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 Stock Market 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 Stock Market 50.00%
Global ex-US Stock Market 30.00%
Total US Bond Market 20.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,195,134 0.94% 5.15%4.13%14.94%33.35%-37.04%-50.89%
(-58.80%)
0.300.421.00
Portfolio 2$1,000,000$1,083,834 0.42% 4.61%5.10%3.43%11.39%-2.26%-3.99%
(-17.66%)
0.871.43-0.09
Portfolio 3$1,000,000$1,118,996 0.59% 4.78%4.22%12.00%28.57%-30.74%-43.83%
(-48.23%)
0.310.440.97
Vanguard 500 Index Investor$1,000,000$1,111,637 0.56% 4.75%3.67%14.53%32.18%-37.02%-50.97%
(-61.22%)
0.280.390.99
* The number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-14.28%-5.26%8.88%7.79%13.13%5.15%11.35%11.16%
Portfolio 21.59%-0.13%1.93%2.35%3.31%4.61%2.97%2.90%
Portfolio 3-10.56%-6.99%6.31%4.74%9.30%4.78%8.55%8.59%
Vanguard 500 Index Investor-13.55%-4.52%9.11%8.34%12.97%4.75%10.96%10.95%
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows.
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 results assume annual rebalancing of portfolio assets to match the specified allocation
  • Annual withdrawal of 4.00% of portfolio balance is reflected in the CAGR and maximum drawdown shown above
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorUS Stock MarketTotal US Bond MarketGlobal ex-US Stock Market
ReturnBalanceCashflowReturnBalanceCashflowReturnBalanceCashflowReturnBalanceCashflow
20003.39%-10.57%$858,484-$35,77011.39%$1,069,358-$44,557-7.69%$886,145-$36,923-9.06%$873,061-$36,378-10.57%11.39%-15.61%
20011.55%-10.97%$733,770-$30,5748.43%$1,113,097-$46,379-9.84%$766,962-$31,957-12.02%$737,368-$30,724-10.97%8.43%-20.15%
20022.38%-20.96%$556,768-$23,1998.26%$1,156,818-$48,201-13.35%$637,964-$26,582-22.15%$551,114-$22,963-20.96%8.26%-15.08%
20031.88%31.35%$702,083-$29,2533.97%$1,154,671-$48,11128.57%$787,442-$32,81028.50%$679,864-$28,32831.35%3.97%40.34%
20043.26%12.52%$758,356-$31,5984.24%$1,155,452-$48,14413.36%$856,911-$35,70510.74%$722,768-$30,11512.52%4.24%20.84%
20053.42%5.98%$771,561-$32,1482.40%$1,135,808-$47,3258.14%$889,603-$37,0674.77%$726,985-$30,2915.98%2.40%15.57%
20062.54%15.51%$855,589-$35,6504.27%$1,136,921-$47,37216.60%$995,789-$41,49115.64%$807,069-$33,62815.51%4.27%26.64%
20074.08%5.49%$866,455-$36,1026.92%$1,166,986-$48,6248.79%$1,039,946-$43,3315.39%$816,522-$34,0225.49%6.92%15.52%
20080.09%-37.04%$523,718-$21,8225.05%$1,176,911-$49,038-30.74%$691,470-$28,811-37.02%$493,670-$20,570-37.04%5.05%-44.10%
20092.72%28.70%$647,054-$26,9615.93%$1,196,886-$49,87026.55%$840,080-$35,00326.49%$599,445-$24,97728.70%5.93%36.73%
20101.50%17.09%$727,354-$30,3066.42%$1,222,781-$50,94913.17%$912,667-$38,02814.91%$661,291-$27,55417.09%6.42%11.12%
20112.96%0.96%$704,976-$29,3747.56%$1,262,578-$52,607-2.38%$855,334-$35,6391.97%$647,320-$26,9720.96%7.56%-14.56%
20121.74%16.25%$786,775-$32,7824.05%$1,261,131-$52,54714.38%$939,185-$39,13315.82%$719,766-$29,99016.25%4.05%18.14%
20131.50%33.35%$1,007,196-$41,966-2.26%$1,183,294-$49,30420.74%$1,088,576-$45,35732.18%$913,300-$38,05433.35%-2.26%15.04%
20140.76%12.43%$1,087,087-$45,2955.76%$1,201,365-$50,0576.09%$1,108,726-$46,19713.51%$995,207-$41,46712.43%5.76%-4.24%
20150.73%0.29%$1,046,648-$43,6100.30%$1,156,744-$48,198-1.11%$1,052,592-$43,8581.25%$967,325-$40,3050.29%0.30%-4.38%
20162.07%12.53%$1,130,714-$47,1132.50%$1,138,239-$47,4278.16%$1,092,969-$45,54011.82%$1,038,368-$43,26512.53%2.50%4.65%
20172.11%21.05%$1,313,997-$54,7503.45%$1,130,432-$47,10119.43%$1,253,172-$52,21521.67%$1,212,824-$50,53421.05%3.45%27.40%
20181.91%-5.26%$1,195,134-$49,797-0.13%$1,083,834-$45,160-6.99%$1,118,996-$46,625-4.52%$1,111,637-$46,318-5.26%-0.13%-14.44%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.51%0.38%0.45%0.48%
Arithmetic Mean (annualized)6.34%4.67%5.55%5.87%
Geometric Mean (monthly)0.42%0.38%0.39%0.39%
Geometric Mean (annualized)5.15%4.61%4.78%4.75%
Volatility (monthly)4.31%0.99%3.46%4.20%
Volatility (annualized)14.94%3.43%12.00%14.53%
Downside Deviation (monthly)3.06%0.54%2.43%2.96%
Max. Drawdown-50.89%-3.99%-43.83%-50.97%
US Market Correlation1.00-0.090.970.99
Beta(*)1.02-0.020.791.00
Alpha (annualized)0.35%4.70%0.87%0.00%
R297.86%0.88%92.66%100.00%
Sharpe Ratio0.300.870.310.28
Sortino Ratio0.421.430.440.39
Treynor Ratio (%)4.46-132.704.764.09
Calmar Ratio0.620.530.590.67
Active Return0.40%-0.14%0.04%N/A
Tracking Error2.20%15.24%4.41%N/A
Information Ratio0.18-0.010.01N/A
Skewness-0.66-0.29-0.68-0.59
Excess Kurtosis1.171.311.551.16
Historical Value-at-Risk (5%)-7.97%-1.10%-6.40%-7.53%
Analytical Value-at-Risk (5%)-6.58%-1.25%-5.25%-6.43%
Conditional Value-at-Risk (5%)-9.79%-1.86%-7.92%-9.50%
Upside Capture Ratio (%)104.519.4282.61100.00
Downside Capture Ratio (%)102.81-14.6780.60100.00
Safe Withdrawal Rate4.95%7.24%5.61%4.68%
Perpetual Withdrawal Rate2.87%2.37%2.53%2.50%
Positive Periods145 out of 228 (63.60%)154 out of 228 (67.54%)139 out of 228 (60.96%)145 out of 228 (63.60%)
Gain/Loss Ratio0.771.300.900.76
* Vanguard 500 Index Investor 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 3Vanguard 500 Index Investor
Dotcom CrashMar 2000Oct 2002-44.11%-1.91%-33.47%-44.82%
Subprime CrisisNov 2007Mar 2009-50.89%-3.99%-43.83%-50.97%

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 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%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
8Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
9Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
10May 2006May 20061 monthSep 20064 months5 months-3.23%
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 20112 years 2 months3 years 6 months-43.83%
2Apr 2000Sep 20022 years 6 monthsDec 20042 years 3 months4 years 9 months-33.47%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-15.46%
4Feb 2018Dec 201811 months-10.66%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.82%
6Jan 2000Jan 20001 monthMar 20002 months3 months-3.99%
7Mar 2005Apr 20052 monthsJul 20053 months5 months-3.34%
8May 2006Jun 20062 monthsSep 20063 months5 months-3.06%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.71%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.68%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (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

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market5.15%14.94%33.35%-37.04%-50.89%0.300.421.00
Total US Bond Market4.61%3.43%11.39%-2.26%-3.99%0.871.43-0.09
Global ex-US Stock Market2.80%17.15%40.34%-44.10%-58.50%0.150.210.87

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketGlobal ex-US Stock MarketPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
US Stock Market1.00-0.090.871.00-0.090.970.99
Total US Bond Market-0.091.000.03-0.091.000.02-0.09
Global ex-US Stock Market0.870.031.000.870.030.960.86

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$873,206$515,680
Total US Bond Market$1,004,806$159,271
Global ex-US Stock Market$186,317

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market100.00%59.59%
Total US Bond Market100.00%0.08%
Global ex-US Stock Market40.32%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year7.61%56.25%-43.18%4.61%14.29%-2.77%6.66%47.51%-37.18%7.09%53.61%-43.32%
3 years7.45%26.60%-16.27%4.49%10.16%0.86%6.69%21.53%-12.12%6.90%25.43%-16.14%
5 years7.79%23.85%-6.23%4.48%7.40%1.27%7.05%18.20%-2.48%7.23%22.85%-6.73%
7 years7.29%17.28%-3.02%4.65%6.16%1.70%6.71%12.47%0.59%6.75%17.12%-3.94%
10 years6.68%14.44%-1.13%4.78%6.25%3.31%6.30%10.37%1.87%6.11%14.17%-1.91%
15 years7.49%10.87%4.25%4.46%5.62%3.61%6.86%9.43%4.64%6.93%10.39%3.64%