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 2001 - Dec 2010)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 35.00%
Cash 5.00%
Total US Bond Market 20.00%
REIT 35.00%
Gold 5.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 40.00%
Cash 5.00%
Total US Bond Market 20.00%
REIT 35.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 35.00%
Cash 5.00%
Total US Bond Market 20.00%
REIT 40.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,401 7.39% 13.18%25.29%-24.59%-41.80% 0.450.610.86
Portfolio 2$10,000$18,934 6.59% 13.84%25.87%-26.69%-44.96% 0.380.510.88
Portfolio 3$10,000$19,679 7.00% 14.29%26.08%-26.69%-45.98% 0.400.540.86
Vanguard 500 Index Investor$10,000$11,393 1.31% 16.37%28.50%-37.02%-50.97% 0.030.041.00
   
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
  • Monthly return series of the selected benchmark is used for results comparisons
  • 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 MarketCashTotal US Bond MarketREITGold
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20011.55%2.40%1.81%2.98%-12.02%$10,240$10,181$10,298$8,798-10.97%3.82%8.43%12.35%0.75%
20022.38%-3.01%-5.34%-4.10%-22.15%$9,932$9,638$9,876$6,849-20.96%1.63%8.26%3.75%25.57%
20031.88%25.29%25.87%26.08%28.50%$12,444$12,131$12,451$8,80231.35%1.02%3.97%35.66%19.89%
20043.26%16.29%16.68%17.59%10.74%$14,470$14,154$14,642$9,74712.52%1.19%4.24%30.76%4.65%
20053.42%7.77%7.18%7.48%4.77%$15,595$15,171$15,737$10,2125.98%2.98%2.40%11.89%17.76%
20062.54%19.93%19.57%20.55%15.64%$18,702$18,140$18,971$11,81015.51%4.81%4.27%35.07%22.55%
20074.08%-0.70%-1.95%-3.05%5.39%$18,571$17,787$18,393$12,4465.49%4.67%6.92%-16.46%30.45%
20080.09%-24.59%-26.69%-26.69%-37.02%$14,004$13,040$13,484$7,838-37.04%1.59%5.05%-37.05%4.92%
20092.72%22.79%23.02%23.07%26.49%$17,195$16,041$16,594$9,91428.70%0.09%5.93%29.58%24.03%
20101.50%18.64%18.03%18.59%14.91%$20,401$18,934$19,679$11,39317.09%0.10%6.42%28.30%29.27%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.67%0.62%0.65%0.22%
Arithmetic Mean (annualized)8.34%7.64%8.12%2.70%
Geometric Mean (monthly)0.60%0.53%0.57%0.11%
Geometric Mean (annualized)7.39%6.59%7.00%1.31%
Volatility (monthly)3.80%4.00%4.12%4.73%
Volatility (annualized)13.18%13.84%14.29%16.37%
Downside Deviation (monthly)2.74%2.90%2.99%3.50%
Max. Drawdown-41.80%-44.96%-45.98%-50.97%
US Market Correlation0.860.880.861.00
Beta(*)0.680.730.731.00
Alpha (annualized)6.23%5.43%5.89%0.00%
R271.40%74.96%70.25%100.00%
Sharpe Ratio0.450.380.400.03
Sortino Ratio0.610.510.540.04
Treynor Ratio (%)8.657.147.760.51
Calmar Ratio0.080.050.05-0.06
Active Return6.08%5.28%5.69%N/A
Tracking Error8.78%8.20%8.95%N/A
Information Ratio0.690.640.64N/A
Skewness-1.32-1.19-1.21-0.64
Excess Kurtosis5.504.715.070.80
Historical Value-at-Risk (5%)-6.37%-6.62%-7.14%-8.44%
Analytical Value-at-Risk (5%)-5.59%-5.96%-6.13%-7.55%
Conditional Value-at-Risk (5%)-9.88%-10.38%-10.91%-10.80%
Upside Capture Ratio (%)85.6789.1390.45100.00
Downside Capture Ratio (%)60.9867.6567.07100.00
Safe Withdrawal Rate12.75%12.27%12.65%8.36%
Perpetual Withdrawal Rate4.71%3.99%4.36%0.00%
Positive Periods76 out of 120 (63.33%)77 out of 120 (64.17%)76 out of 120 (63.33%)73 out of 120 (60.83%)
Gain/Loss Ratio0.930.840.890.71
* 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
Subprime CrisisNov 2007Mar 2009-41.80%-44.63%-45.45%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-41.80%
2Apr 2002Oct 20027 monthsMay 20037 months1 year 2 months-9.21%
3Jun 2007Jul 20072 monthsOct 20073 months5 months-7.31%
4Apr 2004Apr 20041 monthSep 20045 months6 months-7.01%
5Feb 2001Mar 20012 monthsJun 20013 months5 months-5.65%
6Jul 2001Oct 20014 monthsDec 20012 months6 months-5.18%
7Jan 2005Jan 20051 monthMay 20054 months5 months-3.94%
8Apr 2006May 20062 monthsJul 20062 months4 months-2.57%
9Aug 2005Oct 20053 monthsNov 20051 month4 months-2.39%
10Feb 2007Mar 20072 monthsApr 20071 month3 months-1.51%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 months-44.96%
2Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-10.89%
3Apr 2004Apr 20041 monthSep 20045 months6 months-6.71%
4Feb 2001Mar 20012 monthsJun 20013 months5 months-6.30%
5Jul 2001Oct 20014 monthsMar 20025 months9 months-5.97%
6Jan 2005Jan 20051 monthMay 20054 months5 months-3.89%
7Apr 2006May 20062 monthsJul 20062 months4 months-3.24%
8Aug 2005Oct 20053 monthsNov 20051 month4 months-2.87%
9Feb 2007Mar 20072 monthsApr 20071 month3 months-1.60%
10Dec 2006Dec 20061 monthJan 20071 month2 months-0.36%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 months-45.98%
2Apr 2002Oct 20027 monthsMay 20037 months1 year 2 months-9.94%
3Apr 2004Apr 20041 monthAug 20044 months5 months-7.34%
4Jul 2001Oct 20014 monthsDec 20012 months6 months-5.61%
5Feb 2001Mar 20012 monthsJun 20013 months5 months-5.56%
6Jan 2005Jan 20051 monthMay 20054 months5 months-4.18%
7Apr 2006May 20062 monthsJul 20062 months4 months-3.46%
8Aug 2005Oct 20053 monthsNov 20051 month4 months-3.05%
9Feb 2007Mar 20072 monthsMay 20072 months4 months-1.82%
10Dec 2006Dec 20061 monthJan 20071 month2 months-0.51%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.97%
2Feb 2001Sep 20021 year 8 monthsJan 20063 years 4 months5 years-38.97%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
4May 2006May 20061 monthAug 20063 months4 months-2.90%
5Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market2.45%16.80%31.35%-37.04%-50.89%0.100.131.00
Cash2.18%0.50%4.81%0.09%0.00%-0.10-0.14-0.05
Total US Bond Market5.57%3.81%8.43%2.40%-3.99%0.871.44-0.09
REIT10.57%25.14%35.66%-37.05%-68.28%0.450.620.68
Gold17.52%16.59%30.45%0.75%-25.83%0.931.610.03

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketCashTotal US Bond MarketREITGoldPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
US Stock Market--0.05-0.090.680.030.860.880.861.00
Cash-0.05-0.01-0.05-0.05-0.05-0.05-0.05-0.04
Total US Bond Market-0.090.01-0.120.290.120.100.11-0.08
REIT0.68-0.050.12-0.100.940.940.960.65
Gold0.03-0.050.290.10-0.180.110.110.02

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$2,037$2,161$1,978
Cash$159$155$160
Total US Bond Market$1,558$1,505$1,549
REIT$5,330$5,114$5,992
Gold$1,317

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market37.22%41.57%34.17%
Cash-0.01%-0.01%-0.01%
Total US Bond Market0.69%0.51%0.55%
REIT61.02%57.94%65.28%
Gold1.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year8.48%25.29%-24.59%7.82%25.87%-26.69%8.25%26.08%-26.69%3.53%28.50%-37.02%
3 years7.02%16.23%-3.52%6.25%16.33%-4.92%6.59%16.80%-5.02%1.92%14.24%-8.44%
5 years7.81%13.33%2.39%7.08%13.04%1.45%7.41%13.24%1.61%3.24%12.69%-2.29%
7 years7.32%9.25%4.57%6.57%8.57%3.60%6.87%9.10%3.93%2.68%5.43%-1.64%
10 years7.39%7.39%7.39%6.59%6.59%6.59%7.00%7.00%7.00%1.31%1.31%1.31%
Result statistics are based on annualized rolling returns over full calendar year periods