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 | 35.00% |
US Mid Cap | 15.00% |
US Small Cap | 15.00% |
Global ex-US Stock Market | 12.50% |
International ex-US Small Cap | 12.50% |
REIT | 5.00% |
Emerging Markets | 5.00% |
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Asset Class | Allocation |
---|---|
US Large Cap | 100.00% |
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Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $97,934 | 9.56% | 14.95% | 39.96% | -39.86% | -54.75% | 0.53 | 0.76 | 0.97 |
Portfolio 2 | $10,000 | $111,062 | 10.11% | 14.55% | 37.45% | -37.02% | -50.97% | 0.58 | 0.84 | 0.99 |
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 | |
Portfolio 1 | 8.43% | 27.47% | 27.47% | 12.02% | 8.89% | 10.84% | 9.56% | 11.76% | 11.68% |
Portfolio 2 | 9.03% | 31.33% | 31.33% | 15.12% | 11.55% | 13.40% | 10.11% | 12.10% | 11.98% |
Trailing return and volatility are as of last calendar month ending December 2019 |
Year | Inflation | Portfolio 1 | Portfolio 2 | US Large Cap | US Mid Cap | US Small Cap | Global ex-US Stock Market | International ex-US Small Cap | REIT | Emerging Markets | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | |||||||||
1995 | 2.54% | 23.68% | $12,368 | 37.45% | $13,745 | 37.45% | 33.22% | 28.74% | 3.98% | 1.16% | 12.13% | 0.56% |
1996 | 3.32% | 16.76% | $14,440 | 22.88% | $16,889 | 22.88% | 18.97% | 18.12% | 4.68% | 0.95% | 33.84% | 15.83% |
1997 | 1.70% | 16.32% | $16,796 | 33.19% | $22,494 | 33.19% | 25.66% | 24.59% | -0.77% | -22.72% | 18.77% | -16.82% |
1998 | 1.61% | 12.00% | $18,811 | 28.62% | $28,932 | 28.62% | 9.90% | -2.61% | 15.60% | 5.27% | -16.32% | -18.12% |
1999 | 2.68% | 22.14% | $22,975 | 21.07% | $35,027 | 21.07% | 15.32% | 23.13% | 29.92% | 19.04% | -4.04% | 61.57% |
2000 | 3.39% | -3.25% | $22,228 | -9.06% | $31,855 | -9.06% | 18.10% | -2.67% | -15.61% | -3.08% | 26.35% | -27.56% |
2001 | 1.55% | -6.44% | $20,797 | -12.02% | $28,025 | -12.02% | -0.50% | 3.10% | -20.15% | -4.59% | 12.35% | -2.88% |
2002 | 2.38% | -14.29% | $17,825 | -22.15% | $21,819 | -22.15% | -14.61% | -20.02% | -15.08% | 5.79% | 3.75% | -7.43% |
2003 | 1.88% | 39.96% | $24,948 | 28.50% | $28,038 | 28.50% | 34.14% | 45.63% | 40.34% | 66.48% | 35.66% | 57.65% |
2004 | 3.26% | 19.60% | $29,836 | 10.74% | $31,049 | 10.74% | 20.35% | 19.90% | 20.84% | 34.80% | 30.76% | 26.12% |
2005 | 3.42% | 11.91% | $33,390 | 4.77% | $32,532 | 4.77% | 13.93% | 7.36% | 15.57% | 23.23% | 11.89% | 32.05% |
2006 | 2.54% | 19.96% | $40,057 | 15.64% | $37,620 | 15.64% | 13.60% | 15.66% | 26.64% | 28.39% | 35.07% | 29.39% |
2007 | 4.08% | 6.39% | $42,617 | 5.39% | $39,646 | 5.39% | 6.02% | 1.16% | 15.52% | 2.95% | -16.46% | 38.90% |
2008 | 0.09% | -39.86% | $25,631 | -37.02% | $24,969 | -37.02% | -41.82% | -36.07% | -44.10% | -41.68% | -37.05% | -52.81% |
2009 | 2.72% | 36.53% | $34,994 | 26.49% | $31,582 | 26.49% | 40.22% | 36.12% | 36.73% | 47.52% | 29.58% | 75.98% |
2010 | 1.50% | 20.15% | $42,044 | 14.91% | $36,292 | 14.91% | 25.46% | 27.72% | 11.12% | 25.60% | 28.30% | 18.86% |
2011 | 2.96% | -4.84% | $40,010 | 1.97% | $37,006 | 1.97% | -2.11% | -2.80% | -14.56% | -19.63% | 8.47% | -18.78% |
2012 | 1.74% | 17.28% | $46,924 | 15.82% | $42,862 | 15.82% | 15.80% | 18.04% | 18.14% | 20.73% | 17.53% | 18.64% |
2013 | 1.50% | 25.97% | $59,108 | 32.18% | $56,653 | 32.18% | 35.00% | 37.62% | 15.04% | 16.60% | 2.31% | -5.19% |
2014 | 0.76% | 8.24% | $63,978 | 13.51% | $64,306 | 13.51% | 13.60% | 7.37% | -4.24% | -5.06% | 30.13% | 0.42% |
2015 | 0.73% | -1.56% | $62,982 | 1.25% | $65,111 | 1.25% | -1.45% | -3.78% | -4.38% | -0.01% | 2.22% | -15.47% |
2016 | 2.07% | 10.63% | $69,676 | 11.82% | $72,805 | 11.82% | 11.07% | 18.17% | 4.65% | 4.26% | 8.34% | 11.50% |
2017 | 2.11% | 21.92% | $84,946 | 21.67% | $88,580 | 21.67% | 19.12% | 16.10% | 27.40% | 30.60% | 4.83% | 31.15% |
2018 | 1.91% | -9.56% | $76,829 | -4.53% | $84,569 | -4.53% | -9.34% | -9.43% | -14.44% | -18.47% | -6.11% | -14.71% |
2019 | 2.29% | 27.47% | $97,934 | 31.33% | $111,062 | 31.33% | 30.86% | 27.22% | 21.43% | 21.36% | 28.78% | 20.13% |
Metric | Portfolio 1 | Portfolio 2 |
---|---|---|
Arithmetic Mean (monthly) | 0.86% | 0.89% |
Arithmetic Mean (annualized) | 10.80% | 11.28% |
Geometric Mean (monthly) | 0.76% | 0.81% |
Geometric Mean (annualized) | 9.56% | 10.11% |
Standard Deviation (monthly) | 4.31% | 4.20% |
Standard Deviation (annualized) | 14.95% | 14.55% |
Downside Deviation (monthly) | 2.95% | 2.81% |
Maximum Drawdown | -54.75% | -50.97% |
Stock Market Correlation | 0.97 | 0.99 |
Beta(*) | 0.97 | 0.96 |
Alpha (annualized) | -0.16% | 0.32% |
R2 | 93.18% | 97.74% |
Sharpe Ratio | 0.53 | 0.58 |
Sortino Ratio | 0.76 | 0.84 |
Treynor Ratio (%) | 8.24 | 8.72 |
Calmar Ratio | 0.85 | 1.12 |
Active Return | -0.56% | -0.01% |
Tracking Error | 3.93% | 2.25% |
Information Ratio | -0.14 | -0.01 |
Skewness | -0.86 | -0.72 |
Excess Kurtosis | 2.61 | 1.28 |
Historical Value-at-Risk (5%) | 7.10% | 7.05% |
Analytical Value-at-Risk (5%) | 6.24% | 6.01% |
Conditional Value-at-Risk (5%) | 10.35% | 9.52% |
Upside Capture Ratio (%) | 95.31 | 96.15 |
Downside Capture Ratio (%) | 96.77 | 95.07 |
Safe Withdrawal Rate | 9.42% | 10.45% |
Perpetual Withdrawal Rate | 6.73% | 7.20% |
Positive Periods | 195 out of 300 (65.00%) | 201 out of 300 (67.00%) |
Gain/Loss Ratio | 0.91 | 0.84 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 |
---|---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -5.07% | -5.61% |
Russian Debt Default | Jul 1998 | Oct 1998 | -17.40% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -30.78% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -54.75% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Apr 2011 | 2 years 2 months | 3 years 6 months | -54.75% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Dec 2003 | 1 year 3 months | 3 years 4 months | -30.78% |
3 | May 2011 | Sep 2011 | 5 months | Dec 2012 | 1 year 3 months | 1 year 8 months | -21.16% |
4 | May 1998 | Aug 1998 | 4 months | Mar 1999 | 7 months | 11 months | -19.09% |
5 | Sep 2018 | Dec 2018 | 4 months | Apr 2019 | 4 months | 8 months | -14.22% |
6 | Jun 2015 | Feb 2016 | 9 months | Jul 2016 | 5 months | 1 year 2 months | -12.03% |
7 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -5.99% |
8 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -5.91% |
9 | Jun 1996 | Jul 1996 | 2 months | Sep 1996 | 2 months | 4 months | -5.77% |
10 | Oct 1997 | Oct 1997 | 1 month | Feb 1998 | 4 months | 5 months | -5.07% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
3 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
4 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
5 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
6 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
7 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
8 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.25% |
9 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
10 | Aug 1997 | Aug 1997 | 1 month | Nov 1997 | 3 months | 4 months | -5.61% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
US Large Cap | 10.11% | 14.55% | 37.45% | -37.02% | -50.97% | 0.58 | 0.84 | 0.99 |
US Mid Cap | 11.57% | 16.29% | 40.22% | -41.82% | -54.14% | 0.61 | 0.90 | 0.95 |
US Small Cap | 10.25% | 18.73% | 45.63% | -36.07% | -53.95% | 0.49 | 0.72 | 0.90 |
Global ex-US Stock Market | 4.93% | 16.56% | 40.34% | -44.10% | -58.50% | 0.23 | 0.33 | 0.84 |
International ex-US Small Cap | 7.08% | 16.54% | 66.48% | -41.68% | -57.69% | 0.36 | 0.53 | 0.70 |
REIT | 10.37% | 19.14% | 35.66% | -37.05% | -68.28% | 0.49 | 0.72 | 0.56 |
Emerging Markets | 6.22% | 22.55% | 75.98% | -52.81% | -62.70% | 0.28 | 0.40 | 0.77 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
US Large Cap | 9.03% | 31.33% | 31.33% | 15.12% | 11.55% | 13.40% |
US Mid Cap | 6.83% | 30.86% | 30.86% | 12.22% | 9.12% | 12.93% |
US Small Cap | 8.11% | 27.22% | 27.22% | 10.19% | 8.75% | 12.66% |
Global ex-US Stock Market | 8.99% | 21.43% | 21.43% | 9.79% | 5.78% | 5.05% |
International ex-US Small Cap | 11.12% | 21.36% | 21.36% | 8.92% | 6.14% | 6.16% |
REIT | 0.58% | 28.78% | 28.78% | 8.22% | 7.02% | 11.82% |
Emerging Markets | 11.26% | 20.13% | 20.13% | 10.35% | 4.84% | 3.28% |
Trailing returns as of last calendar month ending December 2019 |
Name | US Large Cap | US Mid Cap | US Small Cap | Global ex-US Stock Market | International ex-US Small Cap | REIT | Emerging Markets | Portfolio 1 | Portfolio 2 |
---|---|---|---|---|---|---|---|---|---|
US Large Cap | 1.00 | 0.91 | 0.83 | 0.83 | 0.68 | 0.54 | 0.74 | 0.94 | 1.00 |
US Mid Cap | 0.91 | 1.00 | 0.93 | 0.83 | 0.74 | 0.62 | 0.78 | 0.96 | 0.91 |
US Small Cap | 0.83 | 0.93 | 1.00 | 0.77 | 0.70 | 0.63 | 0.74 | 0.92 | 0.83 |
Global ex-US Stock Market | 0.83 | 0.83 | 0.77 | 1.00 | 0.89 | 0.55 | 0.88 | 0.92 | 0.83 |
International ex-US Small Cap | 0.68 | 0.74 | 0.70 | 0.89 | 1.00 | 0.55 | 0.79 | 0.84 | 0.68 |
REIT | 0.54 | 0.62 | 0.63 | 0.55 | 0.55 | 1.00 | 0.49 | 0.66 | 0.54 |
Emerging Markets | 0.74 | 0.78 | 0.74 | 0.88 | 0.79 | 0.49 | 1.00 | 0.85 | 0.74 |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Large Cap | $34,082 | $101,062 |
US Mid Cap | $15,544 | |
US Small Cap | $14,138 | |
Global ex-US Stock Market | $6,709 | |
International ex-US Small Cap | $8,995 | |
REIT | $4,750 | |
Emerging Markets | $3,716 | |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Large Cap | 32.06% | 100.00% |
US Mid Cap | 15.73% | |
US Small Cap | 17.30% | |
Global ex-US Stock Market | 12.74% | |
International ex-US Small Cap | 11.55% | |
REIT | 4.20% | |
Emerging Markets | 6.42% | |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Portfolio 1 | Portfolio 2 | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 10.52% | 67.24% | -47.20% | 10.80% | 53.61% | -43.32% |
3 years | 9.10% | 28.98% | -16.22% | 9.04% | 32.68% | -16.14% |
5 years | 8.49% | 23.85% | -4.59% | 7.62% | 28.49% | -6.73% |
7 years | 8.23% | 16.18% | 0.17% | 6.82% | 17.13% | -3.94% |
10 years | 8.22% | 15.34% | 1.28% | 6.45% | 16.52% | -3.51% |
15 years | 8.18% | 11.47% | 6.37% | 6.37% | 10.39% | 3.64% |