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% |
Total US Bond Market | 40.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Stock Market | 40.00% |
Global ex-US Stock Market | 20.00% |
Total US Bond Market | 30.00% |
REIT | 10.00% |
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 | $91,076 | 8.53% | 9.18% | 28.74% | -20.20% | -30.72% | 0.69 | 1.02 | 0.99 |
Portfolio 2 | $10,000 | $81,937 | 8.10% | 10.35% | 25.37% | -25.82% | -39.59% | 0.58 | 0.84 | 0.96 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 9.00% | 15.57% | 10.87% | 11.02% | 9.82% | 8.53% | 11.75% | 9.54% |
Portfolio 2 | 10.20% | 12.39% | 8.97% | 9.93% | 8.66% | 8.10% | 12.85% | 10.53% |
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Return | Balance | US Stock Market | Total US Bond Market | Global ex-US Stock Market | REIT | ||
---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 1 | Portfolio 2 | ||||||
1994 | 2.67% | -1.16% | 0.25% | $9,884 | $10,025 | -0.17% | -2.66% | 9.76% | -8.40% |
1995 | 2.54% | 28.74% | 21.78% | $12,725 | $12,208 | 35.79% | 18.18% | 3.98% | 12.13% |
1996 | 3.32% | 14.01% | 13.78% | $14,507 | $13,890 | 20.96% | 3.58% | 4.68% | 33.84% |
1997 | 1.70% | 22.37% | 16.95% | $17,753 | $16,245 | 30.99% | 9.44% | -0.77% | 18.77% |
1998 | 1.61% | 17.39% | 13.37% | $20,841 | $18,417 | 23.26% | 8.58% | 15.60% | -16.32% |
1999 | 2.68% | 13.98% | 14.88% | $23,755 | $21,156 | 23.81% | -0.76% | 29.92% | -4.04% |
2000 | 3.39% | -1.79% | -1.30% | $23,330 | $20,881 | -10.57% | 11.39% | -15.61% | 26.35% |
2001 | 1.55% | -3.21% | -4.65% | $22,582 | $19,910 | -10.97% | 8.43% | -20.15% | 12.35% |
2002 | 2.38% | -9.27% | -8.55% | $20,488 | $18,208 | -20.96% | 8.26% | -15.08% | 3.75% |
2003 | 1.88% | 20.40% | 25.37% | $24,667 | $22,827 | 31.35% | 3.97% | 40.34% | 35.66% |
2004 | 3.26% | 9.20% | 13.52% | $26,938 | $25,913 | 12.52% | 4.24% | 20.84% | 30.76% |
2005 | 3.42% | 4.55% | 7.41% | $28,163 | $27,834 | 5.98% | 2.40% | 15.57% | 11.89% |
2006 | 2.54% | 11.01% | 16.32% | $31,265 | $32,377 | 15.51% | 4.27% | 26.64% | 35.07% |
2007 | 4.08% | 6.06% | 5.73% | $33,160 | $34,232 | 5.49% | 6.92% | 15.52% | -16.46% |
2008 | 0.09% | -20.20% | -25.82% | $26,461 | $25,392 | -37.04% | 5.05% | -44.10% | -37.05% |
2009 | 2.72% | 19.59% | 23.56% | $31,645 | $31,375 | 28.70% | 5.93% | 36.73% | 29.58% |
2010 | 1.50% | 12.82% | 13.82% | $35,704 | $35,710 | 17.09% | 6.42% | 11.12% | 28.30% |
2011 | 2.96% | 3.60% | 0.59% | $36,989 | $35,919 | 0.96% | 7.56% | -14.56% | 8.47% |
2012 | 1.74% | 11.37% | 13.10% | $41,195 | $40,623 | 16.25% | 4.05% | 18.14% | 17.53% |
2013 | 1.50% | 19.10% | 15.90% | $49,065 | $47,083 | 33.35% | -2.26% | 15.04% | 2.31% |
2014 | 0.76% | 9.76% | 8.86% | $53,854 | $51,257 | 12.43% | 5.76% | -4.24% | 30.13% |
2015 | 0.73% | 0.29% | -0.45% | $54,013 | $51,027 | 0.29% | 0.30% | -4.38% | 2.22% |
2016 | 2.07% | 8.52% | 7.53% | $58,615 | $54,869 | 12.53% | 2.50% | 4.65% | 8.34% |
2017 | 2.11% | 14.01% | 15.42% | $66,828 | $63,328 | 21.05% | 3.45% | 27.40% | 4.83% |
2018 | 1.91% | -3.20% | -5.64% | $64,686 | $59,757 | -5.26% | -0.13% | -14.44% | -6.11% |
2019 | 2.29% | 21.83% | 22.01% | $78,808 | $72,907 | 30.65% | 8.61% | 21.43% | 28.78% |
2020 | 1.27% | 15.57% | 12.39% | $91,076 | $81,937 | 20.87% | 7.61% | 11.16% | -4.78% |
Metric | Portfolio 1 | Portfolio 2 |
---|---|---|
Arithmetic Mean (monthly) | 0.72% | 0.70% |
Arithmetic Mean (annualized) | 8.98% | 8.68% |
Geometric Mean (monthly) | 0.68% | 0.65% |
Geometric Mean (annualized) | 8.53% | 8.10% |
Volatility (monthly) | 2.65% | 2.99% |
Volatility (annualized) | 9.18% | 10.35% |
Downside Deviation (monthly) | 1.69% | 2.00% |
Max. Drawdown | -30.72% | -39.59% |
US Market Correlation | 0.99 | 0.96 |
Beta(*) | 0.59 | 0.65 |
Alpha (annualized) | 2.23% | 1.33% |
R2 | 97.25% | 92.26% |
Sharpe Ratio | 0.69 | 0.58 |
Sortino Ratio | 1.02 | 0.84 |
Treynor Ratio (%) | 10.70 | 9.32 |
Calmar Ratio | 0.91 | 0.61 |
Active Return | -1.57% | -2.00% |
Tracking Error | 6.49% | 6.14% |
Information Ratio | -0.24 | -0.33 |
Skewness | -0.67 | -0.87 |
Excess Kurtosis | 1.40 | 2.80 |
Historical Value-at-Risk (5%) | -4.11% | -4.74% |
Analytical Value-at-Risk (5%) | -3.64% | -4.22% |
Conditional Value-at-Risk (5%) | -5.69% | -6.83% |
Upside Capture Ratio (%) | 62.42 | 65.44 |
Downside Capture Ratio (%) | 56.05 | 62.92 |
Safe Withdrawal Rate | 7.90% | 7.50% |
Perpetual Withdrawal Rate | 5.86% | 5.49% |
Positive Periods | 218 out of 324 (67.28%) | 218 out of 324 (67.28%) |
Gain/Loss Ratio | 0.96 | 0.89 |
* 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 |
---|---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -2.69% | -3.61% |
Russian Debt Default | Jul 1998 | Oct 1998 | -10.18% | -10.77% |
Dotcom Crash | Mar 2000 | Oct 2002 | -21.68% | -20.74% |
Subprime Crisis | Nov 2007 | Mar 2009 | -30.72% | -39.59% |
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 | -30.72% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Jan 2004 | 1 year 4 months | 3 years 5 months | -21.68% |
3 | Feb 2020 | Mar 2020 | 2 months | Jul 2020 | 4 months | 6 months | -11.94% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -10.18% |
5 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 4 months | 9 months | -9.08% |
6 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -8.46% |
7 | Feb 1994 | Jun 1994 | 5 months | Feb 1995 | 8 months | 1 year 1 month | -6.47% |
8 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -5.35% |
9 | Jun 2015 | Sep 2015 | 4 months | Apr 2016 | 7 months | 11 months | -5.33% |
10 | Jul 1999 | Sep 1999 | 3 months | Oct 1999 | 1 month | 4 months | -3.76% |
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 | Jan 2011 | 1 year 11 months | 3 years 3 months | -39.59% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Dec 2003 | 1 year 3 months | 3 years 4 months | -20.74% |
3 | Feb 2020 | Mar 2020 | 2 months | Jul 2020 | 4 months | 6 months | -14.71% |
4 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -12.49% |
5 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -10.77% |
6 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -8.77% |
7 | Jun 2015 | Feb 2016 | 9 months | Jun 2016 | 4 months | 1 year 1 month | -6.95% |
8 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -5.07% |
9 | Feb 1994 | Nov 1994 | 10 months | Mar 1995 | 4 months | 1 year 2 months | -5.01% |
10 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.38% |
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 |
Total US Bond Market | 5.14% | 3.56% | 18.18% | -2.66% | -5.01% | 0.78 | 1.29 | 0.01 |
Global ex-US Stock Market | 5.33% | 16.86% | 40.34% | -44.10% | -58.50% | 0.26 | 0.36 | 0.84 |
REIT | 9.01% | 19.23% | 35.66% | -37.05% | -68.28% | 0.43 | 0.61 | 0.59 |
Name | US Stock Market | Total US Bond Market | Global ex-US Stock Market | REIT | Portfolio 1 | Portfolio 2 |
---|---|---|---|---|---|---|
US Stock Market | 1.00 | 0.01 | 0.84 | 0.59 | 0.99 | 0.96 |
Total US Bond Market | 0.01 | 1.00 | 0.02 | 0.20 | 0.16 | 0.15 |
Global ex-US Stock Market | 0.84 | 0.02 | 1.00 | 0.57 | 0.83 | 0.92 |
REIT | 0.59 | 0.20 | 0.57 | 1.00 | 0.61 | 0.72 |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Stock Market | $63,672 | $39,984 |
Total US Bond Market | $17,404 | $12,373 |
Global ex-US Stock Market | $11,612 | |
REIT | $7,969 |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Stock Market | 97.49% | 55.97% |
Total US Bond Market | 2.51% | 1.52% |
Global ex-US Stock Market | 29.30% | |
REIT | 13.21% |
Roll Period | Portfolio 1 | Portfolio 2 | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 8.87% | 35.35% | -25.66% | 8.46% | 44.58% | -33.58% |
3 years | 8.23% | 22.00% | -6.52% | 7.92% | 21.27% | -9.22% |
5 years | 7.66% | 19.17% | -1.54% | 7.49% | 17.40% | -1.79% |
7 years | 7.21% | 13.27% | 0.77% | 7.20% | 12.49% | 1.37% |
10 years | 7.05% | 11.49% | 1.27% | 7.22% | 11.62% | 1.74% |
15 years | 6.78% | 8.51% | 5.14% | 6.98% | 8.99% | 5.09% |