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 1972 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Intermediate Term Treasury 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 50.00%
Intermediate Term Treasury 50.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,176,380 10.44% 15.34%37.82%-37.04%-50.89% 0.420.611.00
Portfolio 2$10,000$250,778 6.94% 5.80%31.13%-4.33%-10.70% 0.390.600.06
Portfolio 3$10,000$635,647 9.04% 8.38%27.97%-14.60%-24.12% 0.520.790.94
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketIntermediate Term Treasury
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19723.41%17.62%2.72%10.01%$11,762$10,272$11,00117.62%2.72%
19738.71%-18.18%4.47%-7.12%$9,623$10,732$10,218-18.18%4.47%
197412.34%-27.81%5.70%-11.92%$6,947$11,343$9,000-27.81%5.70%
19756.94%37.82%7.36%22.17%$9,574$12,178$10,99637.82%7.36%
19764.86%26.47%13.75%20.25%$12,108$13,852$13,22226.47%13.75%
19776.70%-3.36%1.04%-1.12%$11,701$13,996$13,074-3.36%1.04%
19789.02%8.45%1.15%5.06%$12,691$14,156$13,7358.45%1.15%
197913.29%24.25%5.35%14.58%$15,768$14,914$15,73824.25%5.35%
198012.52%33.15%2.88%18.02%$20,995$15,344$18,57533.15%2.88%
19818.92%-4.15%9.41%2.58%$20,124$16,788$19,054-4.15%9.41%
19823.83%20.50%31.13%26.04%$24,249$22,015$24,01620.50%31.13%
19833.79%22.66%5.22%13.75%$29,743$23,165$27,31722.66%5.22%
19843.95%2.19%15.01%8.67%$30,394$26,643$29,6862.19%15.01%
19853.80%31.27%22.24%26.88%$39,898$32,570$37,66631.27%22.24%
19861.10%14.57%15.10%15.12%$45,713$37,489$43,36114.57%15.10%
19874.43%2.61%1.55%3.56%$46,908$38,072$44,9052.61%1.55%
19884.42%17.32%5.26%11.18%$55,031$40,073$49,92617.32%5.26%
19894.65%28.12%14.52%21.32%$70,505$45,892$60,57328.12%14.52%
19906.11%-6.08%9.46%1.69%$66,220$50,234$61,596-6.08%9.46%
19913.06%32.39%15.97%24.19%$87,670$58,255$76,49732.39%15.97%
19922.90%9.11%7.78%8.53%$95,654$62,786$83,0229.11%7.78%
19932.75%10.62%11.43%11.09%$105,817$69,964$92,22910.62%11.43%
19942.67%-0.17%-4.33%-2.21%$105,638$66,937$90,190-0.17%-4.33%
19952.54%35.79%20.44%27.97%$143,441$80,620$115,41735.79%20.44%
19963.32%20.96%1.92%11.21%$173,510$82,166$128,35620.96%1.92%
19971.70%30.99%8.96%19.73%$227,288$89,529$153,68430.99%8.96%
19981.61%23.26%10.61%17.73%$280,165$99,024$180,93523.26%10.61%
19992.68%23.81%-3.52%9.57%$346,880$95,536$198,25723.81%-3.52%
20003.39%-10.57%14.03%1.37%$310,199$108,942$200,975-10.57%14.03%
20011.55%-10.97%7.55%-1.43%$276,183$117,164$198,108-10.97%7.55%
20022.38%-20.96%14.15%-4.18%$218,293$133,742$189,820-20.96%14.15%
20031.88%31.35%2.37%16.28%$286,736$136,908$220,71731.35%2.37%
20043.26%12.52%3.40%7.98%$322,624$141,567$238,32912.52%3.40%
20053.42%5.98%2.31%4.26%$341,918$144,843$248,4805.98%2.31%
20062.54%15.51%3.14%9.22%$394,954$149,386$271,39415.51%3.14%
20074.08%5.49%9.98%7.92%$416,635$164,294$292,8975.49%9.98%
20080.09%-37.04%13.32%-14.60%$262,323$186,178$250,138-37.04%13.32%
20092.72%28.70%-1.69%13.15%$337,604$183,023$283,04028.70%-1.69%
20101.50%17.09%7.35%12.82%$395,313$196,474$319,33017.09%7.35%
20112.96%0.96%9.79%5.73%$399,116$215,708$337,6180.96%9.79%
20121.74%16.25%2.67%9.46%$463,985$221,476$369,55916.25%2.67%
20131.50%33.35%-3.09%13.88%$618,722$214,638$420,86533.35%-3.09%
20140.76%12.43%4.32%8.39%$695,625$223,905$456,19312.43%4.32%
20150.73%0.29%1.50%1.16%$697,654$227,269$461,5040.29%1.50%
20162.07%12.53%1.19%6.96%$785,093$229,963$493,63112.53%1.19%
20172.11%21.05%1.58%10.95%$950,367$233,599$547,70321.05%1.58%
20181.91%-5.26%1.00%-1.83%$900,414$235,942$537,697-5.26%1.00%
20192.29%30.65%6.29%18.22%$1,176,380$250,778$635,64730.65%6.29%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.93%0.57%0.75%
Arithmetic Mean (annualized)11.75%7.12%9.41%
Geometric Mean (monthly)0.83%0.56%0.72%
Geometric Mean (annualized)10.44%6.94%9.04%
Volatility (monthly)4.43%1.68%2.42%
Volatility (annualized)15.34%5.80%8.38%
Downside Deviation (monthly)2.88%0.86%1.38%
Max. Drawdown-50.89%-10.70%-24.12%
US Market Correlation1.000.060.94
Beta(*)1.000.020.51
Alpha (annualized)0.00%6.63%3.31%
R2100.00%0.41%88.04%
Sharpe Ratio0.420.390.52
Sortino Ratio0.610.600.79
Treynor Ratio (%)6.5091.748.52
Calmar Ratio1.010.831.42
Active Return0.00%-3.50%-1.41%
Tracking Error0.00%16.05%8.03%
Information RatioN/A-0.22-0.18
Skewness-0.550.41-0.17
Excess Kurtosis2.204.051.42
Historical Value-at-Risk (5%)-7.02%-2.12%-3.36%
Analytical Value-at-Risk (5%)-6.36%-2.18%-3.22%
Conditional Value-at-Risk (5%)-9.96%-2.98%-4.79%
Upside Capture Ratio (%)100.0015.7856.24
Downside Capture Ratio (%)100.00-15.0143.93
Safe Withdrawal Rate4.33%3.43%4.14%
Perpetual Withdrawal Rate5.93%2.85%4.71%
Positive Periods361 out of 576 (62.67%)375 out of 576 (65.10%)379 out of 576 (65.80%)
Gain/Loss Ratio1.021.391.18
* 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 2Portfolio 3
Oil CrisisOct 1973Mar 1974-12.61%-2.16%-6.59%
Black Monday PeriodSep 1987Nov 1987-29.34%-2.01%-13.91%
Asian CrisisJul 1997Jan 1998-3.72%-0.99%-2.36%
Russian Debt DefaultJul 1998Oct 1998-17.57%-0.77%-7.19%
Dotcom CrashMar 2000Oct 2002-44.11%-4.03%-13.35%
Subprime CrisisNov 2007Mar 2009-50.89%-3.43%-24.12%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
3Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
8Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
9Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-11.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Feb 19808 monthsApr 19802 months10 months-10.70%
2Jul 1980Aug 19811 year 2 monthsNov 19813 months1 year 5 months-8.66%
3Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-6.47%
4Mar 1987Sep 19877 monthsDec 19873 months10 months-5.46%
5Feb 1996May 19964 monthsOct 19965 months9 months-4.86%
6Oct 1998Jan 20001 year 4 monthsJun 20005 months1 year 9 months-4.67%
7Feb 1984May 19844 monthsJul 19842 months6 months-4.66%
8Aug 2016Apr 20181 year 9 monthsMar 201911 months2 years 8 months-4.48%
9May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
10Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-24.12%
2Jan 1973Sep 19741 year 9 monthsJan 19761 year 4 months3 years 1 month-23.76%
3Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-13.91%
4Sep 2000Sep 20022 years 1 monthOct 20031 year 1 month3 years 2 months-13.35%
5Feb 1980Mar 19802 monthsMay 19802 months4 months-8.60%
6Jun 1981Sep 19814 monthsNov 19812 months6 months-7.83%
7Jul 1998Aug 19982 monthsOct 19982 months4 months-7.19%
8Aug 1990Sep 19902 monthsJan 19914 months6 months-6.98%
9Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.72%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-6.61%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.44%15.34%37.82%-37.04%-50.89%0.420.611.00
Intermediate Term Treasury6.94%5.80%31.13%-4.33%-10.70%0.390.600.06

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term TreasuryPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.061.000.060.94
Intermediate Term Treasury0.06-0.061.000.41

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$1,166,380$430,835
Intermediate Term Treasury$240,778$194,812

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market100.00%85.95%
Intermediate Term Treasury100.00%14.05%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year11.95%37.82%-37.04%7.16%31.13%-4.33%9.46%27.97%-14.60%
3 years10.86%29.10%-14.31%7.16%17.41%0.86%9.23%19.44%-3.45%
5 years11.10%26.84%-1.76%7.29%17.43%1.07%9.48%17.88%2.53%
7 years11.15%20.21%-0.73%7.41%14.07%1.29%9.59%15.58%3.39%
10 years11.04%17.67%-0.66%7.71%13.25%2.40%9.71%14.91%3.29%
15 years11.03%17.62%4.75%7.88%11.69%3.70%9.80%13.56%5.70%
Result statistics are based on annualized rolling returns over full calendar year periods