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 1986 - Jun 2021)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 24.00%
US Small Cap Value 8.00%
Global ex-US Stock Market 8.00%
Intermediate Term Treasury 45.00%
Gold 15.00%
Save portfolio »
Portfolio 2
Asset Class Allocation
US Stock Market 24.00%
US Small Cap Value 8.00%
Global ex-US Stock Market 8.00%
Intermediate Term Treasury 50.00%
Gold 10.00%
Save portfolio »
Portfolio 3
Asset Class Allocation
US Stock Market 28.00%
Global ex-US Stock Market 12.00%
Intermediate Term Treasury 45.00%
Gold 15.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$167,619 8.26% 6.75%20.68%-8.25%-16.75% 0.761.170.83
Portfolio 2$10,000$169,646 8.30% 6.55%21.65%-7.83%-16.50% 0.781.200.86
Portfolio 3$10,000$156,150 8.05% 6.74%21.33%-8.93%-16.80% 0.731.130.81
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 14.03%4.47%15.64%10.39%8.13%6.69%8.26%7.70%6.42%
Portfolio 23.91%4.74%15.62%10.04%7.97%6.74%8.30%7.37%6.11%
Portfolio 34.15%3.62%14.26%10.61%8.22%6.54%8.05%7.40%6.29%
Trailing annualized return and volatility are for full months ending in June 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 June
  • 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 1Portfolio 2Portfolio 3US Stock MarketUS Small Cap ValueGlobal ex-US Stock MarketIntermediate Term TreasuryGold
ReturnBalanceReturnBalanceReturnBalance
19861.10%19.33%$11,93319.13%$11,91321.33%$12,13314.57%13.99%63.38%15.10%18.96%
19874.43%7.16%$12,7886.02%$12,6308.77%$13,1972.61%-3.51%30.48%1.55%24.53%
19884.42%8.61%$13,8889.63%$13,8478.01%$14,25317.32%29.00%25.66%5.26%-15.26%
19894.65%15.42%$16,03016.29%$16,10215.52%$16,46628.12%19.21%12.85%14.52%-2.84%
19906.11%-1.17%$15,842-0.55%$16,014-0.89%$16,320-6.08%-19.05%-24.79%9.46%-3.11%
19913.06%17.87%$18,67319.10%$19,07316.11%$18,94932.39%42.96%9.48%15.97%-8.56%
19922.90%5.90%$19,7756.58%$20,3273.42%$19,5969.11%28.23%-14.79%7.78%-5.73%
19932.75%14.43%$22,62814.12%$23,19614.36%$22,41010.62%21.10%29.92%11.43%17.68%
19942.67%-1.54%$22,280-1.65%$22,814-1.15%$22,153-0.17%-0.07%9.76%-4.33%-2.17%
19952.54%20.68%$26,88721.65%$27,75419.84%$26,54935.79%30.32%3.98%20.44%0.98%
19963.32%7.29%$28,8487.62%$29,8696.61%$28,30320.96%21.41%4.68%1.92%-4.59%
19971.70%11.03%$32,03012.55%$33,6179.41%$30,96530.99%35.44%-0.77%8.96%-21.41%
19981.61%11.27%$35,63911.84%$37,59713.03%$35,00123.26%-2.68%15.60%10.61%-0.83%
19992.68%6.92%$38,1056.70%$40,1168.80%$38,08223.81%3.35%29.92%-3.52%0.85%
20003.39%3.46%$39,4244.43%$41,8950.66%$38,334-10.57%21.88%-15.61%14.03%-5.44%
20011.55%0.36%$39,5650.70%$42,188-1.98%$37,575-10.97%13.70%-20.15%7.55%0.75%
20022.38%2.83%$40,6852.26%$43,1412.52%$38,523-20.96%-14.20%-15.08%14.15%25.57%
20031.88%17.78%$47,91716.90%$50,43217.67%$45,33031.35%37.19%40.34%2.37%19.89%
20043.26%8.78%$52,1268.72%$54,8308.23%$49,06212.52%23.55%20.84%3.40%4.65%
20053.42%6.87%$55,7086.10%$58,1757.25%$52,6185.98%6.07%15.57%2.31%17.76%
20062.54%12.19%$62,49711.22%$64,70012.33%$59,10715.51%19.24%26.64%3.14%22.55%
20074.08%11.05%$69,40510.03%$71,18912.46%$66,4715.49%-7.07%15.52%9.98%30.45%
20080.09%-8.25%$63,680-7.83%$65,615-8.93%$60,536-37.04%-32.05%-44.10%13.32%4.92%
20092.72%15.09%$73,29213.81%$74,67515.28%$69,78828.70%30.34%36.73%-1.69%24.03%
20101.50%14.68%$84,04713.58%$84,81613.82%$79,43217.09%24.82%11.12%7.35%29.27%
20112.96%4.57%$87,8914.58%$88,7044.36%$82,8960.96%-4.16%-14.56%9.79%9.57%
20121.74%9.03%$95,8288.83%$96,5408.92%$90,29216.25%18.56%18.14%2.67%6.60%
20131.50%6.48%$102,0397.74%$104,0165.50%$95,26233.35%36.41%15.04%-3.09%-28.33%
20140.76%5.09%$107,2325.42%$109,6484.59%$99,63112.43%10.39%-4.24%4.32%-2.19%
20150.73%-1.59%$105,531-0.98%$108,576-1.37%$98,2680.29%-4.77%-4.38%1.50%-10.67%
20162.07%7.09%$113,0146.75%$115,9035.81%$103,97412.53%24.65%4.65%1.19%8.03%
20172.11%10.81%$125,23110.25%$127,78211.81%$116,25821.05%11.67%27.40%1.58%12.81%
20181.91%-3.24%$121,169-3.10%$123,825-3.04%$112,718-5.26%-12.34%-14.44%1.00%-1.94%
20192.29%16.39%$141,02515.81%$143,40016.66%$131,49930.65%22.61%21.43%6.29%17.86%
20201.36%13.78%$160,45212.95%$161,96414.60%$150,69620.87%5.72%11.16%8.21%24.81%
20214.31%4.47%$167,6194.74%$169,6463.62%$156,15015.19%23.03%9.69%-1.61%-7.14%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.68%0.68%0.67%
Arithmetic Mean (annualized)8.51%8.53%8.29%
Geometric Mean (monthly)0.66%0.67%0.65%
Geometric Mean (annualized)8.26%8.30%8.05%
Volatility (monthly)1.95%1.89%1.94%
Volatility (annualized)6.75%6.55%6.74%
Downside Deviation (monthly)1.16%1.12%1.14%
Max. Drawdown-16.75%-16.50%-16.80%
US Market Correlation0.830.860.81
Beta(*)0.370.370.36
Alpha (annualized)3.91%3.93%3.83%
R269.38%73.81%65.63%
Sharpe Ratio0.760.780.73
Sortino Ratio1.171.201.13
Treynor Ratio (%)13.9814.0213.83
Calmar Ratio1.441.441.67
Active Return-2.77%-2.73%-2.98%
Tracking Error10.43%10.29%10.66%
Information Ratio-0.27-0.27-0.28
Skewness-0.69-0.68-0.58
Excess Kurtosis2.612.412.14
Historical Value-at-Risk (5%)-2.44%-2.36%-2.43%
Analytical Value-at-Risk (5%)-2.52%-2.43%-2.53%
Conditional Value-at-Risk (5%)-3.88%-3.79%-3.78%
Upside Capture Ratio (%)43.1243.4541.74
Downside Capture Ratio (%)28.3428.6927.22
Safe Withdrawal Rate6.96%7.13%6.83%
Perpetual Withdrawal Rate5.31%5.34%5.12%
Positive Periods284 out of 426 (66.67%)289 out of 426 (67.84%)288 out of 426 (67.61%)
Gain/Loss Ratio1.231.201.15
* 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 2Portfolio 3
Black Monday PeriodSep 1987Nov 1987-9.89%-10.30%-9.22%
Asian CrisisJul 1997Jan 1998-2.01%-2.02%-2.74%
Russian Debt DefaultJul 1998Oct 1998-7.10%-6.56%-6.46%
Dotcom CrashMar 2000Oct 2002-5.19%-4.97%-6.56%
Subprime CrisisNov 2007Mar 2009-16.75%-16.50%-16.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Feb 20091 yearSep 20097 months1 year 7 months-16.75%
2Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-9.89%
3May 1998Aug 19984 monthsNov 19983 months7 months-7.29%
4Feb 2020Mar 20202 monthsMay 20202 months4 months-7.21%
5Jan 1990Apr 19904 monthsJan 19919 months1 year 1 month-5.79%
6Feb 2001Mar 20012 monthsMar 20021 year1 year 2 months-5.19%
7Jun 2002Jul 20022 monthsApr 20039 months11 months-5.12%
8Sep 2011Sep 20111 monthJan 20124 months5 months-4.99%
9Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-4.83%
10Jun 2015Sep 20154 monthsMar 20166 months10 months-4.55%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20097 months1 year 4 months-16.50%
2Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-10.30%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-6.95%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-6.56%
5Jan 1990Apr 19904 monthsJul 19903 months7 months-5.49%
6Aug 1990Sep 19902 monthsJan 19914 months6 months-5.36%
7Feb 2001Mar 20012 monthsMar 20021 year1 year 2 months-4.97%
8Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-4.82%
9Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.59%
10Jun 2002Jul 20022 monthsApr 20039 months11 months-4.55%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Feb 20091 yearSep 20097 months1 year 7 months-16.80%
2Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-9.22%
3Sep 2000Mar 20017 monthsMay 20032 years 2 months2 years 9 months-6.56%
4Jul 1998Aug 19982 monthsOct 19982 months4 months-6.46%
5Feb 2020Mar 20202 monthsMay 20202 months4 months-6.36%
6Jan 1990Apr 19904 monthsJan 19919 months1 year 1 month-6.27%
7Sep 2011Sep 20111 monthJan 20124 months5 months-4.95%
8Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-4.89%
9Jun 2015Sep 20154 monthsApr 20167 months11 months-4.65%
10Feb 1994Apr 19943 monthsMar 199511 months1 year 2 months-4.24%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.03%15.36%35.79%-37.04%-50.89%0.560.801.00
US Small Cap Value11.91%18.02%42.96%-32.05%-56.13%0.550.770.89
Global ex-US Stock Market7.32%17.81%63.38%-44.10%-58.50%0.310.460.72
Intermediate Term Treasury6.11%4.79%20.44%-4.33%-6.47%0.631.04-0.09
Gold4.66%15.21%30.45%-28.33%-48.26%0.170.27-0.04

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketUS Small Cap ValueGlobal ex-US Stock MarketIntermediate Term TreasuryGoldPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.000.890.72-0.09-0.040.830.860.81
US Small Cap Value0.891.000.66-0.14-0.030.770.790.71
Global ex-US Stock Market0.720.661.00-0.080.160.750.760.79
Intermediate Term Treasury-0.09-0.14-0.081.000.150.280.310.30
Gold-0.04-0.030.160.151.000.390.290.41

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$61,946$63,267$68,332
US Small Cap Value$20,178$20,662
Global ex-US Stock Market$12,783$13,127$18,084
Intermediate Term Treasury$42,641$48,728$40,900
Gold$20,070$13,862$18,835

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market45.46%48.25%51.67%
US Small Cap Value16.44%17.38%
Global ex-US Stock Market15.91%16.41%24.87%
Intermediate Term Treasury8.93%11.16%9.44%
Gold13.26%6.80%14.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.14%26.72%-16.75%8.17%26.02%-16.32%7.93%26.15%-16.80%
3 years7.74%16.57%0.59%7.81%15.83%0.11%7.45%16.11%-0.75%
5 years7.75%12.42%3.17%7.81%12.22%3.06%7.42%12.05%2.75%
7 years7.78%11.36%4.23%7.84%11.94%4.35%7.44%10.43%4.30%
10 years7.84%10.40%5.30%7.87%10.75%5.01%7.51%10.26%4.95%
15 years7.76%9.58%6.38%7.74%10.05%6.17%7.42%9.37%6.24%