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 1981 - Dec 2001)

Portfolio Allocations

10YT
Asset Class Allocation
10-year Treasury 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
10YT$10,000$88,216 10.92% 8.60%39.57%-7.83%-10.87% 0.500.820.26
Gold$10,000$4,688 -3.54% 15.48%24.53%-32.60%-56.80% -0.57-0.74-0.00
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
10YT-2.56%5.40%4.45%7.90%7.52%10.92%
Gold-5.66%0.75%-1.33%-5.62%-2.42%-3.54%
Trailing returns are for full months ending in December 2001 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.
  • 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
YearInflationReturnBalance10-year TreasuryGold
10YTGold10YTGold
19818.92%5.28%-32.60%$10,528$6,7405.28%-32.60%
19823.83%39.57%14.94%$14,694$7,74739.57%14.94%
19833.79%2.30%-16.31%$15,032$6,4842.30%-16.31%
19843.95%14.87%-19.38%$17,268$5,22814.87%-19.38%
19853.80%29.85%6.00%$22,422$5,54129.85%6.00%
19861.10%21.35%18.96%$27,209$6,59221.35%18.96%
19874.43%-2.64%24.53%$26,490$8,209-2.64%24.53%
19884.42%6.90%-15.26%$28,318$6,9566.90%-15.26%
19894.65%17.84%-2.84%$33,370$6,75917.84%-2.84%
19906.11%7.70%-3.11%$35,939$6,5497.70%-3.11%
19913.06%18.91%-8.56%$42,735$5,98818.91%-8.56%
19922.90%7.23%-5.73%$45,825$5,6457.23%-5.73%
19932.75%12.97%17.68%$51,770$6,64312.97%17.68%
19942.67%-7.19%-2.17%$48,047$6,499-7.19%-2.17%
19952.54%25.55%0.98%$60,322$6,56225.55%0.98%
19963.32%-0.00%-4.59%$60,321$6,261-0.00%-4.59%
19971.70%11.97%-21.41%$67,538$4,92111.97%-21.41%
19981.61%14.64%-0.83%$77,425$4,88014.64%-0.83%
19992.68%-7.83%0.85%$71,365$4,922-7.83%0.85%
20003.39%17.28%-5.44%$83,694$4,65417.28%-5.44%
20011.55%5.40%0.75%$88,216$4,6885.40%0.75%
Portfolio return and risk metrics
Metric10YTGold
Arithmetic Mean (monthly)0.90%-0.20%
Arithmetic Mean (annualized)11.32%-2.39%
Geometric Mean (monthly)0.87%-0.30%
Geometric Mean (annualized)10.92%-3.54%
Volatility (monthly)2.48%4.47%
Volatility (annualized)8.60%15.48%
Downside Deviation (monthly)1.21%3.10%
Max. Drawdown-10.87%-56.80%
US Market Correlation0.26-0.00
Beta(*)0.14-0.00
Alpha (annualized)8.84%-2.36%
R26.57%0.00%
Sharpe Ratio0.50-0.57
Sortino Ratio0.82-0.74
Treynor Ratio (%)29.862,362.11
Calmar Ratio0.49-0.10
Active Return-2.13%-16.60%
Tracking Error15.59%21.87%
Information Ratio-0.14-0.76
Skewness0.360.44
Excess Kurtosis0.433.48
Historical Value-at-Risk (5%)-3.27%-6.35%
Analytical Value-at-Risk (5%)-3.18%-7.55%
Conditional Value-at-Risk (5%)-3.85%-9.85%
Upside Capture Ratio (%)34.10-8.28
Downside Capture Ratio (%)-1.066.80
Safe Withdrawal Rate10.54%1.77%
Perpetual Withdrawal Rate6.72%0.00%
Positive Periods165 out of 252 (65.48%)114 out of 252 (45.24%)
Gain/Loss Ratio1.361.07
* 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 PeriodStartEnd10YTGold
Black Monday PeriodSep 1987Nov 1987-3.24%0.00%
Asian CrisisJul 1997Jan 1998-1.84%-13.26%
Russian Debt DefaultJul 1998Oct 1998-1.22%-7.73%

Drawdowns for 10YT

Drawdowns for 10YT (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1987Sep 19877 monthsJan 19884 months11 months-10.87%
2Nov 1993Nov 19941 year 1 monthMay 19956 months1 year 7 months-10.14%
3Oct 1998Jan 20001 year 4 monthsAug 20007 months1 year 11 months-9.34%
4Feb 1984May 19844 monthsAug 19843 months7 months-7.99%
5Jan 1981Sep 19819 monthsNov 19812 months11 months-7.42%
6Feb 1996May 19964 monthsNov 19966 months10 months-6.90%
7May 1983Aug 19834 monthsJan 19845 months9 months-6.29%
8Nov 2001Dec 20012 months-5.21%
9Mar 1988May 19883 monthsSep 19884 months7 months-4.60%
10Jan 1990Apr 19904 monthsJun 19902 months6 months-4.48%
Worst 10 drawdowns included above

Drawdowns for Gold

Drawdowns for Gold
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1981Aug 199918 years 8 months-56.80%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
10-year Treasury10.92%8.60%39.57%-7.83%-10.87%0.500.820.26
Gold-3.54%15.48%24.53%-32.60%-56.80%-0.57-0.74-0.00

Monthly Correlations

Correlations for the portfolio assets
Name10-year TreasuryGold10YTGold
10-year Treasury1.00-0.011.00-0.01
Gold-0.011.00-0.011.00

Portfolio Return Decomposition

Portfolio return decomposition
Name10YTGold
10-year Treasury$78,216
Gold-$5,312

Portfolio Risk Decomposition

Portfolio risk decomposition
Name10YTGold
10-year Treasury100.00%
Gold100.00%

Annual Asset Returns

Rolling returns summary
Roll Period10YTGold
AverageHighLowAverageHighLow
1 year11.52%39.57%-7.83%-2.55%24.53%-32.60%
3 years10.87%21.87%3.98%-2.49%16.23%-13.45%
5 years11.01%20.91%6.77%-2.15%5.27%-11.14%
7 years10.67%15.18%6.53%-1.69%1.96%-4.96%
10 years10.67%15.04%7.52%-1.85%2.20%-4.99%
15 years10.65%12.73%8.16%-1.70%-0.40%-2.98%
Result statistics are based on annualized rolling returns over full calendar year periods