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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Asset 10
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Portfolio Analysis Results (Jan 1978 - Aug 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 50.00%
Gold 50.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 40.00%
Long Term Treasury 20.00%
Gold 40.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 25.00%
Cash 25.00%
Long Term Treasury 25.00%
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$491,940 9.56% 12.55%75.40%-18.37%-33.29% 0.440.670.65
Portfolio 2$10,000$514,014 9.67% 10.51%59.90%-14.57%-26.02% 0.510.800.62
Portfolio 3$10,000$323,105 8.49% 7.14%39.80%-5.20%-13.52% 0.560.890.58
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 114.52%19.34%25.42%13.95%12.60%10.01%9.56%
Portfolio 211.18%19.58%22.71%13.29%11.76%9.46%9.67%
Portfolio 36.95%14.91%15.94%10.15%8.75%7.01%8.49%
Trailing returns are for full months ending in August 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 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 (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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketGoldLong Term TreasuryCash
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19789.02%22.73%17.88%12.84%$12,273$11,788$11,2848.45%37.01%-1.55%7.45%
197913.29%75.40%59.90%39.80%$21,527$18,848$15,77524.25%126.55%-2.10%10.49%
198012.52%24.17%18.34%13.87%$26,730$22,305$17,96433.15%15.19%-4.99%12.15%
19818.92%-18.37%-14.57%-5.20%$21,819$19,055$17,029-4.15%-32.60%0.65%15.29%
19823.83%17.72%23.60%23.50%$25,685$23,551$21,03120.50%14.94%47.10%11.45%
19833.79%3.18%2.28%3.52%$26,501$24,089$21,77222.66%-16.31%-1.29%9.03%
19843.95%-8.60%-3.63%2.30%$24,223$23,215$22,2732.19%-19.38%16.24%10.17%
19853.80%18.64%22.29%20.51%$28,737$28,389$26,84231.27%6.00%36.90%7.88%
19861.10%16.77%19.59%17.67%$33,555$33,949$31,58514.57%18.96%30.87%6.28%
19874.43%13.57%10.27%7.54%$38,109$37,436$33,9662.61%24.53%-2.92%5.93%
19884.42%1.03%2.65%4.50%$38,501$38,430$35,49517.32%-15.26%9.15%6.80%
19894.65%12.64%13.70%12.96%$43,368$43,695$40,09428.12%-2.84%17.93%8.61%
19906.11%-4.59%-2.52%1.12%$41,376$42,594$40,543-6.08%-3.11%5.78%7.89%
19913.06%11.92%13.02%11.74%$46,306$48,140$45,30432.39%-8.56%17.43%5.71%
19922.90%1.69%2.83%3.59%$47,087$49,502$46,9309.11%-5.73%7.41%3.57%
19932.75%14.15%14.68%12.03%$53,751$56,768$52,57810.62%17.68%16.78%3.05%
19942.67%-1.17%-2.34%-1.29%$53,122$55,438$51,897-0.17%-2.17%-7.04%4.20%
19952.54%18.38%20.72%18.14%$62,887$66,927$61,31235.79%0.98%30.09%5.71%
19963.32%8.19%6.30%5.07%$68,036$71,143$64,42220.96%-4.59%-1.26%5.17%
19971.70%4.79%6.62%7.18%$71,297$75,849$69,04630.99%-21.41%13.90%5.22%
19981.61%11.22%11.59%10.12%$79,296$84,636$76,03023.26%-0.83%13.05%4.97%
19992.68%12.33%8.13%5.19%$89,075$91,520$79,97923.81%0.85%-8.66%4.77%
20003.39%-8.01%-2.46%2.42%$81,941$89,266$81,918-10.57%-5.44%19.72%5.99%
20011.55%-5.11%-3.23%-0.55%$77,754$86,386$81,465-10.97%0.75%4.31%3.70%
20022.38%2.30%5.18%5.73%$79,546$90,860$86,135-20.96%25.57%16.67%1.65%
20031.88%25.62%21.03%13.74%$99,926$109,970$97,97031.35%19.89%2.68%1.04%
20043.26%8.58%8.29%6.40%$108,502$119,086$104,24212.52%4.65%7.12%1.32%
20053.42%11.87%10.82%8.37%$121,383$131,969$112,9695.98%17.76%6.61%3.14%
20062.54%19.03%15.57%11.16%$144,481$152,518$125,57115.51%22.55%1.74%4.82%
20074.08%17.97%16.23%12.44%$170,447$177,265$141,1875.49%30.45%9.24%4.56%
20080.09%-16.06%-8.34%-2.02%$143,078$162,476$138,339-37.04%4.92%22.51%1.53%
20092.72%26.36%18.68%10.21%$180,798$192,825$152,45928.70%24.03%-12.06%0.16%
20101.50%23.18%20.33%13.86%$222,711$232,030$173,58717.09%29.27%8.93%0.14%
20112.96%5.26%10.07%9.97%$234,435$255,388$190,8900.96%9.57%29.28%0.07%
20121.74%11.43%9.83%6.60%$261,222$280,501$203,48716.25%6.60%3.46%0.08%
20131.50%2.51%-0.60%-1.99%$267,779$278,825$199,44033.35%-28.33%-13.03%0.05%
20140.76%5.12%9.15%8.89%$281,492$304,342$217,16612.43%-2.19%25.27%0.03%
20150.73%-5.19%-4.46%-2.97%$266,883$290,771$210,7240.29%-10.67%-1.54%0.05%
20162.07%10.28%8.47%5.52%$294,327$315,395$222,35112.53%8.03%1.21%0.30%
20172.11%16.93%15.26%10.83%$344,157$363,532$246,43921.05%12.81%8.59%0.88%
20181.91%-3.60%-3.26%-1.80%$331,773$351,681$242,004-5.26%-1.94%-1.90%1.90%
20192.29%24.25%22.23%16.19%$412,235$429,849$281,18230.65%17.86%14.13%2.13%
20200.83%19.34%19.58%14.91%$491,940$514,014$323,1059.33%29.34%20.56%0.41%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.83%0.82%0.70%
Arithmetic Mean (annualized)10.42%10.27%8.76%
Geometric Mean (monthly)0.76%0.77%0.68%
Geometric Mean (annualized)9.56%9.67%8.49%
Volatility (monthly)3.62%3.03%2.06%
Volatility (annualized)12.55%10.51%7.14%
Downside Deviation (monthly)2.16%1.73%1.08%
Max. Drawdown-33.29%-26.02%-13.52%
US Market Correlation0.650.620.58
Beta(*)0.530.430.27
Alpha (annualized)3.46%4.59%5.14%
R242.13%38.90%33.42%
Sharpe Ratio0.440.510.56
Sortino Ratio0.670.800.89
Treynor Ratio (%)10.4212.6414.89
Calmar Ratio1.312.182.43
Active Return-2.08%-1.97%-3.16%
Tracking Error11.99%12.07%12.69%
Information Ratio-0.17-0.16-0.25
Skewness-0.040.010.13
Excess Kurtosis4.163.723.07
Historical Value-at-Risk (5%)-4.41%-3.53%-2.27%
Analytical Value-at-Risk (5%)-5.13%-4.17%-2.69%
Conditional Value-at-Risk (5%)-7.41%-5.73%-3.57%
Upside Capture Ratio (%)56.4449.1435.33
Downside Capture Ratio (%)45.1532.0014.37
Safe Withdrawal Rate6.47%6.48%5.74%
Perpetual Withdrawal Rate5.70%5.80%4.76%
Positive Periods308 out of 512 (60.16%)322 out of 512 (62.89%)331 out of 512 (64.65%)
Gain/Loss Ratio1.261.241.39
* 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 1987-11.77%-9.55%-5.75%
Asian CrisisJul 1997Jan 1998-4.56%-3.07%-1.72%
Russian Debt DefaultJul 1998Oct 1998-12.95%-9.57%-5.34%
Dotcom CrashMar 2000Oct 2002-16.85%-11.54%-5.44%
Subprime CrisisNov 2007Mar 2009-26.02%-21.35%-13.52%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1980Jun 19821 year 7 monthsNov 19853 years 5 months5 years-33.29%
2Mar 2008Oct 20088 monthsNov 20091 year 1 month1 year 9 months-26.02%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-18.61%
4Jan 2000Sep 20022 years 9 monthsAug 200311 months3 years 8 months-16.91%
5May 1998Aug 19984 monthsDec 19984 months8 months-14.57%
6Sep 1987Nov 19873 monthsNov 19892 years2 years 3 months-11.77%
7Feb 2020Mar 20202 monthsMay 20202 months4 months-10.62%
8Nov 1978Nov 19781 monthJan 19792 months3 months-10.50%
9Sep 2011Sep 20111 monthJan 20124 months5 months-9.63%
10Dec 1989Oct 199011 monthsMay 19917 months1 year 6 months-9.54%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1980Jun 19821 year 7 monthsDec 19826 months2 years 1 month-26.02%
2Mar 2008Oct 20088 monthsNov 20091 year 1 month1 year 9 months-21.35%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-16.82%
4Jul 1983Jul 19841 year 1 monthMay 198510 months1 year 11 months-11.55%
5Sep 2000Mar 20017 monthsMay 20032 years 2 months2 years 9 months-11.54%
6May 1998Aug 19984 monthsNov 19983 months7 months-10.23%
7Sep 1987Nov 19873 monthsJul 19891 year 8 months1 year 11 months-9.55%
8Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-8.81%
9Nov 1978Nov 19781 monthJan 19792 months3 months-8.54%
10Feb 2015Sep 20158 monthsApr 20167 months1 year 3 months-8.40%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-13.52%
2Dec 1980Mar 19821 year 4 monthsAug 19825 months1 year 9 months-11.47%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-11.34%
4Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-6.78%
5Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-6.65%
6Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-6.45%
7Sep 1987Nov 19873 monthsDec 19881 year 1 month1 year 4 months-5.75%
8Sep 2000Mar 20017 monthsMar 20021 year1 year 7 months-5.44%
9Jul 1998Aug 19982 monthsOct 19982 months4 months-5.34%
10Nov 1978Nov 19781 monthJan 19792 months3 months-5.30%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.64%15.40%35.79%-37.04%-50.89%0.510.731.00
Gold5.81%18.77%126.55%-32.60%-61.78%0.160.240.05
Long Term Treasury8.77%11.13%47.10%-13.03%-23.12%0.410.670.02
Cash4.52%1.06%15.29%0.03%0.00%N/AN/A0.01

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGoldLong Term TreasuryCashPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.000.050.020.010.650.620.58
Gold0.051.000.07-0.030.790.780.73
Long Term Treasury0.020.071.000.050.070.280.45
Cash0.01-0.030.051.00-0.02-0.010.04

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$291,592$248,718$121,290
Gold$190,349$163,237$79,351
Long Term Treasury$92,059$89,178
Cash$23,287

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market40.33%37.37%32.11%
Gold59.67%56.59%49.68%
Long Term Treasury6.04%18.05%
Cash0.16%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.20%75.40%-18.37%10.00%59.90%-14.57%8.56%39.80%-5.20%
3 years8.71%38.78%-3.70%8.92%30.66%-0.24%7.99%21.56%1.17%
5 years8.12%20.76%1.46%8.55%18.69%3.68%7.79%16.03%3.10%
7 years8.03%13.47%3.41%8.49%13.38%4.46%7.74%13.18%3.45%
10 years8.14%14.31%4.47%8.58%14.11%6.02%7.76%13.01%5.73%
15 years7.98%10.88%5.03%8.41%11.25%6.09%7.61%10.86%6.21%
Result statistics are based on annualized rolling returns over full calendar year periods