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 2000 - Dec 2009)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 40.00%
Global ex-US Stock Market 20.00%
Total US Bond Market 40.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
Global ex-US Stock Market 60.00%
Total US Bond Market 40.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$2,000,000$2,664,320 2.91% 9.67%20.40%-20.20%-30.72% 0.060.080.98
Portfolio 2$2,000,000$2,844,901 3.59% 9.92%22.20%-21.61%-32.64% 0.130.180.96
Portfolio 3$2,000,000$3,218,087 4.87% 11.16%25.79%-24.44%-36.36% 0.240.330.86
   
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
  • 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 MarketTotal US Bond MarketGlobal ex-US Stock Market
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20003.39%-1.79%-2.80%-4.81%$1,964,238$1,944,079$1,903,763-10.57%11.39%-15.61%
20011.55%-3.21%-5.05%-8.72%$1,901,213$1,845,980$1,737,737-10.97%8.43%-20.15%
20022.38%-9.27%-8.10%-5.75%$1,724,910$1,696,501$1,637,881-20.96%8.26%-15.08%
20031.88%20.40%22.20%25.79%$2,076,821$2,073,104$2,060,34231.35%3.97%40.34%
20043.26%9.20%10.87%14.20%$2,267,978$2,298,421$2,352,84912.52%4.24%20.84%
20053.42%4.55%6.46%10.30%$2,371,093$2,447,006$2,595,2145.98%2.40%15.57%
20062.54%11.01%13.24%17.69%$2,632,249$2,770,973$3,054,29815.51%4.27%26.64%
20074.08%6.06%8.07%12.08%$2,791,823$2,994,558$3,423,3175.49%6.92%15.52%
20080.09%-20.20%-21.61%-24.44%$2,227,830$2,347,308$2,586,676-37.04%5.05%-44.10%
20092.72%19.59%21.20%24.41%$2,664,320$2,844,901$3,218,08728.70%5.93%36.73%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.28%0.34%0.45%
Arithmetic Mean (annualized)3.39%4.10%5.53%
Geometric Mean (monthly)0.24%0.29%0.40%
Geometric Mean (annualized)2.91%3.59%4.87%
Volatility (monthly)2.79%2.86%3.22%
Volatility (annualized)9.67%9.92%11.16%
Downside Deviation (monthly)2.01%2.04%2.23%
Max. Drawdown-30.72%-32.64%-36.36%
US Market Correlation0.980.960.86
Beta(*)0.570.580.58
Alpha (annualized)2.70%3.37%4.74%
R296.77%92.98%74.77%
Sharpe Ratio0.060.130.24
Sortino Ratio0.080.180.33
Treynor Ratio (%)1.082.264.58
Calmar Ratio0.010.030.05
Active Return3.18%3.86%5.14%
Tracking Error7.26%7.48%8.90%
Information Ratio0.440.520.58
Skewness-0.75-0.80-0.67
Excess Kurtosis1.351.671.84
Historical Value-at-Risk (5%)-5.02%-4.96%-5.42%
Analytical Value-at-Risk (5%)-4.31%-4.37%-4.85%
Conditional Value-at-Risk (5%)-6.40%-6.62%-7.39%
Upside Capture Ratio (%)62.2464.4068.46
Downside Capture Ratio (%)54.2453.3551.62
Safe Withdrawal Rate9.68%9.87%10.20%
Perpetual Withdrawal Rate0.38%1.03%2.24%
Positive Periods72 out of 120 (60.00%)72 out of 120 (60.00%)74 out of 120 (61.67%)
Gain/Loss Ratio0.860.900.89
* 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 2Portfolio 3
Dotcom CrashMar 2000Oct 2002-21.68%-21.08%-22.17%
Subprime CrisisNov 2007Mar 2009-30.72%-32.64%-36.36%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-2.94%
5Mar 2004Apr 20042 monthsOct 20046 months8 months-2.63%
6Jan 2000Jan 20001 monthMar 20002 months3 months-2.58%
7Jan 2005Apr 20054 monthsMay 20051 month5 months-2.45%
8May 2006May 20061 monthAug 20063 months4 months-2.03%
9Oct 2005Oct 20051 monthNov 20051 month2 months-1.45%
10Feb 2007Feb 20071 monthMar 20071 month2 months-0.38%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-32.64%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-21.08%
3Apr 2000May 20002 monthsAug 20003 months5 months-5.23%
4Jan 2000Jan 20001 monthMar 20002 months3 months-2.99%
5Mar 2004Apr 20042 monthsOct 20046 months8 months-2.54%
6May 2006May 20061 monthAug 20063 months4 months-2.32%
7Mar 2005Apr 20052 monthsJun 20052 months4 months-2.27%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-1.99%
9Oct 2005Oct 20051 monthNov 20051 month2 months-1.77%
10Jan 2005Jan 20051 monthFeb 20051 month2 months-1.14%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-36.36%
2Apr 2000Mar 20033 yearsDec 20039 months3 years 9 months-22.22%
3Jan 2000Jan 20001 monthMar 20002 months3 months-3.80%
4May 2006Jun 20062 monthsAug 20062 months4 months-3.05%
5Apr 2004Apr 20041 monthSep 20045 months6 months-2.93%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-2.66%
7Oct 2005Oct 20051 monthDec 20052 months3 months-2.40%
8Jan 2005Jan 20051 monthFeb 20051 month2 months-0.74%
9Jul 2007Jul 20071 monthSep 20072 months3 months-0.35%
10Feb 2006Feb 20061 monthMar 20061 month2 months-0.30%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market-0.27%16.56%31.35%-37.04%-50.89%-0.10-0.121.00
Total US Bond Market6.06%3.82%11.39%2.40%-3.99%0.851.390.00
Global ex-US Stock Market2.29%19.00%40.34%-44.10%-58.50%0.070.100.89

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketGlobal ex-US Stock MarketPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.000.890.980.960.86
Total US Bond Market0.00-0.100.170.200.23
Global ex-US Stock Market0.890.10-0.900.950.99

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$137,157$85,368
Total US Bond Market$527,164$536,507$555,668
Global ex-US Stock Market$223,025$662,419

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market97.40%61.95%
Total US Bond Market2.60%2.92%3.05%
Global ex-US Stock Market35.13%96.95%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year3.64%20.40%-20.20%4.45%22.20%-21.61%6.08%25.79%-24.44%
3 years3.51%11.19%-4.81%4.53%12.99%-5.34%6.55%16.58%-6.44%
5 years4.65%10.11%1.41%5.82%12.04%2.52%8.11%15.89%3.30%
7 years4.46%6.41%2.29%5.57%7.66%3.49%7.74%10.13%5.85%
10 years2.91%2.91%2.91%3.59%3.59%3.59%4.87%4.87%4.87%
Result statistics are based on annualized rolling returns over full calendar year periods