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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Select allocation for portfolio 1

Select allocation for portfolio 2

Select allocation for portfolio 3

US Stock Market

Enter US Stock Market allocation for portfolio 1 %

Enter US Stock Market allocation for portfolio 2 %

Enter US Stock Market allocation for portfolio 3 %

US Large Cap

Enter US Large Cap allocation for portfolio 1 %

Enter US Large Cap allocation for portfolio 2 %

Enter US Large Cap allocation for portfolio 3 %

US Large Cap Value

Enter US Large Cap Value allocation for portfolio 1 %

Enter US Large Cap Value allocation for portfolio 2 %

Enter US Large Cap Value allocation for portfolio 3 %

US Large Cap Growth

Enter US Large Cap Growth allocation for portfolio 1 %

Enter US Large Cap Growth allocation for portfolio 2 %

Enter US Large Cap Growth allocation for portfolio 3 %

US Mid Cap

Enter US Mid Cap allocation for portfolio 1 %

Enter US Mid Cap allocation for portfolio 2 %

Enter US Mid Cap allocation for portfolio 3 %

US Mid Cap Value

Enter US Mid Cap Value allocation for portfolio 1 %

Enter US Mid Cap Value allocation for portfolio 2 %

Enter US Mid Cap Value allocation for portfolio 3 %

US Mid Cap Growth

Enter US Mid Cap Growth allocation for portfolio 1 %

Enter US Mid Cap Growth allocation for portfolio 2 %

Enter US Mid Cap Growth allocation for portfolio 3 %

US Small Cap

Enter US Small Cap allocation for portfolio 1 %

Enter US Small Cap allocation for portfolio 2 %

Enter US Small Cap allocation for portfolio 3 %

US Small Cap Value

Enter US Small Cap Value allocation for portfolio 1 %

Enter US Small Cap Value allocation for portfolio 2 %

Enter US Small Cap Value allocation for portfolio 3 %

US Small Cap Growth

Enter US Small Cap Growth allocation for portfolio 1 %

Enter US Small Cap Growth allocation for portfolio 2 %

Enter US Small Cap Growth allocation for portfolio 3 %

US Micro Cap

Enter US Micro Cap allocation for portfolio 1 %

Enter US Micro Cap allocation for portfolio 2 %

Enter US Micro Cap allocation for portfolio 3 %

Global ex-US Stock Market

Enter Global ex-US Stock Market allocation for portfolio 1 %

Enter Global ex-US Stock Market allocation for portfolio 2 %

Enter Global ex-US Stock Market allocation for portfolio 3 %

Intl Developed ex-US Market

Enter Intl Developed ex-US Market allocation for portfolio 1 %

Enter Intl Developed ex-US Market allocation for portfolio 2 %

Enter Intl Developed ex-US Market allocation for portfolio 3 %

International ex-US Small Cap

Enter International ex-US Small Cap allocation for portfolio 1 %

Enter International ex-US Small Cap allocation for portfolio 2 %

Enter International ex-US Small Cap allocation for portfolio 3 %

International ex-US Value

Enter International ex-US Value allocation for portfolio 1 %

Enter International ex-US Value allocation for portfolio 2 %

Enter International ex-US Value allocation for portfolio 3 %

European Stocks

Enter European Stocks allocation for portfolio 1 %

Enter European Stocks allocation for portfolio 2 %

Enter European Stocks allocation for portfolio 3 %

Pacific Stocks

Enter Pacific Stocks allocation for portfolio 1 %

Enter Pacific Stocks allocation for portfolio 2 %

Enter Pacific Stocks allocation for portfolio 3 %

Emerging Markets

Enter Emerging Markets allocation for portfolio 1 %

Enter Emerging Markets allocation for portfolio 2 %

Enter Emerging Markets allocation for portfolio 3 %

Cash

Enter Cash allocation for portfolio 1 %

Enter Cash allocation for portfolio 2 %

Enter Cash allocation for portfolio 3 %

Short Term Treasury

Enter Short Term Treasury allocation for portfolio 1 %

Enter Short Term Treasury allocation for portfolio 2 %

Enter Short Term Treasury allocation for portfolio 3 %

Intermediate Term Treasury

Enter Intermediate Term Treasury allocation for portfolio 1 %

Enter Intermediate Term Treasury allocation for portfolio 2 %

Enter Intermediate Term Treasury allocation for portfolio 3 %

10-year Treasury

Enter 10-year Treasury allocation for portfolio 1 %

Enter 10-year Treasury allocation for portfolio 2 %

Enter 10-year Treasury allocation for portfolio 3 %

Long Term Treasury

Enter Long Term Treasury allocation for portfolio 1 %

Enter Long Term Treasury allocation for portfolio 2 %

Enter Long Term Treasury allocation for portfolio 3 %

Total US Bond Market

Enter Total US Bond Market allocation for portfolio 1 %

Enter Total US Bond Market allocation for portfolio 2 %

Enter Total US Bond Market allocation for portfolio 3 %

TIPS

Enter TIPS allocation for portfolio 1 %

Enter TIPS allocation for portfolio 2 %

Enter TIPS allocation for portfolio 3 %

Global Bonds (Unhedged)

Enter Global Bonds (Unhedged) allocation for portfolio 1 %

Enter Global Bonds (Unhedged) allocation for portfolio 2 %

Enter Global Bonds (Unhedged) allocation for portfolio 3 %

Global Bonds (USD Hedged)

Enter Global Bonds (USD Hedged) allocation for portfolio 1 %

Enter Global Bonds (USD Hedged) allocation for portfolio 2 %

Enter Global Bonds (USD Hedged) allocation for portfolio 3 %

Short-Term Investment Grade

Enter Short-Term Investment Grade allocation for portfolio 1 %

Enter Short-Term Investment Grade allocation for portfolio 2 %

Enter Short-Term Investment Grade allocation for portfolio 3 %

Corporate Bonds

Enter Corporate Bonds allocation for portfolio 1 %

Enter Corporate Bonds allocation for portfolio 2 %

Enter Corporate Bonds allocation for portfolio 3 %

Long-Term Corporate Bonds

Enter Long-Term Corporate Bonds allocation for portfolio 1 %

Enter Long-Term Corporate Bonds allocation for portfolio 2 %

Enter Long-Term Corporate Bonds allocation for portfolio 3 %

High Yield Corporate Bonds

Enter High Yield Corporate Bonds allocation for portfolio 1 %

Enter High Yield Corporate Bonds allocation for portfolio 2 %

Enter High Yield Corporate Bonds allocation for portfolio 3 %

Short-Term Tax-Exempt

Enter Short-Term Tax-Exempt allocation for portfolio 1 %

Enter Short-Term Tax-Exempt allocation for portfolio 2 %

Enter Short-Term Tax-Exempt allocation for portfolio 3 %

Intermediate-Term Tax-Exempt

Enter Intermediate-Term Tax-Exempt allocation for portfolio 1 %

Enter Intermediate-Term Tax-Exempt allocation for portfolio 2 %

Enter Intermediate-Term Tax-Exempt allocation for portfolio 3 %

Long-Term Tax-Exempt

Enter Long-Term Tax-Exempt allocation for portfolio 1 %

Enter Long-Term Tax-Exempt allocation for portfolio 2 %

Enter Long-Term Tax-Exempt allocation for portfolio 3 %

REIT

Enter REIT allocation for portfolio 1 %

Enter REIT allocation for portfolio 2 %

Enter REIT allocation for portfolio 3 %

Gold

Enter Gold allocation for portfolio 1 %

Enter Gold allocation for portfolio 2 %

Enter Gold allocation for portfolio 3 %

Precious Metals

Enter Precious Metals allocation for portfolio 1 %

Enter Precious Metals allocation for portfolio 2 %

Enter Precious Metals allocation for portfolio 3 %

Commodities

Enter Commodities allocation for portfolio 1 %

Enter Commodities allocation for portfolio 2 %

Enter Commodities allocation for portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

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
Portfolio	Initial Balance	Final Balance	CAGR	TWRR	MWRR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US 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%)	0.57	0.84	0.93
^* The number in parentheses shows the calculated value taking into account the periodic withdrawals.

Trailing Returns

Trailing Returns
Name	3 Month	1 year	3 year	5 year	10 year	Full
Portfolio 1	4.77%	21.88%	10.72%	8.20%	9.92%	6.23%
Trailing returns are for full months ending in December 2019 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.
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 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
Year	Inflation	Portfolio 1 Return	Portfolio 1 Balance	Portfolio 1 Adjustment	US Large Cap	10-year Treasury
1999	0.00%	3.01%	$1,026,723	-$3,333	5.98%	-1.45%
2000	3.39%	0.98%	$995,960	-$40,923	-9.06%	17.28%
2001	1.55%	-4.68%	$907,460	-$42,079	-12.02%	5.40%
2002	2.38%	-7.86%	$794,371	-$42,747	-22.15%	15.45%
2003	1.88%	16.72%	$879,272	-$43,717	28.50%	0.15%
2004	3.26%	8.33%	$905,125	-$44,888	10.74%	4.50%
2005	3.42%	4.21%	$895,462	-$46,411	4.77%	3.01%
2006	2.54%	10.14%	$935,298	-$47,908	15.64%	2.19%
2007	4.08%	7.62%	$955,862	-$49,274	5.39%	10.42%
2008	0.09%	-17.39%	$743,417	-$51,166	-37.02%	20.53%
2009	2.72%	10.96%	$768,597	-$50,984	26.49%	-10.17%
2010	1.50%	12.92%	$812,102	-$51,820	14.91%	7.92%
2011	2.96%	8.03%	$822,054	-$53,456	1.97%	16.24%
2012	1.74%	10.69%	$853,915	-$54,562	15.82%	2.73%
2013	1.50%	14.32%	$917,644	-$55,362	32.18%	-8.57%
2014	0.76%	12.46%	$972,408	-$56,260	13.51%	10.63%
2015	0.73%	1.53%	$930,847	-$56,326	1.25%	1.12%
2016	2.07%	7.63%	$943,148	-$57,037	11.82%	1.00%
2017	2.11%	13.62%	$1,010,048	-$58,252	21.67%	2.39%
2018	1.91%	-2.00%	$932,120	-$59,675	-4.53%	0.99%
2019	2.29%	21.88%	$1,070,678	-$60,756	31.33%	8.03%
Annual returns for 1999 are based on partial year data

Portfolio return and risk metrics
Metric	Portfolio 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 Correlation	0.93
Beta^(*)	0.51
Alpha (annualized)	2.53%
R²	86.14%
Sharpe Ratio	0.57
Sortino Ratio	0.84
Treynor Ratio (%)	9.29
Calmar Ratio	1.56
Active Return	-0.42%
Tracking Error	7.95%
Information Ratio	-0.05
Skewness	-0.67
Excess Kurtosis	2.14
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 Rate	5.72%
Perpetual Withdrawal Rate	3.70%
Positive Periods	158 out of 241 (65.56%)
Gain/Loss Ratio	0.95
^* 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 Period	Start	End	Portfolio 1
Dotcom Crash	Mar 2000	Oct 2002	-20.70%
Subprime Crisis	Nov 2007	Mar 2009	-29.35%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Oct 2010	1 year 8 months	3 years	-29.35%
2	Sep 2000	Sep 2002	2 years 1 month	Feb 2004	1 year 5 months	3 years 6 months	-20.70%
3	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-6.89%
4	Jun 2011	Sep 2011	4 months	Oct 2011	1 month	5 months	-5.24%
5	Jun 2015	Sep 2015	4 months	Oct 2015	1 month	5 months	-4.51%
6	Feb 2018	Apr 2018	3 months	Jul 2018	3 months	6 months	-3.91%
7	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-3.62%
8	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-3.36%
9	Mar 2004	Apr 2004	2 months	Oct 2004	6 months	8 months	-3.29%
10	Dec 2015	Jan 2016	2 months	Mar 2016	2 months	4 months	-2.73%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Large Cap	6.22%	14.52%	32.18%	-37.02%	-50.97%	0.37	0.53	0.99
10-year Treasury	5.18%	7.34%	20.53%	-10.17%	-10.21%	0.50	0.81	-0.34

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap	10-year Treasury	Portfolio 1
US Large Cap	1.00	-0.34	0.94
10-year Treasury	-0.34	1.00	0.00

Portfolio Return Decomposition

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

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1
US Large Cap	99.96%
10-year Treasury	0.04%

Annual Asset Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	6.51%	21.88%	-17.39%
3 years	6.22%	12.48%	-3.92%
5 years	6.47%	11.66%	2.02%
7 years	6.53%	10.06%	2.50%
10 years	6.39%	9.92%	2.42%
15 years	6.49%	7.80%	5.41%
Result statistics are based on annualized rolling returns over full calendar year periods