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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Asset Allocation 
Asset Class
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 2000 - Dec 2021)

Portfolio Allocations

PINWHEEL
Asset Class Allocation
Short Term Treasury 10.00%
10-year Treasury 15.00%
US Stock Market 15.00%
US Small Cap Value 10.00%
Global ex-US Stock Market 15.00%
Emerging Markets 10.00%
REIT 15.00%
Gold 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PINWHEEL$10,000$54,718 8.03% 10.60%27.84%-21.97%-36.42% 0.640.940.87
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
PINWHEEL5.30%13.03%13.03%14.38%9.78%8.10%8.03%11.29%9.69%
Trailing return and volatility are as of last full calendar month ending December 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.
  • 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
YearInflationPINWHEEL ReturnPINWHEEL BalanceShort Term Treasury10-year TreasuryUS Stock MarketUS Small Cap ValueGlobal ex-US Stock MarketEmerging MarketsREITGold
20003.39%2.39%$10,2398.83%17.28%-10.57%21.88%-15.61%-27.56%26.35%-5.44%
20011.55%-0.07%$10,2327.80%5.40%-10.97%13.70%-20.15%-2.88%12.35%0.75%
20022.38%-1.33%$10,0968.02%15.45%-20.96%-14.20%-15.08%-7.43%3.75%25.57%
20031.88%27.84%$12,9062.38%0.15%31.35%37.19%40.34%57.65%35.66%19.89%
20043.26%15.83%$14,9481.03%4.50%12.52%23.55%20.84%26.12%30.76%4.65%
20053.42%11.23%$16,6281.77%3.01%5.98%6.07%15.57%32.05%11.89%17.76%
20062.54%19.41%$19,8553.77%2.19%15.51%19.24%26.64%29.39%35.07%22.55%
20074.08%9.26%$21,6947.89%10.42%5.49%-7.07%15.52%38.90%-16.46%30.45%
20080.09%-21.97%$16,9276.68%20.53%-37.04%-32.05%-44.10%-52.81%-37.05%4.92%
20092.72%25.90%$21,3111.44%-10.17%28.70%30.34%36.73%75.98%29.58%24.03%
20101.50%17.22%$24,9822.63%7.92%17.09%24.82%11.12%18.86%28.30%29.27%
20112.96%0.55%$25,1202.26%16.24%0.96%-4.16%-14.56%-18.78%8.47%9.57%
20121.74%12.65%$28,2970.69%2.73%16.25%18.56%18.14%18.64%17.53%6.60%
20131.50%6.60%$30,165-0.10%-8.57%33.35%36.41%15.04%-5.19%2.31%-28.33%
20140.76%8.28%$32,6620.71%10.63%12.43%10.39%-4.24%0.42%30.13%-2.19%
20150.73%-3.16%$31,6300.45%1.12%0.29%-4.77%-4.38%-15.47%2.22%-10.67%
20162.07%8.50%$34,3181.00%1.00%12.53%24.65%4.65%11.50%8.34%8.03%
20172.11%13.95%$39,1070.40%2.39%21.05%11.67%27.40%31.15%4.83%12.81%
20181.91%-6.49%$36,5701.35%0.99%-5.26%-12.34%-14.44%-14.71%-6.11%-1.94%
20192.29%19.75%$43,7933.59%8.03%30.65%22.61%21.43%20.13%28.78%17.86%
20201.36%10.54%$48,4113.96%10.01%20.87%5.72%11.16%15.05%-4.78%24.81%
20217.04%13.03%$54,718-0.87%-3.33%25.59%27.96%8.61%0.73%40.19%-4.15%
Portfolio return and risk metrics
MetricPINWHEEL
Arithmetic Mean (monthly)0.69%
Arithmetic Mean (annualized)8.64%
Geometric Mean (monthly)0.65%
Geometric Mean (annualized)8.03%
Standard Deviation (monthly)3.06%
Standard Deviation (annualized)10.60%
Downside Deviation (monthly)2.03%
Max. Drawdown-36.42%
US Market Correlation0.87
Beta(*)0.60
Alpha (annualized)3.13%
R276.34%
Sharpe Ratio0.64
Sortino Ratio0.94
Treynor Ratio (%)11.37
Calmar Ratio1.02
Active Return0.30%
Tracking Error8.09%
Information Ratio0.04
Skewness-0.93
Excess Kurtosis3.98
Historical Value-at-Risk (5%)-4.14%
Analytical Value-at-Risk (5%)-4.34%
Conditional Value-at-Risk (5%)-6.82%
Upside Capture Ratio (%)64.95
Downside Capture Ratio (%)54.37
Safe Withdrawal Rate7.71%
Perpetual Withdrawal Rate5.29%
Positive Periods171 out of 264 (64.77%)
Gain/Loss Ratio1.00
* 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 PeriodStartEndPINWHEEL
Dotcom CrashMar 2000Oct 2002-10.20%
Subprime CrisisNov 2007Mar 2009-36.42%
COVID-19 StartJan 2020Mar 2020-14.15%

Drawdowns for PINWHEEL

Drawdowns for PINWHEEL (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-36.42%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-14.15%
3May 2011Sep 20115 monthsFeb 20125 months10 months-11.58%
4Jun 2002Sep 20024 monthsMay 20038 months1 year-10.20%
5Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-8.46%
6Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-8.32%
7May 2015Jan 20169 monthsJun 20165 months1 year 2 months-8.17%
8May 2010Jun 20102 monthsSep 20103 months5 months-6.31%
9Apr 2004Apr 20041 monthSep 20045 months6 months-6.13%
10Sep 2000Nov 20003 monthsJan 20012 months5 months-5.98%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Short Term Treasury2.95%1.74%8.83%-0.87%-1.46%0.861.61-0.35
10-year Treasury5.08%7.19%20.53%-10.17%-10.21%0.520.84-0.34
US Stock Market7.73%15.49%33.35%-37.04%-50.89%0.460.661.00
US Small Cap Value10.30%19.21%37.19%-32.05%-56.13%0.530.760.89
Global ex-US Stock Market4.21%17.18%40.34%-44.10%-58.50%0.240.330.88
Emerging Markets6.61%21.40%75.98%-52.81%-62.70%0.340.490.79
REIT11.51%20.60%40.19%-37.05%-68.28%0.560.810.63
Gold8.37%16.40%30.45%-28.33%-42.91%0.480.780.05

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
Short Term Treasury-0.59%-0.87%-0.87%2.20%1.67%1.11%
10-year Treasury0.12%-3.33%-3.33%4.73%3.51%2.35%
US Stock Market9.12%25.59%25.59%25.64%17.86%16.16%
US Small Cap Value6.34%27.96%27.96%18.37%10.18%13.15%
Global ex-US Stock Market2.09%8.61%8.61%13.60%9.83%7.61%
Emerging Markets-0.45%0.73%0.73%11.66%9.26%5.19%
REIT14.86%40.19%40.19%19.79%11.09%11.36%
Gold4.10%-4.15%-4.15%12.13%9.30%1.18%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
NameShort Term Treasury10-year TreasuryUS Stock MarketUS Small Cap ValueGlobal ex-US Stock MarketEmerging MarketsREITGoldPINWHEEL
Short Term Treasury1.000.78-0.35-0.29-0.24-0.21-0.070.27-0.10
10-year Treasury0.781.00-0.34-0.33-0.26-0.25-0.050.26-0.09
US Stock Market-0.35-0.341.000.890.880.790.630.050.87
US Small Cap Value-0.29-0.330.891.000.810.740.730.030.87
Global ex-US Stock Market-0.24-0.260.880.811.000.910.620.210.92
Emerging Markets-0.21-0.250.790.740.911.000.540.280.88
REIT-0.07-0.050.630.730.620.541.000.120.80
Gold0.270.260.050.030.210.280.121.000.35

Portfolio Return Decomposition

Portfolio return decomposition
NamePINWHEEL
Short Term Treasury$1,227
10-year Treasury$3,734
US Stock Market$9,744
US Small Cap Value$6,189
Global ex-US Stock Market$5,256
Emerging Markets$4,468
REIT$9,896
Gold$4,203
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
NamePINWHEEL
Short Term Treasury-0.16%
10-year Treasury-0.91%
US Stock Market18.65%
US Small Cap Value15.38%
Global ex-US Stock Market21.76%
Emerging Markets17.21%
REIT22.75%
Gold5.33%
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 PeriodAverageHighLow
1 year8.76%47.60%-32.47%
3 years8.29%23.40%-6.37%
5 years8.31%18.22%1.51%
7 years8.05%12.42%3.58%
10 years8.09%11.61%5.38%
15 years8.02%9.69%6.49%