About & method

Portfolio Lab backtests an asset allocation using monthly total returns (distributions reinvested). For US equities, cash, Treasuries and gold the series are extended back with long-history data — the CRSP total-market and size/value portfolios from the Ken French Data Library (1926), Treasury total returns reconstructed from FRED constant-maturity yields (1953), and the London gold fix since the market floated in 1968 — then spliced onto the modern index fund. International, EM, REITs, TIPS and commodities use their fund history only. A backtest runs from the latest start date among the assets you pick.

The allocation is rebalanced back to target on the schedule you choose (annually by default, anchored to December so every mix rebalances in the same month), or left to drift if you pick “never.” Every backtest is also shown against 100% S&P 500 and a classic 60/40 over the same window.

The Reality Check on the “your holdings” page regresses the portfolio’s monthly excess return on the Fama–French five factors plus momentum (Ken French, 1963 on). The intercept is “alpha” — return the standard risk factors don’t explain. For a passive index mix it should be near zero; a large positive alpha on a basket of hand-picked stocks is almost always survivorship, not skill. Inflation adjustment deflates the monthly return series itself, so every statistic — not just the ending value — is in today’s dollars.

• Taxes. Everything is pre-tax. In a taxable account, rebalancing and bond income create a real drag.
• Fees beyond the index funds’ own. No advisor fee, no wrap fee, no trading commissions.
• Your behavior. The backtest rebalances mechanically and never sells in a panic. Real investors do.
• Intramonth losses. Drawdowns and crisis returns use month-end prices. October 1987 and March 2020 were sharper day-to-day than the monthly figures show.
• Your exact funds. A holding is matched to an asset-class proxy for the long history — your specific total-bond fund becomes “the total-bond index.” Tracking error and fund-specific quirks are lost.
• The future. A 40-year bond bull market sits inside most of these samples and will not repeat. Past performance does not predict future results.