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 1978 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
10-year Treasury 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Short Term Treasury 50.00%
Long Term Treasury 50.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 50.00%
Gold 50.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$182,480 7.53% 8.51%39.57%-10.17%-15.76% 0.370.590.04
Portfolio 2$10,000$178,312 7.47% 6.75%34.61%-6.56%-12.58% 0.440.720.06
Portfolio 3$10,000$344,157 9.25% 12.57%75.40%-18.37%-33.29% 0.410.630.63
   
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
  • 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
YearInflationReturnBalance10-year TreasuryShort Term TreasuryLong Term TreasuryUS Stock MarketGold
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19789.02%-0.74%0.90%22.73%$9,926$10,090$12,273-0.74%3.35%-1.55%8.45%37.01%
197913.29%1.83%2.99%75.40%$10,107$10,391$21,5271.83%8.08%-2.10%24.25%126.55%
198012.52%-1.29%1.91%24.17%$9,977$10,590$26,730-1.29%8.81%-4.99%33.15%15.19%
19818.92%5.28%7.46%-18.37%$10,504$11,380$21,8195.28%14.26%0.65%-4.15%-32.60%
19823.83%39.57%34.61%17.72%$14,660$15,318$25,68539.57%22.12%47.10%20.50%14.94%
19833.79%2.30%3.35%3.18%$14,997$15,832$26,5012.30%8.00%-1.29%22.66%-16.31%
19843.95%14.87%15.12%-8.60%$17,227$18,226$24,22314.87%14.01%16.24%2.19%-19.38%
19853.80%29.85%25.37%18.64%$22,370$22,849$28,73729.85%13.83%36.90%31.27%6.00%
19861.10%21.35%20.61%16.77%$27,146$27,558$33,55521.35%10.35%30.87%14.57%18.96%
19874.43%-2.64%0.93%13.57%$26,428$27,814$38,109-2.64%4.78%-2.92%2.61%24.53%
19884.42%6.90%7.41%1.03%$28,252$29,876$38,5016.90%5.67%9.15%17.32%-15.26%
19894.65%17.84%14.71%12.64%$33,292$34,269$43,36817.84%11.48%17.93%28.12%-2.84%
19906.11%7.70%7.85%-4.59%$35,856$36,959$41,3767.70%9.92%5.78%-6.08%-3.11%
19913.06%18.91%14.46%11.92%$42,635$42,304$46,30618.91%11.49%17.43%32.39%-8.56%
19922.90%7.23%7.08%1.69%$45,718$45,298$47,0877.23%6.75%7.41%9.11%-5.73%
19932.75%12.97%11.55%14.15%$51,650$50,527$53,75112.97%6.31%16.78%10.62%17.68%
19942.67%-7.19%-3.76%-1.17%$47,935$48,629$53,122-7.19%-0.48%-7.04%-0.17%-2.17%
19952.54%25.55%21.10%18.38%$60,182$58,890$62,88725.55%12.11%30.09%35.79%0.98%
19963.32%-0.00%1.57%8.19%$60,180$59,813$68,036-0.00%4.39%-1.26%20.96%-4.59%
19971.70%11.97%10.21%4.79%$67,381$65,918$71,29711.97%6.51%13.90%30.99%-21.41%
19981.61%14.64%10.21%11.22%$77,245$72,645$79,29614.64%7.36%13.05%23.26%-0.83%
19992.68%-7.83%-3.40%12.33%$71,199$70,172$89,075-7.83%1.85%-8.66%23.81%0.85%
20003.39%17.28%14.28%-8.01%$83,500$80,191$81,94117.28%8.83%19.72%-10.57%-5.44%
20011.55%5.40%6.05%-5.11%$88,011$85,044$77,7545.40%7.80%4.31%-10.97%0.75%
20022.38%15.45%12.35%2.30%$101,607$95,545$79,54615.45%8.02%16.67%-20.96%25.57%
20031.88%0.15%2.53%25.62%$101,763$97,963$99,9260.15%2.38%2.68%31.35%19.89%
20043.26%4.50%4.07%8.58%$106,338$101,955$108,5024.50%1.03%7.12%12.52%4.65%
20053.42%3.01%4.19%11.87%$109,544$106,222$121,3833.01%1.77%6.61%5.98%17.76%
20062.54%2.19%2.75%19.03%$111,945$109,148$144,4812.19%3.77%1.74%15.51%22.55%
20074.08%10.42%8.56%17.97%$123,613$118,495$170,44710.42%7.89%9.24%5.49%30.45%
20080.09%20.53%14.60%-16.06%$148,996$135,790$143,07820.53%6.68%22.51%-37.04%4.92%
20092.72%-10.17%-5.31%26.36%$133,840$128,581$180,798-10.17%1.44%-12.06%28.70%24.03%
20101.50%7.92%5.78%23.18%$144,441$136,015$222,7117.92%2.63%8.93%17.09%29.27%
20112.96%16.24%15.77%5.26%$167,905$157,461$234,43516.24%2.26%29.28%0.96%9.57%
20121.74%2.73%2.08%11.43%$172,492$160,732$261,2222.73%0.69%3.46%16.25%6.60%
20131.50%-8.57%-6.56%2.51%$157,711$150,184$267,779-8.57%-0.10%-13.03%33.35%-28.33%
20140.76%10.63%12.99%5.12%$174,483$169,700$281,49210.63%0.71%25.27%12.43%-2.19%
20150.73%1.12%-0.54%-5.19%$176,442$168,781$266,8831.12%0.45%-1.54%0.29%-10.67%
20162.07%1.00%1.10%10.28%$178,214$170,644$294,3271.00%1.00%1.21%12.53%8.03%
20172.11%2.39%4.49%16.93%$182,480$178,312$344,1572.39%0.40%8.59%21.05%12.81%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.64%0.62%0.81%
Arithmetic Mean (annualized)7.91%7.71%10.11%
Geometric Mean (monthly)0.61%0.60%0.74%
Geometric Mean (annualized)7.53%7.47%9.25%
Volatility (monthly)2.46%1.95%3.63%
Volatility (annualized)8.51%6.75%12.57%
Downside Deviation (monthly)1.34%1.00%2.18%
Max. Drawdown-15.76%-12.58%-33.29%
US Market Correlation0.040.060.63
Beta(*)0.030.030.53
Alpha (annualized)7.33%7.11%3.25%
R20.20%0.38%39.99%
Sharpe Ratio0.370.440.41
Sortino Ratio0.590.720.63
Treynor Ratio (%)125.05107.699.88
Calmar Ratio0.230.210.82
Active Return-4.09%-4.15%-2.37%
Tracking Error17.02%16.18%12.10%
Information Ratio-0.24-0.26-0.20
Skewness0.360.48-0.06
Excess Kurtosis1.912.284.38
Historical Value-at-Risk (5%)-3.41%-2.36%-4.43%
Analytical Value-at-Risk (5%)-3.40%-2.58%-5.17%
Conditional Value-at-Risk (5%)-4.47%-3.42%-7.44%
Upside Capture Ratio (%)17.7217.2356.18
Downside Capture Ratio (%)-14.69-15.2646.01
Safe Withdrawal Rate4.78%4.84%6.56%
Perpetual Withdrawal Rate3.74%3.68%5.26%
Positive Periods290 out of 480 (60.42%)303 out of 480 (63.13%)288 out of 480 (60.00%)
Gain/Loss Ratio1.321.391.24
* 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 1987-3.24%-2.02%-11.77%
Asian CrisisJul 1997Jan 1998-1.84%-1.30%-4.56%
Russian Debt DefaultJul 1998Oct 1998-1.22%-0.76%-12.95%
Dotcom CrashMar 2000Oct 2002-6.60%-4.56%-16.85%
Subprime CrisisNov 2007Mar 2009-6.16%-4.75%-26.02%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Feb 19808 monthsMay 19803 months11 months-15.76%
2Jul 1980Sep 19811 year 3 monthsNov 19812 months1 year 5 months-14.57%
3Mar 1987Sep 19877 monthsJan 19884 months11 months-10.87%
4Aug 2012Dec 20131 year 5 monthsJan 20151 year 1 month2 years 6 months-10.21%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-10.17%
6Nov 1993Nov 19941 year 1 monthMay 19956 months1 year 7 months-10.14%
7Oct 1998Jan 20001 year 4 monthsAug 20007 months1 year 11 months-9.34%
8Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-8.35%
9Feb 1984May 19844 monthsAug 19843 months7 months-7.99%
10Feb 1996May 19964 monthsNov 19966 months10 months-6.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Feb 19808 monthsMay 19803 months11 months-12.58%
2Jul 1980Aug 19811 year 2 monthsNov 19813 months1 year 5 months-9.76%
3Aug 2012Dec 20131 year 5 monthsOct 201410 months2 years 3 months-8.51%
4Aug 2016Dec 20165 months-7.91%
5Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-6.71%
6Sep 2010Jan 20115 monthsAug 20117 months1 year-6.52%
7Mar 1987Sep 19877 monthsJan 19884 months11 months-6.09%
8Feb 1994Jun 19945 monthsApr 199510 months1 year 3 months-5.98%
9Feb 1984May 19844 monthsJul 19842 months6 months-5.65%
10Jun 2003Jul 20032 monthsMar 20048 months10 months-5.55%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1980Jun 19821 year 7 monthsNov 19853 years 5 months5 years-33.29%
2Mar 2008Oct 20088 monthsNov 20091 year 1 month1 year 9 months-26.02%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-18.61%
4Jan 2000Sep 20022 years 9 monthsAug 200311 months3 years 8 months-16.91%
5May 1998Aug 19984 monthsDec 19984 months8 months-14.57%
6Sep 1987Nov 19873 monthsNov 19892 years2 years 3 months-11.77%
7Nov 1978Nov 19781 monthJan 19792 months3 months-10.50%
8Sep 2011Sep 20111 monthJan 20124 months5 months-9.63%
9Dec 1989Oct 199011 monthsMay 19917 months1 year 6 months-9.54%
10Apr 2013Jun 20133 monthsFeb 20148 months11 months-9.10%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
10-year Treasury7.53%8.51%39.57%-10.17%-15.76%0.370.590.04
Short Term Treasury6.10%3.19%22.12%-0.48%-4.26%0.510.840.07
Long Term Treasury8.57%11.00%47.10%-13.03%-23.12%0.400.640.06
US Stock Market11.62%15.13%35.79%-37.04%-50.89%0.510.731.00
Gold5.15%19.11%126.55%-32.60%-61.78%0.120.190.04

Monthly Correlations

Correlations for the portfolio assets
Name10-year TreasuryShort Term TreasuryLong Term TreasuryUS Stock MarketGoldPortfolio 1Portfolio 2Portfolio 3
10-year Treasury-0.830.950.040.071.000.970.09
Short Term Treasury0.83-0.720.070.090.830.820.11
Long Term Treasury0.950.72-0.060.050.950.990.09
US Stock Market0.040.070.06-0.040.040.060.63
Gold0.070.090.050.04-0.070.060.80

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
10-year Treasury$172,480
Short Term Treasury$55,430
Long Term Treasury$112,882
US Stock Market$230,568
Gold$103,589

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
10-year Treasury100.00%
Short Term Treasury19.41%
Long Term Treasury80.59%
US Stock Market38.59%
Gold61.41%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.03%39.57%-10.17%7.79%34.61%-6.56%10.20%75.40%-18.37%
3 years8.01%21.87%-0.08%7.83%20.29%1.64%8.66%38.78%-3.70%
5 years8.30%20.91%1.13%8.06%19.35%1.62%8.23%20.76%1.46%
7 years8.41%15.18%2.44%8.13%14.95%3.16%8.15%13.47%3.41%
10 years8.34%15.04%3.97%8.03%14.03%4.17%8.11%14.31%4.47%
15 years8.24%12.73%3.98%7.90%12.12%4.25%7.92%10.88%5.03%
Result statistics are based on annualized rolling returns over full calendar year periods