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 Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2011 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
USO United States Oil -75.00%
BNO United States Brent Oil 75.00%
TLT iShares 20+ Year Treasury Bond ETF 50.00%
CASHX Cash 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$34,589 13.21% 13.49%52.85%-5.93%-15.04% 0.942.11-0.11
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 11.72%52.85%52.85%19.92%17.74%13.21%13.21%17.22%14.59%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceUnited States Oil (USO)United States Brent Oil (BNO)iShares 20+ Year Treasury Bond ETF (TLT)Cash (CASHX)
20112.96%32.36%$13,236-2.28%19.52%33.96%0.07%
20121.74%19.80%$15,856-12.44%9.95%2.63%0.08%
20131.50%-5.93%$14,9165.84%8.54%-13.37%0.05%
20140.76%2.99%$15,362-42.36%-49.03%27.30%0.03%
20150.73%-0.51%$15,284-45.97%-46.08%-1.79%0.05%
20162.07%14.80%$17,5466.55%28.10%1.18%0.30%
20172.11%14.30%$20,0562.47%15.43%9.18%0.88%
20181.91%3.04%$20,664-19.57%-15.30%-1.61%1.90%
20192.29%9.51%$22,62932.61%36.01%14.12%2.13%
20201.36%52.85%$34,589-67.79%-38.23%18.15%0.44%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceUnited States Oil (USO)United States Brent Oil (BNO)iShares 20+ Year Treasury Bond ETF (TLT)Cash (CASHX)
201114.69%$10,469-1.00%7.30%-3.08%0.01%
201127.89%$11,2951.50%10.91%1.65%0.01%
20113-2.97%$10,9598.70%4.71%0.03%0.01%
201142.36%$11,2185.99%7.57%2.34%0.01%
201153.92%$11,657-10.30%-7.36%3.42%0.00%
201162.18%$11,911-8.05%-3.60%-2.33%0.01%
201175.05%$12,5120.48%4.27%4.42%0.00%
201189.32%$13,678-7.78%-1.80%9.66%0.01%
201196.61%$14,582-11.65%-11.64%13.20%0.00%
201110-6.67%$13,60917.22%10.88%-3.84%0.00%
201111-3.94%$13,0738.51%1.93%1.98%0.00%
2011121.24%$13,236-1.73%-2.37%3.44%0.00%
201213.07%$13,642-0.76%3.55%-0.33%0.00%
201220.84%$13,7578.20%11.05%-2.59%0.01%
201231.39%$13,949-4.13%0.55%-4.23%0.01%
20124-0.27%$13,9121.15%-2.43%4.83%0.01%
201256.96%$14,880-17.82%-14.56%9.03%0.01%
20126-1.91%$14,596-2.39%-3.82%-1.68%0.01%
201275.15%$15,3482.67%7.00%3.82%0.01%
201280.60%$15,4409.82%11.50%-1.32%0.01%
201291.05%$15,602-4.93%-1.85%-2.53%0.01%
2012102.92%$16,058-6.86%-2.64%-0.48%0.01%
2012111.22%$16,2542.45%3.16%1.38%0.01%
201212-2.45%$15,8562.49%0.87%-2.49%0.01%
20131-2.15%$15,5145.72%4.97%-3.19%0.00%
201323.00%$15,980-6.29%-3.12%1.24%0.01%
20133-4.30%$15,2935.11%-0.35%-0.42%0.01%
201340.23%$15,328-4.58%-7.39%4.68%0.01%
20135-3.03%$14,863-1.66%-1.19%-6.76%0.00%
20136-3.70%$14,3144.81%2.06%-3.27%0.00%
20137-3.52%$13,8109.30%6.12%-2.26%0.00%
201382.16%$14,1093.00%6.77%-1.34%0.00%
201390.92%$14,238-4.24%-3.45%0.66%0.00%
2013105.84%$15,069-5.86%0.97%1.43%0.00%
2013112.45%$15,438-3.55%1.52%-2.70%0.00%
201312-3.38%$14,9165.56%2.30%-1.87%0.01%
201410.25%$14,954-1.47%-5.34%6.30%0.01%
20142-1.75%$14,6925.57%2.89%0.52%0.00%
201430.10%$14,707-0.41%-0.76%0.73%0.00%
201441.95%$14,994-0.74%0.46%2.10%0.00%
20145-0.15%$14,9713.74%1.57%2.95%0.00%
20146-0.05%$14,9633.18%3.28%-0.25%0.00%
201470.86%$15,092-6.58%-5.88%0.67%0.00%
201481.13%$15,262-1.54%-3.19%4.72%0.00%
20149-4.64%$14,554-3.78%-8.56%-2.11%0.00%
2014102.25%$14,880-10.99%-9.87%2.81%0.00%
2014110.42%$14,943-16.49%-17.90%2.97%0.00%
2014122.80%$15,362-20.41%-18.84%3.25%0.00%
201515.44%$16,198-12.48%-11.76%9.82%0.00%
201528.15%$17,5181.57%16.53%-6.14%0.00%
20153-3.36%$16,930-6.96%-12.17%1.10%0.00%
20154-4.16%$16,22621.79%18.54%-3.43%0.00%
20155-2.77%$15,777-0.98%-3.09%-2.37%0.00%
20156-3.57%$15,214-2.12%-4.16%-4.07%0.00%
201574.20%$15,854-21.58%-19.01%4.55%0.00%
20158-0.43%$15,7851.92%1.81%-0.69%0.01%
20159-1.24%$15,589-7.61%-10.59%1.97%0.01%
201510-0.60%$15,4960.89%0.36%-0.41%0.00%
2015110.60%$15,589-12.69%-11.32%-0.87%0.01%
201512-1.96%$15,284-14.93%-17.35%-0.30%0.02%
201616.48%$16,274-12.27%-7.35%5.57%0.01%
201626.81%$17,382-6.74%0.26%3.09%0.03%
201630.01%$17,3837.78%7.83%-0.09%0.03%
201640.97%$17,55216.49%18.27%-0.74%0.02%
20165-0.58%$17,4515.04%3.72%0.81%0.02%
201664.58%$18,250-2.53%-1.06%6.93%0.03%
201672.46%$18,699-15.64%-13.78%2.10%0.02%
201680.51%$18,7946.15%7.48%-1.01%0.02%
20169-1.01%$18,6055.50%5.15%-1.51%0.03%
201610-2.69%$18,104-3.66%-4.34%-4.38%0.02%
201611-3.86%$17,4053.80%4.11%-8.21%0.03%
2016120.81%$17,5467.23%8.59%-0.46%0.04%
201710.88%$17,701-3.41%-2.81%0.81%0.04%
201720.64%$17,8151.15%0.92%1.59%0.04%
201730.81%$17,959-7.07%-5.59%-0.65%0.04%
201740.43%$18,037-3.76%-4.27%1.57%0.06%
201751.09%$18,233-2.73%-2.59%1.89%0.07%
201760.91%$18,398-4.62%-3.99%0.79%0.08%
20177-0.96%$18,2218.21%7.31%-0.66%0.08%
201787.03%$19,501-6.32%0.72%3.41%0.09%
20179-1.42%$19,2248.31%7.90%-2.32%0.08%
2017102.32%$19,6694.79%7.85%-0.04%0.09%
201711-0.86%$19,5014.94%3.24%0.74%0.09%
2017122.85%$20,0564.71%7.23%1.81%0.10%
20181-4.56%$19,1418.08%4.09%-3.26%0.11%
20182-2.27%$18,705-4.70%-5.79%-3.04%0.12%
201833.01%$19,2685.82%7.83%2.86%0.14%
201841.27%$19,5125.42%8.41%-2.09%0.14%
201855.62%$20,608-1.81%4.24%2.01%0.15%
20186-6.05%$19,36211.14%2.54%0.65%0.16%
20187-1.35%$19,100-5.18%-6.13%-1.44%0.16%
201881.65%$19,4153.01%4.23%1.31%0.17%
201890.12%$19,4395.51%7.47%-2.86%0.17%
2018100.14%$19,466-11.15%-9.13%-2.93%0.18%
2018111.78%$19,811-22.19%-21.14%1.79%0.19%
2018124.31%$20,664-9.97%-8.26%5.85%0.19%
20191-3.24%$19,99417.49%12.79%0.38%0.20%
201921.95%$20,3855.29%8.68%-1.38%0.20%
201931.15%$20,6204.60%2.29%5.57%0.20%
20194-0.06%$20,6086.32%7.44%-1.99%0.20%
201955.96%$21,837-16.48%-13.22%6.84%0.20%
20196-1.39%$21,5348.47%5.86%0.95%0.19%
201970.89%$21,7250.00%0.90%0.26%0.17%
201983.26%$22,435-4.82%-7.94%11.04%0.17%
201991.78%$22,835-1.05%3.01%-2.68%0.16%
2019100.36%$22,918-0.35%0.77%-1.11%0.15%
2019110.44%$23,0192.83%3.61%-0.41%0.13%
201912-1.69%$22,62910.24%10.03%-3.20%0.13%
202015.87%$23,958-15.38%-12.76%7.69%0.13%
202024.71%$25,086-12.82%-11.05%6.63%0.13%
202036.40%$26,692-55.45%-51.24%6.38%0.10%
2020424.77%$33,302-43.23%-11.03%1.22%0.01%
202052.09%$33,99935.36%39.32%-1.76%0.01%
202061.60%$34,5448.42%10.33%0.34%0.01%
202073.21%$35,6523.60%4.91%4.44%0.01%
20208-4.10%$34,1925.19%3.09%-5.05%0.01%
20209-0.55%$34,005-7.49%-8.74%0.77%0.01%
202010-1.87%$33,369-10.75%-10.99%-3.39%0.01%
2020113.15%$34,42022.65%25.74%1.66%0.01%
2020120.49%$34,5896.59%8.05%-1.23%0.01%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)1.11%
Arithmetic Mean (annualized)14.18%
Geometric Mean (monthly)1.04%
Geometric Mean (annualized)13.21%
Standard Deviation (monthly)3.90%
Standard Deviation (annualized)13.49%
Downside Deviation (monthly)1.72%
Max. Drawdown-15.04%
US Market Correlation-0.11
Beta(*)-0.10
Alpha (annualized)14.72%
R21.11%
Sharpe Ratio0.94
Sortino Ratio2.11
Treynor Ratio (%)-126.87
Calmar Ratio2.72
Active Return-0.44%
Tracking Error20.54%
Information Ratio-0.02
Skewness1.93
Excess Kurtosis10.30
Historical Value-at-Risk (5%)-4.10%
Analytical Value-at-Risk (5%)-5.27%
Conditional Value-at-Risk (5%)-5.06%
Upside Capture Ratio (%)22.17
Downside Capture Ratio (%)-53.79
Safe Withdrawal Rate16.23%
Perpetual Withdrawal Rate10.13%
Positive Periods78 out of 120 (65.00%)
Gain/Loss Ratio1.25
* 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 1
COVID-19 StartJan 2020Mar 20200.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2012Jul 20138 monthsFeb 20151 year 7 months2 years 3 months-15.04%
2Mar 2015Jun 20154 monthsApr 201610 months1 year 2 months-13.15%
3Oct 2011Nov 20112 monthsMay 20126 months8 months-10.35%
4Sep 2016Nov 20163 monthsAug 20179 months1 year-7.39%
5Jun 2018Jul 20182 monthsDec 20185 months7 months-7.32%
6Jan 2018Feb 20182 monthsMay 20183 months5 months-6.73%
7Aug 2020Oct 20203 months-6.40%
8Jan 2019Jan 20191 monthMay 20194 months5 months-3.24%
9Mar 2011Mar 20111 monthMay 20112 months3 months-2.97%
10Jun 2012Jun 20121 monthJul 20121 month2 months-1.91%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
USOUnited States Oil-20.12%38.68%32.61%-67.79%-94.71%-0.37-0.440.45
BNOUnited States Brent Oil-8.47%35.60%36.01%-49.03%-84.53%-0.07-0.090.54
TLTiShares 20+ Year Treasury Bond ETF8.12%12.76%33.96%-13.37%-18.03%0.631.20-0.42
CASHXCash0.59%0.23%2.13%0.03%0.00%N/AN/A-0.10

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
United States Oil16.68%-67.79%-67.79%-29.96%-17.81%-20.12%0.83%0.83%
United States Brent Oil20.94%-38.23%-38.23%-10.72%1.02%-8.47%0.90%1.13%
iShares 20+ Year Treasury Bond ETF-2.98%18.15%18.15%9.88%7.95%8.12%0.15%0.15%
Cash0.02%0.44%0.44%1.49%1.13%0.59%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameUSOBNOTLTCASHXPortfolio 1
USOUnited States Oil1.000.92-0.40-0.00-0.53
BNOUnited States Brent Oil0.921.00-0.42-0.02-0.19
TLTiShares 20+ Year Treasury Bond ETF-0.40-0.421.000.080.51
CASHXCash-0.00-0.020.081.000.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
USOUnited States Oil$13,777
BNOUnited States Brent Oil$3,309
TLTiShares 20+ Year Treasury Bond ETF$6,909
CASHXCash$594

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
USOUnited States Oil113.06%
BNOUnited States Brent Oil-37.27%
TLTiShares 20+ Year Treasury Bond ETF24.21%
CASHXCash0.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year12.26%64.11%-10.02%
3 years8.10%25.08%-1.38%
5 years8.09%17.82%3.20%
7 years8.00%14.51%4.19%