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.

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Asset Class

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

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Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

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Enter percentage allocation for asset 3 in portfolio 1 %

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Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

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Enter percentage allocation for asset 4 in portfolio 1 %

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Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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Enter percentage allocation for asset 5 in portfolio 1 %

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Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

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Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

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Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

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Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1987 - Dec 2020)

Note: The time period was constrained by the available data for Total US Bond Market [Jan 1987 - Dec 2020].

Portfolio Allocations

Portfolio 1
Asset Class	Allocation
US Stock Market	70.00%
Total US Bond Market	30.00%
Save asset allocation »

Portfolio 2
Asset Class	Allocation
US Stock Market	70.00%
Gold	30.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$220,882	9.53%	10.89%	30.50%	-24.41%	-36.08%	0.61	0.89	0.99
Portfolio 2	$10,000	$212,625	9.41%	11.57%	27.91%	-24.45%	-33.53%	0.57	0.84	0.92

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	10.41%	16.89%	11.76%	12.10%	10.79%	9.53%	13.69%	11.11%
Portfolio 2	9.98%	22.05%	14.01%	14.33%	10.69%	9.41%	14.68%	11.95%
Trailing annualized return and volatility are for full months ending in December 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.
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
Year	Inflation	Return		Balance		US Stock Market	Total US Bond Market	Gold
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 1	Portfolio 2	US Stock Market	Total US Bond Market	Gold
1987	4.43%	2.29%	9.19%	$10,229	$10,919	2.61%	1.54%	24.53%
1988	4.42%	14.33%	7.55%	$11,695	$11,743	17.32%	7.35%	-15.26%
1989	4.65%	23.78%	18.83%	$14,475	$13,954	28.12%	13.64%	-2.84%
1990	6.11%	-1.66%	-5.19%	$14,235	$13,230	-6.08%	8.65%	-3.11%
1991	3.06%	27.25%	20.11%	$18,114	$15,890	32.39%	15.25%	-8.56%
1992	2.90%	8.52%	4.65%	$19,657	$16,630	9.11%	7.14%	-5.73%
1993	2.75%	10.34%	12.74%	$21,690	$18,749	10.62%	9.68%	17.68%
1994	2.67%	-0.91%	-0.77%	$21,491	$18,604	-0.17%	-2.66%	-2.17%
1995	2.54%	30.50%	25.34%	$28,047	$23,319	35.79%	18.18%	0.98%
1996	3.32%	15.75%	13.30%	$32,464	$26,420	20.96%	3.58%	-4.59%
1997	1.70%	24.53%	15.27%	$40,427	$30,456	30.99%	9.44%	-21.41%
1998	1.61%	18.86%	16.04%	$48,051	$35,340	23.26%	8.58%	-0.83%
1999	2.68%	16.44%	16.92%	$55,951	$41,321	23.81%	-0.76%	0.85%
2000	3.39%	-3.98%	-9.04%	$53,722	$37,588	-10.57%	11.39%	-5.44%
2001	1.55%	-5.15%	-7.45%	$50,956	$34,786	-10.97%	8.43%	0.75%
2002	2.38%	-12.20%	-7.00%	$44,742	$32,351	-20.96%	8.26%	25.57%
2003	1.88%	23.14%	27.91%	$55,095	$41,381	31.35%	3.97%	19.89%
2004	3.26%	10.03%	10.16%	$60,622	$45,584	12.52%	4.24%	4.65%
2005	3.42%	4.91%	9.52%	$63,596	$49,921	5.98%	2.40%	17.76%
2006	2.54%	12.14%	17.62%	$71,315	$58,718	15.51%	4.27%	22.55%
2007	4.08%	5.92%	12.98%	$75,537	$66,339	5.49%	6.92%	30.45%
2008	0.09%	-24.41%	-24.45%	$57,098	$50,120	-37.04%	5.05%	4.92%
2009	2.72%	21.87%	27.30%	$69,584	$63,801	28.70%	5.93%	24.03%
2010	1.50%	13.89%	20.75%	$79,251	$77,038	17.09%	6.42%	29.27%
2011	2.96%	2.94%	3.54%	$81,581	$79,767	0.96%	7.56%	9.57%
2012	1.74%	12.59%	13.36%	$91,853	$90,422	16.25%	4.05%	6.60%
2013	1.50%	22.67%	14.85%	$112,673	$103,846	33.35%	-2.26%	-28.33%
2014	0.76%	10.43%	8.04%	$124,422	$112,200	12.43%	5.76%	-2.19%
2015	0.73%	0.29%	-3.00%	$124,787	$108,837	0.29%	0.30%	-10.67%
2016	2.07%	9.52%	11.18%	$136,671	$121,008	12.53%	2.50%	8.03%
2017	2.11%	15.77%	18.58%	$158,226	$143,490	21.05%	3.45%	12.81%
2018	1.91%	-3.72%	-4.26%	$152,344	$137,375	-5.26%	-0.13%	-1.94%
2019	2.29%	24.04%	26.81%	$188,962	$174,206	30.65%	8.61%	17.86%
2020	1.27%	16.89%	22.05%	$220,882	$212,625	20.87%	7.61%	24.81%

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	0.81%	0.81%
Arithmetic Mean (annualized)	10.18%	10.15%
Geometric Mean (monthly)	0.76%	0.75%
Geometric Mean (annualized)	9.53%	9.41%
Volatility (monthly)	3.14%	3.34%
Volatility (annualized)	10.89%	11.57%
Downside Deviation (monthly)	2.05%	2.17%
Max. Drawdown	-36.08%	-33.53%
US Market Correlation	0.99	0.92
Beta^(*)	0.70	0.69
Alpha (annualized)	1.76%	1.88%
R²	98.76%	84.10%
Sharpe Ratio	0.61	0.57
Sortino Ratio	0.89	0.84
Treynor Ratio (%)	9.55	9.68
Calmar Ratio	0.83	0.96
Active Return	-1.11%	-1.23%
Tracking Error	4.75%	6.66%
Information Ratio	-0.23	-0.18
Skewness	-0.86	-0.85
Excess Kurtosis	2.87	3.56
Historical Value-at-Risk (5%)	-4.82%	-4.13%
Analytical Value-at-Risk (5%)	-4.36%	-4.69%
Conditional Value-at-Risk (5%)	-7.04%	-7.24%
Upside Capture Ratio (%)	72.85	70.10
Downside Capture Ratio (%)	67.77	64.25
Safe Withdrawal Rate	7.72%	6.71%
Perpetual Withdrawal Rate	6.37%	6.27%
Positive Periods	273 out of 408 (66.91%)	266 out of 408 (65.20%)
Gain/Loss Ratio	0.96	1.01
^* 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 Period	Start	End	Portfolio 1	Portfolio 2
Black Monday Period	Sep 1987	Nov 1987	-21.94%	-19.10%
Asian Crisis	Jul 1997	Jan 1998	-2.96%	-4.05%
Russian Debt Default	Jul 1998	Oct 1998	-12.08%	-14.87%
Dotcom Crash	Mar 2000	Oct 2002	-27.73%	-28.47%
Subprime Crisis	Nov 2007	Mar 2009	-36.08%	-33.53%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Dec 2010	1 year 10 months	3 years 2 months	-36.08%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2004	2 years 2 months	4 years 3 months	-27.73%
3	Sep 1987	Nov 1987	3 months	Apr 1989	1 year 5 months	1 year 8 months	-21.94%
4	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-14.15%
5	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-12.08%
6	May 2011	Sep 2011	5 months	Feb 2012	5 months	10 months	-11.30%
7	Jul 1990	Oct 1990	4 months	Jan 1991	3 months	7 months	-10.32%
8	Sep 2018	Dec 2018	4 months	Apr 2019	4 months	8 months	-9.93%
9	Feb 1994	Jun 1994	5 months	Feb 1995	8 months	1 year 1 month	-6.71%
10	Jun 2015	Sep 2015	4 months	May 2016	8 months	1 year	-6.22%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Apr 2010	1 year 2 months	2 years 6 months	-33.53%
2	Sep 2000	Sep 2002	2 years 1 month	Mar 2004	1 year 6 months	3 years 7 months	-28.47%
3	Sep 1987	Nov 1987	3 months	Jul 1989	1 year 8 months	1 year 11 months	-19.10%
4	May 1998	Aug 1998	4 months	Dec 1998	4 months	8 months	-15.55%
5	Feb 2020	Mar 2020	2 months	Jun 2020	3 months	5 months	-14.65%
6	Jan 1990	Oct 1990	10 months	Feb 1991	4 months	1 year 2 months	-11.42%
7	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-11.29%
8	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-8.63%
9	Jun 2015	Sep 2015	4 months	Apr 2016	7 months	11 months	-8.14%
10	May 2010	Jun 2010	2 months	Sep 2010	3 months	5 months	-7.63%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Stock Market	10.64%	15.42%	35.79%	-37.04%	-50.89%	0.54	0.77	1.00
Total US Bond Market	5.91%	3.80%	18.18%	-2.66%	-5.86%	0.74	1.20	0.07
Gold	4.57%	15.12%	30.45%	-28.33%	-48.26%	0.17	0.26	-0.03

Monthly Correlations

Correlations for the portfolio assets
Name	US Stock Market	Total US Bond Market	Gold	Portfolio 1	Portfolio 2
US Stock Market	1.00	0.07	-0.03	0.99	0.92
Total US Bond Market	0.07	1.00	0.15	0.17	0.13
Gold	-0.03	0.15	1.00	-0.01	0.37

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2
US Stock Market	$178,235	$159,873
Total US Bond Market	$32,648
Gold		$42,752

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2
US Stock Market	98.27%	85.54%
Total US Bond Market	1.73%
Gold		14.46%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	9.59%	40.29%	-30.11%	9.30%	42.62%	-31.40%
3 years	9.28%	24.17%	-8.77%	8.91%	24.67%	-9.24%
5 years	9.13%	21.09%	-2.62%	8.84%	19.18%	-1.43%
7 years	9.00%	16.93%	-0.07%	8.83%	13.89%	3.63%
10 years	8.75%	15.68%	0.40%	8.80%	12.83%	2.45%
15 years	7.98%	11.47%	5.00%	8.39%	10.78%	5.85%