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 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 2000)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
10-year Treasury 40.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$227,200 11.37% 10.93%31.69%-15.07%-28.54% 0.420.630.96
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-2.99%0.57%0.57%10.23%13.22%13.82%11.37%11.50%10.71%
Trailing return and volatility are as of last full calendar month ending December 2000
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock Market10-year Treasury
19723.41%11.52%$11,15217.62%2.35%
19738.71%-9.60%$10,081-18.18%3.29%
197412.34%-15.07%$8,562-27.81%4.05%
19756.94%24.90%$10,69437.82%5.52%
19764.86%22.00%$13,04726.47%15.29%
19776.70%-1.80%$12,812-3.36%0.53%
19789.02%4.78%$13,4238.45%-0.74%
197913.29%15.28%$15,47524.25%1.83%
198012.52%19.38%$18,47333.15%-1.29%
19818.92%-0.38%$18,403-4.15%5.28%
19823.83%28.13%$23,57920.50%39.57%
19833.79%14.51%$27,00222.66%2.30%
19843.95%7.26%$28,9622.19%14.87%
19853.80%30.70%$37,85431.27%29.85%
19861.10%17.28%$44,39714.57%21.35%
19874.43%0.51%$44,6242.61%-2.64%
19884.42%13.15%$50,49217.32%6.90%
19894.65%24.01%$62,61528.12%17.84%
19906.11%-0.57%$62,260-6.08%7.70%
19913.06%27.00%$79,06932.39%18.91%
19922.90%8.36%$85,6769.11%7.23%
19932.75%11.56%$95,58410.62%12.97%
19942.67%-2.98%$92,738-0.17%-7.19%
19952.54%31.69%$122,12735.79%25.55%
19963.32%12.58%$137,48620.96%-0.00%
19971.70%23.38%$169,63430.99%11.97%
19981.61%19.81%$203,24623.26%14.64%
19992.68%11.16%$225,92123.81%-7.83%
20003.39%0.57%$227,200-10.57%17.28%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.95%
Arithmetic Mean (annualized)12.03%
Geometric Mean (monthly)0.90%
Geometric Mean (annualized)11.37%
Standard Deviation (monthly)3.15%
Standard Deviation (annualized)10.93%
Downside Deviation (monthly)1.81%
Max. Drawdown-28.54%
US Market Correlation0.96
Beta(*)0.66
Alpha (annualized)2.67%
R291.47%
Sharpe Ratio0.42
Sortino Ratio0.63
Treynor Ratio (%)6.96
Calmar Ratio1.08
Active Return-1.20%
Tracking Error6.16%
Information Ratio-0.20
Skewness-0.27
Excess Kurtosis1.22
Historical Value-at-Risk (5%)-4.22%
Analytical Value-at-Risk (5%)-4.24%
Conditional Value-at-Risk (5%)-6.10%
Upside Capture Ratio (%)70.76
Downside Capture Ratio (%)61.89
Safe Withdrawal Rate4.73%
Perpetual Withdrawal Rate5.63%
Positive Periods218 out of 348 (62.64%)
Gain/Loss Ratio1.30
* 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 1
Oil CrisisOct 1973Mar 1974-8.07%
Black Monday PeriodSep 1987Nov 1987-19.36%
Asian CrisisJul 1997Jan 1998-3.04%
Russian Debt DefaultJul 1998Oct 1998-9.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsJan 19761 year 4 months3 years 1 month-28.54%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-19.36%
3Dec 1980Sep 198110 monthsNov 19812 months1 year-10.95%
4Feb 1980Mar 19802 monthsMay 19802 months4 months-9.84%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-9.43%
6Jul 1990Sep 19903 monthsJan 19914 months7 months-9.02%
7Jul 1983May 198411 monthsAug 19843 months1 year 2 months-8.98%
8Sep 1978Oct 19782 monthsMar 19795 months7 months-8.22%
9Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.96%
10Sep 2000Nov 20003 months-7.94%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market12.57%15.72%37.82%-27.81%-45.86%0.400.591.00
10-year Treasury8.70%8.46%39.57%-7.83%-15.76%0.230.350.27

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market-10.17%-10.57%-10.57%10.92%16.68%16.70%
10-year Treasury6.78%17.28%17.28%7.41%6.77%8.82%
Trailing returns as of last calendar month ending December 2000

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock Market10-year TreasuryPortfolio 1
US Stock Market1.000.270.96
10-year Treasury0.271.000.53

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$153,903
10-year Treasury$63,298
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
NamePortfolio 1
US Stock Market83.39%
10-year Treasury16.61%
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 year12.25%54.27%-25.38%
3 years12.43%26.16%-5.04%
5 years12.58%23.56%2.44%
7 years12.61%19.59%4.04%
10 years12.89%16.38%5.39%
15 years13.14%15.88%9.36%