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 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1972 - Dec 1981)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 25.00%
10-year Treasury 50.00%
Gold 25.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 3
Asset Class Allocation
10-year Treasury 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$30,662 11.86% 11.12%38.61%-6.55%-14.34% 0.360.550.49
Portfolio 2$10,000$20,124 7.24% 16.86%37.82%-27.81%-45.86% 0.040.051.00
Portfolio 3$10,000$14,131 3.52% 8.85%15.29%-1.29%-15.76% -0.45-0.600.23
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 17.78%-6.55%13.02%10.98%11.86%11.86%
Portfolio 27.73%-4.15%16.61%10.69%7.24%7.24%
Portfolio 313.71%5.28%1.90%1.09%3.52%3.52%
Trailing returns are for full months ending in December 1981 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
YearInflationReturnBalanceUS Stock Market10-year TreasuryGold
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19723.41%17.84%17.62%2.35%$11,784$11,762$10,23517.62%2.35%49.02%
19738.71%15.34%-18.18%3.29%$13,591$9,623$10,572-18.18%3.29%72.96%
197412.34%11.61%-27.81%4.05%$15,169$6,947$10,999-27.81%4.05%66.15%
19756.94%6.02%37.82%5.52%$16,081$9,574$11,60737.82%5.52%-24.80%
19764.86%13.24%26.47%15.29%$18,210$12,108$13,38226.47%15.29%-4.10%
19776.70%5.09%-3.36%0.53%$19,136$11,701$13,453-3.36%0.53%22.64%
19789.02%11.00%8.45%-0.74%$21,240$12,691$13,3538.45%-0.74%37.01%
197913.29%38.61%24.25%1.83%$29,442$15,768$13,59824.25%1.83%126.55%
198012.52%11.44%33.15%-1.29%$32,810$20,995$13,42233.15%-1.29%15.19%
19818.92%-6.55%-4.15%5.28%$30,662$20,124$14,131-4.15%5.28%-32.60%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.99%0.70%0.32%
Arithmetic Mean (annualized)12.53%8.75%3.91%
Geometric Mean (monthly)0.94%0.58%0.29%
Geometric Mean (annualized)11.86%7.24%3.52%
Volatility (monthly)3.21%4.87%2.56%
Volatility (annualized)11.12%16.86%8.85%
Downside Deviation (monthly)1.71%3.05%1.51%
Max. Drawdown-14.34%-45.86%-15.76%
US Market Correlation0.491.000.23
Beta(*)0.321.000.12
Alpha (annualized)9.17%-0.00%2.83%
R223.59%100.00%5.31%
Sharpe Ratio0.360.04-0.45
Sortino Ratio0.550.05-0.60
Treynor Ratio (%)12.650.60-32.77
Calmar Ratio0.911.180.12
Active Return4.61%0.00%-3.73%
Tracking Error15.02%0.00%17.14%
Information Ratio0.31N/A-0.22
Skewness0.090.070.89
Excess Kurtosis0.531.185.63
Historical Value-at-Risk (5%)-4.07%-7.21%-3.54%
Analytical Value-at-Risk (5%)-4.29%-7.30%-3.88%
Conditional Value-at-Risk (5%)-5.59%-10.35%-5.02%
Upside Capture Ratio (%)54.30100.0015.62
Downside Capture Ratio (%)20.41100.005.89
Safe Withdrawal Rate12.92%8.10%8.10%
Perpetual Withdrawal Rate2.89%0.00%0.00%
Positive Periods76 out of 120 (63.33%)66 out of 120 (55.00%)61 out of 120 (50.83%)
Gain/Loss Ratio1.301.201.40
* 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 2Portfolio 3
Oil CrisisOct 1973Mar 1974-1.11%-12.61%-2.76%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1980Sep 198110 months-14.34%
2Feb 1980Mar 19802 monthsJun 19803 months5 months-13.17%
3Apr 1974Sep 19746 monthsJan 19754 months10 months-11.37%
4Jul 1975Sep 19753 monthsFeb 19765 months8 months-7.68%
5Jul 1973Aug 19732 monthsJan 19745 months7 months-6.38%
6Oct 1979Oct 19791 monthDec 19792 months3 months-5.94%
7Oct 1978Nov 19782 monthsJan 19792 months4 months-5.48%
8Jan 1977Jan 19771 monthJun 19775 months6 months-3.12%
9Apr 1976Aug 19765 monthsSep 19761 month6 months-2.32%
10Aug 1972Sep 19722 monthsNov 19722 months4 months-2.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
2Dec 1980Sep 198110 months-14.12%
3Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
4Sep 1978Oct 19782 monthsMar 19795 months7 months-11.64%
5Jan 1977Feb 19781 year 2 monthsApr 19782 months1 year 4 months-9.64%
6Oct 1979Oct 19791 monthDec 19792 months3 months-7.22%
7Jun 1972Jul 19722 monthsAug 19721 month3 months-2.45%
8May 1979May 19791 monthJun 19791 month2 months-1.35%
9Jun 1978Jun 19781 monthJul 19781 month2 months-1.08%
10Sep 1972Sep 19721 monthOct 19721 month2 months-0.74%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Feb 19808 monthsMay 19803 months11 months-15.76%
2Jul 1980Sep 19811 year 3 monthsNov 19812 months1 year 5 months-14.57%
3Mar 1975Apr 19752 monthsOct 19756 months8 months-4.42%
4Dec 1973Aug 19749 monthsNov 19743 months1 year-4.33%
5Dec 1972Jul 19738 monthsSep 19732 months10 months-3.72%
6Jan 1977Jan 19771 monthJun 19775 months6 months-3.55%
7Dec 1981Dec 19811 month-3.41%
8Sep 1977Jun 197810 monthsAug 19782 months1 year-2.54%
9Sep 1978Oct 19782 monthsMar 19795 months7 months-2.31%
10Aug 1972Sep 19722 monthsNov 19722 months4 months-2.01%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.24%16.86%37.82%-27.81%-45.86%0.040.051.00
10-year Treasury3.52%8.85%15.29%-1.29%-15.76%-0.45-0.600.23
Gold24.75%30.48%126.55%-32.60%-44.24%0.621.150.04

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock Market10-year TreasuryGoldPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.000.230.040.491.000.23
10-year Treasury0.231.000.010.480.231.00
Gold0.040.011.000.790.040.01

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$5,097$10,124
10-year Treasury$3,083$4,131
Gold$12,482

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market20.00%100.00%
10-year Treasury20.89%100.00%
Gold59.11%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.36%38.61%-6.55%9.43%37.82%-27.81%3.61%15.29%-1.29%
3 years12.99%19.69%8.05%8.26%21.51%-11.44%3.72%8.18%-0.08%
5 years12.13%15.33%9.34%9.17%17.81%-0.10%4.13%6.00%1.09%
7 years12.33%13.98%10.58%8.98%16.41%3.46%3.87%4.22%3.47%
10 years11.86%11.86%11.86%7.24%7.24%7.24%3.52%3.52%3.52%
Result statistics are based on annualized rolling returns over full calendar year periods