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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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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Portfolio Analysis Results (Jan 1987 - Dec 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 34.00%
Total US Bond Market 33.00%
Gold 33.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$131,636 7.64% 7.46%19.65%-9.30%-18.74% 0.630.990.69
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 14.69%6.75%6.75%14.43%10.46%7.14%7.64%8.90%7.57%
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUS Stock MarketTotal US Bond MarketGold
19874.43%9.49%$10,9492.61%1.54%24.53%
19884.42%3.28%$11,30817.32%7.35%-15.26%
19894.65%13.13%$12,79228.12%13.64%-2.84%
19906.11%-0.24%$12,762-6.08%8.65%-3.11%
19913.06%13.22%$14,44932.39%15.25%-8.56%
19922.90%3.56%$14,9649.11%7.14%-5.73%
19932.75%12.64%$16,85510.62%9.68%17.68%
19942.67%-1.65%$16,577-0.17%-2.66%-2.17%
19952.54%18.49%$19,64235.79%18.18%0.98%
19963.32%6.80%$20,97720.96%3.58%-4.59%
19971.70%6.59%$22,35930.99%9.44%-21.41%
19981.61%10.47%$24,70023.26%8.58%-0.83%
19992.68%8.13%$26,70723.81%-0.76%0.85%
20003.39%-1.63%$26,271-10.57%11.39%-5.44%
20011.55%-0.70%$26,087-10.97%8.43%0.75%
20022.38%4.04%$27,140-20.96%8.26%25.57%
20031.88%18.53%$32,17031.35%3.97%19.89%
20043.26%7.19%$34,48312.52%4.24%4.65%
20053.42%8.69%$37,4785.98%2.40%17.76%
20062.54%14.12%$42,77115.51%4.27%22.55%
20074.08%14.20%$48,8445.49%6.92%30.45%
20080.09%-9.30%$44,302-37.04%5.05%4.92%
20092.72%19.65%$53,00528.70%5.93%24.03%
20101.50%17.59%$62,32817.09%6.42%29.27%
20112.96%5.98%$66,0540.96%7.56%9.57%
20121.74%9.04%$72,02516.25%4.05%6.60%
20131.50%1.24%$72,92033.35%-2.26%-28.33%
20140.76%5.40%$76,86112.43%5.76%-2.19%
20150.73%-3.32%$74,3060.29%0.30%-10.67%
20162.07%7.74%$80,05612.53%2.50%8.03%
20172.11%12.52%$90,08221.05%3.45%12.81%
20181.91%-2.47%$87,857-5.26%-0.13%-1.94%
20192.29%19.15%$104,68430.65%8.61%17.86%
20201.36%17.80%$123,31420.87%7.61%24.81%
20217.04%6.75%$131,63625.59%-1.77%-4.15%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.64%
Arithmetic Mean (annualized)7.94%
Geometric Mean (monthly)0.62%
Geometric Mean (annualized)7.64%
Standard Deviation (monthly)2.15%
Standard Deviation (annualized)7.46%
Downside Deviation (monthly)1.27%
Max. Drawdown-18.74%
US Market Correlation0.69
Beta(*)0.34
Alpha (annualized)3.72%
R247.83%
Sharpe Ratio0.63
Sortino Ratio0.99
Treynor Ratio (%)13.99
Calmar Ratio2.11
Active Return-3.40%
Tracking Error11.49%
Information Ratio-0.30
Skewness-0.52
Excess Kurtosis2.91
Historical Value-at-Risk (5%)-2.47%
Analytical Value-at-Risk (5%)-2.90%
Conditional Value-at-Risk (5%)-4.17%
Upside Capture Ratio (%)39.08
Downside Capture Ratio (%)24.85
Safe Withdrawal Rate5.44%
Perpetual Withdrawal Rate4.61%
Positive Periods272 out of 420 (64.76%)
Gain/Loss Ratio1.18
* 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 1987-8.19%
Asian CrisisJul 1997Jan 1998-2.61%
Russian Debt DefaultJul 1998Oct 1998-8.18%
Dotcom CrashMar 2000Oct 2002-8.57%
Subprime CrisisNov 2007Mar 2009-18.74%
COVID-19 StartJan 2020Mar 2020-6.85%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-18.74%
2May 1998Aug 19984 monthsNov 19983 months7 months-8.80%
3Sep 2000Mar 20017 monthsMay 20021 year 2 months1 year 9 months-8.57%
4Sep 1987Nov 19873 monthsJun 19891 year 7 months1 year 10 months-8.19%
5Feb 2020Mar 20202 monthsMay 20202 months4 months-6.85%
6Apr 2013Jun 20133 monthsFeb 20148 months11 months-6.83%
7Jun 2002Jul 20022 monthsJan 20036 months8 months-6.70%
8Sep 2011Sep 20111 monthJan 20124 months5 months-6.29%
9Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.07%
10Aug 2016Nov 20164 monthsApr 20175 months9 months-5.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.04%15.30%35.79%-37.04%-50.89%0.570.821.00
Total US Bond Market5.68%3.79%18.18%-2.66%-5.86%0.711.140.06
Gold4.31%15.11%30.45%-28.33%-48.26%0.160.24-0.02

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market9.12%25.59%25.59%25.64%17.86%16.16%
Total US Bond Market-0.11%-1.77%-1.77%4.71%3.47%2.75%
Gold4.10%-4.15%-4.15%12.13%9.30%1.18%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketGoldPortfolio 1
US Stock Market1.000.06-0.020.69
Total US Bond Market0.061.000.160.32
Gold-0.020.161.000.68

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$68,298
Total US Bond Market$22,043
Gold$31,295
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
NamePortfolio 1
US Stock Market48.68%
Total US Bond Market5.46%
Gold45.86%
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 PeriodAverageHighLow
1 year7.63%27.83%-15.64%
3 years7.44%18.49%-0.26%
5 years7.39%13.36%2.32%
7 years7.38%11.40%3.75%
10 years7.51%11.03%5.58%
15 years7.55%8.58%5.40%