Portfolio Backtesting
Test your allocation strategy against historical market data
Portfolio Allocation
US Equities40.0%
Global Equities15.0%
IG Bonds25.0%
HY Bonds5.0%
REITs10.0%
Commodities5.0%
Cash0.0%
Total100.0%
Settings
Compare Against Benchmarks
Total Return
+387.2%
Annualized Return
+6.54%
Volatility
12.03%
Sharpe Ratio
0.38
Max Drawdown
-27.4%
Risk/Return Analysis (Efficient Frontier)
- Frontier
- Benchmarks
- Your Portfolio
Points above the curve represent better risk-adjusted returns. Your portfolio is shown as a star.
Cumulative Returns (2000 - 2024)
- Your Portfolio
- Classic 60/40
- S&P 500 (100% US Equities)
Annual Returns
Drawdown
Rolling 3-Year Returns
Benchmark Comparison
| Portfolio | Total Return | Annualized | Volatility | Sharpe | Max DD | Best Year | Worst Year |
|---|---|---|---|---|---|---|---|
| Your Portfolio | 387.2% | 6.54% | 12.03% | 0.38 | -27.4% | 2003: +24.5% | 2008: -27.4% |
| Classic 60/40 | 400.0% | 6.65% | 10.87% | 0.43 | -20.1% | 2019: +22.4% | 2008: -20.1% |
| S&P 500 (100% US Equities) | 539.2% | 7.70% | 17.89% | 0.32 | -37.6% | 2013: +32.4% | 2008: -37.0% |
Best Year
+24.5%
2003
19 positive years out of 25
Worst Year
-27.4%
2008
6 negative years out of 25
Data Sources
- US Equities: S&P 500 Total Return Index (NYU Stern / Damodaran)
- Global Equities: MSCI EAFE / ACWI ex-US Index
- Bonds: Bloomberg US Aggregate Bond Index, Bloomberg US Corporate High Yield
- REITs: FTSE NAREIT All Equity REITs Index
- Commodities: S&P GSCI / Bloomberg Commodity Index
- Cash: 3-Month US Treasury Bill Rate (FRED)
- Inflation: U.S. Bureau of Labor Statistics (CPI-U)
Past performance is not indicative of future results. This tool is for educational purposes only.