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 1972 - Aug 2021)

Portfolio Allocations

US Bond Market
Asset Class Allocation
US Stock Market 100.00%
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10 Year Treasury
Asset Class Allocation
10-year Treasury 100.00%
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Gold
Asset Class Allocation
Gold 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Bond Market$10,000$1,713,321 10.91% 15.57%37.82%-37.04%-50.89% 0.450.661.00
10 Year Treasury$10,000$289,110 7.01% 8.00%39.57%-10.17%-15.76% 0.330.510.03
Gold$10,000$387,511 7.64% 19.98%126.55%-32.60%-61.78% 0.240.400.02
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
US Bond Market7.25%20.50%33.22%17.78%17.87%16.07%10.91%19.36%15.60%
10 Year Treasury2.63%-1.87%-2.82%6.16%2.64%2.88%7.01%5.75%5.35%
Gold-4.87%-4.86%-8.19%14.34%6.34%-0.46%7.64%14.82%13.39%
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
YearInflationUS Bond Market10 Year TreasuryGoldUS Stock Market10-year TreasuryGold
ReturnBalanceReturnBalanceReturnBalance
19723.41%17.62%$11,7622.35%$10,23549.02%$14,90217.62%2.35%49.02%
19738.71%-18.18%$9,6233.29%$10,57272.96%$25,775-18.18%3.29%72.96%
197412.34%-27.81%$6,9474.05%$10,99966.15%$42,824-27.81%4.05%66.15%
19756.94%37.82%$9,5745.52%$11,607-24.80%$32,20437.82%5.52%-24.80%
19764.86%26.47%$12,10815.29%$13,382-4.10%$30,88426.47%15.29%-4.10%
19776.70%-3.36%$11,7010.53%$13,45322.64%$37,876-3.36%0.53%22.64%
19789.02%8.45%$12,691-0.74%$13,35337.01%$51,8948.45%-0.74%37.01%
197913.29%24.25%$15,7681.83%$13,598126.55%$117,56624.25%1.83%126.55%
198012.52%33.15%$20,995-1.29%$13,42215.19%$135,41933.15%-1.29%15.19%
19818.92%-4.15%$20,1245.28%$14,131-32.60%$91,274-4.15%5.28%-32.60%
19823.83%20.50%$24,24939.57%$19,72314.94%$104,91420.50%39.57%14.94%
19833.79%22.66%$29,7432.30%$20,176-16.31%$87,80722.66%2.30%-16.31%
19843.95%2.19%$30,39414.87%$23,176-19.38%$70,7922.19%14.87%-19.38%
19853.80%31.27%$39,89829.85%$30,0946.00%$75,04031.27%29.85%6.00%
19861.10%14.57%$45,71321.35%$36,52018.96%$89,26514.57%21.35%18.96%
19874.43%2.61%$46,908-2.64%$35,55424.53%$111,1602.61%-2.64%24.53%
19884.42%17.32%$55,0316.90%$38,008-15.26%$94,20217.32%6.90%-15.26%
19894.65%28.12%$70,50517.84%$44,789-2.84%$91,52728.12%17.84%-2.84%
19906.11%-6.08%$66,2207.70%$48,238-3.11%$88,680-6.08%7.70%-3.11%
19913.06%32.39%$87,67018.91%$57,358-8.56%$81,09132.39%18.91%-8.56%
19922.90%9.11%$95,6547.23%$61,506-5.73%$76,4419.11%7.23%-5.73%
19932.75%10.62%$105,81712.97%$69,48617.68%$89,95410.62%12.97%17.68%
19942.67%-0.17%$105,638-7.19%$64,488-2.17%$88,002-0.17%-7.19%-2.17%
19952.54%35.79%$143,44125.55%$80,9640.98%$88,86335.79%25.55%0.98%
19963.32%20.96%$173,510-0.00%$80,962-4.59%$84,78820.96%-0.00%-4.59%
19971.70%30.99%$227,28811.97%$90,650-21.41%$66,63630.99%11.97%-21.41%
19981.61%23.26%$280,16514.64%$103,919-0.83%$66,08523.26%14.64%-0.83%
19992.68%23.81%$346,880-7.83%$95,7850.85%$66,64823.81%-7.83%0.85%
20003.39%-10.57%$310,19917.28%$112,334-5.44%$63,020-10.57%17.28%-5.44%
20011.55%-10.97%$276,1835.40%$118,4030.75%$63,490-10.97%5.40%0.75%
20022.38%-20.96%$218,29315.45%$136,69525.57%$79,724-20.96%15.45%25.57%
20031.88%31.35%$286,7360.15%$136,90419.89%$95,58031.35%0.15%19.89%
20043.26%12.52%$322,6244.50%$143,0594.65%$100,02312.52%4.50%4.65%
20053.42%5.98%$341,9183.01%$147,37217.76%$117,7895.98%3.01%17.76%
20062.54%15.51%$394,9542.19%$150,60222.55%$144,34815.51%2.19%22.55%
20074.08%5.49%$416,63510.42%$166,30030.45%$188,3085.49%10.42%30.45%
20080.09%-37.04%$262,32320.53%$200,4484.92%$197,580-37.04%20.53%4.92%
20092.72%28.70%$337,604-10.17%$180,05724.03%$245,05628.70%-10.17%24.03%
20101.50%17.09%$395,3137.92%$194,32029.27%$316,78517.09%7.92%29.27%
20112.96%0.96%$399,11616.24%$225,8869.57%$347,0890.96%16.24%9.57%
20121.74%16.25%$463,9852.73%$232,0576.60%$369,99516.25%2.73%6.60%
20131.50%33.35%$618,722-8.57%$212,172-28.33%$265,17633.35%-8.57%-28.33%
20140.76%12.43%$695,62510.63%$234,736-2.19%$259,37612.43%10.63%-2.19%
20150.73%0.29%$697,6541.12%$237,371-10.67%$231,6980.29%1.12%-10.67%
20162.07%12.53%$785,0931.00%$239,7558.03%$250,31012.53%1.00%8.03%
20172.11%21.05%$950,3672.39%$245,49512.81%$282,37221.05%2.39%12.81%
20181.91%-5.26%$900,4140.99%$247,923-1.94%$276,892-5.26%0.99%-1.94%
20192.29%30.65%$1,176,3808.03%$267,83117.86%$326,33230.65%8.03%17.86%
20201.36%20.87%$1,421,88910.01%$294,63224.81%$407,31020.87%10.01%24.81%
20215.03%20.50%$1,713,321-1.87%$289,110-4.86%$387,51120.50%-1.87%-4.86%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Portfolio return and risk metrics
MetricUS Bond Market10 Year TreasuryGold
Arithmetic Mean (monthly)0.97%0.59%0.78%
Arithmetic Mean (annualized)12.26%7.34%9.73%
Geometric Mean (monthly)0.87%0.57%0.62%
Geometric Mean (annualized)10.91%7.01%7.64%
Volatility (monthly)4.50%2.31%5.77%
Volatility (annualized)15.57%8.00%19.98%
Downside Deviation (monthly)2.91%1.26%3.26%
Max. Drawdown-50.89%-15.76%-61.78%
US Market Correlation1.000.030.02
Beta(*)1.000.010.02
Alpha (annualized)0.00%6.94%9.08%
R2100.00%0.08%0.03%
Sharpe Ratio0.450.330.24
Sortino Ratio0.660.510.40
Treynor Ratio (%)7.11178.09234.82
Calmar Ratio0.850.821.04
Active Return0.00%-3.90%-3.27%
Tracking Error0.00%17.30%25.13%
Information RatioN/A-0.23-0.13
Skewness-0.540.390.87
Excess Kurtosis2.162.214.17
Historical Value-at-Risk (5%)-7.03%-3.01%-6.80%
Analytical Value-at-Risk (5%)-6.43%-3.20%-8.71%
Conditional Value-at-Risk (5%)-10.03%-4.22%-10.47%
Upside Capture Ratio (%)100.0015.5517.64
Downside Capture Ratio (%)100.00-15.16-15.28
Safe Withdrawal Rate4.32%3.25%5.80%
Perpetual Withdrawal Rate6.41%2.95%3.53%
Positive Periods375 out of 596 (62.92%)358 out of 596 (60.07%)307 out of 596 (51.51%)
Gain/Loss Ratio1.031.331.37
* 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 PeriodStartEndUS Bond Market10 Year TreasuryGold
Oil CrisisOct 1973Mar 1974-12.61%-2.76%-2.00%
Black Monday PeriodSep 1987Nov 1987-29.34%-3.24%0.00%
Asian CrisisJul 1997Jan 1998-3.72%-1.84%-13.26%
Russian Debt DefaultJul 1998Oct 1998-17.57%-1.22%-7.73%
Dotcom CrashMar 2000Oct 2002-44.11%-6.60%-12.24%
Subprime CrisisNov 2007Mar 2009-50.89%-6.16%-25.83%
COVID-19 StartJan 2020Mar 2020-20.89%0.00%-0.86%

Drawdowns for US Bond Market

Drawdowns for US Bond Market (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
3Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
5Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
6Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
7Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
8Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
9Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
10Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
Worst 10 drawdowns included above

Drawdowns for 10 Year Treasury

Drawdowns for 10 Year Treasury (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Feb 19808 monthsMay 19803 months11 months-15.76%
2Jul 1980Sep 19811 year 3 monthsNov 19812 months1 year 5 months-14.57%
3Mar 1987Sep 19877 monthsJan 19884 months11 months-10.87%
4Aug 2012Dec 20131 year 5 monthsJan 20151 year 1 month2 years 6 months-10.21%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-10.17%
6Nov 1993Nov 19941 year 1 monthMay 19956 months1 year 7 months-10.14%
7Oct 1998Jan 20001 year 4 monthsAug 20007 months1 year 11 months-9.34%
8Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-8.35%
9Feb 1984May 19844 monthsAug 19843 months7 months-7.99%
10Aug 2020Mar 20218 months-7.54%
Worst 10 drawdowns included above

Drawdowns for Gold

Drawdowns for Gold (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 1980Aug 199918 years 11 monthsApr 20077 years 8 months26 years 7 months-61.78%
2Jan 1975Aug 19761 year 8 monthsJul 19781 year 11 months3 years 7 months-44.24%
3Sep 2011Dec 20154 years 4 monthsJul 20204 years 7 months8 years 11 months-42.91%
4Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
5Feb 1980Mar 19802 monthsJun 19803 months5 months-24.27%
6Jul 1973Oct 19734 monthsJan 19743 months7 months-20.49%
7Nov 1978Nov 19781 monthFeb 19793 months4 months-20.28%
8Apr 1974Jun 19743 monthsNov 19745 months8 months-16.62%
9Aug 2020Mar 20218 months-13.74%
10Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.91%15.57%37.82%-37.04%-50.89%0.450.661.00
10-year Treasury7.01%8.00%39.57%-10.17%-15.76%0.330.510.03
Gold7.64%19.98%126.55%-32.60%-61.78%0.240.400.02

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock Market10-year TreasuryGoldUS Bond Market10 Year TreasuryGold
US Stock Market1.000.030.021.000.030.02
10-year Treasury0.031.000.060.031.000.06
Gold0.020.061.000.020.061.00

Portfolio Return Decomposition

Portfolio return decomposition
NameUS Bond Market10 Year TreasuryGold
US Stock Market$1,703,321
10-year Treasury$279,110
Gold$377,511

Portfolio Risk Decomposition

Portfolio risk decomposition
NameUS Bond Market10 Year TreasuryGold
US Stock Market100.00%
10-year Treasury100.00%
Gold100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodUS Bond Market10 Year TreasuryGold
AverageHighLowAverageHighLowAverageHighLow
1 year12.02%66.73%-43.18%7.51%44.35%-11.12%9.97%179.42%-37.71%
3 years11.19%30.70%-16.27%7.41%23.66%-2.91%7.06%70.26%-15.32%
5 years11.23%27.25%-6.23%7.48%23.75%-0.08%6.29%36.39%-14.69%
7 years11.24%21.23%-3.02%7.60%17.44%0.90%6.02%38.74%-6.75%
10 years11.16%18.89%-2.57%7.94%15.70%2.15%5.38%24.75%-5.99%
15 years10.98%18.21%4.25%8.13%13.03%3.45%4.97%15.89%-3.63%