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 |
---|---|
TIPS | 100.00% |
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Asset Class | Allocation |
---|---|
Global Bonds (USD Hedged) | 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 |
---|---|---|---|---|---|---|---|---|---|---|
TIPS | $10,000 | $27,457 | 5.18% | 5.73% | 16.61% | -8.92% | -12.50% | 0.67 | 1.02 | 0.06 |
Global Bonds (USD Hedged) | $10,000 | $30,274 | 5.69% | 3.63% | 15.30% | -2.35% | -10.03% | 1.15 | 1.92 | 0.14 |
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 | |
TIPS | 1.62% | 10.90% | 10.90% | 5.69% | 4.87% | 3.60% | 5.18% | 3.69% | 3.52% |
Global Bonds (USD Hedged) | 2.48% | 7.31% | 7.31% | 4.47% | 4.78% | 5.04% | 5.69% | 3.36% | 3.02% |
Trailing return and volatility are as of last full calendar month ending December 2020 |
Year | Inflation | TIPS | Global Bonds (USD Hedged) | TIPS | Global Bonds (USD Hedged) | ||
---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | ||||
2001 | 1.55% | 7.61% | $10,761 | 10.83% | $11,083 | 7.61% | 10.83% |
2002 | 2.38% | 16.61% | $12,548 | 9.29% | $12,112 | 16.61% | 9.29% |
2003 | 1.88% | 8.00% | $13,553 | 3.93% | $12,589 | 8.00% | 3.93% |
2004 | 3.26% | 8.27% | $14,674 | 6.11% | $13,358 | 8.27% | 6.11% |
2005 | 3.42% | 2.59% | $15,054 | 4.98% | $14,023 | 2.59% | 4.98% |
2006 | 2.54% | 0.43% | $15,118 | 2.94% | $14,436 | 0.43% | 2.94% |
2007 | 4.08% | 11.59% | $16,871 | 4.99% | $15,157 | 11.59% | 4.99% |
2008 | 0.09% | -2.85% | $16,391 | -2.35% | $14,800 | -2.85% | -2.35% |
2009 | 2.72% | 10.80% | $18,161 | 15.30% | $17,065 | 10.80% | 15.30% |
2010 | 1.50% | 6.17% | $19,281 | 8.53% | $18,520 | 6.17% | 8.53% |
2011 | 2.96% | 13.23% | $21,833 | 8.60% | $20,112 | 13.23% | 8.60% |
2012 | 1.74% | 6.77% | $23,312 | 9.54% | $22,030 | 6.77% | 9.54% |
2013 | 1.50% | -8.92% | $21,233 | -0.81% | $21,851 | -8.92% | -0.81% |
2014 | 0.76% | 3.83% | $22,046 | 9.70% | $23,971 | 3.83% | 9.70% |
2015 | 0.73% | -1.83% | $21,643 | -0.00% | $23,971 | -1.83% | -0.00% |
2016 | 2.07% | 4.52% | $22,622 | 6.17% | $25,449 | 4.52% | 6.17% |
2017 | 2.11% | 2.81% | $23,258 | 4.32% | $26,549 | 2.81% | 4.32% |
2018 | 1.91% | -1.49% | $22,912 | -0.46% | $26,426 | -1.49% | -0.46% |
2019 | 2.29% | 8.06% | $24,758 | 6.76% | $28,212 | 8.06% | 6.76% |
2020 | 1.36% | 10.90% | $27,457 | 7.31% | $30,274 | 10.90% | 7.31% |
Metric | TIPS | Global Bonds (USD Hedged) |
---|---|---|
Arithmetic Mean (monthly) | 0.44% | 0.47% |
Arithmetic Mean (annualized) | 5.35% | 5.76% |
Geometric Mean (monthly) | 0.42% | 0.46% |
Geometric Mean (annualized) | 5.18% | 5.69% |
Standard Deviation (monthly) | 1.66% | 1.05% |
Standard Deviation (annualized) | 5.73% | 3.63% |
Downside Deviation (monthly) | 1.05% | 0.59% |
Maximum Drawdown | -12.50% | -10.03% |
Stock Market Correlation | 0.06 | 0.14 |
Beta(*) | 0.02 | 0.03 |
Alpha (annualized) | 5.03% | 5.32% |
R2 | 0.36% | 2.01% |
Sharpe Ratio | 0.67 | 1.15 |
Sortino Ratio | 1.02 | 1.92 |
Treynor Ratio (%) | 173.67 | 127.98 |
Calmar Ratio | 2.40 | 1.13 |
Active Return | -2.73% | -2.22% |
Tracking Error | 16.25% | 15.46% |
Information Ratio | -0.17 | -0.14 |
Skewness | -0.76 | -0.66 |
Excess Kurtosis | 4.77 | 4.08 |
Historical Value-at-Risk (5%) | -2.09% | -1.02% |
Analytical Value-at-Risk (5%) | -2.29% | -1.26% |
Conditional Value-at-Risk (5%) | -3.70% | -2.12% |
Upside Capture Ratio (%) | 10.06 | 13.44 |
Downside Capture Ratio (%) | -14.58 | -11.67 |
Safe Withdrawal Rate | 7.33% | 7.30% |
Perpetual Withdrawal Rate | 2.99% | 3.46% |
Positive Periods | 160 out of 240 (66.67%) | 173 out of 240 (72.08%) |
Gain/Loss Ratio | 0.98 | 1.28 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | TIPS | Global Bonds (USD Hedged) |
---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -12.50% | -10.03% |
COVID-19 Start | Jan 2020 | Mar 2020 | -1.31% | -3.95% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Apr 2008 | Oct 2008 | 7 months | Sep 2009 | 11 months | 1 year 6 months | -12.50% |
2 | Dec 2012 | Dec 2013 | 1 year 1 month | Mar 2019 | 5 years 3 months | 6 years 4 months | -9.43% |
3 | Jun 2003 | Jul 2003 | 2 months | Dec 2003 | 5 months | 7 months | -5.32% |
4 | Apr 2004 | Apr 2004 | 1 month | Aug 2004 | 4 months | 5 months | -4.69% |
5 | Nov 2001 | Dec 2001 | 2 months | Apr 2002 | 4 months | 6 months | -3.37% |
6 | Nov 2010 | Dec 2010 | 2 months | Apr 2011 | 4 months | 6 months | -3.22% |
7 | Oct 2002 | Oct 2002 | 1 month | Dec 2002 | 2 months | 3 months | -2.75% |
8 | Feb 2006 | Apr 2006 | 3 months | Aug 2006 | 4 months | 7 months | -2.38% |
9 | Dec 2006 | Dec 2006 | 1 month | Mar 2007 | 3 months | 4 months | -2.32% |
10 | Dec 2009 | Dec 2009 | 1 month | Apr 2010 | 4 months | 5 months | -2.23% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Mar 2008 | Nov 2008 | 9 months | Jul 2009 | 8 months | 1 year 5 months | -10.03% |
2 | May 2013 | Aug 2013 | 4 months | Apr 2014 | 8 months | 1 year | -4.24% |
3 | Mar 2020 | Mar 2020 | 1 month | Jun 2020 | 3 months | 4 months | -3.95% |
4 | Feb 2015 | Jun 2015 | 5 months | Apr 2016 | 10 months | 1 year 3 months | -3.67% |
5 | Jun 2003 | Aug 2003 | 3 months | Jan 2004 | 5 months | 8 months | -2.34% |
6 | Oct 2016 | Nov 2016 | 2 months | Apr 2017 | 5 months | 7 months | -2.07% |
7 | Nov 2010 | Dec 2010 | 2 months | May 2011 | 5 months | 7 months | -1.97% |
8 | Mar 2007 | Jun 2007 | 4 months | Aug 2007 | 2 months | 6 months | -1.62% |
9 | Nov 2001 | Mar 2002 | 5 months | Apr 2002 | 1 month | 6 months | -1.11% |
10 | Dec 2006 | Jan 2007 | 2 months | Feb 2007 | 1 month | 3 months | -1.06% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
TIPS | 5.18% | 5.73% | 16.61% | -8.92% | -12.50% | 0.67 | 1.02 | 0.06 |
Global Bonds (USD Hedged) | 5.69% | 3.63% | 15.30% | -2.35% | -10.03% | 1.15 | 1.92 | 0.14 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
TIPS | 1.62% | 10.90% | 10.90% | 5.69% | 4.87% | 3.60% |
Global Bonds (USD Hedged) | 2.48% | 7.31% | 7.31% | 4.47% | 4.78% | 5.04% |
Trailing returns as of last calendar month ending December 2020 |
Name | TIPS | Global Bonds (USD Hedged) | TIPS | Global Bonds (USD Hedged) |
---|---|---|---|---|
TIPS | 1.00 | 0.70 | 1.00 | 0.70 |
Global Bonds (USD Hedged) | 0.70 | 1.00 | 0.70 | 1.00 |
Name | TIPS | Global Bonds (USD Hedged) |
---|---|---|
TIPS | $17,457 | |
Global Bonds (USD Hedged) | $20,274 | |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | TIPS | Global Bonds (USD Hedged) |
---|---|---|
TIPS | 100.00% | |
Global Bonds (USD Hedged) | 100.00% | |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | TIPS | Global Bonds (USD Hedged) | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 5.05% | 19.26% | -8.92% | 5.51% | 20.60% | -5.78% |
3 years | 4.48% | 11.84% | -2.45% | 5.33% | 11.43% | 0.77% |
5 years | 4.28% | 8.53% | -0.33% | 5.41% | 9.07% | 2.27% |
7 years | 4.34% | 8.03% | 0.59% | 5.56% | 7.86% | 3.04% |
10 years | 4.57% | 7.50% | 2.55% | 5.79% | 6.41% | 4.55% |
15 years | 4.25% | 5.29% | 3.42% | 5.40% | 6.10% | 4.85% |