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.

Portfolio View

Time Period

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End Year

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Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

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Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Asset Allocation

Asset Class

Portfolio #1

Portfolio #2

Portfolio #3

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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Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1978 - Nov 2021)

Note: The time period was constrained by the available data for Long Term Treasury [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
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
WBP Short	$10,000	$1,204,769	11.53%	13.52%	34.91%	-32.65%	-46.02%	0.56	0.83	0.99
WBP Long	$10,000	$1,375,355	11.86%	13.57%	36.71%	-31.07%	-45.27%	0.58	0.86	0.98

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	YTD	1 year	3 year	5 year	10 year	Full	3 year	5 year
WBP Short	0.51%	14.22%	26.71%	14.63%	15.28%	14.97%	11.43%	16.84%	13.61%
WBP Long	0.55%	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
Year	Inflation	WBP Short		WBP Long		US Large Cap	Short Term Treasury	Long Term Treasury
Year	Inflation	Return	Balance	Return	Balance	US Large Cap	Short Term Treasury	Long Term Treasury
1978	9.02%	5.62%	$10,562	5.13%	$10,513	5.87%	3.35%	-1.55%
1979	13.29%	17.05%	$12,363	16.03%	$12,198	18.05%	8.08%	-2.10%
1980	12.52%	29.60%	$16,023	28.23%	$15,641	31.92%	8.81%	-4.99%
1981	8.92%	-3.26%	$15,501	-4.62%	$14,919	-5.21%	14.26%	0.65%
1982	3.83%	21.09%	$18,769	23.58%	$18,437	20.97%	22.12%	47.10%
1983	3.79%	19.96%	$22,516	19.03%	$21,947	21.29%	8.00%	-1.29%
1984	3.95%	6.99%	$24,090	7.21%	$23,530	6.21%	14.01%	16.24%
1985	3.80%	29.49%	$31,194	31.80%	$31,012	31.23%	13.83%	36.90%
1986	1.10%	17.29%	$36,588	19.34%	$37,010	18.06%	10.35%	30.87%
1987	4.43%	4.71%	$38,312	3.94%	$38,469	4.71%	4.78%	-2.92%
1988	4.42%	15.17%	$44,123	15.51%	$44,437	16.22%	5.67%	9.15%
1989	4.65%	29.38%	$57,084	30.02%	$57,778	31.36%	11.48%	17.93%
1990	6.11%	-2.00%	$55,942	-2.41%	$56,383	-3.32%	9.92%	5.78%
1991	3.06%	28.35%	$71,801	28.94%	$72,702	30.22%	11.49%	17.43%
1992	2.90%	7.36%	$77,083	7.42%	$78,097	7.42%	6.75%	7.41%
1993	2.75%	9.53%	$84,432	10.58%	$86,361	9.89%	6.31%	16.78%
1994	2.67%	1.01%	$85,285	0.35%	$86,668	1.18%	-0.48%	-7.04%
1995	2.54%	34.91%	$115,060	36.71%	$118,484	37.45%	12.11%	30.09%
1996	3.32%	21.03%	$139,256	20.46%	$142,730	22.88%	4.39%	-1.26%
1997	1.70%	30.52%	$181,759	31.26%	$187,350	33.19%	6.51%	13.90%
1998	1.61%	26.49%	$229,910	27.06%	$238,048	28.62%	7.36%	13.05%
1999	2.68%	19.15%	$273,930	18.10%	$281,124	21.07%	1.85%	-8.66%
2000	3.39%	-7.27%	$254,023	-6.18%	$263,755	-9.06%	8.83%	19.72%
2001	1.55%	-10.04%	$228,516	-10.39%	$236,351	-12.02%	7.80%	4.31%
2002	2.38%	-19.13%	$184,804	-18.26%	$193,186	-22.15%	8.02%	16.67%
2003	1.88%	25.89%	$232,650	25.92%	$243,258	28.50%	2.38%	2.68%
2004	3.26%	9.77%	$255,379	10.38%	$268,504	10.74%	1.03%	7.12%
2005	3.42%	4.47%	$266,804	4.96%	$281,816	4.77%	1.77%	6.61%
2006	2.54%	14.45%	$305,368	14.25%	$321,979	15.64%	3.77%	1.74%
2007	4.08%	5.64%	$322,581	5.77%	$340,564	5.39%	7.89%	9.24%
2008	0.09%	-32.65%	$217,256	-31.07%	$234,760	-37.02%	6.68%	22.51%
2009	2.72%	23.98%	$269,356	22.63%	$287,889	26.49%	1.44%	-12.06%
2010	1.50%	13.69%	$306,219	14.32%	$329,101	14.91%	2.63%	8.93%
2011	2.96%	1.99%	$312,328	4.70%	$344,559	1.97%	2.26%	29.28%
2012	1.74%	14.31%	$357,028	14.59%	$394,826	15.82%	0.69%	3.46%
2013	1.50%	28.95%	$460,381	27.66%	$504,016	32.18%	-0.10%	-13.03%
2014	0.76%	12.23%	$516,682	14.69%	$578,032	13.51%	0.71%	25.27%
2015	0.73%	1.17%	$522,735	0.97%	$583,652	1.25%	0.45%	-1.54%
2016	2.07%	10.74%	$578,850	10.76%	$646,431	11.82%	1.00%	1.21%
2017	2.11%	19.54%	$691,961	20.36%	$778,044	21.67%	0.40%	8.59%
2018	1.91%	-3.94%	$664,699	-4.27%	$744,856	-4.53%	1.35%	-1.90%
2019	2.29%	28.55%	$854,494	29.61%	$965,385	31.33%	3.59%	14.13%
2020	1.36%	16.82%	$998,209	18.25%	$1,141,586	18.25%	3.96%	18.29%
2021	6.19%	20.69%	$1,204,769	20.48%	$1,375,355	23.06%	-0.64%	-2.79%
Annual return for 2021 is from 01/01/2021 to 11/30/2021

Portfolio return and risk metrics
Metric	WBP Short	WBP 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 Correlation	0.99	0.98
Beta^(*)	0.87	0.87
Alpha (annualized)	0.91%	1.23%
R²	97.80%	96.95%
Sharpe Ratio	0.56	0.58
Sortino Ratio	0.83	0.86
Treynor Ratio (%)	8.71	9.07
Calmar Ratio	1.06	1.20
Active Return	-0.51%	-0.17%
Tracking Error	2.84%	3.11%
Information Ratio	-0.18	-0.05
Skewness	-0.62	-0.59
Excess Kurtosis	2.11	2.12
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 (%)	87.74	88.49
Downside Capture Ratio (%)	85.06	84.34
Safe Withdrawal Rate	7.77%	7.82%
Perpetual Withdrawal Rate	7.38%	7.67%
Positive Periods	345 out of 527 (65.46%)	348 out of 527 (66.03%)
Gain/Loss Ratio	1.02	1.01
^* 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 Period	Start	End	WBP Short	WBP Long
Black Monday Period	Sep 1987	Nov 1987	-27.35%	-27.54%
Asian Crisis	Jul 1997	Jan 1998	-5.15%	-5.35%
Russian Debt Default	Jul 1998	Oct 1998	-13.83%	-13.59%
Dotcom Crash	Mar 2000	Oct 2002	-39.67%	-38.91%
Subprime Crisis	Nov 2007	Mar 2009	-46.02%	-45.27%
COVID-19 Start	Jan 2020	Mar 2020	-17.42%	-16.16%

Drawdowns for WBP Short

Drawdowns for WBP Short (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Feb 2012	3 years	4 years 4 months	-46.02%
2	Sep 2000	Sep 2002	2 years 1 month	Sep 2006	4 years	6 years 1 month	-39.67%
3	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-27.35%
4	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-17.42%
5	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-13.83%
6	Dec 1980	Jul 1982	1 year 8 months	Oct 1982	3 months	1 year 11 months	-13.08%
7	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-12.77%
8	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-12.19%
9	Feb 1980	Mar 1980	2 months	May 1980	2 months	4 months	-8.82%
10	Sep 1978	Oct 1978	2 months	Mar 1979	5 months	7 months	-8.58%
Worst 10 drawdowns included above

Drawdowns for WBP Long

Drawdowns for WBP Long (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Apr 2011	2 years 2 months	3 years 6 months	-45.27%
2	Sep 2000	Sep 2002	2 years 1 month	Aug 2006	3 years 11 months	6 years	-38.91%
3	Sep 1987	Nov 1987	3 months	Apr 1989	1 year 5 months	1 year 8 months	-27.54%
4	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-16.16%
5	Dec 1980	Jul 1982	1 year 8 months	Oct 1982	3 months	1 year 11 months	-14.25%
6	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-13.59%
7	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-13.14%
8	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-12.34%
9	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-12.01%
10	Feb 1980	Mar 1980	2 months	May 1980	2 months	4 months	-9.31%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
US Large Cap	12.03%	15.02%	37.45%	-37.02%	-50.97%	0.55	0.81	0.99
Short Term Treasury	5.74%	3.08%	22.12%	-0.64%	-4.26%	0.46	0.76	0.04
Long Term Treasury	8.40%	11.12%	47.10%	-13.03%	-23.12%	0.39	0.64	0.02

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return
Name	Quarter to Date	Year To Date	1 year	3 year	5 year	10 year
US Large Cap	0.56%	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 Treasury	0.39%	-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
Name	US Large Cap	Short Term Treasury	Long Term Treasury	WBP Short	WBP Long
US Large Cap	1.00	0.05	0.03	1.00	1.00
Short Term Treasury	0.05	1.00	0.70	0.07	0.11
Long Term Treasury	0.03	0.70	1.00	0.05	0.12

Portfolio Return Decomposition

Portfolio return decomposition
Name	WBP Short	WBP 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
Name	WBP Short	WBP Long
US Large Cap	99.84%	99.04%
Short Term Treasury	0.16%
Long Term Treasury		0.96%

Annual Asset Returns

Rolling returns summary
Roll Period	WBP Short			WBP Long
Roll Period	Average	High	Low	Average	High	Low
1 year	12.54%	54.47%	-38.87%	12.88%	57.27%	-38.12%
3 years	11.50%	30.72%	-13.73%	11.88%	32.31%	-13.36%
5 years	11.32%	27.22%	-5.38%	11.73%	28.34%	-5.02%
7 years	11.09%	21.27%	-2.81%	11.51%	22.15%	-2.38%
10 years	10.73%	18.12%	-2.40%	11.15%	18.50%	-2.06%
15 years	10.30%	18.28%	3.85%	10.70%	18.79%	4.38%