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
Asset 1
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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 1978 - Sep 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 25.00%
Long Term Treasury 50.00%
Gold 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$492,543 9.32% 8.78%36.65%-8.86%-17.90% 0.570.910.48
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-0.04%-1.80%0.26%12.10%7.21%6.61%9.32%8.93%8.16%
Trailing annualized return and volatility are for full months ending in September 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 September
  • 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 TreasuryGold
19789.02%10.59%$11,0598.45%-1.55%37.01%
197913.29%36.65%$15,11224.25%-2.10%126.55%
198012.52%9.59%$16,56133.15%-4.99%15.19%
19818.92%-8.86%$15,094-4.15%0.65%-32.60%
19823.83%32.41%$19,98620.50%47.10%14.94%
19833.79%0.94%$20,17422.66%-1.29%-16.31%
19843.95%3.82%$20,9452.19%16.24%-19.38%
19853.80%27.77%$26,76131.27%36.90%6.00%
19861.10%23.82%$33,13514.57%30.87%18.96%
19874.43%5.32%$34,8982.61%-2.92%24.53%
19884.42%5.09%$36,67517.32%9.15%-15.26%
19894.65%15.29%$42,28128.12%17.93%-2.84%
19906.11%0.59%$42,532-6.08%5.78%-3.11%
19913.06%14.67%$48,77332.39%17.43%-8.56%
19922.90%4.55%$50,9919.11%7.41%-5.73%
19932.75%15.47%$58,87810.62%16.78%17.68%
19942.67%-4.10%$56,462-0.17%-7.04%-2.17%
19952.54%24.24%$70,14735.79%30.09%0.98%
19963.32%3.47%$72,57820.96%-1.26%-4.59%
19971.70%9.35%$79,36230.99%13.90%-21.41%
19981.61%12.14%$88,99323.26%13.05%-0.83%
19992.68%1.84%$90,62723.81%-8.66%0.85%
20003.39%5.86%$95,935-10.57%19.72%-5.44%
20011.55%-0.40%$95,550-10.97%4.31%0.75%
20022.38%9.49%$104,618-20.96%16.67%25.57%
20031.88%14.15%$119,42031.35%2.68%19.89%
20043.26%7.85%$128,79512.52%7.12%4.65%
20053.42%9.24%$140,6945.98%6.61%17.76%
20062.54%10.39%$155,30515.51%1.74%22.55%
20074.08%13.61%$176,4365.49%9.24%30.45%
20080.09%3.23%$182,132-37.04%22.51%4.92%
20092.72%7.15%$195,16028.70%-12.06%24.03%
20101.50%16.06%$226,49417.09%8.93%29.27%
20112.96%17.27%$265,6110.96%29.28%9.57%
20121.74%7.44%$285,38416.25%3.46%6.60%
20131.50%-5.26%$270,37733.35%-13.03%-28.33%
20140.76%15.20%$311,46812.43%25.27%-2.19%
20150.73%-3.36%$300,9930.29%-1.54%-10.67%
20162.07%5.75%$318,28812.53%1.21%8.03%
20172.11%12.76%$358,90421.05%8.59%12.81%
20181.91%-2.75%$349,028-5.26%-1.90%-1.94%
20192.29%19.19%$416,00330.65%14.13%17.86%
20201.36%20.57%$501,55920.87%18.29%24.81%
20215.31%-1.80%$492,54315.09%-7.18%-7.93%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.78%
Arithmetic Mean (annualized)9.73%
Geometric Mean (monthly)0.75%
Geometric Mean (annualized)9.32%
Volatility (monthly)2.53%
Volatility (annualized)8.78%
Downside Deviation (monthly)1.36%
Max. Drawdown-17.90%
US Market Correlation0.48
Beta(*)0.27
Alpha (annualized)5.91%
R222.65%
Sharpe Ratio0.57
Sortino Ratio0.91
Treynor Ratio (%)18.39
Calmar Ratio1.50
Active Return-2.64%
Tracking Error13.61%
Information Ratio-0.19
Skewness0.20
Excess Kurtosis1.99
Historical Value-at-Risk (5%)-3.02%
Analytical Value-at-Risk (5%)-3.39%
Conditional Value-at-Risk (5%)-4.46%
Upside Capture Ratio (%)37.50
Downside Capture Ratio (%)13.78
Safe Withdrawal Rate6.12%
Perpetual Withdrawal Rate5.45%
Positive Periods333 out of 525 (63.43%)
Gain/Loss Ratio1.31
* 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
Black Monday PeriodSep 1987Nov 1987-5.74%
Asian CrisisJul 1997Jan 1998-2.45%
Russian Debt DefaultJul 1998Oct 1998-4.44%
Dotcom CrashMar 2000Oct 2002-4.26%
Subprime CrisisNov 2007Mar 2009-14.31%
COVID-19 StartJan 2020Mar 20200.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1980Sep 19811 year 3 monthsSep 19821 year2 years 3 months-17.90%
2Mar 2008Oct 20088 monthsAug 200910 months1 year 6 months-14.31%
3Feb 1980Mar 19802 monthsJun 19803 months5 months-13.83%
4May 1983May 19841 year 1 monthJan 19858 months1 year 9 months-10.65%
5Aug 2016Dec 20165 monthsDec 20171 year1 year 5 months-10.08%
6Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-8.80%
7Oct 2012Jun 20139 monthsMay 201411 months1 year 8 months-8.78%
8Aug 2020Mar 20218 monthsJul 20214 months1 year-8.07%
9Dec 1989Apr 19905 monthsDec 19908 months1 year 1 month-6.92%
10Oct 1979Oct 19791 monthDec 19792 months3 months-6.36%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.96%15.38%35.79%-37.04%-50.89%0.530.771.00
Long Term Treasury8.31%11.14%47.10%-13.03%-23.12%0.390.620.02
Gold5.38%18.72%126.55%-32.60%-61.78%0.140.220.05

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryGoldPortfolio 1
US Stock Market1.000.020.050.48
Long Term Treasury0.021.000.070.69
Gold0.050.071.000.62

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$189,483
Long Term Treasury$202,894
Gold$90,167

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market21.37%
Long Term Treasury44.56%
Gold34.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.81%44.96%-16.30%
3 years9.12%23.83%1.30%
5 years9.09%20.10%3.28%
7 years9.08%15.67%3.62%
10 years9.00%13.58%6.14%
15 years8.86%12.00%6.76%