Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

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.

Portfolio Model Configuration

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio #1

Portfolio #2

Portfolio #3

Asset Class Allocation

Asset Allocation

Asset Class

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Asset 2

Asset 3

Asset 4

Asset 5

Asset 6

Asset 7

Asset 8

Asset 9

Asset 10

Total

Portfolio Analysis Results (Jan 2007 - Dec 2021)

Note: The time period was constrained by the available data for Commodities [Jan 2007 - Aug 2023].

All Seasons With 4% Annual Distribution

Asset Class	Allocation
US Stock Market	30.00%
Long Term Treasury	40.00%
Intermediate Term Treasury	15.00%
Gold	7.50%
Commodities	7.50%
Save portfolio »

Performance Summary

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	TWRR	MWRR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
All Seasons With 4% Annual Distribution	$10,000	$16,051	3.20%	7.33%	7.19%	6.90%	18.30%	-3.66%	-14.75% (-17.78%)	0.94	1.48	0.57
^* The number in parentheses shows the calculated value taking into account the periodic withdrawals.

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
All Seasons With 4% Annual Distribution	4.34%	8.04%	8.04%	13.66%	9.55%	7.00%	7.33%	7.08%	6.38%
Trailing return and volatility are as of last calendar month ending December 2021

Notes and Disclosures

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, commissions, 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.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
Drawdown analysis is calculated based on monthly returns excluding cashflows.
The results assume annual rebalancing of portfolio assets to match the specified allocation.
Inflation adjusted monthly withdrawal of $34.00 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.

Annual Returns

Annual returns for the configured portfolios
Year	Inflation	All Seasons With 4% Annual Distribution			US Stock Market	Long Term Treasury	Intermediate Term Treasury	Gold	Commodities
Year	Inflation	Return	Balance	Cashflow	US Stock Market	Long Term Treasury	Intermediate Term Treasury	Gold	Commodities
2007	4.08%	11.50%	$10,704	-$419	5.49%	9.24%	9.98%	30.45%	31.62%
2008	0.09%	-3.17%	$9,936	-$435	-37.04%	22.51%	13.32%	4.92%	-45.75%
2009	2.72%	6.18%	$10,085	-$434	28.70%	-12.06%	-1.69%	24.03%	11.22%
2010	1.50%	12.53%	$10,883	-$441	17.09%	8.93%	7.35%	29.27%	7.17%
2011	2.96%	13.94%	$11,914	-$455	0.96%	29.28%	9.79%	9.57%	-3.28%
2012	1.74%	7.11%	$12,290	-$464	16.25%	3.46%	2.67%	6.60%	-0.58%
2013	1.50%	2.07%	$12,068	-$471	33.35%	-13.03%	-3.09%	-28.33%	-1.83%
2014	0.76%	11.85%	$13,000	-$479	12.43%	25.27%	4.32%	-2.19%	-32.96%
2015	0.73%	-3.66%	$12,060	-$479	0.29%	-1.54%	1.50%	-10.67%	-34.06%
2016	2.07%	5.78%	$12,278	-$485	12.53%	1.21%	1.19%	8.03%	10.12%
2017	2.11%	11.24%	$13,137	-$496	21.05%	8.59%	1.58%	12.81%	3.89%
2018	1.91%	-3.38%	$12,198	-$508	-5.26%	-1.90%	1.00%	-1.94%	-13.88%
2019	2.29%	18.30%	$13,883	-$517	30.65%	14.13%	6.29%	17.86%	15.62%
2020	1.36%	14.87%	$15,390	-$523	20.87%	18.29%	8.21%	24.81%	-23.94%
2021	7.04%	8.04%	$16,051	-$548	25.59%	-4.73%	-2.29%	-4.15%	38.77%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	All Seasons With 4% Annual Distribution
Arithmetic Mean (monthly)	0.61%
Arithmetic Mean (annualized)	7.59%
Geometric Mean (monthly)	0.59%
Geometric Mean (annualized)	7.33%
Standard Deviation (monthly)	1.99%
Standard Deviation (annualized)	6.90%
Downside Deviation (monthly)	1.25%
Maximum Drawdown	-14.75%
Stock Market Correlation	0.57
Beta^(*)	0.25
Alpha (annualized)	4.53%
R²	32.03%
Sharpe Ratio	0.94
Sortino Ratio	1.48
Treynor Ratio (%)	26.45
Calmar Ratio	3.83
Active Return	-3.25%
Tracking Error	13.22%
Information Ratio	-0.25
Skewness	-0.95
Excess Kurtosis	4.22
Historical Value-at-Risk (5%)	2.59%
Analytical Value-at-Risk (5%)	2.67%
Conditional Value-at-Risk (5%)	4.24%
Upside Capture Ratio (%)	31.54
Downside Capture Ratio (%)	13.42
Safe Withdrawal Rate	9.44%
Perpetual Withdrawal Rate	4.80%
Positive Periods	120 out of 180 (66.67%)
Gain/Loss Ratio	1.14
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	All Seasons With 4% Annual Distribution
Subprime Crisis	Nov 2007	Mar 2009	-14.75%
COVID-19 Start	Jan 2020	Mar 2020	-2.66%

Drawdowns for All Seasons With 4% Annual Distribution

Drawdowns for All Seasons With 4% Annual Distribution (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2008	Feb 2009	9 months	Nov 2009	9 months	1 year 6 months	-14.75%
2	Feb 2015	Dec 2015	11 months	Jun 2016	6 months	1 year 5 months	-6.61%
3	Aug 2016	Nov 2016	4 months	Aug 2017	9 months	1 year 1 month	-6.28%
4	May 2013	Jun 2013	2 months	Jan 2014	7 months	9 months	-4.99%
5	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-4.84%
6	Jan 2021	Mar 2021	3 months	May 2021	2 months	5 months	-3.56%
7	Aug 2020	Oct 2020	3 months	Nov 2020	1 month	4 months	-3.55%
8	Feb 2018	Feb 2018	1 month	Aug 2018	6 months	7 months	-2.79%
9	Mar 2020	Mar 2020	1 month	Apr 2020	1 month	2 months	-2.66%
10	Sep 2014	Sep 2014	1 month	Nov 2014	2 months	3 months	-2.42%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
US Stock Market	10.58%	15.84%	33.35%	-37.04%	-50.89%	0.66	0.98	1.00
Long Term Treasury	6.44%	11.85%	29.28%	-13.03%	-18.92%	0.52	0.91	-0.30
Intermediate Term Treasury	3.90%	4.24%	13.32%	-3.09%	-4.48%	0.74	1.36	-0.28
Gold	6.86%	17.41%	30.45%	-28.33%	-42.91%	0.42	0.67	0.06
Commodities	-5.52%	23.79%	38.77%	-45.75%	-88.68%	-0.15	-0.19	0.56

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year
US Stock Market	9.12%	25.59%	25.59%	25.64%	17.86%	16.16%
Long Term Treasury	2.72%	-4.73%	-4.73%	8.75%	6.50%	4.41%
Intermediate Term Treasury	-0.64%	-2.29%	-2.29%	3.97%	2.89%	2.09%
Gold	4.10%	-4.15%	-4.15%	12.13%	9.30%	1.18%
Commodities	1.48%	38.77%	38.77%	6.86%	1.77%	-6.35%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
Name	US Stock Market	Long Term Treasury	Intermediate Term Treasury	Gold	Commodities	All Seasons With 4% Annual Distribution
US Stock Market	1.00	-0.30	-0.28	0.06	0.56	0.57
Long Term Treasury	-0.30	1.00	0.85	0.28	-0.37	0.55
Intermediate Term Treasury	-0.28	0.85	1.00	0.40	-0.28	0.51
Gold	0.06	0.28	0.40	1.00	0.22	0.52
Commodities	0.56	-0.37	-0.28	0.22	1.00	0.36

Portfolio Return Decomposition

Portfolio return decomposition
Name	All Seasons With 4% Annual Distribution
US Stock Market	$6,715
Long Term Treasury	$4,867
Intermediate Term Treasury	$996
Gold	$954
Commodities	-$327
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	All Seasons With 4% Annual Distribution
US Stock Market	38.82%
Long Term Treasury	37.47%
Intermediate Term Treasury	4.70%
Gold	9.85%
Commodities	9.16%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	7.35%	19.68%	-14.12%
3 years	7.25%	16.15%	2.77%
5 years	6.97%	11.60%	4.11%
7 years	6.74%	9.07%	4.26%
10 years	6.93%	7.91%	5.82%

Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

Portfolio Model Configuration

Asset Class Allocation

Portfolio Analysis Results (Jan 2007 - Dec 2021)

All Seasons With 4% Annual Distribution

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Annual Returns

Risk and Return Metrics

Drawdowns

Historical Market Stress Periods

Drawdowns for All Seasons With 4% Annual Distribution

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns

Rolling Returns

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years