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
%
%
%
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 2003 - Aug 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Small Cap 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$48,627 9.95% 13.96%33.35%-37.04%-50.89% 0.660.971.00
Portfolio 2$10,000$57,354 11.05% 17.86%45.63%-36.07%-53.95% 0.610.910.95
   
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 MarketUS Small Cap
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20031.88%31.35%45.63%$13,135$14,56331.35%45.63%
20043.26%12.52%19.90%$14,779$17,46012.52%19.90%
20053.42%5.98%7.36%$15,663$18,7465.98%7.36%
20062.54%15.51%15.66%$18,093$21,68115.51%15.66%
20074.08%5.49%1.16%$19,086$21,9315.49%1.16%
20080.09%-37.04%-36.07%$12,017$14,021-37.04%-36.07%
20092.72%28.70%36.12%$15,466$19,08528.70%36.12%
20101.50%17.09%27.72%$18,109$24,37517.09%27.72%
20112.96%0.96%-2.80%$18,283$23,6910.96%-2.80%
20121.74%16.25%18.04%$21,255$27,96616.25%18.04%
20131.50%33.35%37.62%$28,344$38,48733.35%37.62%
20140.76%12.43%7.37%$31,867$41,32312.43%7.37%
20150.73%0.29%-3.78%$31,960$39,7600.29%-3.78%
20162.07%12.53%18.17%$35,965$46,98512.53%18.17%
20172.11%21.05%16.10%$43,536$54,55121.05%16.10%
20181.91%-5.26%-9.43%$41,248$49,407-5.26%-9.43%
20192.12%17.89%16.08%$48,627$57,35417.89%16.08%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.88%1.01%
Arithmetic Mean (annualized)11.03%12.83%
Geometric Mean (monthly)0.79%0.88%
Geometric Mean (annualized)9.95%11.05%
Volatility (monthly)4.03%5.16%
Volatility (annualized)13.96%17.86%
Downside Deviation (monthly)2.71%3.41%
Max. Drawdown-50.89%-53.95%
US Market Correlation1.000.95
Beta(*)1.001.22
Alpha (annualized)0.00%-0.69%
R2100.00%90.95%
Sharpe Ratio0.660.61
Sortino Ratio0.970.91
Treynor Ratio (%)9.278.93
Calmar Ratio0.850.47
Active Return0.00%1.09%
Tracking Error0.00%6.19%
Information RatioN/A0.18
Skewness-0.78-0.52
Excess Kurtosis2.252.00
Historical Value-at-Risk (5%)-7.35%-8.28%
Analytical Value-at-Risk (5%)-5.75%-7.47%
Conditional Value-at-Risk (5%)-9.41%-11.40%
Upside Capture Ratio (%)100.00122.25
Downside Capture Ratio (%)100.00123.11
Safe Withdrawal Rate10.65%13.07%
Perpetual Withdrawal Rate7.41%8.36%
Positive Periods136 out of 200 (68.00%)130 out of 200 (65.00%)
Gain/Loss Ratio0.820.90
* 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
Subprime CrisisNov 2007Mar 2009-50.89%-53.25%

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%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
5May 2019May 20191 monthJun 20191 month2 months-6.45%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
9Jan 2003Feb 20032 monthsApr 20032 months4 months-4.19%
10Jul 2004Jul 20041 monthNov 20044 months5 months-3.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.95%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.56%
3Sep 2018Dec 20184 months-19.62%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-15.41%
5Jan 2005Apr 20054 monthsJun 20052 months6 months-8.23%
6May 2006Jul 20063 monthsNov 20064 months7 months-7.91%
7Jul 2004Aug 20042 monthsNov 20043 months5 months-6.21%
8Jan 2003Feb 20032 monthsApr 20032 months4 months-5.68%
9Jul 2014Sep 20143 monthsDec 20143 months6 months-5.51%
10Apr 2004Apr 20041 monthJun 20042 months3 months-4.77%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.95%13.96%33.35%-37.04%-50.89%0.660.971.00
US Small Cap11.05%17.86%45.63%-36.07%-53.95%0.610.910.95

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small CapPortfolio 1Portfolio 2
US Stock Market-0.951.000.95
US Small Cap0.95-0.951.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$38,627
US Small Cap$47,354

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
US Small Cap100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.70%33.35%-37.04%12.42%45.63%-36.07%
3 years9.02%20.34%-8.45%10.12%23.30%-9.23%
5 years8.52%18.72%-1.76%9.47%22.38%-0.76%
7 years8.64%15.00%3.09%9.87%16.06%4.46%
10 years8.58%13.13%7.11%9.84%13.42%7.81%
15 years9.12%10.30%7.93%10.23%11.97%8.48%
Result statistics are based on annualized rolling returns over full calendar year periods