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 6
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Portfolio Analysis Results (Jan 1972 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Intermediate Term Treasury 40.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 60.00%
Gold 40.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$770,302 9.47% 9.60%29.53%-18.90%-29.66% 0.510.760.97
Portfolio 2$10,000$1,067,670 10.22% 12.33%60.85%-21.70%-30.19% 0.470.730.75
   
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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketIntermediate Term TreasuryGold
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19723.41%11.55%30.71%$11,155$13,07117.62%2.72%49.02%
19738.71%-9.41%16.70%$10,105$15,254-18.18%4.47%72.96%
197412.34%-14.77%4.94%$8,613$16,007-27.81%5.70%66.15%
19756.94%25.89%9.80%$10,843$17,57737.82%7.36%-24.80%
19764.86%21.47%14.24%$13,171$20,08026.47%13.75%-4.10%
19776.70%-1.59%6.92%$12,962$21,469-3.36%1.04%22.64%
19789.02%5.69%19.68%$13,700$25,6958.45%1.15%37.01%
197913.29%16.47%60.85%$15,956$41,33124.25%5.35%126.55%
198012.52%20.69%26.73%$19,257$52,37633.15%2.88%15.19%
19818.92%1.19%-15.78%$19,487$44,111-4.15%9.41%-32.60%
19823.83%24.98%18.68%$24,354$52,35220.50%31.13%14.94%
19833.79%15.66%5.98%$28,169$55,48422.66%5.22%-16.31%
19843.95%7.23%-6.56%$30,206$51,8462.19%15.01%-19.38%
19853.80%27.86%21.08%$38,621$62,77431.27%22.24%6.00%
19861.10%15.02%17.74%$44,421$73,90714.57%15.10%18.96%
19874.43%3.95%12.35%$46,174$83,0382.61%1.55%24.53%
19884.42%12.41%3.49%$51,904$85,93517.32%5.26%-15.26%
19894.65%22.68%15.37%$63,673$99,14228.12%14.52%-2.84%
19906.11%0.24%-3.47%$63,827$95,705-6.08%9.46%-3.11%
19913.06%25.81%15.12%$80,300$110,17132.39%15.97%-8.56%
19922.90%8.69%3.09%$87,277$113,5729.11%7.78%-5.73%
19932.75%10.97%13.77%$96,847$129,21310.62%11.43%17.68%
19942.67%-1.82%-0.94%$95,085$127,999-0.17%-4.33%-2.17%
19952.54%29.53%20.97%$123,163$154,83835.79%20.44%0.98%
19963.32%13.08%10.23%$139,279$170,68520.96%1.92%-4.59%
19971.70%21.96%7.74%$169,871$183,88930.99%8.96%-21.41%
19981.61%19.35%13.94%$202,734$209,51923.26%10.61%-0.83%
19992.68%12.69%15.50%$228,459$241,99923.81%-3.52%0.85%
20003.39%-1.07%-8.23%$226,014$222,083-10.57%14.03%-5.44%
20011.55%-2.76%-5.32%$219,782$210,267-10.97%7.55%0.75%
20022.38%-7.20%-3.92%$203,954$202,014-20.96%14.15%25.57%
20031.88%19.38%26.99%$243,478$256,53031.35%2.37%19.89%
20043.26%8.95%9.48%$265,277$280,85112.52%3.40%4.65%
20053.42%4.54%10.64%$277,309$310,7365.98%2.31%17.76%
20062.54%10.50%18.49%$306,430$368,19415.51%3.14%22.55%
20074.08%7.41%15.45%$329,137$425,0805.49%9.98%30.45%
20080.09%-18.90%-21.70%$266,916$332,856-37.04%13.32%4.92%
20092.72%16.52%27.60%$311,003$424,71628.70%-1.69%24.03%
20101.50%13.86%22.70%$354,110$521,13917.09%7.35%29.27%
20112.96%5.23%5.44%$372,631$549,4700.96%9.79%9.57%
20121.74%10.91%12.41%$413,297$617,65616.25%2.67%6.60%
20131.50%17.76%5.80%$486,694$653,45733.35%-3.09%-28.33%
20140.76%9.14%6.55%$531,189$696,25312.43%4.32%-2.19%
20150.73%0.95%-4.09%$536,241$667,7760.29%1.50%-10.67%
20162.07%7.96%11.44%$578,917$744,18012.53%1.19%8.03%
20172.11%12.97%17.74%$654,003$876,20621.05%1.58%12.81%
20181.91%-2.33%-3.06%$638,757$849,354-5.26%1.00%-1.94%
20192.29%20.59%25.70%$770,302$1,067,67030.65%6.29%17.86%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.80%0.88%
Arithmetic Mean (annualized)9.97%11.05%
Geometric Mean (monthly)0.76%0.81%
Geometric Mean (annualized)9.47%10.22%
Volatility (monthly)2.77%3.56%
Volatility (annualized)9.60%12.33%
Downside Deviation (monthly)1.65%2.12%
Max. Drawdown-29.66%-30.19%
US Market Correlation0.970.75
Beta(*)0.610.60
Alpha (annualized)2.77%3.81%
R294.14%56.10%
Sharpe Ratio0.510.47
Sortino Ratio0.760.73
Treynor Ratio (%)8.049.74
Calmar Ratio1.311.77
Active Return-0.97%-0.22%
Tracking Error6.46%10.20%
Information Ratio-0.15-0.02
Skewness-0.30-0.15
Excess Kurtosis1.583.22
Historical Value-at-Risk (5%)-3.76%-4.54%
Analytical Value-at-Risk (5%)-3.76%-4.98%
Conditional Value-at-Risk (5%)-5.70%-7.17%
Upside Capture Ratio (%)64.8766.40
Downside Capture Ratio (%)55.0453.06
Safe Withdrawal Rate4.26%6.81%
Perpetual Withdrawal Rate5.10%5.74%
Positive Periods378 out of 576 (65.63%)361 out of 576 (62.67%)
Gain/Loss Ratio1.111.16
* 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 1974-7.81%-6.86%
Black Monday PeriodSep 1987Nov 1987-16.60%-14.49%
Asian CrisisJul 1997Jan 1998-2.66%-4.53%
Russian Debt DefaultJul 1998Oct 1998-9.17%-13.63%
Dotcom CrashMar 2000Oct 2002-19.37%-23.19%
Subprime CrisisNov 2007Mar 2009-29.66%-28.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-29.66%
2Jan 1973Sep 19741 year 9 monthsJan 19761 year 4 months3 years 1 month-28.11%
3Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-19.37%
4Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-16.60%
5Feb 1980Mar 19802 monthsMay 19802 months4 months-9.57%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-9.17%
7Jun 1981Sep 19814 monthsNov 19812 months6 months-8.81%
8Jul 1990Oct 19904 monthsJan 19913 months7 months-8.26%
9May 2011Sep 20115 monthsJan 20124 months9 months-7.93%
10Sep 2018Dec 20184 monthsMar 20193 months7 months-7.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1980Jun 19821 year 7 monthsJan 19837 months2 years 2 months-30.19%
2Mar 2008Feb 20091 yearNov 20099 months1 year 9 months-28.78%
3Apr 1974Sep 19746 monthsMay 19758 months1 year 2 months-24.15%
4Sep 2000Sep 20022 years 1 monthNov 20031 year 2 months3 years 3 months-23.19%
5Feb 1980Mar 19802 monthsJun 19803 months5 months-17.35%
6May 1998Aug 19984 monthsDec 19984 months8 months-14.88%
7Sep 1987Nov 19873 monthsJul 19891 year 8 months1 year 11 months-14.49%
8Jul 1983Jul 19841 year 1 monthJun 198511 months2 years-13.52%
9Jul 1975Sep 19753 monthsDec 19761 year 3 months1 year 6 months-13.06%
10Aug 1973Nov 19734 monthsJan 19742 months6 months-10.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.44%15.34%37.82%-37.04%-50.89%0.420.611.00
Intermediate Term Treasury6.94%5.80%31.13%-4.33%-10.70%0.390.600.06
Gold7.53%20.08%126.55%-32.60%-61.78%0.230.370.01

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term TreasuryGoldPortfolio 1Portfolio 2
US Stock Market-0.060.010.970.75
Intermediate Term Treasury0.06-0.080.300.10
Gold0.010.08-0.030.67

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$583,668$787,305
Intermediate Term Treasury$176,634
Gold$270,365

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market92.71%56.24%
Intermediate Term Treasury7.29%
Gold43.76%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.04%29.53%-18.90%11.02%60.85%-21.70%
3 years9.69%21.34%-4.85%9.99%34.62%-5.84%
5 years9.95%19.16%1.86%9.81%24.41%1.90%
7 years10.05%15.96%2.81%9.80%19.27%3.87%
10 years10.14%15.21%2.79%9.53%16.00%4.74%
15 years10.20%14.44%5.79%9.27%14.26%6.11%
Result statistics are based on annualized rolling returns over full calendar year periods