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 - Apr 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 6.00%
US Mid Cap 6.00%
US Small Cap 6.00%
Global ex-US Stock Market 16.00%
Long Term Treasury 33.00%
Gold 33.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 34.00%
Long Term Treasury 33.00%
Gold 33.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 60.00%
Long Term Treasury 40.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$120,624 7.76% 8.21%29.28%-5.26%-20.84% 0.570.890.52
Portfolio 2$10,000$146,297 8.38% 7.81%24.04%-3.69%-18.90% 0.671.070.59
Portfolio 3$10,000$245,703 10.08% 9.80%33.66%-14.12%-27.61% 0.711.070.92
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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 April
  • 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 bands based (10.00% corridor) 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 Large CapUS Mid CapUS Small CapGlobal ex-US Stock MarketLong Term TreasuryGoldUS Stock Market
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19861.10%29.28%21.40%21.09%$12,928$12,140$12,10918.06%17.12%9.77%63.38%30.87%18.96%14.57%
19874.43%12.61%7.73%0.22%$14,558$13,078$12,1364.71%0.84%-6.42%30.48%-2.92%24.53%2.61%
19884.42%5.74%2.52%13.90%$15,394$13,408$13,82216.22%19.44%23.78%25.66%9.15%-15.26%17.32%
19894.65%12.46%15.08%24.03%$17,312$15,430$17,14431.36%26.00%19.41%12.85%17.93%-2.84%28.12%
19906.11%-5.16%-1.16%-1.55%$16,419$15,252$16,878-3.32%-10.73%-18.13%-24.79%5.78%-3.11%-6.08%
19913.06%11.87%14.62%26.26%$18,368$17,482$21,31030.22%40.44%45.26%9.48%17.43%-8.56%32.39%
19922.90%1.24%4.09%8.46%$18,595$18,196$23,1127.42%15.19%18.20%-14.79%7.41%-5.73%9.11%
19932.75%18.34%14.73%12.95%$22,006$20,877$26,1059.89%16.20%18.70%29.92%16.78%17.68%10.62%
19942.67%-1.94%-3.22%-2.85%$21,579$20,204$25,3611.18%-1.72%-0.51%9.76%-7.04%-2.17%-0.17%
19952.54%18.43%24.04%33.66%$25,556$25,062$33,89737.45%33.22%28.74%3.98%30.09%0.98%35.79%
19963.32%3.01%5.20%12.88%$26,325$26,365$38,26422.88%18.97%18.12%4.68%-1.26%-4.59%20.96%
19971.70%2.91%8.70%25.25%$27,091$28,659$47,92733.19%25.66%24.59%-0.77%13.90%-21.41%30.99%
19981.61%9.32%12.57%19.24%$29,614$32,260$57,14628.62%9.90%-2.61%15.60%13.05%-0.83%23.26%
19992.68%6.10%6.38%11.67%$31,421$34,317$63,81321.07%15.32%23.13%29.92%-8.66%0.85%23.81%
20003.39%1.15%1.12%-1.30%$31,783$34,700$62,981-9.06%18.10%-2.67%-15.61%19.72%-5.44%-10.57%
20011.55%-2.33%0.24%-5.30%$31,044$34,784$59,645-12.02%-0.50%3.10%-20.15%4.31%0.75%-10.97%
20022.38%7.39%5.65%-4.71%$33,339$36,749$56,836-22.15%-14.61%-20.02%-15.08%16.67%25.57%-20.96%
20031.88%18.16%17.26%20.39%$39,395$43,090$68,42528.50%34.14%45.63%40.34%2.68%19.89%31.35%
20043.26%10.04%7.82%10.76%$43,349$46,458$75,78510.74%20.35%19.90%20.84%7.12%4.65%12.52%
20053.42%12.12%10.68%6.18%$48,603$51,420$80,4664.77%13.93%7.36%15.57%6.61%17.76%5.98%
20062.54%15.15%14.26%10.71%$55,968$58,752$89,08515.64%13.60%15.66%26.64%1.74%22.55%15.51%
20074.08%17.08%15.00%6.95%$65,529$67,565$95,2805.39%6.02%1.16%15.52%9.24%30.45%5.49%
20080.09%-5.26%-3.69%-14.12%$62,082$65,068$81,823-37.02%-41.82%-36.07%-44.10%22.51%4.92%-37.04%
20092.72%11.27%13.34%11.74%$69,076$73,745$91,43026.49%40.22%36.12%36.73%-12.06%24.03%28.70%
20101.50%19.05%19.41%14.42%$82,236$88,062$104,61514.91%25.46%27.72%11.12%8.93%29.27%17.09%
20112.96%11.16%14.63%14.72%$91,417$100,941$120,0111.97%-2.11%-2.80%-14.56%29.28%9.57%0.96%
20121.74%8.55%8.19%11.44%$99,231$109,212$133,73715.82%15.80%18.04%18.14%3.46%6.60%16.25%
20131.50%-5.05%-3.03%15.32%$94,217$105,907$154,22232.18%35.00%37.62%15.04%-13.03%-28.33%33.35%
20140.76%9.01%11.84%17.13%$102,705$118,451$180,64413.51%13.60%7.37%-4.24%25.27%-2.19%12.43%
20150.73%-4.59%-3.55%-0.42%$97,987$114,248$179,8771.25%-1.45%-3.78%-4.38%-1.54%-10.67%0.29%
20162.07%5.94%7.06%8.15%$103,806$122,311$194,53511.82%11.07%18.17%4.65%1.21%8.03%12.53%
20172.11%14.53%14.38%16.54%$118,886$139,904$226,70321.67%19.12%16.10%27.40%8.59%12.81%21.05%
20181.91%-5.08%-3.24%-4.12%$112,845$135,372$217,353-4.53%-9.34%-9.43%-14.44%-1.90%-1.94%-5.26%
20191.18%6.89%8.07%13.04%$120,624$146,297$245,70318.21%21.09%20.32%13.26%2.64%-0.04%18.53%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.65%0.70%0.84%
Arithmetic Mean (annualized)8.12%8.71%10.61%
Geometric Mean (monthly)0.62%0.67%0.80%
Geometric Mean (annualized)7.76%8.38%10.08%
Volatility (monthly)2.37%2.26%2.83%
Volatility (annualized)8.21%7.81%9.80%
Downside Deviation (monthly)1.40%1.30%1.76%
Max. Drawdown-20.84%-18.90%-27.61%
US Market Correlation0.520.590.92
Beta(*)0.280.310.60
Alpha (annualized)4.69%4.96%3.53%
R227.02%35.37%83.80%
Sharpe Ratio0.570.670.71
Sortino Ratio0.891.071.07
Treynor Ratio (%)16.5016.9411.70
Calmar Ratio0.420.651.03
Active Return-2.61%-1.98%-0.28%
Tracking Error12.84%12.13%7.23%
Information Ratio-0.20-0.16-0.04
Skewness-0.39-0.41-0.68
Excess Kurtosis2.612.662.17
Historical Value-at-Risk (5%)-3.15%-2.96%-4.10%
Analytical Value-at-Risk (5%)-3.25%-3.01%-3.81%
Conditional Value-at-Risk (5%)-4.59%-4.22%-6.13%
Upside Capture Ratio (%)36.3840.2467.23
Downside Capture Ratio (%)17.5220.4354.67
Safe Withdrawal Rate6.77%6.82%8.85%
Perpetual Withdrawal Rate4.87%5.42%6.89%
Positive Periods249 out of 400 (62.25%)255 out of 400 (63.75%)271 out of 400 (67.75%)
Gain/Loss Ratio1.241.271.03
* 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
Black Monday PeriodSep 1987Nov 1987-6.73%-7.60%-18.41%
Asian CrisisJul 1997Jan 1998-3.63%-2.26%-3.27%
Russian Debt DefaultJul 1998Oct 1998-7.22%-7.30%-9.38%
Dotcom CrashMar 2000Oct 2002-7.36%-7.79%-20.49%
Subprime CrisisNov 2007Mar 2009-20.84%-18.90%-27.61%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsNov 20091 year 1 month1 year 9 months-20.84%
2Feb 2015Dec 201511 monthsJun 20166 months1 year 5 months-9.61%
3Jan 1990Sep 19909 monthsMay 19918 months1 year 5 months-9.51%
4Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-9.27%
5Oct 2012Jun 20139 monthsMay 201411 months1 year 8 months-9.27%
6Feb 2018Oct 20189 months-8.00%
7May 1998Aug 19984 monthsNov 19983 months7 months-7.55%
8Sep 2000Mar 20017 monthsApr 20021 year 1 month1 year 8 months-7.36%
9Sep 1987Oct 19872 monthsMar 19885 months7 months-6.73%
10Apr 2004Apr 20041 monthOct 20046 months7 months-5.83%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-18.90%
2Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-8.58%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-8.31%
4Feb 2015Sep 20158 monthsApr 20167 months1 year 3 months-8.07%
5Sep 2000Mar 20017 monthsMar 20021 year1 year 7 months-7.79%
6Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-7.60%
7Jul 1998Aug 19982 monthsNov 19983 months5 months-7.30%
8Jan 1990Oct 199010 monthsFeb 19914 months1 year 2 months-7.12%
9Jun 2002Jul 20022 monthsDec 20025 months7 months-5.91%
10Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.69%
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-27.61%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-20.49%
3Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-18.41%
4Jul 1990Sep 19903 monthsJan 19914 months7 months-10.09%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-9.38%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-9.31%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-8.43%
8Jan 1990Apr 19904 monthsMay 19901 month5 months-6.32%
9Sep 1986Sep 19861 monthJan 19874 months5 months-6.26%
10Apr 2000May 20002 monthsAug 20003 months5 months-6.14%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap10.56%14.87%37.45%-37.02%-50.97%0.540.780.99
US Mid Cap11.86%16.47%40.44%-41.82%-54.14%0.580.830.96
US Small Cap10.43%18.71%45.63%-36.07%-53.95%0.460.650.90
Global ex-US Stock Market6.95%17.73%63.38%-44.10%-58.50%0.290.420.70
Long Term Treasury7.91%10.01%30.87%-13.03%-16.68%0.500.84-0.07
Gold3.99%15.10%30.45%-28.33%-48.26%0.130.19-0.06
US Stock Market10.36%15.03%35.79%-37.04%-50.89%0.530.751.00

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapUS Mid CapUS Small CapGlobal ex-US Stock MarketLong Term TreasuryGoldUS Stock MarketPortfolio 1Portfolio 2Portfolio 3
US Large Cap-0.930.840.69-0.05-0.080.990.500.580.91
US Mid Cap0.93-0.940.68-0.07-0.020.960.540.590.87
US Small Cap0.840.94-0.64-0.12-0.010.900.500.540.80
Global ex-US Stock Market0.690.680.64--0.070.160.700.630.520.63
Long Term Treasury-0.05-0.07-0.12-0.07-0.09-0.070.430.450.33
Gold-0.08-0.02-0.010.160.09--0.060.670.62-0.02
US Stock Market0.990.960.900.70-0.07-0.06-0.520.590.92

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap$10,753
US Mid Cap$11,855
US Small Cap$10,895
Global ex-US Stock Market$12,695
Long Term Treasury$35,801$38,242$62,221
Gold$28,625$29,297
US Stock Market$68,757$173,482

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap5.52%
US Mid Cap6.59%
US Small Cap6.95%
Global ex-US Stock Market22.22%
Long Term Treasury17.74%19.66%13.72%
Gold40.98%40.46%
US Stock Market39.88%86.28%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.95%29.28%-5.26%8.49%24.04%-3.69%10.29%33.66%-14.12%
3 years7.44%15.47%-0.42%8.20%15.76%1.51%10.07%23.63%-3.79%
5 years7.36%14.47%2.57%8.26%12.95%3.92%10.00%20.27%3.47%
7 years7.52%11.25%3.05%8.41%11.72%4.28%9.90%16.08%4.62%
10 years7.69%11.52%5.39%8.55%11.51%7.12%9.68%15.25%3.65%
15 years7.68%9.04%5.68%8.43%9.36%7.13%9.18%13.05%6.84%
Result statistics are based on annualized rolling returns over full calendar year periods

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
103/31/1988US Large Cap: 5.14%
US Mid Cap: 5.21%
US Small Cap: 4.68%
Global ex-US Stock Market: 26.23%
Long Term Treasury: 28.46%
Gold: 30.27%
203/31/1991US Large Cap: 8.58%
US Mid Cap: 7.68%
US Small Cap: 7.24%
Global ex-US Stock Market: 13.99%
Long Term Treasury: 39.54%
Gold: 22.96%
310/31/1996US Large Cap: 8.51%
US Mid Cap: 9.07%
US Small Cap: 8.73%
Global ex-US Stock Market: 13.88%
Long Term Treasury: 36.85%
Gold: 22.95%
411/30/1998US Large Cap: 9.12%
US Mid Cap: 7.36%
US Small Cap: 6.52%
Global ex-US Stock Market: 16.01%
Long Term Treasury: 38.18%
Gold: 22.81%
501/31/2008US Large Cap: 3.57%
US Mid Cap: 6.64%
US Small Cap: 5.66%
Global ex-US Stock Market: 14.06%
Long Term Treasury: 25.62%
Gold: 44.46%
607/31/2011US Large Cap: 4.57%
US Mid Cap: 5.16%
US Small Cap: 5.55%
Global ex-US Stock Market: 11.43%
Long Term Treasury: 30.24%
Gold: 43.06%
712/31/2013US Large Cap: 8.56%
US Mid Cap: 8.35%
US Small Cap: 8.67%
Global ex-US Stock Market: 17.25%
Long Term Treasury: 34.21%
Gold: 22.95%

Portfolio 2 Rebalancing Events

Rebalancing dates for portfolio 2
#DateAllocation
103/31/1991US Stock Market: 40.92%
Long Term Treasury: 36.52%
Gold: 22.56%
212/31/1995US Stock Market: 40.53%
Long Term Treasury: 36.66%
Gold: 22.81%
307/31/1997US Stock Market: 45.33%
Long Term Treasury: 30.46%
Gold: 24.21%
412/31/1999US Stock Market: 45.03%
Long Term Treasury: 30.33%
Gold: 24.64%
510/31/2001US Stock Market: 24.56%
Long Term Treasury: 43.94%
Gold: 31.50%
603/31/2006US Stock Market: 30.83%
Long Term Treasury: 25.77%
Gold: 43.40%
711/30/2008US Stock Market: 21.57%
Long Term Treasury: 37.95%
Gold: 40.48%
804/30/2011US Stock Market: 37.00%
Long Term Treasury: 22.47%
Gold: 40.53%
912/31/2013US Stock Market: 43.46%
Long Term Treasury: 34.04%
Gold: 22.50%

Portfolio 3 Rebalancing Events

Rebalancing dates for portfolio 3
#DateAllocation
105/31/1997US Stock Market: 70.67%
Long Term Treasury: 29.33%
209/30/2002US Stock Market: 47.63%
Long Term Treasury: 52.37%
303/31/2006US Stock Market: 70.20%
Long Term Treasury: 29.80%
411/30/2008US Stock Market: 45.28%
Long Term Treasury: 54.72%
502/28/2011US Stock Market: 70.28%
Long Term Treasury: 29.72%
609/30/2011US Stock Market: 49.76%
Long Term Treasury: 50.24%
707/31/2013US Stock Market: 71.20%
Long Term Treasury: 28.80%