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 (Dec 1999 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 60.00%
10-year Treasury 40.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,070,678 0.34% 6.23%5.26%8.21%21.88%-17.39%-29.35%
(-40.35%) 		0.570.840.93
* 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.
  • The annual results for 1999 are based on monthly returns from December to December
  • 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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly withdrawal of $3,333 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalancePortfolio 1 AdjustmentUS Large Cap10-year Treasury
19990.00%3.01%$1,026,723-$3,3335.98%-1.45%
20003.39%0.98%$995,960-$40,923-9.06%17.28%
20011.55%-4.68%$907,460-$42,079-12.02%5.40%
20022.38%-7.86%$794,371-$42,747-22.15%15.45%
20031.88%16.72%$879,272-$43,71728.50%0.15%
20043.26%8.33%$905,125-$44,88810.74%4.50%
20053.42%4.21%$895,462-$46,4114.77%3.01%
20062.54%10.14%$935,298-$47,90815.64%2.19%
20074.08%7.62%$955,862-$49,2745.39%10.42%
20080.09%-17.39%$743,417-$51,166-37.02%20.53%
20092.72%10.96%$768,597-$50,98426.49%-10.17%
20101.50%12.92%$812,102-$51,82014.91%7.92%
20112.96%8.03%$822,054-$53,4561.97%16.24%
20121.74%10.69%$853,915-$54,56215.82%2.73%
20131.50%14.32%$917,644-$55,36232.18%-8.57%
20140.76%12.46%$972,408-$56,26013.51%10.63%
20150.73%1.53%$930,847-$56,3261.25%1.12%
20162.07%7.63%$943,148-$57,03711.82%1.00%
20172.11%13.62%$1,010,048-$58,25221.67%2.39%
20181.91%-2.00%$932,120-$59,675-4.53%0.99%
20192.29%21.88%$1,070,678-$60,75631.33%8.03%
Annual returns for 1999 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.53%
Arithmetic Mean (annualized)6.59%
Geometric Mean (monthly)0.51%
Geometric Mean (annualized)6.23%
Volatility (monthly)2.37%
Volatility (annualized)8.21%
Downside Deviation (monthly)1.55%
Max. Drawdown-29.35%
US Market Correlation0.93
Beta(*)0.51
Alpha (annualized)2.53%
R286.14%
Sharpe Ratio0.57
Sortino Ratio0.84
Treynor Ratio (%)9.29
Calmar Ratio1.56
Active Return-0.42%
Tracking Error7.95%
Information Ratio-0.05
Skewness-0.67
Excess Kurtosis2.14
Historical Value-at-Risk (5%)-3.64%
Analytical Value-at-Risk (5%)-3.36%
Conditional Value-at-Risk (5%)-5.27%
Upside Capture Ratio (%)54.36
Downside Capture Ratio (%)45.79
Safe Withdrawal Rate5.72%
Perpetual Withdrawal Rate3.70%
Positive Periods158 out of 241 (65.56%)
Gain/Loss Ratio0.95
* 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
Dotcom CrashMar 2000Oct 2002-20.70%
Subprime CrisisNov 2007Mar 2009-29.35%

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-29.35%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-20.70%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-6.89%
4Jun 2011Sep 20114 monthsOct 20111 month5 months-5.24%
5Jun 2015Sep 20154 monthsOct 20151 month5 months-4.51%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-3.91%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-3.62%
8Apr 2000May 20002 monthsAug 20003 months5 months-3.36%
9Mar 2004Apr 20042 monthsOct 20046 months8 months-3.29%
10Dec 2015Jan 20162 monthsMar 20162 months4 months-2.73%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap6.22%14.52%32.18%-37.02%-50.97%0.370.530.99
10-year Treasury5.18%7.34%20.53%-10.17%-10.21%0.500.81-0.34

Monthly Correlations

Correlations for the portfolio assets
NameUS Large Cap10-year TreasuryPortfolio 1
US Large Cap1.00-0.340.94
10-year Treasury-0.341.000.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Large Cap$718,724
10-year Treasury$378,891

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Large Cap99.96%
10-year Treasury0.04%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.51%21.88%-17.39%
3 years6.22%12.48%-3.92%
5 years6.47%11.66%2.02%
7 years6.53%10.06%2.50%
10 years6.39%9.92%2.42%
15 years6.49%7.80%5.41%
Result statistics are based on annualized rolling returns over full calendar year periods