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 1997 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 80.00%
Total US Bond Market 20.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$51,133 8.08% 12.13%26.68%-28.62%-41.22% 0.530.771.00
   
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
  • 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketTotal US Bond Market
19971.70%26.68%$12,66830.99%9.44%
19981.61%20.33%$15,24423.26%8.58%
19992.68%18.90%$18,12423.81%-0.76%
20003.39%-6.18%$17,004-10.57%11.39%
20011.55%-7.09%$15,799-10.97%8.43%
20022.38%-15.12%$13,411-20.96%8.26%
20031.88%25.88%$16,88131.35%3.97%
20043.26%10.86%$18,71412.52%4.24%
20053.42%5.26%$19,6995.98%2.40%
20062.54%13.26%$22,31215.51%4.27%
20074.08%5.78%$23,6015.49%6.92%
20080.09%-28.62%$16,846-37.04%5.05%
20092.72%24.15%$20,91428.70%5.93%
20101.50%14.96%$24,04217.09%6.42%
20112.96%2.28%$24,5910.96%7.56%
20121.74%13.81%$27,98716.25%4.05%
20131.50%26.23%$35,32833.35%-2.26%
20140.76%11.09%$39,24712.43%5.76%
20150.73%0.29%$39,3620.29%0.30%
20162.07%10.53%$43,50612.53%2.50%
20172.11%17.53%$51,13321.05%3.45%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.71%
Arithmetic Mean (annualized)8.88%
Geometric Mean (monthly)0.65%
Geometric Mean (annualized)8.08%
Volatility (monthly)3.50%
Volatility (annualized)12.13%
Downside Deviation (monthly)2.35%
Max. Drawdown-41.22%
US Market Correlation1.00
Beta(*)0.79
Alpha (annualized)1.19%
R299.57%
Sharpe Ratio0.53
Sortino Ratio0.77
Treynor Ratio (%)8.24
Calmar Ratio1.30
Active Return-0.35%
Tracking Error3.35%
Information Ratio-0.11
Skewness-0.73
Excess Kurtosis1.35
Historical Value-at-Risk (5%)-5.98%
Analytical Value-at-Risk (5%)-5.05%
Conditional Value-at-Risk (5%)-8.05%
Upside Capture Ratio (%)80.57
Downside Capture Ratio (%)77.63
Safe Withdrawal Rate8.13%
Perpetual Withdrawal Rate5.51%
Positive Periods165 out of 252 (65.48%)
Gain/Loss Ratio0.88
* 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 1
Asian CrisisJul 1997Jan 1998-3.22%
Russian Debt DefaultJul 1998Oct 1998-13.95%
Dotcom CrashMar 2000Oct 2002-33.48%
Subprime CrisisNov 2007Mar 2009-41.22%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-41.22%
2Sep 2000Sep 20022 years 1 monthJul 20052 years 10 months4 years 11 months-33.48%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-13.95%
4May 2011Sep 20115 monthsFeb 20125 months10 months-13.48%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-7.11%
6Apr 2000May 20002 monthsAug 20003 months5 months-6.90%
7Apr 2012May 20122 monthsAug 20123 months5 months-5.22%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-5.12%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-4.00%
10Feb 1997Mar 19972 monthsMay 19972 months4 months-3.85%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.44%15.36%33.35%-37.04%-50.89%0.470.671.00
Total US Bond Market4.99%3.41%11.39%-2.26%-3.99%0.851.41-0.06

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketPortfolio 1
US Stock Market--0.061.00
Total US Bond Market-0.06--0.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$36,903
Total US Bond Market$4,230

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market100.00%
Total US Bond Market-0.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.09%26.68%-28.62%
3 years7.21%21.92%-9.55%
5 years6.58%15.96%-0.04%
7 years6.43%12.89%0.92%
10 years5.86%8.36%1.00%
15 years6.39%9.33%5.29%
Result statistics are based on annualized rolling returns over full calendar year periods