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 | 25.00% |
Long Term Treasury | 25.00% |
REIT | 25.00% |
Gold | 25.00% |
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 | $99,376 | 8.88% | 9.16% | 22.85% | -11.66% | -25.85% | 0.72 | 1.10 | 0.65 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 4.83% | 14.80% | 10.70% | 10.28% | 8.55% | 8.88% | 9.89% | 8.99% |
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | US Stock Market | Long Term Treasury | REIT | Gold |
---|---|---|---|---|---|---|---|
1994 | 2.67% | -4.44% | $9,556 | -0.17% | -7.04% | -8.40% | -2.17% |
1995 | 2.54% | 19.75% | $11,442 | 35.79% | 30.09% | 12.13% | 0.98% |
1996 | 3.32% | 12.24% | $12,843 | 20.96% | -1.26% | 33.84% | -4.59% |
1997 | 1.70% | 10.57% | $14,200 | 30.99% | 13.90% | 18.77% | -21.41% |
1998 | 1.61% | 4.79% | $14,880 | 23.26% | 13.05% | -16.32% | -0.83% |
1999 | 2.68% | 2.99% | $15,325 | 23.81% | -8.66% | -4.04% | 0.85% |
2000 | 3.39% | 7.51% | $16,477 | -10.57% | 19.72% | 26.35% | -5.44% |
2001 | 1.55% | 1.61% | $16,742 | -10.97% | 4.31% | 12.35% | 0.75% |
2002 | 2.38% | 6.26% | $17,790 | -20.96% | 16.67% | 3.75% | 25.57% |
2003 | 1.88% | 22.39% | $21,774 | 31.35% | 2.68% | 35.66% | 19.89% |
2004 | 3.26% | 13.76% | $24,770 | 12.52% | 7.12% | 30.76% | 4.65% |
2005 | 3.42% | 10.56% | $27,386 | 5.98% | 6.61% | 11.89% | 17.76% |
2006 | 2.54% | 18.72% | $32,512 | 15.51% | 1.74% | 35.07% | 22.55% |
2007 | 4.08% | 7.18% | $34,846 | 5.49% | 9.24% | -16.46% | 30.45% |
2008 | 0.09% | -11.66% | $30,783 | -37.04% | 22.51% | -37.05% | 4.92% |
2009 | 2.72% | 17.56% | $36,189 | 28.70% | -12.06% | 29.58% | 24.03% |
2010 | 1.50% | 20.90% | $43,752 | 17.09% | 8.93% | 28.30% | 29.27% |
2011 | 2.96% | 12.07% | $49,032 | 0.96% | 29.28% | 8.47% | 9.57% |
2012 | 1.74% | 10.96% | $54,406 | 16.25% | 3.46% | 17.53% | 6.60% |
2013 | 1.50% | -1.43% | $53,630 | 33.35% | -13.03% | 2.31% | -28.33% |
2014 | 0.76% | 16.41% | $62,432 | 12.43% | 25.27% | 30.13% | -2.19% |
2015 | 0.73% | -2.42% | $60,919 | 0.29% | -1.54% | 2.22% | -10.67% |
2016 | 2.07% | 7.53% | $65,505 | 12.53% | 1.21% | 8.34% | 8.03% |
2017 | 2.11% | 11.82% | $73,248 | 21.05% | 8.59% | 4.83% | 12.81% |
2018 | 1.91% | -3.80% | $70,463 | -5.26% | -1.90% | -6.11% | -1.94% |
2019 | 2.29% | 22.85% | $86,565 | 30.65% | 14.13% | 28.78% | 17.86% |
2020 | 1.36% | 14.80% | $99,376 | 20.87% | 18.29% | -4.78% | 24.81% |
Metric | Portfolio 1 |
---|---|
Arithmetic Mean (monthly) | 0.75% |
Arithmetic Mean (annualized) | 9.34% |
Geometric Mean (monthly) | 0.71% |
Geometric Mean (annualized) | 8.88% |
Volatility (monthly) | 2.64% |
Volatility (annualized) | 9.16% |
Downside Deviation (monthly) | 1.67% |
Max. Drawdown | -25.85% |
US Market Correlation | 0.65 |
Beta(*) | 0.39 |
Alpha (annualized) | 4.73% |
R2 | 42.64% |
Sharpe Ratio | 0.72 |
Sortino Ratio | 1.10 |
Treynor Ratio (%) | 17.04 |
Calmar Ratio | 1.32 |
Active Return | -1.22% |
Tracking Error | 11.67% |
Information Ratio | -0.10 |
Skewness | -1.05 |
Excess Kurtosis | 6.35 |
Historical Value-at-Risk (5%) | -3.03% |
Analytical Value-at-Risk (5%) | -3.60% |
Conditional Value-at-Risk (5%) | -5.46% |
Upside Capture Ratio (%) | 45.83 |
Downside Capture Ratio (%) | 27.87 |
Safe Withdrawal Rate | 7.42% |
Perpetual Withdrawal Rate | 6.16% |
Positive Periods | 210 out of 324 (64.81%) |
Gain/Loss Ratio | 1.16 |
* 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 |
---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -2.27% |
Russian Debt Default | Jul 1998 | Oct 1998 | -9.16% |
Dotcom Crash | Mar 2000 | Oct 2002 | -4.80% |
Subprime Crisis | Nov 2007 | Mar 2009 | -25.85% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2008 | Feb 2009 | 9 months | Nov 2009 | 9 months | 1 year 6 months | -25.85% |
2 | Aug 2016 | Nov 2016 | 4 months | Aug 2017 | 9 months | 1 year 1 month | -9.59% |
3 | May 1998 | Aug 1998 | 4 months | Jan 1999 | 5 months | 9 months | -9.31% |
4 | Feb 2015 | Aug 2015 | 7 months | Apr 2016 | 8 months | 1 year 3 months | -8.91% |
5 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -8.11% |
6 | Apr 2004 | Apr 2004 | 1 month | Oct 2004 | 6 months | 7 months | -7.76% |
7 | Feb 1994 | Nov 1994 | 10 months | May 1995 | 6 months | 1 year 4 months | -7.72% |
8 | May 2013 | Jun 2013 | 2 months | Feb 2014 | 8 months | 10 months | -7.63% |
9 | May 2007 | Jul 2007 | 3 months | Sep 2007 | 2 months | 5 months | -5.06% |
10 | May 1999 | Aug 1999 | 4 months | Dec 1999 | 4 months | 8 months | -4.84% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 10.10% | 15.36% | 35.79% | -37.04% | -50.89% | 0.55 | 0.80 | 1.00 |
Long Term Treasury | 7.20% | 10.31% | 30.09% | -13.03% | -16.68% | 0.50 | 0.84 | -0.23 |
REIT | 9.01% | 19.23% | 35.66% | -37.05% | -68.28% | 0.43 | 0.61 | 0.59 |
Gold | 5.75% | 15.63% | 30.45% | -28.33% | -42.91% | 0.29 | 0.46 | 0.04 |
Name | US Stock Market | Long Term Treasury | REIT | Gold | Portfolio 1 |
---|---|---|---|---|---|
US Stock Market | 1.00 | -0.23 | 0.59 | 0.04 | 0.65 |
Long Term Treasury | -0.23 | 1.00 | 0.02 | 0.19 | 0.29 |
REIT | 0.59 | 0.02 | 1.00 | 0.12 | 0.79 |
Gold | 0.04 | 0.19 | 0.12 | 1.00 | 0.57 |
Name | Portfolio 1 |
---|---|
US Stock Market | $29,560 |
Long Term Treasury | $19,045 |
REIT | $22,018 |
Gold | $18,753 |
Name | Portfolio 1 |
---|---|
US Stock Market | 26.99% |
Long Term Treasury | 8.16% |
REIT | 41.02% |
Gold | 23.83% |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 9.41% | 37.83% | -24.99% |
3 years | 8.94% | 24.76% | -2.72% |
5 years | 8.83% | 16.63% | 3.48% |
7 years | 8.97% | 13.27% | 5.17% |
10 years | 9.37% | 12.33% | 6.19% |
15 years | 9.28% | 10.29% | 6.77% |