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 2009 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Large Cap 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Small Cap Value 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Large Cap Growth 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$44,480 14.53% 13.55%32.18%-4.53%-18.17% 1.041.691.00
Portfolio 2$10,000$39,656 13.34% 18.03%36.41%-12.34%-25.17% 0.761.210.95
Portfolio 3$10,000$52,494 16.27% 13.91%37.08%-3.46%-16.34% 1.121.930.97
   
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 Large CapUS Small Cap ValueUS Large Cap Growth
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20092.72%26.49%30.34%36.29%$12,649$13,034$13,62926.49%30.34%36.29%
20101.50%14.91%24.82%16.96%$14,535$16,268$15,94014.91%24.82%16.96%
20112.96%1.97%-4.16%1.71%$14,821$15,591$16,2131.97%-4.16%1.71%
20121.74%15.82%18.56%16.89%$17,166$18,485$18,95015.82%18.56%16.89%
20131.50%32.18%36.41%32.16%$22,689$25,215$25,04632.18%36.41%32.16%
20140.76%13.51%10.39%13.47%$25,754$27,835$28,41813.51%10.39%13.47%
20150.73%1.25%-4.77%3.17%$26,077$26,506$29,3181.25%-4.77%3.17%
20162.07%11.82%24.65%5.99%$29,158$33,040$31,07611.82%24.65%5.99%
20172.11%21.67%11.67%27.65%$35,476$36,896$39,66721.67%11.67%27.65%
20181.91%-4.53%-12.34%-3.46%$33,870$32,343$38,293-4.53%-12.34%-3.46%
20192.29%31.33%22.61%37.08%$44,480$39,656$52,49431.33%22.61%37.08%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)1.21%1.18%1.34%
Arithmetic Mean (annualized)15.57%15.16%17.37%
Geometric Mean (monthly)1.14%1.05%1.26%
Geometric Mean (annualized)14.53%13.34%16.27%
Volatility (monthly)3.91%5.21%4.02%
Volatility (annualized)13.55%18.03%13.91%
Downside Deviation (monthly)2.38%3.23%2.31%
Max. Drawdown-18.17%-25.17%-16.34%
US Market Correlation1.000.950.97
Beta(*)0.971.220.97
Alpha (annualized)0.34%-3.75%1.92%
R299.33%89.46%94.05%
Sharpe Ratio1.040.761.12
Sortino Ratio1.691.211.93
Treynor Ratio (%)14.5011.1916.14
Calmar Ratio1.120.331.17
Active Return-0.09%-1.27%1.65%
Tracking Error1.20%6.63%3.43%
Information Ratio-0.07-0.190.48
Skewness-0.45-0.13-0.28
Excess Kurtosis0.651.390.32
Historical Value-at-Risk (5%)-6.53%-8.08%-6.36%
Analytical Value-at-Risk (5%)-5.22%-7.38%-5.26%
Conditional Value-at-Risk (5%)-8.33%-11.02%-7.88%
Upside Capture Ratio (%)97.72110.28102.38
Downside Capture Ratio (%)96.66124.8893.60
Safe Withdrawal Rate17.87%18.81%19.70%
Perpetual Withdrawal Rate11.08%10.15%12.41%
Positive Periods94 out of 132 (71.21%)88 out of 132 (66.67%)88 out of 132 (66.67%)
Gain/Loss Ratio0.870.911.17
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-18.17%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-25.17%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
3Sep 2018Dec 20184 months-18.94%
4May 2010Jun 20102 monthsDec 20106 months8 months-15.39%
5Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
6Oct 2009Oct 20091 monthDec 20092 months3 months-6.32%
7Sep 2014Sep 20141 monthNov 20142 months3 months-5.65%
8Feb 2018Feb 20181 monthMay 20183 months4 months-4.78%
9Jul 2014Jul 20141 monthAug 20141 month2 months-4.71%
10Aug 2013Aug 20131 monthSep 20131 month2 months-4.20%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-16.34%
2May 2011Sep 20115 monthsFeb 20125 months10 months-15.20%
3May 2010Jun 20102 monthsOct 20104 months6 months-13.49%
4Jan 2009Feb 20092 monthsApr 20092 months4 months-11.58%
5Aug 2015Feb 20167 monthsJul 20165 months1 year-9.21%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.68%
7May 2019May 20191 monthJun 20191 month2 months-6.34%
8Feb 2018Mar 20182 monthsJun 20183 months5 months-5.35%
9Jan 2010Jan 20101 monthMar 20102 months3 months-4.58%
10Oct 2012Oct 20121 monthJan 20133 months4 months-3.09%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap14.53%13.55%32.18%-4.53%-18.17%1.041.691.00
US Small Cap Value13.34%18.03%36.41%-12.34%-25.17%0.761.210.95
US Large Cap Growth16.27%13.91%37.08%-3.46%-16.34%1.121.930.97

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapUS Small Cap ValueUS Large Cap GrowthPortfolio 1Portfolio 2Portfolio 3
US Large Cap-0.920.971.000.920.97
US Small Cap Value0.92-0.880.921.000.88
US Large Cap Growth0.970.88-0.970.881.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap$34,480
US Small Cap Value$29,656
US Large Cap Growth$42,494

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Large Cap100.00%
US Small Cap Value100.00%
US Large Cap Growth100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year15.13%32.18%-4.53%14.38%36.41%-12.34%17.08%37.08%-3.46%
3 years13.35%20.22%8.72%12.28%21.31%6.27%14.35%20.57%7.46%
5 years13.64%17.81%8.34%12.92%20.32%5.10%14.38%20.16%8.86%
7 years13.61%14.67%12.53%12.81%14.94%10.99%14.35%16.61%12.50%
10 years13.19%13.40%12.97%12.11%12.45%11.77%14.40%14.44%14.37%
Result statistics are based on annualized rolling returns over full calendar year periods