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 2000 - Dec 2009)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
Global ex-US Stock Market 100.00%
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Portfolio 3
Asset Class Allocation
Intl Developed ex-US Market 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$9,733 -0.27% 16.56%31.35%-37.04%-50.89% -0.10-0.131.00
Portfolio 2$10,000$12,538 2.29% 19.00%40.34%-44.10%-58.50% 0.070.100.89
Portfolio 3$10,000$11,308 1.24% 18.24%38.67%-41.27%-57.06% 0.010.010.89
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.85%28.70%-5.10%0.91%-0.27%-0.27%20.53%16.62%
Portfolio 23.17%36.73%-4.07%5.26%2.29%2.29%26.09%21.35%
Portfolio 31.74%28.27%-5.75%3.73%1.24%1.24%24.71%20.19%
Trailing annualized return and volatility are for full months ending in December 2009 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.
  • 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
YearInflationPortfolio 1Portfolio 2Portfolio 3US Stock MarketGlobal ex-US Stock MarketIntl Developed ex-US Market
ReturnBalanceReturnBalanceReturnBalance
20003.39%-10.57%$8,943-15.61%$8,439-14.29%$8,571-10.57%-15.61%-14.29%
20011.55%-10.97%$7,962-20.15%$6,738-21.94%$6,691-10.97%-20.15%-21.94%
20022.38%-20.96%$6,293-15.08%$5,722-15.62%$5,646-20.96%-15.08%-15.62%
20031.88%31.35%$8,26640.34%$8,03038.67%$7,82931.35%40.34%38.67%
20043.26%12.52%$9,30120.84%$9,70320.25%$9,41512.52%20.84%20.25%
20053.42%5.98%$9,85715.57%$11,21413.60%$10,6955.98%15.57%13.60%
20062.54%15.51%$11,38626.64%$14,20126.27%$13,50515.51%26.64%26.27%
20074.08%5.49%$12,01115.52%$16,40511.15%$15,0115.49%15.52%11.15%
20080.09%-37.04%$7,562-44.10%$9,170-41.27%$8,816-37.04%-44.10%-41.27%
20092.72%28.70%$9,73336.73%$12,53828.27%$11,30828.70%36.73%28.27%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.09%0.34%0.24%
Arithmetic Mean (annualized)1.13%4.18%2.96%
Geometric Mean (monthly)-0.02%0.19%0.10%
Geometric Mean (annualized)-0.27%2.29%1.24%
Volatility (monthly)4.78%5.49%5.27%
Volatility (annualized)16.56%19.00%18.24%
Downside Deviation (monthly)3.62%4.01%3.89%
Max. Drawdown-50.89%-58.50%-57.06%
US Market Correlation1.000.890.89
Beta(*)1.001.020.98
Alpha (annualized)-0.00%2.96%1.83%
R2100.00%79.69%79.01%
Sharpe Ratio-0.100.070.01
Sortino Ratio-0.130.100.01
Treynor Ratio (%)-1.621.330.19
Calmar Ratio-0.10-0.07-0.10
Active Return0.00%2.56%1.51%
Tracking Error0.00%8.57%8.36%
Information RatioN/A0.300.18
Skewness-0.68-0.70-0.69
Excess Kurtosis0.901.851.63
Historical Value-at-Risk (5%)-9.01%-9.59%-9.89%
Analytical Value-at-Risk (5%)-7.77%-8.68%-8.42%
Conditional Value-at-Risk (5%)-11.12%-13.09%-12.88%
Upside Capture Ratio (%)100.00110.06101.51
Downside Capture Ratio (%)100.0097.5994.99
Safe Withdrawal Rate7.71%8.18%7.91%
Perpetual Withdrawal Rate0.00%0.00%0.00%
Positive Periods69 out of 120 (57.50%)72 out of 120 (60.00%)69 out of 120 (57.50%)
Gain/Loss Ratio0.760.780.83
* 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
Dotcom CrashMar 2000Oct 2002-44.11%-46.38%-47.00%
Subprime CrisisNov 2007Mar 2009-50.89%-58.50%-57.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
4Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
5Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
6May 2006May 20061 monthSep 20064 months5 months-3.23%
7Feb 2007Feb 20071 monthApr 20072 months3 months-1.61%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-58.50%
2Jan 2000Mar 20033 years 3 monthsAug 20052 years 5 months5 years 8 months-47.30%
3May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
4Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
5Jul 2007Aug 20072 monthsSep 20071 month3 months-1.77%
6Feb 2006Feb 20061 monthMar 20061 month2 months-0.72%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-57.06%
2Jan 2000Mar 20033 years 3 monthsSep 20052 years 6 months5 years 9 months-48.19%
3May 2006Jun 20062 monthsSep 20063 months5 months-3.73%
4Jun 2007Aug 20073 monthsSep 20071 month4 months-2.93%
5Oct 2005Oct 20051 monthDec 20052 months3 months-2.83%
6Feb 2006Feb 20061 monthMar 20061 month2 months-0.66%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market-0.27%16.56%31.35%-37.04%-50.89%-0.10-0.131.00
Global ex-US Stock Market2.29%19.00%40.34%-44.10%-58.50%0.070.100.89
Intl Developed ex-US Market1.24%18.24%38.67%-41.27%-57.06%0.010.010.89

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketIntl Developed ex-US MarketPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.000.890.891.000.890.89
Global ex-US Stock Market0.891.001.000.891.001.00
Intl Developed ex-US Market0.891.001.000.891.001.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market-$267
Global ex-US Stock Market$2,538
Intl Developed ex-US Market$1,308

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market100.00%
Global ex-US Stock Market100.00%
Intl Developed ex-US Market100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year-0.15%42.16%-43.18%4.60%59.40%-51.50%3.41%57.71%-49.95%
3 years3.04%19.44%-16.27%8.67%32.56%-19.17%7.55%31.15%-19.64%
5 years4.43%16.31%-6.23%10.54%25.48%-2.68%9.42%23.71%-3.27%
7 years2.77%6.71%-3.02%7.96%12.43%1.71%6.86%11.19%1.08%