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 | 60.00% |
Intermediate Term Treasury | 40.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Stock Market | 60.00% |
Long Term Treasury | 20.00% |
Cash | 20.00% |
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 | $1,000,000 | $24,884,144 | 7.95% | 10.13% | 10.86% | 9.51% | 29.51% | -19.50% | -30.29% (-32.01%) | 0.59 | 0.89 | 0.97 |
Portfolio 2 | $1,000,000 | $22,368,135 | 7.68% | 9.94% | 10.69% | 9.42% | 28.19% | -19.97% | -31.60% (-33.47%) | 0.58 | 0.86 | 0.97 |
* The number in parentheses shows the calculated value taking into account the periodic withdrawals. |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 5.09% | 20.67% | 9.94% | 7.73% | 9.43% | 10.13% | 7.09% | 6.90% |
Portfolio 2 | 4.48% | 21.67% | 10.56% | 7.92% | 9.75% | 9.94% | 7.00% | 6.94% |
Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows. |
Year | Inflation | Cashflow | Portfolio 1 | Portfolio 2 | US Stock Market | Intermediate Term Treasury | Long Term Treasury | Cash | ||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | |||||||
1978 | 9.02% | -$43,607 | 5.78% | $1,014,236 | 6.53% | $1,021,701 | 8.45% | 1.15% | -1.55% | 7.45% |
1979 | 13.29% | -$49,404 | 16.48% | $1,131,981 | 15.98% | $1,135,520 | 24.25% | 5.35% | -2.10% | 10.49% |
1980 | 12.52% | -$55,588 | 21.07% | $1,314,870 | 21.34% | $1,322,214 | 33.15% | 2.88% | -4.99% | 12.15% |
1981 | 8.92% | -$60,548 | 1.22% | $1,270,383 | 0.74% | $1,271,413 | -4.15% | 9.41% | 0.65% | 15.29% |
1982 | 3.83% | -$62,866 | 24.97% | $1,524,692 | 23.89% | $1,512,247 | 20.50% | 31.13% | 47.10% | 11.45% |
1983 | 3.79% | -$65,250 | 15.50% | $1,695,746 | 14.93% | $1,672,850 | 22.66% | 5.22% | -1.29% | 9.03% |
1984 | 3.95% | -$67,826 | 7.39% | $1,753,155 | 6.72% | $1,717,481 | 2.19% | 15.01% | 16.24% | 10.17% |
1985 | 3.80% | -$70,402 | 27.78% | $2,169,770 | 27.57% | $2,120,630 | 31.27% | 22.24% | 36.90% | 7.88% |
1986 | 1.10% | -$71,175 | 15.05% | $2,425,237 | 16.30% | $2,395,074 | 14.57% | 15.10% | 30.87% | 6.28% |
1987 | 4.43% | -$74,332 | 3.63% | $2,438,907 | 3.55% | $2,405,845 | 2.61% | 1.55% | -2.92% | 5.93% |
1988 | 4.42% | -$77,617 | 12.39% | $2,663,550 | 13.59% | $2,655,081 | 17.32% | 5.26% | 9.15% | 6.80% |
1989 | 4.65% | -$81,224 | 22.69% | $3,186,575 | 22.15% | $3,162,017 | 28.12% | 14.52% | 17.93% | 8.61% |
1990 | 6.11% | -$86,183 | 0.13% | $3,104,654 | -0.82% | $3,049,811 | -6.08% | 9.46% | 5.78% | 7.89% |
1991 | 3.06% | -$88,824 | 25.83% | $3,817,899 | 23.87% | $3,688,859 | 32.39% | 15.97% | 17.43% | 5.71% |
1992 | 2.90% | -$91,401 | 8.66% | $4,057,089 | 7.72% | $3,882,206 | 9.11% | 7.78% | 7.41% | 3.57% |
1993 | 2.75% | -$93,913 | 11.01% | $4,409,730 | 10.33% | $4,189,395 | 10.62% | 11.43% | 16.78% | 3.05% |
1994 | 2.67% | -$96,425 | -1.80% | $4,234,102 | -0.63% | $4,066,650 | -0.17% | -4.33% | -7.04% | 4.20% |
1995 | 2.54% | -$98,873 | 29.51% | $5,384,771 | 28.19% | $5,114,222 | 35.79% | 20.44% | 30.09% | 5.71% |
1996 | 3.32% | -$102,158 | 13.12% | $5,989,351 | 13.16% | $5,685,268 | 20.96% | 1.92% | -1.26% | 5.17% |
1997 | 1.70% | -$103,897 | 21.95% | $7,199,929 | 22.22% | $6,844,562 | 30.99% | 8.96% | 13.90% | 5.22% |
1998 | 1.61% | -$105,572 | 18.98% | $8,461,028 | 18.25% | $7,987,923 | 23.26% | 10.61% | 13.05% | 4.97% |
1999 | 2.68% | -$108,406 | 12.33% | $9,395,757 | 12.98% | $8,916,108 | 23.81% | -3.52% | -8.66% | 4.77% |
2000 | 3.39% | -$112,078 | -1.08% | $9,182,502 | -1.54% | $8,666,819 | -10.57% | 14.03% | 19.72% | 5.99% |
2001 | 1.55% | -$113,817 | -3.30% | $8,765,874 | -4.61% | $8,153,860 | -10.97% | 7.55% | 4.31% | 3.70% |
2002 | 2.38% | -$116,522 | -7.67% | $7,976,970 | -9.45% | $7,266,984 | -20.96% | 14.15% | 16.67% | 1.65% |
2003 | 1.88% | -$118,712 | 19.20% | $9,389,745 | 19.05% | $8,532,512 | 31.35% | 2.37% | 2.68% | 1.04% |
2004 | 3.26% | -$122,577 | 8.89% | $10,101,943 | 9.24% | $9,198,207 | 12.52% | 3.40% | 7.12% | 1.32% |
2005 | 3.42% | -$126,764 | 4.62% | $10,442,053 | 5.69% | $9,594,489 | 5.98% | 2.31% | 6.61% | 3.14% |
2006 | 2.54% | -$129,984 | 10.46% | $11,404,654 | 10.55% | $10,476,533 | 15.51% | 3.14% | 1.74% | 4.82% |
2007 | 4.08% | -$135,290 | 7.47% | $12,120,889 | 6.24% | $10,994,529 | 5.49% | 9.98% | 9.24% | 4.56% |
2008 | 0.09% | -$135,413 | -19.50% | $9,621,733 | -19.97% | $8,663,005 | -37.04% | 13.32% | 22.51% | 1.53% |
2009 | 2.72% | -$139,098 | 16.21% | $11,042,723 | 14.20% | $9,753,950 | 28.70% | -1.69% | -12.06% | 0.16% |
2010 | 1.50% | -$141,179 | 13.78% | $12,422,967 | 12.71% | $10,852,401 | 17.09% | 7.35% | 8.93% | 0.14% |
2011 | 2.96% | -$145,361 | 4.83% | $12,877,246 | 6.64% | $11,427,445 | 0.96% | 9.79% | 29.28% | 0.07% |
2012 | 1.74% | -$147,892 | 10.82% | $14,122,735 | 10.60% | $12,491,427 | 16.25% | 2.67% | 3.46% | 0.08% |
2013 | 1.50% | -$150,113 | 17.57% | $16,453,641 | 15.91% | $14,328,962 | 33.35% | -3.09% | -13.03% | 0.05% |
2014 | 0.76% | -$151,248 | 9.21% | $17,816,952 | 12.40% | $15,954,004 | 12.43% | 4.32% | 25.27% | 0.03% |
2015 | 0.73% | -$152,352 | 1.03% | $17,848,411 | 0.26% | $15,842,580 | 0.29% | 1.50% | -1.54% | 0.05% |
2016 | 2.07% | -$155,512 | 8.09% | $19,137,566 | 8.03% | $16,959,293 | 12.53% | 1.19% | 1.21% | 0.30% |
2017 | 2.11% | -$158,792 | 12.91% | $21,450,206 | 14.28% | $19,222,645 | 21.05% | 1.58% | 8.59% | 0.88% |
2018 | 1.91% | -$161,825 | -2.47% | $20,759,500 | -2.81% | $18,520,570 | -5.26% | 1.00% | -1.90% | 1.90% |
2019 | 2.29% | -$165,523 | 20.67% | $24,884,144 | 21.67% | $22,368,135 | 30.65% | 6.29% | 14.13% | 2.13% |
Metric | Portfolio 1 | Portfolio 2 |
---|---|---|
Arithmetic Mean (monthly) | 0.84% | 0.83% |
Arithmetic Mean (annualized) | 10.62% | 10.42% |
Geometric Mean (monthly) | 0.81% | 0.79% |
Geometric Mean (annualized) | 10.13% | 9.94% |
Volatility (monthly) | 2.75% | 2.72% |
Volatility (annualized) | 9.51% | 9.42% |
Downside Deviation (monthly) | 1.65% | 1.65% |
Max. Drawdown | -30.29% | -31.60% |
US Market Correlation | 0.97 | 0.97 |
Beta(*) | 0.61 | 0.61 |
Alpha (annualized) | 2.71% | 2.57% |
R2 | 93.75% | 94.39% |
Sharpe Ratio | 0.59 | 0.58 |
Sortino Ratio | 0.89 | 0.86 |
Treynor Ratio (%) | 9.25 | 9.01 |
Calmar Ratio | 1.27 | 1.31 |
Active Return | -1.48% | -1.67% |
Tracking Error | 6.36% | 6.36% |
Information Ratio | -0.23 | -0.26 |
Skewness | -0.47 | -0.55 |
Excess Kurtosis | 1.64 | 1.88 |
Historical Value-at-Risk (5%) | -3.74% | -3.86% |
Analytical Value-at-Risk (5%) | -3.67% | -3.64% |
Conditional Value-at-Risk (5%) | -5.66% | -5.74% |
Upside Capture Ratio (%) | 64.76 | 64.08 |
Downside Capture Ratio (%) | 55.14 | 55.17 |
Safe Withdrawal Rate | 7.05% | 6.88% |
Perpetual Withdrawal Rate | 6.07% | 5.91% |
Positive Periods | 341 out of 504 (67.66%) | 340 out of 504 (67.46%) |
Gain/Loss Ratio | 1.06 | 1.06 |
* 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 |
---|---|---|---|---|
Black Monday Period | Sep 1987 | Nov 1987 | -17.07% | -17.29% |
Asian Crisis | Jul 1997 | Jan 1998 | -2.63% | -2.66% |
Russian Debt Default | Jul 1998 | Oct 1998 | -9.29% | -9.61% |
Dotcom Crash | Mar 2000 | Oct 2002 | -20.41% | -23.61% |
Subprime Crisis | Nov 2007 | Mar 2009 | -30.29% | -31.60% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Oct 2010 | 1 year 8 months | 3 years | -30.29% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Jan 2004 | 1 year 4 months | 3 years 5 months | -20.41% |
3 | Sep 1987 | Nov 1987 | 3 months | Jan 1989 | 1 year 2 months | 1 year 5 months | -17.07% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -9.29% |
5 | Feb 1980 | Mar 1980 | 2 months | May 1980 | 2 months | 4 months | -9.20% |
6 | Jun 1981 | Sep 1981 | 4 months | Nov 1981 | 2 months | 6 months | -8.83% |
7 | Jul 1990 | Oct 1990 | 4 months | Jan 1991 | 3 months | 7 months | -8.46% |
8 | Jun 2011 | Sep 2011 | 4 months | Jan 2012 | 4 months | 8 months | -8.29% |
9 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -7.81% |
10 | Sep 1978 | Oct 1978 | 2 months | Mar 1979 | 5 months | 7 months | -7.62% |
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 | Dec 2010 | 1 year 10 months | 3 years 2 months | -31.60% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2004 | 2 years 2 months | 4 years 3 months | -23.61% |
3 | Sep 1987 | Nov 1987 | 3 months | Jan 1989 | 1 year 2 months | 1 year 5 months | -17.29% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -9.61% |
5 | Jul 1990 | Oct 1990 | 4 months | Jan 1991 | 3 months | 7 months | -9.26% |
6 | Jun 1981 | Sep 1981 | 4 months | Nov 1981 | 2 months | 6 months | -8.71% |
7 | Feb 1980 | Mar 1980 | 2 months | May 1980 | 2 months | 4 months | -8.09% |
8 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -8.09% |
9 | Sep 1978 | Oct 1978 | 2 months | Mar 1979 | 5 months | 7 months | -7.32% |
10 | Jul 1983 | May 1984 | 11 months | Aug 1984 | 3 months | 1 year 2 months | -7.14% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 11.60% | 15.11% | 35.79% | -37.04% | -50.89% | 0.51 | 0.73 | 1.00 |
Intermediate Term Treasury | 7.11% | 5.96% | 31.13% | -4.33% | -10.70% | 0.44 | 0.68 | 0.06 |
Long Term Treasury | 8.43% | 11.06% | 47.10% | -13.03% | -23.12% | 0.38 | 0.62 | 0.04 |
Cash | 4.58% | 1.06% | 15.29% | 0.03% | 0.00% | N/A | N/A | 0.01 |
Name | US Stock Market | Intermediate Term Treasury | Long Term Treasury | Cash | Portfolio 1 | Portfolio 2 |
---|---|---|---|---|---|---|
US Stock Market | 1.00 | 0.06 | 0.04 | 0.01 | 0.97 | 0.97 |
Intermediate Term Treasury | 0.06 | 1.00 | 0.89 | 0.16 | 0.31 | 0.27 |
Long Term Treasury | 0.04 | 0.89 | 1.00 | 0.05 | 0.26 | 0.27 |
Cash | 0.01 | 0.16 | 0.05 | 1.00 | 0.05 | 0.05 |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Stock Market | $21,567,759 | $19,712,678 |
Intermediate Term Treasury | $6,851,927 | |
Long Term Treasury | $4,613,407 | |
Cash | $1,577,592 |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Stock Market | 92.24% | 93.48% |
Intermediate Term Treasury | 7.76% | |
Long Term Treasury | 6.41% | |
Cash | 0.11% |
Roll Period | Portfolio 1 | Portfolio 2 | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 10.60% | 50.56% | -26.48% | 10.42% | 48.54% | -26.64% |
3 years | 10.25% | 24.48% | -6.24% | 10.03% | 24.66% | -7.06% |
5 years | 10.22% | 22.46% | -1.45% | 9.98% | 22.31% | -1.66% |
7 years | 10.12% | 18.89% | 0.94% | 9.86% | 18.58% | 0.51% |
10 years | 9.84% | 15.97% | 1.36% | 9.55% | 15.56% | 0.88% |
15 years | 9.69% | 15.49% | 5.14% | 9.38% | 15.18% | 4.77% |