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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Portfolio Analysis Results (Jan 1994 - Aug 2020)

Portfolio Allocations

US Bonds
Asset Class Allocation
Total US Bond Market 100.00%
Save asset allocation »
Real Estate
Asset Class Allocation
REIT 100.00%
Save asset allocation »
Gold
Asset Class Allocation
Gold 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Bonds$10,000$38,387 5.17% 3.57%18.18%-2.66%-5.01% 0.781.29-0.00
Real Estate$10,000$96,574 8.88% 19.24%35.66%-37.05%-68.28% 0.420.600.59
Gold$10,000$46,922 5.97% 15.60%30.45%-28.33%-42.91% 0.300.480.04
Vanguard 500 Index Investor$10,000$123,208 9.88% 14.85%37.45%-37.02%-50.97% 0.550.800.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
US Bonds1.21%6.84%6.21%4.98%4.23%3.47%5.17%
Real Estate6.56%-10.43%-8.21%3.11%6.27%9.11%8.88%
Gold13.46%29.34%28.58%13.68%11.18%4.23%5.97%
Vanguard 500 Index Investor15.45%9.65%21.77%14.37%14.31%15.00%9.88%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceTotal US Bond MarketREITGold
US BondsReal EstateGoldVanguard 500 Index InvestorUS BondsReal EstateGoldVanguard 500 Index Investor
19942.67%-2.66%-8.40%-2.17%1.18%$9,734$9,160$9,783$10,118-2.66%-8.40%-2.17%
19952.54%18.18%12.13%0.98%37.45%$11,504$10,271$9,879$13,90618.18%12.13%0.98%
19963.32%3.58%33.84%-4.59%22.88%$11,916$13,746$9,426$17,0883.58%33.84%-4.59%
19971.70%9.44%18.77%-21.41%33.19%$13,042$16,327$7,408$22,7599.44%18.77%-21.41%
19981.61%8.58%-16.32%-0.83%28.62%$14,161$13,662$7,347$29,2728.58%-16.32%-0.83%
19992.68%-0.76%-4.04%0.85%21.07%$14,053$13,110$7,409$35,439-0.76%-4.04%0.85%
20003.39%11.39%26.35%-5.44%-9.06%$15,654$16,564$7,006$32,23011.39%26.35%-5.44%
20011.55%8.43%12.35%0.75%-12.02%$16,973$18,611$7,058$28,3558.43%12.35%0.75%
20022.38%8.26%3.75%25.57%-22.15%$18,375$19,309$8,863$22,0758.26%3.75%25.57%
20031.88%3.97%35.66%19.89%28.50%$19,105$26,194$10,625$28,3673.97%35.66%19.89%
20043.26%4.24%30.76%4.65%10.74%$19,915$34,251$11,119$31,4144.24%30.76%4.65%
20053.42%2.40%11.89%17.76%4.77%$20,392$38,324$13,094$32,9142.40%11.89%17.76%
20062.54%4.27%35.07%22.55%15.64%$21,262$51,764$16,047$38,0624.27%35.07%22.55%
20074.08%6.92%-16.46%30.45%5.39%$22,734$43,243$20,934$40,1126.92%-16.46%30.45%
20080.09%5.05%-37.05%4.92%-37.02%$23,883$27,223$21,965$25,2635.05%-37.05%4.92%
20092.72%5.93%29.58%24.03%26.49%$25,300$35,274$27,242$31,9535.93%29.58%24.03%
20101.50%6.42%28.30%29.27%14.91%$26,924$45,259$35,216$36,7196.42%28.30%29.27%
20112.96%7.56%8.47%9.57%1.97%$28,959$49,090$38,585$37,4417.56%8.47%9.57%
20121.74%4.05%17.53%6.60%15.82%$30,131$57,694$41,132$43,3664.05%17.53%6.60%
20131.50%-2.26%2.31%-28.33%32.18%$29,449$59,024$29,479$57,319-2.26%2.31%-28.33%
20140.76%5.76%30.13%-2.19%13.51%$31,145$76,810$28,834$65,0625.76%30.13%-2.19%
20150.73%0.30%2.22%-10.67%1.25%$31,237$78,516$25,757$65,8740.30%2.22%-10.67%
20162.07%2.50%8.34%8.03%11.82%$32,018$85,063$27,826$73,6582.50%8.34%8.03%
20172.11%3.45%4.83%12.81%21.67%$33,124$89,168$31,391$89,6183.45%4.83%12.81%
20181.91%-0.13%-6.11%-1.94%-4.52%$33,082$83,723$30,781$85,564-0.13%-6.11%-1.94%
20192.29%8.61%28.78%17.86%31.33%$35,929$107,818$36,278$112,3698.61%28.78%17.86%
20201.15%6.84%-10.43%29.34%9.65%$38,387$96,574$46,922$123,2086.84%-10.43%29.34%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricUS BondsReal EstateGoldVanguard 500 Index Investor
Arithmetic Mean (monthly)0.43%0.87%0.58%0.88%
Arithmetic Mean (annualized)5.24%10.96%7.24%11.10%
Geometric Mean (monthly)0.42%0.71%0.48%0.79%
Geometric Mean (annualized)5.17%8.88%5.97%9.88%
Volatility (monthly)1.03%5.56%4.50%4.29%
Volatility (annualized)3.57%19.24%15.60%14.85%
Downside Deviation (monthly)0.53%3.83%2.71%2.87%
Max. Drawdown-5.01%-68.28%-42.91%-50.97%
US Market Correlation-0.000.590.040.99
Beta(*)0.000.730.021.00
Alpha (annualized)5.08%2.69%6.82%0.00%
R20.02%32.08%0.03%100.00%
Sharpe Ratio0.780.420.300.55
Sortino Ratio1.290.600.480.80
Treynor Ratio (%)811.2911.02253.038.21
Calmar Ratio1.950.121.170.73
Active Return-4.70%-1.00%-3.91%N/A
Tracking Error15.23%16.34%21.35%N/A
Information Ratio-0.31-0.06-0.18N/A
Skewness-0.14-0.720.27-0.68
Excess Kurtosis0.947.780.971.27
Historical Value-at-Risk (5%)-1.10%-7.07%-6.23%-7.17%
Analytical Value-at-Risk (5%)-1.27%-8.27%-6.82%-6.17%
Conditional Value-at-Risk (5%)-1.89%-13.44%-8.42%-9.76%
Upside Capture Ratio (%)11.7475.5311.89100.00
Downside Capture Ratio (%)-12.1271.44-16.38100.00
Safe Withdrawal Rate5.82%8.02%4.18%9.32%
Perpetual Withdrawal Rate2.91%6.29%3.65%7.16%
Positive Periods216 out of 320 (67.50%)195 out of 320 (60.94%)165 out of 320 (51.56%)213 out of 320 (66.56%)
Gain/Loss Ratio1.401.011.320.84
* Vanguard 500 Index Investor 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 PeriodStartEndUS BondsReal EstateGoldVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-0.85%-2.80%-13.26%-5.61%
Russian Debt DefaultJul 1998Oct 1998-0.55%-15.48%-7.73%-15.38%
Dotcom CrashMar 2000Oct 2002-1.91%-13.01%-12.24%-44.82%
Subprime CrisisNov 2007Mar 2009-3.99%-64.54%-25.83%-50.97%

Drawdowns for US Bonds

Drawdowns for US Bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
2Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
4Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
5Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
6Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
7Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
8Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
9Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
10Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
Worst 10 drawdowns included above

Drawdowns for Real Estate

Drawdowns for Real Estate (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2007Feb 20092 years 1 monthJun 20123 years 4 months5 years 5 months-68.28%
2Feb 2020Mar 20202 months-24.98%
3Jan 1998Nov 19991 year 11 monthsDec 20001 year 1 month3 years-22.09%
4Feb 1994Nov 199410 monthsDec 19951 year 1 month1 year 11 months-16.93%
5Aug 2016Feb 20181 year 7 monthsJan 201911 months2 years 6 months-14.98%
6Apr 2004Apr 20041 monthAug 20044 months5 months-14.56%
7May 2013Aug 20134 monthsApr 20148 months1 year-13.41%
8Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-13.09%
9Jul 2002Oct 20024 monthsMay 20037 months11 months-13.01%
10Jan 2005Jan 20051 monthMay 20054 months5 months-8.46%
Worst 10 drawdowns included above

Drawdowns for Gold

Drawdowns for Gold (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2011Dec 20154 years 4 monthsJul 20204 years 7 months8 years 11 months-42.91%
2Feb 1996Aug 19993 years 7 monthsDec 20034 years 4 months7 years 11 months-37.17%
3Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
4Dec 2004May 20056 monthsSep 20054 months10 months-8.64%
5May 2006Sep 20065 monthsFeb 20075 months10 months-8.63%
6Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
7Apr 2004Apr 20041 monthOct 20046 months7 months-8.31%
8Jan 2011Jan 20111 monthMar 20112 months3 months-6.38%
9Jun 2009Jun 20091 monthSep 20093 months4 months-5.22%
10Jul 2010Jul 20101 monthAug 20101 month2 months-5.09%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Total US Bond Market5.17%3.57%18.18%-2.66%-5.01%0.781.29-0.00
REIT8.88%19.24%35.66%-37.05%-68.28%0.420.600.59
Gold5.97%15.60%30.45%-28.33%-42.91%0.300.480.04

Monthly Correlations

Correlations for the portfolio assets
NameTotal US Bond MarketREITGoldUS BondsReal EstateGoldVanguard 500 Index Investor
Total US Bond Market1.000.190.281.000.190.280.01
REIT0.191.000.120.191.000.120.57
Gold0.280.121.000.280.121.000.02

Portfolio Return Decomposition

Portfolio return decomposition
NameUS BondsReal EstateGold
Total US Bond Market$28,387
REIT$86,574
Gold$36,922

Portfolio Risk Decomposition

Portfolio risk decomposition
NameUS BondsReal EstateGold
Total US Bond Market100.00%
REIT100.00%
Gold100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodUS BondsReal EstateGoldVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year5.13%18.18%-2.66%11.26%35.66%-37.05%6.11%30.45%-28.33%11.37%37.45%-37.02%
3 years5.09%10.24%1.21%10.30%25.67%-12.00%5.74%23.48%-14.45%9.93%31.03%-14.60%
5 years5.07%7.62%1.91%9.86%22.70%-1.06%6.00%21.88%-6.64%8.82%28.49%-2.38%
7 years5.10%8.27%1.92%10.11%21.68%1.89%6.73%19.45%-4.96%7.72%18.20%-1.64%
10 years5.15%7.42%3.31%10.19%14.18%5.09%8.42%18.52%0.61%6.96%13.40%-1.46%
15 years5.12%6.57%3.73%9.62%12.51%6.90%8.79%12.11%5.39%6.44%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods