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 |
---|---|
Global ex-US Stock Market | 44.00% |
US Stock Market | 56.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
Long Term Treasury | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
Global ex-US Stock Market | 24.00% |
Long Term Treasury | 50.00% |
US Stock Market | 26.00% |
Save asset allocation » |
Portfolio | Initial Balance | Final Balance | CAGR | TWRR | MWRR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $1,573,580 | 16.04% | 9.23% | 8.12% | 14.86% | 36.05% | -40.15% | -54.33% (-52.87%) | 0.46 | 0.65 | 0.93 |
Portfolio 2 | $10,000 | $1,308,233 | 15.41% | 8.09% | 7.24% | 10.16% | 30.87% | -13.03% | -16.68% (-14.93%) | 0.50 | 0.86 | -0.08 |
Portfolio 3 | $10,000 | $1,646,351 | 16.20% | 9.25% | 8.33% | 8.64% | 34.43% | -8.96% | -22.84% (-20.70%) | 0.70 | 1.08 | 0.73 |
* The number in parentheses shows the calculated value taking into account the periodic contributions. |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 8.98% | 26.59% | 12.45% | 8.79% | 9.73% | 9.23% | 11.54% | 11.67% |
Portfolio 2 | -4.44% | 14.13% | 6.73% | 3.91% | 6.76% | 8.09% | 10.40% | 11.50% |
Portfolio 3 | 2.16% | 20.18% | 9.62% | 6.32% | 8.51% | 9.25% | 6.36% | 6.90% |
Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows. |
Year | Inflation | Cashflow | Portfolio 1 | Portfolio 2 | Portfolio 3 | Global ex-US Stock Market | US Stock Market | Long Term Treasury | |||
---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | ||||||
1986 | 1.10% | $6,017 | 36.05% | $20,157 | 30.87% | $19,465 | 34.43% | $19,930 | 63.38% | 14.57% | 30.87% |
1987 | 4.43% | $6,237 | 14.88% | $28,961 | -2.92% | $25,190 | 6.53% | $27,250 | 30.48% | 2.61% | -2.92% |
1988 | 4.42% | $6,492 | 20.99% | $41,964 | 9.15% | $34,237 | 15.24% | $38,243 | 25.66% | 17.32% | 9.15% |
1989 | 4.65% | $6,805 | 21.40% | $58,355 | 17.93% | $47,684 | 19.36% | $53,005 | 12.85% | 28.12% | 17.93% |
1990 | 6.11% | $7,172 | -14.31% | $56,934 | 5.78% | $58,165 | -4.64% | $57,874 | -24.79% | -6.08% | 5.78% |
1991 | 3.06% | $7,476 | 22.31% | $77,687 | 17.43% | $76,593 | 19.41% | $77,259 | 9.48% | 32.39% | 17.43% |
1992 | 2.90% | $7,703 | -1.41% | $84,488 | 7.41% | $90,435 | 2.52% | $87,223 | -14.79% | 9.11% | 7.41% |
1993 | 2.75% | $7,930 | 19.12% | $108,972 | 16.78% | $113,897 | 18.34% | $111,523 | 29.92% | 10.62% | 16.78% |
1994 | 2.67% | $8,137 | 4.20% | $121,654 | -7.04% | $113,937 | -1.22% | $118,239 | 9.76% | -0.17% | -7.04% |
1995 | 2.54% | $8,365 | 21.79% | $157,405 | 30.09% | $157,663 | 25.31% | $157,488 | 3.98% | 35.79% | 30.09% |
1996 | 3.32% | $8,610 | 13.80% | $188,247 | -1.26% | $164,637 | 5.94% | $175,875 | 4.68% | 20.96% | -1.26% |
1997 | 1.70% | $8,812 | 17.02% | $229,594 | 13.90% | $197,162 | 14.82% | $211,386 | -0.77% | 30.99% | 13.90% |
1998 | 1.61% | $8,948 | 19.89% | $285,102 | 13.05% | $232,367 | 16.32% | $255,509 | 15.60% | 23.26% | 13.05% |
1999 | 2.68% | $9,144 | 26.50% | $371,330 | -8.66% | $221,098 | 9.04% | $288,435 | 29.92% | 23.81% | -8.66% |
2000 | 3.39% | $9,453 | -12.79% | $332,569 | 19.72% | $275,013 | 3.36% | $307,706 | -15.61% | -10.57% | 19.72% |
2001 | 1.55% | $9,720 | -15.01% | $292,056 | 4.31% | $296,685 | -5.53% | $300,271 | -20.15% | -10.97% | 4.31% |
2002 | 2.38% | $9,874 | -18.37% | $247,435 | 16.67% | $356,910 | -0.73% | $307,997 | -15.08% | -20.96% | 16.67% |
2003 | 1.88% | $10,098 | 35.31% | $347,101 | 2.68% | $376,623 | 19.17% | $378,302 | 40.34% | 31.35% | 2.68% |
2004 | 3.26% | $10,369 | 16.18% | $414,802 | 7.12% | $414,197 | 11.81% | $434,163 | 20.84% | 12.52% | 7.12% |
2005 | 3.42% | $10,721 | 10.20% | $468,672 | 6.61% | $452,475 | 8.59% | $482,722 | 15.57% | 5.98% | 6.61% |
2006 | 2.54% | $11,066 | 20.41% | $576,462 | 1.74% | $471,761 | 11.30% | $549,056 | 26.64% | 15.51% | 1.74% |
2007 | 4.08% | $11,382 | 9.90% | $645,159 | 9.24% | $527,449 | 9.77% | $614,564 | 15.52% | 5.49% | 9.24% |
2008 | 0.09% | $11,819 | -40.15% | $395,055 | 22.51% | $660,040 | -8.96% | $571,067 | -44.10% | -37.04% | 22.51% |
2009 | 2.72% | $11,777 | 32.23% | $536,863 | -12.06% | $591,855 | 10.25% | $642,572 | 36.73% | 28.70% | -12.06% |
2010 | 1.50% | $11,970 | 14.47% | $628,097 | 8.93% | $656,594 | 11.58% | $729,641 | 11.12% | 17.09% | 8.93% |
2011 | 2.96% | $12,348 | -5.87% | $602,881 | 29.28% | $863,387 | 11.39% | $825,832 | -14.56% | 0.96% | 29.28% |
2012 | 1.74% | $12,604 | 17.08% | $719,256 | 3.46% | $905,976 | 10.31% | $924,031 | 18.14% | 16.25% | 3.46% |
2013 | 1.50% | $12,788 | 25.30% | $915,452 | -13.03% | $799,905 | 5.77% | $990,496 | 15.04% | 33.35% | -13.03% |
2014 | 0.76% | $12,996 | 5.10% | $975,285 | 25.27% | $1,016,403 | 14.85% | $1,151,351 | -4.24% | 12.43% | 25.27% |
2015 | 0.73% | $13,011 | -1.76% | $970,755 | -1.54% | $1,013,566 | -1.74% | $1,143,983 | -4.38% | 0.29% | -1.54% |
2016 | 2.07% | $13,175 | 9.07% | $1,072,739 | 1.21% | $1,038,015 | 4.98% | $1,213,983 | 4.65% | 12.53% | 1.21% |
2017 | 2.11% | $13,456 | 23.84% | $1,343,281 | 8.59% | $1,141,119 | 16.34% | $1,426,756 | 27.40% | 21.05% | 8.59% |
2018 | 1.91% | $13,785 | -9.30% | $1,230,862 | -1.90% | $1,133,588 | -5.79% | $1,357,523 | -14.44% | -5.26% | -1.90% |
2019 | 2.29% | $14,034 | 26.59% | $1,573,580 | 14.13% | $1,308,233 | 20.18% | $1,646,351 | 21.43% | 30.65% | 14.13% |
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Arithmetic Mean (monthly) | 0.83% | 0.69% | 0.77% |
Arithmetic Mean (annualized) | 10.45% | 8.64% | 9.65% |
Geometric Mean (monthly) | 0.74% | 0.65% | 0.74% |
Geometric Mean (annualized) | 9.23% | 8.09% | 9.25% |
Volatility (monthly) | 4.29% | 2.93% | 2.49% |
Volatility (annualized) | 14.86% | 10.16% | 8.64% |
Downside Deviation (monthly) | 2.91% | 1.61% | 1.49% |
Max. Drawdown | -54.33% | -16.68% | -22.84% |
US Market Correlation | 0.93 | -0.08 | 0.73 |
Beta(*) | 0.92 | -0.06 | 0.42 |
Alpha (annualized) | -0.27% | 8.95% | 4.55% |
R2 | 86.20% | 0.71% | 53.47% |
Sharpe Ratio | 0.46 | 0.50 | 0.70 |
Sortino Ratio | 0.65 | 0.86 | 1.08 |
Treynor Ratio (%) | 7.37 | -89.25 | 14.35 |
Calmar Ratio | 0.89 | 0.78 | 1.31 |
Active Return | -1.23% | -2.38% | -1.22% |
Tracking Error | 5.65% | 18.80% | 10.49% |
Information Ratio | -0.22 | -0.13 | -0.12 |
Skewness | -0.77 | 0.47 | -0.36 |
Excess Kurtosis | 2.20 | 1.83 | 2.42 |
Historical Value-at-Risk (5%) | -7.13% | -3.70% | -3.42% |
Analytical Value-at-Risk (5%) | -6.22% | -4.13% | -3.33% |
Conditional Value-at-Risk (5%) | -10.10% | -5.14% | -5.09% |
Upside Capture Ratio (%) | 88.34 | 15.01 | 50.32 |
Downside Capture Ratio (%) | 90.75 | -24.46 | 32.69 |
Safe Withdrawal Rate | 9.05% | 7.50% | 8.71% |
Perpetual Withdrawal Rate | 6.12% | 5.13% | 6.14% |
Positive Periods | 263 out of 408 (64.46%) | 246 out of 408 (60.29%) | 279 out of 408 (68.38%) |
Gain/Loss Ratio | 0.92 | 1.24 | 1.04 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|
Black Monday Period | Sep 1987 | Nov 1987 | -21.83% | -3.72% | -11.80% |
Asian Crisis | Jul 1997 | Jan 1998 | -6.05% | -2.57% | -4.35% |
Russian Debt Default | Jul 1998 | Oct 1998 | -15.47% | -1.69% | -5.84% |
Dotcom Crash | Mar 2000 | Oct 2002 | -44.81% | -8.18% | -11.09% |
Subprime Crisis | Nov 2007 | Mar 2009 | -54.33% | -9.39% | -22.84% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2013 | 4 years 1 month | 5 years 5 months | -54.33% |
2 | Apr 2000 | Sep 2002 | 2 years 6 months | Nov 2005 | 3 years 2 months | 5 years 8 months | -44.81% |
3 | Sep 1987 | Nov 1987 | 3 months | Jan 1989 | 1 year 2 months | 1 year 5 months | -21.83% |
4 | Jan 1990 | Sep 1990 | 9 months | Oct 1991 | 1 year 1 month | 1 year 10 months | -21.12% |
5 | May 1998 | Aug 1998 | 4 months | Dec 1998 | 4 months | 8 months | -15.78% |
6 | Feb 2018 | Dec 2018 | 11 months | Jun 2019 | 6 months | 1 year 5 months | -13.97% |
7 | Jun 2015 | Feb 2016 | 9 months | Dec 2016 | 10 months | 1 year 7 months | -13.17% |
8 | Jan 1992 | Mar 1992 | 3 months | Feb 1993 | 11 months | 1 year 2 months | -6.26% |
9 | Sep 1986 | Oct 1986 | 2 months | Jan 1987 | 3 months | 5 months | -6.19% |
10 | Aug 1997 | Oct 1997 | 3 months | Feb 1998 | 4 months | 7 months | -6.05% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Aug 2012 | Dec 2013 | 1 year 5 months | Nov 2014 | 11 months | 2 years 4 months | -16.68% |
2 | Aug 2016 | Oct 2018 | 2 years 3 months | May 2019 | 7 months | 2 years 10 months | -14.78% |
3 | Feb 2015 | Jun 2015 | 5 months | Jun 2016 | 1 year | 1 year 5 months | -12.89% |
4 | Mar 1987 | Sep 1987 | 7 months | Feb 1988 | 5 months | 1 year | -12.25% |
5 | Jan 2009 | Dec 2009 | 1 year | Aug 2010 | 8 months | 1 year 8 months | -12.06% |
6 | Sep 2010 | Jan 2011 | 5 months | Aug 2011 | 7 months | 1 year | -12.05% |
7 | Feb 1994 | Oct 1994 | 9 months | May 1995 | 7 months | 1 year 4 months | -11.07% |
8 | Jun 2003 | Jul 2003 | 2 months | Sep 2004 | 1 year 2 months | 1 year 4 months | -9.93% |
9 | Oct 1998 | Dec 1999 | 1 year 3 months | Aug 2000 | 8 months | 1 year 11 months | -9.56% |
10 | Jan 1996 | May 1996 | 5 months | Nov 1996 | 6 months | 11 months | -8.93% |
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 | Nov 2009 | 9 months | 2 years 1 month | -22.84% |
2 | Jan 1990 | Sep 1990 | 9 months | Feb 1991 | 5 months | 1 year 2 months | -12.42% |
3 | Sep 1987 | Nov 1987 | 3 months | Sep 1988 | 10 months | 1 year 1 month | -11.80% |
4 | Sep 2000 | Jul 2002 | 1 year 11 months | Sep 2003 | 1 year 2 months | 3 years 1 month | -11.09% |
5 | Feb 2018 | Oct 2018 | 9 months | Mar 2019 | 5 months | 1 year 2 months | -7.35% |
6 | Aug 2016 | Nov 2016 | 4 months | May 2017 | 6 months | 10 months | -7.02% |
7 | Feb 2015 | Sep 2015 | 8 months | Jun 2016 | 9 months | 1 year 5 months | -6.60% |
8 | Feb 1994 | Nov 1994 | 10 months | Apr 1995 | 5 months | 1 year 3 months | -6.54% |
9 | Jul 1998 | Aug 1998 | 2 months | Oct 1998 | 2 months | 4 months | -5.84% |
10 | May 2013 | Aug 2013 | 4 months | Jan 2014 | 5 months | 9 months | -5.82% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
Global ex-US Stock Market | 7.03% | 17.64% | 63.38% | -44.10% | -58.50% | 0.29 | 0.43 | 0.70 |
US Stock Market | 10.46% | 14.99% | 35.79% | -37.04% | -50.89% | 0.53 | 0.75 | 1.00 |
Long Term Treasury | 8.09% | 10.16% | 30.87% | -13.03% | -16.68% | 0.50 | 0.86 | -0.08 |
Name | Global ex-US Stock Market | US Stock Market | Long Term Treasury | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|---|
Global ex-US Stock Market | 1.00 | 0.70 | -0.08 | 0.91 | -0.08 | 0.74 |
US Stock Market | 0.70 | 1.00 | -0.08 | 0.93 | -0.08 | 0.73 |
Long Term Treasury | -0.08 | -0.08 | 1.00 | -0.09 | 1.00 | 0.52 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Global ex-US Stock Market | $369,727 | $258,708 | |
US Stock Market | $849,558 | $472,209 | |
Long Term Treasury | $953,938 | $561,139 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Global ex-US Stock Market | 47.68% | 36.38% | |
US Stock Market | 52.32% | 33.08% | |
Long Term Treasury | 100.00% | 30.54% |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 9.86% | 59.45% | -46.90% | 7.98% | 32.53% | -13.45% | 8.98% | 42.41% | -20.06% |
3 years | 8.48% | 25.13% | -17.49% | 7.72% | 18.01% | -1.38% | 8.56% | 19.14% | -3.20% |
5 years | 8.02% | 21.10% | -5.18% | 7.88% | 14.47% | 1.79% | 8.52% | 14.14% | 2.22% |
7 years | 7.94% | 17.29% | -0.87% | 7.87% | 12.23% | 2.19% | 8.55% | 12.97% | 4.68% |
10 years | 7.67% | 14.21% | -1.47% | 7.86% | 11.91% | 4.01% | 8.48% | 12.91% | 4.13% |
15 years | 7.18% | 13.16% | 3.36% | 7.79% | 10.43% | 5.22% | 8.23% | 11.90% | 6.33% |