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 | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Mid Cap | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Small Cap | 100.00% |
Save asset allocation » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $1,360,199 | 10.55% | 15.30% | 37.45% | -37.02% | -50.97% | 0.43 | 0.64 | 0.99 |
Portfolio 2 | $10,000 | $2,688,025 | 12.09% | 17.40% | 48.69% | -41.82% | -54.14% | 0.48 | 0.71 | 0.96 |
Portfolio 3 | $10,000 | $2,426,837 | 11.86% | 19.69% | 55.13% | -36.07% | -53.95% | 0.44 | 0.64 | 0.91 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 12.12% | 18.25% | 14.03% | 15.06% | 13.72% | 10.55% | 18.80% | 15.26% |
Portfolio 2 | 17.98% | 18.10% | 11.90% | 13.14% | 12.25% | 12.09% | 21.69% | 17.80% |
Portfolio 3 | 27.05% | 18.96% | 11.08% | 13.47% | 11.86% | 11.86% | 24.72% | 20.38% |
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | US Large Cap | US Mid Cap | US Small Cap | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
1972 | 3.41% | 18.95% | $11,895 | 8.02% | $10,802 | 8.66% | $10,866 | 18.95% | 8.02% | 8.66% |
1973 | 8.71% | -16.18% | $9,971 | -24.20% | $8,187 | -32.85% | $7,296 | -16.18% | -24.20% | -32.85% |
1974 | 12.34% | -26.93% | $7,286 | -26.34% | $6,031 | -27.59% | $5,283 | -26.93% | -26.34% | -27.59% |
1975 | 6.94% | 36.95% | $9,978 | 48.69% | $8,968 | 55.13% | $8,196 | 36.95% | 48.69% | 55.13% |
1976 | 4.86% | 24.18% | $12,391 | 36.67% | $12,256 | 45.33% | $11,912 | 24.18% | 36.67% | 45.33% |
1977 | 6.70% | -7.84% | $11,419 | 1.30% | $12,416 | 15.67% | $13,779 | -7.84% | 1.30% | 15.67% |
1978 | 9.02% | 5.87% | $12,089 | 8.97% | $13,529 | 17.74% | $16,223 | 5.87% | 8.97% | 17.74% |
1979 | 13.29% | 18.05% | $14,271 | 31.48% | $17,788 | 41.02% | $22,878 | 18.05% | 31.48% | 41.02% |
1980 | 12.52% | 31.92% | $18,826 | 30.76% | $23,260 | 35.78% | $31,063 | 31.92% | 30.76% | 35.78% |
1981 | 8.92% | -5.21% | $17,846 | 4.10% | $24,215 | 4.36% | $32,419 | -5.21% | 4.10% | 4.36% |
1982 | 3.83% | 20.97% | $21,589 | 25.21% | $30,321 | 29.27% | $41,907 | 20.97% | 25.21% | 29.27% |
1983 | 3.79% | 21.29% | $26,186 | 27.11% | $38,540 | 31.64% | $55,165 | 21.29% | 27.11% | 31.64% |
1984 | 3.95% | 6.21% | $27,812 | -1.74% | $37,869 | -4.26% | $52,816 | 6.21% | -1.74% | -4.26% |
1985 | 3.80% | 31.23% | $36,498 | 32.79% | $50,288 | 33.70% | $70,616 | 31.23% | 32.79% | 33.70% |
1986 | 1.10% | 18.06% | $43,089 | 17.12% | $58,899 | 9.77% | $77,514 | 18.06% | 17.12% | 9.77% |
1987 | 4.43% | 4.71% | $45,117 | 0.84% | $59,392 | -6.42% | $72,534 | 4.71% | 0.84% | -6.42% |
1988 | 4.42% | 16.22% | $52,435 | 19.44% | $70,939 | 23.78% | $89,784 | 16.22% | 19.44% | 23.78% |
1989 | 4.65% | 31.36% | $68,881 | 26.00% | $89,384 | 19.41% | $107,212 | 31.36% | 26.00% | 19.41% |
1990 | 6.11% | -3.32% | $66,591 | -10.73% | $79,792 | -18.13% | $87,777 | -3.32% | -10.73% | -18.13% |
1991 | 3.06% | 30.22% | $86,716 | 40.44% | $112,062 | 45.26% | $127,505 | 30.22% | 40.44% | 45.26% |
1992 | 2.90% | 7.42% | $93,153 | 15.19% | $129,089 | 18.20% | $150,714 | 7.42% | 15.19% | 18.20% |
1993 | 2.75% | 9.89% | $102,369 | 16.20% | $149,995 | 18.70% | $178,903 | 9.89% | 16.20% | 18.70% |
1994 | 2.67% | 1.18% | $103,572 | -1.72% | $147,420 | -0.51% | $177,995 | 1.18% | -1.72% | -0.51% |
1995 | 2.54% | 37.45% | $142,356 | 33.22% | $196,388 | 28.74% | $229,150 | 37.45% | 33.22% | 28.74% |
1996 | 3.32% | 22.88% | $174,923 | 18.97% | $233,637 | 18.12% | $270,668 | 22.88% | 18.97% | 18.12% |
1997 | 1.70% | 33.19% | $232,981 | 25.66% | $293,588 | 24.59% | $337,224 | 33.19% | 25.66% | 24.59% |
1998 | 1.61% | 28.62% | $299,653 | 9.90% | $322,640 | -2.61% | $328,411 | 28.62% | 9.90% | -2.61% |
1999 | 2.68% | 21.07% | $362,785 | 15.32% | $372,064 | 23.13% | $404,382 | 21.07% | 15.32% | 23.13% |
2000 | 3.39% | -9.06% | $329,930 | 18.10% | $439,399 | -2.67% | $393,605 | -9.06% | 18.10% | -2.67% |
2001 | 1.55% | -12.02% | $290,263 | -0.50% | $437,207 | 3.10% | $405,807 | -12.02% | -0.50% | 3.10% |
2002 | 2.38% | -22.15% | $225,984 | -14.61% | $373,338 | -20.02% | $324,554 | -22.15% | -14.61% | -20.02% |
2003 | 1.88% | 28.50% | $290,393 | 34.14% | $500,803 | 45.63% | $472,643 | 28.50% | 34.14% | 45.63% |
2004 | 3.26% | 10.74% | $321,582 | 20.35% | $602,732 | 19.90% | $566,682 | 10.74% | 20.35% | 19.90% |
2005 | 3.42% | 4.77% | $336,937 | 13.93% | $686,697 | 7.36% | $608,410 | 4.77% | 13.93% | 7.36% |
2006 | 2.54% | 15.64% | $389,639 | 13.60% | $780,070 | 15.66% | $703,660 | 15.64% | 13.60% | 15.66% |
2007 | 4.08% | 5.39% | $410,628 | 6.02% | $827,040 | 1.16% | $711,792 | 5.39% | 6.02% | 1.16% |
2008 | 0.09% | -37.02% | $258,611 | -41.82% | $481,138 | -36.07% | $455,047 | -37.02% | -41.82% | -36.07% |
2009 | 2.72% | 26.49% | $327,105 | 40.22% | $674,641 | 36.12% | $619,402 | 26.49% | 40.22% | 36.12% |
2010 | 1.50% | 14.91% | $375,889 | 25.46% | $846,399 | 27.72% | $791,099 | 14.91% | 25.46% | 27.72% |
2011 | 2.96% | 1.97% | $383,278 | -2.11% | $828,558 | -2.80% | $768,916 | 1.97% | -2.11% | -2.80% |
2012 | 1.74% | 15.82% | $443,932 | 15.80% | $959,432 | 18.04% | $907,661 | 15.82% | 15.80% | 18.04% |
2013 | 1.50% | 32.18% | $586,769 | 35.00% | $1,295,191 | 37.62% | $1,249,116 | 32.18% | 35.00% | 37.62% |
2014 | 0.76% | 13.51% | $666,034 | 13.60% | $1,471,398 | 7.37% | $1,341,150 | 13.51% | 13.60% | 7.37% |
2015 | 0.73% | 1.25% | $674,367 | -1.45% | $1,450,056 | -3.78% | $1,290,415 | 1.25% | -1.45% | -3.78% |
2016 | 2.07% | 11.82% | $754,057 | 11.07% | $1,610,642 | 18.17% | $1,524,927 | 11.82% | 11.07% | 18.17% |
2017 | 2.11% | 21.67% | $917,443 | 19.12% | $1,918,580 | 16.10% | $1,770,460 | 21.67% | 19.12% | 16.10% |
2018 | 1.91% | -4.53% | $875,903 | -9.34% | $1,739,389 | -9.43% | $1,603,534 | -4.53% | -9.34% | -9.43% |
2019 | 2.29% | 31.33% | $1,150,297 | 30.86% | $2,276,104 | 27.22% | $2,039,982 | 31.33% | 30.86% | 27.22% |
2020 | 1.36% | 18.25% | $1,360,199 | 18.10% | $2,688,025 | 18.96% | $2,426,837 | 18.25% | 18.10% | 18.96% |
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Arithmetic Mean (monthly) | 0.94% | 1.08% | 1.10% |
Arithmetic Mean (annualized) | 11.84% | 13.81% | 14.07% |
Geometric Mean (monthly) | 0.84% | 0.96% | 0.94% |
Geometric Mean (annualized) | 10.55% | 12.09% | 11.86% |
Volatility (monthly) | 4.42% | 5.02% | 5.68% |
Volatility (annualized) | 15.30% | 17.40% | 19.69% |
Downside Deviation (monthly) | 2.82% | 3.22% | 3.74% |
Max. Drawdown | -50.97% | -54.14% | -53.95% |
US Market Correlation | 0.99 | 0.96 | 0.91 |
Beta(*) | 0.97 | 1.07 | 1.15 |
Alpha (annualized) | 0.22% | 0.83% | 0.14% |
R2 | 97.99% | 92.33% | 83.42% |
Sharpe Ratio | 0.43 | 0.48 | 0.44 |
Sortino Ratio | 0.64 | 0.71 | 0.64 |
Treynor Ratio (%) | 6.89 | 7.89 | 7.53 |
Calmar Ratio | 0.71 | 0.46 | 0.37 |
Active Return | -0.10% | 1.45% | 1.21% |
Tracking Error | 2.23% | 4.94% | 8.35% |
Information Ratio | -0.04 | 0.29 | 0.15 |
Skewness | -0.42 | -0.55 | -0.58 |
Excess Kurtosis | 2.07 | 2.58 | 2.84 |
Historical Value-at-Risk (5%) | -6.70% | -7.15% | -7.92% |
Analytical Value-at-Risk (5%) | -6.33% | -7.18% | -8.25% |
Conditional Value-at-Risk (5%) | -9.64% | -10.87% | -12.57% |
Upside Capture Ratio (%) | 96.31 | 110.23 | 118.12 |
Downside Capture Ratio (%) | 95.64 | 105.76 | 116.91 |
Safe Withdrawal Rate | 4.18% | 4.94% | 5.37% |
Perpetual Withdrawal Rate | 6.06% | 7.36% | 7.17% |
Positive Periods | 368 out of 588 (62.59%) | 359 out of 588 (61.05%) | 362 out of 588 (61.56%) |
Gain/Loss Ratio | 1.03 | 1.12 | 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 |
---|---|---|---|---|---|
Oil Crisis | Oct 1973 | Mar 1974 | -13.05% | -15.86% | -18.56% |
Black Monday Period | Sep 1987 | Nov 1987 | -29.78% | -30.12% | -33.84% |
Asian Crisis | Jul 1997 | Jan 1998 | -5.61% | -4.79% | -4.93% |
Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -20.40% | -25.73% |
Dotcom Crash | Mar 2000 | Oct 2002 | -44.82% | -24.36% | -33.95% |
Subprime Crisis | Nov 2007 | Mar 2009 | -50.97% | -53.58% | -53.25% |
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 | Jan 1973 | Sep 1974 | 1 year 9 months | Sep 1976 | 2 years | 3 years 9 months | -44.87% |
3 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
4 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -29.78% |
5 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.63% |
6 | Dec 1980 | Jul 1982 | 1 year 8 months | Oct 1982 | 3 months | 1 year 11 months | -17.00% |
7 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
8 | Jan 1977 | Feb 1978 | 1 year 2 months | Aug 1978 | 6 months | 1 year 8 months | -14.86% |
9 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -14.70% |
10 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 2 years | 3 years 9 months | -54.14% |
2 | Dec 1972 | Sep 1974 | 1 year 10 months | Jun 1976 | 1 year 9 months | 3 years 7 months | -50.32% |
3 | Sep 1987 | Nov 1987 | 3 months | Apr 1989 | 1 year 5 months | 1 year 8 months | -30.12% |
4 | Jan 2020 | Mar 2020 | 3 months | Aug 2020 | 5 months | 8 months | -25.74% |
5 | Apr 2002 | Sep 2002 | 6 months | Oct 2003 | 1 year 1 month | 1 year 7 months | -24.36% |
6 | Sep 1989 | Oct 1990 | 1 year 2 months | Feb 1991 | 4 months | 1 year 6 months | -23.38% |
7 | Apr 1998 | Aug 1998 | 5 months | Apr 1999 | 8 months | 1 year 1 month | -22.10% |
8 | May 2011 | Sep 2011 | 5 months | Dec 2012 | 1 year 3 months | 1 year 8 months | -21.40% |
9 | Sep 2000 | Sep 2001 | 1 year 1 month | Mar 2002 | 6 months | 1 year 7 months | -19.33% |
10 | Jun 1981 | Jul 1982 | 1 year 2 months | Oct 1982 | 3 months | 1 year 5 months | -18.25% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2007 | Feb 2009 | 1 year 9 months | Dec 2010 | 1 year 10 months | 3 years 7 months | -53.95% |
2 | May 1972 | Sep 1974 | 2 years 5 months | Dec 1976 | 2 years 3 months | 4 years 8 months | -53.43% |
3 | Mar 2000 | Sep 2002 | 2 years 7 months | Dec 2003 | 1 year 3 months | 3 years 10 months | -33.95% |
4 | Sep 1987 | Nov 1987 | 3 months | Apr 1989 | 1 year 5 months | 1 year 8 months | -33.84% |
5 | Oct 1989 | Oct 1990 | 1 year 1 month | Mar 1991 | 5 months | 1 year 6 months | -30.61% |
6 | Jan 2020 | Mar 2020 | 3 months | Nov 2020 | 8 months | 11 months | -30.10% |
7 | May 1998 | Aug 1998 | 4 months | Dec 1999 | 1 year 4 months | 1 year 8 months | -29.82% |
8 | May 2011 | Sep 2011 | 5 months | Dec 2012 | 1 year 3 months | 1 year 8 months | -24.56% |
9 | Sep 1978 | Oct 1978 | 2 months | Apr 1979 | 6 months | 8 months | -20.35% |
10 | Sep 2018 | Dec 2018 | 4 months | Nov 2019 | 11 months | 1 year 3 months | -19.62% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Large Cap | 10.55% | 15.30% | 37.45% | -37.02% | -50.97% | 0.43 | 0.64 | 0.99 |
US Mid Cap | 12.09% | 17.40% | 48.69% | -41.82% | -54.14% | 0.48 | 0.71 | 0.96 |
US Small Cap | 11.86% | 19.69% | 55.13% | -36.07% | -53.95% | 0.44 | 0.64 | 0.91 |
Name | US Large Cap | US Mid Cap | US Small Cap | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|---|
US Large Cap | 1.00 | 0.93 | 0.86 | 1.00 | 0.93 | 0.86 |
US Mid Cap | 0.93 | 1.00 | 0.95 | 0.93 | 1.00 | 0.95 |
US Small Cap | 0.86 | 0.95 | 1.00 | 0.86 | 0.95 | 1.00 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Large Cap | $1,350,199 | ||
US Mid Cap | $2,678,025 | ||
US Small Cap | $2,416,837 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Large Cap | 100.00% | ||
US Mid Cap | 100.00% | ||
US Small Cap | 100.00% |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 11.54% | 58.83% | -43.32% | 13.40% | 79.32% | -46.46% | 13.37% | 97.53% | -44.66% |
3 years | 11.03% | 32.80% | -16.14% | 12.95% | 31.55% | -17.38% | 12.88% | 37.65% | -19.16% |
5 years | 11.04% | 28.95% | -6.73% | 13.08% | 28.69% | -5.09% | 13.00% | 34.06% | -6.30% |
7 years | 11.11% | 22.44% | -3.94% | 13.18% | 23.87% | -1.06% | 12.98% | 29.58% | -1.18% |
10 years | 11.08% | 19.37% | -3.51% | 13.12% | 21.32% | 3.24% | 12.68% | 26.24% | 1.64% |
15 years | 11.06% | 19.30% | 3.64% | 13.04% | 20.66% | 6.73% | 12.22% | 22.73% | 4.54% |