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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Asset 5
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Asset 6
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Portfolio Analysis Results (Jan 1972 - Dec 1974)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 80.00%
Gold 20.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,122 12.19% 15.72%23.90%3.74%-22.33% 0.410.650.69
Portfolio 2$10,000$6,947 -11.44% 17.77%17.62%-27.81%-45.86% -0.94-1.151.00
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 yearFull
Portfolio 117.29%9.87%12.19%12.19%
Portfolio 29.08%-27.81%-11.44%-11.44%
Trailing returns are for full months ending in December 1974 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketGold
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19723.41%23.90%17.62%$12,390$11,76217.62%49.02%
19738.71%3.74%-18.18%$12,854$9,623-18.18%72.96%
197412.34%9.87%-27.81%$14,122$6,947-27.81%66.15%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.06%-0.88%
Arithmetic Mean (annualized)13.51%-10.06%
Geometric Mean (monthly)0.96%-1.01%
Geometric Mean (annualized)12.19%-11.44%
Volatility (monthly)4.54%5.13%
Volatility (annualized)15.72%17.77%
Downside Deviation (monthly)2.52%3.87%
Max. Drawdown-22.33%-45.86%
US Market Correlation0.691.00
Beta(*)0.611.00
Alpha (annualized)19.16%-0.00%
R247.19%100.00%
Sharpe Ratio0.41-0.94
Sortino Ratio0.65-1.15
Treynor Ratio (%)10.62-16.84
Calmar Ratio0.55-0.25
Active Return23.63%0.00%
Tracking Error13.38%0.00%
Information Ratio1.77N/A
Skewness0.340.70
Excess Kurtosis0.493.47
Historical Value-at-Risk (5%)-6.67%-11.25%
Analytical Value-at-Risk (5%)-6.40%-9.32%
Conditional Value-at-Risk (5%)-6.89%-12.08%
Upside Capture Ratio (%)124.82100.00
Downside Capture Ratio (%)31.14100.00
Safe Withdrawal Rate38.41%25.88%
Perpetual Withdrawal Rate3.66%0.00%
Positive Periods24 out of 36 (66.67%)15 out of 36 (41.67%)
Gain/Loss Ratio0.920.85
* 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 PeriodStartEndPortfolio 1Portfolio 2
Oil CrisisOct 1973Mar 1974-7.56%-12.61%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 1974Sep 19746 months-22.33%
2Aug 1973Nov 19734 monthsJan 19742 months6 months-11.06%
3Apr 1973Apr 19731 monthMay 19731 month2 months-3.18%
4Jan 1973Jan 19731 monthFeb 19731 month2 months-1.62%
5Sep 1972Sep 19721 monthNov 19722 months3 months-1.58%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 months-45.86%
2Jun 1972Jul 19722 monthsAug 19721 month3 months-2.45%
3Sep 1972Sep 19721 monthOct 19721 month2 months-0.74%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market-11.44%17.77%17.62%-27.81%-45.86%-0.94-1.151.00
Gold62.39%32.53%72.96%49.02%-20.49%1.474.220.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGoldPortfolio 1Portfolio 2
US Stock Market1.000.050.691.00
Gold0.051.000.720.05

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market-$2,443-$3,053
Gold$6,565

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market67.69%100.00%
Gold32.31%

Annual Asset Returns

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YearUS Stock Market AllocationGold Allocation
197280.00%20.00%
197375.95%24.05%
197459.89%40.11%
197539.35%60.65%

Portfolio 2 Allocation Drift

Annual allocation drift for portfolio 2
YearUS Stock Market Allocation
1972100.00%
1973100.00%
1974100.00%
1975100.00%