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
%
%
%
Long-Term Corporate Bonds
%
%
%
High Yield Corporate Bonds
%
%
%
Short-Term Tax-Exempt
%
%
%
Intermediate-Term Tax-Exempt
%
%
%
Long-Term Tax-Exempt
%
%
%
REIT
%
%
%
Gold
%
%
%
Precious Metals
%
%
%
Commodities
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Save asset allocation »
US Stock Market 52.00%
Global ex-US Stock Market 28.00%
Total US Bond Market 16.00%
Global Bonds (Unhedged) 4.00%
Portfolio 2
Asset Class Allocation
Save asset allocation »
US Stock Market 80.00%
Total US Bond Market 20.00%
Portfolio 3
Asset Class Allocation
Save asset 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%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRIRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
1$10,000$530,827 26.32% 7.97%12.26%28.55%-32.22%-45.09%
(-36.17%)
0.450.630.98
2$10,000$577,237 26.94% 8.85%11.73%25.55%-29.86%-42.29%
(-32.58%)
0.490.691.00
3$10,000$541,810 26.47% 8.19%13.01%32.71%-33.48%-47.00%
(-39.03%)
0.490.700.96
   
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
  • IRR = Internal Rate of Return taking into account the periodic contributions/withdrawals (annualized from monthly IRR)
  • 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
YearInflationUS 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 MarketsTIPSAnnual AdjustmentPF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End BalancePF #3 ReturnPF #3 Inflation Adjusted ReturnPF #3 Year End Balance
20011.55%-10.97%-20.15%8.43%2.48%-11.86%-0.84%13.70%-21.94%-2.88%7.61%$12,211-9.97%-11.34%$20,995-7.01%-8.43%$21,465-7.36%-8.78%$21,365
20022.38%-20.96%-15.08%8.26%21.33%-20.88%-12.95%-14.20%-15.62%-7.43%16.61%$12,405-13.29%-15.31%$29,903-15.46%-17.42%$29,770-10.19%-12.27%$31,001
20031.88%31.35%40.34%3.97%16.59%32.25%37.94%37.19%38.67%57.65%8.00%$12,68728.55%26.18%$53,30425.55%23.24%$51,89632.71%30.26%$56,330
20043.26%12.52%20.84%4.24%11.57%15.26%26.04%23.55%20.25%26.12%8.27%$13,02613.44%9.86%$74,71410.88%7.38%$71,54616.71%13.03%$80,271
20053.42%5.98%15.57%2.40%-6.36%7.10%16.02%6.07%13.60%32.05%2.59%$13,4687.61%4.06%$94,6555.33%1.85%$89,3939.84%6.21%$102,583
20062.54%15.51%26.64%4.27%5.85%22.13%14.77%19.24%26.27%29.39%0.43%$13,90316.30%13.42%$125,11613.21%10.41%$116,10218.04%15.12%$136,188
20074.08%5.49%15.52%6.92%9.26%0.08%-4.37%-7.07%11.15%38.90%11.59%$14,2998.75%4.48%$150,6725.87%1.72%$137,3439.80%5.50%$164,208
20080.09%-37.04%-44.10%5.05%-2.68%-35.97%-36.64%-32.05%-41.27%-52.81%-2.85%$14,848-32.22%-32.28%$114,069-29.86%-29.92%$108,448-33.48%-33.54%$121,017
20092.72%28.70%36.73%5.93%17.17%19.58%37.61%30.34%28.27%75.98%10.80%$14,79627.00%23.64%$162,43524.22%20.92%$152,10431.03%27.56%$176,441
20101.50%17.09%11.12%6.42%11.24%14.27%21.63%24.82%8.36%18.86%6.17%$15,03813.92%12.24%$201,77215.29%13.59%$192,08214.62%12.93%$219,009
20112.96%0.96%-14.56%7.56%9.20%1.00%-0.44%-4.16%-12.51%-18.78%13.23%$15,513-2.05%-4.87%$212,6532.49%-0.46%$212,338-3.31%-6.09%$226,657
20121.74%16.25%18.14%4.05%7.42%15.00%15.91%18.56%18.56%18.64%6.77%$15,83414.59%12.63%$260,31613.83%11.88%$258,12215.25%13.28%$277,977
20131.50%33.35%15.04%-2.26%-5.04%32.87%37.42%36.41%22.06%-5.19%-8.92%$16,06620.29%18.51%$330,68425.45%23.60%$341,59917.65%15.91%$344,406
20140.76%12.43%-4.24%5.76%2.37%13.07%13.84%10.39%-5.66%0.42%3.83%$16,3276.15%5.36%$367,69911.12%10.29%$396,8295.07%4.28%$378,402
20150.73%0.29%-4.38%0.30%-3.57%-1.04%-1.91%-4.77%-0.19%-15.47%-1.83%$16,346-1.00%-1.72%$380,0430.44%-0.29%$414,869-2.66%-3.37%$384,190
20162.07%12.53%4.65%2.50%4.02%16.75%15.11%24.65%2.45%11.55%4.52%$16,5528.47%6.27%$429,60610.59%8.34%$476,4029.55%7.32%$438,282
20172.11%21.05%27.33%3.45%9.45%16.99%16.91%11.67%26.40%31.11%2.81%$16,90519.31%16.85%$530,82717.34%14.92%$577,23719.45%16.98%$541,810
Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2Portfolio #3
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.57%0.59%0.65%
Mean Return (annualized)7.03%7.29%8.03%
Compound Return (monthly)0.50%0.53%0.57%
Compound Return (annualized)6.22%6.55%7.11%
Volatility (monthly)3.53%3.38%3.75%
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%
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
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%
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

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
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20092 years 1 month-36.17%
2May 2011Sep 20115 monthsJan 20129 months-12.91%
3May 2010Jun 20102 monthsSep 20105 months-8.38%
4Jun 2015Sep 20154 monthsApr 201611 months-7.22%
5Apr 2012May 20122 monthsAug 20125 months-5.72%
6Sep 2002Sep 20021 monthOct 20022 months-4.01%
7Jun 2002Jul 20022 monthsAug 20023 months-3.41%
8Sep 2014Sep 20141 monthNov 20143 months-2.37%
9Jan 2014Jan 20141 monthFeb 20142 months-2.25%
10Jan 2010Jan 20101 monthFeb 20102 months-2.15%
11May 2006May 20061 monthJul 20063 months-1.80%
12Aug 2013Aug 20131 monthSep 20132 months-1.61%
13Jun 2013Jun 20131 monthJul 20132 months-1.59%
14Oct 2016Oct 20161 monthDec 20163 months-1.53%
15Sep 2001Sep 20011 monthOct 20012 months-1.38%
16Dec 2014Jan 20152 monthsFeb 20153 months-1.28%
17Jul 2014Jul 20141 monthAug 20142 months-1.16%
18Jul 2004Jul 20041 monthAug 20042 months-1.01%
19Jul 2007Jul 20071 monthAug 20072 months-0.97%
20Oct 2005Oct 20051 monthNov 20052 months-0.83%
21Apr 2004Apr 20041 monthMay 20042 months-0.69%
22Mar 2015Mar 20151 monthApr 20152 months-0.59%
23Nov 2010Nov 20101 monthDec 20102 months-0.58%
24Mar 2005Apr 20052 monthsMay 20053 months-0.46%
25Jan 2005Jan 20051 monthFeb 20052 months-0.35%
26Oct 2012Oct 20121 monthNov 20122 months-0.22%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jun 2008Feb 20099 monthsSep 20091 year 4 months-32.58%
2May 2011Sep 20115 monthsJan 20129 months-10.72%
3May 2010Jun 20102 monthsSep 20105 months-8.71%
4Nov 2007Feb 20084 monthsMay 20087 months-6.90%
5Aug 2015Sep 20152 monthsNov 20154 months-6.33%
6Dec 2015Jan 20162 monthsMar 20164 months-5.25%
7May 2012May 20121 monthJul 20123 months-4.25%
8Jun 2002Jul 20022 monthsAug 20023 months-3.77%
9Sep 2002Sep 20021 monthOct 20022 months-3.75%
10Jun 2007Jul 20072 monthsAug 20073 months-2.14%
11Aug 2013Aug 20131 monthSep 20132 months-1.95%
12Jan 2014Jan 20141 monthFeb 20142 months-1.78%
13Jan 2010Jan 20101 monthFeb 20102 months-1.66%
14Oct 2016Oct 20161 monthNov 20162 months-1.63%
15Sep 2014Sep 20141 monthOct 20142 months-1.50%
16May 2006May 20061 monthJul 20063 months-1.43%
17Jan 2015Jan 20151 monthFeb 20152 months-1.42%
18Jul 2014Jul 20141 monthAug 20142 months-1.27%
19Jun 2015Jun 20151 monthJul 20152 months-1.24%
20Oct 2009Oct 20091 monthNov 20092 months-1.09%
21Jul 2004Jul 20041 monthAug 20042 months-1.04%
22Sep 2001Sep 20011 monthOct 20012 months-0.94%
23Jun 2013Jun 20131 monthJul 20132 months-0.90%
24Oct 2012Oct 20121 monthNov 20122 months-0.86%
25Dec 2002Dec 20021 monthJan 20032 months-0.57%
26Jan 2005Jan 20051 monthFeb 20052 months-0.48%
27Mar 2015Mar 20151 monthApr 20152 months-0.42%
28Oct 2005Oct 20051 monthNov 20052 months-0.30%
29Apr 2004Apr 20041 monthMay 20042 months-0.29%
30Apr 2005Apr 20051 monthMay 20052 months-0.06%
31Feb 2007Feb 20071 monthMar 20072 months-0.01%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20092 years 1 month-39.03%
2May 2011Sep 20115 monthsFeb 201210 months-14.46%
3May 2010Jun 20102 monthsSep 20105 months-8.43%
4Jun 2015Sep 20154 monthsApr 201611 months-8.22%
5Apr 2012May 20122 monthsAug 20125 months-6.41%
6Sep 2002Sep 20021 monthOct 20022 months-4.26%
7Jun 2002Jul 20022 monthsAug 20023 months-4.05%
8Sep 2014Sep 20141 monthNov 20143 months-3.06%
9Jan 2014Jan 20141 monthFeb 20142 months-2.65%
10Sep 2001Sep 20011 monthOct 20012 months-2.53%
11May 2006May 20061 monthJul 20063 months-2.39%
12Jan 2010Jan 20101 monthFeb 20102 months-2.22%
13May 2013Jun 20132 monthsJul 20133 months-2.18%
14Aug 2013Aug 20131 monthSep 20132 months-1.87%
15Apr 2004Apr 20041 monthMay 20042 months-1.76%
16Oct 2005Oct 20051 monthNov 20052 months-1.60%
17Oct 2016Oct 20161 monthDec 20163 months-1.41%
18Dec 2014Jan 20152 monthsFeb 20153 months-1.37%
19Nov 2010Nov 20101 monthDec 20102 months-1.19%
20Mar 2005Apr 20052 monthsMay 20053 months-1.17%
21Jul 2014Jul 20141 monthAug 20142 months-1.03%
22Jul 2004Jul 20041 monthAug 20042 months-0.82%
23Jul 2007Jul 20071 monthAug 20072 months-0.68%
24Mar 2015Mar 20151 monthApr 20152 months-0.63%
25Jan 2005Jan 20051 monthFeb 20052 months-0.43%

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 MarketsTIPSPF #1PF #2PF #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
NamePF #1PF #2PF #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
NamePF #1PF #2PF #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