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 2000 - Jun 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 34.00%
Long Term Treasury 33.00%
Gold 33.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$466,126 20.61% 8.42%9.01%8.32%21.18%-5.34%-18.83%
Vanguard 500 Index Investor$10,000$448,315 20.38% 5.63%8.69%15.02%32.18%-37.02%-50.97%
* The number in parentheses shows the calculated value taking into account the periodic contributions.
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 2020 are based on monthly returns from January to June
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 backtested results assume quarterly rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $500 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketLong Term TreasuryGold
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index InvestorAdjustment
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.71%0.55%
Arithmetic Mean (annualized)8.80%6.83%
Geometric Mean (monthly)0.68%0.46%
Geometric Mean (annualized)8.42%5.63%
Volatility (monthly)2.40%4.33%
Volatility (annualized)8.32%15.02%
Downside Deviation (monthly)1.39%3.03%
Max. Drawdown-18.83%-50.97%
US Market Correlation0.520.99
Alpha (annualized)6.63%0.00%
Sharpe Ratio0.820.33
Sortino Ratio1.360.46
Treynor Ratio (%)24.675.00
Calmar Ratio2.150.54
Active Return2.80%N/A
Tracking Error13.04%N/A
Information Ratio0.21N/A
Excess Kurtosis3.221.17
Historical Value-at-Risk (5%)-3.05%-7.96%
Analytical Value-at-Risk (5%)-3.25%-6.58%
Conditional Value-at-Risk (5%)-4.44%-9.91%
Upside Capture Ratio (%)40.57100.00
Downside Capture Ratio (%)11.25100.00
Safe Withdrawal Rate7.99%4.57%
Perpetual Withdrawal Rate6.00%3.45%
Positive Periods154 out of 246 (62.60%)158 out of 246 (64.23%)
Gain/Loss Ratio1.290.77
* Vanguard 500 Index Investor 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 1Vanguard 500 Index Investor
Dotcom CrashMar 2000Oct 2002-8.79%-44.82%
Subprime CrisisNov 2007Mar 2009-18.83%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-18.83%
2Oct 2012Jun 20139 monthsJun 20141 year1 year 9 months-9.17%
3Sep 2000Mar 20017 monthsMay 20021 year 2 months1 year 9 months-8.79%
4Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-8.19%
5Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-8.17%
6Feb 2018Oct 20189 monthsFeb 20194 months1 year 1 month-5.79%
7Jun 2002Jul 20022 monthsDec 20025 months7 months-5.60%
8Apr 2004Apr 20041 monthOct 20046 months7 months-5.28%
9Dec 2009Jan 20102 monthsApr 20103 months5 months-4.13%
10Apr 2000May 20002 monthsJun 20001 month3 months-3.77%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2020Mar 20203 months-19.63%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market5.96%15.48%33.35%-37.04%-50.89%0.350.481.00
Long Term Treasury7.93%10.89%29.28%-13.03%-16.68%0.611.05-0.31

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketLong Term TreasuryGoldPortfolio 1Vanguard 500 Index Investor
US Stock Market1.00-0.310.050.520.99
Long Term Treasury-0.311.000.220.38-0.31

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1
US Stock Market$122,279
Long Term Treasury$93,523

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1
US Stock Market32.70%
Long Term Treasury16.61%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
1 year8.29%21.18%-5.34%7.56%32.18%-37.02%
3 years8.24%15.57%0.91%6.71%20.22%-14.60%
5 years8.30%12.91%3.92%7.11%17.81%-2.38%
7 years8.46%11.16%4.40%7.11%14.67%-1.64%
10 years8.76%11.36%7.29%6.70%13.40%-1.03%
15 years8.39%9.13%7.76%6.98%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods