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.

$ .00
$ .00
%
%
%
Asset Allocation 
Asset Class
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1987 - Dec 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 25.00%
Long Term Treasury 25.00%
Cash 25.00%
Gold 25.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 25.00%
Total US Bond Market 50.00%
Gold 25.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 13.75%
Long Term Treasury 11.25%
Total US Bond Market 50.00%
Gold 25.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$89,024 6.85% 5.80%18.14%-2.97%-13.52% 0.631.010.56
Portfolio 2$10,000$93,606 7.01% 5.83%18.28%-5.50%-14.97% 0.661.030.63
Portfolio 3$10,000$82,941 6.62% 5.44%17.64%-5.09%-12.47% 0.631.040.34
   
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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketLong Term TreasuryCashGoldTotal US Bond Market
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19874.43%7.54%7.55%6.93%$10,754$10,755$10,6932.61%-2.92%5.93%24.53%1.54%
19884.42%4.50%4.19%3.27%$11,238$11,206$11,04317.32%9.15%6.80%-15.26%7.35%
19894.65%12.96%13.14%12.00%$12,694$12,679$12,36828.12%17.93%8.61%-2.84%13.64%
19906.11%1.12%2.03%3.36%$12,836$12,936$12,784-6.08%5.78%7.89%-3.11%8.65%
19913.06%11.74%13.58%11.90%$14,344$14,693$14,30532.39%17.43%5.71%-8.56%15.25%
19922.90%3.59%4.41%4.22%$14,858$15,341$14,9099.11%7.41%3.57%-5.73%7.14%
19932.75%12.03%11.92%12.61%$16,646$17,170$16,78910.62%16.78%3.05%17.68%9.68%
19942.67%-1.29%-1.91%-2.69%$16,431$16,841$16,338-0.17%-7.04%4.20%-2.17%-2.66%
19952.54%18.14%18.28%17.64%$19,412$19,920$19,22035.79%30.09%5.71%0.98%18.18%
19963.32%5.07%5.88%3.39%$20,396$21,092$19,87120.96%-1.26%5.17%-4.59%3.58%
19971.70%7.18%7.12%5.20%$21,860$22,594$20,90330.99%13.90%5.22%-21.41%9.44%
19981.61%10.12%9.90%8.75%$24,072$24,831$22,73223.26%13.05%4.97%-0.83%8.58%
19992.68%5.19%5.79%2.13%$25,322$26,267$23,21723.81%-8.66%4.77%0.85%-0.76%
20003.39%2.42%1.69%5.10%$25,936$26,712$24,401-10.57%19.72%5.99%-5.44%11.39%
20011.55%-0.55%1.66%3.38%$25,792$27,155$25,225-10.97%4.31%3.70%0.75%8.43%
20022.38%5.73%5.28%9.52%$27,271$28,589$27,625-20.96%16.67%1.65%25.57%8.26%
20031.88%13.74%14.80%11.57%$31,018$32,819$30,82231.35%2.68%1.04%19.89%3.97%
20043.26%6.40%6.41%5.80%$33,004$34,923$32,61012.52%7.12%1.32%4.65%4.24%
20053.42%8.37%7.13%7.20%$35,767$37,414$34,9605.98%6.61%3.14%17.76%2.40%
20062.54%11.16%11.65%10.10%$39,757$41,772$38,49115.51%1.74%4.82%22.55%4.27%
20074.08%12.44%12.45%12.87%$44,701$46,972$43,4445.49%9.24%4.56%30.45%6.92%
20080.09%-2.02%-5.50%1.20%$43,799$44,387$43,964-37.04%22.51%1.53%4.92%5.05%
20092.72%10.21%16.15%11.56%$48,269$51,555$49,04828.70%-12.06%0.16%24.03%5.93%
20101.50%13.86%14.80%13.88%$54,959$59,186$55,85717.09%8.93%0.14%29.27%6.42%
20112.96%9.97%6.41%9.60%$60,437$62,980$61,2170.96%29.28%0.07%9.57%7.56%
20121.74%6.60%7.74%6.30%$64,425$67,853$65,07216.25%3.46%0.08%6.60%4.05%
20131.50%-1.99%0.12%-5.09%$63,144$67,937$61,75833.35%-13.03%0.05%-28.33%-2.26%
20140.76%8.89%5.44%6.88%$68,756$71,632$66,00912.43%25.27%0.03%-2.19%5.76%
20150.73%-2.97%-2.45%-2.65%$66,717$69,880$64,2590.29%-1.54%0.05%-10.67%0.30%
20162.07%5.52%6.39%5.12%$70,398$74,347$67,54812.53%1.21%0.30%8.03%2.50%
20172.11%10.83%10.19%8.79%$78,024$81,923$73,48521.05%8.59%0.88%12.81%3.45%
20181.91%-1.80%-1.86%-1.49%$76,620$80,397$72,393-5.26%-1.90%1.90%-1.94%-0.13%
20192.29%16.19%16.43%14.57%$89,024$93,606$82,94130.65%14.13%2.13%17.86%8.61%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.57%0.58%0.55%
Arithmetic Mean (annualized)7.03%7.19%6.78%
Geometric Mean (monthly)0.55%0.57%0.54%
Geometric Mean (annualized)6.85%7.01%6.62%
Volatility (monthly)1.67%1.68%1.57%
Volatility (annualized)5.80%5.83%5.44%
Downside Deviation (monthly)0.94%0.96%0.84%
Max. Drawdown-13.52%-14.97%-12.47%
US Market Correlation0.560.630.34
Beta(*)0.220.250.13
Alpha (annualized)4.41%4.24%5.20%
R231.58%40.22%11.82%
Sharpe Ratio0.630.660.63
Sortino Ratio1.011.031.04
Treynor Ratio (%)16.9615.5827.66
Calmar Ratio1.952.071.70
Active Return-3.49%-3.33%-3.72%
Tracking Error12.64%12.12%14.04%
Information Ratio-0.28-0.27-0.27
Skewness-0.39-0.55-0.18
Excess Kurtosis2.452.922.12
Historical Value-at-Risk (5%)-2.16%-1.92%-1.72%
Analytical Value-at-Risk (5%)-2.19%-2.19%-2.04%
Conditional Value-at-Risk (5%)-3.13%-3.19%-2.75%
Upside Capture Ratio (%)29.6932.2322.83
Downside Capture Ratio (%)11.0514.59-0.17
Safe Withdrawal Rate5.35%5.53%5.25%
Perpetual Withdrawal Rate3.99%4.13%3.78%
Positive Periods257 out of 396 (64.90%)260 out of 396 (65.66%)254 out of 396 (64.14%)
Gain/Loss Ratio1.301.271.37
* 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
Black Monday PeriodSep 1987Nov 1987-5.75%-5.82%-2.50%
Asian CrisisJul 1997Jan 1998-1.72%-1.60%-1.41%
Russian Debt DefaultJul 1998Oct 1998-5.34%-5.58%-2.98%
Dotcom CrashMar 2000Oct 2002-5.44%-4.81%-2.78%
Subprime CrisisNov 2007Mar 2009-13.52%-14.97%-12.47%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-13.52%
2Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-6.78%
3Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-6.65%
4Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-6.45%
5Sep 1987Nov 19873 monthsDec 19881 year 1 month1 year 4 months-5.75%
6Sep 2000Mar 20017 monthsMar 20021 year1 year 7 months-5.44%
7Jul 1998Aug 19982 monthsOct 19982 months4 months-5.34%
8Jan 1990Apr 19904 monthsDec 19908 months1 year-4.50%
9Feb 2018Oct 20189 monthsFeb 20194 months1 year 1 month-4.18%
10Apr 2004Apr 20041 monthOct 20046 months7 months-3.99%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-14.97%
2Apr 2013Jun 20133 monthsFeb 20148 months11 months-5.83%
3Sep 1987Oct 19872 monthsOct 19881 year1 year 2 months-5.82%
4May 1998Aug 19984 monthsNov 19983 months7 months-5.66%
5Feb 2015Dec 201511 monthsMar 20163 months1 year 2 months-4.95%
6Aug 2016Nov 20164 monthsApr 20175 months9 months-4.93%
7Jun 2002Jul 20022 monthsDec 20025 months7 months-4.81%
8Sep 2011Sep 20111 monthJan 20124 months5 months-4.54%
9Jan 1990Apr 19904 monthsJul 19903 months7 months-4.41%
10Sep 2000Mar 20017 monthsNov 20018 months1 year 3 months-4.32%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsJul 20099 months1 year 5 months-12.47%
2Oct 2012Jun 20139 monthsAug 20141 year 2 months1 year 11 months-8.27%
3Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-6.90%
4Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-6.36%
5Jan 1990Apr 19904 monthsJul 19903 months7 months-4.52%
6Feb 1999Aug 19997 monthsOct 19992 months9 months-4.41%
7Feb 1994Apr 19943 monthsMar 199511 months1 year 2 months-4.36%
8Apr 2004Apr 20041 monthOct 20046 months7 months-4.29%
9Feb 2018Oct 20189 monthsJan 20193 months1 year-4.16%
10Dec 1996Mar 19974 monthsMay 19972 months6 months-2.99%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.34%14.95%35.79%-37.04%-50.89%0.530.751.00
Long Term Treasury7.46%9.81%30.09%-13.03%-16.68%0.470.77-0.13
Cash3.16%0.72%8.61%0.03%0.00%N/AN/A0.01
Gold4.01%15.07%30.45%-28.33%-48.26%0.130.20-0.05
Total US Bond Market5.86%3.81%18.18%-2.66%-5.86%0.711.130.06

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryCashGoldTotal US Bond MarketPortfolio 1Portfolio 2Portfolio 3
US Stock Market--0.130.01-0.050.060.560.630.34
Long Term Treasury-0.13-0.040.120.870.430.280.55
Cash0.010.04--0.070.160.010.020.02
Gold-0.050.12-0.07-0.140.670.670.75
Total US Bond Market0.060.870.160.14-0.510.460.65

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$34,135$35,596$18,553
Long Term Treasury$21,543$9,465
Cash$6,008
Gold$17,339$18,243$17,036
Total US Bond Market$29,767$27,887

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market36.90%41.23%13.14%
Long Term Treasury18.55%11.21%
Cash0.04%
Gold44.51%43.60%52.67%
Total US Bond Market15.17%22.99%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.00%18.14%-2.97%7.18%18.28%-5.50%6.76%17.64%-5.09%
3 years6.79%11.33%1.17%6.97%12.37%0.99%6.61%11.67%-0.42%
5 years6.75%10.39%3.10%6.93%10.44%3.37%6.60%9.83%1.99%
7 years6.82%9.03%3.45%7.00%8.88%3.55%6.67%9.41%2.42%
10 years6.97%8.98%5.73%7.14%9.03%5.72%6.87%9.27%5.11%
15 years6.93%7.62%6.21%7.10%7.75%6.16%6.93%7.86%5.86%
Result statistics are based on annualized rolling returns over full calendar year periods