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 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Total US Bond Market 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Large Cap 50.00%
Total US Bond Market 50.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$92,324 -11.78% 4.75%1.49%14.53%32.18%-37.02%-50.97%
(-91.14%)
0.280.390.99
Portfolio 2$1,000,000$890,572 -0.61% 4.61%5.19%3.43%11.39%-2.26%-3.99%
(-28.41%)
0.871.43-0.09
Portfolio 3$1,000,000$702,272 -1.84% 5.16%4.54%7.07%16.24%-15.98%-25.20%
(-40.45%)
0.510.750.96
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $45,000 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 Large CapTotal US Bond Market
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20003.39%-9.06%11.39%1.17%$862,914$1,067,391$965,152-$46,524-9.06%11.39%
20011.55%-12.02%8.43%-1.80%$711,919$1,110,097$900,554-$47,246-12.02%8.43%
20022.38%-22.15%8.26%-6.94%$505,895$1,153,402$789,655-$48,369-22.15%8.26%
20031.88%28.50%3.97%16.24%$600,807$1,149,952$868,598-$49,27828.50%3.97%
20043.26%10.74%4.24%7.49%$614,453$1,147,795$882,763-$50,88210.74%4.24%
20053.42%4.77%2.40%3.59%$591,170$1,122,672$861,791-$52,6204.77%2.40%
20062.54%15.64%4.27%9.96%$629,682$1,116,639$893,627-$53,95715.64%4.27%
20074.08%5.39%6.92%6.15%$607,441$1,137,765$892,461-$56,1595.39%6.92%
20080.09%-37.02%5.05%-15.98%$326,351$1,139,041$693,599-$56,211-37.02%5.05%
20092.72%26.49%5.93%16.21%$355,047$1,148,898$748,292-$57,74026.49%5.93%
20101.50%14.91%6.42%10.67%$349,394$1,164,057$769,508-$58,60414.91%6.42%
20112.96%1.97%7.56%4.76%$295,922$1,191,684$745,807-$60,3401.97%7.56%
20121.74%15.82%4.05%9.94%$281,361$1,178,524$758,521-$61,39115.82%4.05%
20131.50%32.18%-2.26%14.96%$309,578$1,089,548$809,657-$62,31332.18%-2.26%
20140.76%13.51%5.76%9.63%$288,614$1,089,494$824,867-$62,78413.51%5.76%
20150.73%1.25%0.30%0.77%$228,983$1,029,495$768,013-$63,2421.25%0.30%
20162.07%11.82%2.50%7.16%$191,488$990,682$758,439-$64,55411.82%2.50%
20172.11%21.67%3.45%12.56%$167,063$958,966$787,782-$65,91621.67%3.45%
20181.91%-4.53%-0.13%-2.33%$92,324$890,572$702,272-$67,175-4.53%-0.13%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.48%0.38%0.44%
Arithmetic Mean (annualized)5.87%4.67%5.42%
Geometric Mean (monthly)0.39%0.38%0.42%
Geometric Mean (annualized)4.75%4.61%5.16%
Volatility (monthly)4.20%0.99%2.04%
Volatility (annualized)14.53%3.43%7.07%
Downside Deviation (monthly)2.96%0.54%1.34%
Max. Drawdown-50.97%-3.99%-25.20%
US Market Correlation0.99-0.090.96
Beta(*)0.96-0.020.45
Alpha (annualized)-0.21%4.70%2.50%
R297.86%0.86%91.43%
Sharpe Ratio0.280.870.51
Sortino Ratio0.391.430.75
Treynor Ratio (%)4.25-138.278.10
Calmar Ratio0.670.530.87
Active Return-0.40%-0.54%0.01%
Tracking Error2.20%15.64%8.44%
Information Ratio-0.18-0.030.00
Skewness-0.59-0.29-0.66
Excess Kurtosis1.161.311.70
Historical Value-at-Risk (5%)-7.81%-1.10%-3.26%
Analytical Value-at-Risk (5%)-6.43%-1.25%-2.92%
Conditional Value-at-Risk (5%)-9.66%-1.93%-4.58%
Upside Capture Ratio (%)94.178.7049.53
Downside Capture Ratio (%)95.87-14.2241.06
Safe Withdrawal Rate4.68%7.24%6.17%
Perpetual Withdrawal Rate2.50%2.37%2.88%
Positive Periods145 out of 228 (63.60%)154 out of 228 (67.54%)148 out of 228 (64.91%)
Gain/Loss Ratio0.761.300.95
* 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 2002-44.82%-1.91%-15.74%
Subprime CrisisNov 2007Mar 2009-50.97%-3.99%-25.20%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Oct 2018Dec 20183 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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%
6Sep 2017Oct 20181 year 2 months-2.56%
7Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
8Nov 2001Dec 20012 monthsMay 20025 months7 months-1.91%
9Sep 2005Oct 20052 monthsAug 200610 months1 year-1.90%
10Nov 2010Dec 20102 monthsMay 20115 months7 months-1.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-25.20%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-15.74%
3Oct 2018Dec 20183 months-6.42%
4Jun 2011Sep 20114 monthsJan 20124 months8 months-6.10%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.32%
6Jun 2015Sep 20154 monthsMar 20166 months10 months-4.12%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-2.92%
9Apr 2000May 20002 monthsAug 20003 months5 months-2.82%
10May 2012May 20121 monthJul 20122 months3 months-2.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap4.75%14.53%32.18%-37.02%-50.97%0.280.390.99
Total US Bond Market4.61%3.43%11.39%-2.26%-3.99%0.871.43-0.09

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapTotal US Bond MarketPortfolio 1Portfolio 2Portfolio 3
US Large Cap--0.091.00-0.090.97
Total US Bond Market-0.09--0.091.000.16

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap$177,630$409,321
Total US Bond Market$975,878$378,257

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap100.00%96.31%
Total US Bond Market100.00%3.69%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.31%32.18%-37.02%4.66%11.39%-2.26%5.48%16.24%-15.98%
3 years6.22%20.22%-14.60%4.51%9.35%1.21%5.70%11.48%-2.58%
5 years6.82%17.81%-2.38%4.45%7.22%1.91%6.04%11.23%1.77%
7 years6.53%14.67%-1.64%4.55%6.09%1.92%6.01%9.45%2.41%
10 years6.03%12.97%-1.03%4.69%6.06%3.31%5.88%8.28%3.15%
15 years6.60%9.79%4.13%4.44%5.45%3.73%6.01%7.31%5.34%
Result statistics are based on annualized rolling returns over full calendar year periods