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 2003 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Emerging Markets 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$43,536 10.30% 13.74%33.35%-37.04%-50.89% 0.701.031.00
Portfolio 2$10,000$52,818 11.73% 21.67%75.98%-52.81%-62.70% 0.570.870.79
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 16.31%21.05%10.96%15.42%8.60%10.30%
Portfolio 26.23%31.15%7.32%3.31%1.13%11.73%
Trailing returns are for full months ending in December 2017 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
  • 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 returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketEmerging Markets
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20031.88%31.35%57.65%$13,135$15,76531.35%57.65%
20043.26%12.52%26.12%$14,779$19,88312.52%26.12%
20053.42%5.98%32.05%$15,663$26,2555.98%32.05%
20062.54%15.51%29.39%$18,093$33,97215.51%29.39%
20074.08%5.49%38.90%$19,086$47,1885.49%38.90%
20080.09%-37.04%-52.81%$12,017$22,266-37.04%-52.81%
20092.72%28.70%75.98%$15,466$39,18328.70%75.98%
20101.50%17.09%18.86%$18,109$46,57317.09%18.86%
20112.96%0.96%-18.78%$18,283$37,8280.96%-18.78%
20121.74%16.25%18.64%$21,255$44,88016.25%18.64%
20131.50%33.35%-5.19%$28,344$42,55033.35%-5.19%
20140.76%12.43%0.42%$31,867$42,72912.43%0.42%
20150.73%0.29%-15.47%$31,960$36,1190.29%-15.47%
20162.07%12.53%11.50%$35,965$40,27212.53%11.50%
20172.11%21.05%31.15%$43,536$52,81821.05%31.15%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.90%1.13%
Arithmetic Mean (annualized)11.35%14.40%
Geometric Mean (monthly)0.82%0.93%
Geometric Mean (annualized)10.30%11.73%
Volatility (monthly)3.97%6.26%
Volatility (annualized)13.74%21.67%
Downside Deviation (monthly)2.65%4.08%
Max. Drawdown-50.89%-62.70%
US Market Correlation1.000.79
Beta(*)1.001.24
Alpha (annualized)0.00%0.09%
R2100.00%62.27%
Sharpe Ratio0.700.57
Sortino Ratio1.030.87
Treynor Ratio (%)9.619.91
Calmar Ratio1.230.26
Active Return0.00%1.43%
Tracking Error0.00%13.73%
Information RatioN/A0.10
Skewness-0.81-0.55
Excess Kurtosis2.692.29
Historical Value-at-Risk (5%)-6.23%-9.28%
Analytical Value-at-Risk (5%)-5.62%-9.16%
Conditional Value-at-Risk (5%)-9.30%-13.56%
Upside Capture Ratio (%)100.00125.98
Downside Capture Ratio (%)100.00126.20
Safe Withdrawal Rate11.05%18.45%
Perpetual Withdrawal Rate7.45%8.63%
Positive Periods122 out of 180 (67.78%)106 out of 180 (58.89%)
Gain/Loss Ratio0.851.13
* 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 2009-50.89%-62.70%

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%
2Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
3Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
4Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
5Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
6Jan 2003Feb 20032 monthsApr 20032 months4 months-4.19%
7Jul 2004Jul 20041 monthNov 20044 months5 months-3.80%
8May 2006May 20061 monthSep 20064 months5 months-3.23%
9Mar 2004Apr 20042 monthsJun 20042 months4 months-3.15%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20178 years 10 months10 years 2 months-62.70%
2May 2006Jun 20062 monthsNov 20065 months7 months-10.92%
3Apr 2004Jul 20044 monthsOct 20043 months7 months-10.41%
4Mar 2005Apr 20052 monthsJul 20053 months5 months-9.40%
5Oct 2005Oct 20051 monthNov 20051 month2 months-6.57%
6Feb 2003Mar 20032 monthsApr 20031 month3 months-5.76%
7Jan 2007Feb 20072 monthsMar 20071 month3 months-1.85%
8Feb 2006Feb 20061 monthApr 20062 months3 months-1.46%
9Aug 2007Aug 20071 monthSep 20071 month2 months-0.94%
10Jan 2005Jan 20051 monthFeb 20051 month2 months-0.14%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.30%13.74%33.35%-37.04%-50.89%0.701.031.00
Emerging Markets11.73%21.67%75.98%-52.81%-62.70%0.570.870.79

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketEmerging MarketsPortfolio 1Portfolio 2
US Stock Market1.000.791.000.79
Emerging Markets0.791.000.791.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$33,536
Emerging Markets$42,818

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
Emerging Markets100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.77%33.35%-37.04%16.56%75.98%-52.81%
3 years9.03%20.34%-8.45%9.48%37.96%-6.98%
5 years8.59%18.72%-1.76%7.87%36.39%-4.96%
7 years8.23%15.00%3.09%7.45%21.54%-1.41%
10 years7.82%8.60%7.11%6.78%16.20%1.13%
15 years10.30%10.30%10.30%11.73%11.73%11.73%
Result statistics are based on annualized rolling returns over full calendar year periods