Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio based on specific mutual funds, ETFs and stocks.

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Asset Allocation 
Asset Class
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 1993 - Aug 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 30.00%
Long Term Treasury 40.00%
Intermediate Term Treasury 15.00%
Gold 15.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$81,216 8.17% 6.54%25.99%-3.84%-12.66% 0.871.420.51
Vanguard Balanced Index Inv$10,000$78,969 8.06% 8.83%28.64%-22.21%-32.57% 0.650.960.99
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to August
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketLong Term TreasuryIntermediate Term TreasuryGold
Portfolio 1Vanguard Balanced Index InvPortfolio 1Vanguard Balanced Index Inv
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Vanguard Balanced Index Inv
Arithmetic Mean (monthly)0.67%0.68%
Arithmetic Mean (annualized)8.40%8.48%
Geometric Mean (monthly)0.66%0.65%
Geometric Mean (annualized)8.17%8.06%
Volatility (monthly)1.89%2.55%
Volatility (annualized)6.54%8.83%
Downside Deviation (monthly)1.08%1.65%
Max. Drawdown-12.66%-32.57%
US Market Correlation0.510.99
Alpha (annualized)4.36%0.00%
Sharpe Ratio0.870.65
Sortino Ratio1.420.96
Treynor Ratio (%)12.505.79
Calmar Ratio0.951.04
Active Return0.11%N/A
Tracking Error7.03%N/A
Information Ratio0.02N/A
Excess Kurtosis2.111.73
Historical Value-at-Risk (5%)-2.67%-3.96%
Analytical Value-at-Risk (5%)-2.43%-3.51%
Conditional Value-at-Risk (5%)-3.67%-5.65%
Upside Capture Ratio (%)58.84100.00
Downside Capture Ratio (%)25.95100.00
Safe Withdrawal Rate7.72%7.97%
Perpetual Withdrawal Rate5.61%5.51%
Positive Periods212 out of 320 (66.25%)217 out of 320 (67.81%)
Gain/Loss Ratio1.270.91
* Vanguard Balanced Index Inv 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 1Vanguard Balanced Index Inv
Asian CrisisJul 1997Jan 1998-2.47%-2.61%
Russian Debt DefaultJul 1998Oct 1998-4.55%-9.66%
Dotcom CrashMar 2000Oct 2002-4.41%-22.39%
Subprime CrisisNov 2007Mar 2009-12.66%-32.57%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsAug 200910 months1 year 6 months-12.66%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-7.72%
3Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-6.81%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.30%
5May 2013Jun 20132 monthsFeb 20148 months10 months-5.97%
6Apr 2004Apr 20041 monthOct 20046 months7 months-4.58%
7Jul 1998Aug 19982 monthsSep 19981 month3 months-4.55%
8Feb 2018Oct 20189 monthsJan 20193 months1 year-4.52%
9Feb 1999Aug 19997 monthsDec 19994 months11 months-4.50%
10Feb 2001Mar 20012 monthsOct 20017 months9 months-4.41%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.57%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.39%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.66%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.58%
7Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
8Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-3.52%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.44%14.61%35.79%-37.04%-50.89%0.530.761.00
Long Term Treasury7.53%10.10%30.09%-13.03%-16.68%0.540.90-0.21
Intermediate Term Treasury5.38%4.68%20.44%-4.33%-6.47%0.641.07-0.17

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryIntermediate Term TreasuryGoldPortfolio 1Vanguard Balanced Index Inv
US Stock Market--0.21-
Long Term Treasury-0.21-0.870.180.65-0.07
Intermediate Term Treasury-0.170.87-0.220.63-0.02

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$28,673
Long Term Treasury$27,734
Intermediate Term Treasury$6,040

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market34.19%
Long Term Treasury40.60%
Intermediate Term Treasury6.78%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard Balanced Index Inv
1 year7.90%25.99%-3.84%8.28%28.64%-22.21%
3 years7.96%14.48%2.95%8.19%21.46%-4.92%
5 years7.92%11.99%4.97%7.90%19.13%0.96%
7 years7.86%9.89%4.83%7.37%14.61%1.86%
10 years7.87%9.34%6.48%6.73%10.45%2.08%
15 years7.90%8.68%7.04%6.64%8.94%5.41%
Result statistics are based on annualized rolling returns over full calendar year periods