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 2009 - Oct 2020)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
Gold 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$46,256 13.82% 15.14%33.35%-5.26%-20.89% 0.901.421.00
Portfolio 2$10,000$20,365 6.19% 16.57%29.27%-28.33%-42.91% 0.410.670.07

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 11.12%3.15%10.09%9.94%11.37%12.67%13.82%
Portfolio 2-4.98%23.30%23.71%13.45%10.02%2.88%6.19%
Trailing returns are for full months ending in October 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.
  • The annual results for 2020 are based on monthly returns from January to October
  • 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
YearInflationReturnBalanceUS Stock MarketGold
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.18%0.61%
Arithmetic Mean (annualized)15.11%7.63%
Geometric Mean (monthly)1.08%0.50%
Geometric Mean (annualized)13.82%6.19%
Volatility (monthly)4.37%4.78%
Volatility (annualized)15.14%16.57%
Downside Deviation (monthly)2.74%2.94%
Max. Drawdown-20.89%-42.91%
US Market Correlation1.000.07
Alpha (annualized)0.00%6.32%
Sharpe Ratio0.900.41
Sortino Ratio1.420.67
Treynor Ratio (%)13.6391.73
Calmar Ratio0.481.15
Active Return0.00%-7.62%
Tracking Error0.00%21.67%
Information RatioN/A-0.35
Excess Kurtosis1.040.04
Historical Value-at-Risk (5%)-7.70%-6.73%
Analytical Value-at-Risk (5%)-6.01%-7.25%
Conditional Value-at-Risk (5%)-9.39%-8.95%
Upside Capture Ratio (%)100.009.58
Downside Capture Ratio (%)100.00-22.87
Safe Withdrawal Rate18.33%11.59%
Perpetual Withdrawal Rate11.29%4.42%
Positive Periods100 out of 142 (70.42%)72 out of 142 (50.70%)
Gain/Loss Ratio0.851.35
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
2Jan 2009Feb 20092 monthsMay 20093 months5 months-17.84%
3May 2011Sep 20115 monthsFeb 20125 months10 months-17.74%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5May 2010Jun 20102 monthsOct 20104 months6 months-13.21%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8May 2019May 20191 monthJun 20191 month2 months-6.45%
9Sep 2020Oct 20202 months-5.65%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2011Dec 20154 years 4 monthsJul 20204 years 7 months8 years 11 months-42.91%
2Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
3Jan 2011Jan 20111 monthMar 20112 months3 months-6.38%
4Mar 2009Apr 20092 monthsMay 20091 month3 months-5.79%
5Jun 2009Jun 20091 monthSep 20093 months4 months-5.22%
6Jul 2010Jul 20101 monthAug 20101 month2 months-5.09%
7Aug 2020Oct 20203 months-4.98%
8May 2011Jun 20112 monthsJul 20111 month3 months-4.18%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market13.82%15.14%33.35%-5.26%-20.89%0.901.421.00

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGoldPortfolio 1Portfolio 2
US Stock Market1.

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$36,256

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
1 year15.28%33.35%-5.26%5.91%29.27%-28.33%
3 years13.30%20.34%8.26%2.47%20.66%-14.45%
5 years13.58%18.72%7.79%-0.70%6.06%-6.33%
7 years13.54%15.00%12.33%-0.80%2.30%-3.18%
10 years13.21%13.30%13.13%3.17%3.43%2.91%
Result statistics are based on annualized rolling returns over full calendar year periods