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 
Asset Class
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2001 - Aug 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
TIPS 100.00%
Save portfolio »
Portfolio 2
Asset Class Allocation
Gold 33.00%
Cash 67.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$28,533 5.20% 5.69%16.61%-8.92%-12.50% 0.691.050.06
Portfolio 2$10,000$23,177 4.15% 5.72%13.11%-9.31%-16.12% 0.510.820.04
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 13.00%3.92%5.25%7.06%4.33%2.98%5.20%3.91%3.56%
Portfolio 2-1.60%-1.58%-2.90%5.55%2.91%0.42%4.15%5.13%4.65%
Trailing annualized return and volatility are for full months ending in August 2021 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 2021 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
YearInflationPortfolio 1Portfolio 2TIPSGoldCash
ReturnBalanceReturnBalance
20011.55%7.61%$10,7612.72%$10,2727.61%0.75%3.70%
20022.38%16.61%$12,5489.54%$11,25316.61%25.57%1.65%
20031.88%8.00%$13,5537.26%$12,0708.00%19.89%1.04%
20043.26%8.27%$14,6742.42%$12,3628.27%4.65%1.32%
20053.42%2.59%$15,0547.96%$13,3472.59%17.76%3.14%
20062.54%0.43%$15,11810.67%$14,7710.43%22.55%4.82%
20074.08%11.59%$16,87113.11%$16,70711.59%30.45%4.56%
20080.09%-2.85%$16,3912.65%$17,150-2.85%4.92%1.53%
20092.72%10.80%$18,1618.03%$18,52810.80%24.03%0.16%
20101.50%6.17%$19,2819.75%$20,3346.17%29.27%0.14%
20112.96%13.23%$21,8333.20%$20,98513.23%9.57%0.07%
20121.74%6.77%$23,3122.23%$21,4546.77%6.60%0.08%
20131.50%-8.92%$21,233-9.31%$19,456-8.92%-28.33%0.05%
20140.76%3.83%$22,046-0.70%$19,3203.83%-2.19%0.03%
20150.73%-1.83%$21,643-3.49%$18,646-1.83%-10.67%0.05%
20162.07%4.52%$22,6222.85%$19,1774.52%8.03%0.30%
20172.11%2.81%$23,2584.82%$20,1012.81%12.81%0.88%
20181.91%-1.49%$22,9120.64%$20,229-1.49%-1.94%1.90%
20192.29%8.06%$24,7587.32%$21,7098.06%17.86%2.13%
20201.36%10.90%$27,4578.48%$23,55010.90%24.81%0.44%
20215.03%3.92%$28,533-1.58%$23,1773.92%-4.86%0.03%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.44%0.35%
Arithmetic Mean (annualized)5.37%4.32%
Geometric Mean (monthly)0.42%0.34%
Geometric Mean (annualized)5.20%4.15%
Volatility (monthly)1.64%1.65%
Volatility (annualized)5.69%5.72%
Downside Deviation (monthly)1.04%0.98%
Max. Drawdown-12.50%-16.12%
US Market Correlation0.060.04
Beta(*)0.020.01
Alpha (annualized)5.04%4.11%
R20.34%0.13%
Sharpe Ratio0.690.51
Sortino Ratio1.050.82
Treynor Ratio (%)181.19215.18
Calmar Ratio3.001.15
Active Return-3.42%-4.47%
Tracking Error16.07%16.20%
Information Ratio-0.21-0.28
Skewness-0.76-0.05
Excess Kurtosis4.790.36
Historical Value-at-Risk (5%)-2.07%-2.17%
Analytical Value-at-Risk (5%)-2.26%-2.36%
Conditional Value-at-Risk (5%)-3.57%-3.08%
Upside Capture Ratio (%)10.298.76
Downside Capture Ratio (%)-14.66-10.74
Safe Withdrawal Rate7.33%6.74%
Perpetual Withdrawal Rate2.94%1.92%
Positive Periods165 out of 248 (66.53%)135 out of 248 (54.44%)
Gain/Loss Ratio1.001.45
* 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 2
Subprime CrisisNov 2007Mar 2009-12.50%-8.73%
COVID-19 StartJan 2020Mar 2020-1.31%-0.14%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsSep 200911 months1 year 6 months-12.50%
2Dec 2012Dec 20131 year 1 monthMar 20195 years 3 months6 years 4 months-9.43%
3Jun 2003Jul 20032 monthsDec 20035 months7 months-5.32%
4Apr 2004Apr 20041 monthAug 20044 months5 months-4.69%
5Nov 2001Dec 20012 monthsApr 20024 months6 months-3.37%
6Nov 2010Dec 20102 monthsApr 20114 months6 months-3.22%
7Oct 2002Oct 20021 monthDec 20022 months3 months-2.75%
8Feb 2006Apr 20063 monthsAug 20064 months7 months-2.38%
9Dec 2006Dec 20061 monthMar 20073 months4 months-2.32%
10Dec 2009Dec 20091 monthApr 20104 months5 months-2.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2011Dec 20154 years 4 monthsApr 20204 years 4 months8 years 8 months-16.12%
2Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-8.73%
3Aug 2020Mar 20218 months-4.80%
4Dec 2009Jan 20102 monthsMay 20104 months6 months-3.25%
5Feb 2003Mar 20032 monthsAug 20035 months7 months-2.91%
6Apr 2004Apr 20041 monthOct 20046 months7 months-2.72%
7Dec 2004Jan 20052 monthsSep 20058 months10 months-2.30%
8Jun 2002Jul 20022 monthsSep 20022 months4 months-2.28%
9Jan 2011Jan 20111 monthMar 20112 months3 months-2.10%
10May 2006Sep 20065 monthsNov 20062 months7 months-2.01%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TIPS5.20%5.69%16.61%-8.92%-12.50%0.691.050.06
Gold9.19%16.68%30.45%-28.33%-42.91%0.530.870.04
Cash1.34%0.44%4.82%0.03%0.00%N/AN/A-0.12

Monthly Correlations

Correlations for the portfolio assets
NameTIPSGoldCashPortfolio 1Portfolio 2
TIPS1.000.430.041.000.43
Gold0.431.000.070.431.00
Cash0.040.071.000.040.12

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
TIPS$18,533
Gold$10,479
Cash$2,699

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
TIPS100.00%
Gold99.33%
Cash0.67%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.10%19.26%-8.92%4.45%19.11%-9.31%
3 years4.55%11.84%-2.45%4.20%12.63%-4.80%
5 years4.27%8.53%-0.33%4.10%9.41%-2.46%
7 years4.28%8.03%0.59%3.92%9.15%-1.70%
10 years4.49%7.50%2.55%3.90%8.13%0.42%
15 years4.25%5.29%3.42%3.98%4.80%3.06%