Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (May 2012 - Mar 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
OAK Oaktree Capital Group, LLC 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,425 10.08% 18.19%41.22%-17.28%-30.45% 0.591.050.34
Vanguard 500 Index Investor$10,000$23,221 12.95% 10.88%32.18%-4.52%-13.55% 1.131.840.99
   
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
  • The annual results for 2012 are based on full calendar months from May to December
  • The annual results for 2019 are based on full calendar months from January to March
  • 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
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received 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
YearInflationReturnBalanceOaktree Capital Group, LLC (OAK)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
2012-0.21%19.58%3.58%$11,958$10,35819.58%
20131.50%41.22%32.18%$16,887$13,69141.22%
20140.76%-6.42%13.51%$15,802$15,540-6.42%
20150.73%-4.22%1.25%$15,135$15,734-4.22%
20162.07%-17.28%11.82%$12,519$17,594-17.28%
20172.11%20.30%21.67%$15,061$21,40620.30%
20181.91%1.45%-4.52%$15,280$20,4371.45%
20190.61%27.13%13.62%$19,425$23,22127.13%
Annual returns for 2012 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceOaktree Capital Group, LLC (OAK)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20125-3.01%-6.02%$9,699$9,398-3.01%
20126-7.34%4.11%$8,987$9,784-7.34%
201272.57%1.37%$9,218$9,9182.57%
201285.82%2.24%$9,755$10,1415.82%
201299.01%2.58%$10,634$10,4029.01%
2012103.98%-1.86%$11,057$10,2083.98%
201211-3.64%0.56%$10,654$10,266-3.64%
20121212.24%0.90%$11,958$10,35812.24%
201315.61%5.18%$12,628$10,8945.61%
201326.14%1.34%$13,404$11,0406.14%
201332.18%3.74%$13,696$11,4532.18%
201341.76%1.91%$13,938$11,6721.76%
201353.01%2.33%$14,357$11,9433.01%
201360.77%-1.35%$14,468$11,7820.77%
201372.74%5.07%$14,864$12,3802.74%
20138-1.32%-2.91%$14,668$12,019-1.32%
201391.06%3.12%$14,824$12,3941.06%
2013108.73%4.59%$16,118$12,9638.73%
201311-0.79%3.03%$15,991$13,355-0.79%
2013125.60%2.51%$16,887$13,6915.60%
20141-0.73%-3.47%$16,763$13,216-0.73%
201427.38%4.56%$18,000$13,8197.38%
20143-5.71%0.82%$16,973$13,933-5.71%
20144-8.87%0.72%$15,467$14,033-8.87%
20145-3.85%2.33%$14,871$14,361-3.85%
201460.02%2.05%$14,874$14,6560.02%
201470.02%-1.39%$14,877$14,4520.02%
201481.59%3.98%$15,113$15,0281.59%
201491.75%-1.41%$15,378$14,8161.75%
201410-7.08%2.42%$14,288$15,175-7.08%
201411-1.18%2.68%$14,119$15,582-1.18%
20141211.92%-0.26%$15,802$15,54011.92%
201516.89%-3.02%$16,891$15,0716.89%
20152-1.91%5.74%$16,568$15,937-1.91%
20153-3.98%-1.59%$15,909$15,683-3.98%
201543.52%0.95%$16,469$15,8313.52%
201553.68%1.27%$17,075$16,0333.68%
20156-2.90%-1.93%$16,580$15,723-2.90%
201573.78%2.08%$17,206$16,0503.78%
20158-3.06%-6.04%$16,679$15,080-3.06%
20159-6.60%-2.49%$15,578$14,705-6.60%
2015100.73%8.42%$15,691$15,9430.73%
201511-1.30%0.29%$15,487$15,989-1.30%
201512-2.27%-1.59%$15,135$15,734-2.27%
20161-8.30%-4.98%$13,879$14,951-8.30%
201625.96%-0.15%$14,706$14,9305.96%
201637.47%6.78%$15,805$15,9417.47%
20164-2.07%0.37%$15,479$16,001-2.07%
20165-4.02%1.78%$14,856$16,286-4.02%
20166-2.31%0.25%$14,512$16,327-2.31%
201673.71%3.68%$15,051$16,9273.71%
20168-4.05%0.13%$14,440$16,949-4.05%
20169-3.57%0.01%$13,925$16,950-3.57%
201610-1.89%-1.83%$13,662$16,640-1.89%
2016111.29%3.70%$13,838$17,2551.29%
201612-9.53%1.96%$12,519$17,594-9.53%
2017112.53%1.88%$14,088$17,92512.53%
201727.38%3.96%$15,128$18,6357.38%
201731.34%0.10%$15,331$18,6541.34%
201743.75%1.02%$15,907$18,8443.75%
201750.18%1.39%$15,935$19,1070.18%
201760.54%0.61%$16,021$19,2230.54%
201773.86%2.04%$16,640$19,6163.86%
20178-2.97%0.29%$16,146$19,674-2.97%
201792.95%2.06%$16,623$20,0792.95%
201710-2.66%2.32%$16,182$20,544-2.66%
201711-5.27%3.06%$15,329$21,173-5.27%
201712-1.75%1.10%$15,061$21,406-1.75%
201819.03%5.71%$16,420$22,6299.03%
20182-7.52%-3.69%$15,186$21,793-7.52%
20183-5.04%-2.56%$14,421$21,236-5.04%
20184-0.25%0.37%$14,384$21,315-0.25%
201856.17%2.39%$15,272$21,8256.17%
20186-0.73%0.61%$15,160$21,958-0.73%
201874.43%3.71%$15,831$22,7724.43%
20188-2.97%3.25%$15,362$23,511-2.97%
201891.85%0.55%$15,645$23,6421.85%
2018101.04%-6.85%$15,808$22,0221.04%
2018110.72%2.03%$15,922$22,4690.72%
201812-4.03%-9.04%$15,280$20,437-4.03%
201912.69%8.00%$15,691$22,0732.69%
201925.64%3.20%$16,577$22,7795.64%
2019317.18%1.94%$19,425$23,22117.18%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value1.39%46.78%
Large-cap Growth37.18%52.95%
Mid-cap Value0.00%0.00%
Mid-cap Growth11.71%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.27%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets7.37%0.00%
Corporate Bonds27.16%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries15.20%0.00%
R Squared13.14%99.94%
Style analysis is based on monthly returns from May 2012 to Mar 2019 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
OAKOaktree Capital Group, LLCFinance / Investment Managers100.00%$9,425100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.94%1.07%
Arithmetic Mean (annualized)11.84%13.61%
Geometric Mean (monthly)0.80%1.02%
Geometric Mean (annualized)10.08%12.95%
Volatility (monthly)5.25%3.14%
Volatility (annualized)18.19%10.88%
Downside Deviation (monthly)2.94%1.91%
Max. Drawdown-30.45%-13.55%
US Market Correlation0.340.99
Beta(*)0.571.00
Alpha (annualized)3.94%-0.00%
R211.58%100.00%
Sharpe Ratio0.591.13
Sortino Ratio1.051.84
Treynor Ratio (%)18.8812.33
Calmar Ratio0.340.99
Active Return-2.88%N/A
Tracking Error17.74%N/A
Information Ratio-0.16N/A
Skewness0.45-0.60
Excess Kurtosis0.311.16
Historical Value-at-Risk (5%)-7.48%-5.81%
Analytical Value-at-Risk (5%)-7.70%-4.10%
Conditional Value-at-Risk (5%)-8.56%-6.99%
Upside Capture Ratio (%)55.42100.00
Downside Capture Ratio (%)32.65100.00
Safe Withdrawal Rate19.91%21.53%
Perpetual Withdrawal Rate7.82%10.14%
Positive Periods47 out of 83 (56.63%)62 out of 83 (74.70%)
Gain/Loss Ratio1.210.81
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2014Dec 20162 years 10 monthsMar 20192 years 3 months5 years 1 month-30.45%
2May 2012Jun 20122 monthsSep 20123 months5 months-10.13%
3Nov 2012Nov 20121 monthDec 20121 month2 months-3.64%
4Aug 2013Aug 20131 monthOct 20132 months3 months-1.32%
5Nov 2013Nov 20131 monthDec 20131 month2 months-0.79%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-0.73%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 months-13.55%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
4May 2012May 20121 monthAug 20123 months4 months-6.02%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
8Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
9Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
10Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
OAKOaktree Capital Group, LLC10.08%18.19%41.22%-17.28%-30.45%0.591.050.34

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year5.84%41.22%-17.28%12.65%32.18%-4.52%
3 years-0.65%8.17%-9.49%11.01%14.95%8.72%
5 years1.37%4.72%-1.98%11.98%15.62%8.34%
Result statistics are based on annualized rolling returns over full calendar year periods