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
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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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Portfolio Analysis Results (Jan 1986 - Dec 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 80.00%
Gold 20.00%
Save portfolio »
Portfolio 2
Asset Class Allocation
US Stock Market 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$295,959 10.16% 14.11%32.32%-34.66%-47.35% 0.540.770.99
Portfolio 2$10,000$356,379 10.75% 15.44%35.79%-37.04%-50.89% 0.540.771.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 114.07%21.01%14.32%15.17%12.93%10.16%18.99%15.40%
Portfolio 214.65%20.87%14.37%15.30%13.66%10.75%19.67%16.01%
Trailing annualized return and volatility are for full months ending in December 2020 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2US Stock MarketGold
ReturnBalanceReturnBalance
19861.10%15.45%$11,54514.57%$11,45714.57%18.96%
19874.43%7.13%$12,3682.61%$11,7572.61%24.53%
19884.42%9.51%$13,54517.32%$13,79317.32%-15.26%
19894.65%22.38%$16,57628.12%$17,67128.12%-2.84%
19906.11%-5.64%$15,641-6.08%$16,597-6.08%-3.11%
19913.06%26.20%$19,74032.39%$21,97332.39%-8.56%
19922.90%7.48%$21,2179.11%$23,9759.11%-5.73%
19932.75%11.30%$23,61510.62%$26,52210.62%17.68%
19942.67%-0.37%$23,527-0.17%$26,477-0.17%-2.17%
19952.54%32.32%$31,13035.79%$35,95235.79%0.98%
19963.32%19.02%$37,05020.96%$43,48820.96%-4.59%
19971.70%27.80%$47,35030.99%$56,96730.99%-21.41%
19981.61%22.36%$57,93723.26%$70,22023.26%-0.83%
19992.68%23.11%$71,32923.81%$86,94123.81%0.85%
20003.39%-10.45%$63,878-10.57%$77,748-10.57%-5.44%
20011.55%-10.66%$57,070-10.97%$69,222-10.97%0.75%
20022.38%-19.58%$45,895-20.96%$54,712-20.96%25.57%
20031.88%30.82%$60,04131.35%$71,86731.35%19.89%
20043.26%12.18%$67,35512.52%$80,86212.52%4.65%
20053.42%6.45%$71,6975.98%$85,6985.98%17.76%
20062.54%15.82%$83,03915.51%$98,99015.51%22.55%
20074.08%6.65%$88,5585.49%$104,4245.49%30.45%
20080.09%-34.66%$57,864-37.04%$65,748-37.04%4.92%
20092.72%28.27%$74,22428.70%$84,61628.70%24.03%
20101.50%18.17%$87,70717.09%$99,08017.09%29.27%
20112.96%1.79%$89,2780.96%$100,0340.96%9.57%
20121.74%15.25%$102,89516.25%$116,29216.25%6.60%
20131.50%27.44%$131,12833.35%$155,07533.35%-28.33%
20140.76%11.64%$146,39312.43%$174,35012.43%-2.19%
20150.73%-0.23%$146,0620.29%$174,8580.29%-10.67%
20162.07%12.34%$164,09112.53%$196,77412.53%8.03%
20172.11%20.72%$198,08421.05%$238,19821.05%12.81%
20181.91%-5.13%$187,922-5.26%$225,678-5.26%-1.94%
20192.29%30.15%$244,57430.65%$294,84530.65%17.86%
20201.36%21.01%$295,95920.87%$356,37920.87%24.81%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.89%0.96%
Arithmetic Mean (annualized)11.27%12.09%
Geometric Mean (monthly)0.81%0.85%
Geometric Mean (annualized)10.16%10.75%
Volatility (monthly)4.07%4.46%
Volatility (annualized)14.11%15.44%
Downside Deviation (monthly)2.73%3.00%
Max. Drawdown-47.35%-50.89%
US Market Correlation0.991.00
Beta(*)0.911.00
Alpha (annualized)0.34%-0.00%
R298.29%100.00%
Sharpe Ratio0.540.54
Sortino Ratio0.770.77
Treynor Ratio (%)8.398.34
Calmar Ratio0.710.69
Active Return-0.59%0.00%
Tracking Error2.35%0.00%
Information Ratio-0.25N/A
Skewness-0.81-0.85
Excess Kurtosis2.412.61
Historical Value-at-Risk (5%)-6.44%-7.17%
Analytical Value-at-Risk (5%)-5.81%-6.38%
Conditional Value-at-Risk (5%)-9.54%-10.35%
Upside Capture Ratio (%)90.47100.00
Downside Capture Ratio (%)90.16100.00
Safe Withdrawal Rate8.04%8.92%
Perpetual Withdrawal Rate6.94%7.44%
Positive Periods283 out of 420 (67.38%)275 out of 420 (65.48%)
Gain/Loss Ratio0.860.91
* 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 1Portfolio 2
Black Monday PeriodSep 1987Nov 1987-22.40%-29.34%
Asian CrisisJul 1997Jan 1998-3.57%-3.72%
Russian Debt DefaultJul 1998Oct 1998-17.24%-17.57%
Dotcom CrashMar 2000Oct 2002-42.72%-44.11%
Subprime CrisisNov 2007Mar 2009-47.35%-50.89%
COVID-19 StartJan 2020Mar 2020-20.09%-20.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20112 years 1 month3 years 5 months-47.35%
2Sep 2000Sep 20022 years 1 monthJan 20063 years 4 months5 years 5 months-42.72%
3Sep 1987Nov 19873 monthsJul 19891 year 8 months1 year 11 months-22.40%
4Feb 2020Mar 20202 monthsJul 20204 months6 months-20.09%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-17.24%
6May 2011Sep 20115 monthsFeb 20125 months10 months-15.67%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-13.59%
8Jun 1990Oct 19905 monthsFeb 19914 months9 months-13.44%
9Jun 2015Sep 20154 monthsMay 20168 months1 year-8.76%
10Apr 2000May 20002 monthsAug 20003 months5 months-8.28%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
8Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
9Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
10Sep 1986Sep 19861 monthJan 19874 months5 months-7.92%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.75%15.44%35.79%-37.04%-50.89%0.540.771.00
Gold4.95%15.15%30.45%-28.33%-48.26%0.190.29-0.04

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGoldPortfolio 1Portfolio 2
US Stock Market1.00-0.040.991.00
Gold-0.041.000.05-0.04

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$277,103$346,379
Gold$8,856

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market98.70%100.00%
Gold1.30%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.53%51.85%-40.36%11.29%56.25%-43.18%
3 years9.74%27.96%-15.60%10.45%30.70%-16.27%
5 years9.50%24.84%-4.67%10.14%26.84%-6.23%
7 years9.39%18.91%-1.78%9.95%20.35%-3.02%
10 years9.14%17.11%-1.67%9.59%18.89%-2.57%
15 years8.25%13.27%4.42%8.55%14.88%4.25%

Portfolio 1 Allocation Drift

Annual allocation drift for portfolio 1
YearUS Stock Market AllocationGold Allocation
198680.00%20.00%
198779.39%20.61%
198876.05%23.95%
198981.46%18.54%
199085.28%14.72%
199184.89%15.11%
199289.05%10.95%
199390.40%9.60%
199489.85%10.15%
199590.03%9.97%
199692.39%7.61%
199793.90%6.10%
199896.25%3.75%
199996.96%3.04%
200097.51%2.49%
200197.37%2.63%
200297.03%2.97%
200395.37%4.63%
200495.76%4.24%
200596.04%3.96%
200695.62%4.38%
200795.37%4.63%
200894.33%5.67%
200990.90%9.10%
201091.20%8.80%
201190.37%9.63%
201289.64%10.36%
201390.42%9.58%
201494.61%5.39%
201595.28%4.72%
201695.77%4.23%
201795.93%4.07%
201896.20%3.80%
201996.07%3.93%
202096.44%3.56%
202196.33%3.67%

Portfolio 2 Allocation Drift

Annual allocation drift for portfolio 2
YearUS Stock Market Allocation
1986100.00%
1987100.00%
1988100.00%
1989100.00%
1990100.00%
1991100.00%
1992100.00%
1993100.00%
1994100.00%
1995100.00%
1996100.00%
1997100.00%
1998100.00%
1999100.00%
2000100.00%
2001100.00%
2002100.00%
2003100.00%
2004100.00%
2005100.00%
2006100.00%
2007100.00%
2008100.00%
2009100.00%
2010100.00%
2011100.00%
2012100.00%
2013100.00%
2014100.00%
2015100.00%
2016100.00%
2017100.00%
2018100.00%
2019100.00%
2020100.00%
2021100.00%