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 2019)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 100.00%
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Portfolio 2
Asset Class Allocation
US Stock Market 50.00%
Gold 50.00%
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Portfolio 3
Asset Class Allocation
Gold 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,176,380 10.44% 15.34%37.82%-37.04%-50.89% 0.420.611.00
Portfolio 2$10,000$1,083,268 10.25% 12.90%75.40%-18.37%-33.29% 0.460.730.59
Portfolio 3$10,000$326,332 7.53% 20.08%126.55%-32.60%-61.78% 0.230.370.01
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 18.97%30.65%30.65%14.43%11.08%13.30%10.44%12.37%12.22%
Portfolio 26.00%24.25%24.25%11.88%7.93%8.59%10.25%7.95%8.54%
Portfolio 32.90%17.86%17.86%9.24%4.70%2.91%7.53%10.43%13.88%
Trailing return and volatility are as of last full calendar month ending December 2019
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3US Stock MarketGold
ReturnBalanceReturnBalanceReturnBalance
19723.41%17.62%$11,76233.32%$13,33249.02%$14,90217.62%49.02%
19738.71%-18.18%$9,62327.39%$16,98472.96%$25,775-18.18%72.96%
197412.34%-27.81%$6,94719.17%$20,23966.15%$42,824-27.81%66.15%
19756.94%37.82%$9,5746.51%$21,556-24.80%$32,20437.82%-24.80%
19764.86%26.47%$12,10811.18%$23,968-4.10%$30,88426.47%-4.10%
19776.70%-3.36%$11,7019.64%$26,27822.64%$37,876-3.36%22.64%
19789.02%8.45%$12,69122.73%$32,25237.01%$51,8948.45%37.01%
197913.29%24.25%$15,76875.40%$56,569126.55%$117,56624.25%126.55%
198012.52%33.15%$20,99524.17%$70,24115.19%$135,41933.15%15.19%
19818.92%-4.15%$20,124-18.37%$57,335-32.60%$91,274-4.15%-32.60%
19823.83%20.50%$24,24917.72%$67,49514.94%$104,91420.50%14.94%
19833.79%22.66%$29,7433.18%$69,639-16.31%$87,80722.66%-16.31%
19843.95%2.19%$30,394-8.60%$63,653-19.38%$70,7922.19%-19.38%
19853.80%31.27%$39,89818.64%$75,5166.00%$75,04031.27%6.00%
19861.10%14.57%$45,71316.77%$88,17618.96%$89,26514.57%18.96%
19874.43%2.61%$46,90813.57%$100,14224.53%$111,1602.61%24.53%
19884.42%17.32%$55,0311.03%$101,174-15.26%$94,20217.32%-15.26%
19894.65%28.12%$70,50512.64%$113,962-2.84%$91,52728.12%-2.84%
19906.11%-6.08%$66,220-4.59%$108,727-3.11%$88,680-6.08%-3.11%
19913.06%32.39%$87,67011.92%$121,684-8.56%$81,09132.39%-8.56%
19922.90%9.11%$95,6541.69%$123,736-5.73%$76,4419.11%-5.73%
19932.75%10.62%$105,81714.15%$141,24617.68%$89,95410.62%17.68%
19942.67%-0.17%$105,638-1.17%$139,594-2.17%$88,002-0.17%-2.17%
19952.54%35.79%$143,44118.38%$165,2550.98%$88,86335.79%0.98%
19963.32%20.96%$173,5108.19%$178,785-4.59%$84,78820.96%-4.59%
19971.70%30.99%$227,2884.79%$187,355-21.41%$66,63630.99%-21.41%
19981.61%23.26%$280,16511.22%$208,373-0.83%$66,08523.26%-0.83%
19992.68%23.81%$346,88012.33%$234,0700.85%$66,64823.81%0.85%
20003.39%-10.57%$310,199-8.01%$215,323-5.44%$63,020-10.57%-5.44%
20011.55%-10.97%$276,183-5.11%$204,3210.75%$63,490-10.97%0.75%
20022.38%-20.96%$218,2932.30%$209,03025.57%$79,724-20.96%25.57%
20031.88%31.35%$286,73625.62%$262,58519.89%$95,58031.35%19.89%
20043.26%12.52%$322,6248.58%$285,1214.65%$100,02312.52%4.65%
20053.42%5.98%$341,91811.87%$318,96817.76%$117,7895.98%17.76%
20062.54%15.51%$394,95419.03%$379,66622.55%$144,34815.51%22.55%
20074.08%5.49%$416,63517.97%$447,89930.45%$188,3085.49%30.45%
20080.09%-37.04%$262,323-16.06%$375,9804.92%$197,580-37.04%4.92%
20092.72%28.70%$337,60426.36%$475,10124.03%$245,05628.70%24.03%
20101.50%17.09%$395,31323.18%$585,24029.27%$316,78517.09%29.27%
20112.96%0.96%$399,1165.26%$616,0479.57%$347,0890.96%9.57%
20121.74%16.25%$463,98511.43%$686,4386.60%$369,99516.25%6.60%
20131.50%33.35%$618,7222.51%$703,667-28.33%$265,17633.35%-28.33%
20140.76%12.43%$695,6255.12%$739,702-2.19%$259,37612.43%-2.19%
20150.73%0.29%$697,654-5.19%$701,314-10.67%$231,6980.29%-10.67%
20162.07%12.53%$785,09310.28%$773,4318.03%$250,31012.53%8.03%
20172.11%21.05%$950,36716.93%$904,37512.81%$282,37221.05%12.81%
20181.91%-5.26%$900,414-3.60%$871,830-1.94%$276,892-5.26%-1.94%
20192.29%30.65%$1,176,38024.25%$1,083,26817.86%$326,33230.65%17.86%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.93%0.89%0.77%
Arithmetic Mean (annualized)11.75%11.16%9.64%
Geometric Mean (monthly)0.83%0.82%0.61%
Geometric Mean (annualized)10.44%10.25%7.53%
Standard Deviation (monthly)4.43%3.72%5.80%
Standard Deviation (annualized)15.34%12.90%20.08%
Downside Deviation (monthly)2.88%2.14%3.28%
Max. Drawdown-50.89%-33.29%-61.78%
US Market Correlation1.000.590.01
Beta(*)1.000.500.01
Alpha (annualized)0.00%5.09%9.10%
R2100.00%34.76%0.01%
Sharpe Ratio0.420.460.23
Sortino Ratio0.610.730.37
Treynor Ratio (%)6.5012.02388.00
Calmar Ratio1.011.570.79
Active Return0.00%-0.19%-2.91%
Tracking Error0.00%12.98%25.17%
Information RatioN/A-0.01-0.12
Skewness-0.550.170.88
Excess Kurtosis2.203.834.23
Historical Value-at-Risk (5%)-6.79%-4.41%-6.80%
Analytical Value-at-Risk (5%)-6.36%-5.24%-8.77%
Conditional Value-at-Risk (5%)-9.86%-7.28%-10.58%
Upside Capture Ratio (%)100.0058.4617.04
Downside Capture Ratio (%)100.0040.33-16.53
Safe Withdrawal Rate4.33%7.85%5.86%
Perpetual Withdrawal Rate5.93%5.77%3.38%
Positive Periods361 out of 576 (62.67%)349 out of 576 (60.59%)298 out of 576 (51.74%)
Gain/Loss Ratio1.021.271.36
* 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
Oil CrisisOct 1973Mar 1974-12.61%-3.90%-2.00%
Black Monday PeriodSep 1987Nov 1987-29.34%-11.77%0.00%
Asian CrisisJul 1997Jan 1998-3.72%-4.56%-13.26%
Russian Debt DefaultJul 1998Oct 1998-17.57%-12.95%-7.73%
Dotcom CrashMar 2000Oct 2002-44.11%-16.85%-12.24%
Subprime CrisisNov 2007Mar 2009-50.89%-26.02%-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 monthsApr 20194 months7 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
1Dec 1980Jun 19821 year 7 monthsNov 19853 years 5 months5 years-33.29%
2Mar 2008Oct 20088 monthsNov 20091 year 1 month1 year 9 months-26.02%
3Apr 1974Sep 19746 monthsFeb 19755 months11 months-20.36%
4Feb 1980Mar 19802 monthsJun 19803 months5 months-18.61%
5Jan 2000Sep 20022 years 9 monthsAug 200311 months3 years 8 months-16.91%
6May 1998Aug 19984 monthsDec 19984 months8 months-14.57%
7Jul 1973Nov 19735 monthsJan 19742 months7 months-14.01%
8Jul 1975Sep 19753 monthsDec 19761 year 3 months1 year 6 months-13.00%
9Sep 1987Nov 19873 monthsNov 19892 years2 years 3 months-11.77%
10Nov 1978Nov 19781 monthJan 19792 months3 months-10.50%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (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 Market10.44%15.34%37.82%-37.04%-50.89%0.420.611.00
Gold7.53%20.08%126.55%-32.60%-61.78%0.230.370.01

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Stock Market8.97%30.65%30.65%14.43%11.08%13.30%
Gold2.90%17.86%17.86%9.24%4.70%2.91%
Trailing returns as of last calendar month ending December 2019

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGoldPortfolio 1Portfolio 2Portfolio 3
US Stock Market1.000.011.000.590.01
Gold0.011.000.010.811.00

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$1,166,380$719,305
Gold$353,963$316,332
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market100.00%35.84%
Gold64.16%100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year11.63%66.73%-43.18%10.80%97.09%-25.74%9.72%179.42%-37.71%
3 years11.12%30.70%-16.27%9.76%41.70%-4.66%6.90%70.26%-15.32%
5 years11.15%27.25%-6.23%9.53%28.22%-0.52%6.22%36.39%-14.69%
7 years11.19%21.23%-3.02%9.51%25.81%2.34%6.11%38.74%-6.75%
10 years11.05%18.89%-2.57%9.14%19.08%3.86%5.51%24.75%-5.99%
15 years11.05%18.21%4.25%8.78%16.10%3.84%4.80%15.89%-3.63%