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 1986 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 30.00%
Global ex-US Stock Market 30.00%
10-year Treasury 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 50.00%
Global ex-US Stock Market 50.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$168,905 8.67% 9.12%31.92%-16.13%-29.34% 0.610.910.85
Portfolio 2$10,000$188,915 9.03% 15.01%38.97%-40.57%-54.79% 0.440.630.91
   
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 MarketGlobal ex-US Stock Market10-year Treasury
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19861.10%31.92%38.97%$13,192$13,89714.57%63.38%21.35%
19874.43%8.87%16.55%$14,363$16,1972.61%30.48%-2.64%
19884.42%15.65%21.49%$16,611$19,67817.32%25.66%6.90%
19894.65%19.43%20.49%$19,839$23,71028.12%12.85%17.84%
19906.11%-6.18%-15.43%$18,613$20,051-6.08%-24.79%7.70%
19913.06%20.13%20.94%$22,359$24,24932.39%9.48%18.91%
19922.90%1.19%-2.84%$22,624$23,5609.11%-14.79%7.23%
19932.75%17.35%20.27%$26,551$28,33610.62%29.92%12.97%
19942.67%0.00%4.80%$26,551$29,695-0.17%9.76%-7.19%
19952.54%22.15%19.88%$32,432$35,60035.79%3.98%25.55%
19963.32%7.69%12.82%$34,926$40,16420.96%4.68%-0.00%
19971.70%13.85%15.11%$39,764$46,23330.99%-0.77%11.97%
19981.61%17.52%19.43%$46,729$55,21723.26%15.60%14.64%
19992.68%12.99%26.87%$52,798$70,05223.81%29.92%-7.83%
20003.39%-0.95%-13.09%$52,299$60,879-10.57%-15.61%17.28%
20011.55%-7.17%-15.56%$48,547$51,407-10.97%-20.15%5.40%
20022.38%-4.63%-18.02%$46,297$42,142-20.96%-15.08%15.45%
20031.88%21.57%35.85%$56,283$57,24931.35%40.34%0.15%
20043.26%11.80%16.68%$62,927$66,79612.52%20.84%4.50%
20053.42%7.67%10.78%$67,754$73,9945.98%15.57%3.01%
20062.54%13.52%21.07%$76,915$89,58715.51%26.64%2.19%
20074.08%10.47%10.51%$84,971$98,9995.49%15.52%10.42%
20080.09%-16.13%-40.57%$71,267$58,836-37.04%-44.10%20.53%
20092.72%15.56%32.71%$82,355$78,08328.70%36.73%-10.17%
20101.50%11.63%14.11%$91,935$89,09817.09%11.12%7.92%
20112.96%2.42%-6.80%$94,157$83,0380.96%-14.56%16.24%
20121.74%11.41%17.20%$104,902$97,31916.25%18.14%2.73%
20131.50%11.09%24.20%$116,536$120,86733.35%15.04%-8.57%
20140.76%6.71%4.10%$124,357$125,81812.43%-4.24%10.63%
20150.73%-0.78%-2.04%$123,392$123,2490.29%-4.38%1.12%
20162.07%5.56%8.59%$130,250$133,83912.53%4.65%1.00%
20172.11%15.49%24.22%$150,428$166,26021.05%27.40%2.39%
20181.91%-5.51%-9.85%$142,133$149,884-5.26%-14.44%0.99%
20192.29%18.84%26.04%$168,905$188,91530.65%21.43%8.03%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.73%0.82%
Arithmetic Mean (annualized)9.12%10.27%
Geometric Mean (monthly)0.70%0.72%
Geometric Mean (annualized)8.67%9.03%
Volatility (monthly)2.63%4.33%
Volatility (annualized)9.12%15.01%
Downside Deviation (monthly)1.65%2.93%
Max. Drawdown-29.34%-54.79%
US Market Correlation0.850.91
Beta(*)0.520.91
Alpha (annualized)2.96%-0.32%
R273.10%82.56%
Sharpe Ratio0.610.44
Sortino Ratio0.910.63
Treynor Ratio (%)10.687.27
Calmar Ratio1.170.84
Active Return-1.80%-1.44%
Tracking Error8.61%6.41%
Information Ratio-0.21-0.22
Skewness-0.56-0.73
Excess Kurtosis1.732.05
Historical Value-at-Risk (5%)-3.88%-7.23%
Analytical Value-at-Risk (5%)-3.60%-6.31%
Conditional Value-at-Risk (5%)-5.63%-10.29%
Upside Capture Ratio (%)56.4386.72
Downside Capture Ratio (%)46.1389.59
Safe Withdrawal Rate8.33%8.98%
Perpetual Withdrawal Rate5.64%5.95%
Positive Periods269 out of 408 (65.93%)258 out of 408 (63.24%)
Gain/Loss Ratio1.060.95
* 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 1Portfolio 2
Black Monday PeriodSep 1987Nov 1987-13.76%-20.85%
Asian CrisisJul 1997Jan 1998-4.47%-6.68%
Russian Debt DefaultJul 1998Oct 1998-7.88%-15.18%
Dotcom CrashMar 2000Oct 2002-17.59%-44.96%
Subprime CrisisNov 2007Mar 2009-29.34%-54.79%

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-29.34%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-17.59%
3Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-13.76%
4Jan 1990Sep 19909 monthsFeb 19915 months1 year 2 months-13.16%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-7.88%
6Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-7.74%
7May 2011Sep 20115 monthsJan 20124 months9 months-7.56%
8May 2015Feb 201610 monthsJul 20165 months1 year 3 months-6.69%
9Jan 1992Mar 19923 monthsSep 19926 months9 months-5.78%
10Feb 1994Mar 19942 monthsApr 19951 year 1 month1 year 3 months-5.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20134 years 2 months5 years 6 months-54.79%
2Apr 2000Sep 20022 years 6 monthsSep 20053 years5 years 6 months-44.96%
3Jan 1990Sep 19909 monthsDec 19911 year 3 months2 years-22.20%
4Sep 1987Nov 19873 monthsDec 19881 year 1 month1 year 4 months-20.85%
5May 1998Aug 19984 monthsDec 19984 months8 months-15.62%
6Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.51%
7Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%
8Jan 1992Mar 19923 monthsMar 19931 year1 year 3 months-6.96%
9Aug 1997Oct 19973 monthsFeb 19984 months7 months-6.68%
10Sep 1986Oct 19862 monthsJan 19873 months5 months-6.49%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.46%14.99%35.79%-37.04%-50.89%0.530.751.00
Global ex-US Stock Market7.03%17.64%63.38%-44.10%-58.50%0.290.430.70
10-year Treasury6.64%7.42%25.55%-10.17%-10.87%0.480.77-0.09

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock Market10-year TreasuryPortfolio 1Portfolio 2
US Stock Market1.000.70-0.090.850.91
Global ex-US Stock Market0.701.00-0.090.880.93
10-year Treasury-0.09-0.091.000.23-0.10

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$69,558$113,406
Global ex-US Stock Market$42,831$65,508
10-year Treasury$46,516

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market41.90%45.25%
Global ex-US Stock Market50.64%54.75%
10-year Treasury7.45%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.15%31.92%-16.13%10.57%38.97%-40.57%
3 years8.29%18.43%-4.29%8.67%25.31%-15.58%
5 years7.97%14.74%3.09%7.92%18.73%-1.84%
7 years7.97%12.87%5.22%7.82%16.84%1.95%
10 years7.93%12.49%4.31%7.62%13.54%0.64%
15 years7.68%11.66%5.88%7.17%12.80%3.98%
Result statistics are based on annualized rolling returns over full calendar year periods