Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. 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.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Oct 2013 - May 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
^BTC Bitcoin Market Price USD 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
^GOLD Gold Price Index 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$2,970,884 110.16% 193.44%1,271.42%-71.75%-80.43% 0.763.660.14
Portfolio 2$10,000$21,998 10.83% 13.81%26.82%-9.76%-22.15% 0.761.170.97
Portfolio 3$10,000$14,323 4.80% 13.83%24.61%-12.11%-20.09% 0.350.59-0.01
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 1-18.10%26.86%291.71%70.52%133.05%110.16%81.03%89.21%
Portfolio 28.79%11.45%43.75%13.96%14.48%10.83%18.27%14.71%
Portfolio 39.01%0.65%9.91%13.33%9.41%4.80%14.53%13.44%
Trailing annualized return and volatility are for full months ending in May 2021 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 2013 are based on monthly returns from October to December
  • The annual results for 2021 are based on monthly returns from January to May
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Bitcoin Market Price USD (^BTC)Vanguard Total World Stock ETF (VT)Gold Price Index (^GOLD)
ReturnBalanceReturnBalanceReturnBalance
2013-0.47%498.67%$59,8677.62%$10,762-9.20%$9,080498.67%7.62%-9.20%
20140.76%-58.36%$24,9313.67%$11,1570.12%$9,092-58.36%3.67%0.12%
20150.73%37.13%$34,187-1.86%$10,950-12.11%$7,99137.13%-1.86%-12.11%
20162.07%124.13%$76,6238.51%$11,8828.10%$8,639124.13%8.51%8.10%
20172.11%1,271.42%$1,050,81724.49%$14,79212.66%$9,7321,271.42%24.49%12.66%
20181.91%-71.75%$296,816-9.76%$13,348-0.93%$9,642-71.75%-9.76%-0.93%
20192.29%94.60%$577,61026.82%$16,92818.43%$11,41994.60%26.82%18.43%
20201.36%305.46%$2,341,94916.61%$19,73924.61%$14,230305.46%16.61%24.61%
20213.35%26.86%$2,970,88411.45%$21,9980.65%$14,32326.86%11.45%0.65%
Annual return for 2013 is from 10/01/2013 to 12/31/2013 and annual return for 2021 is from 01/01/2021 to 05/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Bitcoin Market Price USD (^BTC)Vanguard Total World Stock ETF (VT)Gold Price Index (^GOLD)
ReturnBalanceReturnBalanceReturnBalance
20131057.70%$15,7703.71%$10,371-0.19%$9,98157.70%3.71%-0.19%
201311489.17%$92,9111.54%$10,531-5.36%$9,446489.17%1.54%-5.36%
201312-35.57%$59,8672.19%$10,762-3.87%$9,080-35.57%2.19%-3.87%
2014113.08%$67,696-4.44%$10,2843.86%$9,43113.08%-4.44%3.86%
20142-32.58%$45,6375.21%$10,8206.04%$10,000-32.58%5.21%6.04%
20143-16.71%$38,0100.48%$10,872-2.62%$9,738-16.71%0.48%-2.62%
20144-5.85%$35,7880.74%$10,952-0.25%$9,714-5.85%0.74%-0.25%
2014537.60%$49,2442.05%$11,177-2.95%$9,42737.60%2.05%-2.95%
20146-2.39%$48,0682.21%$11,4245.16%$9,913-2.39%2.21%5.16%
20147-5.51%$45,418-1.75%$11,223-2.26%$9,689-5.51%-1.75%-2.26%
20148-11.07%$40,3892.65%$11,5210.04%$9,693-11.07%2.65%0.04%
20149-25.09%$30,255-3.34%$11,136-5.39%$9,171-25.09%-3.34%-5.39%
201410-8.65%$27,6380.94%$11,241-4.30%$8,777-8.65%0.94%-4.30%
2014119.69%$30,3171.26%$11,3831.59%$8,9169.69%1.26%1.59%
201412-17.77%$24,931-1.99%$11,1571.97%$9,092-17.77%-1.99%1.97%
20151-26.77%$18,257-1.63%$10,9754.50%$9,501-26.77%-1.63%4.50%
2015210.62%$20,1955.95%$11,629-3.67%$9,15210.62%5.95%-3.67%
20153-1.50%$19,892-1.21%$11,488-2.22%$8,948-1.50%-1.21%-2.22%
20154-8.60%$18,1812.55%$11,781-0.57%$8,897-8.60%2.55%-0.57%
201553.25%$18,7710.33%$11,8200.94%$8,9823.25%0.33%0.94%
2015610.74%$20,786-2.22%$11,558-1.71%$8,82810.74%-2.22%-1.71%
2015710.98%$23,0680.50%$11,616-6.20%$8,28010.98%0.50%-6.20%
20158-20.77%$18,276-6.63%$10,8463.33%$8,556-20.77%-6.63%3.33%
201594.79%$19,151-3.71%$10,443-1.85%$8,3984.79%-3.71%-1.85%
20151037.61%$26,3537.29%$11,2042.54%$8,61237.61%7.29%2.54%
20151114.54%$30,184-0.08%$11,195-7.04%$8,00514.54%-0.08%-7.04%
20151213.26%$34,187-2.19%$10,950-0.18%$7,99113.26%-2.19%-0.18%
20161-11.01%$30,423-5.87%$10,3074.89%$8,381-11.01%-5.87%4.89%
2016215.89%$35,259-1.11%$10,19311.07%$9,30915.89%-1.11%11.07%
20163-5.44%$33,3427.98%$11,0060.17%$9,325-5.44%7.98%0.17%
201649.63%$36,5531.01%$11,1173.93%$9,6929.63%1.01%3.93%
2016518.24%$43,2190.65%$11,189-5.72%$9,13818.24%0.65%-5.72%
2016618.22%$51,092-0.18%$11,1698.96%$9,95718.22%-0.18%8.96%
201670.08%$51,1314.15%$11,6331.61%$10,1170.08%4.15%1.61%
20168-9.72%$46,1590.35%$11,673-2.44%$9,870-9.72%0.35%-2.44%
201695.36%$48,6320.79%$11,7651.01%$9,9705.36%0.79%1.01%
20161014.78%$55,822-1.97%$11,533-3.82%$9,58914.78%-1.97%-3.82%
2016115.44%$58,8591.19%$11,671-7.38%$8,8815.44%1.19%-7.38%
20161230.18%$76,6231.81%$11,882-2.73%$8,63930.18%1.81%-2.73%
20171-3.27%$74,1203.00%$12,2385.84%$9,143-3.27%3.00%5.84%
2017229.15%$95,7282.69%$12,5683.53%$9,46629.15%2.69%3.53%
20173-11.86%$84,3781.48%$12,753-0.86%$9,384-11.86%1.48%-0.86%
2017425.05%$105,5141.63%$12,9601.74%$9,54725.05%1.63%1.74%
2017565.52%$174,6501.95%$13,213-0.02%$9,54565.52%1.95%-0.02%
2017617.34%$204,9260.63%$13,295-1.89%$9,36517.34%0.63%-1.89%
201776.72%$218,7062.65%$13,6482.04%$9,5566.72%2.65%2.04%
2017872.00%$376,1840.42%$13,7053.49%$9,88972.00%0.42%3.49%
20179-10.02%$338,5092.11%$13,993-2.18%$9,673-10.02%2.11%-2.18%
20171045.69%$493,1892.11%$14,288-1.01%$9,57545.69%2.11%-1.01%
20171171.97%$848,1311.90%$14,5590.79%$9,65171.97%1.90%0.79%
20171223.90%$1,050,8171.60%$14,7920.84%$9,73223.90%1.60%0.84%
20181-24.10%$797,5955.48%$15,6034.19%$10,140-24.10%5.48%4.19%
201829.97%$877,121-4.44%$14,909-2.02%$9,9359.97%-4.44%-2.02%
20183-36.07%$560,748-1.29%$14,7180.46%$9,980-36.07%-1.29%0.46%
2018432.97%$745,6450.42%$14,780-0.80%$9,90032.97%0.42%-0.80%
20185-19.64%$599,2120.57%$14,863-0.60%$9,841-19.64%0.57%-0.60%
20186-14.83%$510,350-0.60%$14,774-4.21%$9,427-14.83%-0.60%-4.21%
2018721.39%$619,5132.88%$15,199-2.36%$9,20421.39%2.88%-2.36%
20188-8.73%$565,4210.86%$15,330-1.52%$9,065-8.73%0.86%-1.52%
20189-6.43%$529,0720.08%$15,342-1.26%$8,950-6.43%0.08%-1.26%
201810-3.88%$508,566-7.82%$14,1432.33%$9,159-3.88%-7.82%2.33%
201811-37.48%$317,9651.73%$14,3870.21%$9,179-37.48%1.73%0.21%
201812-6.65%$296,816-7.22%$13,3485.05%$9,642-6.65%-7.22%5.05%
20191-7.29%$275,1817.99%$14,4153.46%$9,975-7.29%7.99%3.46%
2019211.08%$305,6752.82%$14,820-0.31%$9,94511.08%2.82%-0.31%
201937.76%$329,4091.06%$14,978-1.80%$9,7667.76%1.06%-1.80%
2019428.88%$424,5573.47%$15,498-1.01%$9,66728.88%3.47%-1.01%
2019561.31%$684,866-5.97%$14,5731.03%$9,76761.31%-5.97%1.03%
2019628.42%$879,4776.37%$15,5018.76%$10,62228.42%6.37%8.76%
20197-8.48%$804,9010.00%$15,5011.32%$10,762-8.48%0.00%1.32%
20198-3.80%$774,306-2.10%$15,1757.06%$11,522-3.80%-2.10%7.06%
20199-14.38%$662,9952.28%$15,521-2.82%$11,197-14.38%2.28%-2.82%
20191010.80%$734,5992.79%$15,9541.73%$11,39110.80%2.79%1.73%
201911-17.40%$606,7542.56%$16,363-3.36%$11,008-17.40%2.56%-3.36%
201912-4.80%$577,6103.45%$16,9283.74%$11,419-4.80%3.45%3.74%
2020130.77%$755,312-1.56%$16,6644.58%$11,94330.77%-1.56%4.58%
20202-7.98%$695,034-7.22%$15,4601.62%$12,136-7.98%-7.22%1.62%
20203-25.39%$518,599-14.76%$13,179-0.06%$12,129-25.39%-14.76%-0.06%
2020436.01%$705,33710.37%$14,5455.83%$12,83636.01%10.37%5.83%
202057.53%$758,4335.21%$15,3031.52%$13,0327.53%5.21%1.52%
20206-2.96%$735,9703.07%$15,7722.28%$13,329-2.96%3.07%2.28%
2020724.32%$914,9555.29%$16,60711.13%$14,81324.32%5.29%11.13%
202082.68%$939,4966.01%$17,604-0.38%$14,7562.68%6.01%-0.38%
20209-8.02%$864,133-2.92%$17,090-3.60%$14,225-8.02%-2.92%-3.60%
20201029.32%$1,117,514-2.05%$16,740-0.27%$14,18729.32%-2.05%-0.27%
20201139.53%$1,559,26312.37%$18,810-6.34%$13,28739.53%12.37%-6.34%
20201250.20%$2,341,9494.94%$19,7397.09%$14,23050.20%4.94%7.09%
2021113.66%$2,661,796-0.23%$19,694-1.26%$14,05113.66%-0.23%-1.26%
2021236.28%$3,627,6042.67%$20,221-6.49%$13,13936.28%2.67%-6.49%
2021330.23%$4,724,2532.85%$20,797-2.97%$12,74830.23%2.85%-2.97%
20214-2.42%$4,609,8554.13%$21,6564.53%$13,326-2.42%4.13%4.53%
20215-35.55%$2,970,8841.58%$21,9987.48%$14,323-35.55%1.58%7.48%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value13.43%
Large-cap Growth29.50%
Mid-cap Value8.34%
Mid-cap Growth1.24%
Small-cap Value0.69%
Small-cap Growth0.88%
Global ex-US Developed Markets33.73%
Emerging Markets12.18%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.74%
Style analysis is based on monthly returns from October 2013 to May 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large-Stock Blend100.00%1.53%0.08%22.05$11,998100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 06/18/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)12.34%0.94%0.47%
Arithmetic Mean (annualized)303.84%11.88%5.78%
Geometric Mean (monthly)6.38%0.86%0.39%
Geometric Mean (annualized)110.16%10.83%4.80%
Volatility (monthly)55.84%3.99%3.99%
Volatility (annualized)193.44%13.81%13.83%
Downside Deviation (monthly)11.58%2.57%2.36%
Max. Drawdown-80.43%-22.15%-20.09%
US Market Correlation0.140.97-0.01
Beta(*)1.880.94-0.01
Alpha (annualized)120.36%-2.53%5.70%
R21.93%94.42%0.00%
Sharpe Ratio0.760.760.35
Sortino Ratio3.661.170.59
Treynor Ratio (%)78.3211.22-970.83
Calmar Ratio1.270.630.96
Active Return95.57%-3.76%-9.79%
Tracking Error191.97%3.38%19.94%
Information Ratio0.50-1.11-0.49
Skewness6.99-0.570.41
Excess Kurtosis59.422.590.05
Historical Value-at-Risk (5%)-29.39%-6.27%-5.94%
Analytical Value-at-Risk (5%)-79.51%-5.62%-6.10%
Conditional Value-at-Risk (5%)-35.45%-8.73%-6.69%
Upside Capture Ratio (%)407.9088.414.74
Downside Capture Ratio (%)40.19105.07-29.10
Safe Withdrawal Rate93.59%15.77%11.64%
Perpetual Withdrawal Rate50.06%7.79%2.71%
Positive Periods51 out of 92 (55.43%)63 out of 92 (68.48%)45 out of 92 (48.91%)
Gain/Loss Ratio2.410.841.41
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2013Apr 20151 year 5 monthsFeb 20171 year 10 months3 years 3 months-80.43%
2Jan 2018Jan 20191 year 1 monthOct 20201 year 9 months2 years 10 months-73.81%
3Apr 2021May 20212 months-37.11%
4Mar 2017Mar 20171 monthApr 20171 month2 months-11.86%
5Sep 2017Sep 20171 monthOct 20171 month2 months-10.02%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-22.15%
2Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.45%
3Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.76%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-4.91%
5Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.73%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-4.44%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.75%
8Mar 2015Mar 20151 monthApr 20151 month2 months-1.21%
9Jan 2021Jan 20211 monthFeb 20211 month2 months-0.23%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2014Dec 20151 year 10 monthsJul 20167 months2 years 5 months-20.09%
2Aug 2016Dec 20165 monthsJan 20181 year 1 month1 year 6 months-14.61%
3Aug 2020Mar 20218 months-13.94%
4Feb 2018Sep 20188 monthsJun 20199 months1 year 5 months-11.73%
5Oct 2013Dec 20133 monthsFeb 20142 months5 months-9.20%
6Sep 2019Nov 20193 monthsJan 20202 months5 months-4.47%
7Mar 2020Mar 20201 monthApr 20201 month2 months-0.06%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
^BTCBitcoin Market Price USD110.16%193.44%1,271.42%-71.75%-80.43%0.763.660.14
VTVanguard Total World Stock ETF10.83%13.81%26.82%-9.76%-22.15%0.761.170.97
^GOLDGold Price Index4.80%13.83%24.61%-12.11%-20.09%0.350.59-0.01

Monthly Correlations

Correlations for the portfolio assets
TickerName^BTCVT^GOLDPortfolio 1Portfolio 2Portfolio 3
^BTCBitcoin Market Price USD1.000.11-0.131.000.11-0.13
VTVanguard Total World Stock ETF0.111.000.040.111.000.04
^GOLDGold Price Index-0.130.041.00-0.130.041.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
^BTCBitcoin Market Price USD$2,960,884
VTVanguard Total World Stock ETF$11,998
^GOLDGold Price Index$4,323

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
^BTCBitcoin Market Price USD100.00%
VTVanguard Total World Stock ETF100.00%
^GOLDGold Price Index100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year177.52%1,340.96%-73.03%9.21%57.80%-12.34%6.22%37.64%-14.54%
3 years109.90%252.20%-14.12%8.45%13.96%1.10%4.95%15.73%-2.03%
5 years98.03%169.32%27.90%8.24%14.68%2.78%5.25%12.34%-2.19%
7 years80.68%100.18%49.62%9.10%10.23%7.08%5.16%6.63%3.92%