Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds, ETFs, and stocks.

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Asset Allocation 
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Portfolio Analysis Results (Jan 1972 - Dec 1980)

Portfolio Allocations

100% stocks
Asset Class Allocation
US Stock Market 100.00%
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60/40 stocks/bonds
Asset Class Allocation
US Stock Market 60.00%
Intermediate Term Treasury 40.00%
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40/60 stocks/bonds
Asset Class Allocation
US Stock Market 40.00%
Intermediate Term Treasury 60.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
100% stocks$10,000$20,995 8.59% 17.16%37.82%-27.81%-45.86% 0.150.221.00
60/40 stocks/bonds$10,000$19,291 7.57% 11.11%25.62%-14.52%-28.25% 0.080.110.97
40/60 stocks/bonds$10,000$18,157 6.85% 8.62%19.33%-7.81%-18.09% -0.01-0.010.87
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
100% stocks8.91%33.15%33.15%21.51%17.01%8.59%17.45%15.64%
60/40 stocks/bonds5.59%21.06%21.06%14.34%12.28%7.57%12.19%10.78%
40/60 stocks/bonds4.48%15.42%15.42%10.65%9.91%6.85%10.49%8.99%
Trailing return and volatility are as of last full calendar month ending December 1980
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflation100% stocks60/40 stocks/bonds40/60 stocks/bondsUS Stock MarketIntermediate Term Treasury
ReturnBalanceReturnBalanceReturnBalance
19723.41%17.62%$11,76211.66%$11,1668.68%$10,86817.62%2.72%
19738.71%-18.18%$9,623-9.85%$10,067-5.34%$10,288-18.18%4.47%
197412.34%-27.81%$6,947-14.52%$8,605-7.81%$9,485-27.81%5.70%
19756.94%37.82%$9,57425.62%$10,80919.33%$11,31937.82%7.36%
19764.86%26.47%$12,10821.51%$13,13419.23%$13,49526.47%13.75%
19776.70%-3.36%$11,701-1.76%$12,903-0.70%$13,401-3.36%1.04%
19789.02%8.45%$12,6916.11%$13,6923.95%$13,9318.45%1.15%
197913.29%24.25%$15,76816.39%$15,93512.92%$15,73124.25%5.35%
198012.52%33.15%$20,99521.06%$19,29115.42%$18,15733.15%2.88%
Portfolio return and risk metrics
Metric100% stocks60/40 stocks/bonds40/60 stocks/bonds
Arithmetic Mean (monthly)0.81%0.66%0.58%
Arithmetic Mean (annualized)10.17%8.22%7.24%
Geometric Mean (monthly)0.69%0.61%0.55%
Geometric Mean (annualized)8.59%7.57%6.85%
Standard Deviation (monthly)4.95%3.21%2.49%
Standard Deviation (annualized)17.16%11.11%8.62%
Downside Deviation (monthly)3.07%1.87%1.41%
Max. Drawdown-45.86%-28.25%-18.09%
US Market Correlation1.000.970.87
Beta(*)1.000.630.44
Alpha (annualized)-0.00%1.84%2.74%
R2100.00%93.68%76.42%
Sharpe Ratio0.150.08-0.01
Sortino Ratio0.220.11-0.01
Treynor Ratio (%)2.631.34-0.18
Calmar Ratio1.801.611.29
Active Return0.00%-1.02%-1.74%
Tracking Error0.00%6.99%10.49%
Information RatioN/A-0.15-0.17
Skewness0.040.150.22
Excess Kurtosis1.250.811.18
Historical Value-at-Risk (5%)-7.19%-4.63%-3.18%
Analytical Value-at-Risk (5%)-7.34%-4.61%-3.51%
Conditional Value-at-Risk (5%)-10.35%-6.24%-4.71%
Upside Capture Ratio (%)100.0063.6645.71
Downside Capture Ratio (%)100.0059.0136.99
Safe Withdrawal Rate8.91%9.55%9.74%
Perpetual Withdrawal Rate0.00%0.00%0.00%
Positive Periods61 out of 108 (56.48%)62 out of 108 (57.41%)70 out of 108 (64.81%)
Gain/Loss Ratio1.191.291.04
* 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 PeriodStartEnd100% stocks60/40 stocks/bonds40/60 stocks/bonds
Oil CrisisOct 1973Mar 1974-12.61%-7.86%-5.47%

Drawdowns for 100% stocks

Drawdowns for 100% stocks
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
2Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
3Sep 1978Oct 19782 monthsMar 19795 months7 months-11.64%
4Jan 1977Feb 19781 year 2 monthsApr 19782 months1 year 4 months-9.64%
5Oct 1979Oct 19791 monthDec 19792 months3 months-7.22%
6Dec 1980Dec 19801 month-3.48%
7Jun 1972Jul 19722 monthsAug 19721 month3 months-2.45%
8May 1979May 19791 monthJun 19791 month2 months-1.35%
9Jun 1978Jun 19781 monthJul 19781 month2 months-1.08%
10Sep 1972Sep 19721 monthOct 19721 month2 months-0.74%

Drawdowns for 60/40 stocks/bonds

Drawdowns for 60/40 stocks/bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsJan 19761 year 4 months3 years 1 month-28.25%
2Feb 1980Mar 19802 monthsMay 19802 months4 months-8.90%
3Sep 1978Oct 19782 monthsMar 19795 months7 months-7.59%
4Oct 1979Oct 19791 monthDec 19792 months3 months-6.62%
5Jan 1977Feb 19781 year 2 monthsApr 19782 months1 year 4 months-5.76%
6Jun 1972Jul 19722 monthsAug 19721 month3 months-1.45%
7Apr 1976May 19762 monthsJun 19761 month3 months-1.35%
8Dec 1980Dec 19801 month-1.10%
9Aug 1980Aug 19801 monthSep 19801 month2 months-0.78%
10Jun 1978Jun 19781 monthJul 19781 month2 months-0.76%
Worst 10 drawdowns included above

Drawdowns for 40/60 stocks/bonds

Drawdowns for 40/60 stocks/bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsMay 19758 months2 years 5 months-18.09%
2Feb 1980Mar 19802 monthsMay 19802 months4 months-8.27%
3Oct 1979Oct 19791 monthDec 19792 months3 months-6.34%
4Sep 1978Oct 19782 monthsMar 19795 months7 months-5.74%
5Jul 1975Sep 19753 monthsDec 19753 months6 months-5.46%
6Jan 1977Feb 19772 monthsApr 19781 year 2 months1 year 4 months-3.58%
7Aug 1980Aug 19801 monthNov 19803 months4 months-2.09%
8Jun 1972Jun 19721 monthAug 19722 months3 months-1.10%
9May 1976May 19761 monthJun 19761 month2 months-1.07%
10Jun 1978Jun 19781 monthJul 19781 month2 months-0.55%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.59%17.16%37.82%-27.81%-45.86%0.150.221.00
Intermediate Term Treasury4.87%7.00%13.75%1.04%-10.70%-0.30-0.390.14

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year
US Stock Market8.91%33.15%33.15%21.51%17.01%
Intermediate Term Treasury0.53%2.88%2.88%3.11%4.73%
Trailing returns as of last calendar month ending December 1980

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term Treasury100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market1.000.141.000.970.87
Intermediate Term Treasury0.141.000.140.380.60

Portfolio Return Decomposition

Portfolio return decomposition
Name100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market$10,995$7,255$5,050
Intermediate Term Treasury$2,036$3,107
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
Name100% stocks60/40 stocks/bonds40/60 stocks/bonds
US Stock Market100.00%90.26%70.32%
Intermediate Term Treasury9.74%29.68%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll Period100% stocks60/40 stocks/bonds40/60 stocks/bonds
AverageHighLowAverageHighLowAverageHighLow
1 year8.03%41.76%-41.09%7.07%26.07%-25.30%6.45%20.96%-16.68%
3 years7.17%23.29%-11.44%7.11%16.92%-4.89%6.81%14.43%-1.75%
5 years7.74%19.54%-0.71%7.57%14.62%2.57%7.24%12.04%4.09%
7 years5.95%12.56%2.91%6.31%10.05%4.33%6.17%8.49%4.75%

100% stocks Rebalancing Events

60/40 stocks/bonds Rebalancing Events

Rebalancing dates for 60/40 stocks/bonds
#DateAllocation
106/30/1974US Stock Market: 54.76%
Intermediate Term Treasury: 45.24%
209/30/1974US Stock Market: 52.26%
Intermediate Term Treasury: 47.74%
303/31/1975US Stock Market: 65.75%
Intermediate Term Treasury: 34.25%
408/31/1978US Stock Market: 65.60%
Intermediate Term Treasury: 34.40%
502/29/1980US Stock Market: 66.06%
Intermediate Term Treasury: 33.94%

40/60 stocks/bonds Rebalancing Events

Rebalancing dates for 40/60 stocks/bonds
#DateAllocation
106/30/1974US Stock Market: 34.98%
Intermediate Term Treasury: 65.02%
209/30/1974US Stock Market: 32.72%
Intermediate Term Treasury: 67.28%
302/28/1975US Stock Market: 45.05%
Intermediate Term Treasury: 54.95%
403/31/1976US Stock Market: 45.15%
Intermediate Term Treasury: 54.85%
501/31/1980US Stock Market: 46.12%
Intermediate Term Treasury: 53.88%
611/30/1980US Stock Market: 45.92%
Intermediate Term Treasury: 54.08%