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 1986 - Aug 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$159,571 8.58% 9.17%31.92%-16.13%-29.34% 0.610.900.86
Portfolio 2$10,000$169,635 8.77% 15.07%38.97%-40.57%-54.79% 0.430.610.91
   
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
  • The annual results for 2019 are based on full calendar months from January to August
  • 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
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%
20192.12%12.27%13.18%$159,571$169,63517.89%8.47%10.91%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.72%0.80%
Arithmetic Mean (annualized)9.03%10.02%
Geometric Mean (monthly)0.69%0.70%
Geometric Mean (annualized)8.58%8.77%
Volatility (monthly)2.65%4.35%
Volatility (annualized)9.17%15.07%
Downside Deviation (monthly)1.65%2.94%
Max. Drawdown-29.34%-54.79%
US Market Correlation0.860.91
Beta(*)0.520.91
Alpha (annualized)2.98%-0.36%
R273.11%82.56%
Sharpe Ratio0.610.43
Sortino Ratio0.900.61
Treynor Ratio (%)10.647.10
Calmar Ratio0.850.61
Active Return-1.66%-1.46%
Tracking Error8.64%6.44%
Information Ratio-0.19-0.23
Skewness-0.55-0.72
Excess Kurtosis1.682.01
Historical Value-at-Risk (5%)-3.89%-7.23%
Analytical Value-at-Risk (5%)-3.63%-6.35%
Conditional Value-at-Risk (5%)-5.63%-10.29%
Upside Capture Ratio (%)56.4986.50
Downside Capture Ratio (%)46.1589.59
Safe Withdrawal Rate8.43%9.07%
Perpetual Withdrawal Rate5.64%5.82%
Positive Periods265 out of 404 (65.59%)254 out of 404 (62.87%)
Gain/Loss Ratio1.060.96
* 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 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 Market10.24%15.05%35.79%-37.04%-50.89%0.520.731.00
Global ex-US Stock Market6.74%17.71%63.38%-44.10%-58.50%0.280.410.70
10-year Treasury6.79%7.44%25.55%-10.17%-10.87%0.500.81-0.09

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock Market10-year TreasuryPortfolio 1Portfolio 2
US Stock Market-0.70-0.090.860.91
Global ex-US Stock Market0.70--0.090.880.93
10-year Treasury-0.09-0.09-0.23-0.10

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$64,118$103,844
Global ex-US Stock Market$37,302$55,791
10-year Treasury$48,151

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market41.88%45.26%
Global ex-US Stock Market50.61%54.74%
10-year Treasury7.50%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.86%31.92%-16.13%10.10%38.97%-40.57%
3 years8.27%18.43%-4.29%8.55%25.31%-15.58%
5 years8.03%14.74%3.09%7.90%18.73%-1.84%
7 years8.00%12.87%5.22%7.75%16.84%1.95%
10 years7.95%12.49%4.31%7.55%13.54%0.64%
15 years7.73%11.66%5.88%7.17%12.80%3.98%
Result statistics are based on annualized rolling returns over full calendar year periods