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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Portfolio Analysis Results (Jan 1994 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 25.00%
Long Term Treasury 25.00%
REIT 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$99,376 8.88% 9.16%22.85%-11.66%-25.85% 0.721.100.65
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 14.83%14.80%10.70%10.28%8.55%8.88%9.89%8.99%
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketLong Term TreasuryREITGold
19942.67%-4.44%$9,556-0.17%-7.04%-8.40%-2.17%
19952.54%19.75%$11,44235.79%30.09%12.13%0.98%
19963.32%12.24%$12,84320.96%-1.26%33.84%-4.59%
19971.70%10.57%$14,20030.99%13.90%18.77%-21.41%
19981.61%4.79%$14,88023.26%13.05%-16.32%-0.83%
19992.68%2.99%$15,32523.81%-8.66%-4.04%0.85%
20003.39%7.51%$16,477-10.57%19.72%26.35%-5.44%
20011.55%1.61%$16,742-10.97%4.31%12.35%0.75%
20022.38%6.26%$17,790-20.96%16.67%3.75%25.57%
20031.88%22.39%$21,77431.35%2.68%35.66%19.89%
20043.26%13.76%$24,77012.52%7.12%30.76%4.65%
20053.42%10.56%$27,3865.98%6.61%11.89%17.76%
20062.54%18.72%$32,51215.51%1.74%35.07%22.55%
20074.08%7.18%$34,8465.49%9.24%-16.46%30.45%
20080.09%-11.66%$30,783-37.04%22.51%-37.05%4.92%
20092.72%17.56%$36,18928.70%-12.06%29.58%24.03%
20101.50%20.90%$43,75217.09%8.93%28.30%29.27%
20112.96%12.07%$49,0320.96%29.28%8.47%9.57%
20121.74%10.96%$54,40616.25%3.46%17.53%6.60%
20131.50%-1.43%$53,63033.35%-13.03%2.31%-28.33%
20140.76%16.41%$62,43212.43%25.27%30.13%-2.19%
20150.73%-2.42%$60,9190.29%-1.54%2.22%-10.67%
20162.07%7.53%$65,50512.53%1.21%8.34%8.03%
20172.11%11.82%$73,24821.05%8.59%4.83%12.81%
20181.91%-3.80%$70,463-5.26%-1.90%-6.11%-1.94%
20192.29%22.85%$86,56530.65%14.13%28.78%17.86%
20201.36%14.80%$99,37620.87%18.29%-4.78%24.81%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.75%
Arithmetic Mean (annualized)9.34%
Geometric Mean (monthly)0.71%
Geometric Mean (annualized)8.88%
Volatility (monthly)2.64%
Volatility (annualized)9.16%
Downside Deviation (monthly)1.67%
Max. Drawdown-25.85%
US Market Correlation0.65
Beta(*)0.39
Alpha (annualized)4.73%
R242.64%
Sharpe Ratio0.72
Sortino Ratio1.10
Treynor Ratio (%)17.04
Calmar Ratio1.32
Active Return-1.22%
Tracking Error11.67%
Information Ratio-0.10
Skewness-1.05
Excess Kurtosis6.35
Historical Value-at-Risk (5%)-3.03%
Analytical Value-at-Risk (5%)-3.60%
Conditional Value-at-Risk (5%)-5.46%
Upside Capture Ratio (%)45.83
Downside Capture Ratio (%)27.87
Safe Withdrawal Rate7.42%
Perpetual Withdrawal Rate6.16%
Positive Periods210 out of 324 (64.81%)
Gain/Loss Ratio1.16
* 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
Asian CrisisJul 1997Jan 1998-2.27%
Russian Debt DefaultJul 1998Oct 1998-9.16%
Dotcom CrashMar 2000Oct 2002-4.80%
Subprime CrisisNov 2007Mar 2009-25.85%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsNov 20099 months1 year 6 months-25.85%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-9.59%
3May 1998Aug 19984 monthsJan 19995 months9 months-9.31%
4Feb 2015Aug 20157 monthsApr 20168 months1 year 3 months-8.91%
5Feb 2020Mar 20202 monthsMay 20202 months4 months-8.11%
6Apr 2004Apr 20041 monthOct 20046 months7 months-7.76%
7Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-7.72%
8May 2013Jun 20132 monthsFeb 20148 months10 months-7.63%
9May 2007Jul 20073 monthsSep 20072 months5 months-5.06%
10May 1999Aug 19994 monthsDec 19994 months8 months-4.84%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.10%15.36%35.79%-37.04%-50.89%0.550.801.00
Long Term Treasury7.20%10.31%30.09%-13.03%-16.68%0.500.84-0.23
REIT9.01%19.23%35.66%-37.05%-68.28%0.430.610.59
Gold5.75%15.63%30.45%-28.33%-42.91%0.290.460.04

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryREITGoldPortfolio 1
US Stock Market1.00-0.230.590.040.65
Long Term Treasury-0.231.000.020.190.29
REIT0.590.021.000.120.79
Gold0.040.190.121.000.57

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$29,560
Long Term Treasury$19,045
REIT$22,018
Gold$18,753

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market26.99%
Long Term Treasury8.16%
REIT41.02%
Gold23.83%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.41%37.83%-24.99%
3 years8.94%24.76%-2.72%
5 years8.83%16.63%3.48%
7 years8.97%13.27%5.17%
10 years9.37%12.33%6.19%
15 years9.28%10.29%6.77%