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 1977 - Oct 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Short Term Treasury 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Gold 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$119,964 5.83% 3.08%22.12%-0.48%-4.26% 0.450.730.05
Portfolio 2$10,000$130,287 6.03% 18.61%126.55%-32.60%-61.78% 0.170.260.05
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 10.18%3.86%3.96%2.81%1.93%1.33%5.83%
Portfolio 2-4.98%23.30%23.71%13.45%10.02%2.88%6.03%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
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 2020 are based on monthly returns from January to October
  • 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationReturnBalanceShort Term TreasuryGold
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19776.70%2.91%22.64%$10,291$12,2642.91%22.64%
19789.02%3.35%37.01%$10,635$16,8033.35%37.01%
197913.29%8.08%126.55%$11,494$38,0678.08%126.55%
198012.52%8.81%15.19%$12,507$43,8488.81%15.19%
19818.92%14.26%-32.60%$14,290$29,55414.26%-32.60%
19823.83%22.12%14.94%$17,452$33,97022.12%14.94%
19833.79%8.00%-16.31%$18,847$28,4318.00%-16.31%
19843.95%14.01%-19.38%$21,487$22,92214.01%-19.38%
19853.80%13.83%6.00%$24,460$24,29713.83%6.00%
19861.10%10.35%18.96%$26,992$28,90310.35%18.96%
19874.43%4.78%24.53%$28,283$35,9934.78%24.53%
19884.42%5.67%-15.26%$29,888$30,5025.67%-15.26%
19894.65%11.48%-2.84%$33,318$29,63611.48%-2.84%
19906.11%9.92%-3.11%$36,623$28,7149.92%-3.11%
19913.06%11.49%-8.56%$40,832$26,25711.49%-8.56%
19922.90%6.75%-5.73%$43,587$24,7516.75%-5.73%
19932.75%6.31%17.68%$46,335$29,1266.31%17.68%
19942.67%-0.48%-2.17%$46,114$28,494-0.48%-2.17%
19952.54%12.11%0.98%$51,698$28,77312.11%0.98%
19963.32%4.39%-4.59%$53,969$27,4544.39%-4.59%
19971.70%6.51%-21.41%$57,481$21,5766.51%-21.41%
19981.61%7.36%-0.83%$61,711$21,3987.36%-0.83%
19992.68%1.85%0.85%$62,853$21,5801.85%0.85%
20003.39%8.83%-5.44%$68,405$20,4058.83%-5.44%
20011.55%7.80%0.75%$73,739$20,5587.80%0.75%
20022.38%8.02%25.57%$79,653$25,8148.02%25.57%
20031.88%2.38%19.89%$81,552$30,9482.38%19.89%
20043.26%1.03%4.65%$82,392$32,3871.03%4.65%
20053.42%1.77%17.76%$83,848$38,1391.77%17.76%
20062.54%3.77%22.55%$87,007$46,7393.77%22.55%
20074.08%7.89%30.45%$93,868$60,9737.89%30.45%
20080.09%6.68%4.92%$100,137$63,9756.68%4.92%
20092.72%1.44%24.03%$101,579$79,3471.44%24.03%
20101.50%2.63%29.27%$104,254$102,5722.63%29.27%
20112.96%2.26%9.57%$106,607$112,3852.26%9.57%
20121.74%0.69%6.60%$107,346$119,8010.69%6.60%
20131.50%-0.10%-28.33%$107,240$85,862-0.10%-28.33%
20140.76%0.71%-2.19%$108,007$83,9840.71%-2.19%
20150.73%0.45%-10.67%$108,497$75,0220.45%-10.67%
20162.07%1.00%8.03%$109,580$81,0481.00%8.03%
20172.11%0.40%12.81%$110,014$91,4300.40%12.81%
20181.91%1.35%-1.94%$111,503$89,6551.35%-1.94%
20192.29%3.59%17.86%$115,508$105,6643.59%17.86%
20201.29%3.86%23.30%$119,964$130,2873.86%23.30%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.48%0.63%
Arithmetic Mean (annualized)5.88%7.84%
Geometric Mean (monthly)0.47%0.49%
Geometric Mean (annualized)5.83%6.03%
Volatility (monthly)0.89%5.37%
Volatility (annualized)3.08%18.61%
Downside Deviation (monthly)0.32%3.22%
Max. Drawdown-4.26%-61.78%
US Market Correlation0.050.05
Beta(*)0.010.06
Alpha (annualized)5.60%6.89%
R20.30%0.23%
Sharpe Ratio0.450.17
Sortino Ratio0.730.26
Treynor Ratio (%)116.6153.83
Calmar Ratio3.241.15
Active Return-5.25%-5.05%
Tracking Error15.44%23.52%
Information Ratio-0.34-0.21
Skewness1.740.57
Excess Kurtosis13.034.04
Historical Value-at-Risk (5%)-0.61%-6.37%
Analytical Value-at-Risk (5%)-0.99%-8.21%
Conditional Value-at-Risk (5%)-1.15%-10.40%
Upside Capture Ratio (%)12.5014.19
Downside Capture Ratio (%)-13.86-11.95
Safe Withdrawal Rate4.03%3.10%
Perpetual Withdrawal Rate2.27%2.46%
Positive Periods396 out of 526 (75.29%)270 out of 526 (51.33%)
Gain/Loss Ratio1.881.32
* 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 1Portfolio 2
Black Monday PeriodSep 1987Nov 1987-0.47%0.00%
Asian CrisisJul 1997Jan 19980.00%-13.26%
Russian Debt DefaultJul 1998Oct 19980.00%-7.73%
Dotcom CrashMar 2000Oct 2002-1.09%-12.24%
Subprime CrisisNov 2007Mar 2009-1.46%-25.83%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1980Nov 19805 monthsMar 19814 months9 months-4.26%
2Feb 1980Feb 19801 monthApr 19802 months3 months-4.03%
3Oct 1979Oct 19791 monthDec 19792 months3 months-2.55%
4Feb 1994Apr 19943 monthsJan 19959 months1 year-2.23%
5Apr 1981Apr 19811 monthMay 19811 month2 months-1.70%
6Apr 2008May 20082 monthsSep 20084 months6 months-1.46%
7Apr 2004May 20042 monthsOct 20045 months7 months-1.36%
8Oct 1992Nov 19922 monthsJan 19932 months4 months-1.21%
9Sep 2017Apr 20188 monthsDec 20188 months1 year 4 months-1.15%
10Dec 1981Dec 19811 monthMar 19823 months4 months-1.13%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 1980Aug 199918 years 11 monthsApr 20077 years 8 months26 years 7 months-61.78%
2Sep 2011Dec 20154 years 4 monthsJul 20204 years 7 months8 years 11 months-42.91%
3Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
4Feb 1980Mar 19802 monthsJun 19803 months5 months-24.27%
5Nov 1978Nov 19781 monthFeb 19793 months4 months-20.28%
6Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
7Jan 2011Jan 20111 monthMar 20112 months3 months-6.38%
8Mar 1978Apr 19782 monthsMay 19781 month3 months-6.26%
9Jul 1980Jul 19801 monthSep 19802 months3 months-6.01%
10Jun 2009Jun 20091 monthSep 20093 months4 months-5.22%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Short Term Treasury5.83%3.08%22.12%-0.48%-4.26%0.450.730.05
Gold6.03%18.61%126.55%-32.60%-61.78%0.170.260.05

Monthly Correlations

Correlations for the portfolio assets
NameShort Term TreasuryGoldPortfolio 1Portfolio 2
Short Term Treasury1.000.091.000.09
Gold0.091.000.091.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Short Term Treasury$109,964
Gold$120,287

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Short Term Treasury100.00%
Gold100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.96%22.12%-0.48%7.88%126.55%-32.60%
3 years6.08%14.93%0.36%6.04%56.14%-14.45%
5 years6.18%14.36%0.49%4.29%24.20%-11.14%
7 years6.19%12.97%0.64%3.94%19.45%-4.96%
10 years6.17%11.34%1.08%4.34%18.52%-4.99%
15 years6.12%10.31%2.11%4.04%12.11%-2.98%
Result statistics are based on annualized rolling returns over full calendar year periods