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 2000 - Dec 2003)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 25.00%
US Small Cap Value 25.00%
Global ex-US Stock Market 25.00%
REIT 25.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,533 5.81% 14.37%36.13%-11.62%-20.16% 0.250.360.89
Portfolio 2$10,000$8,266 -4.65% 18.10%31.35%-20.96%-44.11% -0.34-0.441.00
   
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
  • Drawdowns are 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 MarketUS Small Cap ValueGlobal ex-US Stock MarketREIT
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20003.39%5.51%-10.57%$10,551$8,943-10.57%21.88%-15.61%26.35%
20011.55%-1.27%-10.97%$10,417$7,962-10.97%13.70%-20.15%12.35%
20022.38%-11.62%-20.96%$9,207$6,293-20.96%-14.20%-15.08%3.75%
20031.88%36.13%31.35%$12,533$8,26631.35%37.19%40.34%35.66%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.56%-0.26%
Arithmetic Mean (annualized)6.89%-3.09%
Geometric Mean (monthly)0.47%-0.40%
Geometric Mean (annualized)5.81%-4.65%
Volatility (monthly)4.15%5.23%
Volatility (annualized)14.37%18.10%
Downside Deviation (monthly)2.80%3.90%
Max. Drawdown-20.16%-44.11%
US Market Correlation0.891.00
Beta(*)0.711.00
Alpha (annualized)8.90%0.00%
R279.59%100.00%
Sharpe Ratio0.25-0.34
Sortino Ratio0.36-0.44
Treynor Ratio (%)5.14-6.17
Calmar Ratio0.29-0.07
Active Return10.46%0.00%
Tracking Error8.37%0.00%
Information Ratio1.25N/A
Skewness-0.50-0.16
Excess Kurtosis0.08-0.89
Historical Value-at-Risk (5%)-8.63%-9.68%
Analytical Value-at-Risk (5%)-6.27%-8.86%
Conditional Value-at-Risk (5%)-9.60%-9.98%
Upside Capture Ratio (%)89.33100.00
Downside Capture Ratio (%)59.38100.00
Safe Withdrawal Rate24.82%18.15%
Perpetual Withdrawal Rate3.32%0.00%
Positive Periods29 out of 48 (60.42%)24 out of 48 (50.00%)
Gain/Loss Ratio0.920.89
* 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 2002-19.78%-44.11%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2002Feb 200310 monthsSep 20037 months1 year 5 months-20.16%
2Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-14.33%
3Sep 2000Nov 20003 monthsJan 20012 months5 months-8.10%
4Jan 2000Jan 20001 monthMar 20002 months3 months-3.75%
5Apr 2000May 20002 monthsJun 20001 month3 months-2.32%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Sep 20022 years 1 month-44.11%
2Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
3Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market-4.65%18.10%31.35%-20.96%-44.11%-0.34-0.441.00
US Small Cap Value13.01%20.07%37.19%-14.20%-31.28%0.560.830.79
Global ex-US Stock Market-5.34%17.48%40.34%-20.15%-47.30%-0.40-0.500.89
REIT18.89%11.71%35.66%3.75%-13.01%1.282.330.25

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValueGlobal ex-US Stock MarketREITPortfolio 1Portfolio 2
US Stock Market-0.790.890.250.891.00
US Small Cap Value0.79-0.790.510.940.79
Global ex-US Stock Market0.890.79-0.350.920.89
REIT0.250.510.35-0.590.25

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market-$378-$1,734
US Small Cap Value$1,394
Global ex-US Stock Market-$386
REIT$1,903

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market27.89%100.00%
US Small Cap Value32.60%
Global ex-US Stock Market27.64%
REIT11.88%

Annual Asset Returns