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
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Asset 2
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Asset 3
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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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Portfolio Analysis Results (Jan 1978 - Nov 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 33.34%
Long Term Treasury 33.33%
Gold 33.33%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$200,000$8,494,959 9.36% 9.46%49.56%-12.03%-20.95% 0.530.840.58
   
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.
  • The annual results for 2019 are based on full calendar months from January to November
  • 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
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketLong Term TreasuryGold
19789.02%14.64%$229,2778.45%-1.55%37.01%
197913.29%49.56%$342,91224.25%-2.10%126.55%
198012.52%14.45%$392,46833.15%-4.99%15.19%
19818.92%-12.03%$345,252-4.15%0.65%-32.60%
19823.83%27.51%$440,23920.50%47.10%14.94%
19833.79%1.69%$447,67422.66%-1.29%-16.31%
19843.95%-0.32%$446,2522.19%16.24%-19.38%
19853.80%24.72%$556,58231.27%36.90%6.00%
19861.10%21.47%$676,05614.57%30.87%18.96%
19874.43%8.07%$730,6282.61%-2.92%24.53%
19884.42%3.74%$757,94517.32%9.15%-15.26%
19894.65%14.41%$867,13328.12%17.93%-2.84%
19906.11%-1.14%$857,277-6.08%5.78%-3.11%
19913.06%13.76%$975,21232.39%17.43%-8.56%
19922.90%3.59%$1,010,2559.11%7.41%-5.73%
19932.75%15.03%$1,162,08310.62%16.78%17.68%
19942.67%-3.13%$1,125,766-0.17%-7.04%-2.17%
19952.54%22.29%$1,376,66435.79%30.09%0.98%
19963.32%5.04%$1,446,06720.96%-1.26%-4.59%
19971.70%7.83%$1,559,32330.99%13.90%-21.41%
19981.61%11.83%$1,743,80623.26%13.05%-0.83%
19992.68%5.34%$1,836,86823.81%-8.66%0.85%
20003.39%1.23%$1,859,529-10.57%19.72%-5.44%
20011.55%-1.97%$1,822,869-10.97%4.31%0.75%
20022.38%7.09%$1,952,142-20.96%16.67%25.57%
20031.88%17.97%$2,303,02231.35%2.68%19.89%
20043.26%8.10%$2,489,45412.52%7.12%4.65%
20053.42%10.12%$2,741,2775.98%6.61%17.76%
20062.54%13.27%$3,104,95915.51%1.74%22.55%
20074.08%15.06%$3,572,5785.49%9.24%30.45%
20080.09%-3.20%$3,458,122-37.04%22.51%4.92%
20092.72%13.56%$3,926,97828.70%-12.06%24.03%
20101.50%18.43%$4,650,76117.09%8.93%29.27%
20112.96%13.27%$5,267,7870.96%29.28%9.57%
20121.74%8.77%$5,729,88816.25%3.46%6.60%
20131.50%-2.67%$5,577,17133.35%-13.03%-28.33%
20140.76%11.84%$6,237,44212.43%25.27%-2.19%
20150.73%-3.97%$5,989,7140.29%-1.54%-10.67%
20162.07%7.26%$6,424,50912.53%1.21%8.03%
20172.11%14.15%$7,333,65321.05%8.59%12.81%
20181.91%-3.03%$7,111,133-5.26%-1.90%-1.94%
20192.43%19.46%$8,494,95927.03%17.65%13.70%
Annual returns for 2019 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.79%
Arithmetic Mean (annualized)9.84%
Geometric Mean (monthly)0.75%
Geometric Mean (annualized)9.36%
Volatility (monthly)2.73%
Volatility (annualized)9.46%
Downside Deviation (monthly)1.52%
Max. Drawdown-20.95%
US Market Correlation0.58
Beta(*)0.36
Alpha (annualized)5.03%
R233.32%
Sharpe Ratio0.53
Sortino Ratio0.84
Treynor Ratio (%)14.00
Calmar Ratio1.62
Active Return-2.20%
Tracking Error12.37%
Information Ratio-0.18
Skewness0.06
Excess Kurtosis3.15
Historical Value-at-Risk (5%)-3.21%
Analytical Value-at-Risk (5%)-3.71%
Conditional Value-at-Risk (5%)-4.93%
Upside Capture Ratio (%)44.15
Downside Capture Ratio (%)24.29
Safe Withdrawal Rate6.43%
Perpetual Withdrawal Rate5.52%
Positive Periods314 out of 503 (62.43%)
Gain/Loss Ratio1.32
* 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
Black Monday PeriodSep 1987Nov 1987-7.94%
Asian CrisisJul 1997Jan 1998-2.40%
Russian Debt DefaultJul 1998Oct 1998-7.30%
Dotcom CrashMar 2000Oct 2002-8.30%
Subprime CrisisNov 2007Mar 2009-18.23%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1980Mar 19821 year 4 monthsOct 19827 months1 year 11 months-20.95%
2Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-18.23%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-15.54%
4May 1983Jul 19841 year 3 monthsMar 19858 months1 year 11 months-10.16%
5Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-8.79%
6Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-8.74%
7Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-8.51%
8Sep 2000Mar 20017 monthsMay 20021 year 2 months1 year 9 months-8.30%
9Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-7.94%
10Jul 1998Aug 19982 monthsNov 19983 months5 months-7.30%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.55%15.12%35.79%-37.04%-50.89%0.510.741.00
Long Term Treasury8.53%11.05%47.10%-13.03%-23.12%0.400.650.04
Gold5.18%18.82%126.55%-32.60%-61.78%0.130.200.04

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryGoldPortfolio 1
US Stock Market-0.040.040.58
Long Term Treasury0.04-0.070.46
Gold0.040.07-0.73

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$3,878,454
Long Term Treasury$2,570,400
Gold$1,846,105

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market31.67%
Long Term Treasury18.41%
Gold49.92%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.60%49.56%-12.03%
3 years8.98%25.20%1.49%
5 years8.83%17.09%4.05%
7 years8.82%13.51%4.38%
10 years8.83%13.83%6.45%
15 years8.63%11.43%6.77%
Result statistics are based on annualized rolling returns over full calendar year periods