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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Portfolio Analysis Results (Jan 1978 - Aug 2020)

Portfolio Allocations

40/40/20
Asset Class Allocation
US Large Cap 40.00%
Long Term Treasury 40.00%
Gold 20.00%
Save asset allocation »
40/30/30
Asset Class Allocation
US Large Cap 40.00%
Long Term Treasury 30.00%
Gold 30.00%
Save asset allocation »
25/25/25/25
Asset Class Allocation
US Large Cap 25.00%
Long Term Treasury 25.00%
Gold 25.00%
Short Term Treasury 25.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
40/40/20$10,000$627,790 10.19% 8.81%31.69%-8.34%-16.43% 0.641.020.70
40/30/30$10,000$576,828 9.97% 9.39%44.55%-11.67%-20.17% 0.590.930.67
25/25/25/25$10,000$371,015 8.84% 7.38%37.64%-5.72%-13.36% 0.580.940.55
Vanguard 500 Index Investor$10,000$1,104,523 11.66% 15.04%37.45%-37.02%-50.97% 0.520.750.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
40/40/208.04%17.95%19.61%12.88%11.40%9.94%10.19%
40/30/309.54%18.83%21.28%13.20%11.70%9.74%9.97%
25/25/25/256.94%15.85%16.85%10.55%9.10%7.23%8.84%
Vanguard 500 Index Investor15.45%9.65%21.77%14.37%14.31%15.00%11.66%
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 Large CapLong Term TreasuryGoldShort Term Treasury
40/40/2040/30/3025/25/25/25Vanguard 500 Index Investor40/40/2040/30/3025/25/25/25Vanguard 500 Index Investor
19789.02%9.13%12.99%11.17%5.87%$10,913$11,299$11,117$10,5875.87%-1.55%37.01%3.35%
197913.29%31.69%44.55%37.64%18.05%$14,371$16,333$15,302$12,49818.05%-2.10%126.55%8.08%
198012.52%13.81%15.82%12.73%31.92%$16,356$18,917$17,250$16,48731.92%-4.99%15.19%8.81%
19818.92%-8.34%-11.67%-5.72%-5.21%$14,992$16,711$16,263$15,628-5.21%0.65%-32.60%14.26%
19823.83%30.22%27.00%26.28%20.97%$19,522$21,223$20,537$18,90620.97%47.10%14.94%22.12%
19833.79%4.74%3.24%2.92%21.29%$20,447$21,910$21,137$22,93221.29%-1.29%-16.31%8.00%
19843.95%5.10%1.54%4.27%6.21%$21,490$22,248$22,040$24,3566.21%16.24%-19.38%14.01%
19853.80%28.45%25.36%21.99%31.23%$27,604$27,890$26,887$31,96231.23%36.90%6.00%13.83%
19861.10%23.36%22.17%19.56%18.06%$34,054$34,074$32,146$37,73518.06%30.87%18.96%10.35%
19874.43%5.62%8.36%7.77%4.71%$35,967$36,923$34,644$39,5104.71%-2.92%24.53%4.78%
19884.42%7.10%4.66%3.95%16.22%$38,519$38,643$36,012$45,91916.22%9.15%-15.26%5.67%
19894.65%19.15%17.07%14.48%31.36%$45,896$45,241$41,228$60,32131.36%17.93%-2.84%11.48%
19906.11%0.36%-0.53%2.32%-3.32%$46,062$45,001$42,182$58,316-3.32%5.78%-3.11%9.92%
19913.06%17.35%14.75%12.65%30.22%$54,053$51,639$47,517$75,94030.22%17.43%-8.56%11.49%
19922.90%4.78%3.47%3.96%7.42%$56,639$53,432$49,399$81,5777.42%7.41%-5.73%6.75%
19932.75%14.21%14.30%12.67%9.89%$64,686$61,070$55,656$89,6479.89%16.78%17.68%6.31%
19942.67%-2.78%-2.29%-2.13%1.18%$62,889$59,670$54,472$90,7011.18%-7.04%-2.17%-0.48%
19952.54%27.21%24.30%20.16%37.45%$80,001$74,170$65,451$124,66537.45%30.09%0.98%12.11%
19963.32%7.73%7.40%5.36%22.88%$86,186$79,657$68,957$153,18522.88%-1.26%-4.59%4.39%
19971.70%14.56%11.02%8.05%33.19%$98,731$88,439$74,507$204,02733.19%13.90%-21.41%6.51%
19981.61%16.50%15.11%12.05%28.62%$115,024$101,806$83,486$262,41428.62%13.05%-0.83%7.36%
19992.68%5.13%6.08%3.78%21.07%$120,929$108,001$86,639$317,70121.07%-8.66%0.85%1.85%
20003.39%3.18%0.66%3.51%-9.06%$124,772$108,715$89,684$288,929-9.06%19.72%-5.44%8.83%
20011.55%-2.94%-3.29%0.21%-12.02%$121,108$105,135$89,870$254,191-12.02%4.31%0.75%7.80%
20022.38%2.93%3.82%7.03%-22.15%$124,651$109,146$96,188$197,900-22.15%16.67%25.57%8.02%
20031.88%16.45%18.17%13.36%28.50%$145,155$128,978$109,040$254,30528.50%2.68%19.89%2.38%
20043.26%8.07%7.83%5.88%10.74%$156,874$139,073$115,457$281,61810.74%7.12%4.65%1.03%
20053.42%8.10%9.22%7.73%4.77%$169,588$151,896$124,379$295,0644.77%6.61%17.76%1.77%
20062.54%11.46%13.54%10.92%15.64%$189,027$172,467$137,967$341,21715.64%1.74%22.55%3.77%
20074.08%11.94%14.06%13.24%5.39%$211,600$196,721$156,236$359,5975.39%9.24%30.45%7.89%
20080.09%-4.82%-6.58%-0.73%-37.02%$201,405$183,783$155,101$226,472-37.02%22.51%4.92%6.68%
20092.72%10.58%14.19%9.97%26.49%$222,708$209,854$170,571$286,45426.49%-12.06%24.03%1.44%
20101.50%15.39%17.43%13.94%14.91%$256,985$246,421$194,344$329,17514.91%8.93%29.27%2.63%
20112.96%14.41%12.44%10.77%1.97%$294,018$277,075$215,268$335,6471.97%29.28%9.57%2.26%
20121.74%9.03%9.35%6.64%15.82%$320,581$302,977$229,572$388,76215.82%3.46%6.60%0.69%
20131.50%1.99%0.46%-2.32%32.18%$326,972$304,380$224,246$513,84832.18%-13.03%-28.33%-0.10%
20140.76%15.08%12.33%9.33%13.51%$376,266$341,909$245,163$583,26113.51%25.27%-2.19%0.71%
20150.73%-2.25%-3.16%-2.63%1.25%$367,806$331,098$238,726$590,5421.25%-1.54%-10.67%0.45%
20162.07%6.82%7.50%5.51%11.82%$392,879$355,929$251,890$660,32611.82%1.21%8.03%1.00%
20172.11%14.67%15.09%10.87%21.67%$450,496$409,628$279,260$803,40321.67%8.59%12.81%0.40%
20181.91%-2.96%-2.96%-1.76%-4.52%$437,155$397,483$274,359$767,057-4.53%-1.90%-1.94%1.35%
20192.29%21.75%22.13%16.73%31.33%$532,247$485,427$320,246$1,007,35331.33%14.13%17.86%3.59%
20200.83%17.95%18.83%15.85%9.65%$627,790$576,828$371,015$1,104,5239.65%20.56%29.34%3.86%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
Metric40/40/2040/30/3025/25/25/25Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.84%0.83%0.73%1.02%
Arithmetic Mean (annualized)10.61%10.45%9.13%12.93%
Geometric Mean (monthly)0.81%0.80%0.71%0.92%
Geometric Mean (annualized)10.19%9.97%8.84%11.66%
Volatility (monthly)2.54%2.71%2.13%4.34%
Volatility (annualized)8.81%9.39%7.38%15.04%
Downside Deviation (monthly)1.39%1.50%1.10%2.81%
Max. Drawdown-16.43%-20.17%-13.36%-50.97%
US Market Correlation0.700.670.550.99
Beta(*)0.410.420.271.00
Alpha (annualized)5.07%4.90%5.51%0.00%
R249.93%44.28%29.52%100.00%
Sharpe Ratio0.640.590.580.52
Sortino Ratio1.020.930.940.75
Treynor Ratio (%)13.7513.3416.247.79
Calmar Ratio2.492.352.420.73
Active Return-1.47%-1.69%-2.82%N/A
Tracking Error10.80%11.24%12.65%N/A
Information Ratio-0.14-0.15-0.22N/A
Skewness-0.05-0.020.22-0.64
Excess Kurtosis1.972.762.652.14
Historical Value-at-Risk (5%)-3.05%-3.23%-2.36%-6.76%
Analytical Value-at-Risk (5%)-3.34%-3.63%-2.78%-6.12%
Conditional Value-at-Risk (5%)-4.71%-4.95%-3.71%-9.73%
Upside Capture Ratio (%)51.0750.7637.37100.00
Downside Capture Ratio (%)30.7431.6114.38100.00
Safe Withdrawal Rate6.64%6.62%5.95%8.11%
Perpetual Withdrawal Rate6.25%6.06%5.07%7.50%
Positive Periods332 out of 512 (64.84%)327 out of 512 (63.87%)333 out of 512 (65.04%)334 out of 512 (65.23%)
Gain/Loss Ratio1.301.291.370.97
* Vanguard 500 Index Investor 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 PeriodStartEnd40/40/2040/30/3025/25/25/25Vanguard 500 Index Investor
Black Monday PeriodSep 1987Nov 1987-11.72%-10.83%-5.88%-29.78%
Asian CrisisJul 1997Jan 1998-3.62%-3.46%-2.40%-5.61%
Russian Debt DefaultJul 1998Oct 1998-6.37%-7.52%-4.52%-15.38%
Dotcom CrashMar 2000Oct 2002-8.16%-9.24%-4.08%-44.82%
Subprime CrisisNov 2007Mar 2009-16.43%-18.90%-13.36%-50.97%

Drawdowns for 40/40/20

Drawdowns for 40/40/20 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-16.43%
2Dec 1980Sep 198110 monthsSep 19821 year1 year 10 months-16.02%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-12.47%
4Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-11.72%
5May 1983May 19841 year 1 monthOct 19845 months1 year 6 months-8.87%
6Sep 2000Jul 20021 year 11 monthsMay 200310 months2 years 9 months-8.16%
7Aug 2016Nov 20164 monthsJul 20178 months1 year-7.84%
8Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-7.13%
9Jan 1990Apr 19904 monthsDec 19908 months1 year-6.52%
10Jul 1998Aug 19982 monthsOct 19982 months4 months-6.37%
Worst 10 drawdowns included above

Drawdowns for 40/30/30

Drawdowns for 40/30/30 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1980Mar 19821 year 4 monthsOct 19827 months1 year 11 months-20.17%
2Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-18.90%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-14.26%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-10.83%
5Sep 2000Mar 20017 monthsMay 20032 years 2 months2 years 9 months-9.24%
6May 1983Jul 19841 year 3 monthsJan 19856 months1 year 9 months-8.74%
7Aug 2016Nov 20164 monthsJul 20178 months1 year-7.84%
8Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-7.68%
9Jul 1998Aug 19982 monthsOct 19982 months4 months-7.52%
10Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-6.87%
Worst 10 drawdowns included above

Drawdowns for 25/25/25/25

Drawdowns for 25/25/25/25 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-13.36%
2Dec 1980Sep 198110 monthsAug 198211 months1 year 9 months-12.21%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-11.94%
4Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-7.09%
5Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-6.96%
6Feb 2015Dec 201511 monthsMar 20163 months1 year 2 months-6.20%
7Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-5.88%
8Nov 1978Nov 19781 monthJan 19792 months3 months-5.58%
9May 1983May 19841 year 1 monthOct 19845 months1 year 6 months-5.47%
10Oct 1979Oct 19791 monthDec 19792 months3 months-5.05%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.00%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
8Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
9Mar 1980Mar 19801 monthJun 19803 months4 months-9.81%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-9.41%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap11.66%15.04%37.45%-37.02%-50.97%0.520.750.99
Long Term Treasury8.77%11.13%47.10%-13.03%-23.12%0.410.670.02
Gold5.81%18.77%126.55%-32.60%-61.78%0.160.240.05
Short Term Treasury5.93%3.11%22.12%-0.48%-4.26%0.480.780.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapLong Term TreasuryGoldShort Term Treasury40/40/2040/30/3025/25/25/25Vanguard 500 Index Investor
US Large Cap1.000.030.030.050.710.670.541.00
Long Term Treasury0.031.000.070.710.560.420.520.03
Gold0.030.071.000.090.500.660.710.03
Short Term Treasury0.050.710.091.000.430.340.460.05

Portfolio Return Decomposition

Portfolio return decomposition
Name40/40/2040/30/3025/25/25/25
US Large Cap$297,059$275,462$134,307
Long Term Treasury$218,272$152,073$97,967
Gold$102,459$139,293$88,621
Short Term Treasury$40,121

Portfolio Risk Decomposition

Portfolio risk decomposition
Name40/40/2040/30/3025/25/25/25
US Large Cap49.29%43.76%28.53%
Long Term Treasury28.99%15.47%20.03%
Gold21.71%40.77%46.48%
Short Term Treasury4.96%

Annual Asset Returns

Rolling returns summary
Roll Period40/40/2040/30/3025/25/25/25Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year10.33%31.69%-8.34%10.17%44.55%-11.67%8.91%37.64%-5.72%12.87%37.45%-37.02%
3 years9.77%18.73%1.02%9.38%23.68%0.35%8.37%19.93%1.31%11.91%31.03%-14.60%
5 years9.69%17.83%4.76%9.16%16.24%4.30%8.22%15.48%3.19%11.59%28.49%-2.38%
7 years9.68%14.43%5.70%9.14%13.78%5.29%8.19%13.45%3.53%11.44%21.44%-1.64%
10 years9.64%13.68%5.76%9.16%13.95%6.08%8.21%13.23%5.87%11.06%19.04%-1.46%
15 years9.45%12.60%7.21%8.98%11.91%7.49%8.06%11.34%6.34%10.79%18.68%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods