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 1994 - Dec 2021)

Portfolio Allocations

REIT
Asset Class Allocation
REIT 100.00%
Save portfolio »
US Stock Market
Asset Class Allocation
US Stock Market 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
REIT$10,000$143,931 9.99% 19.13%40.19%-37.05%-68.28% 0.480.700.60
US Stock Market$10,000$168,756 10.62% 15.22%35.79%-37.04%-50.89% 0.590.861.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
REIT14.86%40.19%40.19%19.79%11.09%11.36%9.99%18.86%16.51%
US Stock Market9.12%25.59%25.59%25.64%17.86%16.16%10.62%18.16%15.94%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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
YearInflationREITUS Stock MarketREITUS Stock Market
ReturnBalanceReturnBalance
19942.67%-8.40%$9,160-0.17%$9,983-8.40%-0.17%
19952.54%12.13%$10,27135.79%$13,55612.13%35.79%
19963.32%33.84%$13,74620.96%$16,39733.84%20.96%
19971.70%18.77%$16,32730.99%$21,47918.77%30.99%
19981.61%-16.32%$13,66223.26%$26,476-16.32%23.26%
19992.68%-4.04%$13,11023.81%$32,781-4.04%23.81%
20003.39%26.35%$16,564-10.57%$29,31526.35%-10.57%
20011.55%12.35%$18,611-10.97%$26,10012.35%-10.97%
20022.38%3.75%$19,309-20.96%$20,6293.75%-20.96%
20031.88%35.66%$26,19431.35%$27,09735.66%31.35%
20043.26%30.76%$34,25112.52%$30,48930.76%12.52%
20053.42%11.89%$38,3245.98%$32,31211.89%5.98%
20062.54%35.07%$51,76415.51%$37,32435.07%15.51%
20074.08%-16.46%$43,2435.49%$39,373-16.46%5.49%
20080.09%-37.05%$27,223-37.04%$24,790-37.05%-37.04%
20092.72%29.58%$35,27428.70%$31,90529.58%28.70%
20101.50%28.30%$45,25917.09%$37,35828.30%17.09%
20112.96%8.47%$49,0900.96%$37,7188.47%0.96%
20121.74%17.53%$57,69416.25%$43,84817.53%16.25%
20131.50%2.31%$59,02433.35%$58,4712.31%33.35%
20140.76%30.13%$76,81012.43%$65,73930.13%12.43%
20150.73%2.22%$78,5160.29%$65,9302.22%0.29%
20162.07%8.34%$85,06312.53%$74,1948.34%12.53%
20172.11%4.83%$89,16821.05%$89,8134.83%21.05%
20181.91%-6.11%$83,723-5.26%$85,092-6.11%-5.26%
20192.29%28.78%$107,81830.65%$111,17228.78%30.65%
20201.36%-4.78%$102,66720.87%$134,373-4.78%20.87%
20217.04%40.19%$143,93125.59%$168,75640.19%25.59%
Portfolio return and risk metrics
MetricREITUS Stock Market
Arithmetic Mean (monthly)0.95%0.94%
Arithmetic Mean (annualized)12.07%11.91%
Geometric Mean (monthly)0.80%0.84%
Geometric Mean (annualized)9.99%10.62%
Standard Deviation (monthly)5.52%4.39%
Standard Deviation (annualized)19.13%15.22%
Downside Deviation (monthly)3.76%2.94%
Max. Drawdown-68.28%-50.89%
US Market Correlation0.601.00
Beta(*)0.751.00
Alpha (annualized)2.92%0.00%
R235.95%100.00%
Sharpe Ratio0.480.59
Sortino Ratio0.700.86
Treynor Ratio (%)12.219.06
Calmar Ratio0.791.23
Active Return-0.63%0.00%
Tracking Error15.76%0.00%
Information Ratio-0.04N/A
Skewness-0.71-0.71
Excess Kurtosis7.621.48
Historical Value-at-Risk (5%)-6.87%-7.49%
Analytical Value-at-Risk (5%)-8.13%-6.28%
Conditional Value-at-Risk (5%)-13.06%-10.04%
Upside Capture Ratio (%)74.72100.00
Downside Capture Ratio (%)68.47100.00
Safe Withdrawal Rate7.83%8.87%
Perpetual Withdrawal Rate6.95%7.48%
Positive Periods206 out of 336 (61.31%)222 out of 336 (66.07%)
Gain/Loss Ratio1.030.88
* 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 PeriodStartEndREITUS Stock Market
Asian CrisisJul 1997Jan 1998-2.80%-3.72%
Russian Debt DefaultJul 1998Oct 1998-15.48%-17.57%
Dotcom CrashMar 2000Oct 2002-13.01%-44.11%
Subprime CrisisNov 2007Mar 2009-64.54%-50.89%
COVID-19 StartJan 2020Mar 2020-25.02%-20.89%

Drawdowns for REIT

Drawdowns for REIT (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2007Feb 20092 years 1 monthJun 20123 years 4 months5 years 5 months-68.28%
2Feb 2020Mar 20202 monthsMar 20211 year1 year 2 months-25.02%
3Jan 1998Nov 19991 year 11 monthsDec 20001 year 1 month3 years-22.09%
4Feb 1994Nov 199410 monthsDec 19951 year 1 month1 year 11 months-16.93%
5Aug 2016Feb 20181 year 7 monthsJan 201911 months2 years 6 months-14.98%
6Apr 2004Apr 20041 monthAug 20044 months5 months-14.56%
7May 2013Aug 20134 monthsApr 20148 months1 year-13.41%
8Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-13.09%
9Jul 2002Oct 20024 monthsMay 20037 months11 months-13.01%
10Jan 2005Jan 20051 monthMay 20054 months5 months-8.46%
Worst 10 drawdowns included above

Drawdowns for US Stock Market

Drawdowns for US Stock Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
7Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
10May 2019May 20191 monthJun 20191 month2 months-6.45%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
REIT9.99%19.13%40.19%-37.05%-68.28%0.480.700.60
US Stock Market10.62%15.22%35.79%-37.04%-50.89%0.590.861.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
REIT14.86%40.19%40.19%19.79%11.09%11.36%
US Stock Market9.12%25.59%25.59%25.64%17.86%16.16%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
NameREITUS Stock MarketREITUS Stock Market
REIT1.000.601.000.60
US Stock Market0.601.000.601.00

Portfolio Return Decomposition

Portfolio return decomposition
NameREITUS Stock Market
REIT$133,931
US Stock Market$158,756
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
NameREITUS Stock Market
REIT100.00%
US Stock Market100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodREITUS Stock Market
AverageHighLowAverageHighLow
1 year12.00%109.90%-58.13%12.11%62.57%-43.18%
3 years10.44%43.25%-25.09%10.15%30.70%-16.27%
5 years9.88%29.36%-8.78%9.12%26.84%-6.23%
7 years10.15%24.02%-1.20%8.13%17.28%-3.02%
10 years10.26%18.17%3.11%7.92%16.73%-2.57%
15 years9.44%12.95%3.81%7.28%10.94%4.25%