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 2006 - Dec 2015)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 25.00%
Global ex-US Stock Market 25.00%
Global Bonds (Unhedged) 50.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$17,188 5.57% 10.44%24.94%-21.62%-32.86% 0.460.690.88
   
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
  • 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)
20062.54%13.46%$11,34615.51%26.64%5.85%
20074.08%9.88%$12,4675.49%15.52%9.26%
20080.09%-21.62%$9,771-37.04%-44.10%-2.68%
20092.72%24.94%$12,20828.70%36.73%17.17%
20101.50%12.67%$13,75517.09%11.12%11.24%
20112.96%1.20%$13,9200.96%-14.56%9.20%
20121.74%12.31%$15,63316.25%18.14%7.42%
20131.50%9.58%$17,13033.35%15.04%-5.04%
20140.76%3.24%$17,68512.43%-4.24%2.37%
20150.73%-2.81%$17,1880.29%-4.38%-3.57%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.50%
Arithmetic Mean (annualized)6.14%
Geometric Mean (monthly)0.45%
Geometric Mean (annualized)5.57%
Volatility (monthly)3.01%
Volatility (annualized)10.44%
Downside Deviation (monthly)2.02%
Max. Drawdown-32.86%
US Market Correlation0.88
Beta(*)0.59
Alpha (annualized)1.05%
R276.60%
Sharpe Ratio0.46
Sortino Ratio0.69
Treynor Ratio (%)8.26
Calmar Ratio0.43
Active Return-1.83%
Tracking Error8.15%
Information Ratio-0.22
Skewness-0.62
Excess Kurtosis2.32
Historical Value-at-Risk (5%)-5.24%
Analytical Value-at-Risk (5%)-4.46%
Conditional Value-at-Risk (5%)-7.30%
Upside Capture Ratio (%)55.90
Downside Capture Ratio (%)53.88
Safe Withdrawal Rate12.20%
Perpetual Withdrawal Rate3.51%
Positive Periods74 out of 120 (61.67%)
Gain/Loss Ratio0.98
* 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 1
Subprime CrisisNov 2007Mar 2009-32.86%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-32.86%
2May 2011Sep 20115 monthsFeb 20125 months10 months-9.53%
3Sep 2014Sep 20151 year 1 month-7.41%
4May 2012May 20121 monthAug 20123 months4 months-5.04%
5May 2013Jun 20132 monthsSep 20133 months5 months-3.99%
6Nov 2010Nov 20101 monthDec 20101 month2 months-3.26%
7May 2006Jun 20062 monthsAug 20062 months4 months-1.90%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-1.37%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.15%
10Jun 2007Jun 20071 monthAug 20072 months3 months-0.58%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.39%15.54%33.35%-37.04%-50.89%0.470.661.00
Global ex-US Stock Market2.82%19.41%36.73%-44.10%-58.50%0.190.260.90
Global Bonds (Unhedged)4.90%7.49%17.17%-5.04%-17.49%0.530.840.31

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketGlobal Bonds (Unhedged)Portfolio 1
US Stock Market-0.900.310.88
Global ex-US Stock Market0.90-0.500.96
Global Bonds (Unhedged)0.310.50-0.70

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$3,059
Global ex-US Stock Market$1,312
Global Bonds (Unhedged)$2,817

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market31.90%
Global ex-US Stock Market43.59%
Global Bonds (Unhedged)24.52%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.28%24.94%-21.62%
3 years5.66%12.52%-0.77%
5 years6.59%11.88%4.17%
7 years6.54%8.40%5.12%
10 years5.57%5.57%5.57%
Result statistics are based on annualized rolling returns over full calendar year periods