Portfolio Backtester

Analyze your investment portfolio
The backtest consists of 1 fixed allocation portfolio, which is rebalanced back to its original weights every year, on the last day of the year. An initial starting capital of $10,000 was used. No transaction fees or taxes were considered.

Portfolio Analysis for PISI Portfolio

Jun 30, 1926Oct 14, 2024

The backtesting period is limited by the inception date of US Total Stock Market (TOTSTOCKMKT.X): Jun 30, 1926.

Overview

A quick overview of the assets within the portfolio, its performance and main metrics.

Assets

The portfolio consists of 4 asset classes.

Name / TickerTypeCurrencyInceptionWeight
US Total Stock Market
TOTSTOCKMKT.X
Asset ClassUSDJun 30, 192630%
Intermediate-Term Treasury
MTTREASURY.X
Asset ClassUSDDec 30, 187050%
US Corporate Bonds
CORPBONDS.X
Asset ClassUSDDec 30, 187010%
Gold
GOLD.X
Asset ClassUSDDec 30, 179110%
Performance (Jun 30, 1926 - Oct 14, 2024)
Annual Return
7.12%
Sharpe Ratio
1.78
Min Holding Period
3.65years
Worst Downturn
-32.75in 1932

The backtest spans over a period of 98 years. With an annual return of 7.12% for PISI Portfolio, the cumulative return over that period amounts to 86753%.

Metrics

Portfolio ScorePISI Portfolio
Portfolio Score
ReturnsPISI Portfolio
Month-to-Date-0.18%
Year-to-Date11.24%
3M3.64%
6M9.02%
Annualized Return (3Y)3.46%
Annualized Return (5Y)6.18%
Annualized Return (10Y)5.86%
Annualized Return (20Y)6.43%
Annualized Return (All, 98.3Y)7.12%
RiskPISI Portfolio
Annual Volatility3.86%
Max Drawdown-32.75%
Sharpe Ratio1.78
Sortino Ratio2.66
Adjusted Sortino Ratio1.88
Projected Capital Growth

With a projected annual return (CAGR) of 7.12% and an initial investment of $10,000, PISI Portfolio would have the following projected capital growth over the next 50 years.

YearStarting CapitalEnding CapitalTotal GainAvg Monthly GainCumulative Return
$10,000$10,712$712$597.1%
5$14,104$15,109$1,004$8451.1%
10$19,893$21,310$1,416$118113%
15$28,058$30,056$1,998$166201%
20$39,574$42,392$2,818$235324%
50$311,550$333,733$22,182$1,8493,237%

Returns

A detailed look at the returns of the portfolio.

Annualized Returns
PortfolioAll (98.3Y)20Y10Y5Y3Y1Y
PISI Portfolio7.12%6.43%5.86%6.18%3.46%19.99%
Yearly Returns
YearPISI Portfolio
19264.25%
192713.15%
192811.08%
1929-0.86%
1930-3.89%
1931-14.53%
19324.75%
193320.77%
19349.56%
193516.31%

Summary

PortfolioPositive YearsNegative YearsPositive RatioBest Return YearsWorst Return Years
PISI Portfolio871287.88%9999

Risk

Let's analyze how much risk the portfoliohas.

Drawdowns

A drawdown represents the period of decline an investor experiences between a portfolio's peak (new high) and its subsequent low, also known as the valley (before it begins to recover). The table below highlights the five largest drawdowns encountered by the portfolio.

Drawdown periodRecovery periodTotal
Max drawdownStartValley# MonthsEnd# Months# MonthsChart
-32.75%1929-09-031932-05-31
33
1934-11-13
29
62
-17.24%2021-11-102022-10-20
11
2024-03-21
17
28
-15.34%1937-04-011938-03-31
12
1939-09-19
18
30
-14.74%2008-05-212008-10-27
5
2009-09-10
10
16
-12.11%1974-02-271974-09-26
7
1975-02-14
5
12
-12.02%1980-01-221980-03-31
2
1980-06-09
2
5
-10.82%2020-02-212020-03-19
1
2020-05-27
2
3
-8.99%1987-09-031987-11-27
3
1988-10-17
11
13
-7.89%1946-06-031947-05-30
12
1949-08-22
27
39
-7.8%1968-12-051970-01-30
14
1970-11-09
9
23

PISI Portfolio took approximately 62 months on average to recover from major drawdowns of 20% or more. The largest drawdown reached -32.75% and the longest drawdown period lasted 62 months.