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 2007 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Total US Bond Market 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 45.00%
Total US Bond Market 20.00%
Long-Term Corporate Bonds 20.00%
REIT 15.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,468,491 3.00% 7.37%6.87%8.92%21.83%-20.20%-30.72%
(-36.85%)
0.741.090.99
Portfolio 2$1,000,000$1,502,631 3.18% 7.59%7.01%10.17%23.91%-20.75%-35.16%
(-41.14%)
0.680.980.92
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $40,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketTotal US Bond MarketLong-Term Corporate BondsREIT
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20074.08%6.06%2.14%$1,018,990$979,729-$41,6335.49%6.92%3.75%-16.46%
20080.09%-20.20%-20.75%$771,467$734,719-$41,671-37.04%5.05%2.29%-37.05%
20092.72%19.59%20.29%$879,813$840,975-$42,80528.70%5.93%8.75%29.58%
20101.50%12.82%15.36%$949,199$926,743-$43,44517.09%6.42%10.71%28.30%
20112.96%3.60%6.65%$938,638$943,638-$44,7320.96%7.56%17.18%8.47%
20121.74%11.37%13.08%$999,858$1,021,588-$45,51116.25%4.05%11.66%17.53%
20131.50%19.10%13.73%$1,144,685$1,115,632-$46,19433.35%-2.26%-5.87%2.31%
20140.76%9.76%14.90%$1,209,869$1,235,292-$46,54412.43%5.76%18.17%30.13%
20150.73%0.29%0.08%$1,166,544$1,189,435-$46,8830.29%0.30%-2.20%2.22%
20162.07%8.52%8.96%$1,218,079$1,248,118-$47,85612.53%2.50%7.83%8.34%
20172.11%14.01%13.28%$1,339,889$1,364,941-$48,86521.05%3.45%11.94%4.83%
20181.91%-3.20%-4.50%$1,247,153$1,253,767-$49,798-5.26%-0.13%-5.95%-6.11%
20192.29%21.83%23.91%$1,468,491$1,502,631-$50,93630.65%8.61%20.41%28.78%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.63%0.65%
Arithmetic Mean (annualized)7.80%8.15%
Geometric Mean (monthly)0.59%0.61%
Geometric Mean (annualized)7.37%7.59%
Volatility (monthly)2.57%2.94%
Volatility (annualized)8.92%10.17%
Downside Deviation (monthly)1.71%2.01%
Max. Drawdown-30.72%-35.16%
US Market Correlation0.990.92
Beta(*)0.590.62
Alpha (annualized)1.93%1.92%
R297.60%84.30%
Sharpe Ratio0.740.68
Sortino Ratio1.090.98
Treynor Ratio (%)11.3211.21
Calmar Ratio1.231.27
Active Return-1.39%-1.17%
Tracking Error6.38%6.99%
Information Ratio-0.22-0.17
Skewness-0.86-1.14
Excess Kurtosis2.244.94
Historical Value-at-Risk (5%)-4.60%-4.39%
Analytical Value-at-Risk (5%)-3.61%-4.17%
Conditional Value-at-Risk (5%)-6.12%-7.21%
Upside Capture Ratio (%)61.5363.05
Downside Capture Ratio (%)55.8456.83
Safe Withdrawal Rate9.59%9.54%
Perpetual Withdrawal Rate5.12%5.31%
Positive Periods107 out of 156 (68.59%)105 out of 156 (67.31%)
Gain/Loss Ratio0.860.89
* 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 2009-30.72%-35.16%

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-30.72%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
6May 2012May 20121 monthAug 20123 months4 months-3.53%
7May 2019May 20191 monthJun 20191 month2 months-3.41%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-2.94%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.06%
10Oct 2016Oct 20161 monthDec 20162 months3 months-1.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-35.16%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-8.06%
3Jun 2011Sep 20114 monthsJan 20124 months8 months-7.99%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-5.80%
5Jun 2007Jul 20072 monthsOct 20073 months5 months-4.79%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-4.03%
7Aug 2016Oct 20163 monthsFeb 20174 months7 months-3.45%
8May 2013Jun 20132 monthsOct 20134 months6 months-3.16%
9May 2012May 20121 monthJul 20122 months3 months-2.89%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.58%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.76%15.04%33.35%-37.04%-50.89%0.570.821.00
Total US Bond Market4.12%3.31%8.61%-2.26%-3.99%0.971.77-0.04
Long-Term Corporate Bonds7.26%9.37%20.41%-5.95%-16.82%0.701.200.12
REIT5.81%23.32%30.13%-37.05%-68.28%0.320.460.72

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketLong-Term Corporate BondsREITPortfolio 1Portfolio 2
US Stock Market--0.040.120.720.990.92
Total US Bond Market-0.04-0.880.240.100.28
Long-Term Corporate Bonds0.120.88-0.360.250.45
REIT0.720.240.36-0.740.88

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$842,795$637,301
Total US Bond Market$222,567$109,665
Long-Term Corporate Bonds$203,187
REIT$149,349

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market98.51%60.15%
Total US Bond Market1.49%1.82%
Long-Term Corporate Bonds8.19%
REIT29.84%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.97%21.83%-20.20%8.24%23.91%-20.75%
3 years8.00%13.34%0.40%8.48%13.96%-0.89%
5 years8.25%13.14%3.42%8.85%13.74%3.68%
7 years8.74%10.73%6.65%9.23%11.84%6.37%
10 years8.16%9.55%6.49%8.73%10.27%6.80%
Result statistics are based on annualized rolling returns over full calendar year periods