)
0.410.581.00
Portfolio 2$100,000$7,890,847 23.12% 6.54%7.69%8.71%21.83%-20.20%-30.72%
(-22.64%)
0.560.820.99
Portfolio 3$100,000$5,198,194 20.70% 4.53%4.08%3.42%11.39%-2.26%-3.99%
(-2.74%)
0.791.31-0.09
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $10,000 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 MarketTotal US Bond Market
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
19992.68%23.81%13.98%-0.76%$263,091$246,585$221,151$121,95923.81%-0.76%
20003.39%-10.57%-1.79%11.39%$351,514$365,742$380,446$126,077-10.57%11.39%
20011.55%-10.97%-3.21%8.43%$441,012$483,965$545,573$129,640-10.97%8.43%
20022.38%-20.96%-9.27%8.26%$468,506$566,312$728,107$131,697-20.96%8.26%
20031.88%31.35%20.40%3.97%$774,172$831,982$893,904$134,68631.35%3.97%
20043.26%12.52%9.20%4.24%$1,021,600$1,055,404$1,073,085$138,29212.52%4.24%
20053.42%5.98%4.55%2.40%$1,232,815$1,251,204$1,243,243$142,9845.98%2.40%
20062.54%15.51%11.01%4.27%$1,583,711$1,545,741$1,448,431$147,59615.51%4.27%
20074.08%5.49%6.06%6.92%$1,822,475$1,793,660$1,706,650$151,8075.49%6.92%
20080.09%-37.04%-20.20%5.05%$1,268,463$1,570,440$1,956,074$157,635-37.04%5.05%
20092.72%28.70%19.59%5.93%$1,823,452$2,056,956$2,233,682$157,07528.70%5.93%
20101.50%17.09%12.82%6.42%$2,316,590$2,494,057$2,538,829$159,65117.09%6.42%
20112.96%0.96%3.60%7.56%$2,501,329$2,749,487$2,901,571$164,6900.96%7.56%
20121.74%16.25%11.37%4.05%$3,083,167$3,235,523$3,189,393$168,09816.25%4.05%
20131.50%33.35%19.10%-2.26%$4,305,384$4,038,425$3,286,234$170,56133.35%-2.26%
20140.76%12.43%9.76%5.76%$5,025,090$4,614,053$3,652,224$173,32812.43%5.76%
20150.73%0.29%0.29%0.30%$5,212,604$4,800,317$3,835,644$173,5330.29%0.30%
20162.07%12.53%8.52%2.50%$6,056,176$5,392,722$4,104,944$175,72312.53%2.50%
20172.11%21.05%14.01%3.45%$7,527,514$6,338,998$4,428,175$179,46621.05%3.45%
20181.91%-5.26%-3.20%-0.13%$7,300,617$6,311,486$4,609,176$183,849-5.26%-0.13%
20192.29%30.65%21.83%8.61%$9,745,144$7,890,847$5,198,194$187,18130.65%8.61%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.66%0.56%0.38%
Arithmetic Mean (annualized)8.27%6.94%4.59%
Geometric Mean (monthly)0.57%0.53%0.37%
Geometric Mean (annualized)7.07%6.54%4.53%
Volatility (monthly)4.29%2.51%0.99%
Volatility (annualized)14.87%8.71%3.42%
Downside Deviation (monthly)2.97%1.66%0.53%
Max. Drawdown-50.89%-30.72%-3.99%
US Market Correlation1.000.99-0.09
Beta(*)1.000.58-0.02
Alpha (annualized)-0.00%2.13%4.67%
R2100.00%97.14%0.84%
Sharpe Ratio0.410.560.79
Sortino Ratio0.580.821.31
Treynor Ratio (%)6.178.55-127.83
Calmar Ratio1.011.231.53
Active Return0.00%-0.53%-2.54%
Tracking Error0.00%6.45%15.56%
Information RatioN/A-0.08-0.16
Skewness-0.65-0.68-0.22
Excess Kurtosis1.091.331.21
Historical Value-at-Risk (5%)-7.94%-4.38%-1.10%
Analytical Value-at-Risk (5%)-6.39%-3.57%-1.25%
Conditional Value-at-Risk (5%)-9.79%-5.58%-1.92%
Upside Capture Ratio (%)100.0061.398.31
Downside Capture Ratio (%)100.0054.90-14.17
Safe Withdrawal Rate5.56%6.22%6.27%
Perpetual Withdrawal Rate4.58%4.10%2.27%
Positive Periods162 out of 252 (64.29%)166 out of 252 (65.87%)168 out of 252 (66.67%)
Gain/Loss Ratio0.810.911.34
* 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 2002-44.11%-21.68%-1.91%
Subprime CrisisNov 2007Mar 2009-50.89%-30.72%-3.99%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
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-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
5Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
6Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
7Jul 1999Sep 19993 monthsOct 19991 month4 months-3.76%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
9May 2012May 20121 monthAug 20123 months4 months-3.53%
10May 2019May 20191 monthJun 20191 month2 months-3.41%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
2May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
4Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
5Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
6Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
7Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
8Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
9Nov 2001Dec 20012 monthsMay 20025 months7 months-1.91%
10Sep 2005Oct 20052 monthsAug 200610 months1 year-1.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.07%14.87%33.35%-37.04%-50.89%0.410.581.00
Total US Bond Market4.53%3.42%11.39%-2.26%-3.99%0.791.31-0.09

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.00-0.091.000.99-0.09
Total US Bond Market-0.091.00-0.090.071.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$6,369,615$3,700,950
Total US Bond Market$814,369$1,822,666

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market100.00%98.95%
Total US Bond Market1.05%100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.72%33.35%-37.04%7.07%21.83%-20.20%4.59%11.39%-2.26%
3 years6.77%20.34%-14.31%6.23%13.34%-4.81%4.57%9.35%1.21%
5 years7.16%18.72%-1.76%6.50%13.14%1.41%4.46%7.22%1.91%
7 years7.26%15.00%-0.73%6.60%10.73%2.29%4.47%6.09%1.92%
10 years6.55%13.30%-0.66%6.30%9.55%2.42%4.65%6.06%3.31%
15 years7.17%10.30%4.75%6.58%8.20%5.61%4.46%5.45%3.73%
Result statistics are based on annualized rolling returns over full calendar year periods