Backtest a portfolio: any mix of stocks, bonds, gold, cash and more

What this backtest shows

A portfolio backtest answers one question honestly: if you had held this mix, rebalanced every month, what would have happened? Not what will happen. The result is four numbers that matter (return a year, volatility, the worst fall from a high and how long it took to recover) and the behaviour in the three stress years every investor should know: 2008, when stocks halved and bonds rose; 2020, the fastest crash on record; and 2022, when stocks and bonds fell together.

The building blocks are total-return series of the main ETFs (dividends and interest reinvested), the same data behind our Research Terminal. Cash is the US Treasury bill. The test starts in the first month for which every chosen block has data, so a mix with gold starts in late 2004 and a mix with Bitcoin in 2017; the start date is shown with every result.

How to read the numbers

Return a year (CAGR) is the compound growth rate over the whole period. Volatility is how much the monthly returns swung, annualised; roughly, a 10% volatility means a typical year lands within ±10% of the average. The Sharpe ratio is the return above cash divided by the volatility: the return you got per unit of risk, and the fairest way to compare two mixes. The worst fall is the largest drop from a high to the following low, the number that decides whether you would have held on; our max drawdown guide explains why it matters more than volatility for most people.

What a backtest cannot tell you

Three things. First, the period: 1993–2026 contains two 50% stock crashes, a 40-year bond bull market that ended in 2022 and the best decade gold ever had. A different window would give different numbers; that is why the 60/40 guide goes back to 1872. Second, costs and taxes: none are deducted here; a fixed mix with monthly rebalancing trades little, but every sale can trigger tax. Third, and most important, the past is not a forecast. Use the backtest to understand how a mix behaves in crises, not to pick the one with the highest return in hindsight. The Portfolio Crash Test does the crisis part for twelve falls since 1955 with a longer bond and gold record.

From a fixed mix to a process

Every mix here is held through everything: 2008, 2022, the lot. That is the simplest process and a good one. The Research Terminal shows the alternative we research: the same building blocks, but each one held only while its own trend is up, with the recorded signals for 30 markets. Free account, no card.

Frequently asked questions