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 Large Cap Growth | 21.00% |
US Small Cap Value | 21.00% |
Long Term Treasury | 26.00% |
Gold | 16.00% |
REIT | 10.00% |
Cash | 6.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | TWRR | MWRR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Golden Ratio With 5% Annual Distribution | $10,000 | $43,509 | 5.39% | 9.46% | 9.38% | 8.58% | 23.90% | -11.75% | -24.23% (-28.03%) | 0.84 | 1.28 | 0.82 |
* 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 | |
Golden Ratio With 5% Annual Distribution | 6.82% | 13.69% | 13.69% | 17.83% | 12.03% | 9.80% | 9.46% | 9.95% | 8.84% |
Trailing return and volatility are as of last full calendar month ending December 2021 |
Year | Inflation | Golden Ratio With 5% Annual Distribution | US Large Cap Growth | US Small Cap Value | Long Term Treasury | Gold | REIT | Cash | ||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Cashflow | ||||||||
1994 | 2.67% | -2.17% | $9,270 | -$512 | 2.89% | -0.07% | -7.04% | -2.17% | -8.40% | 4.20% |
1995 | 2.54% | 23.90% | $10,903 | -$527 | 38.06% | 30.32% | 30.09% | 0.98% | 12.13% | 5.71% |
1996 | 3.32% | 12.12% | $11,641 | -$542 | 23.74% | 21.41% | -1.26% | -4.59% | 33.84% | 5.17% |
1997 | 1.70% | 17.45% | $13,072 | -$555 | 36.34% | 35.44% | 13.90% | -21.41% | 18.77% | 5.22% |
1998 | 1.61% | 10.23% | $13,817 | -$563 | 42.21% | -2.68% | 13.05% | -0.83% | -16.32% | 4.97% |
1999 | 2.68% | 4.51% | $13,840 | -$576 | 28.76% | 3.35% | -8.66% | 0.85% | -4.04% | 4.77% |
2000 | 3.39% | 7.18% | $14,219 | -$595 | -22.21% | 21.88% | 19.72% | -5.44% | 26.35% | 5.99% |
2001 | 1.55% | 2.86% | $13,995 | -$612 | -12.93% | 13.70% | 4.31% | 0.75% | 12.35% | 3.70% |
2002 | 2.38% | 0.95% | $13,505 | -$622 | -23.68% | -14.20% | 16.67% | 25.57% | 3.75% | 1.65% |
2003 | 1.88% | 20.76% | $15,594 | -$636 | 25.92% | 37.19% | 2.68% | 19.89% | 35.66% | 1.04% |
2004 | 3.26% | 12.21% | $16,791 | -$653 | 7.20% | 23.55% | 7.12% | 4.65% | 30.76% | 1.32% |
2005 | 3.42% | 8.28% | $17,467 | -$675 | 5.09% | 6.07% | 6.61% | 17.76% | 11.89% | 3.14% |
2006 | 2.54% | 13.79% | $19,138 | -$697 | 9.01% | 19.24% | 1.74% | 22.55% | 35.07% | 4.82% |
2007 | 4.08% | 7.06% | $19,751 | -$717 | 12.56% | -7.07% | 9.24% | 30.45% | -16.46% | 4.56% |
2008 | 0.09% | -11.75% | $16,739 | -$744 | -38.32% | -32.05% | 22.51% | 4.92% | -37.05% | 1.53% |
2009 | 2.72% | 17.67% | $18,846 | -$742 | 36.29% | 30.34% | -12.06% | 24.03% | 29.58% | 0.16% |
2010 | 1.50% | 18.62% | $21,527 | -$754 | 16.96% | 24.82% | 8.93% | 29.27% | 28.30% | 0.14% |
2011 | 2.96% | 9.48% | $22,762 | -$778 | 1.71% | -4.16% | 29.28% | 9.57% | 8.47% | 0.07% |
2012 | 1.74% | 11.16% | $24,487 | -$794 | 16.89% | 18.56% | 3.46% | 6.60% | 17.53% | 0.08% |
2013 | 1.50% | 6.71% | $25,301 | -$805 | 32.16% | 36.41% | -13.03% | -28.33% | 2.31% | 0.05% |
2014 | 0.76% | 14.25% | $28,041 | -$818 | 13.47% | 10.39% | 25.27% | -2.19% | 30.13% | 0.03% |
2015 | 0.73% | -2.22% | $26,618 | -$819 | 3.17% | -4.77% | -1.54% | -10.67% | 2.22% | 0.05% |
2016 | 2.07% | 8.89% | $28,148 | -$830 | 5.99% | 24.65% | 1.21% | 8.03% | 8.34% | 0.30% |
2017 | 2.11% | 13.08% | $30,937 | -$847 | 27.65% | 11.67% | 8.59% | 12.81% | 4.83% | 0.88% |
2018 | 1.91% | -4.62% | $28,674 | -$868 | -3.46% | -12.34% | -1.90% | -1.94% | -6.11% | 1.90% |
2019 | 2.29% | 22.07% | $34,058 | -$884 | 37.08% | 22.61% | 14.13% | 17.86% | 28.78% | 2.13% |
2020 | 1.36% | 17.88% | $39,152 | -$895 | 40.01% | 5.72% | 18.29% | 24.81% | -4.78% | 0.44% |
2021 | 7.04% | 13.69% | $43,509 | -$937 | 27.10% | 27.96% | -4.73% | -4.15% | 40.19% | 0.04% |
Metric | Golden Ratio With 5% Annual Distribution |
---|---|
Arithmetic Mean (monthly) | 0.79% |
Arithmetic Mean (annualized) | 9.86% |
Geometric Mean (monthly) | 0.76% |
Geometric Mean (annualized) | 9.46% |
Standard Deviation (monthly) | 2.48% |
Standard Deviation (annualized) | 8.58% |
Downside Deviation (monthly) | 1.55% |
Maximum Drawdown | -24.23% |
Stock Market Correlation | 0.82 |
Beta(*) | 0.46 |
Alpha (annualized) | 4.24% |
R2 | 66.65% |
Sharpe Ratio | 0.84 |
Sortino Ratio | 1.28 |
Treynor Ratio (%) | 15.64 |
Calmar Ratio | 1.97 |
Active Return | -1.16% |
Tracking Error | 9.59% |
Information Ratio | -0.12 |
Skewness | -0.96 |
Excess Kurtosis | 4.26 |
Historical Value-at-Risk (5%) | 3.20% |
Analytical Value-at-Risk (5%) | 3.29% |
Conditional Value-at-Risk (5%) | 5.21% |
Upside Capture Ratio (%) | 52.99 |
Downside Capture Ratio (%) | 37.30 |
Safe Withdrawal Rate | 8.05% |
Perpetual Withdrawal Rate | 6.50% |
Positive Periods | 231 out of 336 (68.75%) |
Gain/Loss Ratio | 1.03 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Golden Ratio With 5% Annual Distribution |
---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -1.86% |
Russian Debt Default | Jul 1998 | Oct 1998 | -9.45% |
Dotcom Crash | Mar 2000 | Oct 2002 | -6.88% |
Subprime Crisis | Nov 2007 | Mar 2009 | -24.23% |
COVID-19 Start | Jan 2020 | Mar 2020 | -9.05% |
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 | -24.23% |
2 | Jul 1998 | Aug 1998 | 2 months | Dec 1998 | 4 months | 6 months | -9.45% |
3 | Feb 2020 | Mar 2020 | 2 months | Jun 2020 | 3 months | 5 months | -9.05% |
4 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -7.43% |
5 | Jun 2002 | Jul 2002 | 2 months | May 2003 | 10 months | 1 year | -6.88% |
6 | Feb 2015 | Sep 2015 | 8 months | Mar 2016 | 6 months | 1 year 2 months | -6.71% |
7 | Feb 2001 | Mar 2001 | 2 months | Dec 2001 | 9 months | 11 months | -6.13% |
8 | Aug 2016 | Nov 2016 | 4 months | Apr 2017 | 5 months | 9 months | -5.91% |
9 | Apr 2004 | Apr 2004 | 1 month | Oct 2004 | 6 months | 7 months | -5.78% |
10 | Feb 1994 | Jun 1994 | 5 months | Mar 1995 | 9 months | 1 year 2 months | -5.71% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
US Large Cap Growth | 11.81% | 15.97% | 42.21% | -38.32% | -53.58% | 0.64 | 0.97 | 0.96 |
US Small Cap Value | 11.00% | 18.30% | 37.19% | -32.05% | -56.13% | 0.54 | 0.78 | 0.88 |
Long Term Treasury | 6.75% | 10.36% | 30.09% | -13.03% | -18.92% | 0.47 | 0.77 | -0.22 |
Gold | 5.38% | 15.59% | 30.45% | -28.33% | -42.91% | 0.27 | 0.43 | 0.04 |
REIT | 9.99% | 19.13% | 40.19% | -37.05% | -68.28% | 0.48 | 0.70 | 0.60 |
Cash | 2.27% | 0.61% | 5.99% | 0.03% | 0.00% | N/A | N/A | -0.02 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
US Large Cap Growth | 10.69% | 27.10% | 27.10% | 34.62% | 24.62% | 19.14% |
US Small Cap Value | 6.34% | 27.96% | 27.96% | 18.37% | 10.18% | 13.15% |
Long Term Treasury | 2.72% | -4.73% | -4.73% | 8.75% | 6.50% | 4.41% |
Gold | 4.10% | -4.15% | -4.15% | 12.13% | 9.30% | 1.18% |
REIT | 14.86% | 40.19% | 40.19% | 19.79% | 11.09% | 11.36% |
Cash | 0.01% | 0.04% | 0.04% | 0.87% | 1.08% | 0.59% |
Trailing returns as of last calendar month ending December 2021 |
Name | US Large Cap Growth | US Small Cap Value | Long Term Treasury | Gold | REIT | Cash | Golden Ratio With 5% Annual Distribution |
---|---|---|---|---|---|---|---|
US Large Cap Growth | 1.00 | 0.75 | -0.17 | 0.04 | 0.50 | -0.03 | 0.77 |
US Small Cap Value | 0.75 | 1.00 | -0.27 | 0.04 | 0.72 | -0.02 | 0.80 |
Long Term Treasury | -0.17 | -0.27 | 1.00 | 0.20 | 0.02 | 0.05 | 0.21 |
Gold | 0.04 | 0.04 | 0.20 | 1.00 | 0.12 | -0.04 | 0.42 |
REIT | 0.50 | 0.72 | 0.02 | 0.12 | 1.00 | -0.04 | 0.75 |
Cash | -0.03 | -0.02 | 0.05 | -0.04 | -0.04 | 1.00 | -0.02 |
Name | Golden Ratio With 5% Annual Distribution |
---|---|
US Large Cap Growth | $17,064 |
US Small Cap Value | $13,686 |
Long Term Treasury | $9,954 |
Gold | $5,781 |
REIT | $6,447 |
Cash | $573 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | Golden Ratio With 5% Annual Distribution |
---|---|
US Large Cap Growth | 29.72% |
US Small Cap Value | 35.40% |
Long Term Treasury | 6.38% |
Gold | 11.98% |
REIT | 16.52% |
Cash | -0.01% |
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 | 9.93% | 36.01% | -22.55% |
3 years | 9.32% | 22.66% | -3.36% |
5 years | 8.96% | 16.86% | 2.19% |
7 years | 8.87% | 13.07% | 4.61% |
10 years | 9.03% | 11.31% | 5.16% |
15 years | 8.86% | 9.70% | 7.17% |