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
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 1972 - Dec 2018)

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$26,200$2,359,086 10.05% 15.38%37.82%-37.04%-50.89% 0.390.571.00
Portfolio 2$26,200$725,456 7.32% 20.21%126.55%-32.60%-61.78% 0.210.350.01
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 1-14.28%-5.26%8.88%7.79%13.13%10.05%
Portfolio 27.53%-1.94%6.12%0.87%3.43%7.32%
Trailing returns are for full months ending in December 2018 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
YearInflationReturnBalanceUS Stock MarketGold
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19723.41%17.62%49.02%$30,817$39,04417.62%49.02%
19738.71%-18.18%72.96%$25,213$67,530-18.18%72.96%
197412.34%-27.81%66.15%$18,200$112,200-27.81%66.15%
19756.94%37.82%-24.80%$25,084$84,37537.82%-24.80%
19764.86%26.47%-4.10%$31,723$80,91626.47%-4.10%
19776.70%-3.36%22.64%$30,657$99,235-3.36%22.64%
19789.02%8.45%37.01%$33,249$135,9638.45%37.01%
197913.29%24.25%126.55%$41,312$308,02324.25%126.55%
198012.52%33.15%15.19%$55,008$354,79833.15%15.19%
19818.92%-4.15%-32.60%$52,725$239,139-4.15%-32.60%
19823.83%20.50%14.94%$63,531$274,87420.50%14.94%
19833.79%22.66%-16.31%$77,928$230,05522.66%-16.31%
19843.95%2.19%-19.38%$79,631$185,4762.19%-19.38%
19853.80%31.27%6.00%$104,533$196,60531.27%6.00%
19861.10%14.57%18.96%$119,768$233,87514.57%18.96%
19874.43%2.61%24.53%$122,898$291,2382.61%24.53%
19884.42%17.32%-15.26%$144,180$246,80917.32%-15.26%
19894.65%28.12%-2.84%$184,724$239,80128.12%-2.84%
19906.11%-6.08%-3.11%$173,496$232,341-6.08%-3.11%
19913.06%32.39%-8.56%$229,695$212,45832.39%-8.56%
19922.90%9.11%-5.73%$250,614$200,2759.11%-5.73%
19932.75%10.62%17.68%$277,240$235,68010.62%17.68%
19942.67%-0.17%-2.17%$276,772$230,566-0.17%-2.17%
19952.54%35.79%0.98%$375,816$232,82235.79%0.98%
19963.32%20.96%-4.59%$454,595$222,14420.96%-4.59%
19971.70%30.99%-21.41%$595,494$174,58630.99%-21.41%
19981.61%23.26%-0.83%$734,031$173,14323.26%-0.83%
19992.68%23.81%0.85%$908,826$174,61723.81%0.85%
20003.39%-10.57%-5.44%$812,722$165,111-10.57%-5.44%
20011.55%-10.97%0.75%$723,600$166,344-10.97%0.75%
20022.38%-20.96%25.57%$571,928$208,878-20.96%25.57%
20031.88%31.35%19.89%$751,250$250,41931.35%19.89%
20043.26%12.52%4.65%$845,274$262,06012.52%4.65%
20053.42%5.98%17.76%$895,825$308,6085.98%17.76%
20062.54%15.51%22.55%$1,034,778$378,19215.51%22.55%
20074.08%5.49%30.45%$1,091,583$493,3675.49%30.45%
20080.09%-37.04%4.92%$687,286$517,659-37.04%4.92%
20092.72%28.70%24.03%$884,522$642,04728.70%24.03%
20101.50%17.09%29.27%$1,035,721$829,97717.09%29.27%
20112.96%0.96%9.57%$1,045,684$909,3730.96%9.57%
20121.74%16.25%6.60%$1,215,640$969,38616.25%6.60%
20131.50%33.35%-28.33%$1,621,053$694,76233.35%-28.33%
20140.76%12.43%-2.19%$1,822,538$679,56512.43%-2.19%
20150.73%0.29%-10.67%$1,827,853$607,0500.29%-10.67%
20162.07%12.53%8.03%$2,056,944$655,81212.53%8.03%
20172.11%21.05%12.81%$2,489,962$739,81621.05%12.81%
20181.91%-5.26%-1.94%$2,359,086$725,456-5.26%-1.94%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.90%0.76%
Arithmetic Mean (annualized)11.36%9.45%
Geometric Mean (monthly)0.80%0.59%
Geometric Mean (annualized)10.05%7.32%
Volatility (monthly)4.44%5.83%
Volatility (annualized)15.38%20.21%
Downside Deviation (monthly)2.89%3.31%
Max. Drawdown-50.89%-61.78%
US Market Correlation1.000.01
Beta(*)1.000.01
Alpha (annualized)0.00%8.95%
R2100.00%0.01%
Sharpe Ratio0.390.21
Sortino Ratio0.570.35
Treynor Ratio (%)6.09409.94
Calmar Ratio0.620.41
Active Return0.00%-2.73%
Tracking Error0.00%25.30%
Information RatioN/A-0.11
Skewness-0.550.89
Excess Kurtosis2.224.20
Historical Value-at-Risk (5%)-7.05%-7.05%
Analytical Value-at-Risk (5%)-6.40%-8.84%
Conditional Value-at-Risk (5%)-9.96%-10.71%
Upside Capture Ratio (%)100.0017.03
Downside Capture Ratio (%)100.00-15.36
Safe Withdrawal Rate4.34%5.92%
Perpetual Withdrawal Rate5.56%3.16%
Positive Periods351 out of 564 (62.23%)291 out of 564 (51.60%)
Gain/Loss Ratio1.031.35
* 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
Oil CrisisOct 1973Mar 1974-12.61%-2.00%
Black Monday PeriodSep 1987Nov 1987-29.34%0.00%
Asian CrisisJul 1997Jan 1998-3.72%-13.26%
Russian Debt DefaultJul 1998Oct 1998-17.57%-7.73%
Dotcom CrashMar 2000Oct 2002-44.11%-12.24%
Subprime CrisisNov 2007Mar 2009-50.89%-25.83%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Jan 1973Sep 19741 year 9 monthsDec 19762 years 3 months4 years-45.86%
3Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
4Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
5Dec 1980Jul 19821 year 8 monthsOct 19823 months1 year 11 months-17.85%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
7Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
8Oct 2018Dec 20183 months-14.28%
9Mar 1980Mar 19801 monthJun 19803 months4 months-11.98%
10Sep 1978Oct 19782 monthsMar 19795 months7 months-11.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 1980Aug 199918 years 11 monthsApr 20077 years 8 months26 years 7 months-61.78%
2Jan 1975Aug 19761 year 8 monthsJul 19781 year 11 months3 years 7 months-44.24%
3Sep 2011Dec 20154 years 4 months-42.91%
4Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
5Feb 1980Mar 19802 monthsJun 19803 months5 months-24.27%
6Jul 1973Oct 19734 monthsJan 19743 months7 months-20.49%
7Nov 1978Nov 19781 monthFeb 19793 months4 months-20.28%
8Apr 1974Jun 19743 monthsNov 19745 months8 months-16.62%
9Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
10Aug 1972Nov 19724 monthsFeb 19733 months7 months-6.88%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market10.05%15.38%37.82%-37.04%-50.89%0.390.571.00
Gold7.32%20.21%126.55%-32.60%-61.78%0.210.350.01

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGoldPortfolio 1Portfolio 2
US Stock Market1.000.011.000.01
Gold0.011.000.011.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2
US Stock Market$2,332,886
Gold$699,256

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2
US Stock Market100.00%
Gold100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.55%37.82%-37.04%10.21%126.55%-32.60%
3 years10.78%29.10%-14.31%7.77%62.39%-14.45%
5 years11.11%26.84%-1.76%6.49%33.28%-11.14%
7 years11.08%20.21%-0.73%6.46%34.32%-4.96%
10 years10.99%17.67%-0.66%5.74%24.75%-4.99%
15 years11.09%17.62%4.75%4.86%15.71%-2.98%
Result statistics are based on annualized rolling returns over full calendar year periods