Portfolio Backtester
Portfolio Analysis for PISI Portfolio
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.
The portfolio consists of 4 asset classes.
Name / Ticker | Type | Currency | Inception | Weight |
---|---|---|---|---|
US Total Stock Market TOTSTOCKMKT.X | Asset Class | USD | Jun 30, 1926 | 30% |
Intermediate-Term Treasury MTTREASURY.X | Asset Class | USD | Dec 30, 1870 | 50% |
US Corporate Bonds CORPBONDS.X | Asset Class | USD | Dec 30, 1870 | 10% |
Gold GOLD.X | Asset Class | USD | Dec 30, 1791 | 10% |
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 Score | PISI Portfolio |
---|---|
Portfolio Score |
Returns | PISI Portfolio |
---|---|
Month-to-Date | -0.18% |
Year-to-Date | 11.24% |
3M | 3.64% |
6M | 9.02% |
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% |
Risk | PISI Portfolio |
---|---|
Annual Volatility | 3.86% |
Max Drawdown | -32.75% |
Sharpe Ratio | 1.78 |
Sortino Ratio | 2.66 |
Adjusted Sortino Ratio | 1.88 |
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.
Year | Starting Capital | Ending Capital | Total Gain | Avg Monthly Gain | Cumulative Return |
---|---|---|---|---|---|
$10,000 | $10,712 | $712 | $59 | 7.1% | |
5 | $14,104 | $15,109 | $1,004 | $84 | 51.1% |
10 | $19,893 | $21,310 | $1,416 | $118 | 113% |
15 | $28,058 | $30,056 | $1,998 | $166 | 201% |
20 | $39,574 | $42,392 | $2,818 | $235 | 324% |
50 | $311,550 | $333,733 | $22,182 | $1,849 | 3,237% |
Returns
A detailed look at the returns of the portfolio.
Portfolio | All (98.3Y) | 20Y | 10Y | 5Y | 3Y | 1Y |
---|---|---|---|---|---|---|
PISI Portfolio | 7.12% | 6.43% | 5.86% | 6.18% | 3.46% | 19.99% |
Year | PISI Portfolio |
---|---|
1926 | 4.25% |
1927 | 13.15% |
1928 | 11.08% |
1929 | -0.86% |
1930 | -3.89% |
1931 | -14.53% |
1932 | 4.75% |
1933 | 20.77% |
1934 | 9.56% |
1935 | 16.31% |
Summary
Portfolio | Positive Years | Negative Years | Positive Ratio | Best Return Years | Worst Return Years |
PISI Portfolio | 87 | 12 | 87.88% | 99 | 99 |
Risk
Let's analyze how much risk the portfoliohas.
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 period | Recovery period | Total | |||||
---|---|---|---|---|---|---|---|
Max drawdown | Start | Valley | # Months | End | # Months | # Months | Chart |
-32.75% | 1929-09-03 | 1932-05-31 | 33 | 1934-11-13 | 29 | 62 | |
-17.24% | 2021-11-10 | 2022-10-20 | 11 | 2024-03-21 | 17 | 28 | |
-15.34% | 1937-04-01 | 1938-03-31 | 12 | 1939-09-19 | 18 | 30 | |
-14.74% | 2008-05-21 | 2008-10-27 | 5 | 2009-09-10 | 10 | 16 | |
-12.11% | 1974-02-27 | 1974-09-26 | 7 | 1975-02-14 | 5 | 12 | |
-12.02% | 1980-01-22 | 1980-03-31 | 2 | 1980-06-09 | 2 | 5 | |
-10.82% | 2020-02-21 | 2020-03-19 | 1 | 2020-05-27 | 2 | 3 | |
-8.99% | 1987-09-03 | 1987-11-27 | 3 | 1988-10-17 | 11 | 13 | |
-7.89% | 1946-06-03 | 1947-05-30 | 12 | 1949-08-22 | 27 | 39 | |
-7.8% | 1968-12-05 | 1970-01-30 | 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.