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 1972 - Dec 1983)

Portfolio Allocations

US Stock Market
Asset Class Allocation
US Stock Market 100.00%
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10-year Treasury
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
US Stock Market$10,000$29,743 9.51% 16.61%37.82%-27.81%-45.86% 0.140.211.00
10-year Treasury$10,000$20,176 6.02% 9.28%39.57%-1.29%-15.76% -0.20-0.290.28
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
US Stock Market-0.90%22.66%12.31%18.57%11.95%9.51%15.07%15.98%
10-year Treasury0.69%2.30%14.55%8.60%6.68%6.02%12.44%13.07%
Trailing annualized return and volatility are for full months ending in December 1983 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
YearInflationUS Stock Market10-year TreasuryUS Stock Market10-year Treasury
ReturnBalanceReturnBalance
19723.41%17.62%$11,7622.35%$10,23517.62%2.35%
19738.71%-18.18%$9,6233.29%$10,572-18.18%3.29%
197412.34%-27.81%$6,9474.05%$10,999-27.81%4.05%
19756.94%37.82%$9,5745.52%$11,60737.82%5.52%
19764.86%26.47%$12,10815.29%$13,38226.47%15.29%
19776.70%-3.36%$11,7010.53%$13,453-3.36%0.53%
19789.02%8.45%$12,691-0.74%$13,3538.45%-0.74%
197913.29%24.25%$15,7681.83%$13,59824.25%1.83%
198012.52%33.15%$20,995-1.29%$13,42233.15%-1.29%
19818.92%-4.15%$20,1245.28%$14,131-4.15%5.28%
19823.83%20.50%$24,24939.57%$19,72320.50%39.57%
19833.79%22.66%$29,7432.30%$20,17622.66%2.30%
Portfolio return and risk metrics
MetricUS Stock Market10-year Treasury
Arithmetic Mean (monthly)0.87%0.52%
Arithmetic Mean (annualized)10.99%6.47%
Geometric Mean (monthly)0.76%0.49%
Geometric Mean (annualized)9.51%6.02%
Volatility (monthly)4.80%2.68%
Volatility (annualized)16.61%9.28%
Downside Deviation (monthly)2.87%1.46%
Max. Drawdown-45.86%-15.76%
US Market Correlation1.000.28
Beta(*)1.000.16
Alpha (annualized)0.00%4.64%
R2100.00%7.87%
Sharpe Ratio0.14-0.20
Sortino Ratio0.21-0.29
Treynor Ratio (%)2.33-11.86
Calmar Ratio0.741.96
Active Return0.00%-3.49%
Tracking Error0.00%16.60%
Information RatioN/A-0.21
Skewness0.130.79
Excess Kurtosis1.123.65
Historical Value-at-Risk (5%)-6.32%-3.38%
Analytical Value-at-Risk (5%)-7.01%-3.88%
Conditional Value-at-Risk (5%)-9.45%-4.66%
Upside Capture Ratio (%)100.0022.09
Downside Capture Ratio (%)100.004.09
Safe Withdrawal Rate7.06%6.77%
Perpetual Withdrawal Rate1.55%0.00%
Positive Periods81 out of 144 (56.25%)77 out of 144 (53.47%)
Gain/Loss Ratio1.261.53
* 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 Market10-year Treasury
Oil CrisisOct 1973Mar 1974-12.61%-2.76%

Drawdowns for US Stock Market

Drawdowns for US Stock Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
2Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
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%
7Jul 1983Oct 19834 months-4.00%
8Jun 1972Jul 19722 monthsAug 19721 month3 months-2.45%
9May 1979May 19791 monthJun 19791 month2 months-1.35%
10Jun 1978Jun 19781 monthJul 19781 month2 months-1.08%
Worst 10 drawdowns included above

Drawdowns for 10-year Treasury

Drawdowns for 10-year Treasury (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%
3May 1983Aug 19834 months-6.29%
4Mar 1975Apr 19752 monthsOct 19756 months8 months-4.42%
5Dec 1973Aug 19749 monthsNov 19743 months1 year-4.33%
6Dec 1972Jul 19738 monthsSep 19732 months10 months-3.72%
7Jan 1977Jan 19771 monthJun 19775 months6 months-3.55%
8Dec 1981Dec 19811 monthApr 19824 months5 months-3.41%
9Jun 1982Jun 19821 monthJul 19821 month2 months-2.66%
10Sep 1977Jun 197810 monthsAug 19782 months1 year-2.54%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.51%16.61%37.82%-27.81%-45.86%0.140.211.00
10-year Treasury6.02%9.28%39.57%-1.29%-15.76%-0.20-0.290.28

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock Market10-year TreasuryUS Stock Market10-year Treasury
US Stock Market1.000.281.000.28
10-year Treasury0.281.000.281.00

Portfolio Return Decomposition

Portfolio return decomposition
NameUS Stock Market10-year Treasury
US Stock Market$19,743
10-year Treasury$10,176

Portfolio Risk Decomposition

Portfolio risk decomposition
NameUS Stock Market10-year Treasury
US Stock Market100.00%
10-year Treasury100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodUS Stock Market10-year Treasury
AverageHighLowAverageHighLow
1 year11.08%66.73%-41.09%6.85%42.48%-11.12%
3 years10.01%23.67%-11.44%5.28%18.81%-2.91%
5 years10.52%19.65%-0.71%4.94%8.92%-0.08%
7 years10.39%16.62%2.91%4.91%8.03%2.42%
10 years8.41%12.20%5.29%5.75%7.20%3.52%