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 (Jan 2015 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
^BTC Bitcoin Market Price USD 100.00%
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Portfolio 2
Ticker Name Allocation
GLD SPDR Gold Shares 100.00%
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Portfolio 3
Ticker Name Allocation
ITOT iShares Core S&P Total US Stock Mkt ETF 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$224,664 86.34% 81.25%1,368.90%-73.56%-75.57% 1.132.530.10
Portfolio 2$10,000$12,581 4.70% 13.88%17.86%-10.67%-17.81% 0.320.54-0.19
Portfolio 3$10,000$17,067 11.28% 12.21%30.67%-5.31%-14.20% 0.851.321.00
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 1-13.27%92.20%95.43%86.34%86.34%
Portfolio 22.90%17.86%9.24%4.70%4.70%
Portfolio 39.05%30.67%14.52%11.28%11.28%
Trailing returns are for full months ending in December 2019 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceBitcoin Market Price USD (^BTC)SPDR Gold Shares (GLD)iShares Core S&P Total US Stock Mkt ETF (ITOT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20150.73%34.47%-10.67%0.91%$13,447$8,933$10,09134.47%-10.67%0.91%
20162.07%123.83%8.03%12.61%$30,099$9,650$11,363123.83%8.03%12.61%
20172.11%1,368.90%12.81%21.38%$442,121$10,887$13,7931,368.90%12.81%21.38%
20181.91%-73.56%-1.94%-5.31%$116,889$10,675$13,061-73.56%-1.94%-5.31%
20192.29%92.20%17.86%30.67%$224,664$12,581$17,06792.20%17.86%30.67%
Monthly returns for the configured portfolios
YearMonthReturnBalanceBitcoin Market Price USD (^BTC)SPDR Gold Shares (GLD)iShares Core S&P Total US Stock Mkt ETF (ITOT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20151-32.08%8.69%-2.88%$6,792$10,869$9,712-32.08%8.69%-2.88%
2015216.92%-5.91%5.68%$7,941$10,227$10,26416.92%-5.91%5.68%
20153-3.95%-2.15%-1.27%$7,627$10,007$10,134-3.95%-2.15%-1.27%
20154-3.31%-0.17%0.63%$7,375$9,990$10,198-3.31%-0.17%0.63%
20155-2.52%0.56%1.33%$7,189$10,046$10,334-2.52%0.56%1.33%
2015614.28%-1.52%-1.81%$8,216$9,893$10,14614.28%-1.52%-1.81%
201578.20%-6.62%1.93%$8,890$9,238$10,3428.20%-6.62%1.93%
20158-19.18%3.71%-6.09%$7,185$9,581$9,712-19.18%3.71%-6.09%
201592.61%-1.80%-2.61%$7,372$9,408$9,4592.61%-1.80%-2.61%
20151033.09%2.28%8.23%$9,812$9,623$10,23833.09%2.28%8.23%
20151120.10%-6.75%0.43%$11,784$8,973$10,28220.10%-6.75%0.43%
20151214.11%-0.45%-1.86%$13,447$8,933$10,09114.11%-0.45%-1.86%
20161-14.35%5.41%-5.87%$11,517$9,416$9,498-14.35%5.41%-5.87%
2016218.69%10.93%0.11%$13,670$10,446$9,50918.69%10.93%0.11%
20163-4.79%-0.84%7.16%$13,015$10,357$10,190-4.79%-0.84%7.16%
201647.58%5.11%0.58%$14,001$10,887$10,2497.58%5.11%0.58%
2016518.53%-6.14%1.79%$16,596$10,218$10,43218.53%-6.14%1.79%
2016626.71%8.97%0.16%$21,029$11,135$10,44826.71%8.97%0.16%
20167-7.23%1.98%3.96%$19,510$11,356$10,862-7.23%1.98%3.96%
20168-7.88%-3.26%0.30%$17,973$10,986$10,895-7.88%-3.26%0.30%
201695.95%0.69%0.19%$19,043$11,062$10,9165.95%0.69%0.19%
20161014.96%-2.94%-2.28%$21,892$10,736$10,66714.96%-2.94%-2.28%
2016116.38%-8.36%4.42%$23,289$9,839$11,1386.38%-8.36%4.42%
20161229.24%-1.91%2.02%$30,099$9,650$11,36329.24%-1.91%2.02%
201710.69%5.42%2.01%$30,307$10,173$11,5910.69%5.42%2.01%
2017221.60%3.18%3.57%$36,852$10,497$12,00621.60%3.18%3.57%
20173-9.17%-0.43%0.12%$33,473$10,453$12,020-9.17%-0.43%0.12%
2017425.76%1.73%1.00%$42,096$10,633$12,14025.76%1.73%1.00%
2017569.63%-0.12%1.06%$71,407$10,620$12,26969.63%-0.12%1.06%
201768.50%-2.16%0.93%$77,480$10,391$12,3838.50%-2.16%0.93%
2017715.90%2.31%1.89%$89,800$10,631$12,61815.90%2.31%1.89%
2017863.58%4.20%0.12%$146,892$11,078$12,63363.58%4.20%0.12%
20179-7.75%-3.37%2.40%$135,503$10,704$12,937-7.75%-3.37%2.40%
20171049.09%-0.75%2.24%$202,016$10,624$13,22749.09%-0.75%2.24%
20171158.21%0.36%3.04%$319,607$10,662$13,62858.21%0.36%3.04%
20171238.33%2.11%1.21%$442,121$10,887$13,79338.33%2.11%1.21%
20181-27.80%3.23%5.22%$319,217$11,239$14,512-27.80%3.23%5.22%
201821.73%-2.08%-3.79%$324,739$11,005$13,9621.73%-2.08%-3.79%
20183-32.93%0.63%-1.91%$217,791$11,075$13,695-32.93%0.63%-1.91%
2018432.51%-0.95%0.31%$288,593$10,969$13,73832.51%-0.95%0.31%
20185-18.90%-1.20%2.80%$234,052$10,838$14,123-18.90%-1.20%2.80%
20186-14.55%-3.61%0.69%$200,004$10,446$14,220-14.55%-3.61%0.69%
2018721.49%-2.24%3.29%$242,992$10,212$14,68921.49%-2.24%3.29%
20188-9.55%-2.14%3.48%$219,792$9,994$15,201-9.55%-2.14%3.48%
20189-5.85%-0.66%0.15%$206,924$9,928$15,223-5.85%-0.66%0.15%
201810-4.65%2.12%-7.35%$197,306$10,138$14,104-4.65%2.12%-7.35%
201811-36.41%0.34%1.91%$125,464$10,173$14,373-36.41%0.34%1.91%
201812-6.83%4.94%-9.13%$116,889$10,675$13,061-6.83%4.94%-9.13%
20191-7.61%2.89%8.44%$107,991$10,983$14,163-7.61%2.89%8.44%
2019211.48%-0.61%3.53%$120,389$10,917$14,66211.48%-0.61%3.53%
201936.50%-1.60%1.44%$128,217$10,742$14,8746.50%-1.60%1.44%
2019430.33%-0.66%3.88%$167,109$10,671$15,45130.33%-0.66%3.88%
2019560.25%1.76%-6.35%$267,792$10,858$14,47060.25%1.76%-6.35%
2019626.15%8.00%6.93%$337,832$11,727$15,47326.15%8.00%6.93%
20197-6.76%0.01%1.28%$314,986$11,728$15,670-6.76%0.01%1.28%
20198-4.51%7.91%-1.88%$300,777$12,656$15,376-4.51%7.91%-1.88%
20199-13.88%-3.39%1.79%$259,027$12,227$15,650-13.88%-3.39%1.79%
20191010.92%2.56%2.19%$287,314$12,540$15,99310.92%2.56%2.19%
201911-17.72%-3.21%3.75%$236,408$12,138$16,593-17.72%-3.21%3.75%
201912-4.97%3.66%2.86%$224,664$12,581$17,067-4.97%3.66%2.86%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 3
Large-cap Value36.89%
Large-cap Growth48.10%
Mid-cap Value4.96%
Mid-cap Growth2.15%
Small-cap Value0.92%
Small-cap Growth5.72%
Global ex-US Developed Markets0.62%
Emerging Markets0.65%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.82%
Style analysis is based on monthly returns from Jan 2015 to Dec 2019 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
TickerNameCategoryWeightERReturn ContributionRisk Contribution
GLDSPDR Gold SharesCommodities Focused100.00%0.40%$2,581100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
ITOTiShares Core S&P Total US Stock Mkt ETFLarge Blend100.00%0.03%26.49$7,067100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/28/2020. (c) 2020 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)7.75%0.46%0.96%
Arithmetic Mean (annualized)144.86%5.68%12.10%
Geometric Mean (monthly)5.32%0.38%0.89%
Geometric Mean (annualized)86.34%4.70%11.28%
Volatility (monthly)23.46%4.01%3.52%
Volatility (annualized)81.25%13.88%12.21%
Downside Deviation (monthly)10.42%2.37%2.23%
Max. Drawdown-75.57%-17.81%-14.20%
US Market Correlation0.10-0.191.00
Beta(*)0.63-0.211.00
Alpha (annualized)85.82%7.93%0.20%
R20.91%3.48%99.88%
Sharpe Ratio1.130.320.85
Sortino Ratio2.530.541.32
Treynor Ratio (%)145.10-21.2010.44
Calmar Ratio1.260.791.02
Active Return75.26%-6.38%0.20%
Tracking Error81.01%20.13%0.43%
Information Ratio0.93-0.320.48
Skewness0.640.38-0.54
Excess Kurtosis0.400.280.97
Historical Value-at-Risk (5%)-31.87%-6.60%-6.34%
Analytical Value-at-Risk (5%)-30.83%-6.13%-4.84%
Conditional Value-at-Risk (5%)-33.81%-7.24%-7.61%
Upside Capture Ratio (%)394.86-8.49100.57
Downside Capture Ratio (%)48.57-64.3599.41
Safe Withdrawal Rate79.70%19.88%24.25%
Perpetual Withdrawal Rate45.36%2.75%8.51%
Positive Periods34 out of 60 (56.67%)29 out of 60 (48.33%)46 out of 60 (76.67%)
Gain/Loss Ratio1.861.450.62
* 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
1Jan 2018Jan 20191 year 1 month-75.57%
2Jan 2015Jan 20151 monthNov 201510 months11 months-32.08%
3Jul 2016Aug 20162 monthsOct 20162 months4 months-14.53%
4Jan 2016Jan 20161 monthFeb 20161 month2 months-14.35%
5Mar 2017Mar 20171 monthApr 20171 month2 months-9.17%
6Sep 2017Sep 20171 monthOct 20171 month2 months-7.75%
7Mar 2016Mar 20161 monthApr 20161 month2 months-4.79%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-17.81%
2Aug 2016Dec 20165 monthsJun 20192 years 6 months2 years 11 months-15.02%
3May 2016May 20161 monthJun 20161 month2 months-6.14%
4Sep 2019Nov 20193 months-4.10%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.54%
3May 2019May 20191 monthJun 20191 month2 months-6.35%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-5.63%
5Jan 2015Jan 20151 monthFeb 20151 month2 months-2.88%
6Oct 2016Oct 20161 monthNov 20161 month2 months-2.28%
7Aug 2019Aug 20191 monthOct 20192 months3 months-1.88%
8Jun 2015Jun 20151 monthJul 20151 month2 months-1.81%
9Mar 2015Mar 20151 monthMay 20152 months3 months-1.27%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
^BTCBitcoin Market Price USD86.34%81.25%1,368.90%-73.56%-75.57%1.132.530.10
GLDSPDR Gold Shares4.70%13.88%17.86%-10.67%-17.81%0.320.54-0.19
ITOTiShares Core S&P Total US Stock Mkt ETF11.28%12.21%30.67%-5.31%-14.20%0.851.321.00

Monthly Correlations

Correlations for the portfolio assets
TickerName^BTCGLDITOTPortfolio 1Portfolio 2Portfolio 3
^BTCBitcoin Market Price USD1.000.000.101.000.000.10
GLDSPDR Gold Shares0.001.00-0.190.001.00-0.19
ITOTiShares Core S&P Total US Stock Mkt ETF0.10-0.191.000.10-0.191.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
^BTCBitcoin Market Price USD$214,664
GLDSPDR Gold Shares$2,581
ITOTiShares Core S&P Total US Stock Mkt ETF$7,067

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
^BTCBitcoin Market Price USD100.00%
GLDSPDR Gold Shares100.00%
ITOTiShares Core S&P Total US Stock Mkt ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year309.17%1,368.90%-73.56%5.22%17.86%-10.67%12.05%30.67%-5.31%
3 years151.55%253.60%95.43%6.08%9.24%2.87%11.61%14.52%8.98%
5 years86.34%86.34%86.34%4.70%4.70%4.70%11.28%11.28%11.28%
Result statistics are based on annualized rolling returns over full calendar year periods