This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.
You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds, ETFs, and stocks.
Asset Class | Allocation |
---|---|
US Stock Market | 30.00% |
Long Term Treasury | 40.00% |
Intermediate Term Treasury | 15.00% |
Gold | 7.50% |
Commodities | 7.50% |
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Portfolio | Initial Balance | Final Balance | CAGR | TWRR | MWRR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|---|---|
All Seasons With 4% Annual Distribution | $10,000 | $16,051 | 3.20% | 7.33% | 7.19% | 6.90% | 18.30% | -3.66% | -14.75% (-17.78%) | 0.94 | 1.48 | 0.57 |
* The number in parentheses shows the calculated value taking into account the periodic withdrawals. |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
All Seasons With 4% Annual Distribution | 4.34% | 8.04% | 8.04% | 13.66% | 9.55% | 7.00% | 7.33% | 7.08% | 6.38% |
Trailing return and volatility are as of last full calendar month ending December 2021 |
Year | Inflation | All Seasons With 4% Annual Distribution | US Stock Market | Long Term Treasury | Intermediate Term Treasury | Gold | Commodities | ||
---|---|---|---|---|---|---|---|---|---|
Return | Balance | Cashflow | |||||||
2007 | 4.08% | 11.50% | $10,704 | -$419 | 5.49% | 9.24% | 9.98% | 30.45% | 31.62% |
2008 | 0.09% | -3.17% | $9,936 | -$435 | -37.04% | 22.51% | 13.32% | 4.92% | -45.75% |
2009 | 2.72% | 6.18% | $10,085 | -$434 | 28.70% | -12.06% | -1.69% | 24.03% | 11.22% |
2010 | 1.50% | 12.53% | $10,883 | -$441 | 17.09% | 8.93% | 7.35% | 29.27% | 7.17% |
2011 | 2.96% | 13.94% | $11,914 | -$455 | 0.96% | 29.28% | 9.79% | 9.57% | -3.28% |
2012 | 1.74% | 7.11% | $12,290 | -$464 | 16.25% | 3.46% | 2.67% | 6.60% | -0.58% |
2013 | 1.50% | 2.07% | $12,068 | -$471 | 33.35% | -13.03% | -3.09% | -28.33% | -1.83% |
2014 | 0.76% | 11.85% | $13,000 | -$479 | 12.43% | 25.27% | 4.32% | -2.19% | -32.96% |
2015 | 0.73% | -3.66% | $12,060 | -$479 | 0.29% | -1.54% | 1.50% | -10.67% | -34.06% |
2016 | 2.07% | 5.78% | $12,278 | -$485 | 12.53% | 1.21% | 1.19% | 8.03% | 10.12% |
2017 | 2.11% | 11.24% | $13,137 | -$496 | 21.05% | 8.59% | 1.58% | 12.81% | 3.89% |
2018 | 1.91% | -3.38% | $12,198 | -$508 | -5.26% | -1.90% | 1.00% | -1.94% | -13.88% |
2019 | 2.29% | 18.30% | $13,883 | -$517 | 30.65% | 14.13% | 6.29% | 17.86% | 15.62% |
2020 | 1.36% | 14.87% | $15,390 | -$523 | 20.87% | 18.29% | 8.21% | 24.81% | -23.94% |
2021 | 7.04% | 8.04% | $16,051 | -$548 | 25.59% | -4.73% | -2.29% | -4.15% | 38.77% |
Metric | All Seasons With 4% Annual Distribution |
---|---|
Arithmetic Mean (monthly) | 0.61% |
Arithmetic Mean (annualized) | 7.59% |
Geometric Mean (monthly) | 0.59% |
Geometric Mean (annualized) | 7.33% |
Standard Deviation (monthly) | 1.99% |
Standard Deviation (annualized) | 6.90% |
Downside Deviation (monthly) | 1.25% |
Maximum Drawdown | -14.75% |
Stock Market Correlation | 0.57 |
Beta(*) | 0.25 |
Alpha (annualized) | 4.53% |
R2 | 32.03% |
Sharpe Ratio | 0.94 |
Sortino Ratio | 1.48 |
Treynor Ratio (%) | 26.45 |
Calmar Ratio | 3.83 |
Active Return | -3.25% |
Tracking Error | 13.22% |
Information Ratio | -0.25 |
Skewness | -0.95 |
Excess Kurtosis | 4.22 |
Historical Value-at-Risk (5%) | 2.59% |
Analytical Value-at-Risk (5%) | 2.67% |
Conditional Value-at-Risk (5%) | 4.24% |
Upside Capture Ratio (%) | 31.54 |
Downside Capture Ratio (%) | 13.42 |
Safe Withdrawal Rate | 9.44% |
Perpetual Withdrawal Rate | 4.80% |
Positive Periods | 120 out of 180 (66.67%) |
Gain/Loss Ratio | 1.14 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | All Seasons With 4% Annual Distribution |
---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -14.75% |
COVID-19 Start | Jan 2020 | Mar 2020 | -2.66% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2008 | Feb 2009 | 9 months | Nov 2009 | 9 months | 1 year 6 months | -14.75% |
2 | Feb 2015 | Dec 2015 | 11 months | Jun 2016 | 6 months | 1 year 5 months | -6.61% |
3 | Aug 2016 | Nov 2016 | 4 months | Aug 2017 | 9 months | 1 year 1 month | -6.28% |
4 | May 2013 | Jun 2013 | 2 months | Jan 2014 | 7 months | 9 months | -4.99% |
5 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -4.84% |
6 | Jan 2021 | Mar 2021 | 3 months | May 2021 | 2 months | 5 months | -3.56% |
7 | Aug 2020 | Oct 2020 | 3 months | Nov 2020 | 1 month | 4 months | -3.55% |
8 | Feb 2018 | Feb 2018 | 1 month | Aug 2018 | 6 months | 7 months | -2.79% |
9 | Mar 2020 | Mar 2020 | 1 month | Apr 2020 | 1 month | 2 months | -2.66% |
10 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -2.42% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 10.58% | 15.84% | 33.35% | -37.04% | -50.89% | 0.66 | 0.98 | 1.00 |
Long Term Treasury | 6.44% | 11.85% | 29.28% | -13.03% | -18.92% | 0.52 | 0.91 | -0.30 |
Intermediate Term Treasury | 3.90% | 4.24% | 13.32% | -3.09% | -4.48% | 0.74 | 1.36 | -0.28 |
Gold | 6.86% | 17.41% | 30.45% | -28.33% | -42.91% | 0.42 | 0.67 | 0.06 |
Commodities | -5.52% | 23.79% | 38.77% | -45.75% | -88.68% | -0.15 | -0.19 | 0.56 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
US Stock Market | 9.12% | 25.59% | 25.59% | 25.64% | 17.86% | 16.16% |
Long Term Treasury | 2.72% | -4.73% | -4.73% | 8.75% | 6.50% | 4.41% |
Intermediate Term Treasury | -0.64% | -2.29% | -2.29% | 3.97% | 2.89% | 2.09% |
Gold | 4.10% | -4.15% | -4.15% | 12.13% | 9.30% | 1.18% |
Commodities | 1.48% | 38.77% | 38.77% | 6.86% | 1.77% | -6.35% |
Trailing returns as of last calendar month ending December 2021 |
Name | US Stock Market | Long Term Treasury | Intermediate Term Treasury | Gold | Commodities | All Seasons With 4% Annual Distribution |
---|---|---|---|---|---|---|
US Stock Market | 1.00 | -0.30 | -0.28 | 0.06 | 0.56 | 0.57 |
Long Term Treasury | -0.30 | 1.00 | 0.85 | 0.28 | -0.37 | 0.55 |
Intermediate Term Treasury | -0.28 | 0.85 | 1.00 | 0.40 | -0.28 | 0.51 |
Gold | 0.06 | 0.28 | 0.40 | 1.00 | 0.22 | 0.52 |
Commodities | 0.56 | -0.37 | -0.28 | 0.22 | 1.00 | 0.36 |
Name | All Seasons With 4% Annual Distribution |
---|---|
US Stock Market | $6,715 |
Long Term Treasury | $4,867 |
Intermediate Term Treasury | $996 |
Gold | $954 |
Commodities | -$327 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | All Seasons With 4% Annual Distribution |
---|---|
US Stock Market | 38.82% |
Long Term Treasury | 37.47% |
Intermediate Term Treasury | 4.70% |
Gold | 9.85% |
Commodities | 9.16% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 7.35% | 19.68% | -14.12% |
3 years | 7.25% | 16.15% | 2.77% |
5 years | 6.97% | 11.60% | 4.11% |
7 years | 6.74% | 9.07% | 4.26% |
10 years | 6.93% | 7.91% | 5.82% |