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 2003 - Dec 2019)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$53,890 10.42% 13.85%33.35%-37.04%-50.89% 0.691.021.00
Portfolio 2$10,000$53,682 10.39% 17.62%37.19%-32.05%-56.13% 0.580.850.94
   
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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketUS Small Cap Value
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20031.88%31.35%37.19%$13,135$13,71931.35%37.19%
20043.26%12.52%23.55%$14,779$16,95012.52%23.55%
20053.42%5.98%6.07%$15,663$17,9795.98%6.07%
20062.54%15.51%19.24%$18,093$21,43915.51%19.24%
20074.08%5.49%-7.07%$19,086$19,9235.49%-7.07%
20080.09%-37.04%-32.05%$12,017$13,537-37.04%-32.05%
20092.72%28.70%30.34%$15,466$17,64328.70%30.34%
20101.50%17.09%24.82%$18,109$22,02217.09%24.82%
20112.96%0.96%-4.16%$18,283$21,1050.96%-4.16%
20121.74%16.25%18.56%$21,255$25,02316.25%18.56%
20131.50%33.35%36.41%$28,344$34,13433.35%36.41%
20140.76%12.43%10.39%$31,867$37,68012.43%10.39%
20150.73%0.29%-4.77%$31,960$35,8810.29%-4.77%
20162.07%12.53%24.65%$35,965$44,72512.53%24.65%
20172.11%21.05%11.67%$43,536$49,94521.05%11.67%
20181.91%-5.26%-12.34%$41,248$43,782-5.26%-12.34%
20192.29%30.65%22.61%$53,890$53,68230.65%22.61%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.91%0.96%
Arithmetic Mean (annualized)11.48%12.12%
Geometric Mean (monthly)0.83%0.83%
Geometric Mean (annualized)10.42%10.39%
Volatility (monthly)4.00%5.09%
Volatility (annualized)13.85%17.62%
Downside Deviation (monthly)2.68%3.41%
Max. Drawdown-50.89%-56.13%
US Market Correlation1.000.94
Beta(*)1.001.20
Alpha (annualized)0.00%-1.59%
R2100.00%88.69%
Sharpe Ratio0.690.58
Sortino Ratio1.020.85
Treynor Ratio (%)9.638.52
Calmar Ratio1.010.33
Active Return0.00%-0.03%
Tracking Error0.00%6.53%
Information RatioN/A-0.00
Skewness-0.81-0.54
Excess Kurtosis2.332.39
Historical Value-at-Risk (5%)-7.16%-8.07%
Analytical Value-at-Risk (5%)-5.67%-7.41%
Conditional Value-at-Risk (5%)-9.41%-11.74%
Upside Capture Ratio (%)100.00115.50
Downside Capture Ratio (%)100.00121.52
Safe Withdrawal Rate10.36%11.77%
Perpetual Withdrawal Rate7.54%7.52%
Positive Periods140 out of 204 (68.63%)135 out of 204 (66.18%)
Gain/Loss Ratio0.820.84
* 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 monthsFeb 20112 years3 years 9 months-56.13%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
3Sep 2018Dec 20184 months-18.94%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
5Jan 2003Mar 20033 monthsApr 20031 month4 months-7.98%
6Jan 2005Apr 20054 monthsJun 20052 months6 months-7.07%
7Sep 2014Sep 20141 monthNov 20142 months3 months-5.65%
8Apr 2004Apr 20041 monthJun 20042 months3 months-5.52%
9Feb 2018Feb 20181 monthMay 20183 months4 months-4.78%
10Jul 2014Jul 20141 monthAug 20141 month2 months-4.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.42%13.85%33.35%-37.04%-50.89%0.691.021.00
US Small Cap Value10.39%17.62%37.19%-32.05%-56.13%0.580.850.94

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValuePortfolio 1Portfolio 2
US Stock Market-0.941.000.94
US Small Cap Value0.94-0.941.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$43,890
US Small Cap Value$43,682

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
US Small Cap Value100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.87%33.35%-37.04%12.06%37.19%-32.05%
3 years9.38%20.34%-8.45%9.45%21.60%-9.03%
5 years8.72%18.72%-1.76%8.79%20.32%-0.31%
7 years9.14%15.00%3.09%9.45%14.94%3.18%
10 years9.17%13.30%7.11%9.51%12.45%7.15%
15 years9.08%10.30%7.93%9.12%11.32%7.99%
Result statistics are based on annualized rolling returns over full calendar year periods