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, 1926Nov 20, 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 / 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%

Performance (Jun 30, 1926 - Nov 20, 2024)

Annual Return

7.11%

Sharpe Ratio

1.78

Min Holding Period

3.65years

Worst Downturn

-32.75in 1932

Drawdown periods

Logarithmic scale

The backtest spans over a period of 98 years. With an annual return of 7.11% for PISI Portfolio, the cumulative return over that period amounts to 86549%.

Metrics

Portfolio Score	PISI Portfolio
Portfolio Score

Returns	PISI Portfolio
Month-to-Date	0.77%
Year-to-Date	10.98%
3M	1.76%
6M	6.48%
Annualized Return (3Y)	2.77%
Annualized Return (5Y)	5.86%
Annualized Return (10Y)	5.58%
Annualized Return (20Y)	6.3%
Annualized Return (All, 98.4Y)	7.11%

Risk	PISI Portfolio
Annual Volatility	3.86%
Max Drawdown	-32.75%
Sharpe Ratio	1.78
Sortino Ratio	2.65
Adjusted Sortino Ratio	1.87

Projected Capital Growth

With a projected annual return (CAGR) of 7.11% 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	$10,711	$711	$59	7.1%
5	$14,098	$15,100	$1,002	$84	51%
10	$19,875	$21,288	$1,413	$118	113%
15	$28,019	$30,011	$1,992	$166	200%
20	$39,500	$42,309	$2,808	$234	323%
50	$310,099	$332,147	$22,048	$1,837	3,221%

Returns

A detailed look at the returns of the portfolio.

Annualized Returns

Portfolio	All (98.4Y)	20Y	10Y	5Y	3Y	1Y
PISI Portfolio	7.11%	6.3%	5.58%	5.86%	2.77%	16.13%

Yearly Returns

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.

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 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.