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 
Asset Class
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Portfolio Analysis Results (Jan 1987 - Sep 2021)

Portfolio Allocations

US Stock Market
Asset Class Allocation
US Stock Market 100.00%
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Total US Bond Market
Asset Class Allocation
Total US Bond Market 100.00%
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Asset Class Allocation
Gold 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market$10,000$357,980 10.84% 15.31%35.79%-37.04%-50.89% 0.560.801.00
Total US Bond Market$10,000$69,308 5.73% 3.80%18.18%-2.66%-5.86% 0.721.150.07
Gold$10,000$42,012 4.22% 15.15%30.45%-28.33%-48.26% 0.150.23-0.03

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
US Stock Market-0.08%15.09%31.95%15.93%16.75%16.47%10.84%19.66%15.81%
Total US Bond Market0.08%-1.66%-1.02%5.30%2.83%2.86%5.73%3.71%3.45%
Trailing return and volatility are as of last full calendar month ending September 2021
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.
  • The annual results for 2021 are based on monthly returns from January to September
  • 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
YearInflationUS Stock MarketTotal US Bond MarketGoldUS Stock MarketTotal US Bond MarketGold
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Portfolio return and risk metrics
MetricUS Stock MarketTotal US Bond MarketGold
Arithmetic Mean (monthly)0.96%0.47%0.44%
Arithmetic Mean (annualized)12.16%5.80%5.40%
Geometric Mean (monthly)0.86%0.47%0.34%
Geometric Mean (annualized)10.84%5.73%4.22%
Standard Deviation (monthly)4.42%1.10%4.37%
Standard Deviation (annualized)15.31%3.80%15.15%
Downside Deviation (monthly)2.98%0.56%2.72%
Max. Drawdown-50.89%-5.86%-48.26%
US Market Correlation1.000.07-0.03
Alpha (annualized)0.00%5.47%5.57%
Sharpe Ratio0.560.720.15
Sortino Ratio0.801.150.23
Treynor Ratio (%)8.56165.87-89.56
Calmar Ratio0.761.350.97
Active Return0.00%-5.12%-6.63%
Tracking Error0.00%15.53%21.82%
Information RatioN/A-0.33-0.30
Excess Kurtosis2.780.630.84
Historical Value-at-Risk (5%)-7.08%-1.24%-6.26%
Analytical Value-at-Risk (5%)-6.31%-1.33%-6.75%
Conditional Value-at-Risk (5%)-10.31%-1.96%-8.29%
Upside Capture Ratio (%)100.0014.044.11
Downside Capture Ratio (%)100.00-10.16-20.54
Safe Withdrawal Rate8.55%5.28%2.49%
Perpetual Withdrawal Rate7.55%2.98%1.54%
Positive Periods274 out of 417 (65.71%)285 out of 417 (68.35%)211 out of 417 (50.60%)
Gain/Loss Ratio0.911.391.27
* 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 PeriodStartEndUS Stock MarketTotal US Bond MarketGold
Black Monday PeriodSep 1987Nov 1987-29.34%-2.25%0.00%
Asian CrisisJul 1997Jan 1998-3.72%-0.85%-13.26%
Russian Debt DefaultJul 1998Oct 1998-17.57%-0.55%-7.73%
Dotcom CrashMar 2000Oct 2002-44.11%-1.91%-12.24%
Subprime CrisisNov 2007Mar 2009-50.89%-3.99%-25.83%
COVID-19 StartJan 2020Mar 2020-20.89%-0.59%-0.86%

Drawdowns for US Stock Market

Drawdowns for US Stock Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
8Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
9Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
10Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
Worst 10 drawdowns included above

Drawdowns for Total US Bond Market

Drawdowns for Total US Bond Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1987Sep 19877 monthsJan 19884 months11 months-5.86%
2Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
3Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
4Aug 2020Mar 20218 months-3.94%
5May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
6Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
7Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
8Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
9Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
10Mar 1988May 19883 monthsSep 19884 months7 months-2.64%
Worst 10 drawdowns included above

Drawdowns for Gold

Drawdowns for Gold (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1987Aug 199911 years 9 monthsDec 20056 years 4 months18 years 1 month-48.26%
2Sep 2011Dec 20154 years 4 monthsJul 20204 years 7 months8 years 11 months-42.91%
3Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
4Aug 2020Mar 20218 months-13.74%
5May 2006Sep 20065 monthsFeb 20075 months10 months-8.63%
6Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
7Jan 2011Jan 20111 monthMar 20112 months3 months-6.38%
8Jun 2009Jun 20091 monthSep 20093 months4 months-5.22%
9Jul 2010Jul 20101 monthAug 20101 month2 months-5.09%
10May 2007Jun 20072 monthsSep 20073 months5 months-4.20%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.84%15.31%35.79%-37.04%-50.89%0.560.801.00
Total US Bond Market5.73%3.80%18.18%-2.66%-5.86%0.721.150.07

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market-0.08%15.09%31.95%15.93%16.75%16.47%
Total US Bond Market0.08%-1.66%-1.02%5.30%2.83%2.86%
Trailing returns as of last calendar month ending September 2021

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketGoldUS Stock MarketTotal US Bond MarketGold
US Stock Market1.000.07-
Total US Bond Market0.

Portfolio Return Decomposition

Portfolio return decomposition
NameUS Stock MarketTotal US Bond MarketGold
US Stock Market$347,980
Total US Bond Market$59,308
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
NameUS Stock MarketTotal US Bond MarketGold
US Stock Market100.00%
Total US Bond Market100.00%
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 PeriodUS Stock MarketTotal US Bond MarketGold
1 year11.68%62.57%-43.18%6.01%18.18%-3.73%5.08%54.21%-28.33%
3 years10.54%30.70%-16.27%5.96%12.83%0.86%4.61%32.87%-15.02%
5 years10.28%26.84%-6.23%5.88%11.58%1.27%4.61%23.37%-8.25%
7 years9.97%20.35%-3.02%5.81%9.80%1.70%4.77%23.33%-6.20%
10 years9.59%18.89%-2.57%5.84%9.20%2.86%5.34%20.54%-4.99%
15 years8.39%12.74%4.25%5.82%8.59%3.61%6.45%12.12%-2.85%