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 2002 - Dec 2018)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Small Cap Value 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Small Cap Growth 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$37,566 8.10% 17.98%37.19%-32.05%-56.13% 0.460.650.92
Portfolio 2$10,000$42,606 8.90% 18.40%42.88%-40.00%-53.52% 0.490.710.92
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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 Small Cap ValueUS Small Cap Growth
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20022.38%-14.20%-15.41%$8,580$8,459-14.20%-15.41%
20031.88%37.19%42.88%$11,771$12,08637.19%42.88%
20043.26%23.55%16.06%$14,544$14,02723.55%16.06%
20053.42%6.07%8.64%$15,427$15,2396.07%8.64%
20062.54%19.24%11.95%$18,395$17,06019.24%11.95%
20074.08%-7.07%9.63%$17,094$18,703-7.07%9.63%
20080.09%-32.05%-40.00%$11,615$11,222-32.05%-40.00%
20092.72%30.34%41.85%$15,138$15,91830.34%41.85%
20101.50%24.82%30.69%$18,895$20,80424.82%30.69%
20112.96%-4.16%-1.58%$18,109$20,476-4.16%-1.58%
20121.74%18.56%17.52%$21,471$24,06318.56%17.52%
20131.50%36.41%37.98%$29,287$33,20136.41%37.98%
20140.76%10.39%3.88%$32,330$34,48810.39%3.88%
20150.73%-4.77%-2.64%$30,787$33,579-4.77%-2.64%
20162.07%24.65%10.61%$38,375$37,14124.65%10.61%
20172.11%11.67%21.78%$42,854$45,23011.67%21.78%
20181.91%-12.34%-5.80%$37,566$42,606-12.34%-5.80%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.79%0.86%
Arithmetic Mean (annualized)9.87%10.77%
Geometric Mean (monthly)0.65%0.71%
Geometric Mean (annualized)8.10%8.90%
Volatility (monthly)5.19%5.31%
Volatility (annualized)17.98%18.40%
Downside Deviation (monthly)3.59%3.63%
Max. Drawdown-56.13%-53.52%
US Market Correlation0.920.92
Beta(*)1.151.18
Alpha (annualized)0.22%0.79%
R284.65%85.15%
Sharpe Ratio0.460.49
Sortino Ratio0.650.71
Treynor Ratio (%)7.147.65
Calmar Ratio0.360.40
Active Return0.90%1.70%
Tracking Error7.38%7.56%
Information Ratio0.120.22
Skewness-0.61-0.58
Excess Kurtosis2.421.74
Historical Value-at-Risk (5%)-8.07%-8.72%
Analytical Value-at-Risk (5%)-7.75%-7.88%
Conditional Value-at-Risk (5%)-12.55%-12.06%
Upside Capture Ratio (%)115.67125.61
Downside Capture Ratio (%)113.35119.99
Safe Withdrawal Rate9.08%9.38%
Perpetual Withdrawal Rate5.56%6.25%
Positive Periods131 out of 204 (64.22%)129 out of 204 (63.24%)
Gain/Loss Ratio0.840.87
* 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
Subprime CrisisNov 2007Mar 2009-53.25%-53.52%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-56.13%
2May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
4Sep 2018Dec 20184 months-18.94%
5Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
6Jan 2005Apr 20054 monthsJun 20052 months6 months-7.07%
7Sep 2014Sep 20141 monthNov 20142 months3 months-5.65%
8Apr 2004Apr 20041 monthJun 20042 months3 months-5.52%
9Feb 2018Feb 20181 monthMay 20183 months4 months-4.78%
10Jul 2014Jul 20141 monthAug 20141 month2 months-4.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-53.52%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-25.14%
3May 2002Feb 200310 monthsAug 20036 months1 year 4 months-23.87%
4Sep 2018Dec 20184 months-20.41%
5Aug 2015Jan 20166 monthsDec 201611 months1 year 5 months-17.36%
6May 2006Jul 20063 monthsJan 20076 months9 months-11.66%
7Jul 2004Aug 20042 monthsNov 20043 months5 months-10.41%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-9.43%
9Mar 2014Apr 20142 monthsJun 20142 months4 months-5.90%
10Jul 2014Sep 20143 monthsFeb 20155 months8 months-5.56%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Small Cap Value8.10%17.98%37.19%-32.05%-56.13%0.460.650.92
US Small Cap Growth8.90%18.40%42.88%-40.00%-53.52%0.490.710.92

Monthly Correlations

Correlations for the portfolio assets
NameUS Small Cap ValueUS Small Cap GrowthPortfolio 1Portfolio 2
US Small Cap Value-0.941.000.94
US Small Cap Growth0.94-0.941.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Small Cap Value$27,566
US Small Cap Growth$32,606

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Small Cap Value100.00%
US Small Cap Growth100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.90%37.19%-32.05%11.06%42.88%-40.00%
3 years9.92%21.60%-9.03%10.24%22.20%-9.70%
5 years9.22%20.32%-0.31%9.78%24.23%-1.47%
7 years8.60%14.94%2.16%9.38%16.95%1.66%
10 years8.81%12.45%6.12%9.79%14.27%7.43%
15 years9.58%11.32%8.04%9.91%11.83%8.76%
Result statistics are based on annualized rolling returns over full calendar year periods