Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio based on specific mutual funds, ETFs and stocks.

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Asset Allocation
US Stock Market
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US Large Cap
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US Large Cap Value
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US Large Cap Growth
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US Mid Cap
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US Mid Cap Value
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US Mid Cap Growth
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US Small Cap
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US Small Cap Value
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US Small Cap Growth
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US Micro Cap
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Global ex-US Stock Market
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Intl Developed ex-US Market
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International ex-US Small Cap
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International ex-US Value
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European Stocks
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Pacific Stocks
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Emerging Markets
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Cash
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Short Term Treasury
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Intermediate Term Treasury
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10-year Treasury
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Long Term Treasury
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Total US Bond Market
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TIPS
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Global Bonds (Unhedged)
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Global Bonds (USD Hedged)
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Short-Term Investment Grade
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Corporate Bonds
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Long-Term Corporate Bonds
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High Yield Corporate Bonds
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Short-Term Tax-Exempt
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Intermediate-Term Tax-Exempt
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Long-Term Tax-Exempt
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REIT
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Gold
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Precious Metals
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Commodities
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Total
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Portfolio Analysis Results (Jan 1987 - Dec 2015)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
Gold 100.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 80.00%
Total US Bond Market 20.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$25,956 3.34% 15.30%30.45%-28.33%-48.26% 0.080.11-0.04
Portfolio 2$10,000$134,756 9.38% 12.32%32.26%-28.62%-41.22% 0.530.751.00
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceGoldUS Stock MarketTotal US Bond Market
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19874.43%24.53%2.40%$12,453$10,24024.53%2.61%1.54%
19884.42%-15.26%15.32%$10,553$11,809-15.26%17.32%7.35%
19894.65%-2.84%25.22%$10,253$14,788-2.84%28.12%13.64%
19906.11%-3.11%-3.13%$9,934$14,325-3.11%-6.08%8.65%
19913.06%-8.56%28.96%$9,084$18,473-8.56%32.39%15.25%
19922.90%-5.73%8.71%$8,563$20,083-5.73%9.11%7.14%
19932.75%17.68%10.44%$10,077$22,17917.68%10.62%9.68%
19942.67%-2.17%-0.67%$9,859$22,031-2.17%-0.17%-2.66%
19952.54%0.98%32.26%$9,955$29,1400.98%35.79%18.18%
19963.32%-4.59%17.49%$9,498$34,235-4.59%20.96%3.58%
19971.70%-21.41%26.68%$7,465$43,370-21.41%30.99%9.44%
19981.61%-0.83%20.33%$7,403$52,186-0.83%23.26%8.58%
19992.68%0.85%18.90%$7,466$62,0490.85%23.81%-0.76%
20003.39%-5.44%-6.18%$7,060$58,213-5.44%-10.57%11.39%
20011.55%0.75%-7.09%$7,113$54,0880.75%-10.97%8.43%
20022.38%25.57%-15.12%$8,931$45,91125.57%-20.96%8.26%
20031.88%19.89%25.88%$10,707$57,79219.89%31.35%3.97%
20043.26%4.65%10.86%$11,205$64,0684.65%12.52%4.24%
20053.42%17.76%5.26%$13,195$67,44117.76%5.98%2.40%
20062.54%22.55%13.26%$16,171$76,38522.55%15.51%4.27%
20074.08%30.45%5.78%$21,095$80,79730.45%5.49%6.92%
20080.09%4.92%-28.62%$22,134$57,6734.92%-37.04%5.05%
20092.72%24.03%24.15%$27,453$71,59824.03%28.70%5.93%
20101.50%29.27%14.96%$35,488$82,30929.27%17.09%6.42%
20112.96%9.57%2.28%$38,883$84,1869.57%0.96%7.56%
20121.74%6.60%13.81%$41,449$95,8146.60%16.25%4.05%
20131.50%-28.33%26.23%$29,707$120,943-28.33%33.35%-2.26%
20140.76%-2.19%11.09%$29,057$134,362-2.19%12.43%5.76%
20150.73%-10.67%0.29%$25,956$134,756-10.67%0.29%0.30%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.37%0.81%
Arithmetic Mean (annualized)4.54%10.22%
Geometric Mean (monthly)0.27%0.75%
Geometric Mean (annualized)3.34%9.38%
Volatility (monthly)4.42%3.56%
Volatility (annualized)15.30%12.32%
Downside Deviation (monthly)2.80%2.38%
Max. Drawdown-48.26%-41.22%
US Market Correlation-0.041.00
Beta(*)-0.040.80
Alpha (annualized)4.84%1.24%
R20.13%99.51%
Sharpe Ratio0.080.53
Sortino Ratio0.110.75
Treynor Ratio (%)-32.258.09
Calmar Ratio-0.391.69
Active Return-6.51%-0.47%
Tracking Error22.04%3.15%
Information Ratio-0.30-0.15
Skewness0.23-0.94
Excess Kurtosis0.973.04
Historical Value-at-Risk (5%)-6.36%-5.57%
Analytical Value-at-Risk (5%)-6.89%-5.04%
Conditional Value-at-Risk (5%)-8.58%-8.23%
Upside Capture Ratio (%)1.6282.09
Downside Capture Ratio (%)-19.2578.65
Safe Withdrawal Rate2.71%8.43%
Perpetual Withdrawal Rate0.66%6.15%
Positive Periods177 out of 348 (50.86%)225 out of 348 (64.66%)
Gain/Loss Ratio1.200.98
* 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 19870.00%-24.55%
Asian CrisisJul 1997Jan 1998-13.26%-3.22%
Russian Debt DefaultJul 1998Oct 1998-7.73%-13.95%
Dotcom CrashMar 2000Oct 2002-12.24%-33.48%
Subprime CrisisNov 2007Mar 2009-25.83%-41.22%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1987Aug 199911 years 9 monthsDec 20056 years 4 months18 years 1 month-48.26%
2Sep 2011Dec 20154 years 4 months-42.91%
3Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
4May 2006Sep 20065 monthsFeb 20075 months10 months-8.63%
5Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
6Jan 2011Jan 20111 monthMar 20112 months3 months-6.38%
7Jun 2009Jun 20091 monthSep 20093 months4 months-5.22%
8Jul 2010Jul 20101 monthAug 20101 month2 months-5.09%
9May 2007Jun 20072 monthsSep 20073 months5 months-4.20%
10May 2011Jun 20112 monthsJul 20111 month3 months-4.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-41.22%
2Sep 2000Sep 20022 years 1 monthJul 20052 years 10 months4 years 11 months-33.48%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-24.55%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-13.95%
5May 2011Sep 20115 monthsFeb 20125 months10 months-13.48%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-12.23%
7Jun 2015Sep 20154 months-7.11%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.95%
9Apr 2000May 20002 monthsAug 20003 months5 months-6.90%
10Jan 1990Jan 19901 monthMay 19904 months5 months-5.99%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Gold3.34%15.30%30.45%-28.33%-48.26%0.080.11-0.04
US Stock Market9.85%15.32%35.79%-37.04%-50.89%0.480.681.00
Total US Bond Market6.18%3.88%18.18%-2.66%-5.86%0.731.170.08

Monthly Correlations

Correlations for the portfolio assets
NameGoldUS Stock MarketTotal US Bond MarketPortfolio 1Portfolio 2
Gold--0.040.101.00-0.03
US Stock Market-0.04-0.08-0.041.00
Total US Bond Market0.100.08-0.100.14

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
Gold$15,956
US Stock Market$109,235
Total US Bond Market$15,520

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
Gold100.00%
US Stock Market99.12%
Total US Bond Market0.88%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year4.45%30.45%-28.33%10.34%32.26%-28.62%
3 years4.17%23.48%-14.45%10.02%25.33%-9.55%
5 years5.02%21.88%-7.22%9.51%23.01%-0.04%
7 years5.52%19.45%-4.96%9.13%17.49%0.92%
10 years5.48%18.52%-4.99%9.03%16.02%1.00%
15 years5.32%12.11%-2.25%8.32%11.91%5.29%
Result statistics are based on annualized rolling returns over full calendar year periods