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.
Trailing return and volatility are as of last full calendar month ending December 2020
Notes on results:
IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
The results assume annual rebalancing of portfolio assets to match the specified allocation.
Annual returns for the configured portfolios
Year
Inflation
US Large Cap
US Mid Cap
US Small Cap
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%
Portfolio return and risk metrics
Metric
US Large Cap
US Mid Cap
US Small Cap
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%
Standard Deviation (monthly)
4.42%
5.02%
5.68%
Standard Deviation (annualized)
15.30%
17.40%
19.69%
Downside Deviation (monthly)
2.82%
3.22%
3.74%
Maximum Drawdown
-50.97%
-54.14%
-53.95%
Stock 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.
Drawdowns for Historical Market Stress Periods
Drawdowns for Historical Market Stress Periods
Stress Period
Start
End
US Large Cap
US Mid Cap
US Small Cap
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%
COVID-19 Start
Jan 2020
Mar 2020
-19.63%
-25.74%
-30.10%
Drawdowns for US Large Cap
Drawdowns for US Large Cap (worst 10)
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
Drawdowns for US Mid Cap
Drawdowns for US Mid Cap (worst 10)
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
Drawdowns for US Small Cap
Drawdowns for US Small Cap (worst 10)
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
Portfolio Assets
Performance statistics for portfolio components
Name
CAGR
Stdev
Best Year
Worst Year
Max Drawdown
Sharpe Ratio
Sortino Ratio
Market 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
Portfolio Asset Performance
Performance of portfolio assets
Name
Total Return
Annualized Return
3 Month
Year To Date
1 year
3 year
5 year
10 year
US Large Cap
12.12%
18.25%
18.25%
14.03%
15.06%
13.72%
US Mid Cap
17.98%
18.10%
18.10%
11.90%
13.14%
12.25%
US Small Cap
27.05%
18.96%
18.96%
11.08%
13.47%
11.86%
Trailing returns as of last calendar month ending December 2020
Monthly Correlations
Correlations for the portfolio assets
Name
US Large Cap
US Mid Cap
US Small Cap
US Large Cap
US Mid Cap
US Small Cap
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
Portfolio Return Decomposition
Portfolio return decomposition
Name
US Large Cap
US Mid Cap
US Small Cap
US Large Cap
$1,350,199
US Mid Cap
$2,678,025
US Small Cap
$2,416,837
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.
Portfolio Risk Decomposition
Portfolio risk decomposition
Name
US Large Cap
US Mid Cap
US Small Cap
US Large Cap
100.00%
US Mid Cap
100.00%
US Small Cap
100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.