Backtest Portfolio Asset Class Allocation

This online 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
%
%
%
US Large Cap
%
%
%
US Large Cap Value
%
%
%
US Large Cap Growth
%
%
%
US Mid Cap
%
%
%
US Mid Cap Value
%
%
%
US Mid Cap Growth
%
%
%
US Small Cap
%
%
%
US Small Cap Value
%
%
%
US Small Cap Growth
%
%
%
US Micro Cap
%
%
%
Global ex-US Stock Market
%
%
%
Intl Developed ex-US Market
%
%
%
International ex-US Small Cap
%
%
%
International ex-US Value
%
%
%
European Stocks
%
%
%
Pacific Stocks
%
%
%
Emerging Markets
%
%
%
Cash
%
%
%
Short Term Treasury
%
%
%
Intermediate Term Treasury
%
%
%
10-year Treasury
%
%
%
Long Term Treasury
%
%
%
Total US Bond Market
%
%
%
TIPS
%
%
%
Global Bonds (Unhedged)
%
%
%
Global Bonds (USD Hedged)
%
%
%
Short-Term Investment Grade
%
%
%
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
%
%
%
Commodities
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%
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Total
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Portfolio Analysis Results (Jan 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 52.00%
Global ex-US Stock Market 28.00%
Total US Bond Market 16.00%
Global Bonds (Unhedged) 4.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 80.00%
Total US Bond Market 20.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 27.04%
US Large Cap Value 7.21%
US Mid Cap Value 5.86%
US Small Cap Value 4.96%
Intl Developed ex-US Market 22.14%
Emerging Markets 12.79%
Total US Bond Market 6.75%
TIPS 2.40%
Global Bonds (Unhedged) 10.85%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$530,827 26.32% 6.22%7.97%12.26%28.55%-32.22%-45.09%
(-36.17%)
0.450.630.98
Portfolio 2$10,000$577,237 26.94% 6.55%8.85%11.73%25.55%-29.86%-42.29%
(-32.58%)
0.490.691.00
Portfolio 3$10,000$541,810 26.47% 7.11%8.19%13.01%32.71%-33.48%-47.00%
(-39.03%)
0.490.700.96
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. 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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include monthly 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
  • Inflation adjusted monthly contribution starting with $1,006 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)US Large Cap ValueUS Mid Cap ValueUS Small Cap ValueIntl Developed ex-US MarketEmerging MarketsTIPS
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20011.55%-9.97%-7.01%-7.36%$20,995$21,465$21,365$12,211-10.97%-20.15%8.43%2.48%-11.86%-0.84%13.70%-21.94%-2.88%7.61%
20022.38%-13.29%-15.46%-10.19%$29,903$29,770$31,001$12,405-20.96%-15.08%8.26%21.33%-20.88%-12.95%-14.20%-15.62%-7.43%16.61%
20031.88%28.55%25.55%32.71%$53,304$51,896$56,330$12,68731.35%40.34%3.97%16.59%32.25%37.94%37.19%38.67%57.65%8.00%
20043.26%13.44%10.88%16.71%$74,714$71,546$80,271$13,02612.52%20.84%4.24%11.57%15.26%26.04%23.55%20.25%26.12%8.27%
20053.42%7.61%5.33%9.84%$94,655$89,393$102,583$13,4685.98%15.57%2.40%-6.36%7.10%16.02%6.07%13.60%32.05%2.59%
20062.54%16.30%13.21%18.04%$125,116$116,102$136,188$13,90315.51%26.64%4.27%5.85%22.13%14.77%19.24%26.27%29.39%0.43%
20074.08%8.75%5.87%9.80%$150,672$137,343$164,208$14,2995.49%15.52%6.92%9.26%0.08%-4.37%-7.07%11.15%38.90%11.59%
20080.09%-32.22%-29.86%-33.48%$114,069$108,448$121,017$14,848-37.04%-44.10%5.05%-2.68%-35.97%-36.64%-32.05%-41.27%-52.81%-2.85%
20092.72%27.00%24.22%31.03%$162,435$152,104$176,441$14,79628.70%36.73%5.93%17.17%19.58%37.61%30.34%28.27%75.98%10.80%
20101.50%13.92%15.29%14.62%$201,772$192,082$219,009$15,03817.09%11.12%6.42%11.24%14.27%21.63%24.82%8.36%18.86%6.17%
20112.96%-2.05%2.49%-3.31%$212,653$212,338$226,657$15,5130.96%-14.56%7.56%9.20%1.00%-0.44%-4.16%-12.51%-18.78%13.23%
20121.74%14.59%13.83%15.25%$260,316$258,122$277,977$15,83416.25%18.14%4.05%7.42%15.00%15.91%18.56%18.56%18.64%6.77%
20131.50%20.29%25.45%17.65%$330,684$341,599$344,406$16,06633.35%15.04%-2.26%-5.04%32.87%37.42%36.41%22.06%-5.19%-8.92%
20140.76%6.15%11.12%5.07%$367,699$396,829$378,402$16,32712.43%-4.24%5.76%2.37%13.07%13.84%10.39%-5.66%0.42%3.83%
20150.73%-1.00%0.44%-2.66%$380,043$414,869$384,190$16,3460.29%-4.38%0.30%-3.57%-1.04%-1.91%-4.77%-0.19%-15.47%-1.83%
20162.07%8.47%10.59%9.55%$429,606$476,402$438,282$16,55212.53%4.65%2.50%4.02%16.75%15.11%24.65%2.45%11.55%4.52%
20172.11%19.31%17.34%19.45%$530,827$577,237$541,810$16,90521.05%27.33%3.45%9.45%16.99%16.91%11.67%26.40%31.11%2.81%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.57%0.59%0.65%
Arithmetic Mean (annualized)7.03%7.29%8.03%
Geometric Mean (monthly)0.50%0.53%0.57%
Geometric Mean (annualized)6.22%6.55%7.11%
Volatility (monthly)3.54%3.39%3.76%
Volatility (annualized)12.26%11.73%13.01%
Downside Deviation (monthly)2.45%2.33%2.58%
Max. Drawdown-45.09%-42.29%-47.00%
US Market Correlation0.981.000.96
Beta(*)0.810.790.84
Alpha (annualized)0.56%0.94%1.25%
R295.15%99.66%91.27%
Sharpe Ratio0.450.490.49
Sortino Ratio0.630.690.70
Treynor Ratio (%)6.757.207.61
Information Ratio-0.23-0.210.01
Diversification Ratio1.091.061.13
Skewness-0.79-0.74-0.80
Excess Kurtosis2.271.852.55
Historical Value-at-Risk (5%)-6.80%-6.18%-7.15%
Analytical Value-at-Risk (5%)-5.25%-4.98%-5.53%
Conditional Value-at-Risk (5%)-8.47%-7.86%-9.07%
Upside Capture Ratio (%)80.4980.3985.70
Downside Capture Ratio (%)79.7977.9581.38
Positive Periods127 out of 204 (62.25%)136 out of 204 (66.67%)129 out of 204 (63.24%)
Gain/Loss Ratio0.930.790.92
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-45.09%-42.29%-47.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-36.17%
2May 2011Sep 20115 monthsJan 20124 months9 months-12.91%
3May 2010Jun 20102 monthsSep 20103 months5 months-8.38%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-7.22%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.72%
6Sep 2002Sep 20021 monthOct 20021 month2 months-4.01%
7Jun 2002Jul 20022 monthsAug 20021 month3 months-3.41%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.37%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.25%
10Jan 2010Jan 20101 monthFeb 20101 month2 months-2.15%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20097 months1 year 4 months-32.58%
2May 2011Sep 20115 monthsJan 20124 months9 months-10.72%
3May 2010Jun 20102 monthsSep 20103 months5 months-8.71%
4Nov 2007Feb 20084 monthsMay 20083 months7 months-6.90%
5Aug 2015Sep 20152 monthsNov 20152 months4 months-6.33%
6Dec 2015Jan 20162 monthsMar 20162 months4 months-5.25%
7May 2012May 20121 monthJul 20122 months3 months-4.25%
8Jun 2002Jul 20022 monthsAug 20021 month3 months-3.77%
9Sep 2002Sep 20021 monthOct 20021 month2 months-3.75%
10Jun 2007Jul 20072 monthsAug 20071 month3 months-2.14%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-39.03%
2May 2011Sep 20115 monthsFeb 20125 months10 months-14.46%
3May 2010Jun 20102 monthsSep 20103 months5 months-8.43%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-8.22%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.41%
6Sep 2002Sep 20021 monthOct 20021 month2 months-4.26%
7Jun 2002Jul 20022 monthsAug 20021 month3 months-4.05%
8Sep 2014Sep 20141 monthNov 20142 months3 months-3.06%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.65%
10Sep 2001Sep 20011 monthOct 20011 month2 months-2.53%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market6.81%14.74%33.35%-37.04%-50.89%0.430.611.00
Global ex-US Stock Market5.13%17.46%40.34%-44.10%-58.50%0.300.420.88
Total US Bond Market4.51%3.45%8.43%-2.26%-3.99%0.911.51-0.12
Global Bonds (Unhedged)6.20%7.28%21.33%-6.36%-17.49%0.681.130.15
US Large Cap Value6.40%14.77%32.87%-35.97%-54.85%0.400.570.97
US Mid Cap Value9.71%16.18%37.94%-36.64%-56.51%0.570.830.94
US Small Cap Value9.76%18.27%37.19%-32.05%-56.13%0.530.770.91
Intl Developed ex-US Market4.77%17.02%38.67%-41.27%-57.06%0.280.390.88
Emerging Markets9.60%22.19%75.98%-52.81%-62.70%0.470.690.80
TIPS5.09%6.03%16.61%-8.92%-12.50%0.630.950.02

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)US Large Cap ValueUS Mid Cap ValueUS Small Cap ValueIntl Developed ex-US MarketEmerging MarketsTIPSPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.88-0.120.150.970.940.910.880.800.020.981.000.96
Global ex-US Stock Market0.88-0.020.380.870.850.800.990.920.160.960.890.97
Total US Bond Market-0.120.02-0.67-0.09-0.07-0.090.010.050.80-0.00-0.060.03
Global Bonds (Unhedged)0.150.380.67-0.170.180.140.380.330.700.300.190.34
US Large Cap Value0.970.87-0.090.17-0.930.890.870.770.010.950.970.94
US Mid Cap Value0.940.85-0.070.180.93-0.940.850.770.070.930.940.93
US Small Cap Value0.910.80-0.090.140.890.94-0.800.750.030.890.910.89
Intl Developed ex-US Market0.880.990.010.380.870.850.80-0.870.140.960.890.96
Emerging Markets0.800.920.050.330.770.770.750.87-0.200.880.810.91
TIPS0.020.160.800.700.010.070.030.140.20-0.130.060.17

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$184,485$295,022$100,070
Global ex-US Stock Market$63,021
Total US Bond Market$17,545$21,989$7,800
Global Bonds (Unhedged)$5,550$15,809
US Large Cap Value$25,324
US Mid Cap Value$22,918
US Small Cap Value$19,104
Intl Developed ex-US Market$53,480
Emerging Markets$34,518
TIPS$2,561

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market61.01%100.34%29.28%
Global ex-US Stock Market38.30%
Total US Bond Market-0.01%-0.34%0.05%
Global Bonds (Unhedged)0.71%2.09%
US Large Cap Value7.69%
US Mid Cap Value6.76%
US Small Cap Value6.21%
Intl Developed ex-US Market27.90%
Emerging Markets19.86%
TIPS0.18%

Annual Asset Returns