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
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 1973 - Dec 1980)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 60.00%
Intermediate Term Treasury 40.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$17,398 7.17% 11.50%25.64%-14.41%-27.28%

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 15.91%21.05%14.23%12.23%7.17%
Trailing returns are for full months ending in December 1980 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.
  • 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 MarketIntermediate Term Treasury
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.63%
Arithmetic Mean (annualized)7.86%
Geometric Mean (monthly)0.58%
Geometric Mean (annualized)7.17%
Volatility (monthly)3.32%
Volatility (annualized)11.50%
Downside Deviation (monthly)1.97%
Max. Drawdown-27.28%
US Market Correlation0.96
Alpha (annualized)2.14%
Sharpe Ratio0.01
Sortino Ratio0.02
Treynor Ratio (%)0.20
Calmar Ratio1.49
Active Return-0.34%
Tracking Error7.59%
Information Ratio-0.05
Excess Kurtosis0.30
Historical Value-at-Risk (5%)-5.10%
Analytical Value-at-Risk (5%)-4.83%
Conditional Value-at-Risk (5%)-6.98%
Upside Capture Ratio (%)63.28
Downside Capture Ratio (%)58.38
Safe Withdrawal Rate9.78%
Perpetual Withdrawal Rate0.00%
Positive Periods53 out of 96 (55.21%)
Gain/Loss Ratio1.34
* 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
Oil CrisisOct 1973Mar 1974-7.48%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 1973Sep 19741 year 9 monthsJan 19761 year 4 months3 years 1 month-27.28%
2Feb 1980Mar 19802 monthsMay 19802 months4 months-9.57%
3Sep 1978Oct 19782 monthsMar 19795 months7 months-7.92%
4Oct 1979Oct 19791 monthDec 19792 months3 months-6.65%
5Jan 1977Feb 19781 year 2 monthsApr 19782 months1 year 4 months-5.45%
6Dec 1980Dec 19801 month-1.34%
7Apr 1976May 19762 monthsJun 19761 month3 months-1.34%
8Jun 1978Jun 19781 monthJul 19781 month2 months-0.74%
9Oct 1976Oct 19761 monthNov 19761 month2 months-0.68%
10Aug 1980Aug 19801 monthSep 19801 month2 months-0.50%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.51%18.04%37.82%-27.81%-45.86%
Intermediate Term Treasury5.14%7.36%13.75%1.04%-10.70%-0.30-0.390.14

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntermediate Term TreasuryPortfolio 1
US Stock Market1.000.140.96
Intermediate Term Treasury0.141.000.39

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$5,713
Intermediate Term Treasury$1,685

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market90.05%
Intermediate Term Treasury9.95%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.14%25.64%-14.41%
3 years8.65%14.49%-0.76%
5 years8.68%13.07%3.14%
7 years7.52%9.72%5.32%
Result statistics are based on annualized rolling returns over full calendar year periods