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 1978 - Nov 2021)

Portfolio Allocations

WBP Short
Asset Class Allocation
US Large Cap 90.00%
Short Term Treasury 10.00%
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WBP Long
Asset Class Allocation
US Large Cap 90.00%
Long Term Treasury 10.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
WBP Short$10,000$1,204,769 11.53% 13.52%34.91%-32.65%-46.02% 0.560.830.99
WBP Long$10,000$1,375,355 11.86% 13.57%36.71%-31.07%-45.27% 0.580.860.98
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
WBP Short0.51%14.22%26.71%14.63%15.28%14.97%11.43%16.84%13.61%
WBP Long0.55%13.53%25.39%15.26%15.41%15.30%11.76%16.38%13.27%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 November
  • 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
YearInflationWBP ShortWBP LongUS Large CapShort Term TreasuryLong Term Treasury
ReturnBalanceReturnBalance
19789.02%5.62%$10,5625.13%$10,5135.87%3.35%-1.55%
197913.29%17.05%$12,36316.03%$12,19818.05%8.08%-2.10%
198012.52%29.60%$16,02328.23%$15,64131.92%8.81%-4.99%
19818.92%-3.26%$15,501-4.62%$14,919-5.21%14.26%0.65%
19823.83%21.09%$18,76923.58%$18,43720.97%22.12%47.10%
19833.79%19.96%$22,51619.03%$21,94721.29%8.00%-1.29%
19843.95%6.99%$24,0907.21%$23,5306.21%14.01%16.24%
19853.80%29.49%$31,19431.80%$31,01231.23%13.83%36.90%
19861.10%17.29%$36,58819.34%$37,01018.06%10.35%30.87%
19874.43%4.71%$38,3123.94%$38,4694.71%4.78%-2.92%
19884.42%15.17%$44,12315.51%$44,43716.22%5.67%9.15%
19894.65%29.38%$57,08430.02%$57,77831.36%11.48%17.93%
19906.11%-2.00%$55,942-2.41%$56,383-3.32%9.92%5.78%
19913.06%28.35%$71,80128.94%$72,70230.22%11.49%17.43%
19922.90%7.36%$77,0837.42%$78,0977.42%6.75%7.41%
19932.75%9.53%$84,43210.58%$86,3619.89%6.31%16.78%
19942.67%1.01%$85,2850.35%$86,6681.18%-0.48%-7.04%
19952.54%34.91%$115,06036.71%$118,48437.45%12.11%30.09%
19963.32%21.03%$139,25620.46%$142,73022.88%4.39%-1.26%
19971.70%30.52%$181,75931.26%$187,35033.19%6.51%13.90%
19981.61%26.49%$229,91027.06%$238,04828.62%7.36%13.05%
19992.68%19.15%$273,93018.10%$281,12421.07%1.85%-8.66%
20003.39%-7.27%$254,023-6.18%$263,755-9.06%8.83%19.72%
20011.55%-10.04%$228,516-10.39%$236,351-12.02%7.80%4.31%
20022.38%-19.13%$184,804-18.26%$193,186-22.15%8.02%16.67%
20031.88%25.89%$232,65025.92%$243,25828.50%2.38%2.68%
20043.26%9.77%$255,37910.38%$268,50410.74%1.03%7.12%
20053.42%4.47%$266,8044.96%$281,8164.77%1.77%6.61%
20062.54%14.45%$305,36814.25%$321,97915.64%3.77%1.74%
20074.08%5.64%$322,5815.77%$340,5645.39%7.89%9.24%
20080.09%-32.65%$217,256-31.07%$234,760-37.02%6.68%22.51%
20092.72%23.98%$269,35622.63%$287,88926.49%1.44%-12.06%
20101.50%13.69%$306,21914.32%$329,10114.91%2.63%8.93%
20112.96%1.99%$312,3284.70%$344,5591.97%2.26%29.28%
20121.74%14.31%$357,02814.59%$394,82615.82%0.69%3.46%
20131.50%28.95%$460,38127.66%$504,01632.18%-0.10%-13.03%
20140.76%12.23%$516,68214.69%$578,03213.51%0.71%25.27%
20150.73%1.17%$522,7350.97%$583,6521.25%0.45%-1.54%
20162.07%10.74%$578,85010.76%$646,43111.82%1.00%1.21%
20172.11%19.54%$691,96120.36%$778,04421.67%0.40%8.59%
20181.91%-3.94%$664,699-4.27%$744,856-4.53%1.35%-1.90%
20192.29%28.55%$854,49429.61%$965,38531.33%3.59%14.13%
20201.36%16.82%$998,20918.25%$1,141,58618.25%3.96%18.29%
20216.19%20.69%$1,204,76920.48%$1,375,35523.06%-0.64%-2.79%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Portfolio return and risk metrics
MetricWBP ShortWBP Long
Arithmetic Mean (monthly)0.99%1.02%
Arithmetic Mean (annualized)12.55%12.90%
Geometric Mean (monthly)0.91%0.94%
Geometric Mean (annualized)11.53%11.86%
Standard Deviation (monthly)3.90%3.92%
Standard Deviation (annualized)13.52%13.57%
Downside Deviation (monthly)2.48%2.47%
Max. Drawdown-46.02%-45.27%
US Market Correlation0.990.98
Beta(*)0.870.87
Alpha (annualized)0.91%1.23%
R297.80%96.95%
Sharpe Ratio0.560.58
Sortino Ratio0.830.86
Treynor Ratio (%)8.719.07
Calmar Ratio1.061.20
Active Return-0.51%-0.17%
Tracking Error2.84%3.11%
Information Ratio-0.18-0.05
Skewness-0.62-0.59
Excess Kurtosis2.112.12
Historical Value-at-Risk (5%)-5.90%-5.52%
Analytical Value-at-Risk (5%)-5.43%-5.43%
Conditional Value-at-Risk (5%)-8.46%-8.43%
Upside Capture Ratio (%)87.7488.49
Downside Capture Ratio (%)85.0684.34
Safe Withdrawal Rate7.77%7.82%
Perpetual Withdrawal Rate7.38%7.67%
Positive Periods345 out of 527 (65.46%)348 out of 527 (66.03%)
Gain/Loss Ratio1.021.01
* 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 PeriodStartEndWBP ShortWBP Long
Black Monday PeriodSep 1987Nov 1987-27.35%-27.54%
Asian CrisisJul 1997Jan 1998-5.15%-5.35%
Russian Debt DefaultJul 1998Oct 1998-13.83%-13.59%
Dotcom CrashMar 2000Oct 2002-39.67%-38.91%
Subprime CrisisNov 2007Mar 2009-46.02%-45.27%
COVID-19 StartJan 2020Mar 2020-17.42%-16.16%

Drawdowns for WBP Short

Drawdowns for WBP Short (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-46.02%
2Sep 2000Sep 20022 years 1 monthSep 20064 years6 years 1 month-39.67%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-27.35%
4Feb 2020Mar 20202 monthsJul 20204 months6 months-17.42%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-13.83%
6Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-13.08%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-12.77%
8Oct 2018Dec 20183 monthsApr 20194 months7 months-12.19%
9Feb 1980Mar 19802 monthsMay 19802 months4 months-8.82%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-8.58%
Worst 10 drawdowns included above

Drawdowns for WBP Long

Drawdowns for WBP Long (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-45.27%
2Sep 2000Sep 20022 years 1 monthAug 20063 years 11 months6 years-38.91%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-27.54%
4Feb 2020Mar 20202 monthsJul 20204 months6 months-16.16%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-14.25%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-13.59%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-13.14%
8May 2011Sep 20115 monthsJan 20124 months9 months-12.34%
9Oct 2018Dec 20183 monthsApr 20194 months7 months-12.01%
10Feb 1980Mar 19802 monthsMay 19802 months4 months-9.31%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Large Cap12.03%15.02%37.45%-37.02%-50.97%0.550.810.99
Short Term Treasury5.74%3.08%22.12%-0.64%-4.26%0.460.760.04
Long Term Treasury8.40%11.12%47.10%-13.03%-23.12%0.390.640.02

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
Quarter to DateYear To Date1 year3 year5 year10 year
US Large Cap0.56%15.83%29.87%15.85%16.75%16.47%
Short Term Treasury-0.05%-0.28%-0.16%2.87%1.65%1.20%
Long Term Treasury0.39%-7.18%-9.63%9.36%3.26%4.29%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapShort Term TreasuryLong Term TreasuryWBP ShortWBP Long
US Large Cap1.000.050.031.001.00
Short Term Treasury0.051.000.700.070.11
Long Term Treasury0.030.701.000.050.12

Portfolio Return Decomposition

Portfolio return decomposition
NameWBP ShortWBP Long
US Large Cap$1,163,391$1,281,335
Short Term Treasury$31,379
Long Term Treasury$84,020

Portfolio Risk Decomposition

Portfolio risk decomposition
NameWBP ShortWBP Long
US Large Cap99.84%99.04%
Short Term Treasury0.16%
Long Term Treasury0.96%

Annual Asset Returns

Rolling returns summary
Roll PeriodWBP ShortWBP Long
AverageHighLowAverageHighLow
1 year12.54%54.47%-38.87%12.88%57.27%-38.12%
3 years11.50%30.72%-13.73%11.88%32.31%-13.36%
5 years11.32%27.22%-5.38%11.73%28.34%-5.02%
7 years11.09%21.27%-2.81%11.51%22.15%-2.38%
10 years10.73%18.12%-2.40%11.15%18.50%-2.06%
15 years10.30%18.28%3.85%10.70%18.79%4.38%